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

Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance) THE EUROPEAN COMMISSION, Having regard to the Treaty on the Functioning of the European Union, Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 OJ L 176, 27.6.2013, p. 1. , and in particular Article 99(5) thereof, Whereas: (1) Commission Implementing Regulation (EU) No 680/2014 Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1). lays down uniform requirements for institutions in relation to supervisory reporting to competent authorities for the purposes of Articles 99 and 100, Article 101(4)(a), Article 394(1), and Articles 415 and 430 of Regulation (EU) No 575/2013. (2) Regulation (EU) 2017/2402 of the European Parliament and of the Council Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ L 347, 28.12.2017, p. 35). set up a new framework for securitisation, including a specific framework for simple, transparent and standardised (STS) securitisations. It established preferential treatment for STS securitisations and certain SME synthetic securitisations and set out a framework for a more risk-sensitive regulatory treatment of exposures to securitisations. Implementing Regulation (EU) No 680/2014 needs to be amended to accommodate the reporting on securitisation positions to this new securitisation framework. (3) Commission Regulation (EC) No 1126/2008 Commission Regulation (EC) No 1126/2008 of 3 November 2008 adopting certain international accounting standards in accordance with Regulation (EC) No 1606/2002 of the European Parliament and of the Council (OJ L 320, 29.11.2008, p. 1). was amended by Regulation (EU) 2017/1986 Commission Regulation (EU) 2017/1986 of 31 October 2017 amending Regulation (EC) No 1126/2008 adopting certain international accounting standards in accordance with Regulation (EC) No 1606/2002 of the European Parliament and of the Council as regards International Financial Reporting Standard 16 (OJ L 291, 9.11.2017, p. 1). to bring that Regulation in line with the International Financial Reporting Standard (IFRS) 16 Leases that the International Accounting Standards Board (IASB) published on 13 January 2016. Implementing Regulation (EU) No 680/2014 now also needs to be amended to reflect those amendments.

(4) Competent authorities’ should be able to effectively monitor and assess the institutions’ risk profile and to obtain a view on the risks posed to the financial sector. A high level of non-performing exposures (NPEs) affects the risk profile, profitability and solvency of institutions, ultimately affecting lending capacity to the overall economy. The reporting requirements should therefore be revised to strengthen the ability of competent authorities to assess and monitor non-performing exposures by collecting more granular information on those exposures on a recurring basis and to close identified data gaps. (5) Moreover, the structure and extent of the expenses of institutions significantly influence the profitability and sustainability of the institutions’ business models. To enable competent authorities to gain deeper insights into those expenses, the reporting framework should be improved. (6) Commission Delegated Regulation (EU) 2015/61 Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions (OJ L 11, 17.1.2015, p. 1). was amended by Delegated Regulation (EU) 2018/1620 Commission Delegated Regulation (EU) 2018/1620 of 13 July 2018 amending Delegated Regulation (EU) 2015/61 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for credit institutions (OJ L 271, 30.10.2018, p. 10). to improve alignment with international standards and facilitate more efficient liquidity management by credit institutions. Implementing Regulation (EU) No 680/2014 should likewise be amended to reflect those amendments in the reporting framework of the liquidity coverage requirements for credit institutions. (7) Moreover, templates and instructions of Implementing Regulation (EU) No 680/2014 should also be reviewed to reassess the convenience and appropriateness of the memo items included in the templates and instructions during the early years of implementation of that Regulation as well as to correct typos, erroneous references and formatting inconsistencies which were discovered in the course of its application. (8) Competent authorities should be able to receive information from institutions using templates amended by this Implementing Regulation as soon as possible so that they can exercise their supervisory functions effectively. The new Union securitisation framework becomes fully applicable on 1 January 2020 after transitional provisions expire. Therefore, the revised reporting requirements on own funds and own funds requirements set out in this Implementing Regulation should apply from 30 March 2020. In order to provide institutions and competent authorities with sufficient time to implement the revised reporting requirements on NPEs, debt obligations subject to forbearance measures, the operating and administrative expenses and financial information, which are set out in Annexes III to V of this Implementing Regulation, those revised reporting requirements should apply from 1 June 2020. Finally, taking into account the amendments introduced by Delegated Regulation (EU) 2018/1620 that apply from 30 April 2019, the provisions of this Implementing Regulation concerning liquidity reporting should apply from 1 April 2020.

(9) This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority (EBA) to the Commission. (10) EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12). . In accordance with the second subparagraph of Article 15(1) of that Regulation, EBA has not conducted any open public consultation with regard to those parts of the draft implementing technical standards on which this Regulation is based that are either of editorial nature or introduce only a limited number of items in the supervisory reporting framework. Such consultation would be disproportionate in relation to the scope and impact of the draft implementing technical standards concerned. (11) Implementing Regulation (EU) No 680/2014 should therefore be amended accordingly, HAS ADOPTED THIS REGULATION:

Article 1

Implementing Regulation (EU) No 680/2014 is amended as follows: (1) Article 5 is amended as follows: (a) point (a) is amended as follows: (i) point (7) is deleted; (ii) point (8) is replaced by the following: (8) the information on securitisation exposures specified in template 13.01 of Annex I, in accordance with the instructions in point 3.7 of Part II of Annex II;; (b) in point (b), point (1) is replaced by the following: (1) the information on all securitisation exposures as specified in templates 14 and 14.01 of Annex I, in accordance with the instructions in point 3.9 of Part II of Annex II; Institutions shall be exempted from submitting those securitisation details where they are part of a group in the same country in which they are subject to own funds requirements;; (2) in Article 9, paragraph 2 is amended as follows: (i) point (c) is replaced by the following: (c) the information specified in Part 4 of Annex III, with the exception of the information specified in template 47, with an annual frequency;; (ii) the following points (h) and (i) are added: (h) with a quarterly frequency, the information specified in templates 23 to 26 in Part 2 of Annex III where both of the following conditions are fulfilled: (i) the institution is not a small and non-complex institution as defined in point (145) of Article 4(1) of Regulation (EU) No 575/2013; (ii) the ratio between the institution’s gross carrying amount of non-performing loans and advances and the total gross carrying amount of loans and advances falling under the category of non-performing exposures as set out in section 17 of Part 2 of Annex V to this Regulation is equal to or higher than 5 %. For the purposes of this point, the ratio shall exclude loans and advances classified as held for sale, cash balances at central banks and other demand deposits in both the numerator and the denominator.

The entry and exit criteria referred to in Article 4 shall apply. (i) with an annual frequency, the information specified in template 47 in Part 4 of Annex III where both of the conditions referred to in points (i) and (ii) of point (h) of this paragraph are fulfilled. The entry and exit criteria referred to in Article 4 shall apply.; (3) in Article 11, paragraph 2 is amended as follows: (i) point (c) is replaced by the following: (c) the information specified in Part 4 of Annex IV, with the exception of the information specified in template 47, with an annual frequency;; (ii) the following points (h) and (i) are added: (h) with a quarterly frequency, the information specified in templates 23 to 26 in Part 2 of Annex IV where the conditions referred to in points (i) and (ii) of point (h) of Article 9(2) are fulfilled. The entry and exit criteria referred to in Article 4 shall apply; (i) with an annual frequency, the information specified in template 47 in Part 4 of Annex IV where the conditions referred to in points (i) and (ii) of point (h) of Article 9(2) are fulfilled. The entry and exit criteria referred to in Article 4 shall apply.; (4) Annex I is replaced by the text in Annex I to this Regulation; (5) Annex II is replaced by the text in Annex II to this Regulation. (6) Annex III is replaced by the text in Annex III to this Regulation. (7) Annex IV is replaced by the text in Annex IV to this Regulation. (8) Annex V is replaced by the text in Annex V to this Regulation. (9) Annex XVIII is replaced by the text in Annex VI to this Regulation; (10) Annex XIX is replaced by the text in Annex VII to this Regulation. (11) Annex XXIV is replaced by the text in Annex VIII to this Regulation; (12) Annex XXV is replaced by the text in Annex IX to this Regulation.

Article 2

This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union. Points (1), (4) and (5) of Article 1 shall apply from 30 March 2020. Points (9) to (12) of Article 1 shall apply from 1 April 2020. Points (2), (3), (6) to (8) of Article 1 shall apply from 1 June 2020. This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 14 February 2020. For the Commission The President Ursula von der Leyen

Annex

ANNEX I

Annex

ANNEX I REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS COREP TEMPLATESTemplate numberTemplate codeName of the template /group of templatesShort nameCAPITAL ADEQUACYCA1C 01.00OWN FUNDSCA12C 02.00OWN FUNDS REQUIREMENTSCA23C 03.00CAPITAL RATIOSCA34C 04.00MEMORANDUM ITEMS:CA4TRANSITIONAL PROVISIONSCA55.1C 05.01TRANSITIONAL PROVISIONSCA5.15.2C 05.02GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AIDCA5.2GROUP SOLVENCYGS6.1C 06.01GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTALGS Total6.2C 06.02GROUP SOLVENCY: INFORMATION ON AFFILIATESGSCREDIT RISKCR7C 07.00CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTSCR SACREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTSCR IRB8.1C 08.01CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTSCR IRB 18.2C 08.02CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools)CR IRB 2GEOGRAPHICAL BREAKDOWNCR GB9.1C 09.01Table 9.1 – Geographical breakdown of exposures by residence of the obligor (SA exposures)CR GB 1

9.2C 09.02Table 9.2 – Geographical breakdown of exposures by residence of the obligor (IRB exposures)CR GB 29.4C 09.04Table 9.4 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rateCCBCREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTSCR EQU IRB10.1C 10.01CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTSCR EQU IRB 110.2C 10.02CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:CR EQU IRB 211C 11.00SETTLEMENT/DELIVERY RISKCR SETT13.1C 13.01CREDIT RISK: SECURITISATIONSCR SEC14C 14.00DETAILED INFORMATION ON SECURITISATIONSCR SEC Details14.1C 14.01DETAILED INFORMATION ON SECURITISATIONS BY APPROACHCR SEC Details 2OPERATIONAL RISKOPR16C 16.00OPERATIONAL RISKOPROPERATIONAL RISK: LOSSES AND RECOVERIES17.1C 17.01OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND LOSS EVENT TYPES IN THE LAST YEAROPR DETAILS 117.2C 17.02OPERATIONAL RISK: LARGE LOSS EVENTSOPR DETAILS 2MARKET RISKMKR18C 18.00MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTSMKR SA TDI19C 19.00MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONSMKR SA SEC20C 20.00MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIOMKR SA CTP21C 21.00MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIESMKR SA EQU22C 22.00MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISKMKR SA FX 23C 23.00MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIESMKR SA COM24C 24.00MARKET RISK INTERNAL MODELSMKR IM25C 25.00CREDIT VALUE ADJUSTMENT RISKCVAPRUDENT VALUATIONMKR32.1C 32.01PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIESPRUVAL 132.2C 32.02PRUDENT VALUATION: CORE APPROACHPRUVAL 232.3C 32.03PRUDENT VALUATION: MODEL RISK AVAPRUVAL 332.4C 32.04PRUDENT VALUATION: CONCENTRATED POSITIONS AVAPRUVAL 4GENERAL GOVERNMENTS EXPOSURESMKR33C 33.00GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTYGOV C 01.00 – OWN FUNDS (CA1) RowsIDItemAmount0101OWN FUNDS0151.1TIER 1 CAPITAL0201.1.1COMMON EQUITY TIER 1 CAPITAL0301.1.1.1Capital instruments eligible as CET1 Capital0401.1.1.1.1Paid up capital instruments0451.1.1.1.1Of which: Capital instruments subscribed by public authorities in emergency situations0501.1.1.1.2Memorandum item: Capital instruments not eligible0601.1.1.1.3Share premium0701.1.1.1.4(-) Own CET1 instruments0801.1.1.1.4.1(-) Direct holdings of CET1 instruments0901.1.1.1.4.2(-) Indirect holdings of CET1 instruments0911.1.1.1.4.3(-) Synthetic holdings of CET1 instruments0921.1.1.1.5(-) Actual or contingent obligations to purchase own CET1 instruments1301.1.1.2Retained earnings1401.1.1.2.1Previous years retained earnings1501.1.1.2.2Profit or loss eligible1601.1.1.2.2.1Profit or loss attributable to owners of the parent1701.1.1.2.2.2(-) Part of interim or year-end profit not eligible1801.1.1.3Accumulated other comprehensive income2001.1.1.4Other reserves2101.1.1.5Funds for general banking risk2201.1.1.6Transitional adjustments due to grandfathered CET1 Capital instruments2301.1.1.7Minority interest given recognition in CET1 capital2401.1.1.8Transitional adjustments due to additional minority interests2501.1.1.9Adjustments to CET1 due to prudential filters2601.1.1.9.1(-) Increases in equity resulting from securitised assets2701.1.1.9.2Cash flow hedge reserve2801.1.1.9.3Cumulative gains and losses due to changes in own credit risk on fair valued liabilities2851.1.1.9.4Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities

2901.1.1.9.5(-) Value adjustments due to the requirements for prudent valuation3001.1.1.10(-) Goodwill3101.1.1.10.1(-) Goodwill accounted for as intangible asset3201.1.1.10.2(-) Goodwill included in the valuation of significant investments3301.1.1.10.3Deferred tax liabilities associated to goodwill3401.1.1.11(-) Other intangible assets3501.1.1.11.1(-) Other intangible assets before deduction of deferred tax liabilities3601.1.1.11.2Deferred tax liabilities associated to other intangible assets3701.1.1.12(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities3801.1.1.13(-) IRB shortfall of credit risk adjustments to expected losses3901.1.1.14(-)Defined benefit pension fund assets4001.1.1.14.1(-)Defined benefit pension fund assets4101.1.1.14.2Deferred tax liabilities associated to defined benefit pension fund assets4201.1.1.14.3Defined benefit pension fund assets which the institution has an unrestricted ability to use4301.1.1.15(-) Reciprocal cross holdings in CET1 Capital4401.1.1.16(-) Excess of deduction from AT1 items over AT1 Capital4501.1.1.17(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1250 % risk weight4601.1.1.18(-) Securitisation positions which can alternatively be subject to a 1250 % risk weight4701.1.1.19(-) Free deliveries which can alternatively be subject to a 1250 % risk weight4711.1.1.20(-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1250 % risk weight4721.1.1.21(-) Equity exposures under an internal models approach which can alternatively be subject to a 1250 % risk weight4801.1.1.22(-) CET1 instruments of financial sector entites where the institution does not have a significant investment4901.1.1.23(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences5001.1.1.24(-) CET1 instruments of financial sector entities where the institution has a significant investment5101.1.1.25(-) Amount exceeding the 17,65 % threshold5201.1.1.26Other transitional adjustments to CET1 Capital5241.1.1.27(-) Additional deductions of CET1 Capital due to Article 3 CRR 5291.1.1.28CET1 capital elements or deductions – other5301.1.2ADDITIONAL TIER 1 CAPITAL5401.1.2.1Capital instruments eligible as AT1 Capital5501.1.2.1.1Paid up capital instruments5601.1.2.1.2Memorandum item: Capital instruments not eligible5701.1.2.1.3Share premium5801.1.2.1.4(-) Own AT1 instruments5901.1.2.1.4.1(-) Direct holdings of AT1 instruments6201.1.2.1.4.2(-) Indirect holdings of AT1 instruments6211.1.2.1.4.3(-) Synthetic holdings of AT1 instruments6221.1.2.1.5(-) Actual or contingent obligations to purchase own AT1 instruments6601.1.2.2Transitional adjustments due to grandfathered AT1 Capital instruments6701.1.2.3Instruments issued by subsidiaries that are given recognition in AT1 Capital6801.1.2.4Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries6901.1.2.5(-) Reciprocal cross holdings in AT1 Capital7001.1.2.6(-) AT1 instruments of financial sector entities where the institution does not have a significant investment7101.1.2.7(-) AT1 instruments of financial sector entities where the institution has a significant investment7201.1.2.8(-) Excess of deduction from T2 items over T2 Capital7301.1.2.9Other transitional adjustments to AT1 Capital7401.1.2.10Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)7441.1.2.11(-) Additional deductions of AT1 Capital due to Article 3 CRR7481.1.2.12AT1 capital elements or deductions – other7501.2TIER 2 CAPITAL7601.2.1Capital instruments and subordinated loans eligible as T2 Capital7701.2.1.1Paid up capital instruments and subordinated loans7801.2.1.2Memorandum item: Capital instruments and subordinated loans not eligible7901.2.1.3Share premium8001.2.1.4(-) Own T2 instruments8101.2.1.4.1(-) Direct holdings of T2 instruments8401.2.1.4.2(-) Indirect holdings of T2 instruments8411.2.1.4.3(-) Synthetic holdings of T2 instruments8421.2.1.5(-) Actual or contingent obligations to purchase own T2 instruments

8801.2.2Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans8901.2.3Instruments issued by subsidiaries that are given recognition in T2 Capital9001.2.4Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries9101.2.5IRB Excess of provisions over expected losses eligible9201.2.6SA General credit risk adjustments9301.2.7(-) Reciprocal cross holdings in T2 Capital9401.2.8(-) T2 instruments of financial sector entities where the institution does not have a significant investment9501.2.9(-) T2 instruments of financial sector entities where the institution has a significant investment9601.2.10Other transitional adjustments to T2 Capital9701.2.11Excess of deduction from T2 items over T2 Capital (deducted in AT1)9741.2.12(-) Additional deductions of T2 Capital due to Article 3 CRR9781.2.13T2 capital elements or deductions – other C 02.00 – OWN FUNDS REQUIREMENTS (CA2) RowsItemLabelAmount0101TOTAL RISK EXPOSURE AMOUNT0201Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR0301Of which : Investment firms under Article 96 paragraph 2 and Article 97 of CRR0401.1RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES0501.1.1Standardised Approach (SA)0511.1.1Of which: Additional stricter prudential requirements based on Article 124 CRR0601.1.1.1SA exposure classes excluding securitisation positions0701.1.1.1.01Central governments or central banks0801.1.1.1.02Regional governments or local authorities0901.1.1.1.03Public sector entities1001.1.1.1.04Multilateral Development Banks1101.1.1.1.05International Organisations1201.1.1.1.06Institutions1301.1.1.1.07Corporates1401.1.1.1.08Retail1501.1.1.1.09Secured by mortgages on immovable property1601.1.1.1.10Exposures in default1701.1.1.1.11Items associated with particular high risk1801.1.1.1.12Covered bonds1901.1.1.1.13Claims on institutions and corporates with a short-term credit assessment2001.1.1.1.14Collective investments undertakings (CIU)2101.1.1.1.15Equity2111.1.1.1.16Other items2401.1.2Internal ratings based Approach (IRB)2411.1.2Of which: Additional stricter prudential requirements based on Article 164 CRR2421.1.2Of which: Additional stricter prudential requirements based on Article 124 CRR2501.1.2.1IRB approaches when neither own estimates of LGD nor Conversion Factors are used2601.1.2.1.01Central governments and central banks2701.1.2.1.02Institutions2801.1.2.1.03Corporates – SME 2901.1.2.1.04Corporates – Specialised Lending3001.1.2.1.05Corporates – Other3101.1.2.2IRB approaches when own estimates of LGD and/or Conversion Factors are used3201.1.2.2.01Central governments and central banks3301.1.2.2.02Institutions3401.1.2.2.03Corporates – SME3501.1.2.2.04Corporates – Specialised Lending3601.1.2.2.05Corporates – Other3701.1.2.2.06Retail – Secured by real estate SME3801.1.2.2.07Retail – Secured by real estate non-SME3901.1.2.2.08Retail – Qualifying revolving4001.1.2.2.09Retail – Other SME4101.1.2.2.10Retail – Other non-SME4201.1.2.3Equity IRB4501.1.2.5Other non credit-obligation assets4601.1.3Risk exposure amount for contributions to the default fund of a CCP4701.1.4Securitisation positions4901.2TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY5001.2.1Settlement/delivery risk in the non-Trading book5101.2.2Settlement/delivery risk in the Trading book5201.3TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS5301.3.1Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)5401.3.1.1Traded debt instruments5501.3.1.2Equity5551.3.1.3Particular approach for position risk in CIUs5561.3.1.3Memo item: CIUs exclusively invested in traded debt instruments5571.3.1.3Memo item: CIUs invested exclusively in equity instruments or in mixed instruments5601.3.1.4Foreign Exchange5701.3.1.5Commodities5801.3.2Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)

5901.4TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )6001.4.1OpR Basic indicator approach (BIA)6101.4.2OpR Standardised (STA) / Alternative Standardised (ASA) approaches6201.4.3OpR Advanced measurement approaches (AMA)6301.5ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS6401.6TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT6501.6.1Advanced method6601.6.2Standardised method6701.6.3Based on OEM6801.7TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK6901.8OTHER RISK EXPOSURE AMOUNTS7101.8.2Of which: Additional stricter prudential requirements based on Article 458 CRR7201.8.2Of which: requirements for large exposures7301.8.2Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property7401.8.2Of which: due to intra financial sector exposures7501.8.3Of which: Additional stricter prudential requirements based on Article 459 CRR7601.8.4Of which: Additional risk exposure amount due to Article 3 CRR C 03.00 – CAPITAL RATIOS AND CAPITAL LEVELS (CA3) RowsIDItemAmount0101CET1 Capital ratio0202Surplus(+)/Deficit(-) of CET1 capital0303T1 Capital ratio0404Surplus(+)/Deficit(-) of T1 capital0505Total capital ratio0606Surplus(+)/Deficit(-) of total capitalMemorandum Items: Total SREP Capital Requirement (TSCR), Overall Capital Requirement (OCR) and Pillar 2 Guidance (P2G)13013Total SREP capital requirement (TSCR) ratio14013TSCR: to be made up of CET1 capital15013TSCR: to be made up of Tier 1 capital16014Overall capital requirement (OCR) ratio17014OCR: to be made up of CET1 capital18014OCR: to be made up of Tier 1 capital19015OCR and Pillar 2 Guidance (P2G)20015OCR and P2G: to be made up of CET1 capital21015OCR and P2G: to be made up of Tier 1 capital C 04.00 – MEMORANDUM ITEMS (CA4) RowIDItemColumnDeferred tax assest and liabilities0100101Total deferred tax assets0201.1Deferred tax assets that do not rely on future profitability0301.2Deferred tax assets that rely on future profitability and do not arise from temporary differences0401.3Deferred tax assets that rely on future profitability and arise from temporary differences0502Total deferred tax liabilities0602.1Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability0702.2Deferred tax liabilities deductible from deferred tax assets that rely on future profitability0802.2.1Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences0902.2.2Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences0932ATax overpayments and tax loss carry backs0962BDeferred Tax Assets subject to a risk weight of 250 %0972CDeferred Tax Assets subject to a risk weight of 0 %Credit risk adjustments and expected losses1003IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures1103.1Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount1203.1.1General credit risk adjustments1303.1.2Specific credit risk adjustments1313.1.3Additional value adjustments and other own funds reductions1403.2Total expected losses eligible1454IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures1504.1Specific credit risk adjustments and positions treated similarily1554.2Total expected losses eligible1605Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T21706Total gross provisions eligible for inclusion in T2 capital1807Risk weighted exposure amounts for calculating the cap to the provision eligible as T2

Thresholds for Common Equity Tier 1 deductions1908Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment200910 % CET1 threshold2101017,65 % CET1 threshold22511.1Eligible capital for the purposes of qualifying holdings outside the financial sector22611.2Eligible capital for the purposes of large exposuresInvestments in the capital of financial sector entities where the institution does not have a significant investment23012Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions24012.1Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment25012.1.1Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment26012.1.2(-) Permitted offsetting short positions in relation to the direct gross holdings included above27012.2Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment28012.2.1Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment29012.2.2(-) Permitted offsetting short positions in relation to the indirect gross holdings included above29112.3Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment29212.3.1Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment29312.3.2(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above30013Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions31013.1Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment32013.1.1Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment33013.1.2(-) Permitted offsetting short positions in relation to the direct gross holdings included above34013.2Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment35013.2.1Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 36013.2.2(-) Permitted offsetting short positions in relation to the indirect gross holdings included above36113.3Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment36213.3.1Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment36313.3.2(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above37014Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions38014.1Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment39014.1.1Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment40014.1.2(-) Permitted offsetting short positions in relation to the direct gross holdings included above41014.2Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment42014.2.1Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment43014.2.2(-) Permitted offsetting short positions in relation to the indirect gross holdings included above43114.3Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment43214.3.1Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment43314.3.2(-) Permitted offsetting short positions in relation to the synthetic gross holdings included aboveInvestments in the capital of financial sector entities where the institution has a significant investment44015Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions45015.1Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment46015.1.1Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment47015.1.2(-) Permitted offsetting short positions in relation to the direct gross holdings included above48015.2Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment49015.2.1Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment50015.2.2(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

50115.3Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment50215.3.1Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment50315.3.2(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above51016Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions52016.1Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment53016.1.1Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment54016.1.2(-) Permitted offsetting short positions in relation to the direct gross holdings included above55016.2Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment56016.2.1Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment57016.2.2(-) Permitted offsetting short positions in relation to the indirect gross holdings included above57116.3Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment57216.3.1Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment57316.3.2(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above58017Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions59017.1Direct holdings of T2 capital of financial sector entities where the institution has a significant investment60017.1.1Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment61017.1.2(-) Permitted offsetting short positions in relation to the direct gross holdings included above62017.2Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment63017.2.1Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment64017.2.2(-) Permitted offsetting short positions in relation to the indirect gross holdings included above 64117.3Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment64217.3.1Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment64317.3.2(-) Permitted offsetting short positions in relation to the synthetic gross holdings included aboveTotal risk exposure amounts of holdings not deducted from the corresponding capital category:65018Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution’s CET1 capital66019Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution’s AT1 capital67020Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution’s T2 capitalTemporary waiver from deduction from own funds68021Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived69022Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived70023Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived71024Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived72025Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived73026Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waivedCapital buffers74027Combined buffer requirement750Capital conservation buffer760Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State770Institution specific countercyclical capital buffer780Systemic risk buffer800Global Systemically Important Institution buffer810Other Systemically Important Institution bufferPillar II requirements82028Own funds requirements related to Pillar II adjustments

Additional information for investment firms83029Initial capital84030Own funds based on Fixed OverheadsAdditional information for calculation of reporting thresholds85031Non-domestic original exposures86032Total original exposuresBasel I floor870Adjustments to total own funds880Own funds fully adjusted for Basel I floor890Own funds requirements for Basel I floor900Own funds requirements for Basel I floor – SA alternative910Deficit of total capital as regards the minimum own funds requirements of the Basel I floor C 05.01 – TRANSITIONAL PROVISIONS (CA5.1) Adjustments to CET1Adjustments to AT1Adjustments to T2Adjustments included in RWAsMemorandum itemsApplicable percentageEligible amount without transitional provisionsCodeIDItem0100200300400500600101TOTAL ADJUSTMENTS0201.1GRANDFATHERED INSTRUMENTSlink to {CA1;r220}link to {CA1;r660}link to {CA1;r880}0301.1.1Grandfathered instruments: Instruments constituting state aid0401.1.1.1Instruments that qualified as own funds according to 2006/48/EC0501.1.1.2Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme0601.1.2Instruments not constituting state aidlink to {CA5.2; r010;c060}link to {CA5.2; r020;c060}link to {CA5.2; r090;c060}0701.2MINORITY INTERESTS AND EQUIVALENTSlink to {CA1;r240}link to {CA1;r680}link to {CA1;r900}0801.2.1Capital instruments and items that do not qualify as minority interests0901.2.2Transitional recognition in consolidated own funds of minority interests0911.2.3Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital0921.2.4Transitional recognition in consolidated own funds of qualifying Tier 2 capital 1001.3OTHER TRANSITIONAL ADJUSTMENTSlink to {CA1;r520}link to {CA1;r730}link to {CA1;r960}1101.3.1Unrealised gains and losses1201.3.1.1Unrealised gains1301.3.1.2Unrealised losses1331.3.1.3.Unrealised gains on exposures to central governments classified in the Available for sale category of EU-endorsed IAS391361.3.1.4.Unrealised loss on exposures to central governments classified in the Available for sale category of EU-endorsed IAS391381.3.1.5.Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities1401.3.2Deductions1501.3.2.1Losses for the current financial year1601.3.2.2Intangible assets1701.3.2.3Deferred tax assets that rely on future profitability and do not arise from temporary differences1801.3.2.4IRB shortfall of provisions to expected losses1901.3.2.5Defined benefit pension fund assets1941.3.2.5of which: Introduction of amendments to IAS 19 – positive item1981.3.2.5of which: Introduction of amendments to IAS 19 – negative item 2001.3.2.6Own instruments2101.3.2.6.1Own CET1 instruments2111.3.2.6.1of which: Direct holdings2121.3.2.6.1of which: Indirect holdings2201.3.2.6.2Own AT1 instruments2211.3.2.6.2of which: Direct holdings2221.3.2.6.2of which: Indirect holdings2301.3.2.6.3Own T2 instruments2311.3.2.6.3of which: Direct holdings2321.3.2.6.3of which: Indirect holdings2401.3.2.7Reciprocal cross holdings2501.3.2.7.1Reciprocal cross holdings in CET1 Capital2601.3.2.7.1.1Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment2701.3.2.7.1.2Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment2801.3.2.7.2Reciprocal cross holdings in AT1 Capital2901.3.2.7.2.1Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment

3001.3.2.7.2.2Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment3101.3.2.7.3Reciprocal cross holdings in T2 Capital3201.3.2.7.3.1Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment3301.3.2.7.3.2Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment3401.3.2.8Own funds instruments of financial sector entities where the institution does not have a significant investment3501.3.2.8.1CET1 instruments of financial sector entities where the institution does not have a significant investment3601.3.2.8.2AT1 instruments of financial sector entities where the institution does not have a significant investment3701.3.2.8.3T2 instruments of financial sector entities where the institution does not have a significant investment3801.3.2.9Deferred 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 investment3851.3.2.9aDeferred tax assets that are dependent on future profitability and arise from temporary differences3901.3.2.10Own funds instruments of financial sector entities where the institution has a significant investment 4001.3.2.10.1CET1 instruments of financial sector entities where the institution has a significant investment4101.3.2.10.2AT1 instruments of financial sector entities where the institution has a significant investment4201.3.2.10.3T2 instruments of financial sector entities where the institution has a significant investment4251.3.2.11Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items4301.3.3Additional filters and deductions4401.3.4Adjustments due to IFRS 9 transitional arrangements C 05.02 – GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) CA 5.2 Grandfathered instruments: Instruments not constituting State aidAmount of instruments plus related share premiumBase for calculating the limitApplicable percentageLimit(-) Amount that exceeds the limits for grandfatheringTotal grandfathered amountCodeIDItem0100200300400500600101.Instruments that qualified for point a) of Article 57 of 2006/48/EClink to {CA5.1;r060;c010)0202.Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489link to {CA5.1;r060;c020)0302.1Total instruments without a call or an incentive to redeem0402.2.Grandfathered instruments with a call and incentive to redeem0502.2.1Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of CRR after the date of effective maturity0602.2.2Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity0702.2.3Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity0802.3Excess on the limit of CET1 grandfathered instruments

0903Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490link to {CA5.1;r060;c030)1003.1Total items without an incentive to redeem1103.2Grandfathered items with an incentive to redeem1203.2.1Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity1303.2.2Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity1403.2.3Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity1503.3Excess 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 GROUPCAPITAL BUFFERSTOTAL RISK EXPOSURE AMOUNTQUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDSCONSOLIDATED OWN FUNDSCOMBINED BUFFER REQUIREMENTSCREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISKPOSITION, FX AND COMMODITIES RISKSOPERATIONAL RISKOTHER RISK EXPOSURE AMOUNTSQUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITALQUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL OF WHICH: COMMON EQUITY TIER 1OF WHICH: ADDITIONAL TIER 1OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULTOF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILLCAPITAL CONSERVATION BUFFERINSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFERCONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATESYSTEMIC RISK BUFFERGLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFEROTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFERMINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITALQUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL250260270280290300310320330340350360370380390400410420430440450470480010TOTAL C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) ENTITIES WITHIN SCOPE OF CONSOLIDATIONINFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTSINFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUPCAPITAL BUFFERSNAMECODELEI code INSTITUTION OR EQUIVALENT (YES / NO) TYPE OF ENTITYSCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP)COUNTRY CODESHARE OF HOLDING (%)TOTAL RISK EXPOSURE AMOUNTOWN FUNDSTOTAL RISK EXPOSURE AMOUNTQUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDSCONSOLIDATED OWN FUNDSCOMBINED BUFFER REQUIREMENTCREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISKPOSITION, FX AND COMMODITIES RISKSOPERATIONAL RISKOTHER RISK EXPOSURE AMOUNTSTOTAL TIER 1 CAPITALTIER 2 CAPITALCREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISKPOSITION, FX AND COMMODITIES RISKSOPERATIONAL RISKOTHER RISK EXPOSURE AMOUNTSQUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITALQUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL OF WHICH: COMMON EQUITY TIER 1OF WHICH: ADDITIONAL TIER 1OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULTOF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILLCAPITAL CONSERVATION BUFFERINSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFERCONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATESYSTEMIC RISK BUFFERGLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFEROTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFERCOMMON EQUITY TIER 1 CAPITALADDITIONAL TIER 1 CAPITALOF WHICH: QUALIFYING OWN FUNDSRELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTSOF WHICH: QUALIFYING TIER 1 CAPITALRELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTSOF WHICH: MINORITY INTERESTSRELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVESOF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITALOF WHICH: QUALIFYING TIER 2 CAPITALMINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITALQUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL010020025030035040050060070080090100110120130140150160170180190200210220230240250260270280290300310320330340350360370380390400410420430440450470480 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 EXPOSUREEXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONSCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURENET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORSCREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHODFULLY ADJUSTED EXPOSURE VALUE (E)BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORSEXPOSURE VALUERISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTORRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTORUNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)FUNDED CREDIT PROTECTIONSUBSTITUTION OF THE EXPOSURE DUE TO CRMVOLATILITY ADJUSTMENT TO THE EXPOSURE(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)0 %20 %50 %100 %OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISKOF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAIOF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT(-) GUARANTEES(-) CREDIT DERIVATIVES(-) FINANCIAL COLLATERAL: SIMPLE METHOD(-) OTHER FUNDED CREDIT PROTECTION(-) TOTAL OUTFLOWSTOTAL INFLOWS (+)(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS010030040050060070080090100110120130140150160170180190200210215220230240010TOTAL EXPOSURESCell linked to CA015of which: Defaulted exposures in exposure classes items associated with a particular high risk and equity exposures020of which: SME030of which: Exposures subject to SME-supporting factor040of which: Secured by mortgages on immovable property – Residential property050of which: Exposures under the permanent partial use of the Standardised Approach060of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementationBREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:070On balance sheet exposures subject to credit risk

080Off balance sheet exposures subject to credit riskExposures / Transactions subject to counterparty credit risk090Securities Financing Transactions100of which: centrally cleared through a QCCP110Derivatives & Long Settlement Transactions120of which: centrally cleared through a QCCP130From Contractual Cross Product NettingBREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:1400 %1502 %1604 %17010 %18020 %19035 %20050 % 21070 %22075 %230100 %240150 %250250 %260370 %2701250 %280Other risk weightsMEMORANDUM ITEMS290Exposures secured by mortgages on commercial immovable property300Exposures in default subject to a risk weight of 100 %310Exposures secured by mortgages on residential property320Exposures 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 SYSTEMORIGINAL EXPOSURE PRE CONVERSION FACTORSCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSUREEXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORSEXPOSURE VALUECREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENTSUBJECT TO DOUBLE DEFAULT TREATMENTEXPOSURE WEIGHTED AVERAGE LGD (%)EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIESEXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTORRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTORMEMORANDUM ITEMS:UNFUNDED CREDIT PROTECTION(-) OTHER FUNDED CREDIT PROTECTIONSUBSTITUTION OF THE EXPOSURE DUE TO CRM OWN ESTIMATES OF LGD’S ARE USED: UNFUNDED CREDIT PROTECTION FUNDED CREDIT PROTECTIONUNFUNDED CREDIT PROTECTIONPD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES(-) GUARANTEES(-) CREDIT DERIVATIVES(-) TOTAL OUTFLOWSTOTAL INFLOWS (+)OF WHICH: OFF BALANCE SHEET ITEMSOF WHICH: OFF BALANCE SHEET ITEMSOF WHICH: ARISING FROM COUNTERPARTY CREDIT RISKOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIESGUARANTEESCREDIT DERIVATIVES OWN ESTIMATES OF LGD’S ARE USED: OTHER FUNDED CREDIT PROTECTION ELIGIBLE FINANCIAL COLLATERALOTHER ELIGIBLE COLLATERALEXPECTED LOSS AMOUNT(-) VALUE ADJUSTMENTS AND PROVISIONSNUMBER OF OBLIGORSREAL ESTATEOTHER PHYSICAL COLLATERALRECEIVABLESOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES010020030040050060070080090100110120130140150160170180190200210220230240250255260270280290300010TOTAL EXPOSURESCell linked to CA015of which: Exposures subject to SME-supporting factorBREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:020On balance sheet items subject to credit risk030Off balance sheet items subject to credit riskExposures / Transactions subject to counterparty credit risk040Securities Financing Transactions050Derivatives & Long Settlement Transactions060From Contractual Cross Product Netting070EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL080SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL

BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:090RISK WEIGHT: 0 %10050 %11070 %120Of which: in category 113090 %140115 %150250 %160ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE170EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS180DILUTION 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 SYSTEMORIGINAL EXPOSURE PRE CONVERSION FACTORSCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSUREEXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORSEXPOSURE VALUECREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENTSUBJECT TO DOUBLE DEFAULT TREATMENTEXPOSURE WEIGHTED AVERAGE LGD (%)EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIESEXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTORRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTORMEMORANDUM ITEMS:UNFUNDED CREDIT PROTECTION(-) OTHER FUNDED CREDIT PROTECTIONSUBSTITUTION OF THE EXPOSURE DUE TO CRM OWN ESTIMATES OF LGD’S ARE USED: UNFUNDED CREDIT PROTECTION FUNDED CREDIT PROTECTIONUNFUNDED CREDIT PROTECTIONEXPECTED LOSS AMOUNT(-) VALUE ADJUSTMENTS AND PROVISIONSNUMBER OF OBLIGORSPD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES(-) GUARANTEES(-) CREDIT DERIVATIVES(-) TOTAL OUTFLOWSTOTAL INFLOWS (+)OF WHICH: OFF BALANCE SHEET ITEMSOF WHICH: OFF BALANCE SHEET ITEMSOF WHICH: ARISING FROM COUNTERPARTY CREDIT RISKOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIESGUARANTEESCREDIT DERIVATIVES OWN ESTIMATES OF LGD’S ARE USED: OTHER FUNDED CREDIT PROTECTION ELIGIBLE FINANCIAL COLLATERALOTHER ELIGIBLE COLLATERALOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIESREAL ESTATEOTHER PHYSICAL COLLATERALRECEIVABLES005010020030040050060070080090100110120130140150160170180190200210220230240250255260270280290300 C 09.01 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1) Country: ORIGINAL EXPOSURE PRE CONVERSION FACTORSObserved new defaults for the periodGeneral credit risk adjustmentsSpecific credit risk adjustmentsWrite offsCredit risk adjustments/write-offs for observed new defaultsEXPOSURE VALUERISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTORRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTORDefaulted exposures010020040050055060070075080090010Central governments or central banks020Regional governments or local authorities030Public sector entities040Multilateral Development Banks050International Organisations060Institutions070Corporates075of which: SME080Retail085of which: SME090Secured by mortgages on immovable property095of which: SME

100Exposures in default110Items associated with particularly high risk120Covered bonds130Claims on institutions and corporates with a short-term credit assessment140Collective investments undertakings (CIU)150Equity exposures160Other exposures170Total exposures C 09.02 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2) Country: ORIGINAL EXPOSURE PRE CONVERSION FACTORSObserved new defaults for the periodGeneral credit risk adjustmentsSpecific credit risk adjustmentsWrite offCredit risk adjustments/write-offs for observed new defaultsPD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)EXPOSURE WEIGHTED AVERAGE LGD (%)EXPOSURE VALUERISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTORRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOREXPECTED LOSS AMOUNTOf which: defaultedOf which: defaultedOf which: defaulted010030040050055060070080090100105110120125130010Central governments or central banks020Institutions030Corporates042 Of Which: Specialised Lending (excl. SL subject to slotting criteria) 045 Of Which: Specialised Lending subject to slotting criteria 050Of Which: SME060Retail070Secured by real estate property080SME090Non-SME100Qualifying Revolving110Other Retail120SME130Non-SME140Equity150Total 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: AmountPercentageQualitative information010020030Relevant credit exposures – Credit Risk010Exposure value under the Standardised Approach020Exposure value under the IRB ApproachRelevant credit exposures – Market risk030Sum of long and short positions of trading book exposures for Standardised Approach040Value of trading book exposures for internal modelsRelevant credit exposures – Securitisation055Exposure value of securitisation positions in the banking bookOwn funds requirements and weights070Total own funds requirements for CCB080Own funds requirements for relevant credit exposures – Credit risk090Own funds requirements for relevant credit exposures – Market risk100Own funds requirements for relevant credit exposures – Securitisation positions in the banking book110Own funds requirements weightsCountercyclical capital buffer rates120Countercyclical capital buffer rate set by the Designated Authority130Countercyclical capital buffer rate applicable for the country of the institution140Institution-specific countercyclical capital buffer rateUse of 2 % threshold150Use of 2 % threshold for general credit exposure160Use of 2 % threshold for trading book exposure C 10.01 – CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1) INTERNAL RATING SYSTEMORIGINAL EXPOSURE PRE CONVERSION FACTORSCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSUREEXPOSURE VALUEEXPOSURE WEIGHTED AVERAGE LGD (%)RISK WEIGHTED EXPOSURE AMOUNTMEMORANDUM ITEM:UNFUNDED CREDIT PROTECTIONSUBSTITUTION OF THE EXPOSURE DUE TO CRMEXPECTED LOSS AMOUNTPD ASSIGNED TO THE OBLIGOR GRADE (%)(-) GUARANTEES(-) CREDIT DERIVATIVES(-) TOTAL OUTFLOWS010020030040050060070080090010TOTAL IRB EQUITY EXPOSURESCell linked to CA020PD/LGD APRROACH: TOTAL050SIMPLE RISK WEIGHT APPROACH: TOTAL060BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:070RISK WEIGHT: 190 %080290 %090370 %100INTERNAL MODELS APPROACH110EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS

C 10.02 – CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES (CR EQU IRB 2) OBLIGOR GRADE (ROW IDENTIFIER) INTERNAL RATING SYSTEMORIGINAL EXPOSURE PRE CONVERSION FACTORSCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSUREEXPOSURE VALUEEXPOSURE WEIGHTED AVERAGE LGD (%)RISK WEIGHTED EXPOSURE AMOUNTMEMORANDUM ITEM:UNFUNDED CREDIT PROTECTIONSUBSTITUTION OF THE EXPOSURE DUE TO CRMEXPECTED LOSS AMOUNTPD ASSIGNED TO THE OBLIGOR GRADE (%)(-) GUARANTEES(-) CREDIT DERIVATIVES(-) TOTAL OUTFLOWS005010020030040050060070080090 C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT) UNSETTLED TRANSACTIONS AT SETTLEMENT PRICEPRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONSOWN FUNDS REQUIREMENTSTOTAL SETTLEMENT RISK EXPOSURE AMOUNT010020030040010Total unsettled transactions in the Non-trading BookCell linked to CA020Transactions unsettled up to 4 days (Factor 0 %)030Transactions unsettled between 5 and 15 days (Factor 8 %)040Transactions unsettled between 16 and 30 days (Factor 50 %)050Transactions unsettled between 31 and 45 days (Factor 75 %)060Transactions unsettled for 46 days or more (Factor 100 %)070Total unsettled transactions in the Trading BookCell linked to CA080Transactions unsettled up to 4 days (Factor 0 %)090Transactions unsettled between 5 and 15 days (Factor 8 %)100Transactions unsettled between 16 and 30 days (Factor 50 %)110Transactions unsettled between 31 and 45 days (Factor 75 %)120Transactions unsettled for 46 days or more (Factor 100 %) C 13.01 – CREDIT RISK: SECURITISATIONS (CR SEC) TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATEDSYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURESSECURITISATION POSITIONS(-) VALUE ADJUSTMENTS AND PROVISIONSEXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONSCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURENET 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 EXPOSURESEXPOSURE VALUEBREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTSRISK-WEIGHTED EXPOSURE AMOUNTADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHESOVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402BEFORE CAP(-) REDUCTION DUE TO RISK WEIGHT CAP(-) REDUCTION DUE TO OVERALL CAPTOTAL 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 OUTFLOWSNOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTIONORIGINAL EXPOSURE PRE CONVERSION FACTORS(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)(-) FUNDED CREDIT PROTECTIONSUBSTITUTION OF THE EXPOSURE DUE TO CRMOF WHICH: SUBJECT TO A CCF OF 0 %(-) DEDUCTED FROM OWN FUNDSSUBJECT TO RISK WEIGHTSSEC-IRBASEC-SASEC-ERBAINTERNAL ASSESSMENT APPROACHOTHER (RW=1250 %)SEC-IRBASEC-SASEC-ERBAINTERNAL ASSESSMENT APPROACHOTHER (RW=1250 %)OF WHICH: SYNTHETIC SECURITISATIONSBREAKDOWN BY RW BANDSOF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)BREAKDOWN BY RW BANDSBREAKDOWN BY CREDIT QUALITY STEPSBREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBABREAKDOWN BY RW BANDSOF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)OF WHICH: RW=1250 % (W UNKNOWN)AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASESSEC-ERBA OPTIONPOSITIONS SUBJECT TO ART. 254(2)(a) CRRPOSITIONS SUBJECT TO ART. 254(2)(b) CRRPOSITIONS SUBJECT TO ART. 254 (4) OR 258 (2) CRRFOLLOWING THE HIERARCHY OF APPROACHESAVERAGE RISK WEIGHT (%)(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G)(-) TOTAL OUTFLOWSTOTAL INFLOWS=< 20 % RW>20 % TO 50 % RW>50 % TO 100 % RW>100 % TO < 1250 % RW1250 % RW=< 20 % RW>20 % TO 50 % RW>50 % TO 100 % RW>100 % TO < 1250 % RW1250 % RW (W UNKNOWN)1250 % RW (OTHER)SHORT TERM CREDIT QUALITY STEPSLONG TERM CREDIT QUALITY STEPSAUTO LOANS, AUTO LEASES AND EQUIPMENT LEASESSEC-ERBA OPTIONPOSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRRPOSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRRPOSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) CRRFOLLOWING THE HIERARCHY OF APPROACHES=< 20 % RW>20 % TO 50 % RW>50 % TO 100 % RW>100 % TO < 1250 % RW1250 % RWCQS 1CQS 2CQS 3ALL OTHER CQSCQS 1CQS 2CQS 3CQS 4CQS 5CQS 6CQS 7CQS 8CQS 9CQS 10CQS 11CQS 12CQS 13CQS 14CQS 15CQS 16CQS 17ALL OTHER CQS0010002000300040005000600070008000900100011001200130014001500160017001800190020002100220023002400250026002700280029003000310032003300340035003600370038003900400041004200430044004500460047004800490050005100520053005400550056005700580059006000610062006300640065006600670068006900700071007200730074007500760077007800790080008100820083008400850086008700880089009000910092009300010TOTAL EXPOSURESCell linked to CA0020SECURITISATION POSITIONS0030QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0040STS EXPOSURES0050SENIOR POSITION IN SMEs SECURITISATIONS0060NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0070RE-SECURITISATION POSITIONS0080ORIGINATOR: TOTAL EXPOSURES0090SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS0100QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0110OF WHICH: SENIOR EXPOSURES0120NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0130OF WHICH: SENIOR EXPOSURES

0140SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES0150QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0160OF WHICH: SENIOR EXPOSURES0170NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0180OF WHICH: SENIOR EXPOSURES0190RE-SECURITISATION POSITIONS0200INVESTOR: TOTAL EXPOSURES0210SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS0220QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0230OF WHICH: SENIOR EXPOSURES0240NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0250OF WHICH: SENIOR EXPOSURES0260SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES0270QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0280OF WHICH: SENIOR EXPOSURES 0290NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0300OF WHICH: SENIOR EXPOSURES0310RE-SECURITISATION POSITIONS0320SPONSOR: TOTAL EXPOSURES0330SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS0340QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0350OF WHICH: SENIOR EXPOSURES0360NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0370OF WHICH: SENIOR EXPOSURES0380SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES0390QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0400OF WHICH: SENIOR EXPOSURES0410NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0420OF WHICH: SENIOR EXPOSURES0430RE-SECURITISATION POSITIONS 0440BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION: Short term0450CQS 10460CQS 20470CQS 30480ALL OTHER CQS AND UNRATED0490BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION: Long term0500CQS 10510CQS 20520CQS 30530CQS 40540CQS 50550CQS 60560CQS 70570CQS 80580CQS 9 0590CQS 100600CQS 110610CQS 120620CQS 130630CQS 140640CQS 150650CQS 160660CQS 170670ALL OTHER CQS AND UNRATED C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC Details) ROW NUMBERINTERNAL CODEIDENTIFIER OF THE SECURITISATIONINTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION? ROLE OF THE INSTITUTION: (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR) IDENTIFIER OF THE ORIGINATOR SECURITISATION TYPE: (TRADITIONAL / SYNTHETIC / ABCP PROGRAMME / ABCP TRANSACTION) ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements ?SIGNIFICANT RISK TRANSFERSECURITISATION OR RE-SECURITISATION?STS OR NON-STS SECURITISATION?SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT?RETENTIONNON ABCP PROGRAMMESSECURITISED EXPOSURESSECURITISATION STRUCTURETYPE OF RETENTION APPLIED% OF RETENTION AT REPORTING DATECOMPLIANCE WITH THE RETENTION REQUIREMENT? ORIGINATION DATE (mm/yyyy) DATE OF LATEST ISSUANCE (mm/yyyy) TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATETOTAL AMOUNTINSTITUTION’S SHARE (%)TYPE% of IRB IN APPROACH APPLIEDNUMBER OF EXPOSURESEXPOSURES IN DEFAULT W (%)COUNTRYLGD (%)EL%UL%EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS(-) VALUE ADJUSTMENTS AND PROVISIONSOWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb% OF RETAIL EXPOSURES IN IRB POOLSOWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) KsaMEMORANDUM ITEMSON-BALANCE SHEET ITEMSOFF-BALANCE SHEET ITEMS AND DERIVATIVESMATURITYMEMORANDUM ITEMSCREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIODSENIORMEZZANINEFIRST LOSSSENIORMEZZANINEFIRST LOSSFIRST FORESEEABLE TERMINATION DATEORIGINATOR’S CALL OPTIONS INCLUDED IN TRANSACTIONLEGAL FINAL MATURITY DATEATTACHMENT POINT OF RISK SOLD (%)DETACHMENT POINT OF RISK SOLD (%)RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%)AMOUNTATTACHMENT POINT (%)CQSAMOUNTNUMBER OF TRANCHESCQS OF THE MOST SUBORDINATED ONEAMOUNTDETACHMENT POINT (%)CQS005010020021110030040051060061070075446080090100120121130140150160171180181190201202203204210221222223225230231232240241242250251252260270280290291300302303304

C 14.01 – DETAILED INFORMATION ON SECURITISATIONS BY APPROACH (SEC Details Approach) Approach: ROW NUMBERINTERNAL CODEIDENTIFIER OF THE SECURITISATIONSECURITISATION POSITIONSEXPOSURE VALUE(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDSTOTAL RISK-WEIGHTED EXPOSURE AMOUNTMEMORANDUM ITEMSSECURITISATION POSITIONS - TRADING BOOKORIGINAL EXPOSURE PRE-CONVERSION FACTORSMEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE CONVERSION FACTORSRISK-WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBARISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SACTP OR NON-CTP?NET POSITIONSON-BALANCE SHEET ITEMSOFF-BALANCE SHEET ITEMS AND DERIVATIVESDIRECT CREDIT SUBSTITUTESIRS / CRSLIQUIDITY FACILITIESOTHERSENIORMEZZANINEFIRST LOSSSENIORMEZZANINEFIRST LOSSBEFORE CAP(-) REDUCTION DUE TO RISK WEIGHT CAP(-) REDUCTION DUE TO OVERALL CAPAFTER CAPRW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENTRW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENTLONGSHORT005010020310320330340350351360361370380390400411420430431432440447448450460470 C 16.00 – OPERATIONAL RISK (OPR) BANKING ACTIVITIESRELEVANT INDICATOR LOANS AND ADVANCES (IN CASE OF ASA APPLICATION) OWN FUNDS REQUIREMENT Total operational risk exposure amountAMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLEYEAR-3YEAR-2LAST YEARYEAR-3YEAR-2LAST 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)010020030040050060070071080090100110120010

1. BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) Cell linked to CA2020
2. BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES Cell linked to CA2SUBJECT TO TSA:030CORPORATE FINANCE (CF)040TRADING AND SALES (TS)050RETAIL BROKERAGE (RBr)060COMMERCIAL BANKING (CB)070RETAIL BANKING (RB)080PAYMENT AND SETTLEMENT (PS)090AGENCY SERVICES (AS)100ASSET MANAGEMENT (AM)SUBJECT TO ASA:110COMMERCIAL BANKING (CB)120RETAIL BANKING (RB)130
3. BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA Cell linked to CA2 C 17.01 – OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND LOSS EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1) MAPPING OF LOSSES TO BUSINESS LINESLOSS EVENT TYPESTOTAL LOSS EVENT TYPESMEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTIONINTERNAL FRAUDEXTERNAL FRAUDEMPLOYMENT PRACTICES AND WORKPLACE SAFETYCLIENTS, PRODUCTS & BUSINESS PRACTICESDAMAGE TO PHYSICAL ASSETSBUSINESS DISRUPTION AND SYSTEM FAILURESEXECUTION, DELIVERY & PROCESS MANAGEMENTLOWESTHIGHESTRows00100020003000400050006000700080009001000010CORPORATE FINANCE [CF]Number of loss events (new loss events)0020Gross loss amount (new loss events)0030Number of loss events subject to loss adjustments0040Loss adjustments relating to previous reporting periods0050Maximum single loss0060Sum of the five largest losses0070Total direct loss recovery0080Total recovery from insurance and other risk transfer mechanisms

0110TRADING AND SALES [TS]Number of loss events (new loss events)0120Gross loss amount (new loss events)0130Number of loss events subject to loss adjustments0140Loss adjustments relating to previous reporting periods0150Maximum single loss0160Sum of the five largest losses0170Total direct loss recovery0180Total recovery from insurance and other risk transfer mechanisms 0210RETAIL BROKERAGE [RBr]Number of loss events (new loss events)0220Gross loss amount (new loss events)0230Number of loss events subject to loss adjustments0240Loss adjustments relating to previous reporting periods0250Maximum single loss0260Sum of the five largest losses0270Total direct loss recovery0280Total recovery from insurance and other risk transfer mechanisms 0310COMMERCIAL BANKING [CB]Number of events (new loss events)0320Gross loss amount (new loss events)0330Number of loss events subject to loss adjustments0340Loss adjustments relating to previous reporting periods0350Maximum single loss0360Sum of the five largest losses0370Total direct loss recovery0380Total recovery from insurance and other risk transfer mechanisms 0410RETAIL BANKING [RB]Number of loss events (new loss events)0420Gross loss amount (new loss events)0430Number of loss events subject to loss adjustments0440Loss adjustments relating to previous reporting periods0450Maximum single loss0460Sum of the five largest losses0470Total direct loss recovery0480Total recovery from insurance and other risk transfer mechanisms 0510PAYMENT AND SETTLEMENT [PS]Number of loss events (new loss events)0520Gross loss amount (new loss events)0530Number of loss events subject to loss adjustments0540Loss adjustments relating to previous reporting periods0550Maximum single loss0560Sum of the five largest losses0570Total direct loss recovery0580Total recovery from insurance and other risk transfer mechanisms 0610AGENCY SERVICES [AS]Number of loss events (new loss events)0620Gross loss amount (new loss events)0630Number of loss events subject to loss adjustments0640Loss adjustments relating to previous reporting periods0650Maximum single loss0660Sum of the five largest losses0670Total direct loss recovery0680Total recovery from insurance and other risk transfer mechanisms 0710ASSET MANAGEMENT [AM]Number of loss events (new loss events)0720Gross loss amount (new loss events)0730Number of loss events subject to loss adjustments0740Loss adjustments relating to previous reporting periods0750Maximum single loss0760Sum of the five largest losses0770Total direct loss recovery0780Total recovery from insurance and other risk transfer mechanisms 0810CORPORATE ITEMS [CI]Number of loss events (new loss events)0820Gross loss amount (new loss events)0830Number of loss events subject to loss adjustments0840Loss adjustments relating to previous reporting periods0850Maximum single loss0860Sum of the five largest losses0870Total direct loss recovery0880Total recovery from insurance and other risk transfer mechanisms 0910TOTAL BUSINESS LINESNumber of loss events (new loss events). Of which:0911related to losses ≥ 10000 and < 200000912related to losses ≥ 20000 and < 1000000913related to losses ≥ 100000 and < 10000000914related to losses ≥ 10000000920Gross loss amount (new loss events). Of which:0921related to losses ≥ 10000 and < 200000922related to losses ≥ 20000 and < 1000000923related to losses ≥ 100000 and < 10000000924related to losses ≥ 10000000930Number of loss events subject to loss adjustments. Of which:0935of which: number of loss events with a positive loss adjustment0936of which: number of loss events with a negative loss adjustment0940Loss adjustments relating to previous reporting periods0945of which: positive loss adjustment amounts (+)0946of which: negative loss adjustment amounts (-)0950Maximum single loss0960Sum of the five largest losses0970Total direct loss recovery0980Total recovery from insurance and other risk transfer mechanisms

C 17.02 – OPERATIONAL RISK: LARGE LOSS EVENTS (OPR DETAILS 2) Event IDDate of accountingDate of occurrenceDate of discoveryLoss event typeGross lossGross loss net of direct recoveriesGROSS LOSS BY BUSINESS LINELegal Entity nameLegal Entity IDBusiness UnitDescriptionCorporate 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]Rows00100020003000400050006000700080009001000110012001300140015001600170018001900200… C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) Currency: POSITIONSOWN FUNDS REQUIREMENTSTOTAL RISK EXPOSURE AMOUNTALL POSITIONSNET POSITIONSPOSITIONS SUBJECT TO CAPITAL CHARGELONGSHORTLONGSHORT010020030040050060070010TRADED DEBT INSTRUMENTS IN TRADING BOOKCell linked to CA2011General risk012Derivatives013Other assets and liabilities020Maturity-based approach030Zone 10400 ≤ 1 month050> 1 ≤ 3 months060> 3 ≤ 6 months070> 6 ≤ 12 months080Zone 2090> 1 ≤ 2 (1,9 for cupon of less than 3 %) years100> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3 %) years110> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3 %) years 120Zone 3130> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3 %) years140> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3 %) years150> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3 %) years160> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3 %) years170> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3 %) years180> 20 (> 10,6 ≤ 12,0 for cupon of less than 3 %) years190(> 12,0 ≤ 20,0 for cupon of less than 3 %) years200(> 20 for cupon of less than 3 %) years210Duration-based approach220Zone 1230Zone 2240Zone 3250Specific risk251Own funds requirement for non-securitisation debt instruments260Debt securities under the first category in Table 1 270Debt securities under the second category in Table 1280With residual term ≤ 6 months290With a residual term > 6 months and ≤ 24 months300With a residual term > 24 months310Debt securities under the third category in Table 1320Debt securities under the fourth category in Table 1321Rated nth-to default credit derivatives325Own funds requirement for securitisation instruments330Own funds requirement for the correlation trading portfolio350Additional requirements for options (non-delta risks)360Simplified method370Delta plus approach – additional requirements for gamma risk380Delta plus approach – additional requirements for vega risk385Delta plus approach – non-continuous options and warrants390Scenario matrix approach C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) ALL POSITIONS(-) POSITIONS DEDUCTED FROM OWN FUNDSNET POSITIONSBREAKDOWN OF THE NET POSITIONS (LONG) BY RISK WEIGHTSBREAKDOWN OF THE NET POSITIONS (SHORT) BY RISK WEIGHTSBREAKDOWN OF THE NET POSITION BY APPROACHESOVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402BEFORE CAPAFTER CAP / TOTAL OWN FUND REQUIREMENTSLONGSHORT(-) LONG(-) SHORTLONGSHORT[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 %[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-IRBASEC-SASEC-ERBAINTERNAL ASSESSMENT APPROACHOTHER (RW=1250 %)WEIGHTED NET LONG POSITIONSWEIGHTED NET SHORT POSITIONS0100200300400500600610620630640650660710720730740750760770780790810820830850860870880890910920930940950960970980991011021030104402403404405406530540570601010TOTAL EXPOSURESCell linked to MKR SA TDI {325:060}020Of which: RE-SECURITISATIONS030ORIGINATOR: TOTAL EXPOSURES040SECURITISATION POSITIONS041OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT050RE-SECURITISATION POSITONS060INVESTOR: TOTAL EXPOSURES070SECURITISATION POSITIONS071OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT080RE-SECURITISATION POSITONS090SPONSOR: TOTAL EXPOSURES100SECURITISATION POSITIONS101OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT110RE-SECURITISATION POSITONS

C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) ALL POSITIONS(-) POSITIONS DEDUCTED FROM OWN FUNDSNET POSITIONSBREAKDOWN OF THE NET POSITION (LONG) BY RISK WEIGHTSBREAKDOWN OF THE NET POSITION (SHORT) BY RISK WEIGHTSBREAKDOWN OF THE NET POSITION BY APPROACHESBEFORE CAPAFTER CAPTOTAL OWN FUNDS REQUIREMENTSLONGSHORT(-) LONG(-) SHORTLONGSHORT[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-IRBASEC-SASEC-ERBAINTERNAL ASSESSMENT APPROACHOTHER (RW=1250 %)WEIGHTED NET LONG POSITIONSWEIGHTED NET SHORT POSITIONSWEIGHTED NET LONG POSITIONSWEIGHTED NET SHORT POSITIONS010020030040050060071072073074075076077078079081082086087088089091092093094095096097402403404405406410420430440450010TOTAL EXPOSURESCell linked to MKR SA TDI {330:060}SECURITISATION POSITIONS:020ORIGINATOR: TOTAL EXPOSURES030SECURITISATION POSITIONS040OTHER CTP POSITIONS050INVESTOR: TOTAL EXPOSURES060SECURITISATION POSITIONS070OTHER CTP POSITIONS080SPONSOR: TOTAL EXPOSURES090SECURITISATION POSITIONS100OTHER CTP POSITIONSN-TH-TO-DEFAULT CREDIT DERIVATIVES:110N-TH-TO-DEFAULT CREDIT DERIVATIVES120OTHER CTP POSITIONS C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) National market: POSITIONSOWN FUNDS REQUIREMENTSTOTAL RISK EXPOSURE AMOUNTALL POSITIONSNET POSITIONSPOSITIONS SUBJECT TO CAPITAL CHARGELONGSHORTLONGSHORT010020030040050060070010EQUITIES IN TRADING BOOKCell linked to CA020General risk021Derivatives022Other assets and liabilities030Exchange traded stock-index futures broadly diversified subject to particular approach040Other equities than exchange traded stock-index futures broadly diversified050Specific risk090Additional requirements for options (non-delta risks)100Simplified method110Delta plus approach – additional requirements for gamma risk120Delta plus approach – additional requirements for vega risk125Delta plus approach – non-continuous options and warrants130Scenario matrix approach C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) ALL POSITIONSNET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions) OWN FUNDS REQUIREMENTSTOTAL RISK EXPOSURE AMOUNTLONGSHORTLONGSHORTLONGSHORTMATCHED020030040050060070080090100010TOTAL POSITIONSCell linked to CA020Currencies closely correlated025of which: reporting currency030All other currencies (including CIUs treated as different currencies)040Gold050Additional requirements for options (non-delta risks)060Simplified method070Delta plus approach – additional requirements for gamma risk080Delta plus approach – additional requirements for vega risk085Delta plus approach – non-continuous options and warrants090Scenario matrix approachBREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES100Other assets and liabilities other than off-balance sheet items and derivatives110Off-balance sheet items120Derivatives

Memorandum items: CURRENCY POSITIONS130Euro140Lek150Argentine Peso160Australian Dollar170Brazilian Real180Bulgarian Lev190Canadian Dollar200Czech Koruna210Danish Krone220Egyptian Pound230Pound Sterling240Forint250Yen270Lithuanian Litas280Denar290Mexican Peso300Zloty310Rumanian Leu320Russian Ruble330Serbian Dinar 340Swedish Krona350Swiss Franc360Turkish Lira370Hryvnia380US Dollar390Iceland Krona400Norwegian Krone410Hong Kong Dollar420New Taiwan Dollar430New Zealand Dollar440Singapore Dollar450Won460Yuan Renminbi470Other480Croatian Kuna C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) ALL POSITIONSNET POSITIONSPOSITIONS SUBJECT TO CAPITAL CHARGEOWN FUNDS REQUIREMENTSTOTAL RISK EXPOSURE AMOUNTLONGSHORTLONGSHORT010020030040050060070010TOTAL POSITIONS IN COMMODITIESCell linked to CA020Precious metals (except gold)030Base metals040Agricultural products (softs)050Others060Of which energy products (oil, gas)070Maturity ladder approach080Extended maturity ladder approach090Simplified approach: All positions100Additional requirements for options (non-delta risks)110Simplified method120Delta plus approach – additional requirements for gamma risk130Delta plus approach – additional requirements for vega risk135Delta plus approach – non-continuous options and warrants140Scenario matrix approach C 24.00 – MARKET RISK INTERNAL MODELS (MKR IM) Value at Risk (VaR)STRESSED VaRINCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGEALL PRICE RISKS CAPITAL CHARGE FOR CTPOWN FUNDS REQUIREMENTSTOTAL RISK EXPOSURE AMOUNT Number of overshootings during previous 250 working days VaR Multiplication Factor (mc)SVaR Multiplication Factor (ms)ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET LONG POSITIONS AFTER CAPASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET SHORT POSITIONS AFTER CAPMULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)PREVIOUS DAY (VaRt-1)MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)LATEST AVAILABLE (SVaRt-1)12 WEEKS AVERAGE MEASURELAST MEASUREFLOOR12 WEEKS AVERAGE MEASURELAST MEASURE030040050060070080090100110120130140150160170180010TOTAL POSITIONSCell linked to CAMemorandum items: BREAKDOWN OF MARKET RISK020Traded debt instruments030TDI – General risk040TDI – Specific Risk050Equities060Equities – General risk070Equities – Specific Risk080Foreign Exchange risk090Commodities risk100Total amount for general risk110Total amount for specific risk C 25.00 – CREDIT VALUE ADJUSTMENT RISK (CVA) EXPOSURE VALUEVaRSTRESSED VaR OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT MEMORANDUM ITEMSCVA RISK HEDGE NOTIONALS of which: OTC Derivatives of which: SFT MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) PREVIOUS DAY (VaRt-1) MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)LATEST AVAILABLE (SVaRt-1)Number of counterpartiesof which: proxy was used to determine credit spreadINCURRED CVASINGLE NAME CDSINDEX CDS010020030040050060070080090100110120130140010CVA risk totalLink to {CA2;r640;c010}020Advanced methodLink to {CA2;r650;c010}030Standardised methodLink to {CA2;r660;c010}040Based on OEMLink to {CA2;r670;c010}

C 32.01 – PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1) FAIR-VALUED ASSETS AND LIABILITIESFAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1FAIR-VALUED ASSETS AND LIABILITIES INCLUDED IN ARTICLE 4(1) THRESHOLDOF WHICH: TRADING BOOKEXACTLY MATCHINGHEDGE ACCOUNTINGPRUDENTIAL FILTERSOTHERCOMMENTS FOR OTHER OF WHICH: TRADING BOOK 00100020003000400050006000700080009000101TOTAL FAIR-VALUED ASSETS AND LIABILITIES00201.1TOTAL FAIR-VALUED ASSETS00301.1.1FINANCIAL ASSETS HELD FOR TRADING00401.1.2TRADING FINANCIAL ASSETS00501.1.3NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS00601.1.4FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS00701.1.5FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME00801.1.6NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS00901.1.7NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY01001.1.8OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS01101.1.9DERIVATIVES – HEDGE ACCOUNTING 01201.1.10FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK01301.1.11INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES01401.1.12(-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE01501.2TOTAL FAIR-VALUED LIABILITIES01601.2.1FINANCIAL LIABILITIES HELD FOR TRADING01701.2.2TRADING FINANCIAL LIABILITIES01801.2.3FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS01901.2.4DERIVATIVES – HEDGE ACCOUNTING02001.2.5FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK02101.2.6HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE C 32.02 – PRUDENT VALUATION: CORE APPROACH (PRUVAL 2) CATEGORY LEVEL AVATOTAL AVAUPSIDE UNCERTAINTYFAIR-VALUED ASSETS AND LIABILITIES QTD REVENUE IPV DIFFERENCE FAIR VALUE ADJUSTMENTSDAY 1 P&LEXPLANATION DESCRIPTIONMARKET PRICE UNCERTAINTYCLOSE-OUT COSTSMODEL RISKCONCENTRATED POSITIONSFUTURE ADMINISTRATIVE COSTSEARLY TERMINATIONOPERATIONAL RISKFAIR-VALUED ASSETSFAIR-VALUED LIABILITIESMARKET PRICE UNCERTAINTYCLOSE-OUT COSTSMODEL RISK CONCENTRATED POSITIONS UNEARNED CREDIT SPREADSINVESTING AND FUNDING COSTSFUTURE ADMINIS-TRATIVE COSTSEARLY TERMINATIONOPERA- TIONAL RISKOF WHICH: CALCULATED USING THE EXPERT BASED APPROACHOF WHICH: CALCULATED USING THE EXPERT BASED APPROACHOF WHICH: CALCULATED USING THE EXPERT BASED APPROACH00100020003000400050006000700080009001000110012001300140015001600170018001900200021002200230024002500260027000101TOTAL CORE APPROACH0020OF WHICH: TRADING BOOK00301.1PORTFOLIOS UNDER ARTICLES 9 TO 17 OF COMMISION DELEGATED REGULATION (EU) 2016/101 – TOTAL CATEGORY LEVEL POST-DIVERSIFICATION00401.1.1TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION00501.1.1OF WHICH: UNEARNED CREDIT SPREADS AVA00601.1.1OF WHICH: INVESTMENT AND FUNDING COSTS AVA00701.1.1OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF DELEGATED REGULATION (EU) 2016/10100801.1.1OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF DELEGATED REGULATION (EU) 2016/10100901.1.1.1INTEREST RATES01001.1.1.2FOREIGN EXCHANGE01101.1.1.3CREDIT01201.1.1.4EQUITIES01301.1.1.5COMMODITIES

01401.1.2(-) DIVERSIFICATION BENEFITS01501.1.2.1(-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 101601.1.2.2(-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 201701.1.2.2MEMORANDUM ITEM: PRE-DIVERSIFICATION AVAS REDUCED BY MORE THAN 90 % BY DIVERSIFICATION UNDER METHOD 201801.2PORTFOLIOS UNDER THE FALL-BACK APPROACH01901.2.1100 % OF NET UNREALISED PROFIT02001.2.210 % OF NOTIONAL VALUE02101.2.325 % OF INCEPTION VALUE C 32.03 – PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3) RANKMODELRISK CATEGORYPRODUCTOBSER-VABILITYMODEL RISK AVAAGGREGATED AVA CALCULATED UNDER METHOD 2FAIR-VALUED ASSETS AND LIABILITIESIPV DIFFERENCE (OUTPUT TESTING)IPV COVERAGE (OUTPUT TESTING)FAIR VALUE ADJUSTMENTSDAY1 P&L OF WHICH: USING EXPERT APPROACH OF WHICH: AGGREGATED USING METHOD 2FV ASSETSFV LIABILITIESMODEL RISKEARLY TERMINATION0005001000200030004000500060007000800090010001100120013001400150 C 32.04 – PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4) RANKRISK CATEGORYPRODUCTUNDERLYINGCONCENTRATED POSITION SIZESIZE MEASUREMARKET VALUEPRUDENT EXIT PERIODCONCENTRATED POSITIONS AVACONCENTRATED POSITION FAIR VALUE ADJUSTMENTIPV DIFFERENCE00050010002000300040005000600070008000900100 C 33.00 – GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV) Country: Direct exposuresMemorandum item: credit derivatives sold on general government exposuresExposure valueRisk weighted exposure amountOn-balance sheet exposuresAccumulated impairmentAccumulated negative changes in fair value due to credit riskDerivativesOff-balance sheet exposuresTotal gross carrying amount of non-derivative financial assetsTotal carrying amount of non-derivative financial assets (net of short positions)Non-derivative financial assets by accounting portfoliosShort positionsDerivatives with positive fair valueDerivatives with negative fair valueNominal amountProvisionsAccumulated negative changes in fair value due to credit riskDerivatives with positive fair value – Carrying amountDerivatives with negative fair value – Carrying amountFinancial assets held for tradingTrading financial assetsNon-trading financial assets mandatorily at fair value through profit or lossFinancial assets designated at fair value through profit or lossNon-trading non-derivative financial assets measured at fair value through profit or lossFinancial assets at fair value through other comprehensive incomeNon-trading non-derivative financial assets measured at fair value to equityFinancial assets at amortised costNon-trading non-derivative financial assets measured at a cost-based methodOther non-trading non-derivative financial assetsOf which: Short positions from reverse repurchased loans classified as held for trading or trading financial assetsof which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equityof 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 lossof which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equityCarrying amountNotional amountCarrying amountNotional amount010020030040050060070080090100110120130140150160170180190200210220230240250260270280290300010Total exposuresBREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:020Exposures under the credit risk framework030Standardised Approach040Central governments050Regional governments or local authorities060Public sector entities070International Organisations075Other general government exposures subject to Standardised Approach080IRB Approach090Central governments100Regional governments or local authorities [Central governments]110Regional governments or local authorities [Institutions]120Public sector entities [Central governments]

130Public sector entities [Institutions]140International Organisations [Central governments]155Other general government exposures subject to IRB Approach160Exposures under the market risk frameworkBREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:170[ 0 – 3M [180[ 3M – 1Y [190[ 1Y – 2Y [200[ 2Y – 3Y [210[3Y – 5Y [220[5Y – 10Y [230[10Y – more

Annex

ANNEX II

Annex

ANNEX II REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS Table of Contents PART I: GENERAL INSTRUCTIONS 175

1. STRUCTURE AND CONVENTIONS 175 1.1. STRUCTURE 175 1.2. NUMBERING CONVENTION 175 1.3. SIGN CONVENTION 175 1.4. ABBREVIATIONS 175 PART II: TEMPLATE RELATED INSTRUCTIONS 176
2. CAPITAL ADEQUACY OVERVIEW (CA) 176 1.1. GENERAL REMARKS 176 1.2. C 01.00 – OWN FUNDS (CA1) 177 1.2.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 177 1.3. C 02.00 – OWN FUNDS REQUIREMENTS (CA2) 190 1.3.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 190 1.4. C 03.00 – CAPITAL RATIOS AND CAPITAL LEVELS (CA3) 195 1.4.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 195 1.5. C 04.00 – MEMORANDUM ITEMS (CA4) 198 1.5.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 198 1.6. TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5) 212 1.6.1. GENERAL REMARKS 212 1.6.2. C 05.01 – TRANSITIONAL PROVISIONS (CA5.1) 213 1.6.2.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 213 1.6.3. C 05.02 – GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) 221 1.6.3.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 221
3. GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) 223 2.1. GENERAL REMARKS 223 2.2. DETAILED GROUP SOLVENCY INFORMATION 223 2.3. INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY 224 2.4. C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL) 224 2.5. C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) 225
4. CREDIT RISK TEMPLATES 232 3.1. GENERAL REMARKS 232 3.1.1. REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT 233 3.1.2. REPORTING OF COUNTERPARTY CREDIT RISK 233 3.2. C 07.00 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA) 233 3.2.1. GENERAL REMARKS 233 3.2.2. SCOPE OF THE CR SA TEMPLATE 233 3.2.3. ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH 234 3.2.4. CLARIFICATIONS ON THE SCOPE OF SOME SPECIFIC EXPOSURE CLASSES REFERRED TO IN ARTICLE 112 CRR 237 3.2.4.1. EXPOSURE CLASS INSTITUTIONS 237 3.2.4.2. EXPOSURE CLASS COVERED BONDS 238 3.2.4.3. EXPOSURE CLASS COLLECTIVE INVESTMENT UNDERTAKINGS 238 3.2.5. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 238 3.3. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB) 245 3.3.1. SCOPE OF THE CR IRB TEMPLATE 245 3.3.2. BREAKDOWN OF THE CR IRB TEMPLATE 245 3.3.3. C 08.01 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1) 246 3.3.3.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 246

3.3.4. C 08.02 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2 TEMPLATE) 254 3.4. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN 255 3.4.1. C 09.01 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1) 255 3.4.1.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 255 3.4.2. C 09.02 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2) 258 3.4.2.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 258 3.4.3. C 09.04 – BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB) 260 3.4.3.1. GENERAL REMARKS 260 3.4.3.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 260 3.5. C 10.01 AND C 10.02 – EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2) 264 3.5.1. GENERAL REMARKS 264 3.5.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS (APPLICABLE TO BOTH CR EQU IRB 1 AND CR EQU IRB 2) 265 3.6. C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT) 267 3.6.1. GENERAL REMARKS 267 3.6.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 268 3.7. C 13.01 – CREDIT RISK – SECURITISATIONS (CR SEC) 270 3.7.1. GENERAL REMARKS 270 3.7.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 270 3.9. DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) 278 3.9.1. SCOPE OF THE SEC DETAILS TEMPLATE 278 3.9.2. BREAKDOWN OF THE SEC DETAILS TEMPLATE 279 3.9.3. C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) 279 3.9.4. C 14.01 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS 2) 289 4. OPERATIONAL RISK TEMPLATES 291 4.1. C 16.00 – OPERATIONAL RISK (OPR) 291 4.1.1. GENERAL REMARKS 291 4.1.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 292 4.2. OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS) 294 4.2.1. GENERAL REMARKS 294 4.2.2. C 17.01: OPERATIONAL RISK LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1) 295 4.2.2.1. GENERAL REMARKS 295 4.2.2.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 296 4.2.3. C 17.02: OPERATIONAL RISK: DETAILED INFORMATION ON THE LARGEST LOSS EVENTS IN THE LAST YEAR (OPR DETAILS 2) 301 4.2.3.1. GENERAL REMARKS 301 4.2.3.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 301 5. MARKET RISK TEMPLATES 302 5.1. C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) 303 5.1.1. GENERAL REMARKS 303 5.1.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 303 5.2. C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) 305 5.2.1. GENERAL REMARKS 305 5.2.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 305 5.3. C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) 307 5.3.1. GENERAL REMARKS 307 5.3.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

307 5.4. C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) 309 5.4.1. GENERAL REMARKS 309 5.4.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 310 5.5. C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) 311 5.5.1. GENERAL REMARKS 311 5.5.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 312 5.6. C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) 314 5.6.1. GENERAL REMARKS 314 5.6.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 314 5.7. C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM) 315 5.7.1. GENERAL REMARKS 315 5.7.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 315 5.8. C 25.00 – CREDIT VALUATION ADJUSTMENT RISK (CVA) 318 5.8.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 318 6. PRUDENT VALUATION (PRUVAL) 319 6.1. C 32.01 – PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1) 319 6.1.1. GENERAL REMARKS 319 6.1.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 320 6.2. C 32.02 – PRUDENT VALUATION: CORE APPROACH (PRUVAL 2) 323 6.2.1. GENERAL REMARKS 323 6.2.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 324 6.3. C 32.03 – PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3) 331 6.3.1. GENERAL REMARKS 331 6.3.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 332 6.4. C 32.04 – PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4) 334 6.4.1. GENERAL REMARKS 334 6.4.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 334 7. C 33.00 – EXPOSURES TO GENERAL GOVERNMENTS (GOV) 335 7.1. GENERAL REMARKS 335 7.2. SCOPE OF THE TEMPLATE ON EXPOSURES TO GENERAL GOVERNMENTS 336 7.3. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 336 PART I: GENERAL INSTRUCTIONS

1. STRUCTURE AND CONVENTIONS 1.1. STRUCTURE
2. Overall, the framework consists of five blocks of templates: (a) capital adequacy, an overview of regulatory capital; total risk exposure amount; (b) group solvency, an overview of the fulfilment of the solvency requirements by all individual entities included in the scope of consolidation of the reporting entity; (c) credit risk (including counterparty, dilution and settlement risks); (d) market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk); (e) operational risk.
3. For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as validation rules are included in this part of this Implementing Regulation.
4. Institutions shall report only those templates that are relevant depending on the approach used for determining own funds requirements. 1.2. NUMBERING CONVENTION
5. The document follows the labelling convention set in points 5 to 8, when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules.
6. The following general notation is followed in the instructions: {Template; Row; Column}.
7. In the case of validations inside a template, in which only data points of that template are used, notations do not refer to a template: {Row; Column}.

1. In the case of templates with only one column, only rows are referred to. {Template; Row}
2. An asterisk sign is used to express that the validation is done for the rows or columns specified before. 1.3. SIGN CONVENTION
3. Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure is expected to be reported for that item. 1.4. ABBREVIATIONS 9a. For the purposes of this Annex, Regulation (EU) No 575/2013 of the European Parliament and of the Council Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1). is referred to as CRR, Directive 2013/36/EU of the European Parliament and of the Council Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176 27.6.2013, p. 338). is referred to as CRD, Directive 2013/34/EU of the European Parliament and of the Council Directive 2013/34/EU of the European Parliament and of the Council on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19). is referred to as AD and Council Directive 86/635/EEC Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1). is referred to as BAD. PART II: TEMPLATE RELATED INSTRUCTIONS
4. CAPITAL ADEQUACY OVERVIEW (CA) 1.1. GENERAL REMARKS
5. CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and the application of CRR and CRD transitional provisions and is structured in five templates: (a) CA1 template contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of the application of CRR and CRD transitional provisions per type of capital; (b) CA2 template summarises the total risk exposures amounts as defined in Article 92(3) CRR; (c) CA3 template contains the ratios for which CRR states a minimum level, and some other related data; (d) CA4 template contains memorandums items needed, among others, for calculating items in CA1 as well as information with regard to CRD capital buffers;

(e) CA5 template contains the data needed for calculating the effect of the application of CRR transitional provisions in own funds. CA5 will cease to exist once those transitional provisions expire. 11. The templates shall be used by all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount. 12. The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital (CET1) and Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2). 13. The application of CRR and CRD transitional provisions is treated as follows in CA templates: (a) The items in CA1 are generally gross of transitional adjustments. That means that figures in CA1 items are calculated in accordance with the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of those transitional provisions. For each type of capital (i.e. CET1; AT1 and T2), there are three different items in which all the adjustments due to those transitional provisions are included. (b) Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in point (j) of Article 36(1) and point (e) of Article 56 CRR respectively), and thus the items containing those shortfalls may indirectly reflect the effect of those transitional provisions. (c) Template CA5 is exclusively used for reporting the effect due to the application of the CRR transitional provisions. 14. The treatment of Pillar II requirements can be different within the Union (Article 104(2) CRD has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting required under CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 CRR. a) The templates CA1, CA2 or CA5 only contain data on Pillar I issues. b) The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. One block focuses on the impact of amounts on the ratios, whereas the other block focuses on the ratio itself. Both blocks of ratios do not have any further link to the templates CA1, CA2 or CA5. c) The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. That cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104(2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions. 1.2. C 01.00 – OWN FUNDS (CA1) 1.2.1. Instructions concerning specific positions Commission Delegated Regulation (EU) No 241/2014 of 7 January 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for Own Funds requirements for institutions (OJ L 74, 14.3.2014, p. 8).

Article 50 CRR 030 1.1.1.1. Capital instruments eligible as CET1 capital Points (a) and (b) of Articles 26(1), Articles 27 to 30, point (f) of Article 36(1) and Article 42 CRR 040 1.1.1.1.1. Paid up capital instruments Point (a) of Article 26(1) and Articles 27 to 31 CRR Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 CRR) shall be included. The share premium related to the instruments shall not be included. Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 CRR are fulfilled. 045 1.1.1.1.1 Of which: Capital instruments subscribed by public authorities in emergency situations

Article 31 CRR Capital instruments subscribed by public authorities in emergency situations shall be included in CET1 capital if all conditions of Article 31 CRR are fulfilled. 050 1.1.1.1.2 Memorandum item: Capital instruments not eligible Points (b), (l) and (m) of Article 28(1) CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments 060 1.1.1.1.3. Share premium Point (124) of Article 4(1), point (b) of Article 26(1) CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the Paid up capital instruments. 070 1.1.1.1.4. (-) Own CET1 instruments Point (f) of Article 36(1) and Article 42 CRR Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 CRR. Holdings on shares included as Capital instruments not eligible shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.1.1.1.4 to 1.1.1.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own CET1 instruments are reported separately in item 1.1.1.1.5. 080 1.1.1.1.4.1. (-) Direct holdings of CET1 instruments Point (f) of Article 36(1) and Article 42 CRR Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group. The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in point (a) of Article 42 CRR. 090 1.1.1.1.4.2. (-) Indirect holdings of CET1 instruments Point (114) of Article 4(1), point (f) of Article 36(1) and Article 42 CRR 091 1.1.1.1.4.3. (-) Synthetic holdings of CET1 instruments Point (126) of Article 4(1), point (f) of Article 36(1) and Article 42 CRR 092 1.1.1.1.5. (-) Actual or contingent obligations to purchase own CET1 instruments Point (f) of Article 36(1) and Article 42 CRR According to point (f) of Article 36(1) CRR, own Common Equity Tier 1 instruments that an institution is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation shall be deducted. 130 1.1.1.2. Retained earnings Point (c) of Article 26(1) and Article 26(2) CRR Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits 140 1.1.1.2.1. Previous years retained earnings Point (123) of Article 4(1) and point (c) of Article 26(1) CRR Point (123) of Article 4(1) CRR defines retained earnings as Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting framework. 150 1.1.1.2.2. Profit or loss eligible Point (121) of Article 4(1), Article 26(2) and point (a) of Article 36(1) CRR

Article 26(2) CRR This row shall not present any figure if, for the reference period, the institution has reported losses, because the losses shall be completely deducted from CET1. If the institution reports profits, the part, which is not eligible according to Article 26(2) CRR (i.e. profits not audited and foreseeable charges or dividends), shall be reported. Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends. 180 1.1.1.3. Accumulated other comprehensive income Point (100) of Article 4(1) and point (d) of Article 26(1) CRR The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation, and prior to the application of prudential filters. The amount to be reported shall be determined in accordance with Article 13(4) of Commission Delegated Regulation (EU) No 241/2014. 200 1.1.1.4. Other reserves Point (117) of Article 4(1) and point (e) of Article 26(1) CRR Other reserves are defined in CRR as Reserves within the meaning of the applicable accounting framework that are required to be disclosed under that applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings. The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation. 210 1.1.1.5. Funds for general banking risk Point (112) of Article 4(1) and point (f) of Article 26(1) CRR Funds for general banking risk are defined in Article 38 BAD as Amounts which a credit institution decides to put aside to cover such risks where that is required by the particular risks associated with banking. The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation. 220 1.1.1.6. Transitional adjustments due to grandfathered CET1 Capital instruments Paragraphs 1, 2 and 3 of Article 483 and Articles 484 to 487 CRR Amount of capital instruments transitionally grandfathered as CET1. The amount to be reported is directly obtained from CA5. 230 1.1.1.7. Minority interest given recognition in CET1 capital Point (120) of Article 4(1) and Article 84 CRR Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1. 240 1.1.1.8. Transitional adjustments due to additional minority interests Articles 479 and 480 CRR Adjustments to the minority interests due to transitional provisions. This item is obtained directly from CA5. 250 1.1.1.9. Adjustments to CET1 due to prudential filters Articles 32 to 35 CRR 260 1.1.1.9.1. (-) Increases in equity resulting from securitised assets

Article 32(1) CRR The amount to be reported is the increase in the equity of the institution resulting from securitised assets, in accordance with the applicable accounting standard. For example, this item includes the future margin income that results in a gain on sale for the institution, or, for originators, the net gains that arise from the capitalisation of future income from the securitised assets that provide credit enhancement to positions in the securitisation. 270 1.1.1.9.2. Cash flow hedge reserve Point (a) of Article 33(1) CRR The amount to be reported can be positive or negative. It shall be positive if cash flow hedges result in a loss (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. The amount shall be net of any tax charge to be expected at the moment of the calculation. 280 1.1.1.9.3. Cumulative gains and losses due to changes in own credit risk on fair valued liabilities Point (b) of Article 33(1) CRR The amount to be reported can be positive or negative. It shall be positive if there is a loss due to changes in own credit risk (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. Unaudited profit shall not be included in this item. 285 1.1.1.9.4. Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities Point (c) of Article 33(1) and Article 33(2) CRR The amount to be reported can be positive or negative. It shall be positive if there is a loss due to changes in own credit risk and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. Unaudited profit shall not be included in this item. 290 1.1.1.9.5. (-) Value adjustments due to the requirements for prudent valuation Articles 34 and 105 CRR Adjustments to the fair value of exposures included in the trading book or non-trading book due to stricter standards for prudent valuation set in Article 105 CRR 300 1.1.1.10. (-) Goodwill Point (113) of Article 4(1), point (b) of Article 36(1) and Article 37 CRR 310 1.1.1.10.1. (-) Goodwill accounted for as intangible asset Point (113) of Article 4(1) and point (b) of Article 36(1) CRR Goodwill has the same meaning as under the applicable accounting standard. The amount to be reported here shall be the same as the amount that is reported in the balance sheet. 320 1.1.1.10.2. (-) Goodwill included in the valuation of significant investments Point (b) of Article 37 and Article 43 CRR 330 1.1.1.10.3. Deferred tax liabilities associated to goodwill Point (a) of Article 37 CRR Amount of deferred tax liabilities that would be extinguished if the goodwill became impaired or was derecognised under the relevant accounting standard. 340 1.1.1.11. (-) Other intangible assets Point (115) of Article 4(1), point (b) of Article 36(1) and point (a) of Article 37 CRR Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.

350 1.1.1.11.1. (-) Other intangible assets before deduction of deferred tax liabilities Point (115) of Article 4(1) and point (b) of Article 36(1) CRR Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard. The amount to be reported here shall correspond to the amount reported in the balance sheet of intangible assets, other than goodwill. 360 1.1.1.11.2. Deferred tax liabilities associated to other intangible assets Point (a) of Article 37 CRR Amount of deferred tax liabilities that would be extinguished if the intangibles assets, other than goodwill, became impaired or was derecognised under the relevant accounting standard. 370 1.1.1.12. (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities Point (c) of Article 36(1) and Article 38 CRR 380 1.1.1.13. (-) IRB shortfall of credit risk adjustments to expected losses Point (d) of Article 36(1), Articles 40, 158 and 159 CRR The amount to be reported shall not be reduced by a rise in the level of deferred tax assets that rely on future profitability, or other additional tax effect, that could occur if provisions were to rise to the level of expected losses" (Article 40 CRR). 390 1.1.1.14. (-) Defined benefit pension fund assets Point (109) of Article 4(1), point (e) of Article 36(1) and Article 41 CRR 400 1.1.1.14.1. (-) Defined benefit pension fund assets Point (109) of Article 4(1) and point (e) of Article 36(1) CRR Defined benefit pension fund assets are defined as the assets of a defined pension fund or plan, as applicable, calculated after they have been reduced by the amount of obligations under the same fund or plan. The amount to be reported here shall correspond to the amount reported in the balance sheet (if reported separately). 410 1.1.1.14.2. Deferred tax liabilities associated to defined benefit pension fund assets Points (108) and (109) of Article 4(1) and point (a) of Article 41(1) CRR Amount of deferred tax liabilities that would be extinguished if the defined benefit pension fund assets became impaired or were derecognised under the relevant accounting standard. 420 1.1.1.14.3. Defined benefit pension fund assets which the institution has an unrestricted ability to use Point (109) of Article 4(1) and point (b) of Article 41(1) CRR This item shall only present any amount if there is a prior consent of the competent authority to reduce the amount of defined benefit pension fund assets to be deducted. The assets included in this row shall receive a risk weight for credit risk requirements. 430 1.1.1.15. (-) Reciprocal cross holdings in CET1 Capital Point (122) of Article 4(1), point (g) of Article 36(1) and Article 44 CRR Holdings in CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution.

The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 1 own-fund insurance items. 440 1.1.1.16. (-) Excess of deduction from AT1 items over AT1 Capital Point (j) of Article 36(1) CRR The amount to be reported is directly taken from CA1 item Excess of deduction from AT1 items over AT1 Capital. The amount has to be deducted from CET1. 450 1.1.1.17. (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1250 % risk weight Point (36) of Article 4(1), point (k)(i) of Article 36(1) and Articles 89 to 91 CRR Qualifying holdings are defined as direct or indirect holding in an undertaking which represents 10 % or more of the capital or of the voting rights or which makes it possible to exercise a significant influence over the management of that undertaking. According to point (k)(i) of Article 36(1) CRR qualifying holdings can, alternatively, be deducted from CET1 (using this item), or be subject to a risk weight of 1250 %. 460 1.1.1.18. (-) Securitisation positions which can alternatively be subject to a 1250 % risk weight Point (b) of Articles 244(1), point (b) of Article 245(1) and Article 253(1) CRR. Securitisation positions, which are subject to a 1250 % risk weight, but alternatively are allowed to be deducted from CET1 (point (k)(ii) of Article 36(1) CRR), shall be reported in this item. 470 1.1.1.19. (-) Free deliveries which can alternatively be subject to a 1,250 % risk weight Point (k)(iii) of Article 36(1) and Article 379(3) CRR Free deliveries are subject to a 1250 % risk weight after 5 days post second contractual payment or delivery leg until the extinction of the transaction, according to the own funds requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 (point (k)(iii) of Article 36(1) CRR). In the latter case, they shall be reported in this item. 471 1.1.1.20. (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB Approach, and can alternatively be subject to a 1250 % risk weight Point (k)(iv) of Articles 36(1) and Article 153(8) CRR According to point (k)(iv) of Article 36(1) CRR, positions in a basket for which an institution cannot determine the risk weight under the IRB Approach can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1250 %. 472 1.1.1.21. (-) Equity exposures under an internal models approach which can alternatively be subject to a 1250 % risk weight Point (k)(v) of Article 36(1) and Article 155(4) CRR According to point (k)(v) of Article 36(1) CRR, equity exposures under an internal models approach can, alternatively, be deducted from CET1 (using this item), or be subject to a risk weight of 1250 %. 480 1.1.1.22. (-) CET1 instruments of financial sector entities where the institution does not have a significant investment Point (27) of Article 4(1), point (h) of Article 36(1), Articles 43 to 46, paragraphs 2 and 3 of Article 49 and Article 79 CRR

Part of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution does not have a significant investment that has to be deducted from CET1. See alternatives to deduction when consolidation is applied (paragraphs 2 and 3 of Article 49). 490 1.1.1.23. (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences Point (c) of Article 36(1); Article 38 and point (a) of Article 48(1) CRR Part of deferred tax assets that rely in future profitability and arise from temporary differences (net of the part of associated deferred tax liabilities allocated to deferred tax assets that arise from temporary differences), which according to point (b) of Article 38(5) CRR has to be deducted applying the 10 % threshold referred to in point (a) of Article 48(1) CRR. 500 1.1.1.24. (-) CET1 instruments of financial sector entities where the institution has a significant investment Point (27) of Article 4(1), point (i) of Article 36(1); Articles 43, 45, 47, point (b) of Article 48(2), paragraphs 1, 2 and 3 of Article 49 and Article 79 CRR Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold referred to in point (b) of Article 48(1) CRR. See alternatives to deduction when consolidation is applied (paragraphs 1, 2 and 3 of Article 49 CRR). 510 1.1.1.25. (-) Amount exceeding the 17,65 % threshold

Article 48(2) CRR Part of deferred tax assets that rely in future profitability and arise from temporary differences, and direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment that has to be deducted, applying the 17,65 % threshold in Article 48(2) CRR. 520 1.1.1.26. Other transitional adjustments to CET1 Capital Articles 469 to 472, 478 and 481 CRR Adjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5. 524 1.1.1.27. (-) Additional deductions of CET1 Capital due to Article 3 CRR

Article 3 CRR 529 1.1.1.28. CET1 capital elements or deductions – other This row is intended to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a CET1 capital element or a deduction from a CET1 element cannot be assigned to one of the rows 020 to 524. This row shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR). 530 1.1.2. ADDITIONAL TIER 1 CAPITAL

Article 61 CRR 540 1.1.2.1. Capital instruments eligible as AT1 Capital Point (a) of Article 51, Articles 52, 53 and 54, point (a) of Article 56 and Article 57 CRR 550 1.1.2.1.1. Paid up capital instruments Point (a) of Article 51 and Articles 52, 53 and 54 CRR The amount to be reported shall not include the share premium related to the instruments 560 1.1.2.1.2 Memorandum item: Capital instruments not eligible Points (c), (e) and (f) of Article 52(1) CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments 570 1.1.2.1.3. Share premium Point (b) of Article 51 CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the Paid up capital instruments. 580 1.1.2.1.4. (-) Own AT1 instruments Point (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR Own AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 57 CRR. Holdings on shares included as Capital instruments not eligible shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.1.2.1.4 to 1.1.2.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own AT1 instruments are reported separately in item 1.1.2.1.5. 590 1.1.2.1.4.1. (-) Direct holdings of AT1 instruments Point (144) of Article 4(1), point (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group. 620 1.1.2.1.4.2. (-) Indirect holdings of AT1 instruments Point (b)(ii) of Article 52(1), point (a) of Article 56 and Article 57 CRR 621 1.1.2.1.4.3. (-) Synthetic holdings of AT1 instruments Point (126) of Article 4(1), point (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR 622 1.1.2.1.5. (-) Actual or contingent obligations to purchase own AT1 instruments Point (a) of Article 56 and Article 57 CRR According to point (a) of Article 56 CRR, own Additional Tier 1 instruments that an institution could be obliged to purchase as a result of existing contractual obligations shall be deducted. 660 1.1.2.2. Transitional adjustments due to grandfathered AT1 Capital instruments Paragraphs 4 and 5 of Article 483, Articles 484 to 487, Articles 489 and 491 CRR Amount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5. 670 1.1.2.3. Instruments issued by subsidiaries that are given recognition in AT1 Capital Articles 83, 85 and 86 CRR Sum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1. Qualifying AT1 capital issued by a special purpose entity (Article 83 CRR) shall be included.

Article 480 CRR Adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions. This item is obtained directly from CA5. 690 1.1.2.5. (-) Reciprocal cross holdings in AT1 Capital Point (122) of Article 4(1), point (b) of Article 56 and Article 58 CRR Holdings in AT1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution. The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Additional Tier 1 own-fund insurance items. 700 1.1.2.6. (-) AT1 instruments of financial sector entities where the institution does not have a significant investment Point (27) of Article 4(1), point (c) of Article 56; Articles 59, 60 and 79 CRR Part of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution does not have a significant investment that has to be deducted from AT1. 710 1.1.2.7. (-) AT1 instruments of financial sector entities where the institution has a significant investment Point (27) of Article 4(1), point (d) of Article 56, Articles 59 and 79 CRR Holdings by the institution of AT1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment are completely deducted 720 1.1.2.8. (-) Excess of deduction from T2 items over T2 Capital Point (e) of Article 56 CRR The amount to be reported is directly taken from CA1 item ‘Excess of deduction from T2 items over T2 Capital (deducted in AT1). 730 1.1.2.9. Other transitional adjustments to AT1 Capital Articles 474, 475, 478 and 481 CRR Adjustments due to transitional provisions. The amount to be reported is directly obtained from CA5. 740 1.1.2.10. Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) Point (j) of Article 36(1) CRR Additional Tier 1 cannot be negative, but it is possible that AT1 deductions are greater than AT1 Capital plus related share premium. When this happens, AT1 has to be equal to zero, and the excess of AT1 deductions has to be deducted from CET1. With this item, it is achieved that the sum of items 1.1.2.1 to 1.1.2.12 is never lower than zero. Where this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure. 744 1.1.2.11. (-) Additional deductions of AT1 Capital due to Article 3 CRR

Article 3 CRR 748 1.1.2.12. AT1 capital elements or deductions – other This row is intended to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if an AT1 capital element or a deduction from an AT1 element cannot be assigned to one of the rows 530 to 744. This row shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope CRR). 750 1.2. TIER 2 CAPITAL

Article 71 CRR 760 1.2.1. Capital instruments and subordinated loans eligible as T2 Capital Point (a) of Article 62, Articles 63 to 65, point (a) of Article 66 and Article 67 CRR 770 1.2.1.1. Paid up capital instruments and subordinated loans Point (a) of Article 62, Articles 63 and 65 CRR The amount to be reported shall not include the share premium related to the instruments 780 1.2.1.2 Memorandum item: Capital instruments and subordinated loans not eligible Points (c), (e) and (f) of Article 63 and Article 64 CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments 790 1.2.1.3. Share premium Point (b) of Article 62 and Article 65 CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the Paid up capital instruments. 800 1.2.1.4. (-) Own T2 instruments Point (b)(i) of Article 63, point (a) of Article 66, and Article 67 CRR Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 67 CRR. Holdings on shares included as Capital instruments not eligible shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.2.1.4 to 1.2.1.4.3 do not include actual or contingent obligations to purchase own T2 instruments. Actual or contingent obligations to purchase own T2 instruments are reported separately in item 1.2.1.5. 810 1.2.1.4.1. (-) Direct holdings of T2 instruments Point (b) of Article 63, point (a) of Article 66 and Article 67 CRR Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group. 840 1.2.1.4.2. (-) Indirect holdings of T2 instruments Point (114) of Article 4(1), point (b) of Article 63, point (a) of Article 66 and Article 67 CRR 841 1.2.1.4.3. (-) Synthetic holdings of T2 instruments Point (126) of Article 4(1), point (b) of Article 63, point (a) of Article 66 and Article 67 CRR 842 1.2.1.5. (-) Actual or contingent obligations to purchase own T2 instruments Point (a) of Article 66 and Article 67 CRR According to point (a) of Article 66 CRR, own Tier 2 instruments that an institution could be obliged to purchase as a result of existing contractual obligations shall be deducted. 880 1.2.2. Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans Paragraphs 6 and 7 of Article 483, Articles 484, 486, 488, 490 and 491 CRR Amount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5. 890 1.2.3. Instruments issued by subsidiaries that are given recognition in T2 Capital Articles 83, 87 and 88 CRR Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2. Qualifying Tier 2 capital issued by a special purpose entity (Article 83 CRR) shall be included.

Article 480 CRR Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions. This item is obtained directly from CA5. 910 1.2.5. IRB Excess of provisions over expected losses eligible Point (d) of Article 62 CRR For institutions calculating risk-weighted exposure amounts in accordance with IRB Approach, this item shall contain the positive amounts resulting from comparing the provisions and expected losses which are eligible as T2 capital. 920 1.2.6. SA General credit risk adjustments Point (c) of Article 62 CRR For institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item shall contain the general credit risk adjustments eligible as T2 capital. 930 1.2.7. (-) Reciprocal cross holdings in T2 Capital Point (122) of Article 4(1), point (b) of Article 66 and Article 68 CRR Holdings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate the own funds of the institution artificially. The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 2 and Tier 3 own-fund insurance items. 940 1.2.8. (-) T2 instruments of financial sector entities where the institution does not have a significant investment Point (27) of Article 4(1), point (c) of Article 66, Articles 68 to 70 and Article 79 CRR Part of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution does not have a significant investment that has to be deducted from T2. 950 1.2.9. (-) T2 instruments of financial sector entities where the institution has a significant investment Point (27) of Article 4(1), point (d) of Article 66, Articles 68, 69 and Article 79 CRR Holdings by the institution of T2 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment shall be completely deducted. 960 1.2.10. Other transitional adjustments to T2 Capital Articles 476, 477, 478 and 481 CRR Adjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5. 970 1.2.11. Excess of deduction from T2 items over T2 Capital (deducted in AT1) Point (e) of Article 56 CRR Tier 2 cannot be negative, but it is possible that T2 deductions are greater than T2 Capital plus related share premium. When this happens, T2 shall be equal to zero, and the excess of T2 deductions shall be deducted from AT1. With this item, the sum of items 1.2.1 to 1.2.13 is never lower than zero. Where this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure. 974 1.2.12. (-) Additional deductions of T2 Capital due to Article 3 CRR

Article 3 CRR 978 1.2.13. T2 capital elements or deductions – other This row provides flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a T2 capital element or a deduction from a T2 element cannot be assigned to one of the rows 750 to 974. This row shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope CRR). 1.3. C 02.00 – OWN FUNDS REQUIREMENTS (CA2) 1.3.1. Instructions concerning specific positions RowLegal references and instructions010

1. TOTAL RISK EXPOSURE AMOUNT

Article 92(3) and Articles 95, 96 and 98 CRR 020 1 Of which: Investment firms under Article 95 paragraph 2 and Article 98 CRR For investment firms under Article 95(2) and Article 98 CRR 030 1 Of which: Investment firms under Article 96 paragraph 2 and Article 97 CRR For investment firms under Article 96(2) and Article 97 CRR 040 1.1. RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES Points (a) and (f) of Article 92(3) CRR 050 1.1.1. Standardised Approach (SA) CR SA and SEC SA templates at the level of total exposures 051 1.1.1 Of which: Additional stricter prudential requirements based on Article 124 CRR Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements as communicated to the institutions after having been consulted with EBA, in accordance with paragraphs 2 and 5 of Article 124CRR. 060 1.1.1.1. SA exposure classes excluding securitisations positions CR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 CRR, excluding securitisation positions. 070 1.1.1.1.01. Central governments or central banks See CR SA template 080 1.1.1.1.02. Regional governments or local authorities See CR SA template 090 1.1.1.1.03. Public sector entities See CR SA template 100 1.1.1.1.04. Multilateral Development Banks See CR SA template 110 1.1.1.1.05. International Organisations See CR SA template 120 1.1.1.1.06. Institutions See CR SA template 130 1.1.1.1.07. Corporates See CR SA template 140 1.1.1.1.08. Retail See CR SA template 150 1.1.1.1.09. Secured by mortgages on immovable property See CR SA template 160 1.1.1.1.10. Exposures in default See CR SA template 170 1.1.1.1.11. Items associated with particular high risk See CR SA template 180 1.1.1.1.12. Covered bonds See CR SA template 190 1.1.1.1.13. Claims on institutions and corporate with a short-term credit assessment See CR SA template 200 1.1.1.1.14. Collective investments undertakings (CIU) See CR SA template 210 1.1.1.1.15. Equity See CR SA template 211 1.1.1.1.16. Other items See CR SA template 240 1.1.2. Internal ratings based Approach (IRB) 241 1.1.2 Of which: Additional stricter prudential requirements based on Article 164 CRR Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements as communicated to the institutions after having been notified to EBA, in accordance with paragraphs 5 and 7 of Article 164 CRR. 242 1.1.2 Of which: Additional stricter prudential requirements based on Article 124 CRR Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements set by the competent authorities after having consulted EBA, as laid down in paragraphs 2 and 5 of Article 124 CRR and which are related to limits on the eligible market value of the collateral as laid down in point (d) of Article 125(2) and point (d) of Article 126(2) CRR.

250 1.1.2.1. IRB Approaches when neither own estimates of LGD nor Conversion Factors are used CR IRB template at the level of total exposures (when own estimates of LGD or CCF are not used) 260 1.1.2.1.01. Central governments and central banks See CR IRB template 270 1.1.2.1.02. Institutions See CR IRB template 280 1.1.2.1.03. Corporates – SME See CR IRB template 290 1.1.2.1.04. Corporates – Specialised Lending See CR IRB template 300 1.1.2.1.05. Corporates – Other See CR IRB template 310 1.1.2.2. IRB Approaches when own estimates of LGD and/or Conversion Factor are used CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are used) 320 1.1.2.2.01. Central governments and central banks See CR IRB template 330 1.1.2.2.02. Institutions See CR IRB template 340 1.1.2.2.03. Corporates – SME See CR IRB template 350 1.1.2.2.04. Corporates – Specialised Lending See CR IRB template 360 1.1.2.2.05. Corporates – Other See CR IRB template 370 1.1.2.2.06. Retail – secure by real estate SME See CR IRB template 380 1.1.2.2.07. Retail – secure by real estate non-SME See CR IRB template 390 1.1.2.2.08. Retail – Qualifying revolving See CR IRB template 400 1.1.2.2.09. Retail – Other SME See CR IRB template 410 1.1.2.2.10. Retail – Other non-SME See CR IRB template 420 1.1.2.3. Equity IRB See CR EQU IRB template 450 1.1.2.5. Other non credit-obligation assets The amount to be reported is the risk weighted exposure amount as calculated in accordance with Article 156 CRR. 460 1.1.3. Risk exposure amount for contributions to the default fund of a CCP Articles 307, 308 and 309 CRR 470 1.1.4. Securitisation positions See CR SEC template 490 1.2. TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY Point (c)(ii) of Article 92(3) and point (b) of Article 92(4) CRR 500 1.2.1. Settlement/delivery risk in the non-Trading book See CR SETT template 510 1.2.2. Settlement/delivery risk in the Trading book See CR SETT template 520 1.3. TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS Points (b)(i), (c)(i) and (c)(iii) of Article 92(3) and point (b) of Article 92(4) CRR 530 1.3.1. Risk exposure amount for position, foreign exchange and commodities risks under Standardised Approaches (SA) 540 1.3.1.1. Traded debt instruments MKR SA TDI template at the level of total currencies. 550 1.3.1.2. Equity MKR SA EQU template at the level of total national markets. 555 1.3.1.3. Particular approach for position risk in CIUs

Article 348(1), point (c) of Article 350(3) and point (a) of Article 364(2) CRR Total risk exposure amount for positions in CIUs if capital requirements are calculated in accordance with Article 348(1) CRR either immediately or as a consequence of the cap laid down in point (c) of Article 350(3) CRR. CRR does not explicitly assign those positions to either the interest rate risk or the equity risk. Where the particular approach laid down in the first sentence of Article 348(1) CRR is applied, the amount to be reported shall be 32 % of the net position of the CIU exposure in question, multiplied by 12,5. Where the particular approach laid down in the second sentence of Article 348(1) CRR is applied, the amount to be reported shall be the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure, multiplied by 12,5 respectively. 556 1.3.1.3. Memo item: CIUs exclusively invested in traded debt instruments Total risk exposure amount for positions in CIUs if the CIU is invested exclusively in instruments subject to interest rate risk. 557 1.3.1.3. CIUs invested exclusively in equity instruments or in mixed instruments Total risk exposure amount for positions in CIUs if the CIU is invested either exclusively in instruments subject to equity risk or in mixed instruments or if the constituents of the CIU are unknown. 560 1.3.1.4. Foreign Exchange See MKR SA FX template 570 1.3.1.5. Commodities See MKR SA COM template 580 1.3.2. Risk exposure amount for positions, foreign exchange and commodity risks under internal models (IM) See MKR IM template 590 1.4. TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR) Point (e) of Article 92(3) and point (b) of Article 92(4) CRR For investment firms under Articles 95(2) and 96(2) and Article 98 CRR, this element shall be zero. 600 1.4.1. OpR Basic Indicator approach (BIA) See OPR template 610 1.4.2. OpR Standardised (TSA)/Alternative Standardised (ASA) approaches See OPR template 620 1.4.3. OpR Advanced measurement approaches (AMA) See OPR template 630 1.5. ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS Articles 95(2) and 96(2), Article 97 and point (a) of Article 98(1) CRR Only for investment firms under Article 95(2), Article 96(2) and Article 98 CRR. See also Article 97 CRR. Investment firms under Article 96 CRR shall report the amount referred to in Article 97 multiplied by 12.5. Investment firms under Article 95 CRR shall report as follows: Where the amount referred to in point (a) of Article 95(2) CRR is greater than the amount referred to in point (b) of Article 95(2) CRR, the amount to be reported is zero. Where the amount referred to in point (b) of Article 95(2) CRR is greater than the amount referred to in point (a) of Article 95(2) CRR, the amount to be reported is the result of subtracting the latter amount from the former. 640 1.6. TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

Point (d) of Article 92(3) CRR See CVA template. 650 1.6.1. Advanced method Own funds requirements for credit valuation adjustment risk in accordance with Article 383 CRR. See CVA template. 660 1.6.2. Standardised method Own funds requirements for credit valuation adjustment risk in accordance with Article 384 CRR. See CVA template. 670 1.6.3. Based on OEM Own funds requirements for credit valuation adjustment risk in accordance with Article 385 CRR. See CVA template. 680 1.7. TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK Point (b)(ii) of Article 92(3) and Articles 395 to 401 CRR 690 1.8. OTHER RISK EXPOSURE AMOUNTS Articles 3, 458 and 459 CRR and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7. Institutions shall report the amounts needed to comply with the following: Stricter prudential requirements imposed by the Commission, in accordance with Articles 458 and 459 CRR. Additional risk exposure amounts due to Article 3 CRR. This item does not have a link to a details template. 710 1.8.2. Of which: Additional stricter prudential requirements based on Article 458 CRR

Article 3 CRR The additional risk exposure amount has to be reported. It shall only include the additional amounts (e.g. if an exposure of 100 has a risk-weight of 20 % and the institutions applies a risk weight of 50 % based on Article 3 CRR, the amount to be reported is 30). 1.4. C 03.00 – CAPITAL RATIOS AND CAPITAL LEVELS (CA3) 1.4.1. Instructions concerning specific positions Rows010

1. CET1 Capital ratio Point (a) of Article 92(2) CRR The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount. 020
2. Surplus(+)/Deficit(-) of CET1 capital This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirement set in point (a) of Article 92(1) CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio. 030
3. T1 Capital ratio Point (b) of Article 92(2) CRR The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount. 040
4. Surplus(+)/Deficit(-) of T1 capital This item shows, in absolute figures, the amount of T1 capital surplus or deficit relating to the requirement set in point (b) of Article 92(1) CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio. 050
5. Total capital ratio Point (c) of Article 92(2) CRR The total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount. 060
6. Surplus(+)/Deficit(-) of total capital This item shows, in absolute figures, the amount of own funds surplus or deficit relating to the requirement set in point (c) of Article 92(1) CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio. 130
7. Total SREP capital requirement (TSCR) ratio The sum of (i) and (ii) as follows: (i) the total capital ratio (8 %) as specified in point (c) of Article 92(1) CRR; (ii) the additional own funds requirements (Pillar 2 Requirements – P2R) ratio determined in accordance with the criteria specified in the EBA Guidelines on common procedures and methodologies for the supervisory review and evaluation process and supervisory stress testing (EBA SREP GL). This item shall reflect the total SREP capital requirement (TSCR) ratio as communicated to the institution by the competent authority. The TSCR is defined in Section 1.2 of the EBA SREP GL. Where no additional own funds requirements were communicated by the competent authority, only point (i) shall be reported. 140 13 TSCR: to be made up of CET1 capital The sum of (i) and (ii) as follows: (i) the CET1 capital ratio (4,5 %) as per point (a) of Article 92(1) CRR; (ii) the part of the P2R ratio, referred to in point (ii) of row 130, which is required by the competent authority to be held in the form of CET1 capital. Where no additional own funds requirements, to be held in the form of CET1 capital, were communicated by the competent authority, only point (i) shall be reported.

150 13 TSCR: to be made up of Tier 1 capital The sum of (i) and (ii) as follows: (i) the Tier 1 capital ratio (6 %) as per point (b) of Article 92(1) CRR; (ii) the part of P2R ratio, referred to in point (ii) of row 130, which is required by the competent authority to be held in the form of Tier 1 capital. Where no additional own funds requirements, to be held in the form of Tier 1 capital, were communicated by the competent authority, then only point (i) shall be reported. 160 14. Overall capital requirement (OCR) ratio The sum of (i) and (ii) as follows: (i) the TSCR ratio referred to in row 130; (ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD. This item shall reflect the Overall capital requirement (OCR) ratio as defined in Section 1.2 of the EBA SREP GL. Where no buffer requirement is applicable, only point (i) shall be reported. 170 14 OCR: to be made up of CET1 capital The sum of (i) and (ii) as follows: (i) the TSCR ratio to be made up of CET1 capital referred to in row 140; (ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD. Where no buffer requirement is applicable, only point (i) shall be reported. 180 14 OCR: to be made up of Tier 1 capital The sum of (i) and (ii) as follows: (i) the TSCR ratio to be made up of Tier 1 capital referred to in row 150; (ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD. Where no buffer requirement is applicable, only point (i) shall be reported. 190 15. Overall capital requirement (OCR) and Pillar 2 Guidance (P2G) ratio The sum of (i) and (ii) as follows: (i) the OCR ratio referred to in row 160; (ii) where applicable, the Pillar 2 Guidance (P2G) as defined in the EBA SREP GL. P2G shall be included only if communicated to the institution by the competent authority. Where no P2G is communicated by the competent authority, only point (i) shall be reported. 200 15 OCR and P2G: to be made up of CET1 capital The sum of (i) and (ii) as follows: (i) the OCR ratio to be made up of CET1 capital referred to in row 170; (ii) where applicable, the part of P2G, referred to in point (ii) in row 190, which is required by the competent authority to be held in the form of CET1 capital. P2G shall be included only if communicated to the institution by the competent authority. Where no P2G is communicated by the competent authority, only point (i) shall be reported. 210 15 OCR and P2G: to be made up of Tier 1 capital The sum of (i) and (ii) as follows: (i) the OCR ratio to be made up of Tier 1 capital referred to in row 180; (ii) where applicable, the part of P2G, referred to in point (ii) in row 190, which is required by the competent authority to be held in the form of Tier 1 capital. P2G shall be included only if communicated to the institution by the competent authority. Where no P2G is communicated by the competent authority, only point (i) shall be reported.

1.5. C 04.00 – MEMORANDUM ITEMS (CA4) 1.5.1. Instructions concerning specific positions Council Directive 93/6/EEC of 15 March 1993 on the capital adequacy of investments firms and credit institutions (OJ L 141, 11.6.1993, p. 1). Directive 2000/12/EC of the European Parliament and of the Council of 20 March 2000 relating to the taking up and pursuit of the business of credit institutions (OJ L 126, 26.5.2000, p. 1). Rows010

1. Total deferred tax assets The amount reported in this item shall be equal to the amount reported in the most recent verified/audited accounting balance sheet. 020 1.1. Deferred tax assets that do not rely on future profitability

Article 39(2) CRR Deferred tax assets that do not rely on future profitability, and thus are subject to the application of a risk weight. 030 1.2. Deferred tax assets that rely on future profitability and do not arise from temporary differences Point (c) of Article 36(1) and Article 38 CRR Deferred tax assets that rely on future profitability, but do not arise from temporary differences, and thus are not subject to any threshold (i.e. are completely deducted from CET1). 040 1.3. Deferred tax assets that rely on future profitability and arise from temporary differences Point (c) of Article 36(1); Article 38 and point (a) of Article 48(1) CRR Deferred tax assets that rely on future profitability and arise from temporary differences, and thus, their deduction from CET1 is subject to 10 % and 17,65 % thresholds in Article 48 CRR. 050 2. Total deferred tax liabilities The amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet. 060 2.1. Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability Paragraphs 3 and 4 of Article 38 CRR Deferred tax liabilities for which conditions in paragraphs 3 and 4 of Article 38 CRR are not met. Hence, this item shall include the deferred tax liabilities that reduce the amount of goodwill, other intangible assets or defined benefit pension fund assets required to be deducted, which are reported, respectively, in CA1 items 1.1.1.10.3, 1.1.1.11.2 and 1.1.1.14.2. 070 2.2. Deferred tax liabilities deductible from deferred tax assets that rely on future profitability

Article 38 CRR 080 2.2.1. Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences Paragraphs 3, 4 and 5 of Article 38 CRR Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, in accordance with paragraphs 3 and 4 of Article 38 CRR, and are not allocated to deferred tax assets that rely on future profitability and arise from temporary differences, as laid down in Article 38(5) CRR 090 2.2.2. Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences Paragraphs 3, 4 and 5 of Article 38 CRR Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, in accordance with paragraphs 3 and 4 of Article 38 CRR, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, as laid down in Article 38(5) CRR 093 2A Tax overpayments and tax loss carry backs

Article 48(4) CRR The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to Article 48(1) CRR, but subject to a risk weight of 250 % in accordance with Article 48(4) CRR, taking into account the effect of Article 470 CRR. The amount reported shall be the amount of DTAs before the application of the risk weight. 097 2C Deferred Tax Assets subject to a risk weight of 0 % Point (d) of Article 469(1), Article 470, Article 472(5) and Article 478 CRR The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to point (d) of Article 469(1) and Article 470 CRR, but subject to a risk weight of 0 % in accordance with Article 472(5) CRR. The amount reported shall be the amount of DTAs before the application of the risk weight. 100 3. IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures Point (d) of Article 36(1), point (d) of Article 62, Articles 158 and 159 CRR This item shall only be reported by IRB institutions. 110 3.1. Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount

Article 159 CRR This item shall only be reported by IRB institutions. 131 3.1.3. Additional value adjustments and other own funds reductions Articles 34, 110 and 159 CRR This item shall only be reported by IRB institutions. 140 3.2. Total expected losses eligible Paragraphs 5, 6 and 10 of Article 158 and Article 159 CRR This item shall only be reported by IRB institutions. Only the expected loss related to non-defaulted exposures shall be reported. 145 4. IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures Point (d) of Article 36(1), point (d) of Article 62, Articles 158 and 159 CRR This item shall only be reported by IRB institutions. 150 4.1. Specific credit risk adjustments and positions treated similarily

Article 159 CRR This item shall only be reported by IRB institutions. 155 4.2. Total expected losses eligible Paragraphs 5, 6 and 10 of Article 158, and Article 159 CRR This item shall only be reported by IRB institutions. Only the expected loss related to defaulted exposures shall be reported. 160 5. Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2 Point (d) of Article 62 CRR For IRB institutions, the excess amount of provisions (to expected losses) eligible for inclusion in Tier 2 capital is capped at 0,6 % of risk-weighted exposure amounts calculated with the IRB Approach, in accordance with point (d) of Article 62 CRR. The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 0,6 %) which is the base for calculating the cap. 170 6. Total gross provisions eligible for inclusion in T2 capital Point (c) of Article 62 CRR This item includes the general credit risk adjustments that are eligible for inclusion in T2 capital, before cap. The amount to be reported shall be gross of tax effects. 180 7. Risk weighted exposure amounts for calculating the cap to the provision eligible as T2 Point (c) of Article 62 CRR According to point (c) of Article 62 CRR, the credit risk adjustments eligible for inclusion in Tier 2 capital is capped at 1,25 % of risk-weighted exposure amounts. The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 1,25 %) which is the base for calculating the cap. 190 8. Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment Point (a) of Article 46(1) CRR This item contains the threshold up to which holdings in a financial sector entity where an institution does not have a significant investment are not deducted. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %. 200 9. 10 % CET1 threshold Points (a) and (b) of Article 48(1) CRR This item contains the 10 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %. 210 10. 17,65 % CET1 threshold

Article 48(1) CRR This item contains the 17,65 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10 % threshold. The threshold is to be calculated in such a way that the amount of the two items that is recognised does not exceed 15 % of the final Common Equity Tier 1 capital, i.e. the CET1 capital calculated after all deductions, not including any adjustment due to transitional provisions. 225 11.1. Eligible capital for the purposes of qualifying holdings outside the financial sector Point (a) of point (71) of Article 4(1) CRR 226 11.2. Eligible capital for the purposes of large exposures Point (b) of point (71) of Article 4(1) CRR 230 12. Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 44, 45, 46 and 49 CRR 240 12.1. Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 44, 45, 46 and 49 CRR 250 12.1.1. Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 44, 46 and 49 CRR Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer; b) The amounts relating to the investments for which any alternative in Article 49 is applied; and c) Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR 260 12.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 270 12.2. Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Point (114) of Article 4(1) and Articles 44 and 45 CRR 280 12.2.1. Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Point (114) of Article 4(1) and Articles 44 and 45 CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR shall not be included 290 12.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Point (114) of Article 4(1) and Article 45 CRR Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 291 12.3.1. Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Point (126) of Article 4(1) and Articles 44 and 45 CRR 292 12.3.2. Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Point (126) of Article 4(1) and Articles 44 and 45 CRR 293 12.3.3. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Point (126) of Article 4(1) and Article 45 CRR 300 13. Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 58, 59 and 60 CRR 310 13.1. Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 58, 59 and Article 60(2) CRR 320 13.1.1. Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Article 58 and Article 60(2) CRR Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer; and b) Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 56 CRR 330 13.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 59 CRR Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 340 13.2. Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Point (114) of Article 4(1) and Articles 58 and 59 CRR 350 13.2.1. Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Point (114) of Article 4(1) and Articles 58 and 59 CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to point (b) of Article 56 CRR shall not be included. 360 13.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Point (114) of Article 4(1) and Article 59 CRR Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 361 13.3. Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Point (126) of Article 4(1) and Articles 58 and 59 CRR 362 13.3.1. Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Point (126) of Article 4(1) and Articles 58 and 59 CRR 363 13.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Point (126) of Article 4(1) and Article 59 CRR 370 14. Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 68, 69 and 70 CRR 380 14.1. Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 68 and 69 and Article 70(2) CRR 390 14.1.1. Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Article 68 and Article 70(2) CRR Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer; and b) Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR 400 14.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 69 CRR Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 410 14.2. Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment Point (114) of Article 4(1) and Articles 68 and 69 CRR 420 14.2.1. Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment Point (114) of Article 4(1) and Articles 68 and 69 CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings in accordance with Article 66 point (b) CRR shall not be included 430 14.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Point (114) of Article 4(1) and Article 69 CRR Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 431 14.3. Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment Point (126) of Article 4(1) and Articles 68 and 69 CRR 432 14.3.1. Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment Point (126) of Article 4(1) and Articles 68 and 69 CRR 433 14.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Point (126) of Article 4(1) and Article 69 CRR 440 15. Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 44, 45, 47 and 49 CRR 450 15.1. Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 44, 45, 47 and 49 CRR 460 15.1.1. Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 44, 45, 47 and 49 CRR Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer; b) The amounts relating to the investments for which any alternative in Article 49 is applied; and c) Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR 470 15.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 45 CRR Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 480 15.2. Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment Point (114) of Article 4(1) and Articles 44 and 45 CRR 490 15.2.1. Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment Point (114) of Article 4(1) and Articles 44 and 45 CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR shall not be included. 500 15.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Point (114) of Article 4(1) and Article 45 CRR Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 501 15.3. Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment Point (126) of Article 4(1) and Articles 44 and 45 CRR 502 15.3.1. Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment Point (126) of Article 4(1) and Articles 44 and 45 CRR 503 15.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Point (126) of Article 4(1) and Article 45 CRR 510 16. Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 58 and 59 CRR 520 16.1. Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 58 and 59 CRR 530 16.1.1. Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

Article 58 CRR Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer (point (d) of Article 56 CRR); and b) Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 56 CRR. 540 16.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 59 CRR Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 550 16.2. Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment Point (114) of Article 4(1) and Articles 58 and 59 CRR 560 16.2.1. Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment Point (114) of Article 4(1) and Articles 58 and 59 CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 56 CRR shall not be included. 570 16.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Point (114) of Article 4(1) and Article 59 CRR Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 571 16.3. Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment Point (126) of Article 4(1) and Articles 58 and 59 CRR 572 16.3.1. Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment Point (126) of Article 4(1) and Articles 58 and 59 CRR 573 16.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Point (126) of Article 4(1) and Article 59 CRR 580 17. Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 68 and 69 CRR 590 17.1. Direct holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 68 and 69 CRR 600 17.1.1. Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment

Article 68 CRR Direct holdings of T2 capital of financial sector entities where the institution has a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer (point (d) of Article 66 CRR); and b) Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR 610 17.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 69 CRR Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 620 17.2. Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment Point (114) of Article 4(1) and Articles 68 and 69 CRR 630 17.2.1. Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment Point (114) of Article 4(1) and Articles 68 and 69 CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR shall not be included 640 17.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Point (114) of Article 4(1) and Article 69 CRR Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 641 17.3. Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment Point (126) of Article 4(1) and Articles 68 and 69 CRR 642 17.3.1. Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment Point (126) of Article 4(1) and Articles 68 and 69 CRR 643 17.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Point (126) of Article 4(1) and Article 69 CRR 650 18. Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution’s CET1 capital Articles 46(4), 48(4) and 49(4) CRR 660 19. Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution’s AT1 capital

Article 79 CRR A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, where it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that those instruments shall also be reported on item 12.1. 690 22. Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

Article 79 CRR A competent authority may waive the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that those instruments shall also be reported on item 15.1. 700 23. Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

Article 79 CRR A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 13.1. 710 24. Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

Article 79 CRR A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 16.1. 720 25. Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

Article 79 CRR A competent authority may waive the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that those instruments shall also be reported on item 17.1. 740 27. Combined buffer requirement Point (6) of Article 128 CRD 750 Capital conservation buffer Point (1) of Article 128 and Article 129 CRD In accordance with Article 129(1) CRD, the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this row. 760 Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State Point (d)(iv) of Article 458(2) CRR In this row, the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested in accordance with Article 458 CRR in addition to the capital conservation buffer, shall be reported. The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date. 770 Institution specific countercyclical capital buffer Point (2) of Article 128 and Articles 130, 135 to 140 CRD The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date. 780 Systemic risk buffer Point (5) of Article 128, Articles 133 and 134 CRD The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date. 800 Global Systemically Important Institution buffer Point (3) of Article 128 and Article 131 CRD The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date. 810 Other Systemically Important Institution buffer Point (4) Article 128 and Article 131 CRD The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date. 820 28. Own funds requirements related to Pillar II adjustments

Article 104(2) CRD. If a competent authority decides that an institution has to calculate additional own funds requirements for Pillar II reasons, those additional own funds requirements shall be reported in this row. 830 29. Initial capital Articles 12 and 28 to 31 CRD and Article 93 CRR 840 30. Own funds based on Fixed Overheads Point (b) of Article 96(2), Article 97 and point (a) of Article 98(1) CRR 850 31. Non-domestic original exposures Information necessary to calculate the threshold for reporting of the CR GB template in accordance with point (4) of Article 5(a) of this Implementing Regulation. The calculation of the threshold shall be done at the basis of the original exposure pre-conversion factor. Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. 860 32. Total original exposures Information necessary to calculate the threshold for reporting of the CR GB template in accordance with point (4) of Article 5(a)of this Implementing Regulation. The calculation of the threshold shall be done at the basis of the original exposure pre-conversion factor Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. 870 Adjustments to total own funds

Article 500(4) CRR Total own funds pursuant to CRR adjusted as required by Article 500(4) CRR (i.e. fully adjusted to reflect differences in the calculation of own funds under Council Directive 93/6/EEC and Directive 2000/12/EC of the European Parliament and of the Council as those Directives stood prior to 1 January 2007 and the calculation of own funds under CRR deriving from the separate treatments of expected loss and unexpected loss under Chapter 3 of Title II of Part Three CRR) have to be reported in this position. If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty. 890 Own funds requirements for Basel I floor Point (b) of Article 500(1) CRR The amount of own funds required by point (b) of Article 500(1) CRR to be held (i.e. 80 % of the total minimum amount of own funds that the institution would be required to hold under Article 4 of Directive 93/6/EEC and Directive 2000/12/EC has to be reported in this position. 900 Own funds requirements for Basel I floor – SA alternative Paragraphs 2 and 3 of Article 500 CRR The amount of own funds required by Article 500(2) CRR to be hold (i.e. 80 % of the own funds that the institution would be required to hold under Article 92 CRR calculating risk-weighted exposure amounts in accordance with Chapter 2 of Title II of Part Three and Chapters 2 and 3 of Title III of Part Three CRR, as applicable, instead of in accordance with Chapter 3 of Title II of Part Three, or Chapter 4 of Title III of Part Three CRR, as applicable) has to be reported in this position. 910 Deficit of total own funds as regards the own funds requirements of the Basel I floor or SA alternative Point (b) of Article 500(1) and Article 500(2) CRR This row has to be filled with: where point (b) of Article 500(1) CRR is applied and row 880 < row 890: the difference between row 890 and row 880; or where Article 500(2) CRR is applied and row 010 of C 01.00 < row 900 of C 04.00: the difference between row 900 of C 04.00 and row 010 of C 01.00. 1.6. TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA5) 1.6.1. General remarks 15. CA5 summarises the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491 CRR. 16. CA5 is structured as follows: (a) Template 5.1 summarises the total adjustments which need to be made to the different components of own funds (reported in CA1 in accordance with the final provisions) as a consequence of the application of the transitional provisions. The elements of this template are presented as adjustments to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions. (b) Template 5.2 provides further details on the calculation of those grandfathered instruments which do not constitute state aid. 17. Institutions shall report in the first four columns the adjustments to Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital as well as the amount to be treated as risk weighted assets. Institutions are also required to report the applicable percentage in column 050 and the eligible amount without the recognition of transitional provisions in column 060.

1. Institutions shall only report elements in CA5 during the period where transitional provisions laid down in Part Ten CRR apply.
2. Some of the transitional provisions require a deduction from Tier 1. If this is the case the residual amount of a deduction or deductions is applied to Tier 1 and there is insufficient AT1 to absorb this amount then the excess shall be deducted from CET1. 1.6.2. C 05.01 – TRANSITIONAL PROVISIONS (CA5.1)
3. Institutions shall report in CA5.1 template the transitional provisions to own funds components as laid down in Articles 465 to 491 CRR, compared to applying the final provisions laid down in Title II of Part Two CRR.
4. Institutions shall report in rows 020 to 060 information about the transitional provisions of grandfathered instruments. The figures to be reported in columns 010 to 030 of row 060 of CA5.1 can be derived from the respective sections of CA5.2.
5. Institutions shall report in rows 070 to 092 information about the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 CRR).
6. In rows 100 onwards institutions shall report information about the transitional provisions of unrealised gains and losses, deductions as well as additional filters and deductions.
7. There might be cases where the transitional deductions of CET1, AT1 or T2 capital exceed the CET1, AT1 or T2 capital of an institution. That effect – if it results from transitional provisions – shall be shown in the CA1 template using the respective cells. As a consequence, the adjustments in the columns of the CA5 template shall not include any spill-over effects in the case of insufficient capital available. 1.6.2.1. Instructions concerning specific positions Columns010 Adjustments to CET1 020 Adjustments to AT1 030 Adjustments to T2 040 Adjustments included in RWAs Column 040 includes the relevant amounts adjusting the total risk exposure amount of Article 92(3) CRR due to transitional provisions. The amounts reported shall consider the application of provisions of Chapter 2 or 3 of Title II of Part Three or of Title IV of Part Three in accordance with Article 92(4) CRR. That means that transitional amounts subject to Chapter 2 or 3 of Title II of Part Three shall be reported as risk weighted exposure amounts, whereas transitional amounts subject to Title IV of Part Three shall represent the own funds requirements multiplied by 12,5. Whereas columns 010 to 030 have a direct link to the CA1 template, the adjustments to the total risk exposure amount do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the total risk exposure amount, those adjustments shall be included directly in the CR SA, CR IRB, CR EQU IRB, MKR SA TDI, MKR SA EQU or MKR IM. Additionally, those effects shall be reported in column 040 of CA5.1. As a consequence, those amounts shall be memorandum items only.

050 Applicable percentage 060 Eligible amount without transitional provisions Column 060 includes the amount of each instrument prior the application of transitional provisions, i.e. the basis amount relevant to calculate the adjustments. Rows010

1. Total adjustments This row reflects the overall effect of transitional adjustments in the different types of capital, plus the risk weighted amounts arising from those adjustments 020 1.1. Grandfathered instruments Articles 483 to 491 CRR This row reflects the overall effect of instruments transitionally grandfathered in the different types of capital. 030 1.1.1. Grandfathered instruments: Instruments constituting state aid

Article 483 CRR 040 1.1.1.1. Instruments that qualified as own funds according to 2006/48/EC Paragraphs 1, 2, 4 and 6 of Article 483 CRR 050 1.1.1.2. Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme Paragraphs 1, 3, 5, 7 and 8 of Article 483CRR 060 1.1.2. Instruments not constituting state aid The amounts to be reported shall be obtained from column 060 of CA5.2 template 070 1.2. Minority interests and equivalents Articles 479 and 480 CRR This row reflects the effects of transitional provisions in the minority interests eligible as CET1; the qualifying T1 instruments eligible as consolidated AT1; and the qualifying own funds eligible as consolidated T2. 080 1.2.1. Capital instruments and items that do not qualify as minority interests Articles 479 CRR The amount to be reported in column 060 of this row shall be the amount qualifying as consolidated reserves in accordance with prior regulation. 090 1.2.2. Transitional recognition in consolidated own funds of minority interests Articles 84 and 480 CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions. 091 1.2.3. Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital Articles 85 and 480 CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions. 092 1.2.4. Transitional recognition in consolidated own funds of qualifying Tier 2 capital Articles 87 and 480 CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions. 100 1.3. Other transitional adjustments Articles 467 to 478 and Article 481 CRR This row reflects the overall effect of transitional adjustments in the deduction to different types of capital, unrealised gains and losses, additional filters and deductions plus the risk weighted amounts arising from these adjustments. 110 1.3.1. Unrealised gains and losses Articles 467 and 468 CRR This row reflects the overall effect of transitional provisions on unrealised gains and losses measured at fair value. 120 1.3.1.1. Unrealised gains

Article 36(1) and Articles 469 to 478 CRR This row reflects the overall effect of transitional provisions on deductions. 150 1.3.2.1. Losses for the current financial year Point (a) of Article 36(1), Articles 469(1) and 472(3) and Article 478 CRR The amount to be reported in column 060 of this row shall be the original deduction in accordance with point (a) of Article 36(1) CRR. Where firms have only been required to deduct material losses: where the total interim net loss was material, the full residual amount would be deducted from Tier 1, or where the whole total interim net loss was not material, no deduction of residual amount would be made. 160 1.3.2.2. Intangible assets Point (b) of Article 36(1), Articles 469(1) and 472(4) and Article 478 CRR When determining the amount of intangible assets to be deducted, institutions shall take into account the provisions of Article 37 CRR. The amount to be reported in column 060 of this row shall be the original deduction in accordance with point (b) of Article 36(1) CRR. 170 1.3.2.3. Deferred tax assets that rely on future profitability and do not arise from temporary differences Point (c) of Article 36(1), Articles 469(1) and 472(5) and Article 478 CRR When determining the amount of the above-mentioned deferred tax assets (DTA) to be deducted, institutions shall take into account the provisions of Article 38 CRR relating to the reduction of DTA by deferred tax liabilities. The amount to be reported in column 060 of this row: Total amount in accordance with Article 469(1) CRR. 180 1.3.2.4. IRB shortfall of provisions to expected losses Point (d) of Articles 36(1), Articles 469(1) and 472(6) and Article 478 CRR When determining the amount of the above-mentioned IRB shortfall of provisions to expected losses to be deducted, institutions shall take into account the provisions of Article 40 CRR. The amount to be reported in column 060 of this row: Original deduction in accordance with point (d) of Article 36(1) CRR 190 1.3.2.5. Defined benefit pension fund assets Point (e) of Article 33(1), Articles 469(1) and 472(7), Articles 473 and 478 CRR When determining the amount of the above-mentioned defined benefit pension fund assets to be deducted, institutions shall take into account the provisions of Article 41 CRR. The amount to be reported in column 060 of this row: Original deduction in accordance with point (e) of Article 36(1)CRR 194 1.3.2.5. of which: Introduction of amendments to IAS 19 – positive item

Article 473 CRR 200 1.3.2.6. Own instruments Point (f) of Article 36(1), Articles 469(1) and 472(8) and Article 478 CRR The amount to be reported in column 060 of this row: Original deduction in accordance with point (f) of Article 36(1)CRR. 210 1.3.2.6.1. Own CET1 instruments Point (f) of Article 36(1), Articles 469(1) and 472(8) and Article 478 CRR When determining the amount of the above-mentioned Own Common Equity Tier 1 instruments to be deducted, institutions shall take into account Article 42 CRR. Given that the treatment of the residual amount differs depending upon the nature of the instrument, institutions shall break down holdings in own Common Equity instruments into direct and indirect holdings. The amount to be reported in column 060 of this row: Original deduction in accordance with point (f) of Article 36(1) CRR. 211 1.3.2.6.1 of which: Direct holdings Point (b) of Article 469(1) and point (a) of Article 472(8) CRR The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation. 212 1.3.2.6.1 of which: Indirect holdings Point (b) of Article 469(1) and point (b) of Article 472(8) CRR The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation. 220 1.3.2.6.2. Own AT1 instruments Point (a) of Article 56, Article 474 and Article 475(2) and Article 478 CRR When determining the amount of the above-mentioned holdings to be deducted, institutions shall take into account the provisions of Article 57 CRR. Given that the treatment of the residual amount differs depending upon the nature of the instrument (Article 475(2) CRR), institutions shall break down the above-mentioned holdings into direct and indirect own Additional Tier 1 holdings. The amount to be reported in column 060 of this row: Original deduction in accordance with point (a) of Article 56CRR. 221 1.3.2.6.2 of which: Direct holdings The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, point (b) of Article 474 and point (a) of Article 475(2) CRR. 222 1.3.2.6.2 of which: Indirect holdings The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, point (b) of Article 474 and point (b) of Article 475(2) CRR. 230 1.3.2.6.3. Own T2 instruments Point (a) of Article 66, Article 476, Article 477(2) and Article 478 CRR When determining the amount of the holdings to be deducted, institutions shall take into account the provisions of Article 67 CRR. Given that the treatment of the residual amount differs depending upon the nature of the instrument (Article 477(2) CRR), institutions shall break down the above-mentioned holdings according to direct and indirect own Tier 2 holdings.

The amount to be reported in column 060 of this row: Original deduction in accordance with point (a) of Article 66 CRR. 231 of which: Direct holdings The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, point (b) of Article 476 and point (a) of Article 477(2) CRR. 232 of which: Indirect holdings The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, point (b) of Article 476 and point (b) of Article 477(2) CRR. 240 1.3.2.7. Reciprocal cross holdings Given that the treatment of the residual amount differs depending whether the holding of Common Equity Tier 1, Additional Tier 1 or Tier 2 in the financial sector entity is to be considered being significant or not (Articles 472(9), 475(3) and 477(3) CRR), institutions shall break down reciprocal cross holdings according to significant investments and non-significant investments. 250 1.3.2.7.1. Reciprocal cross holdings in CET1 Capital Point (g) of Article 36(1), Articles 469(1) and 472(9) and Article 478 CRR The amount to be reported in column 060 of this row: Original deduction in accordance with point (g) of Article 36(1)CRR. 260 1.3.2.7.1.1. Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment Point (g) of Article 36(1), Article 469(1), point (a) of Article 472(9) and Article 478 CRR The amount to be reported in column 060 of this row: Residual amount in accordance with point (b) of Article 469(1) CRR. 270 1.3.2.7.1.2. Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment Point (g) of Article 36(1), Article 469(1), point (b) of Article 472(9) and Article 478 CRR The amount to be reported in column 060 of this row: Residual amount in accordance with point (b) of Article 469(1) CRR 280 1.3.2.7.2. Reciprocal cross holdings in AT1 Capital Point (b) of Article 56, Article 474, Article 475(3) and Article 478 CRR The amount to be reported in column 060 of this row: Original deduction in accordance with point (b) of Article 56 CRR 290 1.3.2.7.2.1. Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment Point (b) of Article 56, Article 474, point (a) of Article 475(3) and Article 478 CRR The amount to be reported in column 060 of this row: Residual amount in accordance with Article 475(3) CRR 300 1.3.2.7.2.2. Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment Point (b) of Article 56, Article 474, point (b) of Article 475(3) and Article 478 CRR The amount to be reported in column 060 of this row: Residual amount in accordance with Article 475(3) CRR.

310 1.3.2.7.3. Reciprocal cross holdings in T2 Capital Point (b) of Article 66, Article 476, Article 477(3) and Article 478 CRR The amount to be reported in column 060 of this row: Original deduction in accordance with point (b) of Article 66 CRR 320 1.3.2.7.3.1. Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment Point (b) of Article 66, Article 476, point (a) of Article 477(3) and Article 478 CRR The amount to be reported in column 060 of this row: Residual amount in accordance with Article 477(3) CRR. 330 1.3.2.7.3.2. Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment Point (b) of Article 66, Article 476, point (a) of Article 477(3) and Article 478 CRR The amount to be reported in column 060 of this row: Residual amount in accordance with Article 477(3) CRR. 340 1.3.2.8. Own funds instruments of financial sector entities where the institution does not have a significant investment 350 1.3.2.8.1. CET1 instruments of financial sector entities where the institution does not have a significant investment Point (h) of Article 36(1), Articles 469(1) and 472(10) and Article 478 CRR The amount to be reported in column 060 of this row: Original deduction in accordance with point (h) of Article 36(1) CRR. 360 1.3.2.8.2. AT1 instruments of financial sector entities where the institution does not have a significant investment Point (c) of Article 56, Article 474, Article 475(4) and Article 478 CRR The amount to be reported in column 060 of this row: Original deduction in accordance with point (c) of Article 56 CRR 370 1.3.2.8.3. T2 instruments of financial sector entities where the institution does not have a significant investment Point (c) of Article 66, Article 476, Article 477(4) and Article 478 CRR The amount to be reported in column 060 of this row: Original deduction in accordance with point (c) of Article 66 CRR. 380 1.3.2.9. Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment Paragraphs 2 and 3 of Article 470 CRR The amount to be reported in column 060 of this row: Article 470(1) CRR 385 Deferred tax assets that are dependent on future profitability and arise from temporary differences Point (c) of Article 469(1), Article 472(5) and Article 478 CRR. Part of deferred tax assets that rely in future profitability and arise from temporary differences which exceeds the 10 % threshold in point (a) of Article 470(2) CRR. 390 1.3.2.10. Own funds instruments of financial sector entities where the institution has a significant investment 400 1.3.2.10.1. CET1 instruments of financial sector entities where the institution has a significant investment Point (i) of Article 36(1), Articles 469(1) and 472(11) and Article 478 CRR The amount to be reported in column 060 of this row: Original deduction in accordance with point (i) of Article 36(1) CRR

410 1.3.2.10.2. AT1 instruments of financial sector entities where the institution has a significant investment Point (d) of Article 56, Article 474, Article 475(4) and Article 478 CRR The amount to be reported in column 060 of this row: Original deduction in accordance with point (d) of Article 56CRR. 420 1.3.2.10.2. T2 instruments of financial sector entities where the institution has a significant investment Point (d) of Article 66, Article 476, Article 477(4) and Article 478 CRR The amount to be reported in column 060 of this row: Original deduction in accordance with point (d) of Article 66 CRR 425 1.3.2.11. Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items

Article 481 CRR This row reflects the overall effect of transitional provisions on additional filters and deductions. In accordance with Article 481 CRR, institutions shall report in item 1.3.3 information relating to the filters and deductions required under the national transposition measures for Articles 57 and 66 of Directive 2006/48/EC and for Articles 13 and 16 of Directive 2006/49/EC, and which are not required in accordance with Part Two. 440 1.3.4. Adjustments due to IFRS 9 transitional arrangements Institutions shall report information in relation with the transitional arrangements due to IFRS 9 in accordance with the applicable legal provisions. 1.6.3. C 05.02 – GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) 25. Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Articles 484 to 491 CRR). 1.6.3.1. Instructions concerning specific positions Columns010 Amount of instruments plus related share premium Paragraphs 3, 4 and 5 of Article 484 CRR Instruments which are eligible for each respective row, including their related share premiums. 020 Base for calculating the limit Paragraphs 2, 3 and 4 of Article 486 CRR 030 Applicable percentage

Article 486(5) CRR 040 Limit Paragraphs 2 to 5 of Article 486 CRR 050 (-) Amount that exceeds the limits for grandfathering Paragraphs 2 to 5 of Article 486 CRR 060 Total grandfathered amount The amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA5.1. Rows010

1. Instruments that qualified for point (a) of Article 57 of 2006/48/EC

Article 487(2) CRR The excess on the limit of AT1 grandfathered instruments may be treated as instruments which can be grandfathered as T2 instruments. 2. GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) 2.1. GENERAL REMARKS 26. Templates C 06.01 and C 06.02 shall be reported if own funds requirements are calculated on a consolidated basis. Template C 06.02 consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation. (a) Entities within the scope of consolidation; (b) Detailed group solvency information; (c) Information on the contribution of individual entities to group solvency; (d) Information on capital buffers; 27. Institutions that obtained a waiver in accordance with Article 7 CRR shall only report the columns 010 to 060 and 250 to 400. 28. The figures reported take into account all applicable transitional provisions CRR which are applicable at the respective reporting date. 2.2. DETAILED GROUP SOLVENCY INFORMATION 29. The second part of template C 06.02 (detailed group solvency information) in columns 070 to 210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes. 30. In the case of proportional consolidation of participations, the figures related to own funds requirements and own funds shall reflect the respective proportional amounts. 2.3. INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY 31. The objective of the third part of template C 06.02 and template C 06.01 (information on the contributions of all entities within CRR scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 250 to 400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other. 32. The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds. 33. As this third part of the template refers to contributions, the figures to be reported herein shall defer, when applicable, from the figures reported in the columns referring to detailed group solvency information. 34. The principle is to delete the cross-exposures within the same groups in a homogeneous way both in terms of risks or own funds, in order to cover the amounts reported in the group’s consolidated CA template by adding the amounts reported for each entity in Group Solvency template. A direct link to the CA template is not possible where the 1 % threshold is not exceeded.

1. The institutions shall define the most appropriate breakdown method between the entities to take into account the possible diversification effects for market risk and operational risk.
2. It is possible for one consolidated group to be included within another consolidated group. That means that the entities within a subgroup shall be reported entity-by-entity in the GS of the entire group, even if the sub-group itself is subject to reporting requirements. A subgroup that is subject to reporting requirements shall also report the GS template on an entity-by-entity basis, although those details are included in the GS template of a higher consolidated group.
3. An institution shall report data of the contribution of an entity when its contribution to the total risk exposure amount exceeds 1 % of the total risk exposure amount of the group or when its contribution to the total own funds exceeds 1 % of the total own funds of the group. That threshold does not apply in the case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group. 2.4. C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL) ColumnsInstructions250-400 ENTITIES WITHIN SCOPE OF CONSOLIDATION See instructions for C 06.02 410-480 CAPITAL BUFFERS See instructions for C 06.02 RowsInstructions010 TOTAL The Total shall represent the sum of the values reported in all rows of template C 06.02. 2.5. C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) ColumnsInstructions010-060 ENTITIES WITHIN SCOPE OF CONSOLIDATION This template is designed to gather information on all entities on an entity-by-entity-basis within the scope of consolidation in accordance with Chapter 2 of Title II of Part One CRR. 010 NAME Name of the entity within the scope of consolidation. 020 CODE This code is a row identifier and shall be unique for each row in the template. Code assigned to the entity within the scope of consolidation. The actual composition of the code depends on the national reporting system. 025 LEI CODE LEI code stands for Legal Entity Identification code which is a reference code proposed by the Financial Stability Board (FSB) and endorsed by the G20, aimed at achieving a unique and worldwide identification of parties to financial transactions. Until the global LEI system is fully operational, a Local Operational Unit that has been endorsed by Regulatory Oversight Committee (ROC, detailed information may be found at the following website: www.leiroc.org) assigns pre-LEI codes to counterparties. Where a Legal Entity Identification code (LEI code) exists for a given counterparty, it shall be used to identify that counterparty. 030 INSTITUTION OR EQUIVALENT (YES/NO) YES shall be reported where the entity is subject to own funds requirements pursuant to CRR and CRD or provisions at least equivalent to Basel provisions. NO shall be reported otherwise. Minority interests: Point (a)(ii) of Article 81(1) and point (a)(ii) of Article 82(1) CRR

To the effects of minority interests and AT1 and T2 instruments issued by subsidiaries, the subsidiaries whose instruments can be eligible shall be institutions or undertakings subject to the requirements CRR by virtue of applicable national law. 035 TYPE OF ENTITY The type of entity shall be reported based on the following categories: (a) credit institution Point (1) of Article 4(1)CRR; (b) investment firm Point (2) of Article 4(1) CRR; (c) financial institution (other) Points (20), (21) and (26) of Article 4(1) CRR Financial institutions within the meaning of Article 4(1)(26) CRR which are not included in any of the categories (d), (f) or (g); (d) (mixed) financial holding company Points (20) and (21) of Article 4(1)CRR; (e) ancillary services undertaking Point (18) of Article 4(1) CRR; (f) securitisation special purpose entity (SSPE), Point (66) of Article 4(1)CRR; (g) covered bond company Entity set up to issue covered bonds or to hold the collateral securing a covered bond, if not included in any of the categories (a), (b) or (d) to (f) above; (h) other type of entity Entity other than those referred to in points (a) to (g). Where an entity is not subject to CRR and CRD, but subject to provisions at least equivalent to Basel provisions, the relevant category shall be determined on a best effort basis. 040 SCOPE OF DATA: solo fully consolidated (SF) OR solo partially consolidated (SP) SF shall be reported for individual subsidiaries fully consolidated. SP shall be reported for individual subsidiaries partially consolidated. 050 COUNTRY CODE Institutions shall report the two-letter country code referred to in ISO 3166-2. 060 SHARE OF HOLDING (%) This percentage refers to the actual share of capital the parent undertaking holds in subsidiaries. In case of full consolidation of a direct subsidiary, the actual share is e.g. 70 %. In accordance with point 16 of Article 4(1) CRR, the share of holding of a subsidiary to be reported results from a multiplication of the shares between the subsidiaries concerned. 070-240 INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT The section of detailed information (i.e. columns 070 to 240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of Title II of Part One CRR), are effectively subject to solvency requirements laid down in CRR or provisions at least equivalent to Basel provisions (i.e, reported yes in column 030). Information shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located. The information reported in this part shall reflect the local solvency rules of the jurisdiction in which the institution is operating (therefore, for this template, it is not necessary to do a double calculation on an individual basis on the basis of the parent institution’s rules). When local solvency rules differ from CRR and a comparable breakdown is not given, the information shall be completed where data are available in the respective granularity. Therefore, this part is a factual template that summarises the calculations that the individual institutions of a group shall carry out, bearing in mind that some of those institutions may be subject to different solvency rules.

Reporting of fixed overheads of investment firms: Investment firms shall include own funds requirements related to fixed overheads in their calculation of capital ratio pursuant to Articles 95, 96, 97 and 98 CRR. The part of the total risk exposure amount related to fixed overheads shall be reported in column 100 of part 2 of this template. 070 TOTAL RISK EXPOSURE AMOUNT The sum of the columns 080 to 110 shall be reported. 080 CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK The amount to be reported in this column shall correspond to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 040 RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES and the amounts of own funds requirements that are equal or equivalent to the ones that must be reported in row 490 TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS of template CA2. 090 POSITION, FX AND COMMODITY RISKS The amount to be reported in this column shall correspond to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 520 TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS of template CA2. 100 OPERATIONAL RISK The amount to be reported in this column shall correspond to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 590 TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR) of the template CA2. Fixed overheads shall be included in this column including the row 630 ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS of template CA2. 110 OTHER RISK EXPOSURE AMOUNTS The amount to be reported in this column shall correspond to the risk exposure amount not especially listed above. It shall be the sum of the amounts of rows 640, 680 and 690 of template CA2. 120-240 DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS The information reported in the following columns shall reflect the local solvency rules of the Member State in which the entity or subgroup is operating. 120 OWN FUNDS The amount to be reported in this column corresponds to the amount of own funds that are equal or equivalent to the ones that must be reported in row 010 OWN FUNDS of the template CA1. 130 OF WHICH: QUALIFYING OWN FUNDS

Article 82 CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated and that are institutions. Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings, share premium accounts and other reserves) owned by persons other than the undertakings and included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting. 140 RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES Point (b) of Article 87(1)CRR 150 TOTAL TIER 1 CAPITAL

Article 82 CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated and that are institutions. Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting. 170 RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS Point (b) of Article 85(1) CRR 180 COMMON EQUITY TIER 1 CAPITAL

Article 81 CRR This column shall only be reported for subsidiaries that are fully consolidated and that are institutions, except for the subsidiaries referred to in Article 84(3) CRR. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required by Article 84 CRR, where relevant, in accordance with Article 84(2), otherwise on a solo basis. Minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting. 200 RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES Point (b) of Article 84(1) CRR 210 ADDITIONAL TIER 1 CAPITAL

Article 61 CRR 220 OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL Articles 82 and 83 CRR This column shall only be provided for the subsidiaries that are fully consolidated and that are institutions, except for the subsidiaries referred to in Article 85(2) CRR. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required in Article 85 CRR, where relevant, in accordance with Article 85(2), otherwise on a solo basis. Minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting. 230 TIER 2 CAPITAL

Article 71 CRR 240 OF WHICH: QUALIFYING TIER 2 CAPITAL Articles 82 and 83 CRR This column shall only be provided for the subsidiaries that are fully consolidated and that are institutions, except for subsidiaries referred to in Article 87(2) CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in Article 87 CRR, if relevant, in accordance with Article 87(2) CRR, otherwise on a solo basis. Minority interests are, for the subsidiaries specified above, the T2 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provisions, It shall be the eligible amount on the date of reporting. 250-400 INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP 250-290 CONTRIBUTION TO RISKS The information reported in the following columns shall be in accordance with the solvency rules applicable to the reporting institution. 250 TOTAL RISK EXPOSURE AMOUNT The sum of the columns 260 to 290 shall be reported. 260 CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK The amount to be reported shall be the risk weighted exposure amounts for credit risk and own funds requirements of settlement/delivery risk in accordance with the CRR, excluding any amount related to transactions with other entities included in the group consolidated solvency ratio computation. 270 POSITION, FX AND COMMODITY RISKS Risk exposure amounts for market risks are to be computed at each entity level in accordance with the CRR. Entities shall report the contribution to the total risk exposure amounts for position, FX and commodity risk of the group. The sum of amounts reported here shall correspond to the amount reported in row 520 TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS of the consolidated report. 280 OPERATIONAL RISK In case of AMA, the reported risk exposure amounts for operational risk shall include the effect of diversification. Fixed overheads shall be included in this column. 290 OTHER RISK EXPOSURE AMOUNTS The amount to be reported in this column shall correspond to the risk exposure amount for risks other than listed above. 300-400 CONTRIBUTION TO OWN FUNDS This part of the template is not intended to impose on institutions a full computation of the total capital ratio at the level of each entity. Columns 300 to 350 shall be reported for those consolidated entities which contribute to own funds by minority interest, qualifying Tier 1 capital or qualifying own funds. Subject to the threshold referred to in the last paragraph of chapter 2.3 of Part II above, columns 360 to 400 shall be reported for all consolidated entities which contribute to the consolidated own funds. Own funds brought to an entity by the rest of entities included within the scope of the reporting entity shall not to be taken into account, only the net contribution to the group own funds shall be reported in this column (mainly the own funds raised from third parties and accumulated reserves).

Article 18 CRR The amount to be reported as CONSOLIDATED OWN FUNDS shall be the amount as derived from the balance sheet, excluding any fund brought in by other group entities. 360 CONSOLIDATED OWN FUNDS 370 OF WHICH: COMMON EQUITY TIER 1 380 OF WHICH: ADDITIONAL TIER 1 390 OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT The contribution of each entity to the consolidated result (profit or loss (-)) shall be reported. That includes the results attributable to minority interests. 400 OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL Goodwill or negative goodwill of the reporting entity on the subsidiary shall be reported here. 410-480 CAPITAL BUFFERS The structure of the reporting of capital buffers for the GS template shall follow the general structure of the template CA4, using the same reporting concepts. When reporting the capital buffers for the GS template, the relevant amounts shall be reported in accordance with the provisions applicable to determine the buffer requirement for the consolidated situation of a group. Therefore, the reported amounts of capital buffers shall represent the contributions of each entity to group capital buffers. The amounts reported shall be based on the national provisions transposing CRD and on CRR, including any transitional provisions provided for therein. 410 COMBINED BUFFER REQUIREMENT Point (6) of Article 128 CRD 420 CAPITAL CONSERVATION BUFFER Point (1) of Article 128 and Article 129 CRD In accordance with Article 129(1) CRD, the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this cell. 430 INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER Point (2) of Article 128, Article 130 and Articles 135 to 140 CRD In this cell the concrete amount of the countercyclical buffer shall be reported. 440 CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE Point (d)(iv) of Article 458(2) CRR In this cell, the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested in accordance with Article 458 CRR in addition to the capital conservation buffer, shall be reported. 450 SYSTEMIC RISK BUFFER Point (5) of Article 128, Articles 133 and 134 CRD In this cell the amount of the systemic risk buffer shall be reported. 470 GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER Point (3) of Article 128 and Article 131 CRD In this cell the amount of the Global Systemically Important Institution buffer shall be reported. 480 OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER Point (4) of Article 128 and Article 131 CRD In this cell the amount of the Other Systemically Important Institution buffer shall be reported. 3. CREDIT RISK TEMPLATES 3.1. GENERAL REMARKS 38. There are different sets of templates for the Standardised Approach and the IRB Approach for credit risk. Additionally, separate templates for the geographical breakdown of positions subject to credit risk shall be reported if the relevant threshold set out in point (4) of Article 5(a) of this Implementing Regulation is exceeded.

3.1.1. Reporting of CRM techniques with substitution effect 39. Article 235 CRR describes the computation procedure of the exposure which is fully protected by unfunded protection. 40. Article 236 CRR describes the computation procedure of the exposure which is fully protected by unfunded protection in the case of full protection/partial protection – equal seniority. 41. Articles 196, 197 and 200 CRR regulate the funded credit protection. 42. Exposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure class shall be reported as an inflow as well as an outflow to the same exposure class. 43. The exposure type shall not change because of unfunded credit protection. 44. If an exposure is secured by an unfunded credit protection, the secured part shall be assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the protection provider. However, the type of the exposure shall not change due to the change of the exposure class. 45. The substitution effect in the COREP reporting framework shall reflect the risk weighting treatment effectively applicable to the covered part of the exposure. As such, the covered part of the exposure shall be risk weighted in accordance with the Standardised Approach and shall be reported in the CR SA template. 3.1.2. Reporting of Counterparty Credit Risk 46. Exposures stemming from Counterparty Credit Risk positions shall be reported in templates CR SA or CR IRB independent from whether they are Banking Book items or Trading Book items. 3.2. C 07.00 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA) 3.2.1. General remarks 47. The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk in accordance with the Standardised Approach. In particular, they provide detailed information on: a) the distribution of the exposure values according to the different, exposure types, risk weights and exposure classes; b) the amount and type of credit risk mitigation techniques used for mitigating the risks. 3.2.2. Scope of the CR SA template 48. In accordance with Article 112 CRR each SA exposure shall be assigned to one of the 16 SA exposure classes to calculate the own funds requirements. 49. The information in CR SA is required for the total exposure classes and individually for each of the exposure classes under the Standardised Approach. The total figures as well as the information of each exposure class are reported in a separate dimension. 50. However the following positions are not within the scope of CR SA: (a) Exposures assigned to exposure class items representing securitisation positions as referred to in point (m) of Article 112 CRR, which shall be reported in the CR SEC templates. (b) Exposures deducted from own funds. 51. The scope of the CR SA template shall cover the following own funds requirements: (a) Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three CRR in the banking book;

(b) Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three CRR in the trading book; (c) Settlement risk arising from free deliveries in accordance with Article 379 CRR in respect of all the business activities. 52. The template shall include all exposures for which the own funds requirements are calculated in accordance with Chapter 2 of Title II of Part Three CRR in conjunction with Chapters 4 and 6 of Title II of Part Three CRR. Institutions that apply Article 94(1) CRR also need to report their trading book positions in this template when they apply Chapter 2 of Title II of Part Three CRR to calculate the own funds requirements thereof (Chapters 2 and 6 of Title II of Part Three and Title V of Part Three CRR). Therefore the template shall not only provide detailed information on the type of the exposure (e.g. on balance sheet/off balance sheet items), but also information on the allocation of risk weights within the respective exposure class. 53. In addition, CR SA includes memorandum items in rows 290 to 320 to collect further information about exposures secured by mortgages on immovable property and exposures in default. 54. Those memorandum items shall only be reported for the following exposure classes: (a) Central governments or central banks (point (a) of Article 112 CRR); (b) Regional governments or local authorities (point (b) of Article 112 CRR) (c) Public sector entities (point (c) of Article 112 CRR); (d) Institutions (point (f) of Article 112 CRR); (e) Corporates (point (g) of Article 112 CRR); (f) Retail (point (h) of Article 112 CRR). 55. The reporting of the memorandum items shall affect neither the calculation of the risk weighted exposure amounts of the exposure classes referred to in points (a) to (c) and (f) to (h) of Article 112 CRR nor of the exposure classes referred to in points (i) and (j) of Article 112 CRR reported in template CR SA. 56. The memorandum rows provide additional information about the obligor structure of the exposure classes in default or secured by immovable property. Exposures shall be reported in these rows where the obligors would have been reported in the exposure classes Central governments or central banks, Regional governments or local authorities, Public sector entities, Institutions, Corporates and Retail of CR SA, if those exposures were not assigned to the exposure classes in default or secured by immovable property. The figures reported, however, are the same as used to calculate the risk weighted exposure amounts in the exposure classes in default or secured by immovable property. 57. E.g. if an exposure, the risk exposure amounts of which are calculated in accordance with Article 127 CRR and the value adjustments are less than 20 %, then that information shall be reported in CR SA, row 320 in the total and in the exposure class in default. If this exposure, before it defaulted, was an exposure to an institution, then that information shall also be reported in row 320 of exposure class institutions.

3.2.3. Assignment of exposures to exposure classes under the Standardised Approach 58. In order to ensure a consistent categorisation of exposures into the different exposure classes referred to in Article 112 CRR the following sequential approach shall be applied: (a) In a first step, the Original exposure pre-conversion factors shall be classified into the corresponding (original) exposure class referred to in Article 112 CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. (b) In a second step the exposures may be redistributed to other exposure classes due to the application of credit risk mitigation (CRM) techniques with substitution effects on the exposure (e.g. guarantees, credit derivatives, financial collateral simple method) via inflows and outflows. 59. The following criteria shall apply to for the classification of the Original exposure pre-conversion factors into the different exposure classes (first step) without prejudice to the subsequent redistribution caused by the use of CRM techniques with substitution effects on the exposure or to the treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. 60. For the purpose of classifying the original exposure pre-conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class referred to in point (i) of Article 112 CRR (exposures secured by mortgages on immovable property). 61. Article 112 CRR does not provide criteria for disjoining the exposure classes. This might imply that one exposure could potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment (point (n) of Article 112 CRR) and exposures to institutions (point (f) of Article 112 CRR)/exposures to corporates (point (g) of Article 112 CRR). In that case, it is clear that there is an implicit prioritisation in CRR since it shall be assessed first if a certain exposure is fit for being assigned to Short-term exposures to institutions and corporates and only afterwards assessed if it fits for being assigned to exposures to institutions or exposures to corporates. Otherwise it is obvious that the exposure class referred to in point (n) of Article 112 CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but is not the only one. It is worth noting that the criteria used for establishing the exposure classes under the Standardised Approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying reason for non-disjoint groupings.

1. For a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for the assignment of the Original exposure pre-conversion factor by exposure classes, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. The prioritisation criteria presented below, using a decision tree scheme, are based on the assessment of the conditions explicitly laid down in CRR for an exposure to fit in a certain exposure class and, if that is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. Therefore, the outcome of the exposure assignment process for reporting purposes shall be in line with CRR provisions. That does not prohibit institutions from applying other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora.
2. An exposure class shall be given priority to others in the assessment ranking in the decision tree (i.e. it shall be first assessed if an exposure can be assigned to an exposure class, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. That will be the case where in the absence of prioritisation criteria one exposure class is a subset of others. Therefore, the criteria graphically depicted in the following decision tree would work on a sequential process.
3. With this background the assessment ranking in the decision tree mentioned below shall follow the following order:
4. Securitisation positions;
5. Items associated with particular high risk;
6. Equity exposures
7. Exposures in default;
8. Exposures in the form of units or shares in collective investment undertakings (CIU)/Exposures in the form of covered bonds (disjoint exposure classes);
9. Exposures secured by mortgages on immovable property;
10. Other items;
11. Exposures to institutions and corporates with a short-term credit assessment;
12. All other exposure classes (disjoint exposure classes) which include Exposures to central governments or central banks; Exposures to regional governments or local authorities; Exposures to public sector entities; Exposures to multilateral development banks; Exposures to international organisations; Exposures to institutions; Exposures to corporate and Retail exposures.
13. In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach (paragraphs 3, 4 and 5 of Article 132 CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the exposure class of Exposures in the form of units or shares in collective investment undertakings (CIU).
14. nth to default credit derivatives, as specified in Article 134(6) CRR that are rated shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the Other items exposure class. In that latter case, the nominal amount of the contract shall be reported as the Original exposure pre-conversion factors in the line for Other risk weights (the risk weight used shall be that specified by the sum indicated under Article 134(6) CRR.

1. In a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures shall be reallocated to the exposure class of the protection provider. DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE-CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH IN ACCORDANCE WITH THE CRR Original exposure pre-conversion factorsDoes it fit for being assigned to the exposure class of point (m) of Article 112 CRR?YES Securitisation positionsNO Does it fit for being assigned to the exposure class of point (k) of Article 112 CRR?YES Items associated with particular high risk (see also Article 128 CRR)NO Does it fit for being assigned to the exposure class of point (p) of Article 112 CRR?YES Equity exposures (see also Article 133 CRR)NO Does it fit for being assigned to the exposure class of point (j) of Article 112 CRR?YES Exposures in defaultNO Does it fit for being assigned to the exposure classes of points (l) and (o) of Article 112 CRR?YES Exposures in the form of units or shares in collective investment undertakings (CIU) Exposures in the form of covered bonds (see also Article 129 CRR) These two exposure classes are disjoint among themselves (see comments on the look-through approach in the answer above). Therefore the assignment to one of them is straightforward. NO Does it fit for being assigned to the exposure class of point (i) of Article 112 CRR?YES Exposures secured by mortgages on immovable property (see also Article 124 CRR)NO Does it fit for being assigned to the exposure class of point (q) of Article 112 CRR?YES Other itemsNO Does it fit for being assigned to the exposure class of point (n) of Article 112 CRR?YES Exposures to institutions and corporates with a short-term credit assessmentNO The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward. Exposures to central governments or central banks Exposures to regional governments or local authorities Exposures to public sector entities Exposures to multilateral development banks Exposures to international organisations Exposures to institutions Exposures to corporates Retail exposures 3.2.4. Clarifications on the scope of some specific exposure classes referred to in Article 112 CRR 3.2.4.1. Exposure Class Institutions
2. Intra-group exposures referred to in paragraphs 6 and 7 of Article 113 CRR shall be reported as follows:
3. Exposures which fulfil the requirements of Article 113(7) CRR shall be reported in the respective exposure classes where they would be reported if they were not intra-group exposures.
4. According to paragraphs 6 and 7 of Article 113 CRR an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of that Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC. That means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12(1) of Council Directive 83/349/EEC

Seventh Council Directive 83/349/EEC of 13 June 1983 based on the Article 54(3)(g) of the Treaty on consolidated accounts (OJ L 193, 18.7.1983, p. 1). . Therefore intra-group exposures shall be reported in the corresponding exposure class. 3.2.4.2. Exposure Class Covered Bonds 71. SA exposures shall be assigned to the exposure class covered bonds as follows: 72. Bonds referred to in Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32). shall fulfil the requirements of paragraphs 1 and 2 of Article 129 CRR to be classified in the exposure class Covered Bonds. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds referred to in Article 52(4) of Directive 2009/65/EC and issued before 31 December 2007 shall also be assigned to the exposure class Covered Bonds pursuant to Article 129(6) CRR. 3.2.4.3. Exposure class Collective Investment Undertakings 73. Where the possibility referred to in Article 132(5) CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items in accordance with the first sentence in Article 111(1) CRR. 3.2.5. Instructions concerning specific positions Columns010 ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Exposure value calculated in accordance with Article 111 CRR without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) CRR:

1. For derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to Chapter 6 of Title II of Part Three CRR or subject to point (f) of Article 92(3) CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated in accordance with the methods laid down Chapter 6 of Title II of Part Three CRR.
2. Exposure values for leases shall be subject to Article 134(7) CRR.
3. In the case of on-balance sheet netting as laid down in Article 219 CRR, the exposure values shall be reported taking into account the amount of the received cash collateral.
4. In the case of master netting agreements covering repurchase transactions, securities, commodities lending, borrowing transactions or other capital market driven transactions subject to Chapter 6 of Title II of Part Three CRR, the effect of Funded Credit Protection in the form of master netting agreements referred to in Article 220(4) CRR shall be reflected in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to Chapter 6 of Title II of Part Three CRR, E as calculated in accordance with Articles 220 and 221 CRR shall be reported in column 010 of the CR SA template.

Article 24 and 111 CRR Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject 040 Exposure net of value adjustments and provisions Sum of columns 010 and 030 050 – 100 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Credit risk mitigation techniques as defined in point (57) of Article 4(1) CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as described below in Substitution of the exposure due to CRM. Collateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value. Items to be reported here: collateral, incorporated in accordance with the Financial Collateral Simple Method; eligible unfunded credit protection. Please also see instructions of point 3.1.1. 050 – 060 Unfunded credit protection: adjusted values (GA)

Article 204 CRR 070 – 080 Funded credit protection These columns refer to funded credit protection as defined in point (58) of Article 4(1) CRR and subject to the rules laid down in Articles 196, 197 and 200 CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre-conversion factors). Investments in credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral. 070 Financial collateral: simple method Paragraphs 1 and 2 of Article 222 CRR. 080 Other funded credit protection

Article 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR Outflows shall correspond to the covered part of the Original Exposure pre-conversion factors that is deducted from the obligor’s exposure class and subsequently assigned to the protection provider’s exposure class. That amount shall be considered as an inflow into the protection provider’s exposure class. Inflows and outflows within the same exposure classes shall also be reported. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account. 110 NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE 120-140 CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD Articles 223 to 228 CRR. They also include credit linked notes (Article 218 CRR) Credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral. The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, shall be calculated in accordance with Articles 223 to 228 CRR. 120 Volatility adjustment to the exposure Paragraphs 2 and 3 of Article 223 CRR. The amount to be reported is the impact of the volatility adjustment to the exposure (EVA-E) = EHe 130 (-) Financial collateral adjusted value (Cvam)

Article 111 CRR and Section 4 of Chapter 4 of Title II of Part Three CRR. Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights in accordance with Article 113 and Section 2 of Chapter 2 of Title II of Part Three CRR. 210 Of which: Arising from Counterparty Credit Risk For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to Chapter 6 of Title II of Part Three CRR, the exposure value for Counterparty Credit Risk calculated in accordance with the methods laid down in Sections 2 to 5 of Chapter 6 of Title II of Part Three CRR. 215 Risk weighted exposure amount pre SME-supporting factor Paragraphs 1 to 5 of Article 113CRR, without taking into account the SME-supporting factor laid down in Article 501 CRR. 220 Risk weighted exposure amount after SME-supporting factor Paragraphs 1 to 5 of Article 113CRR, taking into account the SME-supporting factor laid down in Article 501 CRR. 230 Of which: with a credit assessment by a nominated ECAI Points (a) to (d), (f), (g), (l), (n), (o) and (q) of Article 112 CRR 240 Of which: with a credit assessment derived from central government Points (b) to d), (f), (g), (l) and (o) of Article 112 CRR RowsInstructions010 Total exposures 015 of which: Defaulted exposures in exposure classes items associated with a particular high risk and equity exposures

Article 127 CRR This row shall only be reported in exposure classes Items associated with a particular high risk and Equity exposures. An exposure that is either listed in Article 128(2) CRR or meets the criteria set in Article 128(3) or Article 133 CRR shall be assigned to the exposure class Items associated with particular high risk or Equity exposures. Consequently, there shall be no other allocation, even in case of an exposure in default as referred to in Article 127 CRR. 020 of which: SME All exposures to SME shall be reported here. 030 of which: Exposures subject to the SME-supporting factor Only exposures which meet the requirements of Article 501 CRR shall be reported here. 040 of which: Secured by mortgages on immovable property – Residential property

Article 148(1) CRR 070-130 BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES Reporting institution’s banking book positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk. Exposures to counterparty credit risk arising from the trading book business of the institution as referred to in point (f) of Article 92(3) and Article 299(2) CRR shall be assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) CRR also break down their trading book positions following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk. 070 On balance sheet exposures subject to credit risk Assets referred to in Article 24 CRR not included in any other category. Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 090, 110 and 130, and therefore shall not be reported in this row. Free deliveries as referred to in Article 379(1) CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row. Exposures arising from assets posted to a CCP as defined in point (90) of Article 4(1)) CRR shall be included if not reported in row 080. 080 Off balance sheet exposures subject to credit risk Off-balance sheet positions comprise the items listed in Annex I CRR. Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 090, 110 and 130 and therefore not be reported in this row. Exposures arising from assets posted to a CCP as defined in point (90) of Article 4(1) CRR shall be included if they are considered as off-balance sheet items. 090-130 Exposures/Transactions subject to counterparty credit risk 090 Securities Financing Transactions Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document The Application of Basel II to Trading Activities and the Treatment of Double Default Effects, includes: (i) Repurchase and reverse repurchase agreements as defined in point (82) of Article 4(1) CRR as well as securities or commodities lending and borrowing transactions; (ii) margin lending transactions as defined in Article 272(3) CRR. 100 Of which: centrally cleared through a QCCP

Article 306 CRR for qualifying CCPs as defined in point (88) of Article 4(1) CRR in accordance with Article 301(2) CRR. Trade exposures, as defined in point (91) of Article 4(1) CRR, to a CCP 110 Derivatives and Long Settlement Transactions Derivatives comprise the contracts listed in Annex II to the CRR. Long Settlement Transactions as defined in Article 272(2) CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 130, shall not be reported in this row. 120 Of which: centrally cleared through a QCCP

Article 306 CRR for qualifying CCPs as defined in point (88) of Article 4(1) CRR in accordance with Article 301(2) CRR Trade exposures, as defined in point (91) of Article 4(1) CRR, to a CCP 130 From Contractual Cross Product Netting Exposures that due to the existence of a contractual cross product netting (as defined in Article 272(11) CRR) cannot be assigned to either Derivatives & Long Settlement Transactions or Securities Financing Transactions, shall be included in this row. 140-280 BREAKDOWN OF EXPOSURES BY RISK WEIGHTS 1400 %150 2 %

Article 305(3) CRR 17010 %18020 %19035 %20050 %210 70 % Point (c) of Article 232(3) CRR. 22075 % 230100 %240150 %250 250 % Articles 133(2) and 48(4) CRR 260 370 %

Article 133(2) and Article 379 CRR 280 Other risk weights This row is not available for exposure classes Government, Corporates, Institutions and Retail. For reporting those exposures not subject to the risk weights listed in the template. Paragraphs 1 to 5 of Article 113 CRR. Unrated nth-to-default credit derivatives under the Standardised Approach (Article 134(6) CRR) shall be reported in this row under the exposure class Other items. See also Article 124(2) and point (b) of Article 152(2) CRR. 290-320 Memorandum Items See also the explanation of the purpose of the memorandum items in the general section of the CR SA. 290 Exposures secured by mortgages on commercial immovable property Point (i) of Article 112 CRR This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property as referred to in Article 124 and 126 CRR the exposures shall be broken down and reported in this row if the exposures are secured by commercial real estate. 300 Exposures in default subject to a risk weight of 100 % Point (j) of Article 112 CRR Exposures included in the exposure class exposures in default which shall be included in this exposure class if they were not in default. 310 Exposures secured by mortgages on residential property Point (i) of Article 112 CRR This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property in accordance with Article 124 and 125 CRR the exposures shall be broken down and reported in this row if the exposures are secured by real estate property. 320 Exposures in default subject to a risk weight of 150 % Point (j) of Article 112 CRR Exposures included in the exposure class exposures in default which shall be included in this exposure class if they were not in default. 3.3. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB) 3.3.1. Scope of the CR IRB template 74. The scope of the CR IRB template covers own funds requirements for: i. Credit risk in the banking book, among which: Counterparty credit risk in the banking book; Dilution risk for purchased receivables; ii. Counterparty credit risk in the trading book; iii. Free deliveries resulting from all business activities. 75. The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated in accordance with Articles 151 to 157 of Chapter 3 of Title II of Part Three (IRB Approach). 76. The CR IRB template does not cover the following data: i. Equity exposures, which are reported in the CR EQU IRB template; ii. Securitisation positions, which are reported in the CR SEC and/or CR SEC Details templates; iii. Other non credit-obligation assets, as referred to in point (g) of Article 147(2) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, in accordance with Article 156 CRR. The risk weighted exposure amounts for this exposure class shall be reported directly in the CA-Template;

iv. Credit valuation adjustment risk, which is reported on the CVA Risk template; The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown shall be reported in the template CR GB. 77. In order to clarify whether the institution uses its own estimates for LGD or credit conversion factors, the following information shall be provided for each reported exposure class: NO in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB) YES in case own estimates of LGD and credit conversion factors are used (Advanced IRB) In any case, for the reporting of the retail portfolios YES has to be reported. In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported. 3.3.2. Breakdown of the CR IRB template 78. The CR IRB consists of two templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate total risk exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools. The templates CR IRB 1 and CR IRB 2 shall be reported separately for the following exposure and sub-exposure classes:

1. Total (The Total template must be reported for the Foundation IRB and, separately for the Advanced IRB Approach.)
2. Central banks and central governments (point (a) of Article 147(2) CRR)
3. Institutions (point (b) of Article 147(2) CRR) 4.1) Corporate – SME (point (c) of Article 147(2) CRR 4.2) Corporate – Specialised lending (Article 147(8) CRR) 4.3) Corporate – Other (All exposures to corporates as referred to in point (c) of Article 147(2) CRR, not reported under 4.1 and 4.2). 5.1) Retail – Secured by immovable property SME (Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(3) CRR which are secured by immovable property). 5.2) Retail – Secured by immovable property non-SME (Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by immovable property and not reported under 5.1). 5.3) Retail – Qualifying revolving (Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(4) CRR). 5.4) Retail – Other SME (Retail exposures as referred to in point (d) of Article 147(2) CRR not reported under 5.1 and 5.3). 5.5) Retail – Other non – SME (Retail exposures as referred to in point (d) of Article 147(2) CRR which were not reported under 5.2 and 5.3). 3.3.3. C 08.01 – Credit and counterparty credit risks and free deliveries: IRB Approach to Capital Requirements (CR IRB 1) 3.3.3.1. Instructions concerning specific positions ColumnsInstructions010 INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 CRR. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures), the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report in accordance with an internal master scale, that scale shall be used. Otherwise, the different rating systems shall be merged and ordered in accordance with the following criteria: Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. Institutions shall contact their competent authority in advance if they want to report a different number of grades in comparison with the internal number of grades. For the purposes of weighting the average PD, the exposure value reported in column 110 shall be used. All exposures, including defaulted exposures, are to be considered for the the calculation of the exposure weighted average PD (e.g. for total exposure). Defaulted exposures shall be those assigned to the last rating grade/s with a PD of 100 %. 020 ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Institutions shall report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors. The original exposure value shall be reported in accordance with Article 24 CRR and paragraphs 1, 2, 4, 5, 6 and 7 of Article 166 CRR. The effect resulting from Article 166(3) CRR (effect of on balance sheet netting of loans and deposits) shall be reported separately as Funded Credit Protection and shall therefore not reduce the Original Exposure. 030 OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the original exposure pre-conversion factor for all exposures of entities referred to in Article 142(4) and (5) CRR subject to the higher correlation determined in accordance with Article 153(2) CRR. 040-080 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Credit risk mitigation as defined in point (57) of Article 4(1) CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in SUBSTITUTION OF THE EXPOSURE DUE TO CRM.

040-050 UNFUNDED CREDIT PROTECTION Unfunded credit protection as defined in point (59) of Article 4(1) CRR. Collateral that has an effect on the exposure (e.g. used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value. 040 GUARANTEES: Where own estimates of LGD are not used, the Adjusted Value (GA) as defined in Article 236(3) CRR shall be provided. When own estimates of LGD are used in accordance with Article 183 CRR, the relevant value used in the internal model shall be reported. Guarantees shall be reported in column 040 where the adjustment is not made in the LGD. Where the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 150. Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 220. 050 CREDIT DERIVATIVES: Where own estimates of LGD are not used, the Adjusted Value (GA) as defined in Article 236(3) CRR shall be provided. Where own estimates of LGD are used in accordance with Article 183 CRR, the relevant value used in the internal modelling shall be reported. Where the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 160. Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 220. 060 OTHER FUNDED CREDIT PROTECTION Collateral that has an effect on the exposure (e.g. where used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value. Where own estimates of LGD are not used, Article 232 CRR shall be applied. Where own estimates of LGD are used, those credit risk mitigation that complies with the conditions in Article 212 CRR shall be reported. The relevant value used in the internal model shall be reported. The amount shall be reported in column 060 where the adjustment is not made in the LGD. Where an adjustment is made in the LGD, that amount shall be reported in column 170. 070-080 SUBSTITUTION OF THE EXPOSURE DUE TO CRM Outflows shall correspond to the covered part of the original exposure pre-conversion factors, that is deducted from the obligor’s exposure class and, where relevant, obligor grade or pool, and subsequently assigned to the protection provider’s exposure class and, where relevant, obligor grade or pool. That amount shall be considered as an inflow into the protection provider’s exposure class and, where relevant, obligor grades or pools. Inflows and outflows within the same exposure classes and, where relevant, obligor grades or pools, shall also be considered. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account. 090 EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure.

100, 120 Of which: Off Balance Sheet Items See CR-SA instructions 110 EXPOSURE VALUE The exposure value determined in accordance with Article 166 CRR and the second sentence of Article 230(1) CRR shall be reported. For the instruments referred to in Annex I, the credit conversion factors (paragraphs 8, 9 and 10 of Article 166 CRR), irrespective of the approach chosen by the institution, shall be applied. For rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting), subject to Chapter 6 of Title II of Part Three CRR, the Exposure Value shall be the same as the value for Counterparty Credit Risk calculated in accordance with Sections 3 to 7 of Chapter 6 of Title II of Part Three CRR. Those values shall be reported in this column and not column 130 Of which: arising from counterparty credit risk. 130 Of which: Arising from counterparty Credit Risk See CR SA instructions. 140 OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the exposure value for all exposures to entities referred to in Article 142(4) and (5) CRR subject to the higher correlation determined in accordance with Article 153(2) CRR. 150-210 CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT CRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques shall not be included in these columns. Where own estimates of LGD are not used, Article 228(2), Article 230(1) and (2) and Article 231 CRR shall be taken into account. Where own estimates of LGD are used: Regarding unfunded credit protection, for exposures to central governments, central banks, institutions and corporates, Article 161(3) CRR shall be taken into account. For retail exposures, Article 164(2) CRR shall be taken into account. Regarding funded credit protection, the collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR. 150 GUARANTEES See instructions to column 040. 160 CREDIT DERIVATIVES See instructions to column 050. 170 OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION The relevant value used in the internal modelling of the institution. Those credit risk mitigants that comply with the criteria in Article 212 CRR. 180 ELIGIBLE FINANCIAL COLLATERAL For trading book operations, financial instruments and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included. Credit linked notes and on -balance sheet netting in accordance with Section 4 of Chapter 4 of Title II of Part Three CRR shall be treated as cash collateral. Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 1 to 4 of Article 193 and Article 194(1) CRR. The adjusted value (Cvam) as set out in Article 223(2) CRR shall be reported. Where own estimates of LGD are used, the financial collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR. The amount to be reported shall be the estimated market value of the collateral.

190-210 OTHER ELIGIBLE COLLATERAL Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 1 to 8 of Article 199 CRR and Article 229 CRR. Where own estimates of LGD are used, other collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR. 190 REAL ESTATE Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 2, 3 and 4 of Article 199 CRR and shall be reported in this column. Leasing of real estate property shall also be included (see Article 199(7) CRR). See also Article 229 CRR. Where own estimates of LGD are used, the amount to be reported shall be the estimated market value. 200 OTHER PHYSICAL COLLATERAL Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 6 and 8 of Article 199 CRR and shall be reported in this column. Leasing of property different from real estate shall also be included (see Article 199(7) CRR). See also Article 229(3) CRR. Where own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral. 210 RECEIVABLES Where own estimates of LGD are not used, values shall be determined in accordance with Articles 199(5) and 229(2) CRR and shall be reported in this column. Where own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral. 220 SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION Guarantees and credit derivatives covering exposures subject to the double default treatment taking into account Article 202 and Article 217(1) CRR. See also columns 040 Guarantees and 050 Credit derivatives. 230 EXPOSURE WEIGHTED AVERAGE LGD (%) All the impact of CRM techniques on LGD values as specified in Chapters 3 and 4 of Title II of Part Three CRR shall be considered. In- case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) CRR. For defaulted exposures, point (h) of Article 181(1) CRR shall be taken into account. The exposure value referred to in column 110 shall be used for the calculation of the exposure-weighted averages. All effects shall be considered (so the floor applicable to mortgages shall be included in the reporting). For institutions applying the IRB Approach but not using their own estimates of LGD, the risk mitigation effects of financial collateral shall be reflected in E, the fully adjusted value of the exposure, and then reflected in LGD as referred to in Article 228(2) CRR. The exposure weighted average LGD associated to each PD obligor grade or pool shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of column 110. Where own estimates of LGD are applied, Article 175 and paragraphs 1 and 2 of Article 181 CRR shall be taken into account. In case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) CRR.

The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating system approved by the respective competent authority. Data shall not be reported for specialised lending exposures referred to in Article 153(5). Exposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, but only be included in the calculation of column 240. 240 EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Exposure weighted average LGD (%) for all exposures to large financial sector entities as defined in Article 142(4) CRR and to unregulated financial sector entities as defined in Article 142(5) CRR subject to the higher correlation determined in accordance with Article 153(2) CRR. 250 EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) The value reported shall be determined in accordance with Article 162 CRR. The exposure value (column 110) shall be used for the calculation of the exposure-weighted averages. The average maturity shall be reported in days. This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. That means that this column shall not be filled in for the exposure class retail. 255 RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR For central governments and central banks, corporate and institutions, see paragraphs 1 and 3 of Article 153 CRR. For retail, see Article 154(1) CRR. The SME-supporting factor referred to in Article 501(1) CRR shall not be taken into account. 260 RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR For central governments and central banks, corporate and institutions, see paragraphs 1 and 3 of Article 153 CRR. For retail, see Article 154(1) CRR. The SME-supporting factor referred to in Article 501(1) CRR shall be taken into account. 270 OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures to large financial sectors entities as defined in Article 142(4) CRR and to unregulated financial sector entities as defined in Article 142(5) CRR, subject to the higher correlation determined in accordance with Article 153(2) CRR. 280 EXPECTED LOSS AMOUNT For the definition of Expected Loss, see Article 5(3) CRR and, for the calculation of expected loss amounts, see Article 158 CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating system approved by the respective competent authority. 290 (-) VALUE ADJUSTMENTS AND PROVISIONS Value Adjustments as well as specific and general credit risk adjustments in accordance with Article 159 CRR shall be reported. General credit risk adjustments shall be reported by assigning the amount pro rata on the basis of the expected loss of the different obligor grades.

300 NUMBER OF OBLIGORS Paragraphs 1 and 2 of Article 172 CRR. For all exposure classes, with the exception of the exposure class retail and the cases mentioned in the second sentence of point (e) of Article 172(1) CRR, the institution shall report the number of legal entities/obligors which were separately rated, regardless of the number of different loans or exposures granted. Within the exposure class retail, or if separate exposures to the same obligor are assigned to different obligor grades in accordance with the second sentence of point (e) of Article 172(1) CRR in other exposure classes, the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172(2) CRR applies, an obligor may be considered in more than one grade. As this column deals with an element of the structure of the rating systems, it relates to the original exposures pre-conversion factor assigned to each obligor grade or pool without taking into account the effect of CRM techniques (in particular redistribution effects). RowsInstructions010 TOTAL EXPOSURES 015 of which: Exposures subject to SME-supporting factor Only exposures which meet the requirements of Article 501(2) CRR shall be reported here. 020-060 BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: 020 On balance sheet items subject to credit risk Assets referred to in Article 24 CRR shall not be included in any other category. Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row. Free deliveries as referred to in Article 379(1) CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row. Exposures arising from assets posted to a CCP as defined in point (91) of Article 4(1) CRR shall be included if not reported in row 030. 030 Off balance sheet items subject to credit risk Off-balance sheet items shall comprise those items that are listed in Annex I CRR. Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting, shall be reported in rows 040-060 and, therefore, not in this row. Exposures arising from assets posted to a CCP as defined in point (91) of Article 4(1) CRR shall be included if they are considered as off-balance sheet items. 040-060 Exposures/Transactions subject to counterparty credit risk 040 Securities Financing Transactions Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document The Application of Basel II to Trading Activities and the Treatment of Double Default Effects, includes: (i) repurchase and reverse repurchase agreements as defined in point (82) of Article 4(1) CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272(3) CRR.

Securities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row. 050 Derivatives and Long Settlement Transactions Derivatives comprise those contracts that are listed in Annex II CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row. 060 From Contractual Cross Product Netting See CR SA instructions 070 EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL For exposures to corporates, institutions and central governments and central banks, see point (6) of Article 142(1) and point (c) of Article 170(1) CRR. For retail exposures see point (b) of Article 170(3) CRR. For exposures arising from purchased receivables, see Article 166(6) CRR. Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 180. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. A master scale is not used. Instead, institutions shall determine the scale to be used themselves. 080 SPECIALISED LENDING SLOTTING CRITERIA: TOTAL

Article 153(5) CRR. This shall only apply to the exposure classes corporates, institutions and central governments and central banks. 090-150 BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALISED LENDING SLOTTING CRITERIA: 120 Of which: In category 1 Table 1 of Article 153(5) CRR 160 ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE Paragraphs 1 and 2 of Article 193, paragraphs 1 to 7 of Article 194 and Article 230(3) CRR 170 EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS Exposures arising from free deliveries for which the alternative treatment referred to in the last sentence of the first subparagraph of Article 379(2) CRR is used, or for which a 100 % risk weight is applied in accordance with the last subparagraph of Article 379(2) CRR. Unrated nth-to-default credit derivatives in accordance with Article 153(8) CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row. 180 DILUTION RISK: TOTAL PURCHASED RECEIVABLES See point (53) of Article 4(1) CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157(1) CRR. In accordance with Article 166(6) CRR, the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation. 3.3.4. C 08.02 – Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements: breakdown by obligor grades or pools (CR IRB 2 template) ColumnInstructions005 Obligor grade (row identifier) This is a row identifier and shall be unique for each row on a particular sheet of the template. It shall follow the numerical order 1, 2, 3, etc. 010-300Instructions for each of these columns are the same as for the corresponding numbered columns in CR IRB 1 template. RowInstructions010-001 – 010-NNNValues reported in these rows must be ordered from the lower to the higher in accordance with the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned in accordance with the PD of the obligor and not reported in this template. 3.4. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN 79. All institutions shall submit information aggregated at a total level. Additionally, institutions fulfilling the threshold set in point (4) of Article 5(a) of this Implementing Regulation shall submit information broken down by country regarding the domestic country as well as any non-domestic country. The threshold shall be considered only in relation to the CR GB 1 and CR GB 2 templates. Exposures to supranational organisations shall be assigned to the geographical area other countries. 80. The term residence of the obligor refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques with substitution effects can change the allocation of an exposure to a country. Exposures to supranational organisations shall not be assigned to the country of residence of the institution but to the geographical area Other countries, irrespective of the exposure class where the exposure to supranational organisations is assigned.

1. Data regarding original exposure pre-conversion factors shall be reported referring to the country of residence of the immediate obligor. Data regarding exposure value and Risk weighted exposure amounts shall be reported as of the country of residence of the ultimate obligor. 3.4.1. C 09.01 – Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1) 3.4.1.1. Instructions concerning specific positions Columns010 ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Same definition as for column 010 of CR SA template 020 Defaulted exposures Original exposure pre-conversion factors for those exposures which have been classified as exposures in default and for defaulted exposures assigned to the exposure classes exposures associated with particularly high risk or equity exposures. This memorandum item shall provide additional information about the obligor structure of defaulted exposures. Exposures classified as exposures in default as referred to in point (j) of Article 112 CRR shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes exposures in default. This information is a memorandum item – hence does not affect the calculation of risk weighted exposure amounts of exposure classes exposures in default, exposures associated with particularly high risk or equity exposures as referred to in points (j), (k) and (p) of Article 112 CRR. 040 Observed new defaults for the period The amount of original exposures which have moved into exposure class Exposures in default during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged. 050 General credit risk adjustments Credit risk adjustments as referred to in Article 110 CRR. This item shall include the general credit risk adjustments that are eligible for inclusion in T2 capital, before the application of the cap referred to in point (c) of Article 62 CRR. The amount to be reported shall be gross of tax effects. 055 Specific credit risk adjustments Credit risk adjustments as referred to in Article 110 CRR. 060 Write-offs Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)]. 070 Credit risk adjustments/write-offs for observed new defaults Sum of credit risk adjustments and write-offs for those exposures which were classified as defaulted exposures during the 3-month period since the last data submission. 075 Exposure value Same definition as for column 200 of CR SA template 080 RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR Same definition as for column 215 of CR SA template 090 RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR Same definition as for column 220 of CR SA template Rows010 Central governments or central banks

Point (a) of Article 112 CRR 020 Regional governments or local authorities Point (b) of Article 112 CRR. 030 Public sector entities Point (c) of Article 112 CRR 040 Multilateral developments banks Point (d) of Article 112 CRR 050 International organisations Point (e) of Article 112 CRR 060 Institutions Point (f) of Article 112 CRR 070 Corporates Point (g) of Article 112 CRR 075 of which: SME Same definition as for row 020 of CR SA template 080 Retail Point (h) of Article 112 CRR 085 of which: SME Same definition as for row 020 of CR SA template 090 Secured by mortgages on immovable property Point (i) of Article 112 CRR 095 of which: SME Same definition as for row 020 of CR SA template 100 Exposures in default Point (j) of Article 112 CRR 110 Items associated with particularly high risk Point (k) of Article 112 CRR 120 Covered bonds Point (l) of Article 112 CRR 130 Claims on institutions and corporates with a short-term credit assessment Point (n) of Article 112 CRR 140 Collective investments undertakings (CIU) Point (o) of Article 112 CRR 150 Equity exposures Point (p) of Article 112 CRR 160 Other exposures Point (q) of Article 112 CRR 170 Total exposures 3.4.2. C 09.02 – Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) 3.4.2.1. Instructions concerning specific positions Columns010 ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Same definition as for column 020 of CR IRB template 030 Of which defaulted Original exposure value for those exposures which have been classified as defaulted exposures in accordance with Article 178 CRR. 040 Observed new defaults for the period The amount of original exposures which have moved into exposure class Exposures in default during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged. 050 General credit risk adjustments Credit risk adjustments as referred to in Article 110 CRR. 055 Specific credit risk adjustments Credit risk adjustments as referred to in Article 110 CRR. 060 Write-offs Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)]. 070 Credit risk adjustments/write-offs for observed new defaults Sum of credit risk adjustments and write-offs for those exposures which were classified as defaulted exposures during the 3-month period since the last data submission. 080 INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) Same definition as for column 010 of CR IRB template 090 EXPOSURE WEIGHTED AVERAGE LGD (%) Same definition as for columns 230 and 240 of CR IRB template: the exposure weighted average LGD (%) shall refer to all exposures, including exposures to large financial sector entities and unregulated financial entities. Point (h) of Article 181(1) CRR shall apply.

Data shall not be reported for specialised lending exposures referred to in Article 153(5) CRR. 100 Of which: defaulted Exposure weighted LGD for those exposures which have been classified as defaulted exposures in accordance with Article 178 CRR. 105 Exposure value Same definition as for column 110 of CR IRB template. 110 RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR Same definition as for column 255 of CR IRB template 120 Of which defaulted Risk weighted exposure amount for those exposures which have been classified as defaulted exposures in accordance with Article 178(1) CRR. 125 RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR Same definition as for column 260 of CR IRB template 130 EXPECTED LOSS AMOUNT Same definition as for column 280 of CR IRB template Rows010 Central banks and central governments Point (a) of Article 147(2) CRR 020 Institutions Point (b) of Article 147(2) CRR 030 Corporates All exposures to corporates as referred to in point (c) of Article 147(2) CRR 042 Of which: Specialised lending (excl. SL subject to slotting criteria) Point (a) of Article 147(8) CRR Data shall not be reported for specialized lending exposures as referred to in Article 153(5) CRR. 045 Of which: Specialised lending subject to slotting criteria Point (a) of Article 147(8) and Article 153(5) CRR 050 Of which: SME Point (c) of Article 147(2) CRR 060 Retail All retail exposures as referred to in point (d) of Article 147(2) CRR 070 Retail – Secured by real estate property Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate 080 SME Retail exposures as referred to in point (d) of Article 147(2) and Article 154(3) CRR which are secured by real estate 090 non-SME Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate 100 Retail – Qualifying revolving Retail exposures as referred to in point (d) of Article 147(2) in conjunction with Article 154(4) CRR 110 Other Retail Other retail exposures as referred to in point (d) of Article 147(2) CRR which are not reported in rows 070 – 100 120 SME Other retail exposures as referred to in point (d) of Article 147(2) CRR to SMEs 130 non-SME Other retail exposures as referred to in point (d) of Article 147(2) CRR to non-SMEs 140 Equity Equity exposures as referred to in point (e) of Article 147(2) CRR 150 Total exposures 3.4.3. C 09.04 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB) 3.4.3.1. General remarks 82. This template aims at receiving more information regarding the elements of the institution-specific countercyclical capital buffer. The information required refers to the own funds requirements determined in accordance with Title II and Title IV of Part Three CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution-specific countercyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures).

1. Information in template C 09.04 shall be reported for the Total of relevant credit exposures across all jurisdictions where those exposures are located and individually for each of the jurisdictions in which relevant credit exposures are located. The total figures as well as the information of each jurisdiction shall be reported in a separate dimension.
2. The threshold set in point (4) of Article 5(a) of this Implementing Regulation shall not apply for the reporting of this breakdown.
3. In order to determine the geographical location, the exposures shall be allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014 Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards on the identification of the geographical location of the relevant credit exposures for calculating institution-specific countercyclical capital buffer rates (OJ L 309, 30.10.2014, p. 5). . Therefore, CRM techniques shall not change the allocation of an exposure to its geographical location for the purpose of reporting information set out in this template. 3.4.3.2. Instructions concerning specific positions Columns010 Amount The value of the relevant credit exposures and their associated own-funds requirements determined in accordance with the instructions for the respective row. 020 Percentage 030 Qualitative Information This information shall only be reported for the country of residence of the institution (the jurisdiction corresponding to its home Member State) and the Total of all countries. Institutions shall report either {y} or {n} in accordance with the instructions for the relevant row. Rows010-020 Relevant credit exposures – Credit risk Relevant credit exposures as referred to in point (a) of Article 140(4) CRD. 010 Exposure value under the Standardised Approach Exposure value calculated in accordance with Article 111 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD. The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 055. 020 Exposure value under the IRB Approach Exposure value calculated in accordance with Article 166 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD. The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 055. 030-040 Relevant credit exposures – Market risk Relevant credit exposures as referred to in point (b) of Article 140(4) CRD. 030 Sum of long and short positions of trading book exposures for Standardised Approach Sum of net long and net short positions in accordance with Article 327 CRR of relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapter 2 of Title IV of Part Three CRR: exposures to debt instruments other than securitisation;

exposures to securitisation positions in the trading book; exposures to correlation trading portfolios; exposures to equity securities; exposures to CIUs where capital requirements are calculated in accordance with Article 348 CRR. 040 Value of trading book exposures under internal models For relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapters 2 and 5 of Title IV of Part Three CRR, the sum of the following shall be reported: Fair value of non-derivative positions, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD, determined in accordance with Article 104 CRR. Notional value of derivatives, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD. 055 Relevant credit exposures – Securitisation positions in the banking book Exposure value calculated in accordance with Article 248 CRR for relevant credit exposures as referred to in point (c) of Article 140(4) CRD. 070-110 Own funds requirements and weights 070 Total own funds requirements for CCB The sum of rows 080, 090 and 100. 080 Own funds requirements for relevant credit exposures – Credit risk Own funds requirements calculated in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD, in the country in question. Own fund requirements for securitisation positions in the banking book shall be excluded from this row and reported in row 100. The own-funds requirements are 8 % of the risk-weighted exposure amount determined in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR. 090 Own funds requirements for relevant credit exposures – Market risk Own funds requirements calculated in accordance with Chapter 2 of Title IV of Part Three CRR for specific risk, or in accordance with Chapter 5 of Title IV of Part Three CRR for incremental default and migration risk for relevant credit exposures as referred to in point (b) of Article 140(4) CRD, in the country in question. The own funds requirements for relevant credit exposures under the market risk framework shall include, among others, the own fund requirements for securitisation positions calculated in accordance with Chapter 2 of Title IV of Part Three, CRR and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 CRR. 100 Own funds requirements for relevant credit exposures – Securitisation positions in the banking book Own funds requirements calculated in accordance with Chapter 5 of Title II of Part Three CRR for relevant credit exposures as referred to in point (c) of Article 140(4) CRD in the country in question. The own-funds requirements are 8 % of the risk-weighted exposure amount calculated in accordance with Chapter 5 of Title II of Part Three, CRR. 110 Own funds requirements weights The weight applied to the countercyclical buffer rate in each country shall be calculated as a ratio of own fund requirements, determined as follows:

1. Numerator: The total own funds requirements that relate to the relevant credit exposures in the country in question [r070; c010; country sheet],
2. Denominator: The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer as referred to in Article 140(4) CRD [r070; c010; Total]. Information on the Own fund requirements weights shall not be reported for the Total of all countries. 120-140 Countercyclical buffer rates 120 Countercyclical capital buffer rate set by the Designated Authority Countercyclical capital buffer rate set for the country in question by the Designated Authority of that country in accordance with Articles 136, 137, 139, points (a) and (c) of Article 140(2) and point (b) of Article 140(3) CRD. This row shall be left empty when no countercyclical buffer rate was set for the country in question by the Designated Authority of that country. Countercyclical capital buffer rates that were set by the Designated Authority but are not yet applicable in the country in question at the reporting reference date shall not be reported. Information on the Countercyclical capital buffer rate set by the Designated Authority shall not be reported for the Total of all countries. 130 Countercyclical capital buffer rate applicable for the country of the institution Countercyclical capital buffer rate applicable for the country in question which was set by the Designated Authority of the country of residence of the institution, in accordance with Articles 137, 138, 139 and point (b) of Article 140(2) and point (a) of Article 140(3) CRD. Countercyclical capital buffer rates that are not yet applicable at the reporting reference date shall not be reported. Information on the Countercyclical capital buffer rate applicable in the country of the institution shall not be reported for the Total of all countries. 140 Institution-specific countercyclical capital buffer rate Institution-specific countercyclical capital buffer rate, calculated in accordance with Article 140(1) CRD. The institution-specific countercyclical capital buffer rate shall be calculated as the weighted average of the countercyclical buffer rates that apply in the jurisdictions where the relevant credit exposures of the institution are located or are applied for the purposes of Article 140 by virtue of paragraphs 2 or 3 of Article 139 CRD. The relevant countercyclical buffer rate shall reported in [r120; c020; country sheet], or [r130; c020; country sheet], as applicable. The weight applied to the countercyclical buffer rate in each country shall be the share of own funds requirements in total own funds requirements, and shall be reported in [r110; c020; country sheet]. Information on the institution-specific countercyclical capital buffer rate shall only be reported for the Total of all countries and not for each country separately. 150 – 160 Use of the 2 % threshold 150 Use of 2 % threshold for general credit exposure In accordance with point (b) of Article 2(5) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, the aggregate of which does not exceed 2 % of the aggregate of the general credit, trading book and securitisation exposures of that institution, may be allocated to the institutions’ home Member State. The aggregate of the general credit, trading book and securitisation exposures shall be calculated by excluding the general credit exposures located in accordance with point (a) of Article 2(5) and Article 2(4) of Commission Delegated Regulation (EU) No 1152/2014.

If the institution makes use of this derogation, it shall indicate y in the template for the jurisdiction corresponding to its home Member State and for the Total of all countries. If an institution does not make use of this derogation, it shall indicate n in the respective cell. 160 Use of 2 % threshold for trading book exposure In accordance with Article 3(3) of Commission Delegated Regulation (EU) No 1152/2014, institutions may allocate trading book exposures to their home Member State where the total trading book exposures do not exceed 2 % of their total general credit, trading book and securitisation exposures. If the institution makes use of this derogation, it shall indicate y in the template for the jurisdiction corresponding to its home Member State and for the Total of all countries. If an institution does not make use of this derogation, it shall indicate n in the respective cell. 3.5. C 10.01 AND C 10.02 – EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2) 3.5.1. General remarks 86. The CR EQU IRB template consists of two templates: CR EQU IRB 1 provides a general overview of IRB exposures of the equity exposure class and the different methods to calculate total risk exposure amounts. CR EQU IRB 2 provides a breakdown of total exposures assigned to obligor grades in the context of the PD/LGD approach. CR EQU IRB refers to both CR EQU IRB 1 and CR EQU IRB 2 templates, as applicable, in the following instructions. 87. The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (point (a) of Article 92(3) CRR) in accordance with Chapter 3 of Title II of Part Three CRR for equity exposures as referred to in point (e) of Article 147(2) CRR. 88. In accordance with Article 147(6) CRR, the following exposures shall be assigned to the equity exposure class: (a) non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer; (b) debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar to the exposures specified in point (a). 89. Collective investment undertakings treated in accordance with the simple risk weight approach as referred to in Article 152 CRR shall also be reported in the CR EQU IRB template. 90. In accordance with Article 151(1) CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 CRR: the Simple Risk Weight approach; the PD/LGD approach; the Internal Models approach. Moreover, institutions applying the IRB Approach shall also report in the CR EQU IRB template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the Standardised Approach for credit risk), e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) CRR.

1. The following equity claims shall not be reported in the CR EQU IRB template: Equity exposures in the trading book (where institutions are not exempted from calculating own funds requirements for trading book positions (Article 94 CRR)). Equity exposures subject to the partial use of the Standardised Approach (Article 150 CRR), including: Equity exposures grandfathered in accordance with Article 495(1) CRR; Equity exposures to entities the credit obligations of which are assigned a 0 % risk weight under the Standardised Approach, including those publicly sponsored entities where a 0 % risk weight can be applied (point (g) of Article 150(1) CRR), Equity exposures incurred under legislated programmes to promote specified sectors of the economy that provide significant subsidies for the investment to the institution and involve some form of government oversight and restrictions on the equity investments (point (h) of Article 150(1) CRR), Equity exposures to ancillary services undertakings the risk weighted exposure amounts of which may be calculated in accordance with the treatment of other non credit-obligation assets (Article 155(1) CRR), Equity claims deducted from own funds in accordance with Articles 46 and 48 CRR. 3.5.2. Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2) Columns005 OBLIGOR GRADE (ROW IDENTIFIER) The obligor grade shall be a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc. 010 INTERNAL RATING SYSTEM PD ASSIGNED TO THE OBLIGOR GRADE (%) Institutions applying the PD/LGD approach shall report in column 010 the probability of default (PD) calculated in accordance with Article 165(1) CRR. The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements laid down in Section 6 of Chapter 3 of Title II of Part Three CRR. For each individual grade or pool, the PD assigned to that specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures), the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. All exposures, including defaulted exposures, are to be considered for the purpose of the calculation of the exposure weighted average PD. For the calculation of the exposure-weighted average PD, the exposure value taking into account unfunded credit protection (column 060) shall be used for weighting purposes. 020 ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Institutions report in column 020 the original exposure value (pre-conversion factors). In accordance with Article 167 CRR, the exposure value for equity exposures shall be the accounting value remaining after specific credit risk adjustments. The exposure value of off-balance sheet equity exposures shall be its nominal value after specific credit risk adjustments.

Institutions shall also include in column 020 the off balance sheet items referred to in Annex I CRR assigned to the equity exposure class (e.g. the unpaid portion of partly-paid shares). Institutions applying the Simple Risk Weight approach or the PD/LGD approach (as referred to in Article 165(1) CRR) shall also take into account the offsetting referred to in the second subparagraph of Article 155(2) CRR. 030-040 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE UNFUNDED CREDIT PROTECTION GUARANTEES CREDIT DERIVATIVES Irrespective of the approach adopted for the calculation of risk weighted exposure amounts for equity exposures, institutions may recognise unfunded credit protection obtained on equity exposures (Paragraphs 2, 3 and 4 of Article 155 CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in columns 030 and 040 the amount of unfunded credit protection under the form of guarantees (column 030) or credit derivatives (column 040) recognised in accordance with the methods set out in Chapter 4 of Title II of Part Three CRR. 050 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE SUBSTITUTION OF THE EXPOSURE DUE TO CRM (-) TOTAL OUTFLOWS Institutions shall report in column 050 the part of the original exposure pre-conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Chapter 4 of Title II of Part Three CRR. 060 EXPOSURE VALUE Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in column 060 the exposure value, taking into account substitution effects stemming from unfunded credit protection (Paragraphs 2 and 3 of Article 155 and Article 167 CRR). In the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 CRR). 070 EXPOSURE WEIGHTED AVERAGE LGD (%) Institutions applying the PD/LGD approach shall report the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation. The exposure value taking into account unfunded credit protection (column 060) shall be used for the calculation of the exposure-weighted average LGD. Institutions shall take into account Article 165(2) CRR. 080 RISK WEIGHTED EXPOSURE AMOUNT Institutions shall report risk-weighted exposure amounts for equity exposures calculated in accordance with Article 155 CRR. Where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 CRR, a scaling factor of 1,5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) CRR). With regard to the input parameter M (Maturity) to the risk-weight function, the maturity assigned to equity exposures equals 5 years (Article 165(3) CRR). 090 MEMORANDUM ITEM: EXPECTED LOSS AMOUNT Institutions shall report in column 090 the expected loss amount for equity exposures calculated in accordance with paragraphs 4, 7, 8 and 9 of Article 158 CRR.

1. In accordance with Article 155 CRR, institutions may employ different approaches (Simple Risk Weight approach, PD/LGD approach or Internal Models approach) to different portfolios when they use these different approaches internally. Institutions shall also report in the CR EQU IRB 1 template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised Approach). RowsCR EQU IRB 1 – row 020, PD/LGD APRROACH: TOTAL Institutions applying the PD/LGD approach (Article 155(3) CRR) shall report the required information in row 020 of the CR EQU IRB 1 template. CR EQU IRB 1 – rows 050- 090 SIMPLE RISK WEIGHT APPROACH: TOTAL BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APPROACH BY RISK WEIGHTS: Institutions applying the Simple Risk Weight approach (Article 155(2) CRR) shall report the required information in accordance with the characteristics of the underlying exposures in rows 050 to 090. CR EQU IRB 1 – row 100 INTERNAL MODELS APPROACH Institutions applying the Internal Models approach (Article 155(4) CRR) shall report the required information in row 100. CR EQU IRB 1 – row 110 EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS Institutions applying the IRB Approach shall report risk weighted exposure amounts for those equity exposures which attract a fixed risk weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised Approach). As an example: the risk weighted exposure amount of equity positions in financial sector entities treated in accordance with Article 48(4) CRR, as well as equity positions risk-weighted with 370 % in accordance with Article 471(2) CRR shall be reported in row 110. CR EQU IRB 2 BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: Institutions applying the PD/LGD approach (Article 155(3) CRR) shall report the required information in the CR EQU IRB 2 template. Institutions using the PD/LGD approach that apply a unique rating system or that are able to report in accordance with an internal master scale shall report in CR EQU IRB 2 the rating grades or pools associated to this unique rating system/master scale. In any other case, the different rating systems shall be merged and ordered in accordance with the following criteria: Obligor grades or pools of the different rating systems shall be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher. 3.6. C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT) 3.6.1. General remarks
2. This template requests information on both trading and non-trading book transactions which are unsettled after their due delivery dates, and their corresponding own funds requirements for settlement risk as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR.

1. Institutions shall report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book.
2. In accordance with Article 378 CRR, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to own funds requirements for settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates shall nevertheless be subject to own funds requirements for settlement/delivery risk as determined in Article 378 CRR.
3. In case of unsettled transactions after the due delivery date, institutions shall calculate the price difference to which they are exposed. That is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution.
4. Institutions shall multiply that difference by the appropriate factor of Table 1 of Article 378 CRR to determine the corresponding own funds requirements.
5. In accordance with point (b) of Article 92(4) CRR, the own funds requirements for settlement/delivery risk shall be multiplied by 12,5 to calculate the risk exposure amount.
6. Note that own funds requirements for free deliveries as laid down in Article 379 CRR are not within the scope of the CR SETT template. Those own funds requirements shall be reported in the credit risk templates (CR SA, CR IRB). 3.6.2. Instructions concerning specific positions Columns010 UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE Institutions shall report the unsettled transactions after their due delivery date at the respective agreed settlement prices as referred to in Article 378 CRR. All unsettled transactions shall be included in this column, irrespective of whether or not they are at a gain or at a loss after the due settlement date. 020 PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS Institutions shall report the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution, as referred to in Article 378 CRR. Only unsettled transactions at a loss after the due settlement date shall be reported in this column. 030 OWN FUNDS REQUIREMENTS Institutions shall report the own funds requirements calculated in accordance with Article 378 CRR. 040 TOTAL SETTLEMENT RISK EXPOSURE AMOUNT In accordance with point (b) of Article 92(4) CRR, institutions shall multiply their own funds requirements reported in column 030 by 12,5 in order to obtain the settlement risk exposure amount. Rows010 Total unsettled transactions in the Non-trading Book Institutions shall report aggregated information about settlement/delivery risk for non-trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR).

Institutions shall report in {r010;c010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions shall report in {r010;c020} the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions shall report in {r010;c030] the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the price difference reported in column 020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 CRR). 020 to 060 Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %) Institutions shall report in rows 020 to 060 the information about settlement/delivery risk for non-trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date. 070 Total unsettled transactions in the Trading Book Institutions shall report aggregated information about settlement/delivery risk for trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR). Institutions shall report in {r070;c010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions shall report in {r070;c020} the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions shall report in {r070;c030} the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the price difference reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 CRR). 080 to 120 Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %) Institutions shall report in rows 080 to 120 the information about settlement/delivery risk for trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date. 3.7. C 13.01 – CREDIT RISK – SECURITISATIONS (CR SEC) 3.7.1. General remarks 100. Where institution acts as originator, the information in this template shall be required for all securitisations for which a significant risk transfer is recognised. Where the institution acts as investor, all exposures shall be reported.

1. The information to be reported shall be contingent on the role of the institution in the securitisation process. As such, specific reporting items shall be applicable for originators, sponsors and investors.
2. This template shall gather joint information on both traditional and synthetic securitisations held in the banking book. 3.7.2. Instructions concerning specific positions Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ L 347, 28.12.2017, p. 35). Columns0010 TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED Originator institutions shall report the outstanding amount at the reporting date of all current securitisation exposures originated in the securitisation transaction, irrespective of who holds the positions. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) that have been originated in the securitisation shall be reported. In case of traditional securitisations where the originator does not hold any position, the originator shall not consider that securitisation in the reporting of this template. For that purpose, securitisation positions held by the originator shall include early amortisation provisions, as defined in Article 242(16) CRR, in a securitisation of revolving exposures. 0020-0040 SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES Articles 251 and 252 CRR. Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure. 0020 (-) FUNDED CREDIT PROTECTION (CVA) The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which shall be reported in this column is laid down in Article 223(2) CRR. 0030 (-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G) Following the general rule for inflows and outflows, the amounts reported under this column shall appear as inflows in the corresponding credit risk template (CR SA or CR IRB) and exposure class to which the reporting entity allocates the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection). The calculation procedure of the foreign exchange risk- adjusted nominal amount of the credit protection (G) is laid down in Article 233(3) CRR. 0040 NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount. The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.

0050 SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS This column shall include the exposure values of securitisation positions held by the reporting institution, calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, without applying credit conversion factors, gross of value adjustments and provisions, and any non-refundable purchase price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, and gross of value adjustments and provisions on the securitisation position. Netting shall only be relevant with respect to multiple derivative contracts provided to the same SSPE, covered by an eligible netting agreement. In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest shall be the result of the aggregation of columns 0010 to 0040. 0060 (-) VALUE ADJUSTMENTS AND PROVISIONS

Article 248 CRR. Value adjustments and provisions to be reported in this column shall only refer to securitisation positions. Value adjustments of securitised exposures shall not be considered. 0070 EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS This column shall include the exposure values of securitisation positions calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, net of value adjustments and provisions, without applying conversion factors and gross of any non-refundable purchase price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, and net of value adjustments and provisions on the securitisation position. 0080-0110 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Point (57) of Article 4(1) CRR, Chapter 4 of Title II of Part Three, CRR and Article 249 CRR Institutions shall report in these columns information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows). Collateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value. Items to be reported here:

1. collateral, incorporated in accordance with Article 222 CRR (Financial Collateral Simple Method);
2. eligible unfunded credit protection. 0080 (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA) Unfunded credit protection as defined in Article 4(1)(59), Articles 234 to 236 CRR. 0090 (-) FUNDED CREDIT PROTECTION Funded credit protection as defined in Article 4(1)(58) CRR, as referred to in the first subparagraph of Article 249(2) CRR and as regulated in Articles 195, 197 and 200 CRR. Credit linked notes and on-balance sheet netting as referred to in Articles 218 and 219 CRR shall be treated as cash collateral. 0100-0110 SUBSTITUTION OF THE EXPOSURE DUE TO CRM: Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall be reported. 0100 (-) TOTAL OUTFLOWS

Article 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR. Outflows shall correspond to the covered part of the Exposure net of value adjustments and provisions that is deducted from the obligor’s exposure class and, where relevant, risk weight or obligor grade, and subsequently assigned to the protection provider’s exposure class and, where relevant, risk weight or obligor grade. That amount shall be considered as an Inflow into the protection provider’s exposure class and, where relevant, risk weights or obligor grades. 0110 TOTAL INFLOWS Securitisation positions which are debt securities and are used as eligible financial collateral in accordance with Article 197(1) CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column. 0120 NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS This column shall include the exposures assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to Credit risk mitigation (CRM) techniques with substitution effects on the exposure. 0130 (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM) Articles 223 to 228 CRR The reported amount shall also include credit linked notes (Article 218 CRR). 0140 FULLY ADJUSTED EXPOSURE VALUE (E) The exposure value of securitisation positions calculated in accordance with Article 248 CRR, but without applying the conversion factors laid down in point (b) of Article 248(1) CRR 0150 OF WHICH: SUBJECT TO A CCF OF 0 % Point (b) of Article 248(1) CRR In this respect, point (56) of Article 4(1) CRR defines a conversion factor. For reporting purposes, fully adjusted exposure values (E) shall be reported for the 0 % conversion factor. 0160 (-)NON REFUNDABLE PURCHASE PRICE DISCOUNT In accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from the exposure value of a securitisation position which is assigned a 1250 % risk weight any non-refundable purchase price discounts connected with such underlying exposures to the extent that such discounts have caused the reduction of own funds. 0170 (-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES In accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from the exposure value of a securitisation position, which is assigned a 1250 % risk weight or is deducted from Common Equity Tier 1, the amount of the specific credit risk adjustments on the underlying exposures as determined in accordance with Article 110 CRR. 0180 EXPOSURE VALUE The exposure value of securitisation positions calculated in accordance with Article 248 CRR 0190 (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS In accordance with point (b) of Article 244(1), point (b) of Article 245(1) and Article 253(1) CRR, in case of a securitisation position to which a 1250 % risk weight applies, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.

0200 EXPOSURE VALUE SUBJECT TO RISK WEIGHTS Exposure value minus the exposure value deducted from own funds. 0210 SEC-IRBA Point (a) of Article 254(1) CRR 0220-0260 BREAKDOWN BY RW BANDS SEC-IRBA exposures broken down by risk-weight bands. 0270 OF WHICH: CALCULATED UNDER ARTICLE 255(4) (PURCHASED RECEIVABLES)

Article 255(4) CRR For the purpose of this column, retail exposures shall be treated as purchased retail receivables and non-retail exposures as purchased corporate receivables. 0280 SEC-SA Point (b) of Article 254(1) CRR 0290-0340 BREAKDOWN BY RW BANDS SEC-SA exposures broken down by risk-weight bands. For the RW = 1250 % (W unknown), the fourth paragraph of point (b) of Article 261(2) CRR stipulates that the position in the securitisation shall be risk-weighted at 1250 % where the institution does not know the delinquency status for more than 5 % of underlying exposures in the pool. 0350 SEC-ERBA Point (c) of Article 254(1) CRR 0360-0570 BREAKDOWN BY CREDIT QUALITY STEPS (SHORT/LONG TERM CREDIT QUALITY STEPS)

Article 263 CRR SEC-ERBA Securitisation positions with an inferred rating as referred to in Article 254(2) CRR shall be reported as positions with a rating. Exposure values subject to risk weights shall be broken down by short and long-term and credit quality steps (CQS) as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 of Article 264 CRR. 0580-0630 BREAKDOWN BY REASON FOR APPLICATION OF SEC-ERBA For each securitisation position, institutions shall consider one of the following options in columns 0580-0620. 0580 AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES Point (c) of Article 254(2) CRR All auto loans, auto leases and equipment leases shall be reported in this column, even if they qualify for Article 254(2)(a) or (b) of CRR. 0590 SEC-ERBA OPTION

Article 254(3) CRR 0600 POSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRR Point (a) of Article 254(2) CRR 0610 POSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRR Point (b) of Article 254(2) CRR 0620 POSITIONS SUBJECT TO ARTICLES 254(4) OR 258(2) CRR Securitisation positions subject to SEC-ERBA, where the application of SEC-IRBA or SEC-SA has been precluded by the competent authorities in accordance with Articles 254(4) or 258(2) CRR 0630 FOLLOWING THE HIERARCHY OF APPROACHES Securitisation positions where SEC-ERBA is applied by following the hierarchy of approaches laid down in Article 254(1) CRR 0640 INTERNAL ASSESSMENT APPROACH

Article 254(5) CRR on the Internal Assessment Approach (IAA) for positions in ABCP programmes 0650-0690 BREAKDOWN BY RW BANDS Internal Assessment Approach exposures broken down by risk-weight bands 0700 OTHER (RW = 1250 %) Where none of the previous approaches is applied, a risk weight of 1250 % shall be assigned to securitisation positions in accordance with Article 254(7) CRR. 0710-0860 RISK-WEIGHTED EXPOSURE AMOUNT Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template. 0840 IAA: AVERAGE RISK WEIGHT (%) The exposure-weighted average risk weights of the securitisation positions shall be reported in this column. 0860 RWEA OF WHICH: SYNTHETIC SECURITISATIONS For synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch. 0870 ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES Maturity mismatches in synthetic securitisations RW-RW(SP), as calculated in accordance with Article 252 CRR, shall be included, except in the case of tranches subject to a risk weighting of 1250 % where the amount to be reported shall be zero. RW(SP) shall not only include the risk weighted exposure amounts reported under column 0650, but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates. 0880 OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 In accordance with Article 270a CRR, whenever certain requirements are not met by the institution, competent authorities shall impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1250 %) which would apply to the relevant securitisation positions under Section 3 of Chapter 5 of Title II of Part Three CRR. 0890 BEFORE CAP Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, before applying the limits specified in Articles 267 and 268 CRR. 0900 (-) REDUCTION DUE TO RISK WEIGHT CAP In accordance with Article 267 CRR, an institution which has knowledge at all times of the composition of the underlying exposures may assign the senior securitisation position a maximum risk weight equal to the exposure-weighted-average risk weight that would be applicable to the underlying exposures as if the underlying exposures had not been securitised. 0910 (-) REDUCTION DUE TO OVERALL CAP In accordance with Article 268 CRR, an originator institution, a sponsor institution or other institution using the SEC-IRBA or an originator institution or sponsor institution using the SEC-SA or the SEC-ERBA may apply a maximum capital requirement for the securitisation position it holds equal to the capital requirements that would be calculated under Chapter 2 or 3 of Title II of Part Three in respect of the underlying exposures had they not been securitised.

0920 TOTAL RISK-WEIGHTED EXPOSURE AMOUNT Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, considering the total risk weight as specified in Article 247(6) CRR. 0930 MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS TO OTHER EXPOSURE CLASSES Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions. 103. The template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information shall be broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as if it is subject to differentiated capital treatment or not. 104. Positions treated in accordance with the SEC-ERBA and unrated positions (exposures at reporting date) shall be broken down in accordance with the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information. Rows0010 TOTAL EXPOSURES Total exposures refer to the total amount of outstanding securitisations and re-securitisations. This row summarises all the information reported by originators, sponsors and investors in subsequent rows. 0020 SECURITISATION POSITIONS Total amount of outstanding securitisation positions, as defined in point (62) of Article 4(1) CRR, which are not re-securitisations as defined in point (63) of Article 4(1) CRR. 0030 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 or 270 CRR and therefore qualify for differentiated capital treatment. 0040 STS EXPOSURES Total amount of STS securitisation positions that meet the requirements set out in Article 243 CRR. 0050 SENIOR POSITION IN SMEs SECURITISATIONS Total amount of senior securitisation positions in SMEs which meet the conditions set out in Article 270 CRR. 0060, 0120, 0170, 0240, 0290, 0360 and 0410 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Paragraphs 1, 4, 5 and 6 of Article 254 and Articles 259, 261, 263, 265, 266 and 269 CRR Total amount of securitisation positions which do not qualify for differentiated capital treatment. 0070, 0190, 0310 and 0430 RE-SECURITISATION POSITIONS Total amount of outstanding re-securitisations positions as defined in point (64) of Article 4(1) CRR. 0080 ORIGINATOR: TOTAL EXPOSURES This row summarises information on on-balance items and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of originator, as defined in point (13) of Article 4(1) CRR. 0090-0130, 0210-0250 and 0330-0370 SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS In accordance with point (a) of Article 248(1) CRR, the exposure value of an on-balance sheet securitisation position shall be its accounting value remaining after any relevant specific credit risk adjustments on the securitisation position have been applied in accordance with Article 110 CRR.

On-balance sheet items shall be broken down to capture information regarding application of differentiated capital treatment, as referred to in Article 243 CRR, in rows 0100 and 0120 and on the total amount of senior securitisation positions, as defined in Article 242(6) CRR, in rows 0110 and 0130. 0100, 0220 and 0340 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 CRR and therefore qualify for differentiated capital treatment. 0110, 0130, 0160, 0180, 0230, 0250, 0280, 0300, 0350, 0370, 400 and 420 OF WHICH: SENIOR EXPOSURES Total amount of senior securitisation positions as defined in Article 242(6) CRR. 0140-0180, 0260-0300 and 0380-0420 SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES These rows shall gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion factor unless otherwise specified. Off-balance sheet securitisation positions arising from a derivative instrument listed in Annex II to the CRR, shall be determined in accordance with Chapter 6 of Title II of Part Three CRR. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II to the CRR shall be determined in accordance with Chapter 6 of Title II of Part Three CRR. For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount. For interest rate and currency swaps, the exposure value (calculated in accordance with Article 248(1) CRR) shall be provided. Off-balance sheet items and derivatives shall be broken down to capture information regarding the application of differentiated capital treatment, as referred to in Article 270 CRR, in rows 0150 and 0170 and on the total amount of senior securitisation positions, as defined in Article 242(6) CRR, in rows 0160 and 0180. The same legal references as for rows 0100 to 0130 shall apply. 0150, 0270 and 0390 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 or Article 270 CRR and therefore qualify for differentiated capital treatment. 0200 INVESTOR: TOTAL EXPOSURES This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of an investor. For the purposes of this template, an investor shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor. 0320 SPONSOR: TOTAL EXPOSURES This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of a sponsor, as defined in point (14) of Article 4(1) CRR. If a sponsor is also securitising its own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets.

0440-0670 BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION These rows gather information on outstanding positions (at reporting date) for which a credit quality step (as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 of Article 264 CRR) was determined at origination date (inception). For securitisations positions treated under IAA, the CQS shall be the one at the time an IAA rating was first assigned. In the absence of this information, the earliest CQS-equivalent data available shall be reported. These rows are only to be reported for columns 0180-0210, 0280, 0350-0640, 0700-0720, 0740, 0760-0830 and 0850. 3.9. DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) 3.9.1. Scope of the SEC DETAILS template 109. These templates gather information on a transaction basis (versus the aggregate information reported in CR SEC, MKR SA SEC, MKR SA CTP, CA1 and CA2 templates) on all securitisations the reporting institution is involved in. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements shall be reported. 110. These template are to be reported for: a. Securitisations originated/sponsored by the reporting institution, including where it holds no position in the securitisation. In cases where institutions hold at least one position in the securitisation, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 6 of Regulation (EU) 2017/2402 and, where Article 43(6) of that Regulation applies, Article 405 CRR in the version applicable on 31 December 2018. b. Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. That underlying could include covered bonds or other liabilities and shall be identified as such in column 160. c. Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders). 111. These templates shall be reported by consolidated groups and stand-alone institutions Stand alone institutions are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements. located in the same country where they are subject to own funds requirements. In case of securitisations involving more than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided. 112. Because of Article 5 of Regulation (EU) 2017/2402, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements, the reporting scope of the template shall be applied to investors to a limited extent. In particular, they shall report columns 010-040; 070-110; 161; 190; 290-300; 310-470.

1. Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation) shall generally report the template to the same extent as investors. 3.9.2. Breakdown of the SEC DETAILS template 113a. The SEC DETAILS consists of two templates. SEC DETAILS provides a general overview of the securitisations and SEC DETAILS 2 provides a breakdown of the same securitisations by approach applied. 113b. Securitisation positions in the trading book shall only be reported in columns 005-020, 420, 430, 431, 432, 440 and 450-470. For columns 420, 430 and 440, institutions shall take into account the RW corresponding to the own funds requirement of the net position. 3.9.3. C 14.00 – Detailed information on securitisations (SEC DETAILS) Columns005 ROW NUMBER The row number is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc. 010 INTERNAL CODE Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation transaction. 020 IDENTIFIER OF THE SECURITISATION (Code/Name) Code used for the legal registration of the securitisation transaction or, if not available, the name by which the securitisation transaction is known in the market, or within the institution in case of an internal or private securitisation. Where the International Securities Identification Number -ISIN- is available (i.e. for public transactions), the characters that are common to all tranches of the securitisation shall be reported in this column. 021 INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION? This column identifies whether the securitisation is an intra-group, private or public securitisation, Institutions shall report one of the following abbreviations: PRI for Private INT for Intra-group PUB for Public. 110 ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR) Institutions shall report the following abbreviations: O for Originator; S for Sponsor; I for Investor. L for Original Lender; Originator as defined in point (13) of Article 4(1) CRR and Sponsor as defined in point (14) of Article 4(1) CRR. Investors are assumed to be those institutions to which Article 5 of Regulation (EU) 2017/2402 applies. In case Article 43(5) of Regulation (EU) 2017/2402 applies, Articles 406 and 407 CRR in the version applicable on 31 December 2018 shall apply. 030 IDENTIFIER OF THE ORIGINATOR (Code/Name) The LEI code applicable to the originator, or, if not available, the code given by the supervisory authority to the originator or, if that is not available, the name of the institution itself shall be reported in this column. In the case of multi-seller securitisations where the reporting institution is involved as originator, sponsor or original lender, the reporting institution shall provide the identifier of all the entities within its consolidated group that are involved (as originator, sponsor or original lender) in the transaction. If the code is not available or is not known by the reporting institution, the name of the institution shall be reported.

In the case of multi-seller securitisations where the reporting institution holds a position in the securitisation as an investor, the reporting institution shall provide the identifier of all the different originators involved in the securitisation, or, if not available, the names of the different originators. Where the names are not known by the reporting institution, the reporting institution shall report that the securitisation is multi-seller. 040 SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC/ABCP PROGRAMME/ABCP TRANSACTION) Institutions shall report the following abbreviations: AP for ABCP programme; AT for ABCP transaction; T for Traditional; S for Synthetic. The definitions of Asset Backed Commercial Paper Programme, Asset Backed Commercial Paper Transaction, traditional securitisation and synthetic securitisation are provided in points (11) to (14) of Article 242 CRR. 051 ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET? Institutions as originators, sponsors and original lenders shall report one of the following abbreviations: K if entirely recognised; P if partially derecognised; R if entirely derecognised; N if not applicable. This column summarises the accounting treatment of the transaction. Significant risk transfer (SRT) under Articles 244 and 245 CRR shall not affect the accounting treatment of the transaction under the relevant accounting framework. In the case of securitisations of liabilities, originators shall not report this column. Option P (partially removed) shall be reported where the securitised assets are recognised in the balance sheet to the extent of the reporting entity’s continuing involvement in accordance with IFRS 9.3.2.16 – 3.2.21. 060 SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS? Originators, only, shall report the following abbreviations: N not subject to own funds requirements; B banking book; T trading book; A partly in both books. Articles 109, 244 and 245 CRR. This column summarises the solvency treatment of the securitisation scheme by the originator. It indicates whether own funds requirements are calculated on the basis of securitised exposures or securitisation positions (banking book/trading book). Where own funds requirements are based on securitised exposures (as no significant risk transfer was achieved) the calculation of own funds requirements for credit risk shall be reported in the CR SA template, for those securitised exposures for which the Standardised Approach is used, or in the CR IRB template for those securitised exposures for which the Internal Ratings Based Approach is used by the institution. Conversely, where own funds requirements are based on securitisation positions held in the banking book (as a significant risk transfer was achieved), the information on the calculation of own funds requirements for credit risk shall be reported in the CR SEC template. In case of securitisation positions held in the trading book, the information on the calculation of own funds requirements for market risk shall be reported in the MKR SA TDI (standardised general position risk) and in the MKR SA SEC or MKR SA CTP (standardised specific position risk) or in the MKR IM (internal models) templates.

In the case of the securitisations of liabilities, originators shall not report this column. 061 SIGNIFICANT RISK TRANSFER Originators, only, shall report the following abbreviations: N Not applied for SRT and the reporting entity risk weights its securitised exposures A Achieved SRT under point (a) of Article 244(2) or point (a) of Article 245(2) CRR; B Achieved SRT under point (b) of Article 244(2) or point (b) of Article 245(2) CRR; C Achieved SRT under point (a) of Article 244(3) or point (a) of Article 245(3) CRR; D Applying a 1250 % RW or deducting retained positions in accordance with point (b) of Article 244(1) or point (b) of Article 245(1) CRR. This column summarises whether a significant transfer has been achieved and, if so, by which means. The achievement of SRT will determine the appropriate solvency treatment by the originator. 070 SECURITISATION OR RE-SECURITISATION? In accordance with the definition of securitisation in point (61) of Article 4(1) CRR and the definition of re-securitisation in point (64) of Article 4(1)CRR, report the type of underlying using the following abbreviations: S for securitisation; R for re-securitisation. 075 STS SECURITISATION

Article 18 of Regulation (EU) 2017/2402 Report one of the following abbreviations YYesNNo 446 SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Articles 243 and 270 CRR. Institutions shall report one of the following abbreviations YYesNNo Yes shall be reported both in case of STS securitisations qualifying for the differentiated capital treatment in accordance with Article 243 CRR and in case of senior positions in (non-STS) SME securitisations eligible for this treatment in accordance with Article 270 CRR. 080-100 RETENTION

Article 6 of the Regulation (EU) 2017/2402. In case Article 43(6) of Regulation (EU) 2017/2402 applies, Article 405 CRR in the version applicable on 31 December 2018, 080 TYPE OF RETENTION APPLIED For each securitisation scheme originated, the relevant type of retention of net economic interest as envisaged in Article 6 of Regulation (EU) 2017/2402 shall be reported: A – Vertical slice (securitisation positions): retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors. V – Vertical slice (securitised exposures): retention of no less than 5 % of the credit risk of each of the securitised exposures, if the credit risk thus retained with respect to such securitised exposures always ranks pari passu with, or is subordinated to, the credit risk that has been securitised with respect to those same exposures. B – Revolving exposures: in the case of securitisations of revolving exposures, retention of the originator’s interest of no less than 5 % of the nominal value of the securitised exposures. C – On-balance sheet: retention of randomly selected exposures, equivalent to no less than 5 % of the nominal amount of the securitised exposures, where such exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is no less than 100 at origination. D – First loss: retention of the first loss tranche and, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total no less than 5 % of the nominal value of the securitised exposures. E – Exempted. This code shall be reported for those securitisations affected by the application of Article 6(6) of Regulation (EU) 2017/2402. U – In breach or unknown. This code shall be reported where the reporting institution does not know with certainty which type of retention is being applied, or in case of non-compliance. 090 % OF RETENTION AT REPORTING DATE The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be not less than 5 % (at origination date). This column shall not be reported where codes E (exempted) or N (not applicable) are reported under column 080 (Type of retention applied). 100 COMPLIANCE WITH THE RETENTION REQUIREMENT? Institutions shall report the following abbreviations: YYes;NNo. This column shall not be reported where code E (exempted) is reported under column 080 (Type of retention applied). 120-130 NON ABCP PROGRAMMES Because of the special character of ABCP programmes resulting from the fact that they comprise several single securitisation positions, ABCP programmes (as defined in Article 242(11) CRR) shall be exempted from reporting in columns 120, 121 and 130. 120 ORIGINATION DATE (mm/yyyy) The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported in the following format: mm/yyyy.

For each securitisation scheme, the origination date cannot change between reporting dates. In the particular case of securitisation schemes backed by open pools, the origination date shall be the date of the first issuance of securities. This piece of information shall be reported even where the reporting entity does not hold any positions in the securitisation. 121 DATE OF LATEST ISSUANCE (mm/yyyy) The month and year of the date of the latest issuance of securities in the securitisation shall be reported in the following format: mm/yyyy. Regulation (EU) 2017/2402 only applies to securitisations the securities of which are issued on or after 1 January 2019. The date of the latest issuance of securities determines whether each securitisation scheme falls under the scope of Regulation (EU) 2017/2402. This information shall be reported even where the reporting entity does not hold any positions in the securitisation. 130 TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE This column gathers the amount (calculated on the basis of original exposures pre-conversion factors) of the securitised portfolio at the origination date. For securitisation schemes backed by open pools, the amount referring to the origination date of the first issuance of securities shall be reported. For traditional securitisations, no other assets of the securitisation pool shall be included. For multi-seller securitisation schemes (i.e. with more than one originator), only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. For securitisations of liabilities, only the amounts issued by the reporting entity shall be reported. This information shall be reported even where the reporting entity does not hold any positions in the securitisation. 140-225 SECURITISED EXPOSURES Columns 140 to 225 request information on several features of the securitised portfolio by the reporting entity. 140 TOTAL AMOUNT Institutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations, no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator), only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. In the case of securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be enlarged after the origination date), the amount will progressively be reduced. This information shall be reported even where the reporting entity does not hold any positions in the securitisation. 150 INSTITUTION’S SHARE (%) Institution’s share (percentage with two decimals) at reporting date in the securitised portfolio. The figure to be reported in this column is, by default, 100 %, except for multi-seller securitisation schemes. In that case, the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 140 in relative terms).

This information shall be reported even where the reporting entity does not hold any positions in the securitisation. 160 TYPE This column gathers information on the type of assets (Residential mortgages to Other wholesale exposures) or liabilities (Covered bonds and Other liabilities) of the securitised portfolio. The institution shall report one of the following options, considering the highest EAD: Retail: Residential mortgages; Credit card receivables; Consumer loans; Loans to SMEs (treated as retail); Other retail exposures. Wholesale: Commercial mortgages; Leasing; Loans to corporates; Loans to SMEs (treated as corporates); Trade receivables; Other wholesale exposures. Liabilites: Covered bonds; Other liabilities. Where the pool of securitised exposures is a mix of the types listed above, the institution shall indicate the most important type. In case of re-securitisations, the institution shall refer to the ultimate underlying pool of assets. Type Other liabilities includes treasury bonds and credit linked notes. For securitisation schemes backed by closed pools the type cannot change between reporting dates. 171 % OF IRB IN APPROACH APPLIED This column gathers information on the approach(es) that at the reporting date the institution would apply to the securitised exposures. Institutions shall report the percentage of the securitised exposures, measured by exposure value, to which the Internal Ratings Based Approach applies at the reporting date. This information shall be reported even where the reporting entity does not hold any positions in the securitisation. This column shall, however, not apply to securitisations of liabilities. 180 NUMBER OF EXPOSURES

Article 259(4) CRR. This column shall be compulsory for those institutions using the SEC-IRBA approach to the securitisation positions (and, therefore, reporting more than 95 % in column 171). The institution shall report the effective number of exposures. This column shall not be reported in case of a securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets). This column shall not be reported where the reporting institution does not hold any positions in the securitisation. This column shall not be reported by investors. 181 EXPOSURES IN DEFAULT W (%)

Article 261(2) CRR. Even where the institution is not applying the SEC-SA approach to the securitisation positions, the institution shall report the W factor (relating to the underlying exposures in default) which is to be calculated as indicated in Article 261(2) CRR. 190 COUNTRY Institutions shall report the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate underlying of the transaction, i.e. the country of the immediate obligor of the original securitised exposures (look through). Where the pool of the securitisation consists of different countries, the institution shall indicate the most important country. Where no country exceeds a 20 % threshold based on the amount of assets/liabilities, then other countries shall be reported. 201 LGD (%) The exposure-weighted average loss-given-default (LGD) shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 170). The LGD is to be calculated as indicated in Article 259(5) CRR. This column shall not be reported in case of a securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets). 202 EL (%) The exposure-weighted average expected loss (EL) of the securitised assets shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 171). In the case of SA securitised assets, the EL reported shall be the specific credit risk adjustments as referred to in Article 111 CRR. The EL shall be calculated as indicated in Section 3, Chapter 3 of Title II, Part Three CRR. This column shall not be reported in case of securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets). 203 UL (%) The exposure-weighted average unexpected loss (UL) of the securitised assets shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 170). The UL of assets equals the risk-weighted exposure amount (RWEA) times 8 %. RWEA shall be calculated as indicated in Section 2, Chapter 3 of Title II, Part Three CRR. This column shall not be reported in case of securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in the case of a securitisation of assets). 204 EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS The exposure-weighted average maturity (WAM) of the securitised assets at the reporting date shall be reported by all institutions regardless of the approach used for calculating capital requirements. Institutions shall calculate the maturity of each asset as indicated in points (a) and (f) of Article 162(2) CRR, without applying the 5 year cap. 210 (-) VALUE ADJUSTMENTS AND PROVISIONS Value adjustments and provisions (Article 159 CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments shall include any amount recognised in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on assets purchased when in default as referred to in Article 166(1) CRR. Provisions shall include accumulated amounts of credit losses in off-balance sheet items.

This column gathers information on the value adjustments and provisions applied to the securitised exposures. This column shall not be reported in the case of a securitisation of liabilities. This information shall be reported even where the reporting entity does not hold any positions in the securitisation. 221 OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) KIRB This column shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 171) and gathers information on KIRB, as referred to in Article 255 CRR. KIRB shall be expressed as a percentage (with two decimals). This column shall not be reported in case of a securitisation of liabilities. In case of a securitisation of assets, this information shall be reported even where the reporting entity does not hold any positions in the securitisation. 222 % OF RETAIL EXPOSURES IN IRB POOLS IRB pools as defined in Article 242(7) CRR, provided that the institution is able to calculate KIRB in accordance with Section 3 of Chapter 6 of Title II of Part Three CRR on a minimum of 95 % of the underlying exposure amount (Article 259(2) CRR) 223 OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa Even where the institution does not apply the SEC-SA approach to the securitisation positions, the institution shall report this column. This column gathers information on KSA, as referred to in Article 255(6) CRR. KSA shall be expressed as a percentage (with two decimals). This column shall not be reported in case of a securitisation of liabilities. In case of a securitisation of assets, this information shall be reported even where the reporting entity does not hold any positions in the securitisation. 225 MEMORANDUM ITEMS 225 CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD

Article 110 CRR 230-304 SECURITISATION STRUCTURE This block of columns gathers information on the structure of the securitisation on the basis of on/off balance sheet positions, tranches (senior/mezzanine/first loss) and maturity at reporting date. For multi-seller securitisations, only the amount corresponding or attributed to the reporting institution shall be reported. 230-252 ON-BALANCE SHEET ITEMS This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss). 230-232 SENIOR 230 AMOUNT The amount of senior securitisation positions as defined in Article 242(6) CRR. 231 ATTACHMENT POINT (%) The attachment point (%) as referred to in Article 256(1) CRR 232 and 252 CQS Credit quality steps (CQS) as envisaged for institutions applying SEC-ERBA (Table 1 and 2 in Article 263 and Tables 3 and 4 in Article 264 CRR). These columns shall be reported for all rated transactions irrespective of the approach applied. 240-242 MEZZANINE 240 AMOUNT The amount to be reported includes: mezzanine securitisation positions as defined in Article 242(18) CRR; additional securitisation positions which are not those positions that are defined in Article 242(6), (17) or (18) CRR. 241 NUMBER OF TRANCHES Number of mezzanine tranches. 242 CQS OF THE MOST SUBORDINATED ONE CQS, as determined in accordance with Table 2 of Article 263 and Table 3 of Article 264 CRR, of the most subordinated mezzanine tranche. 250-252 FIRST LOSS 250 AMOUNT The amount of first loss tranche as defined in Article 242(17) CRR 251 DETACHMENT POINT (%) The detachment point (%) as referred to in Article 256(2) CRR 260-280 OFF-BALANCE SHEET ITEMS AND DERIVATIVES This block of columns gathers information on off-balance sheet items and derivatives broken down by tranches (senior/mezzanine/first loss). The same criteria of classification among tranches used for on-balance sheet items shall be applied here. 290-300 MATURITY 290 FIRST FORESEEABLE TERMINATION DATE The likely termination date of the whole securitisation in the light of its contractual clauses and the currently expected financial conditions. Generally, it would be the earliest of the following dates: (i) the date when a clean-up call option (as defined in Article 242(1) CRR) might first be exercised, taking into account the maturity of the underlying exposure(s) as well as their expected pre-payment rate or potential re-negotiation activities; (ii) the date on which the originator may first exercise any other call option embedded in the contractual clauses of the securitisation which would result in the total redemption of the securitisation. The day, month and year of the first expected termination date shall be reported. The exact day shall be reported where that information is available, otherwise the first day of the month shall be reported. 291 ORIGINATOR’S CALL OPTIONS INCLUDED IN TRANSACTION Type of call relevant for the first expected termination date: Clean-up call option meeting the requirements of point (g) of Article 244(4) CRR;

Other clean-up call option; Other type of call option. 300 LEGAL FINAL MATURITY DATE The date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation). The day, month and year of the legal final maturity date shall be reported. The exact day shall be reported where that information is available, otherwise the first day of the month shall be reported. 302-304 MEMORANDUM ITEMS 302 ATTACHMENT POINT OF RISK SOLD (%) Originators, only, shall report the attachment point of the most subordinated tranche sold to, for traditional securitisations, or protected by, for synthetic securitisations, third parties. 303 DETACHMENT POINT OF RISK SOLD (%) Originators, only, shall report the detachment point of the most senior tranche sold to, fortraditional securitisations, or protected by, for synthetic securitisations, third parties. 304 RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%) Originators, only, shall report the Expected Loss (EL) plus the Unexpected loss (UL) of the securitised assets transferred to third parties as a percentage of the total EL plus UL. The EL and UL of the underlying exposures shall be reported, which shall then be allocated via the securitisation waterfall to the respective tranches of the securitisation. For SA banks, EL shall be the specific credit risk adjustment of the securitised assets and the UL shall be the capital requirement of the securitised exposures. 3.9.4. C 14.01 – Detailed information on securitisations (SEC DETAILS 2) 113c. The template SEC DETAILS 2 shall be reported separately for the following approaches: 1) SEC-IRBA; 2) SEC-SA; 3) SEC-ERBA; 4) 1250 %. Columns005 ROW NUMBER The row number is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc. 010 INTERNAL CODE Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation transaction. 020 IDENTIFIER OF THE SECURITISATION (Code/Name) Code used for the legal registration of the securitisation position, or transaction in case of several positions that can be reported in the same row, or, if not available, the name by which the securitisation position or transaction is known in the market, or within the institution in the case of an internal or private securitisation. Where the International Securities Identification Number -ISIN- is available (i.e. for public transactions), the characters that are common to all tranches of the securitisation shall be reported in this column. 310-400 SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS This block of columns gathers information on the securitisation positions broken down by on/off balance sheet positions and the tranches (senior/mezzanine/first loss) at reporting date. 310-330 ON-BALANCE SHEET ITEMS The same criteria of classification among tranches used for columns 230, 240 and 250 shall be applied here.

340-361 OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among tranches used for columns 260 to 280 shall be applied here. 351 and 361 RW CORRESPONDING TO PROTECTION PROVIDER/INSTRUMENT % RW of the eligible guarantor or % RW of the corresponding instrument that provides credit protection in accordance with Article 249 CRR. 370-400 MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE-CONVERSION FACTORS This block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 340-361). 370 DIRECT CREDIT SUBSTITUTES (DCS) This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS). In accordance with Annex I to CRR, the following full risk off-balance sheet items shall be regarded as DCS: Guarantees having the character of credit substitutes. Irrevocable standby letters of credit having the character of credit substitutes. 380 IRS/CRS IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. Those derivatives are listed in Annex II to the CRR. 390 LIQUIDITY FACILITIES Liquidity facilities (LF) as defined in Article 242(3) CRR. 400 OTHER Remaining off-balance sheet items. 411 EXPOSURE VALUE This information is closely related to column 0180 in the CR SEC template. 420 (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS This information is closely related to column 0190 in the CR SEC template. A negative figure shall be reported in this column. 430 TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions (i.e. for securitisation schemes with significant risk transfer). For securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount determined on the basis of securitised exposures), no data shall be reported in this column. In the case of securitisations of liabilities, this column shall not be reported. In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 570 of MKR SA SEC, or columns 410 and 420 (the relevant for the own funds requirement) of MKR SA CTP, respectively. 431 (-) REDUCTION DUE TO RISK WEIGHT CAP

Article 268 CRR 440 TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP This column gathers information on the risk weighted exposure amount after caps applicable to the securitisation positions (i.e. for securitisation schemes with significant risk transfer). For securitisation schemes without significant risk transfer (i.e. own funds requirements determined on the basis of securitised exposures) no data shall be reported in this column. In the case of securitisations of liabilities, this column shall not be reported. In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 600 of MKR SA SEC, or column 450 of MKR SA CTP, respectively. 447-448 MEMORANDUM ITEMS 447 RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA Articles 263 and 264 CRR. This column shall only be reported for rated transactions before cap and it shall not be reported for transactions under SEC-ERBA. 448 RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA Articles 261 and 262 CRR. This column shall be reported before cap and it shall not be reported for transactions under SEC-SA. 450-470 SECURITISATION POSITIONS – TRADING BOOK 450 CTP OR NON-CTP? Institutions shall report the following abbreviations: C – Correlation Trading Portfolio (CTP); N – Non-CTP 460-470 NET POSITIONS – LONG/SHORT See columns 050/060 of MKR SA SEC or MKR SA CTP, respectively. 4. OPERATIONAL RISK TEMPLATES 4.1. C 16.00 – OPERATIONAL RISK (OPR) 4.1.1. General Remarks 114. This template provides information on the calculation of own funds requirements in accordance with Articles 312 to 324 CRR for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA). An institution cannot apply TSA and ASA for the business lines retail banking and commercial banking at the same time at solo level. 115. Institutions using the BIA, TSA or ASA shall calculate their own funds requirement, based on the information at financial year-end. Where audited figures are not available, institutions may use business estimates. Where audited figures are used, institutions shall report the audited figures which are expected to remain unchanged. Deviations from this unchanged principle are possible, for instance if during that period the exceptional circumstances, such as recent acquisitions or disposals of entities or activities, are met. 116. Where an institution can justify its competent authority that – due to exceptional circumstances such as a merger or a disposal of entities or activities – using a three year average to calculating the relevant indicator would lead to a biased estimation for the own funds requirement for operational risk, the competent authority may permit the institution to modify the calculation in a way that would take into account such events. The competent authority may also on its own initiative require an institution to modify the calculation. An institution that has been in operation for less than three years may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as those data are available.

1. By columns, this template presents information, for the three most recent years, on the amount of the relevant indicator of the banking activities subject to operational risk and on the amount of loans and advances (the latter only applicable in the case of ASA). Next, information on the amount of own funds requirement for operational risk is reported. Where applicable, it must be detailed which part of that amount is due to an allocation mechanism. Regarding AMA, memorandum items are added to present a detail of the effect of the expected loss, diversification and mitigation techniques on own funds requirement for operational risk.
2. By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA.
3. This template shall be submitted by all institutions subject to operational risk own funds requirement. 4.1.2. Instructions concerning specific positions Columns010-030 RELEVANT INDICATOR Institutions using the relevant indicator to calculate the own funds requirement for operational risk (BIA, TSA and ASA) shall report the relevant indicator for the respective years in columns 010 to 030. Moreover, in case of a combined use of different approaches as referred in Article 314 CRR, institutions shall also report, for information purposes, relevant the indicator for the activities subject to AMA. The same shall apply for all other AMA banks. Hereafter, the term relevant indicator refers to the sum of the elements at the end of the financial year as referred to in point 1 in Table 1 of Article 316 CRR. Where the institution has less than 3 years of data on relevant indicator available, the available historical data (audited figures) shall be assigned by priority to the corresponding columns in the template. Where, for instance, historical data for only one year is available, those data shall be reported in column 030. Where it seems reasonable, the forward looking estimates shall be included in column 020 (estimate of next year) and column 010 (estimate of year +2). Furthermore, where there are no historical data on relevant indicator available, the institution may use forward-looking business estimates. 040-060 LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION) These columns shall be used to report the amounts of the loans and advances, as referred to in point (b) of Article 319(1) CRR, for business lines commercial banking and retail banking. Those amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to the alternative standard approach (point (a) of Article 319(1) CRR). For the commercial banking business line, securities held in the non-trading book shall also be included. 070 OWN FUND REQUIREMENT The own fund requirement shall be calculated in accordance with the approaches used and in accordance withArticles 312 to 324 CRR The resulting amount shall be reported in column 070.

Article 92(4) CRR Own funds requirements in column 070 multiplied by 12,5. 080 OF WHICH: DUE TO AN ALLOCATION MECHANISM Where a permission to use the AMA at consolidated level (Article 18(1) CRR) has been granted in accordance with Article 312(2) CRR, operational risk capital shall be allocated between the different entities of the group on the basis of the methodology applied by the institutions to consider diversification effects in the risk measurement system used by a EU parent credit institution and its subsidiaries or jointly by the subsidiaries of an EU parent financial holding company or an EU parent mixed financial holding company. The result of that allocation shall be reported in this column. 090-120 AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE 090 OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES The own funds requirement reported in column 090 is the one of column 070 but calculated before taking into account the alleviation effects due to expected loss, diversification and risk mitigation techniques (see below). 100 (-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES In column 100, the alleviation of own funds requirements due to expected loss captured in internal business practices (as referred to in point (a) of Article 322(2) CRR) shall reported. 110 (-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION The diversification effect in column 110 shall be the difference between the sum of own funds requirements calculated separately for each operational risk class (i.e. a perfect dependence situation) and the diversified own funds requirement calculated by taking into account correlations and dependencies (i.e. assuming less than perfect dependence between the risk classes). The perfect dependence situation occurs in the default case, that is where the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is calculated as the sum of the individual operational risk measures of the chosen risk classes. In that case, the correlation between the risk classes is assumed to be 100 % and the value in the column has to be set to zero. Conversely, where the institution calculates an explicit correlations structure between risk classes, it has to include in this column the difference between the AMA capital as stemming from the default case and the AMA capital obtained after applying the correlations structure between the risk classes. The value reflects the diversification capacity of the AMA model, that is the ability of the model to capture the not simultaneous occurrence of severe operational risk loss events. In column 110, the amount by which the assumed correlation structure decreases the AMA capital relative to the assumption of 100 % correlation has to be reported. 120 (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)

In column 120 the impact of insurance and other risk transfer mechanisms as referred to in Article 323 CRR shall be reported. Rows010 BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) This row shall present the amounts corresponding to activities subject to the BIA to calculate the own funds requirement for operational risk (Articles 315 and 316 CRR). 020 BANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ALTERNATIVE STANDARDISED (ASA) APPROACHES The own funds requirement calculated in accordance with the TSA and ASA (Articles 317, 318 and 319 CRR) shall be reported. 030-100 SUBJECT TO TSA Where the TSA is used, the relevant indicator for each respective year shall be distributed in rows 030 to 100 amongst the business lines referred to in Table 2 of Article 317 CRR. The mapping of activities into business lines shall follow the principles described in Article 318 CRR. 110-120 SUBJECT TO ASA Institutions using the ASA (Article 319 CRR) shall report for the respective years the relevant indicator separately for each business line in rows 030 to 050 and 080 to 100 and in rows 110 and 120 for business lines commercial banking and retail banking. Rows 110 and 120 shall present the amount of the relevant indicator of activities subject to ASA, distinguishing between the amount corresponding to the business line commercial banking and the amounts corresponding to the business line retail banking (Article 319 CRR). There can be amounts for the rows corresponding to commercial banking and retail banking under the TSA (rows 060 and 070) as well as under the ASA rows 110 and 120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA). 130 BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA The relevant data for AMA institutions (Article 312(2) and Articles 321, 322 and 323 CRR) shall be reported. Where different approaches are combined as indicated in Article 314 CRR, information on relevant indicator for activities subject to AMA shall be reported. The same shall apply for all other AMA banks. 4.2. OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS) 4.2.1. General Remarks 120. Template C 17.01 (OPR DETAILS 1) summarises the information on the gross losses and loss recoveries registered by an institution in the last year by event types and business lines. Template C 17.02 (OPR DETAILS 2) provides detailed information on the largest loss events in the most recent year. 121. Operational risk losses that are related to credit risk and are subject to own funds requirements for credit risk (boundary credit-related operational risk events) are neither considered in template C 17.01 nor template C 17.02. 122. In case of a combined use of different approaches for the calculation of own funds requirements for operational risk in accordance with Article 314 CRR, losses and recoveries registered by an institution shall be reported in C 17.01 and C 17.02, irrespective of the approach applied to calculate own funds requirements.

1. Gross loss means a loss – as referred to in point (b) of Article 322(3) CRR – stemming from an operational risk event or loss event type before recoveries of any kind, without prejudice to rapidly recovered loss events as defined below.
2. Recovery means an independent occurrence related to the original operational risk loss that is separate in time, in which funds or inflows of economic benefits are received from first or third parties, such as insurers or other parties. Recoveries are broken down into recoveries from insurance and other risk transfer mechanisms and direct recoveries.
3. Rapidly recovered loss events means operational risk events that lead to losses that are partly or fully recovered within five working days. In case of a rapidly recovered loss event, only the part of the loss that is not fully recovered (i.e. the loss net of the partial rapid recovery) shall be included into the gross loss definition. As a consequence, loss events that lead to losses that are fully recovered within five working days shall not be included into the gross loss definition, and neither into the OPR DETAILS reporting.
4. Date of accounting means the date when a loss or reserve/provision was first recognised in the Profit and Loss statement, against an operational risk loss. Those date logically follow the Date of occurrence (i.e. the date when the operational risk event happened or first began) and the Date of discovery (i.e. the date on which the institution became aware of the operational risk event).
5. Losses caused by a common operational risk event or by multiple events linked to an initial operational risk event generating events or losses (root-event) are grouped. The grouped events shall be considered and reported as one event, and thus the related gross loss amounts, respectively amounts of loss adjustments, shall be summed up.
6. The figures reported in June of the respective year shall be interim figures, while the final figures shall be reported in December. Therefore, the figures in June shall have a six-month reference period (i.e. from 1 January to 30 June of the calendar year) while the figures in December shall have a twelve-month reference period (i.e. from 1 January to 31 December of the calendar year). Both for data reported in June and December, previous reporting reference periods shall mean all reporting reference periods until and including the one ending at the preceding calendar year end.
7. In order to verify compliance with the criterion laid down in point (i) of Article 5(b)(2)(b) of this Implementing Regulation, an institution shall use the latest statistics as available in the Supervisory Disclosure webpage of EBA to get the sum of individual balance sheet totals of all institutions within the same Member State. In order to verify the criterion laid down in point (iii) of Article 5(b)2(b) of this Implementing Regulation, the gross domestic product at market prices as defined in point 8.89 of Annex A to Regulation (EU) No 549/2013 of the European Parliament and of the Council (ESA 2010)

Regulation (EU) No 549/2013 of the European Parliament and of the Council of 21 May 2013 on the European system of national and regional accounts in the European Union (OJ L 174 26.6.2013, p. 1). and published by Eurostat for the previous calendar year shall be used. 4.2.2. C 17.01: Operational risk losses and recoveries by business lines and loss event types in the last year (OPR DETAILS 1) 4.2.2.1. General Remarks 130. In template C 17.01, the information shall be presented by distributing the losses and recoveries above internal thresholds amongst business lines (as listed in Table 2 of Article 317 CRR, including the additional business line corporate items referred to in point (b) of Article 322(3) CRR) and loss event types (as referred to in in Article 324 CRR). It is possible that the losses corresponding to one loss event are distributed amongst several business lines. 131. Columns present the different loss event types and the totals for each business line, together with a memorandum item that shows the lowest internal threshold applied in the data collection of losses, revealing within each business line the lowest and the highest threshold where there is more than one threshold. 132. Rows present the business lines, and within each business line, information on the number of loss events (new loss events), the gross loss amount (new loss events), the number of loss events subject to loss adjustments, the loss adjustments relating to previous reporting periods, the maximum single loss, the sum of the five largest losses and the total loss recoveries (direct loss recoveries as well as recoveries from insurance and other risk transfer mechanisms). 133. For the total business lines, data on the number of loss events and the gross loss amount shall also be reported for certain ranges based on set thresholds, that is 10000, 20000, 100000, and 1000000. The thresholds are set in EUR and are included for comparability purposes of the reported losses among institutions. Those thresholds do therefore not necessarily relate to the minimum loss thresholds used for the internal loss data collection, to be reported in another section of the template. 4.2.2.2. Instructions concerning specific positions Columns0010-0070 EVENT TYPES Institutions shall report the losses in the respective columns 010 to 070 in accordance with the loss event types referred to in Article 324 CRR. Institutions that calculate their own funds requirement in accordance with the BIA may report those losses for which the loss event type is not identified in column 080 only. 0080 TOTAL LOSS EVENT TYPES In column 080, for each business line, institutions shall report the total number of loss events (new loss events), the total of gross loss amount (new loss events), the total number of loss events subject to loss adjustments, the total of loss adjustments relating to previous reporting periods, the maximum single loss, the sum of the five largest losses, the total of total direct loss recovery and the total of total recovery from insurance and other risk transfer mechanisms.

Provided that the institution has identified the loss event types for all losses, column 080 shall show the simple aggregation of the number of loss events, the total gross loss amounts, the total loss recovery amounts and the loss adjustments relating to previous reporting periods reported in columns 010 to 070. The maximum single loss reported in column 080 shall be the maximum single loss within a business line and identical to the maximum of the maximum single losses reported in columns 010 to 070, provided that the institution has identified the loss event types for all losses. For the sum of the five largest losses, in column 080 the sum of the five largest losses within one business line shall be reported. 0090-0100 MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION Institutions shall report in columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with the last sentence of point (c) of Article 322(3) CRR. Where the institution applies only one threshold for in each business line, only column 090 shall be filled in. Where there are different thresholds applied within the same regulatory business line, the highest applicable threshold (column 100) shall be filled in as well. Rows0010-0880 BUSINESS LINES: CORPORATE FINANCE, TRADING AND SALES, RETAIL BROKERAGE, COMMERCIAL BANKING, RETAIL BANKING, PAYMENT AND SETTLEMENT, AGENCY SERVICES, ASSET MANAGEMENT, CORPORATE ITEMS For each business line referred to in Table 2 of Article 317(4) CRR, including the additional business line Corporate items as referred to in point (b) of Article 322(3) CRR, and for each loss event type, the institution shall report, in accordance with the internal thresholds, the following information: number of loss events (new loss events), gross loss amount (new loss events), the number of loss events subject to loss adjustments, loss adjustments relating to previous reporting periods, maximum single loss, sum of the five largest losses, total direct loss recovery and the total recovery from insurance and other risk transfer mechanisms. For a loss event that affects more than one business line the gross loss amount shall be distributed amongst all the affected business lines. Institutions that calculate their own funds requirement in accordance with the BIA can report those losses for which the business line is not identified in rows 910-980 only. 0010, 0110, 0210, 0310, 0410, 0510, 0610, 0710, 0810 Number of loss events (new loss events) The number of loss events is the number of loss events for which gross losses were accounted for within the reporting reference period. The number of loss events shall refer to new events, i.e. operational risk events: (i) accounted for the first time within the reporting reference period; or (ii) accounted for the first time within a previous reporting reference period, where the loss event was not included in any previous supervisory report, e.g. because it was identified as operational risk loss event only in the current reporting reference period or because the accumulated loss attributable to that loss event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period.

New loss events do not include loss events accounted for the first time within a previous reporting reference period, which were already included in previous supervisory reports. 0020, 0120, 0220, 0320, 0420, 0520, 0620, 0720, 0820 Gross loss amount (new loss events) The gross loss amount shall be the gross loss amounts pertinent to operational risk loss events (e.g. direct charges, provisions, settlements). All losses related to a single loss event which are accounted for within the reporting reference period shall be summed up and considered as the gross loss for that loss event for that reporting reference period. The reported gross loss amount shall refer to new loss events as referred to in the row above of this table. For loss events accounted for the first time within a previous reporting reference period which were not included in any previous supervisory report, the total loss accumulated until the reporting reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) shall be reported as the gross loss at the reporting reference date. The amounts to be reported shall not take into account obtained recoveries. 0030, 0130, 0230, 0330, 0430, 0530, 0630, 0730, 0830 Number of loss events subject to loss adjustments The number of loss events subject to loss adjustments shall be the number of operational risk loss events accounted for the first time in previous reporting reference periods and already included in previous reports, for which loss adjustments were made in the current reporting reference period. Where more than one loss adjustment was made for a loss event within the reporting reference period, the sum of those loss adjustments shall be counted as one adjustment in the period. 0040, 0140, 0240, 0340, 0440, 0540, 0640, 0740, 0840 Loss adjustments relating to previous reporting periods Loss adjustments relating to previous reporting reference periods shall the sum of the following elements (positive or negative): (i) the gross loss amounts pertinent to positive loss adjustments made within the reporting reference period (e.g. increase of provisions, linked loss events, additional settlements) of operational risk events accounted for the first time and reported in previous reporting reference periods; (ii) the gross loss amounts pertinent to negative loss adjustments made within the reporting reference period (e.g. due to decrease of provisions) of operational risk loss events accounted for the first time and reported in previous reporting reference periods. Where more than one loss adjustment was made for a loss event within the reporting reference period, the amounts of all those loss adjustments shall be summed up, taking into account the sign of the adjustments (positive, negative). That sum shall be considered as the loss adjustment for that loss event for that reporting reference period. Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss event accumulated until the last time when the event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign instead of the amount of the negative loss adjustment itself.

The amounts to be reported shall not take into account obtained recoveries. 0050, 0150, 0250, 0350, 0450, 0550, 0650, 0750, 0850 Maximum single loss The maximum single loss is the larger of: (i) the largest gross loss amount related to a loss event reported for the first time within the reporting reference period; and (ii) the largest positive loss adjustment amount (as referred to in rows 0040, 0140, …, 0840 above) related to a loss event reported for the first time within a previous reporting reference period. The amounts to be reported shall not take into account obtained recoveries. 0060, 0160, 0260, 0360, 0460, 0560, 0660, 0760, 0860 Sum of the five largest losses The sum of the five largest losses shall be the sum of the five largest amounts amongst: (i) the gross loss amounts for loss events reported for the first time within the reporting reference period; and (ii) the positive loss adjustment amounts (as defined for rows 0040, 0140, …, 0840 above) relating to loss events reported for the first time within a previous reporting reference period. The amount which can qualify as one of the five largest ones shall be the amount of the loss adjustment itself, not the total loss associated with the respective loss event before or after the loss adjustment. The amounts to be reported shall not take into account obtained recoveries. 0070, 0170, 0270, 0370, 0470, 0570, 0670, 0770, 0870 Total direct loss recovery Direct loss recoveries shall be all loss recoveries obtained, except those which are subject to Article 323 CRR as referred to in the row of this table below. The total direct loss recovery shall be the sum of all the direct recoveries and adjustments to direct recoveries accounted for within the reporting period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods. 0080, 0180, 0280, 0380, 0480, 0580, 0680, 0780, 0880 Total recovery from insurance and other risk transfer mechanisms Recoveries from insurance and other risk transfer mechanisms shall be those recoveries which are subject to Article 323 CRR. The total recovery from insurance and other risk transfer mechanisms shall be the sum of all recoveries from insurance and other risk transfer mechanisms and adjustments to such recoveries accounted for within the reporting reference period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods. 0910-0980 TOTAL BUSINESS LINES For each loss event type (column 0010 to 0080), the information on total business lines has to be reported. 0910-0914 Number of loss events In row 0910, the number of loss events above the internal threshold by loss event types for the total business lines shall be reported. This figure may be lower than the aggregation of the number of loss events by business lines since the loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the BIA cannot identify the business line(s) affected by the loss in every case.

In rows 0911 – 0914, the number of loss events with a gross loss amount within the ranges defined in the pertinent rows of the template shall be reported. Provided that the institution has assigned all its losses to a business line listed in Table 2 of Article 317(4) CRR or the business line corporate items as referred to in point (b) of Article 322(3) CRR or that it has identified the loss event types for all losses, the following shall apply for column 080, as appropriate: The total number of loss events reported in rows 0910 to 0914 shall be equal to the horizontal aggregation of the number of loss events in the corresponding row, because in those figures the loss events with impacts in different business lines shall already have been considered as one loss event. The figure reported in column 0080, row 0910 shall not necessarily be equal to the vertical aggregation of the number of loss events which are included in column 080, because one loss event can have an impact in different business lines simultaneously. 0920-0924 Gross loss amount (new loss events) Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line corporate items referred to in point (b) of Article 322(3) CRR, the gross loss amount (new loss events) reported in row 0920 shall be the simple aggregation of the gross loss amounts of new loss events for each business line. In rows 0921 – 0924, the gross loss amount for loss events with a gross loss amount within the ranges defined in the pertinent rows shall be reported. 0930, 0935, 0936 Number of loss events subject to loss adjustments In row 0930, the total of the numbers of loss events subject to loss adjustments as reported in rows 0030, 0130, …, 0830 shall be reported. That figure may be lower than the aggregation of the number of loss events subject to loss adjustments by business lines since loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the BIA cannot identify the business line(s) affected by the loss in every case. The number of loss events subject to loss adjustments shall be broken down into the number of loss events for which a positive loss adjustment was made within the reporting reference period and the number of loss events for which a negative loss adjustment was made within the reporting period (all reported with a positive sign). 0940, 0945, 0946 Loss adjustments relating to previous reporting periods In row 0940, the total of the loss adjustment amounts relating to previous reporting periods per business lines (as reported in rows 0040, 0140, …, 0840) shall be reported. Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line corporate items referred to in point (b) of Article 322(3) CRR, the amount reported in row 0940 shall be the simple aggregation of the loss adjustments relating to previous reporting periods reported for the different business lines.

The amount of loss adjustments shall be broken down into the amount related to loss events for which a positive loss adjustment was made in the reporting reference period (row 0945, reported with as positive figure) and the amount related to loss events for which a negative loss adjustment was made within the reporting period (row 0946, reported as negative figure). Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss event accumulated until the last time when the loss event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign in row 946 instead of the amount of the negative loss adjustment itself. 0950 Maximum single loss Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line corporate items referred to in point (b) of Article 322(3) CRR, the maximum single loss shall be the maximum loss over the internal threshold for each loss event type and amongst all business lines. Those figures may be higher than the highest single loss recorded in each business line where a loss event impacts different business lines. Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line corporate items referred to in point (b) of Article 322(3) CRR respectively that it has identified the loss event types for all losses, the following shall apply for column 0080: The maximum single loss reported shall be equal to the highest of the values reported in columns 0010 – 0070 of this row. Where there are loss events having an impact in different business lines, the amount reported in {r950, c080} may be higher than the amounts of Maximum single loss per business line reported in other rows of column 080. 0960 Sum of the five largest losses The sum of the five largest gross losses for each loss event type and amongst all business lines shall be reported. That sum may be higher than the highest sum of the five largest losses recorded in each business line. That sum has to be reported regardless of the number of losses. Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line corporate items referred to in point (b) of Article 322(3) CRR and that it has identified the loss event types for all losses, for column 0080, the sum of the five largest losses shall be the sum of the five largest losses in the whole matrix, which means that it is not necessarily equal to either the maximum value of sum of the five largest losses in row 0960 or the maximum value of sum of the five largest losses in column 0080. 0970 Total direct loss recovery

Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line corporate items referred to in point (b) of Article 322(3) CRR, the total direct loss recovery shall be the simple aggregation of the total direct loss recovery for each business line. 0980 Total recovery from insurance and other risk transfer mechanisms Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line corporate items referred to in point (b) of Article 322(3) CRR, the total recovery from insurance and other risk transfer mechanisms shall be the simple aggregation of the total loss recovery from insurance and other risk transfer mechanisms for each business line. 4.2.3. C 17.02: Operational risk: Detailed information on the largest loss events in the last year (OPR DETAILS 2) 4.2.3.1. General Remarks 134. In template C 17.02, information on individual loss events shall be provided (one row per loss event). 135. The information reported in this template shall refer to new loss events, i.e. operational risk events: (a) accounted for the first time within the reporting reference period; or (b) accounted for the first time within a previous reporting reference period, where the loss event was not included in any previous supervisory report, e.g. because it was identified as operational risk loss event only in the current reporting reference period or because the accumulated loss attributable to that loss event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period. 136. Only loss events entailing a gross loss amount of 100000 € or more shall be reported. Subject to that threshold: (a) the largest event for each event type, provided that the institution has identified the event types for losses; and (b) at least the ten largest of the remaining events with or without identified event type by gross loss amount shall be included in the template. (c) Loss events shall be ranked based on the gross loss attributed to them. (d) A loss event shall only be considered once. 4.2.3.2. Instructions concerning specific positions Columns0010 Event ID The event ID is a row identifier and shall be unique for each row in the template. Where an internal ID is available, institutions shall provide the internal ID. Otherwise, the reported ID shall follow the numerical order 1, 2, 3, etc. 0020 Date of Accounting Date of accounting means the date where a loss or reserve/provision against an operational risk loss was first recognised in the Profit and Loss statement. 0030 Date of occurrence Date of occurrence shall be the date when the operational risk loss event happened or first began. 0040 Date of discovery Date of discovery shall be the date on which the institution became aware of the operational risk loss event.

0050 Loss event type Loss event types as referred to in Article 324 CRR. 0060 Gross loss Gross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01 0070 Gross loss net of direct recoveries Gross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01, net of direct recoveries pertinent to that loss event 0080 – 0160 Gross loss by business line The gross loss as reported in column 0060 shall be allocated to the relevant business lines as referred to in Table 2 of Article 317(4) CRR and point (b) of Article 322(3) CRR. 0170 Legal Entity name Name of the legal entity as reported in column 010 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred. 0180 Legal Entity ID LEI code of the legal entity as reported in column 025 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred. 0190 Business Unit Business unit or corporate division of the institution where the loss – or the greatest share of the loss if several business units or corporate divisions were affected – occurred. 0200 Description Narrative description of the loss event, where necessary in a generalised or anonymised manner, which shall comprise at least information about the event itself and information about the drivers or causes of the loss event, where known. 5. MARKET RISK TEMPLATES 137. These instructions refer to the templates for the reporting of the calculation of own funds requirements in accordance with the Standardised Approach for foreign exchange risk (MKR SA FX), commodities risk (MKR SA COM), interest rate risk (MKR SA TDI, MKR SA SEC, MKR SA CTP) and equity risk (MKR SA EQU). Additionally, instructions for the template for the reporting of the calculation of own funds requirements in accordance with the internal models approach (MKR IM) are included in this part. 138. The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components in order to calculate the capital required against it. The first shall be its specific-risk component – that is the risk of a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative, the issuer of the underlying instrument. The second component shall cover its general risk – that is the risk of a price change in the instrument due (in the case of a traded debt instrument or debt derivative) to a change in the level of interest rates or (in the case of an equity or equity derivative) to a broad equity- market movement unrelated to any specific attributes of individual securities. The general treatment of specific instruments and netting procedures can be found in Articles 326 to 333 CRR. 5.1. C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) 5.1.1. General Remarks 139. This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the Standardised Approach (Article 102 and Article 105(1) CRR). The different risks and methods available under CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP has only to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {325;060} (securitisations) and {330;060} (CTP) respectively.

Article 102 and Article 105(1) CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties in accordance with the second sentence of the first subparagraph of Article 345(1) CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) CRR. 030-040 NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and Article 334 CRR. Regarding the distinction between Long and Short positions, see Article 328(2) CRR. 050 POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR, receive a capital charge. 060 OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Chapter 2 of Title IV of Part Three CRR. 070 TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5. Rows010-350 TRADED DEBT INSTRUMENTS IN TRADING BOOK Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk in accordance with point (b)(i) of Article 92(3) CRR and Chapter 2 of Title IV of Part Three CRR shall be reported depending on risk category, maturity and approach used. 011 GENERAL RISK. 012 Derivatives Derivatives included in the calculation of interest rate risk of trading book positions, taking into account Articles 328 to 331 CRR, where applicable. 013 Other assets and liabilities Instruments other than derivatives included in the calculation of interest rate risk of trading book positions. 020-200 MATURITY BASED APPROACH Positions in traded debt instruments subject to the maturity-based approach referred to in paragraphs 1 to 8 of Article 339 CRR and the corresponding own funds requirements calculated in accordance with Article 339(9) CRR. The position shall be split by zones 1, 2 and 3 and those zones shall be split by the maturity of the instruments. 210-240 GENERAL RISK. DURATION BASED APPROACH Positions in traded debt instruments subject to the duration-based approach referred to in paragraphs 1 to 6 of Article 340 CRR and the corresponding own funds requirements calculated in accordance with Article 340(7) CRR. The position shall be split by zones 1, 2 and 3. 250 SPECIFIC RISK Sum of amounts reported in rows 251, 325 and 330. Positions in traded debt instruments subject to the specific risk capital requirements and their corresponding capital requirements in accordance with point (b) of Article 92(3) and Article 335, paragraphs 1, 2 and 3 of Article 336 and Articles 337 and 338 CRR. Be also aware of the last sentence in Article 327(1) CRR. 251-321 Own funds requirement for non-securitisation debt instruments Sum of the amounts reported in rows 260 to 321. The own funds requirement of the n-th to default credit derivatives which are not rated externally shall be calculated by summing up the risk weights of the reference entities (point (e) of Article 332(1) CRR and the second subparagraph of Article 332(1) CRR – look-through). N-th-to-default credit derivatives which are rated externally (the third subparagraph of Article 332(1) CRR) shall be reported separately in line 321.

Reporting of positions subject to Article 336(3) CRR: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book in accordance with Article 129(3) CRR (covered bonds). The specific own funds requirements shall be half of the percentage of the second category referred to in Table 1 of Article 336 CRR. Those positions have to be assigned to rows 280-300 in accordance with the residual term to final maturity. Where the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 CRR shall be applied. 325 Own funds requirement for securitisation instruments Total own funds requirements reported in column 610 of template MKR SA SEC. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI. 330 Own funds requirement for the correlation trading portfolio Total own funds requirements reported in column 450 of template MKR SA CTP. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI. 350-390 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 329(3) CRR. The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation. 5.2. C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) 5.2.1. General Remarks 141. This template requests information on positions (all/net and long/short) and the related own funds requirements for the specific risk component of position risk in securitisations/re-securitisations held in the trading book (not eligible for correlation trading portfolio) under the Standardised Approach. 142. The MKR SA SEC template presents the own funds requirement only for the specific risk of securitisation positions in accordance with Article 335 CRR in connection with 337 CRR. Where securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all positions of the trading book, irrespective of the approach institutions apply to determine the risk weight for each of the positions in accordance with Chapter 5 of Title II of Part Three CRR. The own funds requirements of the general risk of those positions shall be reported in the MKR SA TDI or the MKR IM template. 143. Positions which receive a risk weight of 1250 % can alternatively be deducted from CET1 (see point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR). Where this is the case, those positions have to be reported in row 460 of CA1. 5.2.2. Instructions concerning specific positions Columns010-020 ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) CRR in conjunction with Article 337 CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to those gross positions, see Article 328(2) CRR. 030-040 (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR 050-060 NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 CRR. Regarding the distinction between long and short positions, see Article 328(2) CRR. 061-104 BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR. The breakdown shall be done separately for long and short positions. 402-406 BREAKDOWN OF THE NET POSITIONS BY APPROACHES

Article 337 CRR, taking into account the discretion of Article 335 CRR. Rows010 TOTAL EXPOSURES Total amount of outstanding securitisations and re-securitisations (held in the trading book) reported by the institution playing the role/s of originator or investor or sponsor. 040, 070 and 100 SECURITISATION POSITIONS Point 62 of Article 4(1) CRR. 020, 050, 080 and110 RE-SECURITISATIONS POSITIONS Point 64 of Article 4(1) CRR 041, 071 and 101 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 CRR or Article 270 CRR and therefore qualify for differentiated capital treatment. 030-050 ORIGINATOR Point (13) of Article 4(1) CRR 060-080 INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender. 090-110 SPONSOR Point (14) of Article 4(1) CRR. A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets. 5.3. C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) 5.3.1. General Remarks 144. This template requests information on positions of the Correlation Trading Portfolio (CTP) (comprising securitisations, nth-to-default credit derivatives and other CTP positions included in accordance with Article 338(3) CRR) and the corresponding own funds requirements under the Standardised Approach. 145. The MKR SA CTP template presents the own funds requirement only for the specific risk of positions assigned to the CTP in accordance with Article 335 CRR in conjunction with paragraphs 2 and 3 of Article 338 CRR. If CTP-positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all CTP-positions of the trading book, irrespective of the approach institutions apply to determine the risk weight for each of the positions in accordance with Chapter 5 of Title II of Part Three CRR. The own funds requirements for the general risk of these positions are reported in the MKR SA TDI or the MKR IM template. 146. The template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. Securitisation positions shall always be reported in rows 030, 060 or 090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in row 110. The other CTP-positions are positions that are neither securitisation positions nor n-th to default credit derivatives (see Article 338(3) CRR), but they are explicitly linked to one of those two positions (because of the hedging intent). 147. Positions which receive a risk weight of 1250 % can alternatively be deducted from CET1 (see point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR). Where this is the case, those positions have to be reported in row 460 of CA1.

Article 253 CRR 050-060 NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 CRR Regarding the distinction between long and short positions, see Article 328(2) CRR. 071-097 BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR 402-406 BREAKDOWN OF THE NET POSITIONS BY APPROACHES

Article 254 CRR 402 SEC-IRBA Articles 259 and 260 CRR 403 SEC-SA Articles 261 and 262 CRR 404 SEC-ERBA Articles 263 and 264 CRR 405 INTERNAL ASSESSMENT APPROACH Articles 254 and 265 and Article 266(5) CRR. 406 OTHER (RW = 1250 %)

Article 338 CRR, taking into account the discretion of Article 335 CRR 450 TOTAL OWN FUNDS REQUIREMENTS The own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (column 430) or (ii) the specific risk charge that would apply just to the net short positions (column 440). Rows010 TOTAL EXPOSURES Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor. 020-040 ORIGINATOR Point (13) of Article 4(1) CRR 050-070 INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender 080-100 SPONSOR Point (14) of Article 4(1) CRR A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets. 030, 060 and 090 SECURITISATION POSITIONS The correlation trading portfolio shall comprise securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set out in paragraphs 2 and 3 of Article 338 CRR. Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row Other CTP positions. 110 N-TH-TO-DEFAULT CREDIT DERIVATIVES N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives in accordance with Article 347 CRR shall both be reported here. The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives. 040, 070, 100 and 120 OTHER CTP POSITIONS The following positions are included: Derivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging CTP positions; CTP positions hedged by credit derivatives in accordance with Article 346 CRR; Other positions that satisfy Article 338(3) CRR. 5.4. C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) 5.4.1. General Remarks 148. This template requests information on the positions and the corresponding own funds requirements for position risk in equities held in the trading book and treated under the Standardised Approach. 149. The template has to be filled out separately for the Total, plus a static, pre-defined list of the following markets: Bulgaria, Croatia, Czech Republic, Denmark, Egypt, Hungary, Iceland, Liechtenstein, Norway, Poland, Romania, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA, Euro Area plus one residual template for all other markets. For the purpose of this reporting requirement, the term market shall be read as country (except for countries belonging to the Euro Area, see Commission Delegated Regulation (EU) No 525/2014

Article 102 and Article 105(1) CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties as referred to in the second sentence of the first subparagraph of Article 345(1) CRR. 030-040 NET POSITIONS (LONG AND SHORT) Articles 327, 329, 332, 341 and 345 CRR. 050 POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR receive a capital charge. The capital charge has to be calculated for each national market separately. Positions in stock-index futures as referred to in the second sentence of Article 344(4) CRR shall not be included in this column. 060 OWN FUNDS REQUIREMENTS The own funds requirement in accordance with Chapter 2 of Title IV of Part Three CRR for any relevant position 070 TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5. Commission Implementing Regulation (EU) No 945/2014 of 4 September 2014 laying down implementing technical standards with regard to relevant appropriately diversified indices according to Regulation (EU) No 575/2013 of the European Parliament and of the Council Rows010-130 EQUITIES IN TRADING BOOK Own funds requirements for position risk as referred to in point (b)(i) of Article 92(3) CRR and Section 3 of Chapter 2 of Title IV of Part Three CRR. 020-040 GENERAL RISK Positions in equities subject to general risk (Article 343 CRR) and their correspondent own funds requirement in accordance with Section 3 of Chapter 2 of Title IV of Part Three CRR Both breakdowns (021/022 as well as 030/040) are a breakdown related to all positions subject to general risk. Rows 021 and 022 request information on the breakdown by instruments. Only the breakdown in rows 030 and 040 shall be used as a basis for the calculation of own funds requirements. 021 Derivatives Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332 CRR, where applicable 022 Other assets and liabilities Instruments other than derivatives included in the calculation of equity risk of trading book positions. 030 Exchange traded stock-index futures broadly diversified and subject to a particular approach Exchange traded stock-index futures broadly diversified and subject to a particular approach in accordance with Commission Implementing Regulation (EU) No 945/2014 Those positions shall be only subject to general risk and, accordingly, must not be reported in row 050. 040 Other equities than exchange traded stock-index futures broadly diversified Other positions in equities subject to specific risk as well as the correspondent own funds requirements in accordance with Article 343 CRR, including positions in stock index futures treated in accordance with Article 344(3) CRR 050 SPECIFIC RISK Positions in equities subject to specific risk and the correspondent own funds requirement in accordance with Article 342 CRR, excluding positions in stock-index futures treated in accordance with the second sentence of Article 344(4) CRR

090-130 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Paragraphs 2 and 3 of Article 329 CRR The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation. 5.5. C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) 5.5.1. General Remarks 150. Institutions shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange risk treated under the Standardised Approach. The position shall be calculated for each currency (including EUR), gold, and positions to CIUs. 151. Rows 100 to 480 of this template shall be reported even where institutions are not required to calculate own funds requirements for foreign exchange risk in accordance with Article 351 CRR. In those memorandum items, all the positions in the reporting currency are included, irrespective of whether they are considered for the purposes of Article 354 CRR. Rows 130 to 480 of the memorandum items of the template shall be filled out separately for all currencies of the Member States of the Union, the currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies. 5.5.2. Instructions concerning specific positions Columns020-030 ALL POSITIONS (LONG AND SHORT) Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) CRR In accordance with Article 352(2) CRR and subject to permission from competent authorities, positions taken to hedge against the adverse effect of the exchange rate on their ratios in accordance with Article 92(1) CRR and positions related to items that are already deducted in the calculation of own funds shall not be reported. 040-050 NET POSITIONS (LONG AND SHORT)

Article 352(3), the first two sentences of Article 352(4), and Article 353 CRR The net positions are calculated by each currency in accordance with Article 352(1) CRR. Consequently, both long and short positions may be reported at the same time. 060-080 POSITIONS SUBJECT TO CAPITAL CHARGE The third sentence of Article 352(4) and Articles 353 and 354 CRR 060-070 POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT) The long and short net positions for each currency shall be calculated by deducting the total of short positions from the total of long positions. Long net positions for each operation in a currency shall be added to obtain the long net position in that currency. Short net positions for each operation in a currency shall be added to obtain the short net position in that currency. Unmatched positions in non-reporting currencies shall be added to positions subject to capital charges for other currencies (row 030) in column 060 or 070, depending on their short or long arrangement. 080 POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED) Matched positions for closely correlated currencies. 090 OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Chapter 3 of Title IV of Part Three CRR 100 TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5. Rows010 TOTAL POSITIONS All positions in non-reporting currencies and those positions in the reporting currency that are considered for the purposes of Article 354 CRR as well as their correspondent own funds requirements for the foreign-exchange risk referred to in point (c)(i) of Article 92(3), taking into account paragraphs 2 and 4 of Article 352 CRR (for conversion into the reporting currency). 020 CURRENCIES CLOSELY CORRELATED Positions and their correspondent own funds requirements for closely correlated currencies as referred to in Article 354 CRR. 025 Currencies closely correlated: of which: reporting currency Positions in the reporting currency which contribute to the calculation of the capital requirements in accordance with Article 354 CRR. 030 ALL OTHER CURRENCIES (including CIU’s treated as different currencies) Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRR. Reporting of CIU’s treated as separate currencies in accordance with Article 353 CRR: There are two different treatments of CIUs treated as separate currencies for calculating the capital requirements:

1. The modified gold method, where the direction of the CIUs investment is not available (those CIUs shall be added to an institution’s overall net foreign-exchange position);
2. Where the direction of the CIU’s investment is available, those CIUs shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU). The reporting of those CIU’s shall follow the calculation of the capital requirements.

040 GOLD Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRR 050 – 090 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Paragraphs 5 and 6 of Article 352 CRR The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation. 100-120 Breakdown of total positions (reporting currency included) by exposure types Total positions shall be broken down into derivatives, other assets and liabilities, and off-balance sheet items. 100 Other assets and liabilities other than off-balance sheet items and derivatives Positions not included in row 110 or 120 shall be included here. 110 Off-balance sheet items Items within the scope of Article 352 CRR, irrespective of the currency of denomination, which are included in Annex I to CRR, except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting. 120 Derivatives Positions valued in accordance with Article 352 CRR. 130-480 MEMORANDUM ITEMS: CURRENCY POSITIONS The memorandum items of the template shall be filled in separately for all currencies of the Member States of the Union, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies. 5.6. C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) 5.6.1. General Remarks 152. This template request information on the positions in commodities and the corresponding own funds requirements treated under the Standardised Approach. 5.6.2. Instructions concerning specific positions Columns010-020 All POSITIONS (LONG AND SHORT) Gross long/short positions considered positions in the same commodity in accordance with Article 357(4) CRR (see also Article 359(1) CRR) 030-040 NET POSITIONS (LONG AND SHORT) As defined in Article 357(3) CRR 050 POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Chapter 4 of Title IV of Part Three CRR receive a capital charge 060 OWN FUNDS REQUIREMENTS The own funds requirement calculated in accordance with Chapter 4 of Title IV of Part Three CRR for any relevant position 070 TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5 Rows010 TOTAL POSITIONS IN COMMODITIES Positions in commodities and their correspondent own funds requirements for market risk calculated in accordance with point (c)(iii) of Article 92(3) CRR and Chapter 4 of Title IV of Part Three CRR 020-060 POSITIONS BY CATEGORY OF COMMODITY For reporting purposes, commodities shall be grouped in the four groups of commodities referred to in Table 2 of Article 361 CRR. 070 MATURITY LADDER APPROACH Positions in commodities subject to the maturity ladder approach referred to in Article 359 CRR

Article 358(4) CRR The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation. 5.7. C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM) 5.7.1. General Remarks 153. This template provides a breakdown of VaR and stressed VaR (sVaR) figures by the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements. 154. Generally, it depends on the structure of the model of the institutions whether the figures for general and specific risk can be determined and reported separately or only as a total. The same holds true for the decomposition of the VaR/Stress-VaR into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can refrain from reporting those decompositions if it proves that reporting those figures would be unduly burdensome. 5.7.2. Instructions concerning specific positions Columns030-040 Value at Risk (VaR) VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon. 030 Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg) Point (a)(ii) of Article 364(1) and Article 365(1) CRR 040 Previous day VaR (VaRt-1) Point (a)(i) of Article 364(1) and Article 365(1) CRR 050-060 Stressed VaR Stressed VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution’s portfolio. 050 Multiplication factor (ms) x Average of previous 60 working days (SVaRavg) Point (b)(ii) of Article 364(1) and Article 365(1) CRR 060 Latest available (SVaRt-1) Point (b)(i) of Article 364(1) and Article 365(1) CRR 070-080 INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE Incremental default and migration risk capital charge means the maximum potential loss that would result from a price change linked to default and migration risks calculated in accordance with point (b) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR. 070 12 weeks average measure Point (b)(ii) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR 080 Last Measure Point (b)(i) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR 090-110 ALL PRICE RISKS CAPITAL CHARGE FOR CTP 090 FLOOR Point (c) of Article 364(3) CRR = 8 % of the capital charge that would be calculated in accordance with Article 338(1) CRR for all positions in the all price risks capital charge. 100-110 12 WEEKS AVERAGE MEASURE AND LAST MEASURE Point (b) of Article 364(3) CRR 110 LAST MEASURE Point (a) of Article 364(3) CRR 120 OWN FUNDS REQUIREMENTS Own funds requirements as referred to in Article 364 CRR of all risk factors, taking into account correlation effects, where applicable, plus incremental default and migration risk and all price of risks for CTP, but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according to Article 364(2) CRR

130 TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5 140 Number of overshootings (during previous 250 working days) Referred to in Article 366 CRR The number of overshootings based on which the addend is determined shall be reported. 150-160 VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms) As referred to in Article 366 CRR 170-180 ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET LONG/SHORT POSITIONS AFTER CAP The amount reported and serving as the basis to calculate the floor capital charge for all price risks in accordance with point (c) of Article 364(3) CRR, taking into account the discretion of Article 335 CRR which stipulates that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss. Rows010 TOTAL POSITIONS Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) CRR linked to the risk factors specified in Article 367(2) CRR. Concerning the columns 030 to 060 (VAR and Stress-VAR), the figures in the total row are not equal to the decomposition of the figures for the VaR/Stress-VaR of the relevant risk components. 020 TRADED DEBT INSTRUMENTS Corresponds to the part of position risk referred to in Article 363(1) CRR, linked to the interest rates risk factors specified in point (a) of Article 367(2) CRR. 030 TDI – GENERAL RISK General risk component as referred to in Article 362 CRR 040 TDI – SPECIFIC RISK Specific risk component as referred to in Article 362 CRR 050 EQUITIES Corresponds to the part of position risk referred to in Article 363(1) CRR linked to the equity risk factors as specified in point (c) of Article 367(2) CRR. 060 EQUITIES – GENERAL RISK General risk component as referred to in Article 362 CRR 070 EQUITIES – SPECIFIC RISK Specific risk component as referred to in Article 362 CRR 080 FOREIGN EXCHANGE RISK Articles 363(1) and point (b) of Article 367(2) CRR 090 COMMODITY RISK Articles 363(1) and point (d) of Article 367(2) CRR 100 TOTAL AMOUNT FOR GENERAL RISK Market risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VaR for general risk of all risk factors (taking into account correlation effects where applicable) 110 TOTAL AMOUNT FOR SPECIFIC RISK Specific risk component of traded debt instruments and equities. VaR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects where applicable) 5.8. C 25.00 – CREDIT VALUATION ADJUSTMENT RISK (CVA) 5.8.1. Instructions concerning specific positions Columns010 Exposure value

Article 383 CRR in conjunction with point (d) of Article 363(1) CRR. VaR calculation based on internal models for market risk 050 PREVIOUS DAY (VaRt-1) See instructions for column 040. 060 MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) See instructions for column 040 070 LATEST AVAILABLE (SVaRt-1) See instructions for column 040 080 OWN FUNDS REQUIREMENTS Point (d) of Article 92(3) CRR. Own funds requirements for CVA Risk calculated via the chosen method. 090 TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Own funds requirements multiplied by 12,5. Memorandum items 100 Number of counterparties

Article 382 CRR Number of counterparties included in calculation of own funds for CVA risk. Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are the other contracting party. 110 Of which: proxy was used to determine credit spread Number of counterparties where the credit spread was determined using a proxy instead of directly observed market data. 120 INCURRED CVA Accounting provisions due to decreased credit worthiness of derivatives counterparties. 130 SINGLE NAME CDS Point (a) of Article 386(1) CRR Total notional amounts of single name CDS used as hedge for CVA risk. 140 INDEX CDS Point (b) of Article 386(1) CRR Total notional amounts of index CDS used as hedge for CVA risk. Rows010 CVA risk total Sum of rows 020-040 020 Advanced method Advanced CVA risk method as prescribed by Article 383 CRR 030 Standardised method Standardised CVA risk method as prescribed by Article 384 CRR 040 Based on OEM Amounts subject to the application of Article 385 CRR 6. PRUDENT VALUATION (PRUVAL) 6.1. C 32.01 – PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1) 6.1.1. General remarks 154a. This template shall be completed by all institutions, irrespective of whether they have adopted the simplified approach for the determination of Additional Valuation Adjustments (AVAs). This template is dedicated to the absolute value of fair-valued assets and liabilities used to determine whether the conditions set out in Article 4 of Commission Delegated Regulation (EU) 2016/101 Commission Delegated Regulation (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14) (OJ L 21, 28.1.2016, p. 54). for using the simplified approach for the determination of AVAs are met. 154b. With regard to institutions using the simplified approach, this template shall provide the total AVA to be deducted from own funds pursuant to Articles 34 and 105 CRR as set out in Article 5 of the Delegated Regulation (EU) 2016/101, which shall be reported accordingly in row 290 of C 01.00. 6.1.2. Instructions concerning specific positions Columns0010 FAIR-VALUED ASSETS AND LIABILITIES Absolute value of fair-valued assets and liabilities, as stated in the financial statements under the applicable accounting framework, as referred to in Article 4(1) of Delegated Regulation (EU) 2016/101, before any exclusion in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101. 0020 OF WHICH: trading book Absolute value of fair-valued assets and liabilities, as reported in 010, corresponding to positions held in the trading book. 0030-0070 FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1 Absolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101. 0030 Exactly matching Exactly matching, offsetting fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.

0040 Hedge accounting For positions subject to hedge accounting under the applicable accounting framework, absolute value of fair-valued assets and liabilities excluded in proportion to the impact of the relevant valuation change on CET1 capital in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101. 0050 PRUDENTIAL Filters Absolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to the transitional application of the prudential filters referred to in Articles 467 and 468 CRR. 0060 Other Any other positions excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to adjustments to their accounting value having only a proportional effect on CET1 capital. This row shall only be populated in rare cases where elements excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 cannot be assigned to columns 0030, 0040 or 0050 of this template. 0070 Comment for other The main reasons why the positions reported in column 0060 were excluded shall be provided. 0080 FAIR-VALUED Assets and Liabilities included in ARTICLE 4(1) threshold Absolute value of fair-valued assets and liabilities actually included in the threshold computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101. 0090 OF WHICH: trading book Absolute value of fair-valued assets and liabilities, as reported in column 0080, corresponding to positions held in the trading book. Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards (OJ L 243, 11.9.2002, p. 1). Rows0010 – 0210The definitions of these categories shall match those of the corresponding rows of FINREP templates 1.1 and 1.2.0010

1. TOTAL FAIR-VALUED ASSETS AND LIABILITIES Total of fair-valued assets and liabilities reported in rows 20 to 210. 0020 1.1. TOTAL FAIR-VALUED ASSETS Total of fair-valued assets reported in rows 0030 to 0140. Relevant cells of rows 0030 to 0130 shall be reported in line with FINREP template F 01.01 of Annexes III and IV to this Implementing Regulation, depending on the institution’s applicable standards: IFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 of the European Parliament and of the Council (EU IFRS); National accounting standards compatible with EU IFRS (National GAAP compatible IFRS); or National GAAP based on BAD (FINREP National GAAP based on BAD). 0030 1.1.1. FINANCIAL ASSETS HELD FOR TRADING IFRS 9.Appendix A. The information reported in this row shall correspond to row 050 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0040 1.1.2. TRADING FINANCIAL ASSETS Articles 32 and 33 BAD; Part 1.17 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 091 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0050 1.1.3. NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS

IFRS 7.8(a)(ii); IFRS 9.4.1.4. The information reported in this row shall correspond to row 096 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0060 1.1.4. FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8(a)(i); IFRS 9.4.1.5; point (a) of Article 8(1) and Article 8(6) AD The information reported in this row shall correspond to row 100 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0070 1.1.5. FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME IFRS 7.8(h); IFRS 9.4.1.2 A. The information reported in this row shall correspond to row 141 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0080 1.1.6. NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS

Article 36(2) BAD. The information reported in this row shall correspond to row 171 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0090 1.1.7. NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY Point (a) of Article 8(1) and Article 8(8) AD The information reported in this row shall correspond to row 175 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0100 1.1.8. OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS

Article 37 BAD; Article 12(7) AD; Part 1.20 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 234 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0110 1.1.9. DERIVATIVES – HEDGE ACCOUNTING IFRS 9.6.2.1; Part 1.22 of Annex V to this Implementing Regulation; point (a) of Article 8(1) and paragraphs 6 and 8 of Article 8 AD; IAS 39.9 The information reported in this row shall correspond to row 240 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0120 1.1.10. FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK IAS 39.89 A(a); IFRS 9.6.5.8; Paragraphs 5 and 6 of Article 8 AD. The information reported in this row shall correspond to row 250 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0130 1.1.11. INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES IAS 1.54(e); Parts 1.21 and 2.4 of Annex V to this Implementing Regulation; points (7) and (8) of Article 4 BAD; Article 2(2) AD The information reported in this row shall correspond to row 260 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0140 1.1.12. (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE Part 1.29 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 375 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0150 1.2. TOTAL FAIR-VALUED LIABILITIES Total of fair-valued liabilities reported in rows 0160 to 0210. Relevant cells of rows 0150 to 0190 shall be reported in line with FINREP template F 01.02 of Annexes III and IV to this Implementing Regulation depending on the institution’s applicable standards: IFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 (EU IFRS) National accounting standards compatible with EU IFRS (National GAAP compatible IFRS) or National GAAP based on BAD (FINREP National GAAP based on BAD). 0160 1.2.1. FINANCIAL LIABILITIES HELD FOR TRADING IFRS 7.8 (e) (ii); IFRS 9.BA.6. The information reported in this row shall correspond to row 010 of template F 01.02 of Annexes III and IV to this Implementing Regulation. 0170 1.2.2. TRADING FINANCIAL LIABILITIES Point (a) of Article 8(1) and paragraphs 3 and 6 of Article 8 AD The information reported in this row shall correspond to row 061 of template F 01.02 of Annexes III and IV to this Implementing Regulation. 0180 1.2.3. FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8 (e)(i); IFRS 9.4.2.2; point (a) of Article 8(1) and Article 8(6) AD; IAS 39.9. The information reported in this row shall correspond to row 070 of template F 01.02 of Annexes III and IV to this Implementing Regulation. 0190 1.2.4. DERIVATIVES – HEDGE ACCOUNTING IFRS 9.6.2.1; Part 1.26 of Annex V to this Implementing Regulation; point (a) of Article 8(1), Article 8(6) and point (a) of Article 8(8) AD The information reported in this row shall correspond to row 150 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

0200 1.2.5. FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK IAS 39.89 A(b), IFRS 9.6.5.8; Paragraphs 5 and 6 of Article 8 AD; Part 2.8 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 160 of template F 01.02 of Annexes III and IV to this Implementing Regulation. 0210 1.2.6. HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE Part 1.29 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 295 of template F 01.02 of Annexes III and IV to this Implementing Regulation. 6.2. C 32.02 – PRUDENT VALUATION: CORE APPROACH (PRUVAL 2) 6.2.1. General remarks 154c. The purpose of this template is to provide information on the composition of the total AVA to be deducted from own funds under Articles 34 and 105 CRR alongside relevant information about the accounting valuation of the positions that give rise to the determination of AVAs. 154d. This template shall be completed by all institutions that: (a) are required to use the core approach because they exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101, either on an individual basis or on a consolidated basis as set out in Article 4(3) of that Regulation; or (b) have chosen to apply the core approach despite not exceeding the threshold. 154e. For the purposes of this template, upside uncertainty shall mean the following: As determined by Article 8(2) of Delegated Regulation (EU) 2016/101, AVAs are calculated as the difference between the fair value and a prudent valuation that is determined on the basis of a 90 % confidence that institutions can exit the exposure at that point or better within the notional range of plausible values. The upside value or upside uncertainty is the opposing point in the distribution of plausible values at which institutions are only 10 % confident that they can exit the position at that point or better. The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA but substituting a 10 % level of certainty for the 90 % used when determining the total AVA. 6.2.2. Instructions concerning specific positions Columns0010 – 0100 CATEGORY LEVEL AVA The category level AVAs for market price uncertainty, close-out costs, model risk, concentrated positions, future administrative costs, early termination and operational risk are calculated as described in Articles 9, 10, 11 and 14 to 17 of Delegated Regulation (EU) 2016/101 respectively. For the market price uncertainty, close-out cost and model risk categories, which are subject to diversification benefit as set out in Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101, respectively, category level AVAs shall be, unless indicated otherwise, reported as the straight sum of the individual AVAs before diversification benefit [since diversification benefits calculated using method 1 or method 2 of the Annex of Delegated Regulation (EU) 2016/101 are reported in items 1.1.2, 1.1.2.1 and 1.1.2.2 of the template].

Article 105(10) CRR Operational risk AVAs calculated in accordance with Article 17 of Delegated Regulation (EU) 2016/101. 0110 TOTAL AVA Row 0010: total AVA to be deducted from own funds in accordance with Articles 34 and 105 CRR and reported accordingly in row 290 of C 01.00. The total AVA shall be the sum of rows 0030 and 0180. Row 0020: Share of the total AVA reported in row 0010 stemming from trading book positions (absolute value). Rows 0030 to 0160: Sum of columns 0010, 0030, 0050 and 0070 to 0100. Rows 0180 to 0210: Total AVA stemming from portfolios under the fall-back approach. 0120 UPSIDE UNCERTAINTY

Article 8(2) of Delegated Regulation (EU) 2016/101. The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA computed in column 0110, but substituting a 10 % level of certainty for the 90 % used when determining the total AVA. 0130 -0140 FAIR-VALUED ASSETS AND LIABILITIES Absolute value of fair-valued assets and liabilities corresponding to the AVA amounts reported in rows 0010 to 0130 and row 0180. For some rows, in particular rows 0090 to 0130, these amounts may have to be approximated or allocated based on expert judgement. Row 0010: Total absolute value of fair-valued assets and liabilities included in the threshold computation of Article 4(1) of Delegated Regulation (EU) 2016/101. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080. Row 0010 is the sum of row 0030 and row 0180. Row 0020: share of total absolute value of fair-valued assets and liabilities reported in row 0010 stemming from trading book positions (absolute value). Row 0030: Absolute value of fair-valued assets and liabilities corresponding to the portfolios referred to in Articles 9 to 17 of Delegated Regulation (EU) 2016/101. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080. Row 0030 shall be the sum of rows 0090 to 0130. Row 0050: Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101, may not be considered exactly matching, offsetting anymore. Row 0060: Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101, may not be considered exactly matching, offsetting anymore. Row 0070: Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value referred to in Article 9(2) of Delegated Regulation (EU) 2016/101. Row 0080: Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value referred to in paragraphs 2 and 3 of Article 10 of Delegated Regulation (EU) 2016/101. Rows 0090 to 0130: Absolute value of fair-valued assets and liabilities allocated as set out below (see corresponding row instructions) in accordance with the following risk categories: interest rates, foreign exchange, credit, equities, commodities. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080.

Row 0180: Absolute value of fair-valued assets and liabilities corresponding to the portfolios under the fall-back approach 0130 FAIR-VALUED ASSETS Absolute value of fair-valued assets corresponding to the different rows as explained in the instructions on columns 0130-0140 above. 0140 FAIR-VALUED LIABILITIES Absolute value of fair-valued liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above. 0150 QTD REVENUE The quarter-to-date revenues (QTD revenue) since the last reporting date attributed to the fair valued assets and liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above, where relevant allocated or approximated based on expert judgment. 0160 IPV DIFFERENCE The sum across all positions and risk factors of unadjusted difference amounts (IPV difference) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the relevant position or risk factor. Unadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process. No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference. 0170 – 0250 FAIR VALUE ADJUSTMENTS Adjustments, sometimes also referred to as reserves, potentially applied in the institution’s accounting fair value that are made outside of the valuation model used to generate carrying amounts (excluding deferral of day one gains and losses) and that can be identified as addressing the same source of valuation uncertainty as the relevant AVA. They could reflect risk factors not captured within the valuation technique that are in a form of a risk premium or exit cost and are compliant with the definition of fair value. They shall nevertheless be considered by market participants when setting a price. (IFRS 13.9 and IFRS13.88) 0170 MARKET PRICE UNCERTAINTY Adjustment applied in the institution’s fair value to reflect the risk premium arising from the existence of a range of observed prices for equivalent instruments or, in respect of a market parameter input to a valuation model, the instruments from which the input has been calibrated, and thus that can be identified as addressing the same source of valuation uncertainty as the Market price uncertainty AVA. 0180 CLOSE-OUT COSTS Adjustment applied in the institution’s fair value to adjust for the fact that the position level valuations do not reflect an exit price for the position or portfolio, in particular where such valuations are calibrated to a mid-market price, and thus that can be identified as addressing the same source of valuation uncertainty as the close-out costs AVA. 0190 MODEL RISK Adjustment applied in the institution’s fair value to reflect market or product factors that are not captured by the model used to calculate daily position values and risks (valuation model) or to reflect an appropriate level of prudence given the uncertainty arising from the existence of a range of alternative valid models and model calibrations and thus that can be identified as addressing the same source of valuation uncertainty as the model risk AVA.

0200 CONCENTRATED POSITIONS Adjustment applied in the institution’s fair value to reflect the fact that the aggregate position held by the institution is larger than normal traded volume or larger than the position sizes on which observable quotes or trades that are used to calibrate the price or inputs used by the valuation model are based and thus can be identified as addressing the same source of valuation uncertainty as the concentrated positions AVA. 0210 UNEARNED CREDIT SPREADS Adjustment applied in the institution’s fair value to cover expected losses due to counterparty default on derivative positions (i.e. total Credit Valuation Adjustment CVA at institution level). 0220 INVESTING AND FUNDING COSTS Adjustment applied in the institution’s fair value to compensate where valuation models do not fully reflect the funding cost that market participants would factor into the exit price for a position or portfolio (i.e. total Funding Valuation Adjustment at institution level where an institution computes such adjustment, or alternatively, equivalent adjustment). 0230 FUTURE ADMINISTRATION COSTS Adjustment applied in the institution’s fair value to reflect administrative costs that are incurred by the portfolio or position but are not reflected in the valuation model or the prices used to calibrate inputs to that model, and thus that can be identified as addressing the same source of valuation uncertainty as the Future administrative costs AVA. 0240 EARLY TERMINATION Adjustments applied in the institution’s fair value to reflect contractual or non-contractual early termination expectations that are not reflected in the valuation model and thus can be identified as addressing the same source of valuation uncertainty as the Early termination AVA. 0250 OPERATIONAL RISK Adjustments applied in the institution’s fair value to reflect the risk premium that market participants would charge to compensate for operational risks arising from hedging, administration and settlement of contracts in the portfolio, and thus can be identified as addressing the same source of valuation uncertainty as the operational risk AVA. 0260 DAY 1 P&L Adjustments to reflect instances where the valuation model plus all other relevant fair value adjustments applicable to a position or portfolio did not reflect the price paid or received at first day recognition, i.e. the deferral of day one gains and losses (IFRS 9.B5.1.2.A). 0270 EXPLANATION DESCRIPTION Description of the positions treated in accordance with point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101 and the reason why it was not possible to apply Articles 9 to 17 thereof. Rows0010

1. TOTAL CORE APPROACH

Article 7(2) of Delegated Regulation (EU) 2016/101. For each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs computed under the core approach as set out in Chapter 3 of Delegated Regulation (EU) 2016/101 o for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation. That includes the diversification benefits reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101. 0020 OF WHICH: TRADING BOOK

Article 7(2) of Delegated Regulation (EU) 2016/101. For each relevant category of AVAs referred to in columns 0010 to 0110, share of total AVAs reported in row 0010 stemming from trading book positions (absolute value). 0030 1.1. PORTFOLIOS UNDER ARTICLES 9 TO 17 OF COMMISSION DELEGATED REGULATION (EU) 2016/101- TOTAL CATEGORY LEVEL POST-DIVERSIFICATION Point (a) of Article 7(2) of Delegated Regulation (EU) 2016/101. For each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs computed in accordance with Articles 9 to 17 of Delegated Regulation (EU) 2016/101 for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation, except fair-valued assets and liabilities subject to the treatment described in point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101. That includes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation. That includes the diversification benefits reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101. Row 0030 shall be the difference between rows 0040 and 0140. 0040 – 0130 1.1.1. TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION For rows 0090 to 0130, institutions shall allocate their fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101 (trading book and non-trading book) to the following risk categories: interest rates, foreign exchange, credit, equities, commodities. To that end, institutions shall rely on their internal risk management structure and, following a mapping developed based on expert judgement, allocate their business lines or trading desks to the most appropriate risk category. AVAs, Fair Value Adjustments and other required information which correspond to the allocated business lines or trading desks, shall be allocated to the same relevant risk category to provide at row level for each risk category a consistent overview of the adjustments performed both for prudential purposes and accounting purposes, as well as an indication of the size of the positions concerned (in terms of fair-valued assets and liabilities). Where AVAs or other adjustments are computed at a different level of aggregation, in particular at firm level, institutions shall develop an allocation methodology of the AVAs to the relevant sets of positions. The allocation methodology shall lead to row 0040 being the sum of rows 0050 to 0130 for columns 0010 to 0100. Regardless of the approach applied, the information reported shall, as much as possible, be consistent at row level, since the information provided will be compared at this level (AVA amounts, upside uncertainty, fair-value amounts and potential fair-value adjustments).

The breakdown in rows 0090 to 0130 excludes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation. Diversification benefits are reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101 and are therefore excluded from rows 0040 to 0130. 0050 OF WHICH: UNEARNED CREDIT SPREADS AVA

Article 105(10) CRR, Article 12 of Delegated Regulation (EU) 2016/101. The total AVA calculated for unearned credit spreads (AVA on CVA) and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 12 of Delegated Regulation (EU) 2016/101. Column 0110: The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs. Columns 0130 and 0140: Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVAs. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore. 0060 OF WHICH: INVESTMENT AND FUNDING COSTS AVA

Article 105(10) CRR, Article 17 of Delegated Regulation (EU) 2016/101. The total AVA calculated for investing and funding costs and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 13 of Delegated Regulation (EU) 2016/101. Column 0110: The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs. Columns 0130 and 0140: Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore. 0070 OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF Delegated Regulation (EU) 2016/101 Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 9(2) of Delegated Regulation (EU) 2016/101. 0080 OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF Delegated Regulation (EU) 2016/101 Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 10(2) or 10(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 Total diversification benefit. Sum of rows 0150 and 0160. 0150 1.1.2.1. (-) Diversification Benefit calculated using Method 1 For those categories of AVA aggregated under Method 1 in accordance with Articles 9(6), 10(7) and 11(6) of Delegated Regulation (EU) 2016/101, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation. 0160 1.1.2.2. (-) Diversification Benefit calculated using Method 2 For those categories of AVA aggregated under Method 2 in accordance with Articles 9(6), 10(7) and 11(6) of Delegated Regulation (EU) 2016/101, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation. 0170 1.1.2.2 Memorandum item: pre-diversification AVAs reduced by more than 90 % by diversification under Method 2 In the terminology of Method 2, the sum of FV – PV for all valuation exposures for which APVA < 10 % (FV – PV). 0180 1.2. Portfolios calculated under the fall-back approach Point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101. For portfolios subject to the fall-back approach under point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101, the total AVA shall be computed as a sum of rows 0190, 0200 and 0210.

Relevant balance sheet and other contextual information shall be provided in columns 0130 – 0260. A description of the positions and the reason why it was not possible to apply Articles 9 to 17 of Delegated Regulation (EU) 2016/101 shall be provided in column 0270. 0190 1.2.1. Fall-back approach; 100 % unrealised profit Point (b)(i) of Article 7(2) of Delegated Regulation (EU) 2016/101. 0200 1.2.2. Fall-back approach; 10 % notional value Point (b)(ii) of Article 7(2) of Delegated Regulation (EU) 2016/101. 0210 1.2.3. Fall-back approach; 25 % of inception value Point (b)(iii) of Article 7(2) of Delegated Regulation (EU) 2016/101. 6.3. C 32.03 – PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3) 6.3.1. General remarks 154f. This template is to be completed only by institutions that exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101 at their level. Institutions that are part of a group breaching the threshold on a consolidated basis are required to report this template only where they also exceed the threshold at their level. 154g. This template shall be used to report details of the top 20 individual model risk AVAs in terms of AVA amount that contribute to the total category level model risk AVA computed in accordance with Article 11 of Delegated Regulation (EU) 2016/101. That information corresponds to the information reported in column 0050 of template C 32.02. 154h. The top 20 individual model risk AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual model risk AVAs. 154i. Products corresponding to those top individual model risk AVAs shall be reported using the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101. 154j. Where products are sufficiently homogenous with respect to the valuation model and the model risk AVA, they shall be merged and shown on one line for the purpose of maximising coverage of this template in respect of the total category level Model Risk AVA of the institution. 6.3.2. Instructions concerning specific positions Columns0005 RANK The rank is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc., with 1 being assigned to the highest individual model risk AVAs, 2 to the second highest and so on. 0010 MODEL Internal name (alpha-numerical) of the model used by the institution to identify the model. 0020 RISK CATEGORY The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the product or group of products that give rise to the model risk valuation adjustment. Institutions shall report the following codes: IR – interest rates FX – foreign exchange CR – credit EQ – equities CO – commodities 0030 PRODUCT Internal name (alpha-numerical) for the product or group of products, in line with the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101, that is valued using the model.

0040 OBSERVABILITY Number of price observations for the product or group of products in the last 12 months that meet either of the following criteria: The price observation is a price at which the institution has conducted a transaction; It is a verifiable price for an actual transaction between third parties; The price is obtained from a committed quote. Institutions shall report one of the following values: none, 1-6, 6-24, 24-100, 100+. 0050 MODEL RISK AVA

Article 11(1) of Delegated Regulation (EU) 2016/101. Individual model risk AVA before diversification benefit, but after portfolio netting where relevant. 0060 OF WHICH: USING EXPERT-BASED APPROACH Amounts in column 0050 that have been calculated under the expert-based approach referred to in Article 11(4) of Delegated Regulation (EU) 2016/101. 0070 OF WHICH: AGGREGATED USING METHOD 2 Amounts in column 0050 that have been aggregated under Method 2 of the Annex to Delegated Regulation (EU) 2016/101. These amounts correspond to FV – PV in the terminology of that Annex. 0080 AGGREGATED AVA CALCULATED UNDER METHOD 2 The contribution towards the total category level AVA for model risk, as computed in accordance with Article 11(7) of the Delegated Regulation (EU) 2016/101 of individual model risk AVAs that are aggregated using Method 2 of the Annex to that Regulation (EU). That amount corresponds to APVA in the terminology of the Annex. 0090 -0100 FAIR-VALUED ASSETS AND LIABILITIES Absolute value of fair-valued assets and liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework. 0090 FAIR-VALUED ASSETS Absolute value of fair-valued assets valued using the model reported in column 0010 as stated in the financial statements under the applicable framework. 0100 FAIR-VALUED LIABILITIES Absolute value of fair-valued liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework. 0110 IPV DIFFERENCE (OUTPUT TESTING) The sum of unadjusted difference amounts (IPV difference) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the corresponding product or group of products. Unadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process. No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference. Only results that have been calibrated from prices of instruments that would be mapped to the same product (output testing) shall be included here. Input testing results from market data inputs that are tested against levels that have been calibrated from different products shall not be included. 0120 IPV COVERAGE (OUTPUT TESTING) The percentage of those positions mapped to the model weighted by model risk AVA that is covered by the output IPV testing results given in column 0110. 0130 – 0140 FAIR VALUE ADJUSTMENTS Fair Value adjustments as referred to in columns 0190 and 0240 of template C 32.02 that have been applied to the positions mapped to the model in column 0010. 0150 DAY 1 P&L Adjustments as defined in column 0260 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.

6.4. C 32.04 – PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4) 6.4.1. General remarks 154k. This template shall be completed only by institutions that exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101. Institutions that are part of a group breaching the threshold on a consolidated basis shall report this template only where they also exceed the threshold at their level. 154l. This template shall be used to report details of the top 20 individual concentrated positions AVAs in terms of AVA amount that contribute to the total category level concentrated positions AVA computed in accordance with Article 14 of Delegated Regulation (EU) 2016/101. This information shall correspond to the information reported in column 0070 of template C 32.02. 154m. The top 20 concentrated positions AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual concentrated positions AVAs. 154n. Products corresponding to these top individual concentrated positions AVAs shall be reported using the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101. 154o. Positions that are homogenous in terms of AVA calculation methodology shall be aggregated where this is possible to maximise the coverage of this template. 6.4.2. Instructions concerning specific positions Columns0005 RANK The rank is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc., with 1 being assigned to the highest concentrated positions AVAs, 2 to the second highest and so on. 0010 RISK CATEGORY The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the position. Institutions shall report the following codes: IR – Interest Rates FX – Foreign exchange CR – Credit EQ – Equities CO – Commodities 0020 PRODUCT Internal name for the product or group of products in line with the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101. 0030 UNDERLYING Internal name of the underlying, or underlyings, in the case of derivatives or of the instruments in the case of non-derivatives. 0040 CONCENTRATED POSITION SIZE Size of the individual concentrated valuation position identified in accordance with point (a) of Article 14(1) of Delegated Regulation (EU) 2016/101, expressed in the unit described in column 0050. 0050 SIZE MEASURE Unit of size measure used internally as part of the identification of the concentrated valuation position to compute the concentrated position size referred in column 0040. In the case of positions in bonds or equity, please report the unit used for internal risk management, such as number of bonds, number of shares or market value. In the case of position in derivatives, please report the unit used for internal risk management, such as PV01; EUR per 1 basis point parallel yield curve shift. 0060 MARKET VALUE

Market value of the position. 0070 PRUDENT EXIT PERIOD The prudent exit period in number of days estimated in accordance with point (b) of Article 14(1) of Delegated Regulation (EU) 2016/101. 0080 CONCENTRATED POSITIONS AVA The concentrated positions AVA amount calculated in accordance with Article 14(1) of Delegated Regulation (EU) 2016/101 for the individual concentrated valuation position concerned. 0090 CONCENTRATED POSITION FAIR VALUE ADJUSTMENT The amount of any fair value adjustments taken to reflect the fact that the aggregate position held by the institution is larger than the normal traded volume or larger than position sizes and on which quotes or trades, which are used to calibrate the price or inputs used by the valuation model, are based. The amount reported shall correspond to the amount that has been applied to the individual concentrated valuation position concerned. 0100 IPV DIFFERENCE The sum of unadjusted difference amounts (IPV difference) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the individual concentrated valuation position concerned. Unadjusted difference amounts shall refer to unadjusted differences between the valuations generated by the trading system and the valuations assessed during the monthly IPV process. No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference. 7. C 33.00 – EXPOSURES TO GENERAL GOVERNMENTS (GOV) 7.1. GENERAL REMARKS 155. The information for the purpose of template C 33.00 shall cover all exposures to General governments as referred to in point (b) of paragraph 42 of Annex V to this Implementing Regulation. 156. Exposures to General governments are included in different exposure classes in accordance with Article 112 and Article 147 CRR, as specified by the instructions for the completion of template C 07.00, C 08.01 and C 08.02. 157. Table 2 (Standardised Approach) and Table 3 (IRB Approach), included in Part 3 of Annex V to this Implementing Regulation, shall be observed for the mapping of exposure classes used to calculate capital requirements under CRR to counterparty sector General governments. 158. Information shall be reported for the total aggregate exposures (meaning the sum of all countries in which the bank has sovereign exposures) and for each country on the basis of the residence of the counterparty on an immediate borrower basis. 159. The allocation of exposures to exposure classes or jurisdictions shall be made without considering credit mitigation techniques and in particular without considering substitution effects. However, the calculation of exposure values and risk weighted exposure amounts for each exposure class and each jurisdiction shall include the incidence of credit risk mitigation techniques, including substitution effects.

1. The reporting of information on exposures to General governments by jurisdiction of residence of the immediate counterparty other than the domestic jurisdiction of the reporting institution is subject to the thresholds laid down in point (3) of Article 5(b) of this Implementing Regulation. 7.2. SCOPE OF THE TEMPLATE ON EXPOSURES TO GENERAL GOVERNMENTS
2. The scope of the GOV template covers on, off-balance sheet and derivatives direct exposures to General governments in the banking and trading book. In addition, a memorandum item on indirect exposures in the form of credit derivatives sold on general government exposures is also requested.
3. An exposure is a direct exposure when the immediate counterparty is an entity that is a General government as referred to in point (b) of paragraph 42 of Annex V to this Implementing Regulation.
4. The template is divided in two sections. The first one is based on a breakdown of exposures by risk, regulatory approach and exposure classes whereas a second one is based on a breakdown by residual maturity 7.3. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS ColumnsInstructions010-260 DIRECT EXPOSURES 010-140 ON-BALANCE SHEET EXPOSURES 010 Total gross carrying amount of non-derivative financial assets Aggregate of gross carrying amount, as determined in accordance with paragraph 34 of Part 1 of Annex V to this Implementing Regulation, of non-derivative financial assets to General governments, for all accounting portfolios under IFRS or national GAAP based on BAD defined in paragraphs 15 to 22 of Part 1 of Annex V to this Implementing Regulation, and listed in columns 030 to 120 Prudent valuation adjustments shall not reduce the gross carrying amount of trading and non-trading exposures measured at fair value. 020 Total carrying amount of non-derivative financial assets (net of short positions) Aggregate of the carrying amount, as referred to in paragraph 27 of Part 1 of Annex V to this Implementing Regulation, of non-derivative financial assets to General governments for all accounting portfolios under IFRS or national GAAP based on BAD defined in paragraphs 15 to 22 of Part 1 of Annex V to this Implementing Regulation and listed in columns 030 to 120, net of short positions. Where the institution has a short position for the same residual maturity and the same immediate counterparty that is denominated in the same currency, the carrying amount of the short position shall be netted against the carrying amount of the direct position. That net amount shall be considered to be zero when it is a negative amount. The sum of the columns 030 to 120 minus column 130 shall be reported. If that amount is lower than zero, the amount to be reported shall be zero. 030-120 NON-DERIVATIVE FINANCIAL ASSETS BY ACCOUNTING PORTFOLIOS Aggregate carrying amount of non-derivative financial assets, as defined in the row above of this table, to General governments, broken down by accounting portfolio under the applicable accounting framework

030 Financial assets held for trading IFRS 7.8(a)(ii); IFRS 9 Appendix A 040 Trading financial assets Articles 32 and 33 BAD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation; point (a) of Article 8(1) AD Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP). 050 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.8(a)(ii); IFRS 9.4.1.4 060 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5 and point (a) of Article 8(1) and Article 8(6) AD 070 Non-trading non-derivative financial assets measured at fair value through profit or loss

Article 36(2) BAD; point (a) of Article 8(1) AD Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP). 080 Financial assets at fair value through other comprehensive income IFRS 7.8(d); IFRS 9.4.1.2 A 090 Non-trading non-derivative financial assets measured at fair value to equity Point (a) of Article 8(1) and Article 8(8) AD Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP). 100 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2; Paragraph 15 of Part 1 of Annex V to this Implementing Regulation 110 Non-trading non-derivative financial assets measured at a cost-based method

Article 37 BAD; Article 12(7) AD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP). 130 Short positions Carrying amount of short positions, as defined in IFRS 9 BA.7(b) where the direct counterparty is a General government as defined in paragraphs 155 to 160 of this Annex. Short positions arise where the institution sells securities acquired in a reverse repurchase loan or borrowed in a securities lending transaction. The carrying amount is the fair value of the short positions. Short positions shall be reported by residual maturity bucket, as listed in rows 170 to 230, and by immediate counterparty. Short positions shall be used for netting with positions for the same residual maturity and immediate counterparty for the computation of columns 030 to 120. 140 Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets Carrying amount of short positions, as defined in IFRS 9 BA.7(b), that arise when the institution sells the securities acquired in reverse repurchase loans, where the direct counterparty of those securities is a General government and that are included in the held for trading or trading financial assets accounting portfolios (columns 030 or 040). Short positions that arise when the sold securities were borrowed in a securities lending transition shall not be included in this column. 150 Accumulated impairment Aggregate accumulated impairment related to non-derivative financial assets reported in columns 080 to 120 (paragraphs 70 and 71 of Part 2 of Annex V to this Implementing Regulation) 160 Accumulated impairment – 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 Aggregate of accumulated impairment related to non-derivative financial assets reported in columns 080 and 090. 170 Accumulated negative changes in fair value due to credit risk Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 050, 060, 070, 080 and 090 (paragraph 69 of Part 2 of Annex V to this Implementing Regulation) 180 Accumulated negative changes in fair value due to credit risk – 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 Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 050, 060 and 070. 190 Accumulated negative changes in fair value due to credit risk – 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 Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 080 and 090.

200-230 DERIVATIVES Direct derivative positions shall be reported in columns 200 to 230. For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges, see instructions for the row breakdown. 200-210 Derivatives with positive fair value All derivative instruments with a General government counterparty with a positive fair value for the institution at the reporting date, regardless of whether those instruments are used in a qualifying hedging relationship, are held for trading, or are included in the trading portfolio under IFRS and national GAAP based on BAD. Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (paragraphs 120, 124, 125 and 137 to 140 of Part 2 of Annex V to this Implementing Regulation). 200 Derivatives with positive fair value: Carrying amount Carrying amount of the derivatives accounted for as financial assets at the reporting reference date. Under GAAP based on BAD, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments. 210 Derivatives with positive fair value: Notional amount Under IFRS and national GAAP based on BAD, notional amount, as defined in paragraphs 133 to 135 of Part 2 of Annex V to this Implementing Regulation, of all derivative contracts concluded and not yet settled at the reporting reference date, where the counterparty is a General government as defined in paragraphs 155 to 160 of this Annex and the fair value of the derivative is positive for the institution at the reference date. 220-230 Derivatives with negative fair value All derivative instruments with a General government counterparty with a negative fair value for the institution at the reporting reference date, regardless of whether those instruments are used in a qualifying hedging relationship or are held for trading or included in the trading portfolio under IFRS and national GAAP based on BAD. Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (paragraphs 120, 124, 125 and 137 to 140 of Part 2 of Annex V to this Implementing Regulation). 220 Derivatives with negative fair value: Carrying amount Carrying amount of the derivatives accounted for as financial liabilities at the reporting reference date. Under GAAP based on BAD, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments. 230 Derivatives with negative fair value: Notional amount Under IFRS and national GAAP based on BAD, notional amount, as defined in paragraphs 133 to 135 of Part 2 of Annex V to this Implementing Regulation, of all derivative contracts concluded and not yet settled at the reference date, where the counterparty is a General government as defined in paragraphs 155 to 160 of this Annex and the fair value of the derivative is negative for the institution at the reference date.

240-260 OFF-BALANCE SHEET EXPOSURES 240 Nominal amount Where the direct counterparty of the off-balance sheet item is a General government as defined in paragraphs 155 to 160 of this Annex, nominal amount of the commitments and financial guarantees that are not considered as a derivative in accordance with IFRS or under national GAAP based on BAD (paragraphs 102-119 of Part 2 of Annex V to this Implementing Regulation,). In accordance with paragraphs 43 and 44 of Part 2 of Annex V to this Implementing Regulation, the General government is the direct counterparty: (a) in a financial guarantee given, when it is the direct counterparty of the guaranteed debt instrument, and (b) in a loan commitment and other commitment given, when it is the counterparty whose credit risk is assumed by the reporting institution. 250 Provisions Point (6)(c) and Off balance sheet items of Article 4, Articles 27(11), 28(8) and Article 33 BAD+/; IFRS 9.4.2.1(c)(ii),(d)(ii), 9.5.5.20;IAS 37, IFRS 4, Part 2.11 of Annex V to this Implementing Regulation. Provisions on all off-balance sheet exposures regardless of how they are measured, except those that are measured at fair value through profit or loss in accordance with IFRS 9. Under IFRS, the impairment of a loan commitment given shall be reported in column 150 where the institution cannot separately identify the expected credit losses related to the drawn and undrawn amount of the debt instrument. In case the combined expected credit losses for that financial instrument exceed the gross carrying amount of the loan component of the instrument, the remaining balance of the expected credit losses shall be reported as a provision in column 250. 260 Accumulated negative changes in fair value due to credit risk For off-balance sheet items measured at fair value through profit or loss under IFRS 9, accumulated negative changes in fair value due to credit risk (paragraph 110 of Part 2 of Annex V to this Implementing Regulation) 270-280 Memorandum item: credit derivatives sold on general government exposures Credit derivatives that do not meet the definition of financial guarantees in Annex V, Part 2, paragraph 58 that the reporting institution has underwritten with counterparties other than General governments and whose reference exposure is a General government shall be reported. These columns shall not be reported for exposures broken down by risk, regulatory approach and exposure class (rows 020 to 160). The exposures reported in the section are not to be considered in the computation of exposure Value and Risk weighted amount (columns 290 and 300) which is based solely on direct exposures. 270 Derivatives with positive fair value – Carrying amount Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a positive fair value for the institution at the reference reporting date, without considering prudent valuation adjustments. For derivatives under IFRS, the amount to be reported in this column is the carrying amount of the derivatives that are financial assets at the reporting date.

For derivatives under GAAP based on BAD, the amount to be reported in this column shall be the fair value of the derivatives with a positive fair value at the reference reporting date, independently of how they are accounted for. 280 Derivatives with negative fair value – Carrying amount Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a negative fair value for the institution at the reference reporting date, without considering prudent valuation adjustments. For derivatives under IFRS, the amount to be reported in this column shall be the carrying amount of the derivatives that are financial liabilities at the reporting date. For derivatives under GAAP based on BAD, the amount to be reported in this column is the fair value of the derivatives with a negative fair value at the reference reporting date, independently of how they are accounted for. 290 Exposure value Exposure value for exposures subject to the credit risk framework. For exposures under the Standardised Approach (SA): see Article 111 CRR. For exposures under the IRB Approach: see Article 166 and the second sentence of Article 230(1) CRR. For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges, see instructions for the row breakdown. 300 Risk weighted exposure amount Risk weighted exposure amount for exposures subject to the credit risk framework. For exposures under the Standardised Approach (SA): see paragraphs 1 to 5 of Article 113 CRR. For exposures under the IRB Approach: see paragraphs 1 and 3 of Article 153 CRR. For the reporting of direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk, see instructions for the row breakdown. RowsInstructionsBREAKDOWN OF EXPOSURES BY REGULATORY APPROACH010 Total exposures Aggregate of exposures to General governments, as defined in paragraphs 155 to 160 of this Annex. 020-155 Exposures under the credit risk framework Aggregate of exposures to General governments that shall be risk-weighted in accordance with Title II of Part Three CRR. Exposures under the credit risk framework include exposures from both the non-trading book and the trading book subject to a capital charge for counterparty credit risk. Direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (020 to 155) and the market risk row (row 160): the exposures due to counterparty credit risk shall be reported in the credit risk rows, while the exposures due to market risk shall be reported in the market risk row. 030 Standardised Approach Exposures to General governments that shall be risk-weighted in accordance with Chapter 2 of Title II of Part Three CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.

040 Central governments Exposures to General governments that are central governments. These exposures are allocated to the Central governments or central banks exposure class in accordance with Articles 112 and 114 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply. 050 Regional governments or local authorities Exposures to General governments that are regional governments or local authorities. These exposures are allocated to the Regional governments or local authorities exposure class in accordance with Articles 112 and 115 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply. 060 Public sector entities Exposures to General governments that are public sector entities. These exposures are allocated to the Public sector entities exposure class in accordance with Articles 112 and 116 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply. 070 International Organisations Exposures to General governments that are international organisations. These exposures are allocated to the International Organisations exposure classes in accordance with Articles 112 and 118 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply. 075 Other general government exposures subject to Standardised Approach Exposures to General governments other than those included in rows 040 to 070 above, which are allocated to SA exposure classes in accordance with Article 112 CRR for the purposes of calculating own funds requirements. 080 IRB Approach Exposures to General governments that shall be risk-weighted in accordance with Chapter 3 of Title II of Part Three CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk. 090 Central governments Exposures to General governments that are central governments and that are allocated to the Central governments and central banks exposure class in accordance with point (a) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply..

100 Regional governments or local authorities [Central governments and central banks] Exposures to General governments that are regional governments or local authorities and that are allocated to the Central governments and central banks exposure class in accordance with point (a) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply. 110 Regional governments or local authorities [Institutions] Exposures to General governments that are regional governments or local authorities and that are allocated to the Institutions exposure class in accordance with point (a) of Article 147(4) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply. 120 Public sector entities [Central governments and central banks] Exposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the Central governments and central banks exposure class in accordance with point (a) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply. 130 Public sector entities [Institutions] Exposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the Institutions exposure class in accordance with point (b) of Article 147(4) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply. 140 International Organisations [Central governments and central banks] Exposures to General governments that are International Organisations and that are allocated to the Central governments and central banks exposure class in accordance with point (c) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

155 Other general government exposures subject to IRB Approach Exposures to General governments other than those included in rows 090 to 140 above which are allocated to IRB exposure classes in accordance with Article 147 CRR for the purposes of calculating own funds requirements. 160 Exposures subject to market risk Market risk exposures cover positions for which own funds requirements are calculated in accordance with Title IV of Part Three CRR. Direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (020 to 155) and the market risk row (row 160): the exposure due to counterparty credit risk shall be reported in the credit risk rows, while the exposure due to market risk shall be reported in the market risk row. 170-230 BREAKDOWN OF EXPOSURES BY RESIDUAL MATURITY Residual maturity shall be computed in days between the contractual date of maturity and the reporting reference date for all positions. Exposures to General governments shall be broken-down by residual maturity and allocated to the buckets provided as follows: [0 – 3M [: Less than 90 days [3M – 1Y [: Equal or greater than 90 days and less than 365 days [1Y – 2Y [: Equal or greater than 365 days and less than 730 days [2Y – 3Y [: Equal or greater than 730 days and less than 1095 days [3Y – 5Y [: Equal or greater than 1095 days and less than 1825 days [5Y – 10Y [: Equal or greater than 1825 days and less than 3650 days [10Y – more: Equal or greater than 3650 days

Annex

ANNEX III

Annex

ANNEX III REPLACES ANNEX III – REPORTING FINANCIAL INFORMATION ACCORDING TO IFRS FINREP TEMPLATES FOR IFRSTEMPLATE NUMBERTEMPLATE CODENAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATEPART 1 [QUARTERLY FREQUENCY]Balance Sheet Statement [Statement of Financial Position]1.1F 01.01Balance Sheet Statement: assets1.2F 01.02Balance Sheet Statement: liabilities1.3F 01.03Balance Sheet Statement: equity2F 02.00Statement of profit or loss3F 03.00Statement of comprehensive incomeBreakdown of financial assets by instrument and by counterparty sector4.1F 04.01Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading4.2.1F 04.02.1Breakdown of financial assets by instrument and by counterparty sector: non-trading financial assets mandatorily at fair value through profit or loss4.2.2F 04.02.2Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss4.3.1F 04.03.1Breakdown of financial assets by instrument and by counterparty sector: financial assets at fair value through other comprehensive income4.4.1F 04.04.1Breakdown of financial assets by instrument and by counterparty sector: financial assets at amortised cost4.5F 04.05Subordinated financial assets5.1F 05.01Breakdown of non-trading loans and advances by product6.1F 06.01Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codesFinancial assets subject to impairment that are past due7.1F 07.01Financial assets subject to impairment that are past dueBreakdown of financial liabilities8.1F 08.01Breakdown of financial liabilities by product and by counterparty sector8.2F 08.02Subordinated financial liabilitiesLoan commitments, financial guarantees and other commitments9.1.1F 09.01.1Off-balance sheet exposures: loan commitments, financial guarantees and other commitments given9.2F 09.02Loan commitments, financial guarantees and other commitments received

10F 10.00Derivatives – Trading and economic hedgesHedge accounting11.1F 11.01Derivatives – Hedge accounting: Breakdown by type of risk and type of hedge11.3F 11.03Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge11.4F 11.04Hedged items in fair value hedgesMovements in allowances and provisions for credit losses12.1F 12.01Movements in allowances and provisions for credit losses12.2F 12.02Transfers between impairment stages (gross basis presentation)Collateral and guarantees received13.1F 13.01Breakdown of collateral and guarantees by loans and advances other than held for trading13.2.1F 13.02.1Collateral obtained by taking possession during the period [held at the reference date]13.3.1F 13.03.1Collateral obtained by taking possession accumulated14F 14.00Fair value hierarchy: financial instruments at fair value15F 15.00Derecognition and financial liabilities associated with transferred financial assetsBreakdown of selected statement of profit or loss items16.1F 16.01Interest income and expenses by instrument and counterparty sector16.2F 16.02Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument16.3F 16.03Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument16.4F 16.04Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk16.4.1F 16.04.1Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument16.5F 16.05Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument16.6F 16.06Gains or losses from hedge accounting16.7F 16.07Impairment on non-financial assets16.8F 16.08Other administrative expensesReconciliation between accounting and CRR scope of consolidation: Balance Sheet17.1F 17.01Reconciliation between accounting and CRR scope of consolidation: Assets17.2F 17.02Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures – loan commitments, financial guarantees and other commitments given17.3F 17.03Reconciliation between accounting and CRR scope of consolidation: LiabilitiesInformation on performing and non-performing exposures18F 18.00Information on performing and non-performing exposures18.1F 18.01Inflows and outflows of non-performing exposures – loans and advances by counterparty sector18.2F 18.02Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property19F 19.00Forborne exposures PART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING]Geographical breakdown20.1F 20.01Geographical breakdown of assets by location of the activities20.2F 20.02Geographical breakdown of liabilities by location of the activities20.3F 20.03Geographical breakdown of main statement of profit or loss items by location of the activities20.4F 20.04Geographical breakdown of assets by residence of the counterparty20.5F 20.05Geographical breakdown of off-balance sheet exposures by residence of the counterparty20.6F 20.06Geographical breakdown of liabilities by residence of the counterparty20.7.1F 20.07.1Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes21F 21.00Tangible and intangible assets: assets subject to operating leaseAsset management, custody and other service functions22.1F 22.01Fee and commission income and expenses by activity22.2F 22.02Assets involved in the services providedLoans and advances: additional information23.1F 23.01Loans and advances: Number of instruments23.2F 23.02Loans and advances: Additional information on gross carrying amounts23.3F 23.03Loans and advances collateralised by immovable property: Breakdown by LTV ratios23.4F 23.04Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to credit risk23.5F 23.05Loans and advances: Collateral received and financial guarantees received23.6F 23.06Loans and advances: Accumulated partial write-offsLoans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year24.1F 24.01Loans and advances: Inflows and outflows of non-performing exposures24.2F 24.02Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures24.3F 24.03Loans and advances: Inflow of write-offs of non-performing exposuresCollateral obtained by taking possession and execution processes25.1F 25.01Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and Outflows25.2F 25.02Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of collateral obtained25.3F 25.03Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)26F 26.00Forbearance management and quality of forbearance

PART 3 [SEMI-ANNUAL]Off-balance sheet activities: interests in unconsolidated structured entities30.1F 30.01Interests in unconsolidated structured entities30.2F 30.02Breakdown of interests in unconsolidated structured entities by nature of the activitiesRelated parties31.1F 31.01Related parties: amounts payable to and amounts receivable from31.2F 31.02Related parties: expenses and income generated by transactions withPART 4 [ANNUAL]Group structure40.1F 40.01Group structure: entity-by-entity40.2F 40.02Group structure: instrument-by-instrumentFair value41.1F 41.01Fair value hierarchy: financial instruments at amortised cost41.2F 41.02Use of the Fair Value Option42F 42.00Tangible and intangible assets: carrying amount by measurement method43F 43.00ProvisionsDefined benefit plans and employee benefits44.1F 44.01Components of net defined benefit plan assets and liabilities44.2F 44.02Movements in defined benefit plan obligations44.3F 44.03Staff expenses by type of benefits44.4F 44.04Staff expenses by structure and category of staffBreakdown of selected items of statement of profit or loss45.1F 45.01Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio45.2F 45.02Gains or losses on derecognition of non-financial assets other than held for sale and investments in subsidiaries, joint ventures and associates45.3F 45.03Other operating income and expenses46F 46.00Statement of changes in equity47F 47.00Average duration and recovery periods

1. Balance Sheet Statement [Statement of Financial Position] 1.1 Assets ReferencesBreakdown in tableCarrying amountAnnex V.Part 1.27010010Cash, cash balances at central banks and other demand depositsIAS 1.54 (i)020Cash on handAnnex V.Part 2.1030Cash balances at central banksAnnex V.Part 2.2040Other demand depositsAnnex V.Part 2.35050Financial assets held for tradingIFRS 9.Appendix A060DerivativesIFRS 9.Appendix A10070Equity instrumentsIAS 32.114080Debt securitiesAnnex V.Part 1.314090Loans and advancesAnnex V.Part 1.324096Non-trading financial assets mandatorily at fair value through profit or lossIFRS 7.8(a)(ii); IFRS 9.4.1.44097Equity instrumentsIAS 32.114098Debt securitiesAnnex V.Part 1.314099Loans and advancesAnnex V.Part 1.324100Financial assets designated at fair value through profit or lossIFRS 7.8(a)(i); IFRS 9.4.1.54120Debt securitiesAnnex V.Part 1.314130Loans and advancesAnnex V.Part 1.324141Financial assets at fair value through other comprehensive incomeIFRS 7.8(h); IFRS 9.4.1.2A4142Equity instrumentsIAS 32.114143Debt securitiesAnnex V.Part 1.314144Loans and advancesAnnex V.Part 1.324181Financial assets at amortised costIFRS 7.8(f); IFRS 9.4.1.24182Debt securitiesAnnex V.Part 1.314183Loans and advancesAnnex V.Part 1.324240Derivatives – Hedge accountingIFRS 9.6.2.1; Annex V.Part 1.2211250Fair value changes of the hedged items in portfolio hedge of interest rate riskIAS 39.89A(a); IFRS 9.6.5.8260Investments in subsidiaries, joint ventures and associatesIAS 1.54(e); Annex V.Part 1.21, Part 2.440

270Tangible assets280Property, Plant and EquipmentIAS 16.6; IAS 1.54(a); IFRS 16.47(a)21, 42290Investment propertyIAS 40.5; IAS 1.54(b); IFRS 16.4821, 42300Intangible assetsIAS 1.54(c); CRR art 4(1)(115)310GoodwillIFRS 3.B67(d); CRR art 4(1)(113)320Other intangible assetsIAS 38.8,118; IFRS 16.47 (a)21, 42330Tax assetsIAS 1.54(n-o)340Current tax assetsIAS 1.54(n); IAS 12.5350Deferred tax assetsIAS 1.54(o); IAS 12.5; CRR art 4(1)(106)360Other assetsAnnex V.Part 2.5370Non-current assets and disposal groups classified as held for saleIAS 1.54(j); IFRS 5.38, Annex V.Part 2.7380TOTAL ASSETSIAS 1.9(a), IG 6 1.2 Liabilities ReferencesBreakdown in tableCarrying amountAnnex V.Part 1.27010010Financial liabilities held for tradingIFRS 7.8 (e) (ii); IFRS 9.BA.68020DerivativesIFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)10030Short positionsIFRS 9.BA7(b)8040DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.368050Debt securities issuedAnnex V.Part 1.378060Other financial liabilitiesAnnex V.Part 1.38-418070Financial liabilities designated at fair value through profit or lossIFRS 7.8 (e)(i); IFRS 9.4.2.28080DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.368090Debt securities issuedAnnex V.Part 1.378100Other financial liabilitiesAnnex V.Part 1.38-418 110Financial liabilities measured at amortised costIFRS 7.8(g); IFRS 9.4.2.18120DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.368130Debt securities issuedAnnex V.Part 1.378140Other financial liabilitiesAnnex V.Part 1.38-418150Derivatives – Hedge accountingIFRS 9.6.2.1; Annex V.Part 1.2611160Fair value changes of the hedged items in portfolio hedge of interest rate riskIAS 39.89A(b), IFRS 9.6.5.8170ProvisionsIAS 37.10; IAS 1.54(l)43180Pensions and other post employment defined benefit obligationsIAS 19.63; IAS 1.78(d); Annex V.Part 2.943190Other long term employee benefitsIAS 19.153; IAS 1.78(d); Annex V.Part 2.1043200RestructuringIAS 37.71, 84(a)43210Pending legal issues and tax litigationIAS 37.Appendix C. Examples 6 and 1043220Commitments and guarantees givenIFRS 9.4.2.1(c),(d), 9.5.5, 9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.11 9 12 43 230Other provisionsIAS 37.1443240Tax liabilitiesIAS 1.54(n-o)250Current tax liabilitiesIAS 1.54(n); IAS 12.5260Deferred tax liabilitiesIAS 1.54(o); IAS 12.5; CRR art 4(1)(108)270Share capital repayable on demandIAS 32 IE 33; IFRIC 2; Annex V.Part 2.12280Other liabilitiesAnnex V.Part 2.13290Liabilities included in disposal groups classified as held for saleIAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14300TOTAL LIABILITIESIAS 1.9(b);IG 6 1.3 Equity ReferencesBreakdown in tableCarrying amount010010CapitalIAS 1.54(r), BAD art 2246020Paid up capitalIAS 1.78(e)030Unpaid capital which has been called upAnnex V.Part 2.14040Share premiumIAS 1.78(e); CRR art 4(1)(124)46050Equity instruments issued other than capitalAnnex V.Part 2.18-1946060Equity component of compound financial instrumentsIAS 32.28-29; Annex V.Part 2.18070Other equity instruments issuedAnnex V.Part 2.19080Other equityIFRS 2.10; Annex V.Part 2.20090Accumulated other comprehensive incomeCRR art 4(1)(100)46095Items that will not be reclassified to profit or lossIAS 1.82A(a)100Tangible assetsIAS 16.39-41110Intangible assetsIAS 38.85-87120Actuarial gains or (-) losses on defined benefit pension plansIAS 1.7, IG6; IAS 19.120(c)122Non-current assets and disposal groups classified as held for saleIFRS 5.38, IG Example 12124Share of other recognised income and expense of investments in subsidaries, joint ventures and associatesIAS 1.IG6; IAS 28.10320Fair value changes of equity instruments measured at fair value through other comprehensive incomeIAS 1.7(d); IFRS 9 5.7.5, B5.7.1; Annex V.Part 2.21330Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive incomeIAS 1.7(e);IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.22340Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item]IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.22350Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument]IAS 1.7(e);IFRS 9.5.7.5;.6.5.8(a); Annex V.Part 2.57360Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit riskIAS 1.7(f); IFRS 9 5.7.7;Annex V.Part 2.23128Items that may be reclassified to profit or lossIAS 1.82A(a) (ii)

130Hedge of net investments in foreign operations [effective portion]IFRS9.6.5.13(a); IFRS7.24B(b)(ii)(iii); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.24140Foreign currency translationIAS 21.52(b); IAS 21.32, 38-49150Hedging derivatives. Cash flow hedges reserve [effective portion]IAS 1.7 (e); IFRS 7.24B(b)(ii)(iii); IFRS 7.24C(b)(i);.24E; IFRS 9.6.5.11(b); Annex V.Part 2.25155Fair value changes of debt instruments measured at fair value through other comprehensive incomeIAS 1.7(da); IFRS 9.4.1.2A; 5.7.10; Annex V.Part 2.26165Hedging instruments [not designated elements]IAS 1.7(g)(h); IFRS 9.6.5.15, .6.5.16; IFRS 7.24 E (b)(c); Annex V.Part 2.60170Non-current assets and disposal groups classified as held for saleIFRS 5.38, IG Example 12180Share of other recognised income and expense of investments in subsidaries, joint ventures and associatesIAS 1.IG6; IAS 28.10190Retained earningsCRR art 4(1)(123)200Revaluation reservesIFRS 1.30, D5-D8; Annex V.Part 2.28210Other reservesIAS 1.54; IAS 1.78(e)220Reserves or accumulated losses of investments in subsidaries, joint ventures and associates accounted for using the equity methodIAS 28.11; Annex V.Part 2.29230OtherAnnex V.Part 2.29240(-) Treasury sharesIAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.3046250Profit or loss attributable to owners of the parentIAS 1.81B (b)(ii)2260(-) Interim dividendsIAS 32.35270Minority interests [Non-controlling interests]IAS 1.54(q)280Accumulated Other Comprehensive IncomeCRR art 4(1)(100)46290Other items46300TOTAL EQUITYIAS 1.9(c), IG 646310TOTAL EQUITY AND TOTAL LIABILITIESIAS 1.IG6 2. Statement of profit or loss ReferencesBreakdown in tableCurrent period010010Interest incomeIAS 1.97; Annex V.Part 2.3116020Financial assets held for tradingIFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34025Non-trading financial assets mandatorily at fair value through profit or lossIFRS 7.20(a)(i), B5(e), IFRS 9.5.7.1030Financial assets designated at fair value through profit or lossIFRS 7.20(a)(i), B5(e)041Financial assets at fair value through other comprehensive incomeIFRS 7.20(b); IFRS 9.5.7.10-11; IFRS 9.4.1.2A051Financial assets at amortised costIFRS 7.20(b);IFRS 9.4.1.2; IFRS 9.5.7.2070Derivatives – Hedge accounting, interest rate riskIFRS 9.Appendix A; .B6.6.16; Annex V.Part 2.35080Other assetsAnnex V.Part 2.36085Interest income on liabilitiesIFRS 9.5.7.1, Annex V.Part 2.37090(Interest expenses)IAS 1.97; Annex V.Part 2.3116100(Financial liabilities held for trading)IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34110(Financial liabilities designated at fair value through profit or loss)IFRS 7.20(a)(i), B5(e)120(Financial liabilities measured at amortised cost)IFRS 7.20(b); IFRS 9.5.7.2130(Derivatives – Hedge accounting, interest rate risk)IAS 39.9; Annex V.Part 2.35140(Other liabilities)Annex V.Part 2.38145(Interest expense on assets)IFRS 9.5.7.1, Annex V.Part 2.39150(Expenses on share capital repayable on demand)IFRIC 2.11160Dividend incomeAnnex V.Part 2.4031170Financial assets held for tradingIFRS 7.20(a)(i), B5(e); Annex V.Part 2.40175Non-trading financial assets mandatorily at fair value through profit or lossIFRS 7.20(a)(i), B5(e),IFRS 9.5.7.1A; Annex V.Part 2.40

191Financial assets at fair value through other comprehensive incomeIFRS 7.20(a)(ii); IFRS 9.4.1.2A; IFRS 9.5.7.1A; Annex V.Part 2.41192Investments in subsidiaries, joint ventures and associates accounted for using other than equity methodAnnex V Part 2 .42200Fee and commission incomeIFRS 7.20(c)22210(Fee and commission expenses)IFRS 7.20(c)22220Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, netAnnex V.Part 2.4516231Financial assets at fair value through other comprehensive incomeIFRS 9.4.12A; IFRS 9.5.7.10-11241Financial assets at amortised costIFRS 7.20(a)(v);IFRS 9.4.1.2; IFRS 9.5.7.2260Financial liabilities measured at amortised costIFRS 7.20(a)(v); IFRS 9.5.7.2270Other280Gains or (-) losses on financial assets and liabilities held for trading, netIFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 4616287Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, netIFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.46290Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, netIFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.4416, 45300Gains or (-) losses from hedge accounting, netAnnex V.Part 2.4716310Exchange differences [gain or (-) loss], netIAS 21.28, 52 (a)330Gains or (-) losses on derecognition of non-financial assets, netIAS 1.34; Annex V. Part 2.4845340Other operating incomeAnnex V.Part 2.314-31645350(Other operating expenses)Annex V.Part 2.314-31645355TOTAL OPERATING INCOME, NET360(Administrative expenses)370(Staff expenses)IAS 19.7; IAS 1.102, IG 644 380(Other administrative expenses)16385(Cash contributions to resolution funds and deposit guarantee schemes)Annex V.Part 2.48i390(Depreciation)IAS 1.102, 104400(Property, Plant and Equipment)IAS 1.104; IAS 16.73(e)(vii)410(Investment Properties)IAS 1.104; IAS 40.79(d)(iv)420(Other intangible assets)IAS 1.104; IAS 38.118(e)(vi)425Modification gains or (-) losses, netIFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49426Financial assets at fair value through other comprehensive incomeIFRS 7.35J427Financial assets at amortised costIFRS 7.35J430(Provisions or (-) reversal of provisions)IAS 37.59, 84; IAS 1.98(b)(f)(g) 9 12 43 435(payment commitments to resolution funds and deposit guarantee schemes)Annex V.Part 2.48i440(Commitments and guarantees given)IFRS 9.4.2.1(c),(d),9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.50450(Other provisions)460(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss)IFRS 7.20(a)(viii); IFRS 9.5.4.4; Annex V Part 2.51, 5312481(Financial assets at fair value through other comprehensive income)IFRS 9.5.4.4, 9.5.5.1, 9.5.5.2, 9.5.5.812491(Financial assets at amortised cost)IFRS 9.5.4.4, 9.5.5.1, 9.5.5.812510(Impairment or (-) reversal of impairment of investments in subsidiaries, joint ventures and associates)IAS 28.40-4316520(Impairment or (-) reversal of impairment on non-financial assets)IAS 36.126(a)(b)16530(Property, plant and equipment)IAS 16.73(e)(v-vi)540(Investment properties)IAS 40.79(d)(v)550(Goodwill)IFRS 3.Appendix B67(d)(v); IAS 36.124560(Other intangible assets)IAS 38.118 (e)(iv)(v)570(Other)IAS 36.126 (a)(b)580Negative goodwill recognised in profit or lossIFRS 3.Appendix B64(n)(i)

590Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates accounted for using the equity methodAnnex V.Part 2.54600Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operationsIFRS 5.37; Annex V.Part 2.55610PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONSIAS 1.102, IG 6; IFRS 5.33 A620(Tax expense or (-) income related to profit or loss from continuing operations)IAS 1.82(d); IAS 12.77630PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONSIAS 1, IG 6640Profit or (-) loss after tax from discontinued operationsIAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56650Profit or (-) loss before tax from discontinued operationsIFRS 5.33(b)(i)660(Tax expense or (-) income related to discontinued operations)IFRS 5.33 (b)(ii),(iv)670PROFIT OR (-) LOSS FOR THE YEARIAS 1.81A(a)680Attributable to minority interest [non-controlling interests]IAS 1.81B (b)(i)690Attributable to owners of the parentIAS 1.81B (b)(ii) 3. Statement of comprehensive income ReferencesCurrent period010010Profit or (-) loss for the yearIAS 1.7, IG6020Other comprehensive incomeIAS 1.7, IG6030Items that will not be reclassified to profit or lossIAS 1.82A(a)(i)040Tangible assetsIAS 1.7, IG6; IAS 16.39-40050Intangible assetsIAS 1.7; IAS 38.85-86060Actuarial gains or (-) losses on defined benefit pension plansIAS 1.7, IG6; IAS 19.120(c)070Non-current assets and disposal groups held for saleIFRS 5.38080Share of other recognised income and expense of entities accounted for using the equity methodIAS 1.IG6; IAS 28.10081Fair value changes of equity instruments measured at fair value through other comprehensive incomeIAS 1.7(d)083Gains or (-) losses from hedge accounting of equity instruments at fair value through other comprehensive income, netIFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.57084Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item]IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.57085Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument]IFRS 9.5.7.5;.6.5.8(a); Annex V.Part 2.57086Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit riskIAS 1.7(f)090Income tax relating to items that will not be reclassifiedIAS 1.91(b); Annex V.Part 2.66100Items that may be reclassified to profit or lossIAS 1.82A(a)(ii)110Hedge of net investments in foreign operations [effective portion]IFRS 9.6.5.13(a); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.58120Valuation gains or (-) losses taken to equityIAS 1.IG6;IFRS 9.6.5.13(a); IFRS 7.24C(b)(i);.24E(a); Annex V.Part 2.58130Transferred to profit or lossIAS 1.7, 92-95; IAS 21.48-49; IFRS 9.6.5.14; Annex V.Part 2.59140Other reclassificationsAnnex V.Part 2.65150Foreign currency translationIAS 1.7, IG6; IAS 21.52(b)160Translation gains or (-) losses taken to equityIAS 21.32, 38-47170Transferred to profit or lossIAS 1.7, 92-95; IAS 21.48-49180Other reclassificationsAnnex V.Part 2.65190Cash flow hedges [effective portion]IAS 1.7, IG6; IAS 39.95(a)-96 IFRS 9.6.5.11(b); IFRS 7.24C(b)(i);.24E(a);

200Valuation gains or (-) losses taken to equityIAS 1.7(e),IG6; IFRS 9.6.5.11(a)(b)(d); IFRS 7.24C(b)(i), .24E(a)210Transferred to profit or lossIAS 1.7, 92-95, IG6; IFRS 9.6.5.11(d)(ii)(iii);IFRS 7.24C(b)(iv),.24E(a) Annex V.Part 2.59220Transferred to initial carrying amount of hedged itemsIAS 1.IG6;IFRS 9.6.5.11(d)(i)230Other reclassificationsAnnex V.Part 2.65231Hedging instruments [not designated elements]IAS 1.7(g)(h); IFRS 9.6.5.15, .6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.60232Valuation gains or (-) losses taken to equityIAS 1.7(g)(h); IFRS 9.6.5.15, .6.5.16; IFRS 7.24E (b)(c)233Transferred to profit or lossIAS 1.7(g)(h); IFRS 9.6.5.15, .6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.61234Other reclassificationsAnnex V.Part 2.65241Debt instruments at fair value through other comprehensive incomeIAS 1.7(da), IG 6; IAS 1.IG6; IFRS 9.5.6.4; Annex V.Part 2.62-63251Valuation gains or (-) losses taken to equityIFRS 7.20(a)(ii); IAS 1.IG6; IFRS 9.5.6.4261Transferred to profit or lossIAS 1.7, IAS 1.92-95, IAS 1.IG6; IFRS 9.5.6.7; Annex V.Part 2.64270Other reclassificationsIFRS 5.IG Example 12;IFRS 9.5.6.5; Annex V.Part 2.64-65280Non-current assets and disposal groups held for saleIFRS 5.38290Valuation gains or (-) losses taken to equityIFRS 5.38300Transferred to profit or lossIAS 1.7, 92-95; IFRS 5.38310Other reclassificationsIFRS 5.IG Example 12320Share of other recognised income and expense of Investments in subsidaries, joint ventures and associatesIAS 1.IG6; IAS 28.10330Income tax relating to items that may be reclassified to profit or (-) lossIAS 1.91(b), IG6; Annex V.Part 2.66340Total comprehensive income for the yearIAS 1.7, 81A(a), IG6350Attributable to minority interest [Non-controlling interest]IAS 1.83(b)(i), IG6360Attributable to owners of the parentIAS 1.83(b)(ii), IG6 4. Breakdown of financial assets by instrument and by counterparty sector 4.1 Financial assets held for trading ReferencesCarrying amountAnnex V.Part 1.27010005Derivatives010Equity instrumentsIAS 32.11, Annex V.Part 1.44(b)030of which: credit institutionsAnnex V.Part 1.42(c)040of which: other financial corporationsAnnex V.Part 1.42(d)050of which: non-financial corporationsAnnex V.Part 1.42(e)060Debt securitiesAnnex V.Part 1.31, 44(b)070Central banksAnnex V.Part 1.42(a)080General governmentsAnnex V.Part 1.42(b)090Credit institutionsAnnex V.Part 1.42(c)100Other financial corporationsAnnex V.Part 1.42(d)110Non-financial corporationsAnnex V.Part 1.42(e)120Loans and advancesAnnex V.Part 1.32, 44(a)130Central banksAnnex V.Part 1.42(a)140General governmentsAnnex V.Part 1.42(b)150Credit institutionsAnnex V.Part 1.42(c)160Other financial corporationsAnnex V.Part 1.42(d)170Non-financial corporationsAnnex V.Part 1.42(e)180HouseholdsAnnex V.Part 1.42(f)190FINANCIAL ASSETS HELD FOR TRADINGIFRS 9.Appendix A 4.2.1 Non-trading financial assets mandatorily at fair value through profit or loss ReferencesCarrying amountAccumulated negative changes in fair value due to credit risk on non-performing exposuresAnnex V.Part 1.27Annex V.Part 2.69010020010Equity instrumentsIAS 32.11, Annex V.Part 1.44(b)020of which: credit institutionsAnnex V.Part 1.42(c)030of which: other financial corporationsAnnex V.Part 1.42(d)040of which: non-financial corporationsAnnex V.Part 1.42(e)050Debt securitiesAnnex V.Part 1.31, 44(b)060Central banksAnnex V.Part 1.42(a)

070General governmentsAnnex V.Part 1.42(b)080Credit institutionsAnnex V.Part 1.42(c)090Other financial corporationsAnnex V.Part 1.42(d)100Non-financial corporationsAnnex V.Part 1.42(e)110Loans and advancesAnnex V.Part 1.32, 44(a)120Central banksAnnex V.Part 1.42(a)130General governmentsAnnex V.Part 1.42(b)140Credit institutionsAnnex V.Part 1.42(c)150Other financial corporationsAnnex V.Part 1.42(d)160Non-financial corporationsAnnex V.Part 1.42(e)170HouseholdsAnnex V.Part 1.42(f)180NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSSIFRS 7.8(a)(ii); IFRS 9.4.1.4 4.2.2 Financial assets designated at fair value through profit or loss ReferencesCarrying amountAccumulated negative changes in fair value due to credit risk on non-performing exposuresAnnex V.Part 1.27Annex V.Part 2.69010020060Debt securitiesAnnex V.Part 1.31, 44(b)070Central banksAnnex V.Part 1.42(a)080General governmentsAnnex V.Part 1.42(b)090Credit institutionsAnnex V.Part 1.42(c)100Other financial corporationsAnnex V.Part 1.42(d)110Non-financial corporationsAnnex V.Part 1.42(e)120Loans and advancesAnnex V.Part 1.32, 44(a)130Central banksAnnex V.Part 1.42(a)140General governmentsAnnex V.Part 1.42(b)150Credit institutionsAnnex V.Part 1.42(c)160Other financial corporationsAnnex V.Part 1.42(d)170Non-financial corporationsAnnex V.Part 1.42(e)180HouseholdsAnnex V.Part 1.42(f)190FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSSIFRS 7.8(a)(i); IFRS 9.4.1.5 4.3.1. Financial assets at fair value through other comprehensive income ReferencesCarrying amount Gross carrying amount Annex V.Part 1.34(b) Accumulated impairment Annex V.Part 2.70(b), 71 Accumulated partial write-offsAccumulated total write-offsAssets without significant increase in credit risk since initial recognition (Stage 1)Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)Credit-impaired assets (Stage 3)Assets without significant increase in credit risk since initial recognition (Stage 1)Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)Credit-impaired assets (Stage 3)of which: instruments with low credit riskAnnex V.Part 1.27IFRS 9.5.5.5; IFRS 7.35M(a)IFRS 9.B5.5.22-24; Annex V.Part 2.75IFRS 9.5.5.3, IFRS 7.35M(b)(i)IFRS 9.5.5.1, 7.35M(b)(ii)IFRS 9.5.5.5; IFRS7.35H(a), IFRS 7.16AIFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i), IFRS 7.16AIFRS 9.5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii), IFRS 7.16AIFRS 9.5.4.4 and B5.4.9 ; Annex V.Part 2.72-74IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74010015020030040050060070080090010Equity instrumentsIAS 32.11; Annex V.Part 1.44(b)020of which: credit institutionsAnnex V.Part 1.42(c)030of which: other financial corporationsAnnex V.Part 1.42(d)040of which: non-financial corporationsAnnex V.Part 1.42(e)050Debt securitiesAnnex V.Part 1.31, 44(b)060Central banksAnnex V.Part 1.42(a)070General governmentsAnnex V.Part 1.42(b)080Credit institutionsAnnex V.Part 1.42(c)090Other financial corporationsAnnex V.Part 1.42(d)100Non-financial corporationsAnnex V.Part 1.42(e)110Loans and advancesAnnex V.Part 1.32, 44(a)120Central banksAnnex V.Part 1.42(a)130General governmentsAnnex V.Part 1.42(b)

140Credit institutionsAnnex V.Part 1.42(c)150Other financial corporationsAnnex V.Part 1.42(d)160Non-financial corporationsAnnex V.Part 1.42(e)165Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)170HouseholdsAnnex V.Part 1.42(f)180FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOMEIFRS 7.8(h); IFRS 9.4.1.2A190of which: purchased credit-impaired financial assetsIFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.77 4.4.1 Financial assets at amortised cost ReferencesCarrying amount Gross carrying amount Annex V.Part 1.34(b) Accumulated impairment Annex V.Part 2.70(a), 71 Accumulated partial write-offsAccumulated total write-offsAssets without significant increase in credit risk since initial recognition (Stage 1)Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)Credit-impaired assets (Stage 3)Assets without significant increase in credit risk since initial recognition (Stage 1)Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)Credit-impaired assets (Stage 3)of which: instruments with low credit riskAnnex V.Part 1.27IFRS 9.5.5.5; IFRS 7.35M(a)IFRS 9.B5.5.22-24; Annex V.Part 2.75IFRS 9.5.5.3, IFRS 7.35M(b)(i)IFRS 9.5.5.1, 7.35M(b)(ii)IFRS 9.5.5.5; IFRS7.35H(a)IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i)IFRS 5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii)IFRS 9.5.4.4 and B5.4.9 ; Annex V.Part 2.72-74IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74010015020030040050060070080090010Debt securitiesAnnex V.Part 1.31, 44(b)020Central banksAnnex V.Part 1.42(a)030General governmentsAnnex V.Part 1.42(b)040Credit institutionsAnnex V.Part 1.42(c)050Other financial corporationsAnnex V.Part 1.42(d)060Non-financial corporationsAnnex V.Part 1.42(e)070Loans and advancesAnnex V.Part 1.32, 44(a)080Central banksAnnex V.Part 1.42(a)090General governmentsAnnex V.Part 1.42(b)100Credit institutionsAnnex V.Part 1.42(c)110Other financial corporationsAnnex V.Part 1.42(d)120Non-financial corporationsAnnex V.Part 1.42(e)125Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)130HouseholdsAnnex V.Part 1.42(f)140FINANCIAL ASSETS AT AMORTISED COSTIFRS 7.8(f); IFRS 9.4.1.2150of which: purchased credit-impaired financial assetsIFRS 9.5.13 and IFRS 7.35M(c); Annex V.Part 2.77 4.5 Subordinated financial assets ReferencesCarrying amountAnnex V.Part 1.27010010Loans and advancesAnnex V.Part 1.32020Debt securitiesAnnex V.Part 1.31030SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETSAnnex V.Part 2.78, 100 5. Breakdown of non-trading loans and advances by product 5.1 Loans and advances other than held for trading and trading assets by product ReferencesGross carrying amount Carrying amount Annex V.Part 1.27 Central banksGeneral governmentsCredit institutionsOther financial corporationsNon-financial corporationsHouseholdsAnnex V.Part 1.34Annex V.Part 1.42(a)Annex V.Part 1.42(b)Annex V.Part 1.42(c)Annex V.Part 1.42(d)Annex V.Part 1.42(e)Annex V.Part 1.42(f)005010020030040050060By product010On demand [call] and short notice [current account]Annex V.Part 2.85(a)020Credit card debtAnnex V.Part 2.85(b)030Trade receivablesAnnex V.Part 2.85(c)040Finance leasesAnnex V.Part 2.85(d)050Reverse repurchase loansAnnex V.Part 2.85(e)060Other term loansAnnex V.Part 2.85(f)070Advances that are not loansAnnex V.Part 2.85(g)080LOANS AND ADVANCESAnnex V.Part 1.32, 44(a)By collateral090of which: Loans collateralized by immovable propertyAnnex V.Part 2.86(a), 87100of which: other collateralized loansAnnex V.Part 2.86(b), 87By purpose110of which: credit for consumptionAnnex V.Part 2.88(a)120of which: lending for house purchaseAnnex V.Part 2.88(b)By subordination130of which: project finance loansAnnex V.Part 2.89; CRR Art 147(8)

1. Breakdown of non-trading loans and advances to non-financial corporations by NACE codes 6.1 Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codes References Non-financial corporations Annex V.Part 1.42(e), Part 2.91 Gross carrying amountAccumulated impairmentAccumulated negative changes in fair value due to credit risk on non-performing exposuresof which: loans and advances subject to impairmentOf which: non-performingof which: defaultedAnnex V.Part 1.34Annex V.Part 2.93Annex V.Part 2. 213-232CRR art 178; Annex V.Part 2.237(b)Annex V.Part 2.70-71Annex V.Part 2.69010011012013021022010A Agriculture, forestry and fishingNACE Regulation020B Mining and quarryingNACE Regulation030C ManufacturingNACE Regulation040D Electricity, gas, steam and air conditioning supplyNACE Regulation050E Water supplyNACE Regulation060F ConstructionNACE Regulation070G Wholesale and retail tradeNACE Regulation080H Transport and storageNACE Regulation090I Accommodation and food service activitiesNACE Regulation100J Information and communicationNACE Regulation105K Financial and insurance activitiesNACE Regulation, Annex V.Part 2.92 110L Real estate activitiesNACE Regulation120M Professional, scientific and technical activitiesNACE Regulation130N Administrative and support service activitiesNACE Regulation140O Public administration and defence, compulsory social securityNACE Regulation150P EducationNACE Regulation160Q Human health services and social work activitiesNACE Regulation170R Arts, entertainment and recreationNACE Regulation180S Other servicesNACE Regulation190LOANS AND ADVANCESAnnex V.Part 1.32, Part 2.90
2. Financial assets subject to impairment that are past due 7.1 Financial assets subject to impairment that are past due References Carrying amount Annex V.Part 1.27 Assets without significant increase in credit risk since initial recognition (Stage 1)Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)Credit-impaired assets (Stage 3)≤ 30 days> 30 days ≤ 90 days> 90 days≤ 30 days> 30 days ≤ 90 days> 90 days≤ 30 days> 30 days ≤ 90 days> 90 daysIFRS 9.5.5.11;B5.5.37; IFRS 7.B8I, Annex V.Part 2.96010020030040050060070080090060Debt securitiesAnnex V.Part 1.31, 44(b)070Central banksAnnex V.Part 1.42(a)080General governmentsAnnex V.Part 1.42(b)090Credit institutionsAnnex V.Part 1.42(c)100Other financial corporationsAnnex V.Part 1.42(d)110Non-financial corporationsAnnex V.Part 1.42(e)120Loans and advancesAnnex V.Part 1.32, 44(a)130Central banksAnnex V.Part 1.42(a)140General governmentsAnnex V.Part 1.42(b)150Credit institutionsAnnex V.Part 1.42(c)160Other financial corporationsAnnex V.Part 1.42(d)170Non-financial corporationsAnnex V.Part 1.42(e)180HouseholdsAnnex V.Part 1.42(f)190TOTAL DEBT INSTRUMENTSAnnex V Part 2.94-95 Loans and advances by product, by collateral and by subordination200On demand [call] and short notice [current account]Annex V.Part 2.85(a)210Credit card debtAnnex V.Part 2.85(b)220Trade receivablesAnnex V.Part 2.85(c)230Finance leasesAnnex V.Part 2.85(d)240Reverse repurchase loansAnnex V.Part 2.85(e)250Other term loansAnnex V.Part 2.85(f)260Advances that are not loansAnnex V.Part 2.85(g)270of which: Loans collateralized by immovable propertyAnnex V.Part 2.86(a), 87280of which: other collateralized loansAnnex V.Part 2.86(b), 87290of which: credit for consumptionAnnex V.Part 2.88(a)300of which: lending for house purchaseAnnex V.Part 2.88(b)310of which: project finance loansAnnex V.Part 2.89; CRR Art 147(8)

1. Breakdown of financial liabilities 8.1 Breakdown of financial liabilities by product and by counterparty sector References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27 Accumulated changes in fair value due to credit riskHeld for tradingDesignated at fair value through profit or lossAmortised costHedge accountingIFRS 7.8(e)(ii); IFRS 9 Appendix A, IFRS 9.BA.6-BA.7, IFRS 9.6.7IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5IFRS 7.8(g); IFRS 9.4.2.1IFRS 7.24A(a); IFRS 9.6CRR art 33(1)(b), art 33(1)(c); Annex V.Part 2.101010020030037040010DerivativesIFRS 9.BA.7(a)020Short positionsFRS 9.BA.7(b)030Equity instrumentsIAS 32.11040Debt securitiesAnnex V.Part 1.31050DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36060Central banksAnnex V.Part 1.42(a), 44(c)070Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.1080Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.2090Deposits redeemable at noticeECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97100Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.4 110General governmentsAnnex V.Part 1.42(b), 44(c)120Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.1130Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.2140Deposits redeemable at noticeECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97150Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.4160Credit institutionsAnnex V.Part 1.42(c),44(c)170Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.1180Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.2190Deposits redeemable at noticeECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97200Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.4210Other financial corporationsAnnex V.Part 1.42(d),44(c)220Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.1 230Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.2240Deposits redeemable at noticeECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97250Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.4260Non-financial corporationsAnnex V.Part 1.42(e), 44(c)270Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.1280Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.2290Deposits redeemable at noticeECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97300Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.4310HouseholdsAnnex V.Part 1.42(f), 44(c)320Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.1330Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.2 340Deposits redeemable at noticeECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97350Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.4360Debt securities issuedAnnex V.Part 1.37, Part 2.98370Certificates of depositsAnnex V.Part 2.98(a)380Asset-backed securitiesCRR art 4(1)(61)390Covered bondsCRR art 129400Hybrid contractsAnnex V.Part 2.98(d)410Other debt securities issuedAnnex V.Part 2.98(e)420Convertible compound financial instrumentsIAS 32.AG 31430Non-convertible440Other financial liabilitiesAnnex V.Part 1.38-41445of which: lease liabilitiesIFRS 16.22, 26-28, 47(b)450FINANCIAL LIABILITIES

8.2 Subordinated financial liabilities ReferencesCarriyng amountDesignated at fair value through profit or lossAt amortized costIFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5IFRS 7.8(g); IFRS 9.4.2.1010020010DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36020Debt securities issuedAnnex V.Part 1.37030SUBORDINATED FINANCIAL LIABILITIESAnnex V.Part 2.99-100 9. Loan commitments, financial guarantees and other commitments 9.1.1 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given References National GAAP compatible IFRS Nominal amount of off-balance sheet commitments and financial guarantees under IFRS 9 impairment Annex V.Part 2.107-108, 118 Provisions on off-balance sheet commitments and financial guarantees under IFRS 9 impairment Annex V Part 2.106-109 Other commitments measured under IAS 37 and financial guarantees measured under IFRS 4Commitments and financial guarantees measured at fair valueInstruments without significant increase in credit risk since initial recognition (Stage 1) Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired instruments (Stage 3) Instruments without significant increase in credit risk since initial recognition (Stage 1) Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired instruments (Stage 3) Nominal amountProvisionNominal amountAccumulated negative changes in fair value due to credit risk on non-performing commitmentsIFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35MIFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35MIFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS9.B2.5; IFRS 7.35MIFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(a)IFRS 9.2.1(e),(g), IFRS 9.4.2.(c),IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(i)IFRS 9.2.1(e),(g), IFRS 9.4.2.(c),IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(ii)IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.111, 118IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.106, 111IFRS 9.2.3(a), 9.B2.5; Annex V Part 2.110, 118Annex V Part 2.69010020030040050060100110120130010Loan commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116021of which: non-performingAnnex V.Part 2.117030Central banksAnnex V.Part 1.42(a)040General governmentsAnnex V.Part 1.42(b)050Credit institutionsAnnex V.Part 1.42(c)060Other financial corporationsAnnex V.Part 1.42(d)070Non-financial corporationsAnnex V.Part 1.42(e)080HouseholdsAnnex V.Part 1.42(f)090Financial guarantees givenIFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116101of which: non-performingAnnex V.Part 2.117110Central banksAnnex V.Part 1.42(a) 120General governmentsAnnex V.Part 1.42(b)130Credit institutionsAnnex V.Part 1.42(c)140Other financial corporationsAnnex V.Part 1.42(d)150Non-financial corporationsAnnex V.Part 1.42(e)160HouseholdsAnnex V.Part 1.42(f)170Other Commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116181of which: non-performingAnnex V.Part 2.117190Central banksAnnex V.Part 1.42(a)200General governmentsAnnex V.Part 1.42(b)210Credit institutionsAnnex V.Part 1.42(c)220Other financial corporationsAnnex V.Part 1.42(d)230Non-financial corporationsAnnex V.Part 1.42(e)240HouseholdsAnnex V.Part 1.42(f)

9.2 Loan commitments, financial guarantees and other commitments received ReferencesMaximum amount of the guarantee that can be consideredNominal amountIFRS 7.36 (b); Annex V.Part 2.119Annex V.Part 2.119010020010Loan commitments receivedIFRS 9.2.1(g), .BCZ2.2; Annex V.Part 1.44(h), Part 2.102-103, 113020Central banksAnnex V.Part 1.42(a)030General governmentsAnnex V.Part 1.42(b)040Credit institutionsAnnex V.Part 1.42(c)050Other financial corporationsAnnex V.Part 1.42(d)060Non-financial corporationsAnnex V.Part 1.42(e)070HouseholdsAnnex V.Part 1.42(f)080Financial guarantees receivedIFRS 9.2.1(e ), .B2.5, .BC2.17, IFRS 8.Appendix A; IFRS 4 Annex A; Annex V.Part 1.44(h), Part 2.102-103, 114090Central banksAnnex V.Part 1.42(a)100General governmentsAnnex V.Part 1.42(b)110Credit institutionsAnnex V.Part 1.42(c)120Other financial corporationsAnnex V.Part 1.42(d)130Non-financial corporationsAnnex V.Part 1.42(e)140HouseholdsAnnex V.Part 1.42(f)150Other Commitments receivedAnnex V.Part 1.44(h), Part 2.102-103, 115160Central banksAnnex V.Part 1.42(a)170General governmentsAnnex V.Part 1.42(b)180Credit institutionsAnnex V.Part 1.42(c)190Other financial corporationsAnnex V.Part 1.42(d)200Non-financial corporationsAnnex V.Part 1.42(e)210HouseholdsAnnex V.Part 1.42(f) 10. Derivatives – Trading and economic hedges By type of risk / By product or by type of marketReferencesCarrying amountNotional amountFinancial assets Held for trading and tradingFinancial liabilities Held for trading and tradingTotal Tradingof which: soldAnnex V.Part 2.120, 131IFRS 9.BA.7 (a); Annex V.Part 2.120, 131Annex V.Part 2.133-135Annex V.Part 2.133-135010020030040010Interest rateAnnex V.Part 2.129(a)020of which: economic hedgesAnnex V.Part 2.137-139030OTC optionsAnnex V.Part 2.136040OTC otherAnnex V.Part 2.136050Organized market optionsAnnex V.Part 2.136060Organized market otherAnnex V.Part 2.136070EquityAnnex V.Part 2.129(b)080of which: economic hedgesAnnex V.Part 2.137-139090OTC optionsAnnex V.Part 2.136100OTC otherAnnex V.Part 2.136110Organized market optionsAnnex V.Part 2.136120Organized market otherAnnex V.Part 2.136130Foreign exchange and goldAnnex V.Part 2.129(c)140of which: economic hedgesAnnex V.Part 2.137-139150OTC optionsAnnex V.Part 2.136160OTC otherAnnex V.Part 2.136170Organized market optionsAnnex V.Part 2.136 180Organized market otherAnnex V.Part 2.136190CreditAnnex V.Part 2.129(d)195of which: economic hedges with use of the fair value optionIFRS 9.6.7.1; Annex V.Part 2.140201of which: other economic hedgesAnnex V.Part 2.137-140210Credit default swap220Credit spread option230Total return swap240Other250CommodityAnnex V.Part 2.129(e)260of which: economic hedgesAnnex V.Part 2.137-139270OtherAnnex V.Part 2.129(f)280of which: economic hedgesAnnex V.Part 2.137-139290DERIVATIVESIFRS 9.Appendix A300of which: OTC – credit institutionsAnnex V.Part 1.42(c), 44(e), Part 2.141(a), 142310of which: OTC – other financial corporationsAnnex V.Part 1.42(d), 44(e), Part 2.141(b)320of which: OTC – restAnnex V.Part 1.44(e), Part 2.141(c)

1. Hedge accounting 11.1 Derivatives – Hedge accounting: Breakdown by type of risk and type of hedge By product or by type of marketReferencesCarrying amountNotional amountAssetsLiabilitiesTotal Hedgingof which: soldIFRS 7.24A; Annex V.Part 2.120, 131IFRS 7.24A; Annex V.Part 2.120, 131Annex V.Part 2.133-135Annex V.Part 2.133-135010020030040010Interest rateAnnex V.Part 2.129(a)020OTC optionsAnnex V.Part 2.136030OTC otherAnnex V.Part 2.136040Organized market optionsAnnex V.Part 2.136050Organized market otherAnnex V.Part 2.136060EquityAnnex V.Part 2.129(b)070OTC optionsAnnex V.Part 2.136080OTC otherAnnex V.Part 2.136090Organized market optionsAnnex V.Part 2.136100Organized market otherAnnex V.Part 2.136110Foreign exchange and goldAnnex V.Part 2.129(c)120OTC optionsAnnex V.Part 2.136130OTC otherAnnex V.Part 2.136140Organized market optionsAnnex V.Part 2.136150Organized market otherAnnex V.Part 2.136160CreditAnnex V.Part 2.129(d)170Credit default swapAnnex V.Part 2.136180Credit spread optionAnnex V.Part 2.136 190Total return swapAnnex V.Part 2.136200OtherAnnex V.Part 2.136210CommodityAnnex V.Part 2.129(e)220OtherAnnex V.Part 2.129(f)230FAIR VALUE HEDGESIFRS 7.24A; IAS 39.86(a); IFRS 9.6.5.2(a)240Interest rateAnnex V.Part 2.129(a)250OTC optionsAnnex V.Part 2.136260OTC otherAnnex V.Part 2.136270Organized market optionsAnnex V.Part 2.136280Organized market otherAnnex V.Part 2.136290EquityAnnex V.Part 2.129(b)300OTC optionsAnnex V.Part 2.136310OTC otherAnnex V.Part 2.136320Organized market optionsAnnex V.Part 2.136330Organized market otherAnnex V.Part 2.136340Foreign exchange and goldAnnex V.Part 2.129(c)350OTC optionsAnnex V.Part 2.136360OTC otherAnnex V.Part 2.136370Organized market optionsAnnex V.Part 2.136 380Organized market otherAnnex V.Part 2.136390CreditAnnex V.Part 2.129(d)400Credit default swapAnnex V.Part 2.136410Credit spread optionAnnex V.Part 2.136420Total return swapAnnex V.Part 2.136430OtherAnnex V.Part 2.136440CommodityAnnex V.Part 2.129(e)450OtherAnnex V.Part 2.129(f)460CASH FLOW HEDGESIFRS 7.24A; IAS 39.86(b); IFRS 9.6.5.2(b)470HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATIONIFRS 7.24A; IAS 39.86(c); IFRS 9.6.5.2(c)480PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISKIAS 39.71, 81A, 89A, AG 114-132490PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISKIAS 39.71500DERIVATIVES-HEDGE ACCOUNTINGIFRS 7.24A; IAS 39.9; IFRS 9.6.1510of which: OTC – credit institutionsAnnex V.Part 1.42(c), 44(e), Part 2.141(a), 142520of which: OTC – other financial corporationsAnnex V.Part 1.42(d), 44(e), Part 2.141(b)530of which: OTC – restAnnex V.Part 1.44(e), Part 2.141(c) 11.3 Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge ReferencesCarrying amountFair value hedgeCash flow hedgeHedge of net investment in a foreign operationAnnex V.Part 2.145Annex V.Part 2.145Annex V.Part 2.145010020030010Non-derivative financial assetsIFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2020of which: Financial assets held for tradingIFRS 9.Appendix A030of which: Non-trading financial assets mandatorily at fair value through profit or lossIFRS 9.4.1.4; IFRS 7.8(a)(ii)040of which: Financial assets designated at fair value through profit or lossIFRS 9.4.1.5; IFRS 7.8(a)(i)050Non-derivative financial liabilitiesIFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2060Financial liabilities held for tradingIFRS 9.Appendix A070Financial liabilities designated at fair value through profit or lossIFRS 9.4.2.1; IFRS 9.6.2.2080Financial assets at amortised costIFRS 9.4.2.1; IFRS 9.6.2.2

11.4 Hedged items in fair value hedges ReferencesMicro-hedgesMicro-hedges – Net position hedgeHedge adjustments on micro-hedgesMacro hedgesCarrying amountAssets or liabilities included in hedge of a net position (before netting)Hedge adjustments included in the carrying amount of assets/liabilitiesRemaining adjustments for discontinued micro hedges including hedges of net positionsHedged items in portfolio hedge of interest rate riskIFRS 7.24B(a), Annex V.Part 2.146, 147IFRS 9.6.6.1; IFRS 9.6.6.6; Annex V.Part 2.147, 151IFRS 7.24B(a)(ii); Annex V.Part 2.148, 149IFRS 7.24B(a)(v); Annex V.Part 2.148, 150IFRS 9.6.1.3; IFRS 9.6.6.1; Annex V.Part 2.152010020030040050ASSETS010Financial assets measured at fair value through other comprehensive incomeIFRS 9.4.1.2A; IFRS 7.8(h); Annex V. Part 2.146, 151020Interest rateAnnex V.Part 2.129(a)030EquityAnnex V.Part 2.129(b)040Foreign exchange and goldAnnex V.Part 2.129(c)050CreditAnnex V.Part 2.129(d)060CommodityAnnex V.Part 2.129(e)070OtherAnnex V.Part 2.129(f)080Financial assets measured at amortised costIFRS 9.4.1.2A; IFRS 7.8(f); Annex V. Part 2.146, 151090Interest rateAnnex V.Part 2.129(a)100EquityAnnex V.Part 2.129(b)110Foreign exchange and goldAnnex V.Part 2.129(c)120CreditAnnex V.Part 2.129(d)130CommodityAnnex V.Part 2.129(e)140OtherAnnex V.Part 2.129(f) LIABILITIES150Financial liabilities measured at amortised costsIFRS 9.4.2.1; IFRS 7.8(g); Annex V. Part 2.146, 151160Interest rateAnnex V.Part 2.129(a)170EquityAnnex V.Part 2.129(b)180Foreign exchange and goldAnnex V.Part 2.129(c)190CreditAnnex V.Part 2.129(d)200CommodityAnnex V.Part 2.129(e)210OtherAnnex V.Part 2.129(f) 12. Movements in allowances and provisions for credit losses 12.1 Movements in allowances and provisions for credit losses ReferencesOpening balanceIncreases due to origination and acquisitionDecreases due to derecognitionChanges due to change in credit risk (net)Changes due to modifications without derecognition (net)Changes due to update in the institution’s methodology for estimation (net)Decrease in allowance account due to write-offsOther adjustmentsClosing balanceRecoveries of previously written-off amounts recorded directly to the statement of profit or lossAmounts written-off directly to the statement of profit or lossGains or losses on derecognition of debt instrumentsIFRS 7.35I; Annex V.Part 2.159, 164(b)IFRS 7.35I; Annex V.Part 2.160, 164(b)IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.161-162IFRS 7.35I; IFRS 7.35J; IFRS 9.5.5.12, B5.5.25, B5.5.27; Annex V.Part 2.164(c)IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.163IFRS 7.35I; IFRS 9.5.4.4;IFRS 7.35L; Annex V.Part 2.72, 74, 164(a), 165IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.166IFRS 9.5.4.4; Annex V.Part 2.165Annex V.Part 2.166i010020030040050070080090100110120125010Allowances for financial assets without increase in credit risk since initial recognition (Stage 1)IFRS 9.5.5.5020Debt securitiesAnnex V.Part 1.31, 44(b)030Central banksAnnex V.Part 1.42(a)040General governmentsAnnex V.Part 1.42(b)050Credit institutionsAnnex V.Part 1.42(c)060Other financial corporationsAnnex V.Part 1.42(d)070Non-financial corporationsAnnex V.Part 1.42(e)080Loans and advancesAnnex V.Part 1.32, 44(a)090Central banksAnnex V.Part 1.42(a)100General governmentsAnnex V.Part 1.42(b)110Credit institutionsAnnex V.Part 1.42(c)

120Other financial corporationsAnnex V.Part 1.42(d)130Non-financial corporationsAnnex V.Part 1.42(e)140HouseholdsAnnex V.Part 1.42(f)160of which: collectively measured allowancesIFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158170of which: individually measured allowancesIFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158180Allowances for debt instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)IFRS 9.5.5.3190Debt securitiesAnnex V.Part 1.31, 44(b)200Central banksAnnex V.Part 1.42(a)210General governmentsAnnex V.Part 1.42(b)220Credit institutionsAnnex V.Part 1.42(c)230Other financial corporationsAnnex V.Part 1.42(d) 240Non-financial corporationsAnnex V.Part 1.42(e)250Loans and advancesAnnex V.Part 1.32, 44(a)260Central banksAnnex V.Part 1.42(a)270General governmentsAnnex V.Part 1.42(b)280Credit institutionsAnnex V.Part 1.42(c)290Other financial corporationsAnnex V.Part 1.42(d)300Non-financial corporationsAnnex V.Part 1.42(e)310HouseholdsAnnex V.Part 1.42(f)330of which: collectively measured allowancesIFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158340of which: individually measured allowancesIFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158350of which: non-performingAnnex V.Part 2.213-232 360Allowances for credit-impaired debt instruments (Stage 3)IFRS 9.5.5.1, 9. Appendix A370Debt securitiesAnnex V.Part 1.31, 44(b)380Central banksAnnex V.Part 1.42(a)390General governmentsAnnex V.Part 1.42(b)400Credit institutionsAnnex V.Part 1.42(c)410Other financial corporationsAnnex V.Part 1.42(d)420Non-financial corporationsAnnex V.Part 1.42(e)430Loans and advancesAnnex V.Part 1.32, 44(a)440Central banksAnnex V.Part 1.42(a)450General governmentsAnnex V.Part 1.42(b)460Credit institutionsAnnex V.Part 1.42(c)470Other financial corporationsAnnex V.Part 1.42(d)480Non-financial corporationsAnnex V.Part 1.42(e) 490HouseholdsAnnex V.Part 1.42(f)500of which: collectively measured allowancesIFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158510of which: individually measured allowancesIFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158520Total allowance for debt instrumentsIFRS 7.B8E530Commitments and financial guarantees given (Stage 1)IFRS 9.2.1|(g); 2.3(c); 5.5, B2.5; Annex V.Part 2.157540Commitments and financial guarantees given (Stage 2)IFRS 9.2.1|(g); 2.3(c); 5.5.3, B2.5; Annex V.Part 2.157550of which: non-performingAnnex V.Part 2.117560Commitments and financial guarantees given (Stage 3)IFRS 9.2.1|(g); 2.3(c); 5.5.1, B2.5; Annex V.Part 2.157570Total provisions on commitments and financial guarantees givenIFRS 7.B8E; Annex V.Part 2.157 12.2 Transfers between impairment stages (gross basis presentation) References Gross carrying amount / nominal amount Annex V.Part 1.34, Part 2.118, 167, 170 Transfers between Stage 1 and Stage 2Transfers between Stage 2 and Stage 3Transfers between Stage 1 and Stage 3To Stage 2 from Stage 1To Stage 1 from Stage 2To Stage 3 from Stage 2To Stage 2 from Stage 3To Stage 3 from Stage 1To Stage 1 from Stage 3Annex V.Part 2.168-169010020030040050060010Debt securitiesAnnex V.Part 1.31, 44(b)020Central banksAnnex V.Part 1.42(a)030General governmentsAnnex V.Part 1.42(b)040Credit institutionsAnnex V.Part 1.42(c)050Other financial corporationsAnnex V.Part 1.42(d)060Non-financial corporationsAnnex V.Part 1.42(e)070Loans and advancesAnnex V.Part 1.32, 44(a)080Central banksAnnex V.Part 1.42(a)090General governmentsAnnex V.Part 1.42(b)100Credit institutionsAnnex V.Part 1.42(c)110Other financial corporationsAnnex V.Part 1.42(d)120Non-financial corporationsAnnex V.Part 1.42(e)130HouseholdsAnnex V.Part 1.42(f)140Total debt instruments150Commitments and financial guarantees givenIFRS 9.2.1|(g); 2.3(c); 5.5.1, 5.5.3, 5.5.5

1. Collateral and guarantees received 13.1 Breakdown of collateral and guarantees by loans and advances other than held for trading References Maximum amount of the collateral or guarantee that can be considered Annex V.Part 2.171-172, 174 Guarantees and collateralLoans collateralized by immovable propertyOther collateralised loansFinancial guarantees receivedResidential immovable propertyCommercial immovable propertyCash, deposits, [debt securities issued]Movable propertyEquity and debt securitiesRestIFRS 7.36(b)Annex V.Part 2.173(a)Annex V.Part 2.173(a)Annex V.Part 2.173(b)(i)Annex V.Part 2.173(b)(ii)Annex V.Part 2.173(b)(iii)Annex V.Part 2.173(b)(iv)Annex V.Part 2.173(c)010020030031032041050010Loans and advancesAnnex V.Part 1.32, 44(a)020of which: Other financial corporationsAnnex V.Part 1.42(d)030of which: Non-financial corporationsAnnex V.Part 1.42(e)035of which: Small and Medium-sized Enterprises (SMEs)SME Art 1 2(a)036of which: Commercial real estate (CRE) loans to small and medium-sized enterprisesSME Art 1 2(a); Annex V.Part 2.239ix037of which: Commercial real estate (CRE) loans to non-financial corporations other than SMEsAnnex V.Part 2.239ix040of which: HouseholdsAnnex V.Part 1.42(f)050of which: Lending for house purchaseAnnex V.Part 2.88(b)060of which: Credit for consumptionAnnex V.Part 2.88(a) 13.2.1 Collateral obtained by taking possession during the period [held at the reference date] References Collateral obtained by taking possession during the period [held at the reference date] (Annex V.Part 2.175) Of which: Non current assets held for sale (IFRS 5.38, Annex V.Part 2.7) Value at initial recognitionCarrying amountAccumulated negative changesValue at initial recognitionCarrying amountAnnex V.Part 2.175iAnnex V.Part 1.27-28Annex V.Part 2.175iiAnnex V.Part 2.175iAnnex V.Part 1.27-28001000200030004000500010Property, Plant and EquipmentIAS 16.60020Other than Property Plant and EquipmentIFRS 7.38(a)0030Residential immovable propertyIFRS 7.38(a), Annex V.Part 2.173(a)0040Commercial immovable propertyIFRS 7.38(a), Annex V.Part 2.173(a)0050Movable propertyIFRS 7.38(a), Annex V.Part 2.173(b)(ii)0060Equity and debt securitiesIFRS 7.38(a), Annex V.Part 2.173(b)(iii)0070OtherIFRS 7.38(a), Annex V.Part 2.173(b)(iv)0080Total 13.3.1 Collateral obtained by taking possession accumulated References Collateral obtained by taking possession accumulated (Annex V.Part 2.176) Of which: Non current assets held for sale (IFRS 5.38, Annex V.Part 2.7) Value at initial recognitionCarrying amountAccumulated negative changesValue at initial recognitionCarrying amountAnnex V.Part 2.175iAnnex V.Part 1.27-28Annex V.Part 2.175iiAnnex V.Part 2.175iAnnex V.Part 1.27-28001000200030004000500010Property, Plant and EquipmentIAS 16.60020Other than Property Plant and EquipmentIFRS 7.38(a)0030Residential immovable propertyIFRS 7.38(a), Annex V.Part 2.173(a)0040Commercial immovable propertyIFRS 7.38(a), Annex V.Part 2.173(a)0050Movable propertyIFRS 7.38(a), Annex V.Part 2.173(b)(ii)0060Equity and debt securitiesIFRS 7.38(a), Annex V.Part 2.173(b)(iii)0070OtherIFRS 7.38(a), Annex V.Part 2.173(b)(iv)0080Total

1. Fair value hierachy: financial instruments at fair value References Fair value hierarchy IFRS 13.93 (b) Change in fair value for the period Annex V.Part 2.178 Accumulated change in fair value before taxes Annex V.Part 2.179 Level 1Level 2Level 3Level 2Level 3Level 1Level 2Level 3IFRS 13.76IFRS 13.81IFRS 13.86IFRS 13.81IFRS 13.86, 93(f)IFRS 13.76IFRS 13.81IFRS 13.86010020030040050060070080ASSETS010Financial assets held for tradingIFRS 7.8(a)(ii);IFRS 9.Appendix A020DerivativesIFRS 9.Appendix A030Equity instrumentsIAS 32.11,040Debt securitiesAnnex V.Part 1.31050Loans and advancesAnnex V.Part 1.32056Non-trading financial assets mandatorily at fair value through profit or lossIFRS 9.4.1.4; IFRS 7.8(a)(ii)057Equity instrumentsIAS 32.11058Debt securitiesAnnex V.Part 1.31059Loans and advancesAnnex V.Part 1.32060Financial assets designated at fair value through profit or lossIFRS 7.8(a)(i); IFRS 9.4.1.5080Debt securitiesAnnex V.Part 1.31090Loans and advancesAnnex V.Part 1.32101Financial assets at fair value through other comprehensive incomeIFRS 7.8 (h); IFRS 9.4.1.2A102Equity instrumentsIAS 32.11 103Debt securitiesAnnex V.Part 1.31104Loans and advancesAnnex V.Part 1.32140Derivatives – Hedge accountingIFRS 9.6.2.1; Annex V.Part 1.22LIABILITIES150Financial liabilities held for tradingIFRS 7.8 (e) (ii); IFRS 9.BA.6160DerivativesIFRS 9.BA.7(a)170Short positionsIFRS 9.BA.7(b)180DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36190Debt securities issuedAnnex V.Part 1.37200Other financial liabilitiesAnnex V.Part 1.38-41210Financial liabilities designated at fair value through profit or lossIFRS 7.8 (e) (i); IFRS 9.4.1.5220DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36230Debt securities issuedAnnex V.Part 1.37240Other financial liabilitiesAnnex V.Part 1.38-41250Derivatives – Hedge accountingIFRS 9.6.2.1; Annex V.Part 1.26
2. Derecognition and financial liabilities associated with transferred financial assets ReferencesTransferred financial assets entirely recognizedTransferred financial assets recognized to the extent of the instution’s continuing involvementPrincipal amount outstanting of transferred financial assets entirely derecognised for which the intitution retains servicing rightsAmounts derecognised for capital purposesTransferred assets Associated liabilities ITS V.Part 2.181 Principal amount outstanding of the original assetsCarrying amount of assets still recognised [continuing involvement]Carrying amount of associated liabilitesCarrying amountOf which: securitizationsOf which: repurchase agreementsCarrying amountOf which: securitizationsOf which: repurchase agreementsIFRS 7.42D.(e), Annex V.Part 1.27IFRS 7.42D(e); CRR art 4(1)(61)IFRS 7.42D(e); Annex V.Part 2.183-184IFRS 7.42D(e)IFRS 7.42D.(e)IFRS 7.42D(e); Annex V.Part 2.183-184IFRS 7.42D(f)IFRS 7.42D(f); Annex V.Part 1.27, Part 2.181CRR art 109; Annex V.Part 2.182010020030040050060070080090100110010Financial assets held for tradingIFRS 7.8(a)(ii);IFRS 9.Appendix A020Equity instrumentsIAS 32.11030Debt securitiesAnnex V.Part 1.31040Loans and advancesAnnex V.Part 1.32045Non-trading financial assets mandatorily at fair value through profit or lossIFRS 9.4.1.4046Equity instrumentsIAS 32.11047Debt securitiesAnnex V.Part 1.31048Loans and advancesAnnex V.Part 1.32050Financial assets designated at fair value through profit or lossIFRS 7.8(a)(i); IFRS 9.4.1.5070Debt securitiesAnnex V.Part 1.31080Loans and advancesAnnex V.Part 1.32

091Financial assets at fair value through other comprehensive incomeIFRS 7.8(h); IFRS 9.4.1.2A092Equity instrumentsIAS 32.11093Debt securitiesAnnex V.Part 1.31094Loans and advancesAnnex V.Part 1.32131Financial assets at amortised costIFRS 7.8 (f); IFRS 9.4.1.2132Debt securitiesAnnex V.Part 1.31133Loans and advancesAnnex V.Part 1.32190Total 16. Breakdown of selected statement of profit or loss items 16.1 Interest income and expenses by instrument and counterparty sector ReferencesCurrent periodIncomeExpensesAnnex V.Part 2.187, 189Annex V.Part 2.188, 190010020010Derivatives -TradingIFRS 9.Appendix A, .BA.1, .BA.6; Annex V.Part 2.193015of which: interest income from derivatives in economic hedgesAnnex V.Part 2.193020Debt securitiesAnnex V.Part 1.31, 44(b)030Central banksAnnex V.Part 1.42(a)040General governmentsAnnex V.Part 1.42(b)050Credit institutionsAnnex V.Part 1.42(c)060Other financial corporationsAnnex V.Part 1.42(d)070Non-financial corporationsAnnex V.Part 1.42(e)080Loans and advancesAnnex V.Part 1.32, 44(a)090Central banksAnnex V.Part 1.42(a)100General governmentsAnnex V.Part 1.42(b)110Credit institutionsAnnex V.Part 1.42(c)120Other financial corporationsAnnex V.Part 1.42(d)130Non-financial corporationsAnnex V.Part 1.42(e)140HouseholdsAnnex V.Part 1.42(f)141of which: lending for house purchaseAnnex V.Part 2.88(b), 194i142of which: credit for consumptionAnnex V.Part 2.88(a), 194i150Other assetsAnnex V.Part 2.5160DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36170Central banksAnnex V.Part 1.42(a)180General governmentsAnnex V.Part 1.42(b)190Credit institutionsAnnex V.Part 1.42(c)200Other financial corporationsAnnex V.Part 1.42(d)210Non-financial corporationsAnnex V.Part 1.42(e)220HouseholdsAnnex V.Part 1.42(f)230Debt securities issuedAnnex V.Part 1.37 240Other financial liabilitiesAnnex V.Part 1.32-34, Part 2.191250Derivatives – Hedge accounting, interest rate riskAnnex V.Part 2.192260Other LiabilitiesAnnex V.Part 1.38-41270INTERESTIAS 1.97280of which: interest-income on credit impaired financial assetsIFRS 9.5.4.1; .B5.4.7; Annex V.Part 2.194290of which: interest from leasesIFRS 16.38 (a), 49, Annex V.Part 2.194ii 16.2 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument ReferencesCurrent periodAnnex V. Part 2.195-196010020Debt securitiesAnnex V.Part 1.31030Loans and advancesAnnex V.Part 1.32040DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36050Debt securities issuedAnnex V.Part 1.37060Other financial liabilitiesAnnex V.Part 1.38-41070GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NETAnnex V.Part 2.45 16.3 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument ReferencesCurrent periodAnnex V. Part 2.197-198010010DerivativesIFRS 9.Appendix A, .BA.1, .BA.7(a)015of which: Economic hedges with use of the fair value optionIFRS 9.6.7.1; IFRS 7.9(d); Annex V.Part 2.199020Equity instrumentsIAS 32.11030Debt securitiesAnnex V.Part 1.31

040Loans and advancesAnnex V.Part 1.32050Short positionsIFRS 9.BA.7(b)060DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36070Debt securities issuedAnnex V.Part 1.37080Other financial liabilitiesAnnex V.Part 1.38-41090GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NETIFRS 9.Appendix A, .BA.6;IFRS 7.20(a)(i)095of which: gains and losses due to the reclassification of assets at amortised costIFRS 9.5.6.2; annex V.Part 2.199 16.4 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk ReferencesCurrent period010010Interest rate instruments and related derivativesAnnex V.Part 2.200(a)020Equity instruments and related derivativesAnnex V.Part 2.200(b)030Foreign exchange trading and derivatives related with foreign exchange and goldAnnex V.Part 2.200(c)040Credit risk instruments and related derivativesAnnex V.Part 2.200(d)050Derivatives related with commoditiesAnnex V.Part 2.200(e)060OtherAnnex V.Part 2.200(f)070GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NETIFRS 7.20(a)(i) 16.4.1 Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument ReferencesCurrent periodAnnex V.Part 2.201010020Equity instrumentsIAS 32.11030Debt securitiesAnnex V.Part 1.31040Loans and advancesAnnex V.Part 1.32090GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT AND LOSS, NETIFRS 7.20(a)(i)100of which: gains and losses due to the reclassification of assets at amortised costIFRS 9.6.5.2; Annex V.Part 2.202 16.5 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument ReferencesCurrent periodChanges in fair value due to credit riskAnnex V.Part 2.203Annex V.Part 2.203010020020Debt securitiesAnnex V.Part 1.31030Loans and advancesAnnex V.Part 1.32040DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36050Debt securities issuedAnnex V.Part 1.37060Other financial liabilitiesAnnex V.Part 1.38-41070GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NETIFRS 7.20(a)(i)071of which: gains or (-) losses upon designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, netIFRS 9.6.7;IFRS 7.24G(b); Annex V.Part 2.204072of which: gains or (-) losses after designation on financial assets and liabilities designated at fair value through profit or loss for hedging purposes, netIFRS 9.6.7; IFRS 7.20(a)(i); Annex V.Part 2.204 16.6 Gains or losses from hedge accounting ReferencesCurrent periodAnnex V.Part 2.205010010Fair value changes of the hedging instrument [including discontinuation]IFRS 7.24A(c);IFRS 7.24C(b)(vi)020Fair value changes of the hedged item attributable to the hedged riskIFRS 9.6.3.7; .6.5.8; .B6.4.1; IFRS 7.24B(a)(iv); IFRS 7.24C(b)(vi); Annex V.Part 2.206030Ineffectiveness in profit or loss from cash flow hedgesIFRS 7.24C(b)ii; IFRS 7.24C(b)(vi)040Ineffectiveness in profit or loss from hedges of net investments in foreign operationsIFRS 7.24C(b)(ii); IFRS 7.24C(b)(vi)050GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET

16.7 Impairment on non-financial assets ReferencesCurrent periodAdditionsReversalsAccumulated impairmentAnnex V.Part 2.208Annex V.Part 2.208010020040060Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associatesIAS 28.40-43070SubsidiariesIFRS 10 Appendix A080Joint venturesIAS 28.3090AssociatesIAS 28.3100Impairment or (-) reversal of impairment on non-financial assetsIAS 36.126(a),(b)110Property, plant and equipmentIAS 16.73(e)(v-vi)120Investment propertiesIAS 40.79(d)(v)130GoodwillIAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v)140Other intangible assetsIAS 38.118(e)(iv)(v)145OtherIAS 36.126(a),(b)150TOTAL 16.8 Other administrative expenses References National GAAP compatible IFRSCurrent periodExpenses00100010Information Technology expensesAnnex V.Part 2.208i0020IT outsourcingAnnex V.Part 2.208i-208ii0030IT expenses other than IT outsourcing expensesAnnex V.Part 2.208i0040Taxes and duties (other)Annex V.Part 2.208iii0050Consulting and professional servicesAnnex V.Part 2.208iv0060Advertising, marketing and communicationAnnex V.Part 2.208v0070Expenses related to credit riskAnnex V.Part 2.208vi0080Litigation expenses not covered by provisionsAnnex V.Part 2.208vii0090Real estate expensesAnnex V.Part 2.208viii0100Leasing expensesAnnex V.Part 2.208ix0110Other admininstrative expenses – RestAnnex V.Part 2.208x0120OTHER ADMINISTRATIVE EXPENSES 17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet 17.1 Assets ReferencesAccounting scope of consolidation [Carrying amount]Annex V.Part 1.27, Part 2.209010010Cash, cash balances at central banks .and other demand depositsIAS 1.54 (i)020Cash on handAnnex V.Part 2.1030Cash balances at central banksAnnex V.Part 2.2040Other demand depositsAnnex V.Part 2.3050Financial assets held for tradingIFRS 7.8(a)(ii);IFRS 9.Appendix A060DerivativesIFRS 9.Appendix A070Equity instrumentsIAS 32.11080Debt securitiesAnnex V.Part 1.31090Loans and advancesAnnex V.Part 1.32096Non-trading financial assets mandatorily at fair value through profit or lossIFRS 9.4.1.4097Equity instrumentsIAS 32.11098Debt securitiesAnnex V.Part 1.31099Loans and advancesAnnex V.Part 1.32100Financial assets designated at fair value through profit or lossIFRS 7.8(a)(i); IFRS 9.4.1.5120Debt securitiesAnnex V.Part 1.31130Loans and advancesAnnex V.Part 1.32141Financial assets at fair value through other comprehensive incomeIFRS 7.8(h); IFRS 9.4.1.2A142Equity instrumentsIAS 32.11143Debt securitiesAnnex V.Part 1.31144Loans and advancesAnnex V.Part 1.32181Financial assets at amortised costIFRS 7.8(f); IFRS 9.4.1.2182Debt securitiesAnnex V.Part 1.31183Loans and advancesAnnex V.Part 1.32240Derivatives – Hedge accountingIFRS 9.6.2.1; Annex V.Part 1.22250Fair value changes of the hedged items in portfolio hedge of interest rate riskIAS 39.89A(a); IFRS 9.6.5.8 260Investments in subsidaries, joint ventures and associatesIAS 1.54(e); Annex V.Part 1.21, Part 2.4, 210270Assets under reinsurance and insurance contractsIFRS 4.IG20.(b)-(c); Annex V.Part 2.211280Tangible assets290Intangible assetsIAS 1.54(c); CRR art 4(1)(115)300GoodwillIFRS 3.B67(d); CRR art 4(1)(113)310Other intangible assetsIAS 38.8,118320Tax assetsIAS 1.54(n-o)330Current tax assetsIAS 1.54(n); IAS 12.5340Deferred tax assetsIAS 1.54(o); IAS 12.5; CRR art 4(1)(106)350Other assetsAnnex V.Part 2.5360Non-current assets and disposal groups classified as held for saleIAS 1.54(j); IFRS 5.38, Annex V.Part 2.6370TOTAL ASSETSIAS 1.9(a), IG 6

17.2 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given ReferencesAccounting scope of consolidation [Nominal amount]Annex V.Part 2.118, 209010010Loan commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116020Financial guarantees givenIFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116030Other Commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116040OFF-BALANCE SHEET EXPOSURES 17.3 Liabilities and equity ReferencesAccounting scope of consolidation [Carrying amount]Annex V.Part 1.27, Part 2.209010010Financial liabilities held for tradingIFRS 7.8 (e) (ii); IFRS 9.BA.6020DerivativesIFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)030Short positionsIFRS 9.BA7(b)040DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36050Debt securities issuedAnnex V.Part 1.37060Other financial liabilitiesAnnex V.Part 1.38-41070Financial liabilities designated at fair value through profit or lossIFRS 7.8 (e)(i); IFRS 9.4.2.2080DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36090Debt securities issuedAnnex V.Part 1.37100Other financial liabilitiesAnnex V.Part 1.38-41110Financial liabilities measured at amortised costIFRS 7.8(g); IFRS 9.4.2.1120DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36130Debt securities issuedAnnex V.Part 1.37140Other financial liabilitiesAnnex V.Part 1.38-41150Derivatives – Hedge accountingIFRS 9.6.2.1; Annex V.Part 1.26160Fair value changes of the hedged items in portfolio hedge of interest rate riskIAS 39.89A(b), IFRS 9.6.5.8170Liabilities under insurance and reinsurance contractsIFRS 4.IG20(a); Annex V.Part 2.212180ProvisionsIAS 37.10; IAS 1.54(l)190Tax liabilitiesIAS 1.54(n-o)200Current tax liabilitiesIAS 1.54(n); IAS 12.5210Deferred tax liabilitiesIAS 1.54(o); IAS 12.5; CRR art 4(1)(108)220Share capital repayable on demandIAS 32 IE 33; IFRIC 2; Annex V.Part 2.12230Other liabilitiesAnnex V.Part 2.13240Liabilities included in disposal groups classified as held for saleIAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 250LIABILITIESIAS 1.9(b);IG 6260CapitalIAS 1.54(r), BAD art 22270Share premiumIAS 1.78(e); CRR art 4(1)(124)280Equity instruments issued other than capitalAnnex V.Part 2.18-19290Other equityIFRS 2.10; Annex V.Part 2.20300Accumulated other comprehensive incomeCRR art 4(1)(100)310Retained earningsCRR art 4(1)(123)320Revaluation reservesIFRS 1.33, D5-D8330Other reservesIAS 1.54; IAS 1.78 (e)340(-) Treasury sharesIAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.28350Profit or loss attributable to owners of the parentIFRS 10.B94360(-) Interim dividendsIAS 32.35370Minority interests [Non-controlling interests]IAS 1.54(q); IFRS 10.22, .B94380TOTAL EQUITYIAS 1.9(c), IG 6390TOTAL EQUITY AND TOTAL LIABILITIESIAS 1.IG6 18. Information on performing and non-performing exposures 18.0 Information on performing and non-performing exposures ReferencesGross carrying amount / Nominal amountAccumulated impairment, accumulated negative changes in fair value due to credit risk and provisions

Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 PerformingNon-performing Performing exposures - Accumulated impairment and provisions Non-performing exposures – Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisionsCollateral received and financial guarantees receivedNot past due or Past due <= 30 days Past due 30 days <= 90 days Of which: Instruments without significant increase in credit risk since initial recognition (Stage 1) Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Unlikely to pay that are not past-due or past-due < = 90 days Past due 90 days <= 180 days Past due 180 days <= 1 year Past due 1 year <= 2 years Past due 2 year <= 5 years Past due > 5 year <= 7 yearsPast due > 7 years Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Of which: defaultedof which: Credit-impaired instruments (Stage 3)Unlikely to pay that are not past-due or past-due < = 90 days Past due 90 days <= 180 days Past due 180 days <= 1 year Past due 1 year < = 2 year Past due 2 year < = 5 year Past due 5 year <= 7 years Past due > 7 years Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Of which: Credit-impaired instruments (Stage 3) Collateral received on performing exposuesCollateral received on non-performing exposuresFinancial guarantees received on performing exposuresFinancial guarantees received on non-performing exposuresof which: Instruments without significant increase in credit risk since initial recognition (Stage 1)of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)010020030055056057060070080090101102106107109110121130140141142150160170180191192196197950951201200205210Annex V. Part 1.34, Part 2.118, 221Annex V. Part 2. 213-216, 223-239Annex V. Part 2. 222, 235Annex V. Part 2. 222, 235IFRS 9.5.5.5; IFRS 7.35M(a); Annex V. Part 2. 237(d)IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c)Annex V. Part 2. 213-216, 223-239Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c)CRR art 178; Annex V.Part 2.237(b)IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.237(a)Annex V. Part 2. 238Annex V. Part 2. 238IFRS 9.5.5.5; IFRS 7.35M(a); Annex V. Part 2. 237(d)IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c)Annex V. Part 2. 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c)IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.237(a)Annex V. Part 2. 239Annex V. Part 2. 239Annex V. Part 2. 239Annex V. Part 2. 239005Cash balances at central banks and other demand depositsAnnex V.Part 2.2, 3010Debt securitiesAnnex V.Part 1.31, 44(b)020Central banksAnnex V.Part 1.42(a)030General governmentsAnnex V.Part 1.42(b)040Credit institutionsAnnex V.Part 1.42(c)050Other financial corporationsAnnex V.Part 1.42(d)060Non-financial corporationsAnnex V.Part 1.42(e)070Loans and advancesAnnex V.Part 1.32, 44(a)080Central banksAnnex V.Part 1.42(a)090General governmentsAnnex V.Part 1.42(b)100Credit institutionsAnnex V.Part 1.42(c)110Other financial corporationsAnnex V.Part 1.42(d)

120Non-financial corporationsAnnex V.Part 1.42(e)130Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)140Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)150HouseholdsAnnex V.Part 1.42(f)160Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)170Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)180DEBT INSTRUMENTS AT COST OR AT AMORTISED COSTAnnex V.Part 2.233(a)181Debt securitiesAnnex V.Part 1.31, 44(b)182Central banksAnnex V.Part 1.42(a)183General governmentsAnnex V.Part 1.42(b)184Credit institutionsAnnex V.Part 1.42(c)185Other financial corporationsAnnex V.Part 1.42(d)186Non-financial corporationsAnnex V.Part 1.42(e) 191Loans and advancesAnnex V.Part 1.32, 44(a)192Central banksAnnex V.Part 1.42(a)193General governmentsAnnex V.Part 1.42(b)194Credit institutionsAnnex V.Part 1.42(c)195Other financial corporationsAnnex V.Part 1.42(d)196Non-financial corporationsAnnex V.Part 1.42(e)900Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)903Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)197HouseholdsAnnex V.Part 1.42(f)910Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)913Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)201DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENTAnnex V.Part 2.233(b) 211Debt securitiesAnnex V.Part 1.31, 44(b)212Central banksAnnex V.Part 1.42(a)213General governmentsAnnex V.Part 1.42(b)214Credit institutionsAnnex V.Part 1.42(c)215Other financial corporationsAnnex V.Part 1.42(d)216Non-financial corporationsAnnex V.Part 1.42(e)221Loans and advancesAnnex V.Part 1.32, 44(a)222Central banksAnnex V.Part 1.42(a)223General governmentsAnnex V.Part 1.42(b)224Credit institutionsAnnex V.Part 1.42(c)225Other financial corporationsAnnex V.Part 1.42(d)226Non-financial corporationsAnnex V.Part 1.42(e)920Of which: Small and Medium-sized EnterprisesSME Art 1 2(a) 923Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)227HouseholdsAnnex V.Part 1.42(f)930Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)933Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)231DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENTAnnex V.Part 2.233(c), 234330DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADINGAnnex V.Part 2.217335DEBT INSTRUMENTS HELD FOR SALEAnnex V.Part 2.220340Loan commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 224350Central banksAnnex V.Part 1.42(a)360General governmentsAnnex V.Part 1.42(b) 370Credit institutionsAnnex V.Part 1.42(c)380Other financial corporationsAnnex V.Part 1.42(d)390Non-financial corporationsAnnex V.Part 1.42(e)400HouseholdsAnnex V.Part 1.42(f)410Financial guarantees givenIFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116, 225420Central banksAnnex V.Part 1.42(a)430General governmentsAnnex V.Part 1.42(b)440Credit institutionsAnnex V.Part 1.42(c)450Other financial corporationsAnnex V.Part 1.42(d)460Non-financial corporationsAnnex V.Part 1.42(e)470HouseholdsAnnex V.Part 1.42(f)480Other Commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116, 224

490Central banksAnnex V.Part 1.42(a)500General governmentsAnnex V.Part 1.42(b)510Credit institutionsAnnex V.Part 1.42(c)520Other financial corporationsAnnex V.Part 1.42(d)530Non-financial corporationsAnnex V.Part 1.42(e)540HouseholdsAnnex V.Part 1.42(f)550OFF-BALANCE SHEET EXPOSURESAnnex V.Part 2.217 18.1 Inflows and outflows of non-performing exposures – loans and advances by counterparty sector ReferencesGross carrying amount of loans and advancesInflows to non-performing exposures(-) Outflows from non-performing exposures00100020Annex V. Part 2.213-216, 224-234, 239i-239iii, 239viAnnex V. Part 2.213-216, 224-234, 239i, 239iv- 239vi0010Central banksAnnex V.Part 1.42(a)0020General governmentsAnnex V.Part 1.42(b)0030Credit institutionsAnnex V.Part 1.42(c)0040Other financial corporationsAnnex V.Part 1.42(d)0050Non-financial corporationsAnnex V.Part 1.42(e)0060Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)0070Of which: Commercial real estate (CRE) loans to small and medium-sized enterprisesSME Art 1 2(a); Annex V.Part 2.239vii (a), 239ix0080Of which: Commercial real estate (CRE) loans to non-financial corporations other than SMEsAnnex V.Part 2.239vii (a), 239ix0090Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 239vii (b)0100HouseholdsAnnex V.Part 1.42(f)0110Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 239vii (b)0120Of which: Credit for consumptionAnnex V.Part 2.88(a), 239vii (c)0130LOANS AND ADVANCES OTHER THAN HELD FOR TRADING OR TRADINGAnnex V.Part 2.2170140LOANS AND ADVANCES HELD FOR SALEAnnex V.Part 2.2200150TOTAL INFLOWS / OUTFLOWS 18.2 Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property ReferencesGross carrying amountAccumulated impairment, accumulated negative changes in fair value due to credit risk Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 of which: exposures with forbearance measuresPerformingNon-performingOf which: Exposures with forbearance measuresPerforming exposures - Accumulated impairmentsNon-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisionsCollateral received and financial guarantees receivedNot past due or Past due <= 30 days Past due 30 days <= 90 days of which: performing exposures with forbearance measuresUnlikely to pay that are not past-due or past-due < = 90 days Past due 90 days <= 180 days Past due 180 days <= 1 year Past due 1 year <= 2 years Past due 2 year <= 5 years Past due 5 year <= 7 years Past due > 7 yearsOf which: defaultedOf which: Non-performing exposures with forbearance measuresOf which: Performing exposures with forbearance measuresUnlikely to pay that are not past-due or past-due < = 90 days Past due 90 days <= 180 days Past due 180 days <= 1 year Past due 1 year < = 2 year Past due > 2 year < = 5 yearPast due > 5 year <= 7 yearsPast due > 7 yearsOf which: Non-performing exposures with forbearance measuresCollateral received on performing exposuresCollateral received on non-performing exposuresFinancial guarantees received on performing exposuresFinancial guarantees received on non-performing exposuresof which: Performing forborne exposures under probation reclassified from non-performing0010002000300040005000600070008000900100011001200130014001500160017001800190020002100220023002400250026002700280029003000310032003300340Annex V. Part 1.34, Part 2.118, 221Annex V. Part 1.34, Part 2. 118, 240-245, 251-258Annex V. Part 2. 213-216, 223-239Annex V. Part 2. 222, 235Annex V. Part 2. 222, 235Annex V. Part 2. 256, 259-262Annex V. Part 2. 256(b), 261Annex V. Part 2. 213-216, 223-239Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236CRR art 178; Annex V.Part 2.237(b)Annex V. Part 2. 259-263Annex V. Part 2. 238Annex V. Part 2. 267Annex V. Part 2. 238Annex V. Part 2. 207Annex V. Part 2. 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 207Annex V. Part 2. 239Annex V. Part 2. 239Annex V. Part 2. 239Annex V. Part 2. 2390010Non-finan-cial corpo-rationsCommercial real estate (CRE) loans to small and medium-sized enterprisesSME Art 1 2(a); Annex V.Part 2.239vi (a), 239vii0020Commercial real estate (CRE) loans to non-financial corporations other than SMEsAnnex V.Part 2.239vi (a), 239vii0030Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 239vi (b)0040Of which: Loans with LTV ratio higher than 60 % and less than or equal to 80 %Annex V.Part 2.86(a), 87, 239vi (b), 239viii0050Of which: Loans with LTV ratio higher than 80 % and less than or equal to 100 %Annex V.Part 2.86(a), 87, 239vi (b), 239viii0060Of which: Loans with LTV ratio higher than 100 %Annex V.Part 2.86(a), 87, 239vi (b), 239viii0070House-holdsLoans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 239vi (b)0080Of which: Loans with LTV ratio higher than 60 % and less than or equal to 80 %Annex V.Part 2.86(a), 87, 239vi (b), 239viii0090Of which: Loans with LTV ratio higher than 80 % and less than or equal to 100 %Annex V.Part 2.86(a), 87, 239vi (b), 239viii0100Of which: Loans with LTV ratio higher than 100 %Annex V.Part 2.86(a), 87, 239vi (b), 239viii

1. Information forborne exposures ReferencesGross carrying amount / nominal amount of exposures with forbearance measuresAccumulated impairment, accumulated negative changes in fair value due to credit risk and provisionsGross carrying amount / nominal amount of exposures with forbearance measures Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 Performing exposures with forbearance measuresNon-performing exposures with forbearance measuresPerfoming exposures with forbearance measures – Accumulated impairment and provisionsNon-performing exposures with forbearance measures – Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisionsCollateral received and financial guarantees receivedInstruments with modifications in their terms and conditionsRefinancingof which: Performing forborne exposures under probation reclassified from non-performingInstruments with modifications in their terms and conditionsRefinancing of which: Defaulted of which: Impaired of which: Forbearance of exposures non-performing prior to forbearance Instruments with modifications in their terms and conditionsRefinancingCollateral received on exposures with forbearance measuresFinancial guarantees received on exposures with forbearance measuresOf which: Collateral received on non-performing exposures with forbearance measuresOf which: Financial guarantees received on non-performing exposures with forbearance measures010020030040050060070080090100110120130140150160170175180185Annex V. Part 1.34, Part 2. 118, 240-245, 251-258Annex V. Part 2. 256, 259-262Annex V. Part 2.241(a), 266Annex V. Part 2. 241 (b), 265-266Annex V. Part 2. 256(b), 261Annex V. Part 2. 259-263Annex V. Part 2.241(a), 266Annex V. Part 2. 241 (b), 265-266CRR art 178; Annex V. Part 2.264(b)IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.264(a)Annex V. Part 2. 231, 252(a), 263Annex V. Part 2. 267Annex V. Part 2. 207Annex V. Part 2. 207Annex V. Part 2. 241(a), 267Annex V. Part 2. 241(b), 267Annex V. Part 2. 268Annex V. Part 2. 268Annex V. Part 2. 268Annex V. Part 2. 268005Cash balances at central banks and other demand depositsAnnex V.Part 2.2, 3010Debt securitiesAnnex V.Part 1.31, 44(b)020Central banksAnnex V.Part 1.42(a)030General governmentsAnnex V.Part 1.42(b)040Credit institutionsAnnex V.Part 1.42(c)050Other financial corporationsAnnex V.Part 1.42(d)060Non-financial corporationsAnnex V.Part 1.42(e)070Loans and advancesAnnex V.Part 1.32, 44(a)080Central banksAnnex V.Part 1.42(a)090General governmentsAnnex V.Part 1.42(b)100Credit institutionsAnnex V.Part 1.42(c)110Other financial corporationsAnnex V.Part 1.42(d) 120Non-financial corporationsAnnex V.Part 1.42(e)130Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)140Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)150HouseholdsAnnex V.Part 1.42(f)160Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)170Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)180DEBT INSTRUMENTS AT COST OR AT AMORTISED COSTAnnex V.Part 2.249(a)181Debt securitiesAnnex V.Part 1.31, 44(b)182Central banksAnnex V.Part 1.42(a)183General governmentsAnnex V.Part 1.42(b)184Credit institutionsAnnex V.Part 1.42(c)185Other financial corporationsAnnex V.Part 1.42(d)186Non-financial corporationsAnnex V.Part 1.42(e)

191Loans and advancesAnnex V.Part 1.32, 44(a)192Central banksAnnex V.Part 1.42(a)193General governmentsAnnex V.Part 1.42(b)194Credit institutionsAnnex V.Part 1.42(c)195Other financial corporationsAnnex V.Part 1.42(d)196Non-financial corporationsAnnex V.Part 1.42(e)900Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)903Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)197HouseholdsAnnex V.Part 1.42(f)910Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)913Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b) 201DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENTAnnex V.Part 2.249(b)211Debt securitiesAnnex V.Part 1.31, 44(b)212Central banksAnnex V.Part 1.42(a)213General governmentsAnnex V.Part 1.42(b)214Credit institutionsAnnex V.Part 1.42(c)215Other financial corporationsAnnex V.Part 1.42(d)216Non-financial corporationsAnnex V.Part 1.42(e)221Loans and advancesAnnex V.Part 1.32, 44(a)222Central banksAnnex V.Part 1.42(a)223General governmentsAnnex V.Part 1.42(b)224Credit institutionsAnnex V.Part 1.42(c)225Other financial corporationsAnnex V.Part 1.42(d)226Non-financial corporationsAnnex V.Part 1.42(e) 920Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)923Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)227HouseholdsAnnex V.Part 1.42(f)930Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)933Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)231DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENTAnnex V.Part 2.249330DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADINGAnnex V.Part 2.246335DEBT INSTRUMENTS HELD FOR SALEAnnex V.Part 2.247340Loan commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 246 20. Geographical breakdown 20.1 Geographical breakdown of assets by location of the activities References Carrying amount Annex V.Part 1.27 Domestic activitiviesNon-domestic activitiesAnnex V.Part 2.270Annex V.Part 2.270010020010Cash, cash balances at central banks and other demand depositsIAS 1.54 (i)020Cash on handAnnex V.Part 2.1030Cash balances at central banksAnnex V.Part 2.2040Other demand depositsAnnex V.Part 2.3050Financial assets held for tradingIFRS 9. Appendix A060DerivativesIFRS 9. Appendix A070Equity instrumentsIAS 32.11080Debt securitiesAnnex V.Part 1.31090Loans and advancesAnnex V.Part 1.32096Non-trading financial assets mandatorily at fair value through profit or lossIFRS 7.8(a)(ii); IFRS 9.4.1.4097Equity instrumentsIAS 32.11098Debt securitiesAnnex V.Part 1.31099Loans and advancesAnnex V.Part 1.32100Financial assets designated at fair value through profit or lossIFRS 7.8(a)(i); IFRS 9.4.1.5120Debt securitiesAnnex V.Part 1.31130Loans and advancesAnnex V.Part 1.32141Financial assets at fair value through other comprehensive incomeIFRS 7.8(h); IFRS 9.4.1.2A142Equity instrumentsIAS 32.11143Debt securitiesAnnex V.Part 1.31144Loans and advancesAnnex V.Part 1.32181Financial assets at amortised costIFRS 7.8(f); IFRS 9.4.1.2182Debt securitiesAnnex V.Part 1.31183Loans and advancesAnnex V.Part 1.32240Derivatives – Hedge accountingIFRS 9.6.2.1; Annex V.Part 1.22

250Fair value changes of the hedged items in portfolio hedge of interest rate riskIAS 39.89A(a); IFRS 9.6.5.8260Tangible assets270Intangible assetsIAS 1.54(c); CRR art 4(1)(115)280Investments in subsidaries, joint ventures and associatesIAS 1.54(e); Annex V.Part 1.21, Part 2.4290Tax assetsIAS 1.54(n-o)300Other assetsAnnex V.Part 2.5310Non-current assets and disposal groups classified as held for saleIAS 1.54(j); IFRS 5.38, Annex V.Part 2.7320ASSETSIAS 1.9(a), IG 6 20.2 Geographical breakdown of liabilities by location of the activities References Carrying amount Annex V.Part 1.27 Domestic activitiviesNon-domestic activitiesAnnex V.Part 2.270Annex V.Part 2.270010020010Financial liabilities held for tradingIFRS 7.8 (e) (ii); IFRS 9.BA.6020DerivativesIFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)030Short positionsIFRS 9.BA7(b)040DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36050Debt securities issuedAnnex V.Part 1.37060Other financial liabilitiesAnnex V.Part 1.38-41070Financial liabilities designated at fair value through profit or lossIFRS 7.8 (e)(i); IFRS 9.4.2.2080DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36090Debt securities issuedAnnex V.Part 1.37100Other financial liabilitiesAnnex V.Part 1.38-41 110Financial liabilities measured at amortised costIFRS 7.8(g); IFRS 9.4.2.1120DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36130Debt securities issuedAnnex V.Part 1.37140Other financial liabilitiesAnnex V.Part 1.38-41150Derivatives – Hedge accountingIFRS 9.6.2.1; Annex V.Part 1.26160Fair value changes of the hedged items in portfolio hedge of interest rate riskIAS 39.89A(b), IFRS 9.6.5.8170ProvisionsIAS 37.10; IAS 1.54(l)180Tax liabilitiesIAS 1.54(n-o)190Share capital repayable on demandIAS 32 IE 33; IFRIC 2; Annex V.Part 2.12200Other liabilitiesAnnex V.Part 2.13210Liabilities included in disposal groups classified as held for saleIAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14220LIABILITIESIAS 1.9(b);IG 6 20.3 Geographical breakdown of statement of profit or loss items by location of the activities ReferencesCurrent periodDomestic activitiviesNon-domestic activitiesAnnex V.Part 2.270Annex V.Part 2.270010020010Interest incomeIAS 1.97; Annex V.Part 2.31020(Interest expenses)IAS 1.97; Annex V.Part 2.31030(Expenses on share capital repayable on demand)IFRIC 2.11040Dividend incomeAnnex V.Part 2.40050Fee and commission incomeIFRS 7.20(c)060(Fee and commission expenses)IFRS 7.20(c)070Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, netAnnex V.Part 2.45080Gains or (-) losses on financial assets and liabilities held for trading, netIFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 46 083Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or lossIFRS 9.5.7.1090Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, netIFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44100Gains or (-) losses from hedge accounting, netAnnex V.Part 2.47-48110Exchange differences [gain or (-) loss], netIAS 21.28, 52 (a)130Gains or (-) losses on derecognition of non financial assets, netIAS 1.34140Other operating incomeAnnex V.Part 2.314-316150(Other operating expenses)Annex V.Part 2.314-316155TOTAL OPERATING INCOME, NET160(Administrative expenses)170(Depreciation)IAS 1.102, 104171Modification gains or (-) losses, netIFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49180(Provisions or (-) reversal of provisions)IAS 37.59, 84; IAS 1.98(b)(f)(g)190(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss)IFRS 7.20(a)(viii); Annex V Part 2.51, 53200(Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates)IAS 28.40-43210(Impairment or (-) reversal of impairment on non-financial assets)IAS 36.126(a)(b)220Negative goodwill recognised in profit or lossIFRS 3.Appendix B64(n)(i)230Share of the profit or (-) loss of investments in subsidaries, joint ventures and associatesAnnex V.Part 2.54240Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operationsIFRS 5.37; Annex V.Part 2.55250PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONSIAS 1.102, IG 6; IFRS 5.33 A260(Tax expense or (-) income related to profit or loss from continuing operations)IAS 1.82(d); IAS 12.77270PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONSIAS 1, IG 6280Profit or (-) loss after tax from discontinued operationsIAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56290PROFIT OR (-) LOSS FOR THE YEARIAS 1.81A(a)

20.4 Geographical breakdown of assets by residence of the counterparty z-axis Country of residence of the counterparty ReferencesGross carrying amountAccumulated impairmentAccumulated negative changes in fair value due to credit risk on non-performing exposuresOf which: held for trading or tradingof which: financial assets subject to impairmentOf which: forborneOf which: non-perfomingof which: defaultedAnnex V.Part 1.34, Part 2.271, 275Annex V.Part 1.15(a), Part 2.273Annex V.Part 2.273Annex V.Part 2.275Annex V.Part 2.275CRR art 178; Annex V.Part 2.237(b)Annex V.Part 2.274Annex V.Part 2.274010011012022025026031040010DerivativesIFRS 9 Appendix A, Annex V.Part 2.272020Of which: credit institutionsAnnex V.Part 1.42(c)030Of which: other financial corporationsAnnex V.Part 1.42(d)040Equity instrumentsIAS 32.11050Of which: credit institutionsAnnex V.Part 1.42(c)060Of which: other financial corporationsAnnex V.Part 1.42(d)070Of which: non-financial corporationsAnnex V.Part 1.42(e)080Debt securitiesAnnex V.Part 1.31, 44(b)090Central banksAnnex V.Part 1.42(a)100General governmentsAnnex V.Part 1.42(b)110Credit institutionsAnnex V.Part 1.42(c)120Other financial corporationsAnnex V.Part 1.42(d)130Non-financial corporationsAnnex V.Part 1.42(e) 140Loans and advancesAnnex V.Part 1.32, 44(a)150Central banksAnnex V.Part 1.42(a)160General governmentsAnnex V.Part 1.42(b)170Credit institutionsAnnex V.Part 1.42(c)180Other financial corporationsAnnex V.Part 1.42(d)190Non-financial corporationsAnnex V.Part 1.42(e)200Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)210Of which: Loans collateralized by commercial immovable propertyAnnex V.Part 2.86(a), 87220HouseholdsAnnex V.Part 1.42(f)230Of which: Loans collateralized by residential immovable propertyAnnex V.Part 2.86(a), 87240Of which: Credit for consumptionAnnex V.Part 2.88(a) 20.5 Geographical breakdown of off-balance sheet exposures by residence of the counterparty z-axis Country of residence of the counterparty ReferencesNominal amountProvisions for commitments and guarantees givenOf which: forborneOf which: non-perfomingof which: defaultedAnnex V.Part 2.118, 271Annex V.Part 2.240-258Annex V.Part 2.275CRR art 178; Annex V.Part 2.237(b)Annex V.Part 2.276010022025026030010Loan commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116020Financial guarantees givenIFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116030Other Commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 20.6 Geographical breakdown of liabilities by residence of the counterparty z-axis Country of residence of the counterparty ReferencesCarrying amountAnnex V.Part 1.27, 2.271010010DerivativesIFRS 9 Appendix A, Annex V.Part 1.44(e), Part 2.272020Of which: credit institutionsAnnex V.Part 1.42(c)030Of which: other financial corporationsAnnex V.Part 1.42(d)040Short positionsIFRS 9.BA7(b); Annex V.Part 1.44(d)050Of which: credit institutionsAnnex V.Part 1.42(c)060Of which: other financial corporationsAnnex V.Part 1.42(d)070DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36080Central banksAnnex V.Part 1.42(a)090General governmentsAnnex V.Part 1.42(b)100Credit institutionsAnnex V.Part 1.42(c)110Other financial corporationsAnnex V.Part 1.42(d)120Non-financial corporationsAnnex V.Part 1.42(e)130HouseholdsAnnex V.Part 1.42(f)

20.7.1 Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes z-axis Country of residence of the counterparty References Non-financial corporations Annex V. Part 2.271, 277 Gross carrying amountAccumulated impairmentAccumulated negative changes in fair value due to credit risk on non-performing exposuresof which: loans and advances subject to impairmentOf which: non-performingAnnex V.Part 1.34, Part 2.275Annex V.Part 2.273Annex V.Part 2.275Annex V.Part 2.274Annex V.Part 2.274010011012021022010A Agriculture, forestry and fishingNACE Regulation020B Mining and quarryingNACE Regulation030C ManufacturingNACE Regulation040D Electricity, gas, steam and air conditioning supplyNACE Regulation050E Water supplyNACE Regulation060F ConstructionNACE Regulation070G Wholesale and retail tradeNACE Regulation080H Transport ans storageNACE Regulation090I Accommodation and food service activitiesNACE Regulation100J Information and communicationNACE Regulation105K Financial and insurance activitiesNACE Regulation110L Real estate activitiesNACE Regulation120M Professional, scientific and technical activitiesNACE Regulation130N Administrative and support service activitiesNACE Regulation140O Public administration and defence, compulsory social securityNACE Regulation150P EducationNACE Regulation160Q Human health services and social work activitiesNACE Regulation170R Arts, entertainment and recreationNACE Regulation180S Other servicesNACE Regulation190LOANS AND ADVANCESAnnex V.Part 1.32 21. Tangible and intangible assets: assets subject to operating lease ReferencesCarrying amountAnnex V.Part 2.278-279010010Property plant and equipmentIAS 16.6; IAS 1.54(a)020Revaluation modelIAS 17.49; IAS 16.31, 73(a)(d)030Cost modelIAS 17.49; IAS 16.30, 73(a)(d)040Investment propertyIAS 40.IN5; IAS 1.54(b)050Fair value modelIAS 17.49; IAS 40.33-55, 76060Cost modelIAS 17.49; IAS 40.56,79(c)070Other intangible assetsIAS 38.8, 118080Revaluation modelIAS 17.49; IAS 38.75-87, 124(a)(ii)090Cost modelIAS 17.49; IAS 38.74 22. Asset management, custody and other service functions 22.1 Fee and commission income and expenses by activity ReferencesCurrent periodAnnex V.Part 2.280IFRS 7.20(c )010010Fee and commission incomeAnnex V.Part 2.281-284020Securities030IssuancesAnnex V.Part 2.284(a)040Transfer ordersAnnex V.Part 2.284(b)050Other fee and commission income in relation to securitiesAnnex V.Part 2.284(c)051Corporate Finance052M&A advisoryAnnex V.Part 2.284 (e)053Treasury servicesAnnex V.Part 2.284(f)054Other fee and commission income in relation to corporate finance activitiesAnnex V.Part 2.284(g)055Fee based adviceAnnex V.Part 2.284(h)060Clearing and settlementAnnex V.Part 2.284(i)070Asset managementAnnex V.Part 2.284(j); 285(a)080Custody [by type of customer]Annex V.Part 2.284(j); 285(b)090Collective investment100Other fee and commission income in relation to custody services110Central administrative services for collective investmentAnnex V.Part 2.284(j); 285(c)120Fiduciary transactionsAnnex V.Part 2.284(j); 285(d)131Payment servicesAnnex V.Part 2.284(k), 285(e)132Current accountsAnnex V.Part 2.284(k), 285(e)

133Credit cardsAnnex V.Part 2.284(k), 285(e)134Debit cards and other card paymentsAnnex V.Part 2.284(k), 285(e)135Transfers and other payment ordersAnnex V.Part 2.284(k), 285(e)136Other fee and commission income in relation to payment servicesAnnex V.Part 2.284(k), 285(e)140Customer resources distributed but not managed [by type of product]Annex V.Part 2.284 (l); 285(f)150Collective investment160Insurance products170Other fee and commission income in relation to customer resources distributed but not managed180Structured FinanceAnnex V.Part 2.284(n)190Loan servicing activitiesAnnex V.Part 2.284(o)200Loan commitments givenIFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(p)210Financial guarantees givenIFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(p)211Loans grantedAnnex V.Part 2.284(r)213Foreign exchangeAnnex V.Part 2.284(s)214CommoditiesAnnex V.Part 2.284(t)220Other fee and commission incomeAnnex V.Part 2.284(u)230(Fee and commission expenses)Annex V.Part 2.281-284235(Securities)Annex V.Part 2.284(d)240(Clearing and settlement)Annex V.Part 2.284(i)245(Asset management)Annex V.Part 2.284(j); 285(a)250(Custody)Annex V.Part 2.284(j); 285 (b)255(Payment services)Annex V.Part 2.284(k), 285(e)256(of which: Credit, Debit and other Cards)260(Loan servicing activities)Annex V.Part 2.284(o)270(Loan commitments received)Annex V.Part 2.284(q)280(Financial guarantees received)Annex V.Part 2.284(q)281(Externally provided distribution of products)Annex V.Part 2.284(m)282(Foreign exchange)Annex V.Part 2.284(s)290(Other fee and commission expenses)Annex V.Part 2.284(u) 22.2 Assets involved in the services provided ReferencesAmount of the assets involved in the services providedAnnex V.Part 2.285(g)010010Asset management [by type of customer]Annex V.Part 2.285(a)020Collective investment030Pension funds040Customer portfolios managed on a discretionary basis050Other investment vehicles060Custody assets [by type of customer]Annex V.Part 2.285(b)070Collective investment080Other090Of which: entrusted to other entities100Central administrative services for collective investmentAnnex V.Part 2.285(c)110Fiduciary transactionsAnnex V.Part 2.285(d)120Payment servicesAnnex V.Part 2.285(e)130Customer resources distributed but not managed [by type of product]Annex V.Part 2.285(f)140Collective investment150Insurance products160Other 23. Loans and advances: additional information 23.1 Loans and advances: Number of instruments References Number of instruments (Annex V.Part 2.320) PerformingNon PerformingUnlikely to pay that are not past due or past due <= 90 daysPast due > 90 daysof which: Exposures with forbearance measuresof which: Past due > 30 days <= 90 daysof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresPast due > 90 days <= 180 daysPast due > 180 days <= 1 yearPast due > 1 years <=2 yearsPast due > 2 years <=5 yearsPast due > 5 years <=7 yearsPast due > 7 yearsAnnex V.Part 1.32Annex V. Part 2. 256, 259-263Annex V. Part 2. 213-216, 226-239Annex V. Part 2. 222, 235Annex V. Part 2. 259-261Annex V. Part 2. 213-216, 226-239Annex V. Part 2.256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236001000200030004000500060007000800090010001100120013001400150016001700010Loans and advancesAnnex V.Part 1.32, 44(a), Part 2.3190020of which: HouseholdsAnnex V.Part 1.42(f)0030of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)0040of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)0050of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ix0060of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)0070of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ix0080Loans and advances in pre-litigation statusAnnex V.Part 1.32, 44(a), Part 2.319, 3210090of which: HouseholdsAnnex V.Part 1.42(f)0100of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87

0110of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)0120of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ix0130of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)0140of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ix0150Loans and advances in litigation statusAnnex V.Part 1.32, 44(a), Part 2.319; 3220160of which: HouseholdsAnnex V.Part 1.42(f)0170of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 870180of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)0190of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ix0200of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)0210of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ix 23.2 Loans and advances: Additional information on gross carrying amounts References Gross carrying amount (Annex V.Part 1.34) PerformingNon PerformingUnlikely to pay that are not past due or past due <= 90 daysPast due > 90 daysof which: Exposures with forbearance measuresof which: Past due > 30 days <= 90 daysof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresPast due > 90 days <= 180 daysPast due > 180 days <= 1 yearPast due > 1 years <=2 yearsPast due > 2 years <=5 yearsPast due > 5 years <=7 yearsPast due > 7 yearsAnnex V.Part 1.32Annex V. Part 2. 256, 259-263Annex V. Part 2. 213-216, 226-239Annex V. Part 2. 222, 235Annex V. Part 2. 259-261Annex V. Part 2. 213-216, 226-239Annex V. Part 2.256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236001000200030004000500060007000800090010001100120013001400150016001700010Loans and advancesAnnex V.Part 1.32, 44(a), Part 2.3190020of which: HouseholdsAnnex V.Part 1.42(f)0030of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 870040of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)0050of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ix0060of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)0070of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ix0080Loans and advances at cost or at amortised costAnnex V.Part 1.32, 44(a), Part 2.233 (a), 3190090of which: HouseholdsAnnex V.Part 1.42(f)0100of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 870110of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a) 0120of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ix0130of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)0140of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ix0150Loans and advances in pre-litigation statusAnnex V.Part 1.32, 44(a), Part 2.319, 3210160of which: HouseholdsAnnex V.Part 1.42(f)0170of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 870180of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)0190of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ix0200of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)0210of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ix

0220Loans and advances in litigation statusAnnex V.Part 1.32, 44(a), Part 2.319, 3220230of which: HouseholdsAnnex V.Part 1.42(f)0240of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 870250of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)0260of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ix0270of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)0280of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ix0290Unsecured loans and advances without guaranteesAnnex V.Part 1.32, 44(a), Part 2.319, 3230300of which: HouseholdsAnnex V.Part 1.42(f)0310of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)0320of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ix 0330of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)0340of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ix0350Loans and advances with an accumulated coverage ratio > 90 %Annex V.Part 1.32, 44(a), Part 2.319, 3240360of which: HouseholdsAnnex V.Part 1.42(f)0370of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 870380of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)0390of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ix0400of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)0410of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ix 23.3 Loans and advances collateralised by immovable property: Breakdown by LTV ratios References Gross carrying amount (Annex V.Part 1.34) PerformingNon PerformingUnlikely to pay that are not past due or past due <= 90 daysPast due > 90 daysof which: Exposures with forbearance measuresof which: Past due > 30 days <= 90 daysof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresPast due > 90 days <= 180 daysPast due > 180 days <= 1 yearPast due > 1 years <=2 yearsPast due > 2 years <=5 yearsPast due > 5 years <=7 yearsPast due > 7 yearsAnnex V.Part 1.32Annex V. Part 2. 256, 259-263Annex V. Part 2. 213-216, 226-239Annex V. Part 2. 222, 235Annex V. Part 2. 259-261Annex V. Part 2. 213-216, 226-239Annex V. Part 2.256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236001000200030004000500060007000800090010001100120013001400150016001700010Loans and advances collateralised by immovable propertyAnnex V.Part 1.32, 44(a), Part 2.86(a), 87, 3190020Of which: Loans with a LTV higher than 60 % and lower than or equal to 80 %Annex V.Part 2.239x, 3250030Of which: Loans with a LTV higher than 80 % and lower than or equal to 100 %Annex V.Part 2.239x, 3250040Of which: Loans with a LTV higher than 100 %Annex V.Part 2.239x, 3250050Loans and advances to small and medium-sized enterprises (NFCs) collateralised by commercial immovable propertyAnnex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a)0060Of which: Loans with a LTV higher than 60 % and lower than or equal to 80 %Annex V.Part 2.239x, 3250070Of which: Loans with a LTV higher than 80 % and lower than or equal to 100 %Annex V.Part 2.239x, 3250080Of which: Loans with a LTV higher than 100 %Annex V.Part 2.239x, 3250090Loans and advances to non-financial corporations (NFCs) other than SMEs collateralised by commercial immovable propertyAnnex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a)

0100Of which: Loans with a LTV higher than 60 % and lower than or equal to 80 %Annex V.Part 2.239x, 3250110Of which: Loans with a LTV higher than 80 % and lower than or equal to 100 %Annex V.Part 2.239x, 3250120Of which: Loans with a LTV higher than 100 %Annex V.Part 2.239x, 3250130Commercial Real Estate loans to small and medium-sized enterprises (NFCs) collateralised by immovable propertyAnnex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a)0140Of which: Loans with a LTV higher than 60 % and lower than or equal to 80 %Annex V.Part 2.239x, 3250150Of which: Loans with a LTV higher than 80 % and lower than or equal to 100 %Annex V.Part 2.239x, 3250160Of which: Loans with a LTV higher than 100 %Annex V.Part 2.239x, 3250170Commercial Real Estate loans to non-financial corporations (NFCs) other than SMEs collateralised by immovable propertyAnnex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a)0180Of which: Loans with a LTV higher than 60 % and lower than or equal to 80 %Annex V.Part 2.239x, 3250190Of which: Loans with a LTV higher than 80 % and lower than or equal to 100 %Annex V.Part 2.239x, 3250200Of which: Loans with a LTV higher than 100 %Annex V.Part 2.239x, 325 23.4 Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to credit risk References Accumulated impairment, accumulated negative changes in fair value due to credit risk (Annex V. Part 2.69-71) PerformingNon PerformingUnlikely to pay that are not past due or past due <= 90 daysPast due > 90 daysof which: Exposures with forbearance measuresof which: Past due > 30 days <= 90 daysof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresPast due > 90 days <= 180 daysPast due > 180 days <= 1 yearPast due > 1 years <=2 yearsPast due > 2 years <=5 yearsPast due > 5 years <=7 yearsPast due > 7 yearsAnnex V.Part 1.32Annex V. Part 2. 256, 259-263Annex V. Part 2. 213-216, 226-239Annex V. Part 2. 222, 235Annex V. Part 2. 259-261Annex V. Part 2. 213-216, 226-239Annex V. Part 2.256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236001000200030004000500060007000800090010001100120013001400150016001700010Loans and advancesAnnex V.Part 1.32, 44(a), Part 2.3190020of which: HouseholdsAnnex V.Part 1.42(f)0030of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 870040of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)0050of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ix0060of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)0070of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ix0080Loans and advances at cost or at amortised costAnnex V.Part 1.32, 44(a), Part 2.233 (a), 3190090of which: HouseholdsAnnex V.Part 1.42(f)0100of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87

0110of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)0120of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ix0130of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)0140of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ix0150Unsecured loans and advances without guaranteesAnnex V.Part 1.32, 44(a), Part 2.319, 3230160of which: HouseholdsAnnex V.Part 1.42(f)0170of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)0180of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ix0190of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)0200of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ix 23.5 Loans and advances: Collateral received and financial guarantees received References Maximum amount of the collateral or guarantee that can be considered Annex V.Part 2.171-172, 174 PerformingNon PerformingUnlikely to pay that are not past due or past due <= 90 daysPast due > 90 daysof which: Exposures with forbearance measuresof which: Past due > 30 days <= 90 daysof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresPast due > 90 days <= 180 daysPast due > 180 days <= 1 yearPast due > 1 years <=2 yearsPast due > 2 years <=5 yearsPast due > 5 years <=7 yearsPast due > 7 yearsAnnex V.Part 1.32Annex V. Part 2. 256, 259-263Annex V. Part 2. 213-216, 226-239Annex V. Part 2. 222, 235Annex V. Part 2. 259-261Annex V. Part 2. 213-216, 226-239Annex V. Part 2.256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236001000200030004000500060007000800090010001100120013001400150016001700010Financial guarantees received on loans and advancesAnnex V.Part 2.319, 3260020of which: HouseholdsAnnex V.Part 1.42(f)0030of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 870040of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)0050of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ix0060of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)0070of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ix0080Collateral received on loans and advancesAnnex V.Part 2.319, 3260090of which: HouseholdsAnnex V.Part 1.42(f)0100of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 870110of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a) 0120of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ix0130of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)0140of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ix0150Immovable property collateral received on loans and advancesAnnex V.Part 2.319, 3260160of which: HouseholdsAnnex V.Part 1.42(f)0170of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 870180of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)0190of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ix0200of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)0210of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ix0220Memorandum item: Collateral received on loans and advances – uncapped amountsAnnex V.Part 2.319, 326, 3270230of which: Immovable property collateralAnnex V.Part 2.319, 326, 327

23.6 Loans and advances: Accumulated partial write-offs References Accumulated partial write-offs (Annex V.Part 2.72, 74) PerformingNon PerformingUnlikely to pay that are not past due or past due <= 90 daysPast due > 90 daysof which: Exposures with forbearance measuresof which: Past due > 30 days <= 90 daysof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresPast due > 90 days <= 180 daysPast due > 180 days <= 1 yearPast due > 1 years <=2 yearsPast due > 2 years <=5 yearsPast due > 5 years <=7 yearsPast due > 7 yearsAnnex V.Part 1.32Annex V. Part 2. 256, 259-263Annex V. Part 2. 213-216, 226-239Annex V. Part 2. 222, 235Annex V. Part 2. 259-261Annex V. Part 2. 213-216, 226-239Annex V. Part 2.256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236001000200030004000500060007000800090010001100120013001400150016001700010Loans and advancesAnnex V.Part 1.32, 44(a), Part 2.3190020of which: HouseholdsAnnex V.Part 1.42(f)0030of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 870040of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)0050of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ix0060of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)0070of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ix 24. Loans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year 24.1 Loans and advances: Inflows and outflows of non-performing exposures References Gross Carrying amount (Annex V. Part 1.34) Non-performing exposures – loans and advancesof which: Householdsof which: Non-financial corporationsof which: Loans collateralised by residential immovable propertyof which: SMEsof which: CRE loans to NFCs other than SMEs of which: Commercial Real Estate (CRE) loans Annex V.Part 1.32, 34, Part 2.213-216, 223-239Annex V.Part 1.42(f), 44(a)Annex V.Part 2.86(a), 87Annex V.Part 1.42(e), 44(a)SME Art 1 2(a)SME Art 1 2(a), Annex V.Part 2.239ixAnnex V.Part 2.239ix00100020003000400050006000700010Opening balanceAnnex V.Part 2.3280020InflowsAnnex V.Part 2.239ii, 239iii, 239vi, 3290030Inflow due to reclassification from performing not forborneAnnex V.Part 2.239ii, 239iii, 239vi, 3290040Inflow due to reclassification from performing forborneAnnex V.Part 2.239ii, 239iii, 239vi, 3290050of which: reclassified from performing forborne exposures under probation previously reclassified from non-performingAnnex V.Part 2.239ii, 239iii, 239vi, 329(b)0060Inflow due to purchase of exposuresAnnex V.Part 2.239ii, 239iii, 239vi, 3290070Inflow due to accrued interestAnnex V.Part 2.239ii, 239iii, 239vi, 329 (a)0080Inflow due to other reasonsAnnex V.Part 2.239ii, 239iii, 239vi, 329 (c)0090Of which: Inflow more than onceAnnex V.Part 2.239ii, 239iii, 239vi, 330 (a)

0100Of which: Inflow of exposures granted in the past 24 monthsAnnex V.Part 2.239ii, 239iii, 239vi, 330 (b)0110Of which: Inflow of exposures granted during the periodAnnex V.Part 2.239ii, 239iii, 239vi, 330 (b)0120OutflowsAnnex V.Part 2.239iii-239v, 331, 3320130Outflow due to reclassification as performing not forborneAnnex V.Part 2.239iii-239v(a), 331, 3320140Outflow due to reclassification as performing forborneAnnex V.Part 2.239iii-239v(a), 331, 3320150Outflow due to partial or total loan repaymentAnnex V.Part 2.239iii-239v(b), 331, 3320160Outflow due to collateral liquidationsAnnex V.Part 2.239iii-239v(c), 331, 3320170Net cumulated recoveries from collateral liquidationAnnex V.Part 2.3330180of which: Write-offs in the context of collateral liquidationsAnnex V.Part 2.239iii-239v(c)0190Outflow due to taking possession of collateralAnnex V.Part 2.239iii-239v(d), 331, 3320200Net cumulated recoveries from taking possession of collateralAnnex V.Part 2.3330210of which: Write-offs in the context of taking possession of collateralAnnex V.Part 2.239iii-239v(d)0220Outflow due to sale of instrumentsAnnex V.Part 2.239iii-239v(e), 331, 332 0230Net cumulated recoveries from sale of instrumentsAnnex V.Part 2.3330240of which: Write-offs in the context of sale of instrumentsAnnex V.Part 2.239iii-239v(e)0250Outflow due to risk transfersAnnex V.Part 2.239iii-239v(f), 331, 3320260Net cumulated recoveries from risk transfersAnnex V.Part 2.3330270of which: Write-offs in the context of risk transfersAnnex V.Part 2.239iii-239v(f)0280Outflow due to write-offsAnnex V.Part 2.239iii-239v(g), 331, 3320290Outflow due to reclassification as held for saleAnnex V.Part 2.239iii-239vi, 331, 3320300Outflow due to other reasonsAnnex V.Part 2.239iii-239v(h), 331, 3320310Of which: Outflow of non-performing exposures that became non-performing during the periodAnnex V.Part 2.3340320Closing balanceAnnex V.Part 2.328 24.2 Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures ReferencesAccumulated impairment and accumulated negative changes in fair value due to credit riskNon-performing exposures – loans and advancesof which: Householdsof which: Non-financial corporationsof which: Loans collateralised by residential immovable propertyof which: SMEsof which: Commercial Real Estate (CRE) loans to NFCs other than SMEs of which: Commercial Real Estate (CRE) loans Annex V.Part 1.32, Part 2.69-71, 213-216, 223-239Annex V.Part 1.42(f), 44(a)Annex V.Part 2.86(a), 87Annex V.Part 1.42(e), 44(a)SME Art 1 2(a)SME Art 1 2(a), Annex V.Part 2.239ixAnnex V.Part 2.239ix00100020003000400050006000700010Opening balanceAnnex V.Part 2.3350020Increases during the periodAnnex V.Part 2.3360030Of which: impairments against interest accruedAnnex V.Part 2.3370040Decreases during the periodAnnex V.Part 2.3380050Of which: Reversal of impairment and negative changes in fair value due to credit riskAnnex V.Part 2.339(a)0060Of which: Release of allowances due to unwinding processAnnex V.Part 2.339(b)0070Closing balanceAnnex V.Part 2.335

24.3 Loans and advances: Write-offs of non-performing exposures during the period ReferencesGross Carrying amountNon-performing exposures – Loans and advancesof which: Householdsof which: Non-financial corporationsof which: Loans collateralised by residential immovable propertyOf which: SMEsOf which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 1.32, 34, Part 2.213-216, 223-239Annex V.Part 1.42(f), 44(a)Annex V.Part 2.86(a), 87Annex V.Part 1.42(e), 44(a)SME Art 1 2(a)SME Art 1 2(a), Annex V.Part 2.239ixAnnex V.Part 2.239ix00100020003000400050006000700010Write-offs during the periodAnnex V.Part 2.3400020Of which: Debt forgivenessAnnex V.Part 2.340 25. Collateral obtained by taking possession and execution processes 25.1 Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and outflows ReferencesDebt balance reductionCollateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E)Vintage: Recognition in balance sheet for Of which: Non-current assets held-for-sale <= 2 years> 2 years <= 5 years> 5 yearsGross carrying amountAccumulated impairment, accumulated negative changes in fair value due to credit riskValue at initial recognitionCarrying amountValue at initial recognitionCarrying amountValue at initial recognitionCarrying amountValue at initial recognitionCarrying amountValue at initial recognitionCarrying amountAnnex V.Part 1.34, Part 2.343Annex V.Part 2.69-71, 343Annex V.Part 2.175, 175i, 344Annex V.Part 1.27, Part 2.175Annex V.Part 2.175, 175i, 348Annex V.Part 1.27, Part 2.175, 348Annex V.Part 2.175, 175i, 348Annex V.Part 1.27, Part 2.175, 348Annex V.Part 2.175, 175i, 348Annex V.Part 1.27, Part 2.175, 348IFRS 5.6, Annex V.Part 2.175, 175i, 344IFRS 5.6, Annex V.Part 1.27, Part 2.1750010002000300040005000600070008000900100011001200010Opening balanceAnnex V.Part 2.341, 3420020Inflows of collateral during the periodAnnex V.Part 2.345, 3490030Inflow due to new collateral obtained by taking possessionAnnex V.Part 2.345, 3490040Inflow due to positive changes in valueAnnex V.Part 2.345, 3490050Outflows of collateral during the periodAnnex V.Part 2.346, 3490060Outflow for which cash was collectedAnnex V.Part 2.347, 3490070Cash collected net of costsAnnex V.Part 2.3470080Profits/(-) losses from sale of collateral obtained by taking possessionAnnex V.Part 2.3470090Outflow with replacement by financial instrumentAnnex V.Part 2.346, 3490100Financing grantedAnnex V.Part 2.3470110Outflow due to negative changes in valueAnnex V.Part 2.346, 3490120Closing balanceAnnex V.Part 2.341, 342 25.2 Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of collateral obtained ReferencesDebt balance reductionCollateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E)Vintage: Recognition in balance sheet for

Of which: Non-current assets held-for-sale <= 2 years> 2 years <= 5 years> 5 yearsGross carrying amountAccumulated impairment, accumulated negative changes in fair value due to credit riskValue at initial recognitionCarrying amountAccumulated negative changesValue at initial recognitionCarrying amountAccumulated negative changesValue at initial recognitionCarrying amountAccumulated negative changesValue at initial recognitionCarrying amountAccumulated negative changesValue at initial recognitionCarrying amountAnnex V.Part 1.34, Part 2.343Annex V.Part 2.69-71, 343Annex V.Part 2.175, 175i, 344Annex V.Part 1.27, Part 2.175Annex V.Part 2.175, 175iiAnnex V.Part 2.175, 175i, 348Annex V.Part 1.27, Part 2.175, 348Annex V.Part 2.175, 175ii, 348Annex V.Part 2.175, 175i, 348Annex V.Part 1.27, Part 2.175, 348Annex V.Part 2.175, 175ii, 348Annex V.Part 2.175, 175i, 348Annex V.Part 1.27, Part 2.175, 348Annex V.Part 2.175, 175ii, 348IFRS 5.6, Annex V.Part 2.175, 175iIFRS 5.6, Annex V.Part 1.27, Part 2.17500100020003000400050006000700080009001000110012001300140015001600010Residential immovable propertyAnnex V. Part 2.350, 3510020Of which: under construction / developmentAnnex V. Part 2.350, 352(a)0030Commercial immovable propertyAnnex V. Part 2.350, 3510040Of which: under construction / developmentAnnex V. Part 2.350, 352(a)0050Of which: Land related to commercial real estate corporations (excluding agricultural land)Annex V. Part 2.350, 352(b)0060Of which: Land with planning permission for developmentAnnex V. Part 2.350, 352(b)0070Of which: Land without planning permission for developmentAnnex V. Part 2.350, 352(b)0080Movable propertyAnnex V. Part 2.350, 3510090Equity and debt securitiesAnnex V. Part 2.350, 3510100OtherAnnex V. Part 2.350, 3510110TotalAnnex V. Part 2.350, 3510120Number of Collateral obtained by taking possessionAnnex V. Part 2.350, 351 25.3 Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) ReferencesDebt balance reductionCollateral obtained by taking possession classified as Property Plant and Equipment (PP&E)Gross carrying amountAccumulated impairment, accumulated negative changes in fair value due to credit riskValue at initial recognitionCarrying amountAccumulated negative changesAnnex V.Part 1.34, Part 2.343Annex V.Part 2.69-71, 343IAS 16.6, Annex V.Part 2.175, 175iIAS 16.6, Annex V.Part 1.27, Part 2.175IAS 16.6, Annex V.Part 2.175, 175ii001000200030004000500010TotalAnnex V.Part 2.341, 357-3580020Inflows due to new collateral obtained by taking possessionAnnex V.Part 2.341, 345, 357-358 26. Forbearance management and quality of forbearance ReferencesLoans and advances with forbearance measuresof which: Householdsof which: Non-financial corporationsof which: performingof which: having been granted forbearance measures during the periodof which: performingof which: having been granted forbearance measures during the periodof which: performingof which: having been granted forbearance measures during the periodAnnex V.Part 1.32, Part 2.240-245, 252-257Annex V.Part 2.256, 259-261Annex V.Part 2.361Annex V.Part 1.32, 42(f), 44(a), Part 2.240-245, 252-257Annex V.Part 2.256, 259-261Annex V.Part 2.361Annex V.Part 1.32, 42(e), 44(a), Part 2.240-245, 252-257Annex V.Part 2.256, 259-261Annex V.Part 2.361Annex V.Part 1.32, Part 2.240-245, 252-257Annex V.Part 2.256, 259-261Annex V.Part 2.361Annex V.Part 1.32, 42(f), 44(a), Part 2.240-245, 252-257Annex V.Part 2.256, 259-261Annex V.Part 2.361Annex V.Part 1.32, 42(e), 44(a), Part 2.240-245, 252-257Annex V.Part 2.256, 259-261Annex V.Part 2.3610010002000300040005000600070008000900010Number of instrumentsAnnex V. Part 2.320, 355, 3560020Gross carrying amount of instruments, for the following types of forbearance measures:Annex V.Part 1.34, Part 2.355, 357, 3590030Grace period/payment moratoriumAnnex V.Part 2.358(a)0040Interest rate reductionAnnex V.Part 2.358(b)0050Extension of maturity/termAnnex V.Part 2.358(c)0060Rescheduled paymentsAnnex V.Part 2.358(d)0070Debt forgivenessAnnex V.Part 2.358(e)0080Debt asset swapsAnnex V.Part 2.358(f)0090Other forbearance measuresAnnex V.Part 2.358(g)Gross carrying amount of instruments that were subject to forbearance measures at multiple points in timeAnnex V.Part 1.34, Part 2.355

0100Loans and advances having been forborne twiceAnnex V.Part 2.360(a)(i)0110Loans and advances having been forborne more than twiceAnnex V.Part 2.360(a)(i)0120Loans and advances to which forbearance measures were granted in addition to already existing forbearance measuresAnnex V.Part 2.360(a)(ii)0130Gross carrying amount of non-performing forborne loans and advances that failed to meet the non-performing exit criteriaAnnex V.Part 1.34, Part 2.232, 355, 360(b) 30. Off-balance sheet activities: Interests in unconsolidated structured entities 30.1 Interests in unconsolidated structured entities ReferencesCarrying amount of financial assets recognised in the balance sheetOf which: liquidity support drawnFair value of liquidity support drawnCarrying amount of financial liabilities recognised in the balance sheetNominal amount of off-balance sheet exposures given by the reporting institutionOf which: Nominal amount of loan commitments givenLosses incurred by the reporting institution in the current periodIFRS 12.29(a)IFRS 12.29(a); Annex V.Part 2.286IFRS 12.29(a)IFRS 12.B26(e)IFRS 12 B26(b); Annex V.Part 2.287010020030040050060080010Total 30.2 Breakdown of interests in unconsolidated structured entities by nature of the activities By nature of the activitiesReferencesCarrying amountSecuritisation Special Purpose EntitiesAsset managementOther activitiesCRR art 4(1)(66)Annex V.Part 2.285(a)IFRS 12.24, B6.(a)010020030010Selected financial assets recognised in the reporting institution’s balance sheetIFRS 12.29(a),(b)021of which: non-performingAnnex V.Part 2.213-239030DerivativesIFRS 9 Appendix A; Annex V.Part 2.272040Equity instrumentsIAS 32.11050Debt securitiesAnnex V.Part 1.31060Loans and advancesAnnex V.Part 1.32 070Selected equity and financial liabilites recognised in the reporting institution’s balance sheetIFRS 12.29(a),(b)080Equity instruments issuedIAS 32.11090DerivativesIFRS 9 Appendix A; Annex V.Part 2.272100DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36110Debt securities issuedAnnex V.Part 1.37Nominal amount120Off-balance sheet exposures given by the reporting institutionIFRS 12.B26.(e); CRR Annex I; Annex V.Part 2.102-105, 113-115, 118131of which: non-performingAnnex V.Part 2.117 31. Related parties 31.1 Related parties: amounts payable to and amounts receivable from References Annex V.Part 2.288-291 Outstanding balancesParent and entities with joint control or significant influenceSubsidiaries and other entities of the same groupAssociates and joint venturesKey management of the institution or its parentOther related partiesIAS 24.19(a),(b)IAS 24.19(c); Annex V.Part 2.289IAS 24.19(d),(e); Annex V.Part 2.289IAS 24.19(f)IAS 24.19(g)010020030040050010Selected financial assetsIAS 24.18(b)020Equity instrumentsIAS 32.11030Debt securitiesAnnex V.Part 1.31040Loans and advancesAnnex V.Part 1.32050of which: non-performingAnnex V. Part 2.213-239060Selected financial liabilitiesIAS 24.18(b)070DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36080Debt securities issuedAnnex V.Part 1.37090Nominal amount of loan commitments, financial guarantees and other commitments givenIAS 24.18(b); CRR Annex I; Annex V.Part 2.102-105, 113-115, 118100of which: non-performingIAS 24.18(b); Annex V. Part 2.117110Loan commitments, financial guarantees and other commitments receivedIAS 24.18(b); Annex V.Part 2.290120Notional amount of derivativesAnnex V.Part 2.133-135131Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposuresIAS 24.1(c); Annex V.Part 2.69-71, 291132Provisions on non-performing off-balance sheet exposuresAnnex V.Part 2.11, 106, 291

31.2 Related parties: expenses and income generated by transactions with References Annex V.Part 2.288-289, 292-293 Current periodParent and entities with joint control or significant influenceSubsidiaries and other entities of the same groupAssociates and joint venturesKey management of the institution or its parentOther related partiesIAS 24.19(a),(b)IAS 24.19(c)IAS 24.19(d),(e)IAS 24.19(f)IAS 24.19(g)010020030040050010Interest incomeIAS 24.18(a); Annex V.Part 2.31020Interest expensesIAS 24.18(a); IAS 1.97; Annex V.Part 2.31030Dividend incomeIAS 24.18(a); Annex V.Part 2.40040Fee and commission incomeIAS 24.18(a); IFRS 7.20(c)050Fee and commission expensesIAS 24.18(a); IFRS 7.20(c)060Gains or (-) losses on de-recognition of financial assets and liabilities not measured at fair value through profit or lossIAS 24.18(a)070Gains or (-) losses on de-recognition of other than financial assetsIAS 24.18(a); Annex V.Part 2.292080Impairment or (-) reversal of impairment on non-performing exposuresIAS 24.18(d); Annex V.Part 2.293090Provisions or (-) reversal of provisions on non-performing exposuresAnnex V. Part 2.50, 293 40. Group structure 40.1 Group structure: entity-by-entity LEI codeEntity codeEntity nameEntry dateShare capital of investeeEquity of investeeTotal assets of investeeProfit or (-) loss of investeeResidence of investeeSector of investeeNACE CodeAccumulated equity interest [%]Voting rights [%]Group structure [relationship]Accounting treatment [Accounting Group]Accounting treatment [CRR Group]Carrying amountAcquisition costGoodwill link to InvesteeFair value of investments for which there are published price quotationsAnnex V.Part 2.294-295, 296(a)Annex V.Part 2.294-295, 296(b)IFRS 12.12(a), 21(a)(i); Annex V.Part 2.294-295, 296(c)Annex V.Part 2.294-295, 296(d)Annex V.Part 2.294-295, 296(e)IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f)IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f)IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f)IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.294-295, 296(g)Annex V.Part 2.294-295, 296(h)Annex V.Part 2.294-295, 296(i)IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(j)IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(k)IFRS 12.10(a)(i); Annex V.Part 2.294-295, 296(l)IFRS 12.21(b); Annex V.Part 2.294-295, 296(m)CRR art 18; Annex V.Part 2.294-295, 296(n)Annex V.Part 2.294-295, 296(0)Annex V.Part 2.294-295, 296(p)Annex V.Part 2.294-295, 296(q)IFRS 12.21(b)(iii); Annex V.Part 2.294-295, 296(r)010020030040050060070080090095100110120130140150160170180190 40.2 Group structure: instrument-by-instrument Security codeEntity codeHolding company LEI codeHolding company codeHolding company nameAccumulated equity interest (%)Carrying amountAcquisition costAnnex V.Part 2.297(a)Annex V.Part 2.296(b), 297(c)Annex V.Part 2.297(b)Annex V.Part 2.297(b)Annex V.Part 2.296(j), 297(c)Annex V.Part 2.296(o), 297(c)Annex V.Part 2.296(p), 297(c)010020030040050060070080 41. Fair value 41.1 Fair value hierarchy: financial instruments at amortised cost References

Annex V.Part 2.298 Fair value IFRS 7.25-26 Fair value hierarchy IFRS 13.97, 93(b) Level 1 IFRS 13.76 Level 2 IFRS 13.81 Level 3 IFRS 13.86 010020030040ASSETS015Financial assets at amortised costIFRS 7.8(f); IFRS 9.4.1.2016Debt securitiesAnnex V.Part 1.31017Loans and advancesAnnex V.Part 1.32LIABILITIES070Financial liabilities measured at amortised costIFRS 7.8(g); IFRS 9.4.2.1080DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36090Debt securities issuedAnnex V.Part 1.37100Other financial liabilitiesAnnex V.Part 1.38-41 41.2 Use of the Fair Value Option References Carrying amount Annex V.Part 1.27 Accounting mismatchManaged on a fair value basisHybrid contractsManaged for credit riskIFRS 9.B4.1.29IFRS 9.B4.1.33IFRS 9.4.3.6; IFRS 9.4.3.7; Annex V.Part 2.300IFRS 9.6.7; IFRS 7.8(a)(e); Annex V.Part 2.301010020030040ASSETS010Financial assets designated at fair value through profit or lossIFRS 7.8(a)(i); IFRS 9.4.1.5030Debt securitiesAnnex V.Part 1.31040Loans and advancesAnnex V.Part 1.32LIABILITIES050Financial liabilities designated at fair value through profit or lossIFRS 7.8 (e)(i); IFRS 9.4.2.2060DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36070Debt securities issuedAnnex V.Part 1.37080Other financial liabilitiesAnnex V.Part 1.38-41 42. Tangible and intangible assets: carrying amount by measurement method References Annex V.Part 2.302 Carrying amountof which: right-of-use assetsIFRS 16.47(a), 53(j), Annex V.Part 2.303i010020010Property plant and equipmentIAS 16.6; IAS 16.29; IAS 1.54(a)020Revaluation modelIAS 16.31, 73(a),(d)030Cost modelIAS 16.30, 73(a),(d)040Investment propertyIAS 40.5, 30; IAS 1.54(b)050Fair value modelIAS 40.33-55, 76060Cost modelIAS 40.56, 79(c)070Other intangible assetsIAS 38.8, 118, 122 ; Annex V.Part 2.303080Revaluation modelIAS 38.75-87, 124(a)(ii)090Cost modelIAS 38.74 43. Provisions References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27 Pensions and other post employment defined benefit obligationsOther long term employee benefitsRestructuringPending legal issues and tax litigationOther commitments and guarantees given measured under IAS 37 and guarantees given measured under IFRS 4Other provisionsIAS 19.63; IAS 1.78(d); Annex V.Part 2.9IAS 19.153; IAS 1.78(d); Annex V.Part 2.10IAS 37.70-83IAS 37.14IAS 37; IFRS 4; Annex V. Part 2.304-305IAS 37.14010020030040055060010Opening balance [carrying amount at the beginning of the period]IAS 37.84 (a)020Additions, including increases in existing provisionsIAS 37.84 (b)030(-) Amounts usedIAS 37.84 (c)040(-) Unused amounts reversed during the periodIAS 37.84 (d)050Increase in the discounted amount [passage of time] and effect of any change in the discount rateIAS 37.84 (e)060Other movements070Closing balance [carrying amount at the end of the period]IAS 37.84 (a) 44. Defined benefit plans and employee benefits 44.1 Components of net defined benefit plan assets and liabilities ReferencesAmountAnnex V.Part 2.306-307010010Fair value of defined benefit plan assetsIAS 19.140(a)(i), 142020Of which: Financial instruments issued by the institutionIAS 19.143030Equity instrumentsIAS 19.142(b)040Debt instrumentsIAS 19.142(c)050Real estateIAS 19.142(d)060Other defined benefit plan assets070Present value of defined benefit obligationsIAS 19.140(a)(ii)080Effect of the asset ceilingIAS 19.140(a)(iii)090Net defined benefit assets [Carrying amount]IAS 19.63; Annex V.Part 2.308100Provisions for pensions and other post-employment defined benefit obligations [Carrying amount]IAS 19.63, IAS 1.78(d); Annex V.Part 2.9110Fair value of any right to reimbursement recognised as an assetIAS 19.140(b)

44.2 Movements in defined benefit obligations ReferencesDefined benefit obligationsAnnex V.Part 2.306, 309010010Opening balance [present value]IAS 19.140(a)(ii)020Current service costIAS 19.141(a)030Interest costIAS 19.141(b)040Contributions paidIAS 19.141(f)050Actuarial (-) gains or losses from changes in demographic assumptionsIAS 19.141(c)(ii)060Actuarial (-) gains or losses from changes in financial assumptionsIAS 19.141(c)(iii)070Foreign currency exchange increase or (-) decreaseIAS 19.141(e)080Benefits paidIAS 19.141(g)090Past service cost, including gains and losses arising from settlementsIAS 19.141(d)100Increase or (-) decrease through business combinations and disposalsIAS 19.141(h)110Other increases or (-) decreases120Closing balance [present value]IAS 19.140(a)(ii); Annex V.Part 2.310 44.3 Staff expenses by type of benefits ReferencesCurrent period010010Pension and similar expensesAnnex V.Part 2.311(a)020Share based paymentsIFRS 2.44; Annex V.Part 2.311(b)030Wages and salariesAnnex V.Part 2.311(c)040Social security contributionsAnnex V.Part 2.311(d)050Severance paymentsIAS 19.8, Annex V.Part 2.311(e)060Other types of staff expensesAnnex V.Part 2.311(f)070STAFF EXPENSES 44.4 Staff expenses by category of remuneration and category of staff ReferencesCurrent periodTotal staffof which: Identified staffof which: Management body (in its management function) and senior managementof which: Management body (in its supervisory function)Annex V.Part 2.311i (a)Annex V.Part 2.311iAnnex V.Part 2.311i (b)00100020003000400010Fixed remunerationAnnex V.Part 2.311i (a)0020Variable remunerationAnnex V.Part 2.311i (a)0030Staff expenses other than remuneration0040STAFF EXPENSES0050NUMBER OF STAFFAnnex V.Part 2.311ii 45. Breakdown of selected items of statement of profit or loss 45.1 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio ReferencesCurrent periodChanges in fair value due to credit riskAnnex V.Part 2.312010020010Financial assets designated at fair value through profit or lossIFRS 7.20(a)(i); IFRS 9.4.1.5020Financial liabilities designated at fair value through profit or lossIFRS 7.20(a)(i); IFRS 9.4.2.2030GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSSIFRS 7.20(a)(i) 45.2 Gains or losses on derecognition of non-financial assets ReferencesCurrent periodAnnex V.Part 2.313010010Property, Plant and EquipmentIAS 16.68, 71020Investment propertyIAS 40.69; IAS 1.34(a), 98(d)030Intangible assetsIAS 38.113-115A; IAS 1.34(a)040Other assetsIAS 1.34 (a)050GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETSIAS 1.34 45.3 Other operating income and expenses ReferencesIncomeExpenses010020010Changes in fair value in tangible assets measured using the fair value modelIAS 40.76(d); Annex V.Part 2.314020Investment propertyIAS 40.75(f); Annex V.Part 2.314030Operating Leases other than investment propertyIFRS 16.81,82; Annex V.Part 2.315040OtherAnnex V.Part 2.316050OTHER OPERATING INCOME OR EXPENSESAnnex V.Part 2.314-316

1. Statement of changes in equity Sources of equity changesReferencesCapitalShare premiumEquity instruments issued other than CapitalOther equityAccumulated other comprehensive incomeRetained earningsRevaluation reservesOther reserves(-) Treasury sharesProfit or (-) loss atributable to owners of the parent(-) Interim dividendsMinority interestsTotalAccumulated Other Comprehensive IncomeOther itemsIAS 1.106, 54(r)IAS 1.106, 78(e)IAS 1.106, Annex V.Part 2.18-19IAS 1.106; Annex V.Part 2.20IAS 1.106CRR art 4(1)(123)IFRS 1.30 D5-D8IAS 1.106, 54(c)IAS 1.106; IAS 32.34, 33; Annex V.Part 2.30IAS 1.106(a)IAS 1.106; IAS 32.35IAS 1.54(q), 106(a)IAS 1.54(q), 106(a)IAS 1.9(c), IG6010020030040050060070080090100110120130140010Opening balance [before restatement]020Effects of corrections of errorsIAS 1.106.(b); IAS 8.42030Effects of changes in accounting policiesIAS 1.106.(b); IAS 1.IG6; IAS 8.22040Opening balance [current period]050Issuance of ordinary sharesIAS 1.106.(d).(iii)060Issuance of preference sharesIAS 1.106.(d).(iii)070Issuance of other equity instrumentsIAS 1.106.(d).(iii)080Exercise or expiration of other equity instruments issuedIAS 1.106.(d).(iii)090Conversion of debt to equityIAS 1.106.(d).(iii)100Capital reductionIAS 1.106.(d).(iii)110DividendsIAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6120Purchase of treasury sharesIAS 1.106.(d).(iii); IAS 32.33 130Sale or cancellation of treasury sharesIAS 1.106.(d).(iii); IAS 32.33140Reclassification of financial instruments from equity to liabilityIAS 1.106.(d).(iii)150Reclassification of financial instruments from liability to equityIAS 1.106.(d).(iii)160Transfers among components of equityIAS 1.106.(d).(iii); Annex V.Part 2.318170Equity increase or (-) decrease resulting from business combinationsIAS 1.106.(d).(iii)180Share based paymentsIAS 1.106.(d).(iii); IFRS 2.10190Other increase or (-) decrease in equityIAS 1.106.(d)200Total comprehensive income for the yearIAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6210Closing balance [current period]
2. Loans and advances: Average duration and recovery periods ReferencesTOTALof which: Householdsof which: Non-financial corporationsof which: loans collateralised by residential immovable propertyof which: SMEsOf which: Commercial Real Estate (CRE) loans to NFCs other than SMEsof which: Commercial Real Estate (CRE) loansAnnex V.Part 1.42(f)Annex V.Part 2.86(a), 87Annex V.Part 1.42(e)SME Art 1 2(a)SME Art 1 2(a), Annex V.Part 2.239ixAnnex V.Part 2.239ix00100020003000400050006000700010Non-performing loans and advances: weighted average time since past due date (in years)Annex V.Part 2.362, 3630020Net cumulated recoveries from litigation procedures concluded during the periodAnnex V.Part 2.362, 364(a)0030Gross carrying amount reduction from litigation procedures concluded during the periodAnnex V.Part 2.362, 364(b)0040Average duration of litigation procedures concluded in the period (in years)Annex V.Part 2.362, 364(c)

Annex

ANNEX IV

Annex

ANNEX IV REPORTING FINANCIAL INFORMATION ACCORDING TO NATIONAL ACCOUNTING FRAMEWORKS

FINREP TEMPLATES FOR GAAPTEMPLATE NUMBERTEMPLATE CODENAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATEPART 1 [QUARTERLY FREQUENCY]Balance Sheet Statement [Statement of Financial Position]1.1F 01.01Balance Sheet Statement: assets1.2F 01.02Balance Sheet Statement: liabilities1.3F 01.03Balance Sheet Statement: equity2F 02.00Statement of profit or loss3F 03.00Statement of comprehensive incomeBreakdown of financial assets by instrument and by counterparty sector4.1F 04.01Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading4.2.1F 04.02.1Breakdown of financial assets by instrument and by counterparty sector: non-trading financial assets mandatorily at fair value through profit or loss4.2.2F 04.02.2Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss4.3.1F 04.03.1Breakdown of financial assets by instrument and by counterparty sector: financial assets at fair value through other comprehensive income4.4.1F 04.04.1Breakdown of financial assets by instrument and by counterparty sector: financial assets at amortised cost4.5F 04.05Subordinated financial assets4.6F 04.06Breakdown of financial assets by instrument and by counterparty sector: trading financial assets4.7F 04.07Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at fair value through profit or loss4.8F 04.08Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at fair value to equity4.9F 04.09Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at a cost-based method4.10F 04.10Breakdown of financial assets by instrument and by counterparty sector: other non-trading non-derivative financial assets5.1F 05.01Breakdown of non-trading loans and advances by product6.1F 06.01Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codesFinancial assets subject to impairment that are past due7.1F 07.01Financial assets subject to impairment that are past due7.2F 07.02Financial assets subject to impairment that are past due under national GAAPBreakdown of financial liabilities8.1F 08.01Breakdown of financial liabilities by product and by counterparty sector8.2F 08.02Subordinated financial liabilitiesLoan commitments, financial guarantees and other commitments 9.1F 09.01Off-balance sheet exposures under national GAAP: loan commitments, financial guarantees and other commitments given9.1.1F 09.01.1Off-balance sheet exposures: loan commitments, financial guarantees and other commitments given9.2F 09.02Loan commitments, financial guarantees and other commitments received10F 10.00Derivatives – Trading and economic hedgesHedge accounting11.1F 11.01Derivatives – Hedge accounting: Breakdown by type of risk and type of hedge11.2F 11.02Derivatives – Hedge accounting under national GAAP: Breakdown by type of risk11.3F 11.03Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge11.3.1F 11.03.1Non-derivative hedging instruments under national GAAP: breakdown by accounting portfolio11.4F 11.04Hedged items in fair value hedgesMovements in allowances and provisions for credit losses12F 12.00Movements in allowances for credit losses and impairment of equity instruments under national GAAP12.1F 12.01Movements in allowances and provisions for credit losses12.2F 12.02Transfers between impairment stages (gross basis presentation)Collateral and guarantees received13.1F 13.01Breakdown of collateral and guarantees by loans and advances other than held for trading13.2.1F 13.02.1Collateral obtained by taking possession during the period [held at the reference date]13.3.1F 13.03.1Collateral obtained by taking possession accumulated14F 14.00Fair value hierarchy: financial instruments at fair value15F 15.00Derecognition and financial liabilities associated with transferred financial assetsBreakdown of selected statement of profit or loss items16.1F 16.01Interest income and expenses by instrument and counterparty sector16.2F 16.02Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument16.3F 16.03Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument16.4F 16.04Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk16.4.1F 16.04.1Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument16.5F 16.05Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument16.6F 16.06Gains or losses from hedge accounting16.7F 16.07Impairment on non-financial assets16.8F 16.08Other administrative expensesReconciliation between accounting and CRR scope of consolidation: Balance Sheet

17.1F 17.01Reconciliation between accounting and CRR scope of consolidation: Assets17.2F 17.02Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures – loan commitments, financial guarantees and other commitments given17.3F 17.03Reconciliation between accounting and CRR scope of consolidation: LiabilitiesInformation on performing and non-performing exposures18F 18.00Information on performing and non-performing exposures18.1F 18.01Inflows and outflows of non-performing exposures – loans and advances by counterparty sector18.2F 18.02Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property19F 19.00Forborne exposuresPART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING]Geographical breakdown20.1F 20.01Geographical breakdown of assets by location of the activities20.2F 20.02Geographical breakdown of liabilities by location of the activities20.3F 20.03Geographical breakdown of main statement of profit or loss items by location of the activities20.4F 20.04Geographical breakdown of assets by residence of the counterparty20.5F 20.05Geographical breakdown of off-balance sheet exposures by residence of the counterparty20.6F 20.06Geographical breakdown of liabilities by residence of the counterparty20.7.1F 20.07.1Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes21F 21.00Tangible and intangible assets: assets subject to operating leaseAsset management, custody and other service functions22.1F 22.01Fee and commission income and expenses by activity22.2F 22.02Assets involved in the services providedLoans and advances: additional information23.1F 23.01Loans and advances: Number of instruments23.2F 23.02Loans and advances: Additional information on gross carrying amounts23.3F 23.03Loans and advances collateralised by immovable property: Breakdown by LTV ratios23.4F 23.04Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to credit risk23.5F 23.05Loans and advances: Collateral received and financial guarantees received23.6F 23.06Loans and advances: Accumulated partial write-offsLoans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year24.1F 24.01Loans and advances: Inflows and outflows of non-performing exposures24.2F 24.02Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures24.3F 24.03Loans and advances: Inflow of write-offs of non-performing exposuresCollateral obtained by taking possession and execution processes 25.1F 25.01Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and Outflows25.2F 25.02Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of collateral obtained25.3F 25.03Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)26F 26.00Forbearance management and quality of forbearancePART 3 [SEMI-ANNUAL]Off-balance sheet activities: interests in unconsolidated structured entities30.1F 30.01Interests in unconsolidated structured entities30.2F 30.02Breakdown of interests in unconsolidated structured entities by nature of the activitiesRelated parties31.1F 31.01Related parties: amounts payable to and amounts receivable from31.2F 31.02Related parties: expenses and income generated by transactions withPART 4 [ANNUAL]Group structure40.1F 40.01Group structure: entity-by-entity40.2F 40.02Group structure: instrument-by-instrumentFair value41.1F 41.01Fair value hierarchy: financial instruments at amortised cost41.2F 41.02Use of the Fair Value Option42F 42.00Tangible and intangible assets: carrying amount by measurement method43F 43.00ProvisionsDefined benefit plans and employee benefits44.1F 44.01Components of net defined benefit plan assets and liabilities44.2F 44.02Movements in defined benefit plan obligations44.3F 44.03Staff expenses by type of benefits44.4F 44.04Staff expenses by structure and category of staffBreakdown of selected items of statement of profit or loss45.1F 45.01Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio45.2F 45.02Gains or losses on derecognition of non-financial assets other than held for sale and investments in subsidiaries, joint ventures and associates45.3F 45.03Other operating income and expenses46F 46.00Statement of changes in equity47F 47.00Average duration and recovery periodsCOLOUR CODE IN TEMPLATES:Parts for National GAAP reportersCell not to be submitted for reporting institutions subject to the relevant accounting framework

1. Balance Sheet Statement [Statement of Financial Position] 1.1 Assets References National GAAP based on BADReferences National GAAP compatible IFRSBreakdown in tableCarrying amountAnnex V.Part 1.27-28010010Cash, cash balances at central banks and other demand depositsBAD art 4.Assets(1)IAS 1.54 (i)020Cash on handAnnex V.Part 2.1Annex V.Part 2.1030Cash balances at central banksBAD art 13(2); Annex V.Part 2.2Annex V.Part 2.2040Other demand depositsAnnex V.Part 2.3Annex V.Part 2.35050Financial assets held for tradingAccounting Directive art 8(1)(a), (5); IAS 39.9IFRS 9.Appendix A060DerivativesCRR Annex IIIFRS 9.Appendix A10070Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.114080Debt securitiesAnnex V.Part 1.24, 26Annex V.Part 1.314090Loans and advancesAnnex V.Part 1.24, 27Annex V.Part 1.324091Trading financial assetsBAD Article 32-33; Annex V.Part 1.17092DerivativesCRR Annex II; Annex V.Part 1.17, 2710093Equity instrumentsECB/2013/33 Annex 2.Part 2.4-54094Debt securitiesAnnex V.Part 1.314095Loans and advancesAnnex V.Part 1.324096Non-trading financial assets mandatorily at fair value through profit or lossIFRS 7.8(a)(ii); IFRS 9.4.1.44097Equity instrumentsIAS 32.114098Debt securitiesAnnex V.Part 1.314099Loans and advancesAnnex V.Part 1.324100Financial assets designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6)IFRS 7.8(a)(i); IFRS 9.4.1.54110Equity instrumentsIAS 32.11;ECB/2013/33 Annex 2.Part 2.4-54120Debt securitiesAnnex V.Part 1.31Annex V.Part 1.314130Loans and advancesAnnex V.Part 1.32Annex V.Part 1.324141Financial assets at fair value through other comprehensive incomeIFRS 7.8(h); IFRS 9.4.1.2A4142Equity instrumentsIAS 32.114 143Debt securitiesAnnex V.Part 1.314144Loans and advancesAnnex V.Part 1.324171Non-trading non-derivative financial assets measured at fair value through profit or lossBAD art 36(2)4172Equity instrumentsECB/2013/33 Annex 2.Part 2.4-54173Debt securitiesAnnex V.Part 1.314174Loans and advancesAccounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.324175Non-trading non-derivative financial assets measured at fair value to equityAccounting Directive art 8(1)(a), (8)4176Equity instrumentsECB/2013/33 Annex 2.Part 2.4-54177Debt securitiesAnnex V.Part 1.314178Loans and advancesAccounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.324181Financial assets at amortised costIFRS 7.8(f); IFRS 9.4.1.24182Debt securitiesAnnex V.Part 1.314183Loans and advancesAnnex V.Part 1.324231Non-trading non-derivative financial assets measured at a cost-based methodBAD art 35;Accounting Directive Article 6(1)(i) and Article 8(2); Annex V.Part1.18, 194390Equity instrumentsECB/2013/33 Annex 2.Part 2.4-54232Debt securitiesAnnex V.Part 1.314233Loans and advancesAnnex V.Part 1.324234Other non-trading non-derivative financial assetsBAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.204235Equity instrumentsECB/2013/33 Annex 2.Part 2.4-54236Debt securitiesAnnex V.Part 1.314237Loans and advancesAnnex V.Part 1.324240Derivatives – Hedge accountingAccounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22IFRS 9.6.2.1; Annex V.Part 1.2211250Fair value changes of the hedged items in portfolio hedge of interest rate riskAccounting Directive art 8(5), (6); IAS 39.89A (a)IAS 39.89A(a); IFRS 9.6.5.8

260Investments in subsidiaries, joint ventures and associatesBAD art 4.Assets(7)-(8); Accounting Directive art 2(2); Annex V.Part 1.21, Part 2.4IAS 1.54(e); Annex V.Part 1.21, Part 2.440270Tangible assetsBAD art 4.Assets(10)280Property, Plant and EquipmentIAS 16.6; IAS 1.54(a); IFRS 16.47(a)21, 42290Investment propertyIAS 40.5; IAS 1.54(b); IFRS 16.4821, 42300Intangible assetsBAD art 4.Assets(9); CRR art 4(1)(115)IAS 1.54(c); CRR art 4(1)(115)310GoodwillBAD art 4.Assets(9); CRR art 4(1)(113)IFRS 3.B67(d); CRR art 4(1)(113)320Other intangible assetsBAD art 4.Assets(9)IAS 38.8,118; IFRS 16.47 (a)21, 42330Tax assetsIAS 1.54(n-o)340Current tax assetsIAS 1.54(n); IAS 12.5350Deferred tax assetsAccounting Directive art 17(1)(f); CRR art 4(1)(106)IAS 1.54(o); IAS 12.5; CRR art 4(1)(106)360Other assetsAnnex V.Part 2.5, 6Annex V.Part 2.5370Non-current assets and disposal groups classified as held for saleIAS 1.54(j); IFRS 5.38, Annex V.Part 2.7375(-) Haircuts for trading assets at fair valueAnnex V Part 1.29380TOTAL ASSETSBAD art 4 AssetsIAS 1.9(a), IG 6 1.2 Liabilities References National GAAP based on BADReferences National GAAP compatible IFRSBreakdown in tableCarrying amountAnnex V.Part 1.27-28010010Financial liabilities held for tradingIFRS 7.8 (e) (ii); IFRS 9.BA.68020DerivativesIFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)10030Short positionsIFRS 9.BA7(b)8040DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.368050Debt securities issuedAnnex V.Part 1.378060Other financial liabilitiesAnnex V.Part 1.38-418 061Trading financial liabilitiesAccounting Directive art 8(1)(a),(3),(6)8062DerivativesCRR Annex II; Annex V.Part 1.2510063Short positions8064DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.368065Debt securities issuedAnnex V.Part 1.378066Other financial liabilitiesAnnex V.Part 1.38-418070Financial liabilities designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6); IAS 39.9IFRS 7.8 (e)(i); IFRS 9.4.2.28080DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.368090Debt securities issuedAnnex V.Part 1.37Annex V.Part 1.378100Other financial liabilitiesAnnex V.Part 1.38-41Annex V.Part 1.38-418110Financial liabilities measured at amortised costAccounting Directive art 8(3), (6); IAS 39.47IFRS 7.8(g); IFRS 9.4.2.18120DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.368130Debt securities issuedAnnex V.Part 1.31Annex V.Part 1.378140Other financial liabilitiesAnnex V.Part 1.32-34Annex V.Part 1.38-418141Non-trading non-derivative financial liabilities measured at a cost-based methodAccounting Directive art 8(3)8142DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.368143Debt securities issuedAnnex V.Part 1.378144Other financial liabilitiesAnnex V.Part 1.38-418150Derivatives – Hedge accountingAccounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.26IFRS 9.6.2.1; Annex V.Part 1.2611160Fair value changes of the hedged items in portfolio hedge of interest rate riskAccounting Directive art 8(5), (6); Annex V.Part 2.8; IAS 39.89A(b)IAS 39.89A(b), IFRS 9.6.5.8170ProvisionsBAD art 4.Liabilities(6)IAS 37.10; IAS 1.54(l)43175Funds for general banking risks [if presented within liabilities]BAD art 38.1; CRR art 4(112); Annex V.Part 2.15180Pensions and other post employment defined benefit obligationsAnnex V.Part 2.9IAS 19.63; IAS 1.78(d); Annex V.Part 2.943190Other long term employee benefitsAnnex V.Part 2.10IAS 19.153; IAS 1.78(d); Annex V.Part 2.1043

200RestructuringIAS 37.71, 84(a)43210Pending legal issues and tax litigationIAS 37.Appendix C. Examples 6 and 1043220Commitments and guarantees givenBAD Article 4 Liabilities (6)(c), Off balance sheet items, Article 27(11), Article 28(8), Article 33IFRS 9.4.2.1(c),(d), 9.5.5, 9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.11 9 12 43 230Other provisionsBAD Article 4 Liabilities (6)(c), Off balance sheet itemsIAS 37.1443240Tax liabilitiesIAS 1.54(n-o)250Current tax liabilitiesIAS 1.54(n); IAS 12.5260Deferred tax liabilitiesAccounting Directive art 17(1)(f); CRR art 4(1)(108)IAS 1.54(o); IAS 12.5; CRR art 4(1)(108)270Share capital repayable on demandIAS 32 IE 33; IFRIC 2; Annex V.Part 2.12280Other liabilitiesAnnex V.Part 2.13Annex V.Part 2.13290Liabilities included in disposal groups classified as held for saleIAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14295Haircuts for trading liabilities at fair valueAnnex V Part 1.29300TOTAL LIABILITIESIAS 1.9(b);IG 6 1.3 Equity References National GAAP based on BADReferences National GAAP compatible IFRSBreakdown in tableCarrying amount010010CapitalBAD art 4.Liabilities(9), BAD art 22IAS 1.54(r), BAD art 2246020Paid up capitalBAD art 4.Liabilities(9)IAS 1.78(e)030Unpaid capital which has been called upBAD art 4.Liabilities(9); Annex V.Part 2.17Annex V.Part 2.14040Share premiumBAD art 4.Liabilities(10); CRR art 4(1)(124)IAS 1.78(e); CRR art 4(1)(124)46050Equity instruments issued other than capitalAnnex V.Part 2.18-19Annex V.Part 2.18-1946 060Equity component of compound financial instrumentsAccounting Directive art 8(6); Annex V.Part 2.18IAS 32.28-29; Annex V.Part 2.18070Other equity instruments issuedAnnex V.Part 2.19Annex V.Part 2.19080Other equityAnnex V.Part 2.20IFRS 2.10; Annex V.Part 2.20090Accumulated other comprehensive incomeCRR art 4(1)(100)CRR art 4(1)(100)46095Items that will not be reclassified to profit or lossIAS 1.82A(a)100Tangible assetsIAS 16.39-41110Intangible assetsIAS 38.85-87120Actuarial gains or (-) losses on defined benefit pension plansIAS 1.7, IG6; IAS 19.120(c)122Non-current assets and disposal groups classified as held for saleIFRS 5.38, IG Example 12124Share of other recognised income and expense of investments in subsidaries, joint ventures and associatesIAS 1.IG6; IAS 28.10320Fair value changes of equity instruments measured at fair value through other comprehensive incomeIAS 1.7(d); IFRS 9 5.7.5, B5.7.1; Annex V.Part 2.21330Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive incomeIAS 1.7(e);IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.22340Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item]IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.22350Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument]IAS 1.7(e);IFRS 9.5.7.5;.6.5.8(a);Annex V.Part 2.57360Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit riskIAS 1.7(f); IFRS 9 5.7.7;Annex V.Part 2.23128Items that may be reclassified to profit or lossIAS 1.82A(a) (ii)130Hedge of net investments in foreign operations [effective portion]Accounting Directive art 8(1)(a), (6)(8)IFRS9.6.5.13(a); IFRS7.24B(b)(ii)(iii); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.24140Foreign currency translationBAD art 39(6)IAS 21.52(b); IAS 21.32, 38-49

150Hedging derivatives. Cash flow hedges reserve [effective portion]Accounting Directive art 8(1)(a), (6)(8)IAS 1.7 (e); IFRS 7.24B(b)(ii)(iii); IFRS 7.24C(b)(i);.24E; IFRS 9.6.5.11(b); Annex V.Part 2.25155Fair value changes of debt instruments measured at fair value through other comprehensive incomeIAS 1.7(da); IFRS 9.4.1.2A; 5.7.10; Annex V.Part 2.26165Hedging instruments [not designated elements]IAS 1.7(g)(h); IFRS 9.6.5.15,.6.5.16; IFRS 7.24E (b)(c); Annex V.Part 2.60170Non-current assets and disposal groups classified as held for saleIFRS 5.38, IG Example 12180Share of other recognised income and expense of investments in subsidaries, joint ventures and associatesIAS 1.IG6; IAS 28.10190Retained earningsBAD art 4.Liabilities(13); CRR art 4(1)(123)CRR art 4(1)(123)200Revaluation reservesBAD art 4.Liabilities(12)IFRS 1.30, D5-D8; Annex V.Part 2.28201Tangible assetsAccounting Directive art 7(1)202Equity instrumentsAccounting Directive art 7(1)203Debt securitiesAccounting Directive art 7(1)204OtherAccounting Directive art 7(1)205Fair value reservesAccounting Directive art 8(1)(a)206Hedge of net investments in foreign operationsAccounting Directive art 8(1)(a), (8)(b)207Hedging derivatives. Cash flow hedgesAccounting Directive art 8(1)(a), (8)(a); CRR article 30(a)208Hedging derivatives. Other hedgesAccounting Directive art 8(1)(a), (8)(a)209Non-trading non-derivative financial assets measured at fair value to equityAccounting Directive art 8(1)(a), 8(2)210Other reservesBAD art 4 Liabilities(11)-(13)IAS 1.54; IAS 1.78(e)215Funds for general banking risks [if presented within equity]BAD art 38.1; CRR art 4(112); Annex V.Part 2.15220Reserves or accumulated losses of investments in subsidaries, joint ventures and associates accounted for using the equity methodAccounting Directive art 9(7)(a); art 27; Annex V.Part 2.29IAS 28.11; Annex V.Part 2.29230OtherAnnex V.Part 2.29Annex V.Part 2.29 235First consolidation differencesAccounting Directive art 24(3)(c)240(-) Treasury sharesAccounting Directive Annex III Annex III Assets D(III)(2); BAD art 4 Assets (12); Annex V.Part 2.30IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.3046250Profit or loss attributable to owners of the parentBAD art 4.Liabilities(14)IAS 1.81B (b)(ii)2260(-) Interim dividendsCRR Article 26(2b)IAS 32.35270Minority interests [Non-controlling interests]Accounting Directive art 24(4)IAS 1.54(q)280Accumulated Other Comprehensive IncomeCRR art 4(1)(100)CRR art 4(1)(100)46290Other items46300TOTAL EQUITYIAS 1.9(c), IG 646310TOTAL EQUITY AND TOTAL LIABILITIESBAD art 4.LiabilitiesIAS 1.IG6 2. Statement of profit or loss References National GAAP based on BADReferences National GAAP compatible IFRSBreakdown in tableCurrent period010010Interest incomeBAD art 27.Vertical layout(1); Annex V.Part 2.31IAS 1.97; Annex V.Part 2.3116020Financial assets held for tradingIFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34025Non-trading financial assets mandatorily at fair value through profit or lossIFRS 7.20(a)(i), B5(e), IFRS 9.5.7.1030Financial assets designated at fair value through profit or lossIFRS 7.20(a)(i), B5(e)041Financial assets at fair value through other comprehensive incomeIFRS 7.20(b); IFRS 9.5.7.10-11; IFRS 9.4.1.2A051Financial assets at amortised costIFRS 7.20(b);IFRS 9.4.1.2; IFRS 9.5.7.2070Derivatives – Hedge accounting, interest rate riskIFRS 9.Appendix A; .B6.6.16; Annex V.Part 2.35080Other assetsAnnex V.Part 2.36085Interest income on liabilitiesAnnex V.Part 2.37IFRS 9.5.7.1, Annex V.Part 2.37

090(Interest expenses)BAD art 27.Vertical layout(2); Annex V.Part 2.31IAS 1.97; Annex V.Part 2.3116100(Financial liabilities held for trading)IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34110(Financial liabilities designated at fair value through profit or loss)IFRS 7.20(a)(i), B5(e)120(Financial liabilities measured at amortised cost)IFRS 7.20(b); IFRS 9.5.7.2130(Derivatives – Hedge accounting, interest rate risk)IAS 39.9; Annex V.Part 2.35140(Other liabilities)Annex V.Part 2.38145(Interest expense on assets)Annex V.Part 2.39IFRS 9.5.7.1, Annex V.Part 2.39150(Expenses on share capital repayable on demand)IFRIC 2.11160Dividend incomeBAD art 27.Vertical layout(3); Annex V.Part 2.40Annex V.Part 2.4031170Financial assets held for tradingIFRS 7.20(a)(i), B5(e); Annex V.Part 2.40175Non-trading financial assets mandatorily at fair value through profit or lossIFRS 7.20(a)(i), B5(e),IFRS 9.5.7.1A; Annex V.Part 2.40191Financial assets at fair value through other comprehensive incomeIFRS 7.20(a)(ii); IFRS 9.4.1.2A; IFRS 9.5.7.1A; Annex V.Part 2.41192Investments in subsidiaries, joint ventures and associates accounted for using other than equity methodAnnex V Part 2 .42Annex V Part 2 .42200Fee and commission incomeBAD art 27.Vertical layout(4)IFRS 7.20(c)22210(Fee and commission expenses)BAD art 27.Vertical layout(5)IFRS 7.20(c)22220Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, netBAD art 27.Vertical layout(6)Annex V.Part 2.4516231Financial assets at fair value through other comprehensive incomeIFRS 9.4.12A; IFRS 9.5.7.10-11241Financial assets at amortised costIFRS 7.20(a)(v);IFRS 9.4.1.2; IFRS 9.5.7.2260Financial liabilities measured at amortised costIFRS 7.20(a)(v); IFRS 9.5.7.2 270Other280Gains or (-) losses on financial assets and liabilities held for trading, netBAD art 27.Vertical layout(6)IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 4616285Gains or (-) losses on trading financial assets and liabilities, netBAD art 27.Vertical layout(6)16287Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, netIFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.46290Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, netIFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.4416, 45295Gains or (-) losses on non-trading financial assets and liabilities, netBAD art 27.Vertical layout(6)16300Gains or (-) losses from hedge accounting, netAccounting Directive art 8(1)(a), (6), (8)Annex V.Part 2.4716310Exchange differences [gain or (-) loss], netBAD art 39IAS 21.28, 52 (a)320Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, netBAD art 27.Vertical layout(13)-(14); Annex V Part 2.56330Gains or (-) losses on derecognition of non-financial assets, netAnnex V. Part 2.48IAS 1.34; Annex V. Part 2.4845340Other operating incomeBAD art 27.Vertical layout(7); Annex V.Part 2.314-316Annex V.Part 2.314-31645350(Other operating expenses)BAD art 27.Vertical layout(10); Annex V.Part 2.314-316Annex V.Part 2.314-31645355TOTAL OPERATING INCOME, NET360(Administrative expenses)BAD art 27.Vertical layout(8)370(Staff expenses)BAD art 27.Vertical layout(8)(a)IAS 19.7; IAS 1.102, IG 644380(Other administrative expenses)BAD art 27.Vertical layout(8)(b);16385(Cash contributions to resolution funds and deposit guarantee schemes)Annex V.Part 2.48iAnnex V.Part 2.48i390(Depreciation)IAS 1.102, 104

400(Property, Plant and Equipment)BAD art 27.Vertical layout(9)IAS 1.104; IAS 16.73(e)(vii)410(Investment Properties)BAD art 27.Vertical layout(9)IAS 1.104; IAS 40.79(d)(iv)415(Goodwill)BAD art 27.Vertical layout(9)420(Other intangible assets)BAD art 27.Vertical layout(9)IAS 1.104; IAS 38.118(e)(vi)425Modification gains or (-) losses, netIFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49426Financial assets at fair value through other comprehensive incomeIFRS 7.35J427Financial assets at amortised costIFRS 7.35J430(Provisions or (-) reversal of provisions)IAS 37.59, 84; IAS 1.98(b)(f)(g) 9 12 43 435(payment commitments to resolution funds and deposit guarantee schemes)Annex V.Part 2.48iAnnex V.Part 2.48i440(Commitments and guarantees given)BAD art 27.Vertical layout(11)-(12)IFRS 9.4.2.1(c),(d),9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.50450(Other provisions)455(Increases or (-) decreases of the fund for general banking risks, net)BAD art 38.2460(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss)BAD art 35-37, Annex V.Part 2.52, 53IFRS 7.20(a)(viii); IFRS 9.5.4.4; Annex V Part 2.51, 5312481(Financial assets at fair value through other comprehensive income)IFRS 9.5.4.4, 9.5.5.1, 9.5.5.2, 9.5.5.812491(Financial assets at amortised cost)IFRS 9.5.4.4, 9.5.5.1, 9.5.5.812510(Impairment or (-) reversal of impairment of investments in subsidiaries, joint ventures and associates)BAD art 27.Vertical layout(13)-(14)IAS 28.40-4316520(Impairment or (-) reversal of impairment on non-financial assets)IAS 36.126(a)(b)16530(Property, plant and equipment)BAD art 27.Vertical layout(9)IAS 16.73(e)(v-vi)540(Investment properties)BAD art 27.Vertical layout(9)IAS 40.79(d)(v)550(Goodwill)BAD art 27.Vertical layout(9)IFRS 3.Appendix B67(d)(v); IAS 36.124 560(Other intangible assets)BAD art 27.Vertical layout(9)IAS 38.118 (e)(iv)(v)570(Other)IAS 36.126 (a)(b)580Negative goodwill recognised in profit or lossAccounting Directive art 24(3)(f)IFRS 3.Appendix B64(n)(i)590Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates accounted for using the equity methodBAD art 27.Vertical layout(13)-(14)Annex V.Part 2.54600Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operationsIFRS 5.37; Annex V.Part 2.55610PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONSIAS 1.102, IG 6; IFRS 5.33 A620(Tax expense or (-) income related to profit or loss from continuing operations)BAD art 27.Vertical layout(15)IAS 1.82(d); IAS 12.77630PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONSBAD art 27.Vertical layout(16)IAS 1, IG 6632Extraordinary profit or (-) loss after taxBAD art 27.Vertical layout(21)633Extraordinary profit or loss before taxBAD art 27.Vertical layout(19)634(Tax expense or (-) income related to extraordinary profit or loss)BAD art 27.Vertical layout(20)640Profit or (-) loss after tax from discontinued operationsIAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56650Profit or (-) loss before tax from discontinued operationsIFRS 5.33(b)(i)660(Tax expense or (-) income related to discontinued operations)IFRS 5.33 (b)(ii),(iv)670PROFIT OR (-) LOSS FOR THE YEARBAD art 27.Vertical layout(23)IAS 1.81A(a)680Attributable to minority interest [non-controlling interests]IAS 1.81B (b)(i)690Attributable to owners of the parentIAS 1.81B (b)(ii)

1. Statement of comprehensive income References National GAAP compatible IFRSCurrent period010010Profit or (-) loss for the yearIAS 1.7, IG6020Other comprehensive incomeIAS 1.7, IG6030Items that will not be reclassified to profit or lossIAS 1.82A(a)(i)040Tangible assetsIAS 1.7, IG6; IAS 16.39-40050Intangible assetsIAS 1.7; IAS 38.85-86060Actuarial gains or (-) losses on defined benefit pension plansIAS 1.7, IG6; IAS 19.120(c)070Non-current assets and disposal groups held for saleIFRS 5.38080Share of other recognised income and expense of entities accounted for using the equity methodIAS 1.IG6; IAS 28.10081Fair value changes of equity instruments measured at fair value through other comprehensive incomeIAS 1.7(d)083Gains or (-) losses from hedge accounting of equity instruments at fair value through other comprehensive income, netIFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.57084Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item]IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.57085Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument]IFRS 9.5.7.5;.6.5.8(a); Annex V.Part 2.57086Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit riskIAS 1.7(f)090Income tax relating to items that will not be reclassifiedIAS 1.91(b); Annex V.Part 2.66100Items that may be reclassified to profit or lossIAS 1.82A(a)(ii)110Hedge of net investments in foreign operations [effective portion]IFRS 9.6.5.13(a); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.58120Valuation gains or (-) losses taken to equityIAS 1.IG6;IFRS 9.6.5.13(a); IFRS 7.24C(b)(i);.24E(a); Annex V.Part 2.58130Transferred to profit or lossIAS 1.7, 92-95; IAS 21.48-49; IFRS 9.6.5.14; Annex V.Part 2.59140Other reclassificationsAnnex V.Part 2.65150Foreign currency translationIAS 1.7, IG6; IAS 21.52(b)160Translation gains or (-) losses taken to equityIAS 21.32, 38-47170Transferred to profit or lossIAS 1.7, 92-95; IAS 21.48-49180Other reclassificationsAnnex V.Part 2.65190Cash flow hedges [effective portion]IAS 1.7, IG6; IAS 39.95(a)-96 IFRS 9.6.5.11(b); IFRS 7.24C(b)(i);.24E(a); 200Valuation gains or (-) losses taken to equityIAS 1.7(e),IG6; IFRS 9.6.5.11(a)(b)(d); IFRS 7.24C(b)(i), .24E(a)210Transferred to profit or lossIAS 1.7, 92-95, IG6; IFRS 9.6.5.11(d)(ii)(iii);IFRS 7.24C(b)(iv),.24E(a) Annex V.Part 2.59220Transferred to initial carrying amount of hedged itemsIAS 1.IG6;IFRS 9.6.5.11(d)(i)230Other reclassificationsAnnex V.Part 2.65231Hedging instruments [not designated elements]IAS 1.7(g)(h);IFRS 9.6.5.15,. 6.5.16;IFRS 7.24E (b)(c); Annex V.Part 2.60232Valuation gains or (-) losses taken to equityIAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E (b)(c)233Transferred to profit or lossIAS 1.7(g)(h);IFRS 9.6.5.15,. 6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.61234Other reclassificationsAnnex V.Part 2.65241Debt instruments at fair value through other comprehensive incomeIAS 1.7(da), IG 6; IAS 1.IG6; IFRS 9.5.6.4; Annex V.Part 2.62-63251Valuation gains or (-) losses taken to equityIFRS 7.20(a)(ii); IAS 1.IG6; IFRS 9.5.6.4261Transferred to profit or lossIAS 1.7, IAS 1.92-95, IAS 1.IG6; IFRS 9.5.6.7; Annex V.Part 2.64270Other reclassificationsIFRS 5.IG Example 12;IFRS 9.5.6.5; Annex V.Part 2.64-65280Non-current assets and disposal groups held for saleIFRS 5.38290Valuation gains or (-) losses taken to equityIFRS 5.38300Transferred to profit or lossIAS 1.7, 92-95; IFRS 5.38310Other reclassificationsIFRS 5.IG Example 12320Share of other recognised income and expense of Investments in subsidaries, joint ventures and associatesIAS 1.IG6; IAS 28.10330Income tax relating to items that may be reclassified to profit or (-) lossIAS 1.91(b), IG6; Annex V.Part 2.66340Total comprehensive income for the yearIAS 1.7, 81A(a), IG6350Attributable to minority interest [Non-controlling interest]IAS 1.83(b)(i), IG6360Attributable to owners of the parentIAS 1.83(b)(ii), IG6

1. Breakdown of financial assets by instrument and by counterparty sector 4.1 Financial assets held for trading References National GAAP based on BADReferences National GAAP compatible IFRSCarrying amountAnnex V.Part 1.27010005Derivatives010Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.11, Annex V.Part 1.44(b)030of which: credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)040of which: other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)050of which: non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)060Debt securitiesAnnex V.Part 1.31Annex V.Part 1.31, 44(b)070Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)080General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)090Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)100Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)110Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)120Loans and advancesAnnex V.Part 1.32Annex V.Part 1.32, 44(a)130Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)140General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)150Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)160Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)170Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)180HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)190FINANCIAL ASSETS HELD FOR TRADINGAnnex V.Part 1.15(a)IFRS 9.Appendix A 4.2.1 Non-trading financial assets mandatorily at fair value through profit or loss References National GAAP based on BADReferences National GAAP compatible IFRSCarrying amountAccumulated negative changes in fair value due to credit risk on non-performing exposuresAnnex V.Part 1.27Annex V.Part 2.69010020010Equity instrumentsIAS 32.11, Annex V.Part 1.44(b)020of which: credit institutionsAnnex V.Part 1.42(c)030of which: other financial corporationsAnnex V.Part 1.42(d)040of which: non-financial corporationsAnnex V.Part 1.42(e)050Debt securitiesAnnex V.Part 1.31, 44(b)060Central banksAnnex V.Part 1.42(a)070General governmentsAnnex V.Part 1.42(b)080Credit institutionsAnnex V.Part 1.42(c)090Other financial corporationsAnnex V.Part 1.42(d)100Non-financial corporationsAnnex V.Part 1.42(e)110Loans and advancesAnnex V.Part 1.32, 44(a)120Central banksAnnex V.Part 1.42(a)130General governmentsAnnex V.Part 1.42(b)140Credit institutionsAnnex V.Part 1.42(c)150Other financial corporationsAnnex V.Part 1.42(d)160Non-financial corporationsAnnex V.Part 1.42(e)170HouseholdsAnnex V.Part 1.42(f)180NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSSIFRS 7.8(a)(ii); IFRS 9.4.1.4 4.2.2 Financial assets designated at fair value through profit or loss References National GAAP based on BADReferences National GAAP compatible IFRSCarrying amountAccumulated negative changes in fair value due to credit risk on non-performing exposuresAnnex V.Part 1.27Annex V.Part 2.69010020010Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.11020of which: at costIAS 39.46(c)030of which: credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.38(c)040of which: other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.38(d)050of which: non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.38(e)060Debt securitiesAnnex V.Part 1.31, 44(b)Annex V.Part 1.31, 44(b)070Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)080General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)090Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)100Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)110Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)120Loans and advancesAnnex V.Part 1.32, 44(a)Annex V.Part 1.32, 44(a)130Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)140General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)150Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)160Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)170Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)180HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)190FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSSAccounting Directive art 8(1)(a), (6)IFRS 7.8(a)(i); IFRS 9.4.1.5

4.3.1 Financial assets at fair value through other comprehensive income References National GAAP based on BADReferences National GAAP compatible IFRSCarrying amount Gross carrying amount Annex V.Part 1.34(b) Accumulated impairment Annex V.Part 2.70(b), 71 Accumulated partial write-offsAccumulated total write-offsAssets without significant increase in credit risk since initial recognition (Stage 1)Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)Credit-impaired assets (Stage 3)Assets without significant increase in credit risk since initial recognition (Stage 1)Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)Credit-impaired assets (Stage 3)of which: instruments with low credit riskAnnex V.Part 1.27IFRS 9.5.5.5; IFRS 7.35M(a)IFRS 9.B5.5.22-24; Annex V.Part 2.75IFRS 9.5.5.3, IFRS 7.35M(b)(i)IFRS 9.5.5.1, 7.35M(b)(ii)IFRS 9.5.5.5; IFRS7.35H(a), IFRS 7.16AIFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i), IFRS 7.16AIFRS 9.5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii), IFRS 7.16AIFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74010015020030040050060070080090010Equity instrumentsIAS 32.11; Annex V.Part 1.44(b)020of which: credit institutionsAnnex V.Part 1.42(c)030of which: other financial corporationsAnnex V.Part 1.42(d)040of which: non-financial corporationsAnnex V.Part 1.42(e)050Debt securitiesAnnex V.Part 1.31, 44(b)060Central banksAnnex V.Part 1.42(a)070General governmentsAnnex V.Part 1.42(b)080Credit institutionsAnnex V.Part 1.42(c)090Other financial corporationsAnnex V.Part 1.42(d)100Non-financial corporationsAnnex V.Part 1.42(e)110Loans and advancesAnnex V.Part 1.32, 44(a)120Central banksAnnex V.Part 1.42(a)130General governmentsAnnex V.Part 1.42(b)140Credit institutionsAnnex V.Part 1.42(c) 150Other financial corporationsAnnex V.Part 1.42(d)160Non-financial corporationsAnnex V.Part 1.42(e)165Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)170HouseholdsAnnex V.Part 1.42(f)180FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOMEIFRS 7.8(h); IFRS 9.4.1.2A190of which: purchased credit-impaired financial assetsIFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.77 4.4.1 Financial assets at amortised cost References National GAAP based on BADReferences National GAAP compatible IFRSCarrying amount Gross carrying amount Annex V.Part 1.34(b) Accumulated impairment Annex V.Part 2.70(a), 71 Accumulated partial write-offsAccumulated total write-offsAssets without significant increase in credit risk since initial recognition (Stage 1)Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)Credit-impaired assets (Stage 3)Assets without significant increase in credit risk since initial recognition (Stage 1)Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)Credit-impaired assets (Stage 3)of which: instruments with low credit riskAnnex V.Part 1.27IFRS 9.5.5.5; IFRS 7.35M(a)IFRS 9.B5.5.22-24; Annex V.Part 2.75IFRS 9.5.5.3, IFRS 7.35M(b)(i)IFRS 9.5.5.1, 7.35M(b)(ii)IFRS 9.5.5.5; IFRS7.35H(a)IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i)IFRS 5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii)IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74010015020030040050060070080090010Debt securitiesAnnex V.Part 1.31, 44(b)020Central banksAnnex V.Part 1.42(a)030General governmentsAnnex V.Part 1.42(b)040Credit institutionsAnnex V.Part 1.42(c)050Other financial corporationsAnnex V.Part 1.42(d)060Non-financial corporationsAnnex V.Part 1.42(e)070Loans and advancesAnnex V.Part 1.32, 44(a)080Central banksAnnex V.Part 1.42(a)090General governmentsAnnex V.Part 1.42(b)100Credit institutionsAnnex V.Part 1.42(c)110Other financial corporationsAnnex V.Part 1.42(d)

120Non-financial corporationsAnnex V.Part 1.42(e)125Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)130HouseholdsAnnex V.Part 1.42(f)140FINANCIAL ASSETS AT AMORTISED COSTIFRS 7.8(f); IFRS 9.4.1.2150of which: purchased credit-impaired financial assetsIFRS 9.5.13 and IFRS 7.35M(f); Annex V.Part 2.77 4.5 Subordinated financial assets References National GAAP based on BADReferences National GAAP compatible IFRSCarrying amountAnnex V.Part 1.27-28010010Loans and advancesAnnex V.Part 1.32Annex V.Part 1.32020Debt securitiesAnnex V.Part 1.31Annex V.Part 1.31030SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETSAccounting Directive art 8(1)(a); Annex V.Part 2.78, 100Annex V.Part 2.78, 100 4.6 Trading Financial assets References National GAAP based on BADCarrying amountAnnex V.Part 1.27-28010005DerivativesCRR Annex II; Annex V.Part 1.17, Part 2.68010Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b)020of which: unquoted030of which: credit institutionsAnnex V.Part 1.42(c)040of which: other financial corporationsAnnex V.Part 1.42(d)050of which: non-financial corporationsAnnex V.Part 1.42(e)060Debt securitiesAnnex V.Part 1.31, 44(b)070Central banksAnnex V.Part 1.42(a)080General governmentsAnnex V.Part 1.42(b)090Credit institutionsAnnex V.Part 1.42(c)100Other financial corporationsAnnex V.Part 1.42(d)110Non-financial corporationsAnnex V.Part 1.42(e)120Loans and advancesAnnex V.Part 1.32, 44(a)130Central banksAnnex V.Part 1.42(a)140General governmentsAnnex V.Part 1.42(b)150Credit institutionsAnnex V.Part 1.42(c)160Other financial corporationsAnnex V.Part 1.42(d)170Non-financial corporationsAnnex V.Part 1.42(e)180HouseholdsAnnex V.Part 1.42(f)190TRADING FINANCIAL ASSETSBAD Article 32-33; Annex V.Part 1.17 4.7 Non-trading non-derivative financial assets measured at fair value through profit or loss References National GAAP based on BADCarrying amountAccumulated negative changes in fair value due to credit risk on non-performing exposuresAnnex V.Part 1.27-28Annex V.Part 2.69010021010Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b)020of which: unquoted030of which: credit institutionsAnnex V.Part 1.42(c)040of which: other financial corporationsAnnex V.Part 1.42(d)050of which: non-financial corporationsAnnex V.Part 1.42(e)060Debt securitiesAnnex V.Part 1.31, 44(b)070Central banksAnnex V.Part 1.42(a)080General governmentsAnnex V.Part 1.42(b)090Credit institutionsAnnex V.Part 1.42(c)100Other financial corporationsAnnex V.Part 1.42(d)110Non-financial corporationsAnnex V.Part 1.42(e)120Loans and advancesAnnex V.Part 1.32, 44(a)130Central banksAnnex V.Part 1.42(a)140General governmentsAnnex V.Part 1.42(b)150Credit institutionsAnnex V.Part 1.42(c)160Other financial corporationsAnnex V.Part 1.42(d)170Non-financial corporationsAnnex V.Part 1.42(e)180HouseholdsAnnex V.Part 1.42(f)190NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSSBAD art 36(2) 4.8 Non-trading non-derivative financial assets measured at fair value to equity

References National GAAP based on BAD Financial assets not subject to impairment Annex V.Part 1.34(d), Part 2.79 Financial assets subject to impairment Annex V.Part 2.79 Carrying amountAccumulated negative changes in fair value due to credit risk on non-performing exposuresCarrying amount Gross carrying amount Annex V Part 1.34(d) Specific allowances for credit riskGeneral allowances for credit risk affecting carrying amountGeneral allowances for banking risk affecting carrying amountAccumulated partial write-offsAccumulated total write-offsUnimpaired assetsImpaired assetsAnnex V.Part 1.27-28Annex V.Part 2.69Annex V.Part 1.27-28CRR art 4(95)CRR art 4(95), Annex V Part 2.70(c),71CRR art 4(95); Annex V.Part 2.70(c),71CRR art 4(95); Annex V.Part 2.70(c), 71, 82CRR art 4(95); Annex V.Part 2.72-74CRR art 4(95); Annex V.Part 2.72-74010030035040050060070080090100010Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b)020of which: unquoted030of which: credit institutionsAnnex V.Part 1.42(c)040of which: other financial corporationsAnnex V.Part 1.42(d)050of which: non-financial corporationsAnnex V.Part 1.42(e)060Debt securitiesAnnex V.Part 1.31, 44(b)070Central banksAnnex V.Part 1.42(a)080General governmentsAnnex V.Part 1.42(b)090Credit institutionsAnnex V.Part 1.42(c)100Other financial corporationsAnnex V.Part 1.42(d)110Non-financial corporationsAnnex V.Part 1.42(e)120Loans and advancesAnnex V.Part 1.32, 44(a)130Central banksAnnex V.Part 1.42(a)140General governmentsAnnex V.Part 1.42(b) 150Credit institutionsAnnex V.Part 1.42(c)160Other financial corporationsAnnex V.Part 1.42(d)170Non-financial corporationsAnnex V.Part 1.42(e)175Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)180HouseholdsAnnex V.Part 1.42(f)190NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITYAccounting Directive art 8(1)(a), 8(2) 4.9 Non-trading non-derivative financial assets measured at a cost-based method References National GAAP based on BAD Gross carrying amount Annex V.Part 1.34(c),34(e) Specific allowances for credit riskGeneral allowances for credit risk affecting carrying amountGeneral allowances for banking risk affecting carrying amountCarrying amountAccumulated negative value adjustments on LOCOM assets – market risk inducedAccumulated negative value adjustments on LOCOM assets – credit risk inducedAccumulated partial write-offsAccumulated total write-offsUnimpaired assetsImpaired assetsof which: assets under LOCOMof which: assets under LOCOMof which: assets under LOCOMAnnex V.Part 2.80Annex V.Part 1.19CRR art 4(95), Annex V.Part 2.80Annex V.Part 1.19CRR art 4(95); Annex V.Part 2.70(c), 71CRR art 4(95); Annex V.Part 2.70(c),71CRR art 4(95); Annex V.Part 2.70(c), 71, 82Annex V.Part 1.27-28Annex V.Part 1.19Annex V.Part 2.80Annex V.Part 2.80CRR art 4(95); Annex V.Part 2.72-74CRR art 4(95); Annex V.Part 2.72-74010015020025030041045050060070080090100005Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b)006of which: unquoted007of which: credit institutionsAnnex V.Part 1.42(c)008of which: other financial corporationsAnnex V.Part 1.42(d)009of which: non-financial corporationsAnnex V.Part 1.42(e)010Debt securitiesAnnex V.Part 1.31, 44(b)020Central banksAnnex V.Part 1.42(a)030General governmentsAnnex V.Part 1.42(b)040Credit institutionsAnnex V.Part 1.42(c)050Other financial corporationsAnnex V.Part 1.42(d)060Non-financial corporationsAnnex V.Part 1.42(e)

070Loans and advancesAnnex V.Part 1.32, 44(a)080Central banksAnnex V.Part 1.42(a)090General governmentsAnnex V.Part 1.42(b)100Credit institutionsAnnex V.Part 1.42(c)110Other financial corporationsAnnex V.Part 1.42(d)120Non-financial corporationsAnnex V.Part 1.42(e)125Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)130HouseholdsAnnex V.Part 1.42(f)140NON-TRADING FINANCIAL ASSETS MEASURED AT A COST-BASED METHODBAD art 37.1; art 42a(4)(b); Annex V.Part 1.19 4.10 Other non-trading non-derivative financial assets References National GAAP based on BAD Gross carrying amount Annex V.Part 1.34(e),34(f) Specific allowances for credit riskGeneral allowances for credit risk affecting carrying amountGeneral allowances for banking risk affecting carrying amountCarrying amountAccumulated negative value adjustments on LOCOM assets – market risk inducedAccumulated negative value adjustments on LOCOM assets – credit risk inducedAccumulated partial write-offsAccumulated total write-offsUnimpaired assetsImpaired assetsof which: assets under LOCOMof which: assets under LOCOMof which: assets under LOCOMAnnex V.Part 2.81Annex V.Part 1.20Annex V.Part 2.81CRR art 4(95); Annex V.Part 1.20CRR art 4(95); Annex V.Part 2.70(c), 71CRR art 4(95); Annex V.Part 2.70(c),71CRR art 4(95); Annex V.Part 2.70(c), 71, 82Annex V.Part 1.27-28Annex V.Part 1.20Annex V.Part 2.81Annex V.Part 2.81CRR art 4(95); Annex V.Part 2.72-74CRR art 4(95); Annex V.Part 2.72-74015016020025030040050010070080090100110010Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5; Annex V.Part 1.44(b)020of which: unquoted030of which: credit institutionsAnnex V.Part 1.42(c)040of which: other financial corporationsAnnex V.Part 1.42(d)050of which: non-financial corporationsAnnex V.Part 1.42(e)060Debt securitiesAnnex V.Part 1.31, 44(b)070Central banksAnnex V.Part 1.42(a)080General governmentsAnnex V.Part 1.42(b)090Credit institutionsAnnex V.Part 1.42(c)100Other financial corporationsAnnex V.Part 1.42(d)110Non-financial corporationsAnnex V.Part 1.42(e) 120Loans and advancesAnnex V.Part 1.32, 44(a)130Central banksAnnex V.Part 1.42(a)140General governmentsAnnex V.Part 1.42(b)150Credit institutionsAnnex V.Part 1.42(c)160Other financial corporationsAnnex V.Part 1.42(d)170Non-financial corporationsAnnex V.Part 1.42(e)175Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)180HouseholdsAnnex V.Part 1.42(f)190OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETSAccounting Directive art 8(1)(a), 8(2); Annex V.Part 1.20 5. Breakdown of non-trading loans and advances by product 5.1 Loans and advances other than held for trading and trading assets by product ReferencesGross carrying amount Carrying amount Annex V.Part 1.27-28 Central banksGeneral governmentsCredit institutionsOther financial corporationsNon-financial corporationsHouseholdsAnnex V.Part 1.34Annex V.Part 1.42(a)Annex V.Part 1.42(b)Annex V.Part 1.42(c)Annex V.Part 1.42(d)Annex V.Part 1.42(e)Annex V.Part 1.42(f)005010020030040050060By product010On demand [call] and short notice [current account]Annex V.Part 2.85(a)020Credit card debtAnnex V.Part 2.85(b)030Trade receivablesAnnex V.Part 2.85(c)040Finance leasesAnnex V.Part 2.85(d)050Reverse repurchase loansAnnex V.Part 2.85(e)060Other term loansAnnex V.Part 2.85(f)070Advances that are not loansAnnex V.Part 2.85(g)080LOANS AND ADVANCESAnnex V.Part 1.32, 44(a)By collateral090of which: Loans collateralized by immovable propertyAnnex V.Part 2.86(a), 87100of which: other collateralized loansAnnex V.Part 2.86(b), 87By purpose110of which: credit for consumptionAnnex V.Part 2.88(a)120of which: lending for house purchaseAnnex V.Part 2.88(b)By subordination130of which: project finance loansAnnex V.Part 2.89; CRR Art 147(8)

1. Breakdown of non-trading loans and advances to non-financial corporations by NACE codes 6.1 Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codes References Non-financial corporations Annex V.Part 1.42(e), Part 2.91 Gross carrying amountAccumulated impairmentAccumulated negative changes in fair value due to credit risk on non-performing exposuresof which: loans and advances subject to impairmentOf which: non-performingof which: defaultedAnnex V.Part 1.34Annex V.Part 2.93Annex V.Part 2. 213-232CRR art 178; Annex V.Part 2.237(b)Annex V.Part 2.70-71Annex V.Part 2.69010011012013021022010A Agriculture, forestry and fishingNACE Regulation020B Mining and quarryingNACE Regulation030C ManufacturingNACE Regulation040D Electricity, gas, steam and air conditioning supplyNACE Regulation050E Water supplyNACE Regulation060F ConstructionNACE Regulation070G Wholesale and retail tradeNACE Regulation080H Transport and storageNACE Regulation090I Accommodation and food service activitiesNACE Regulation100J Information and communicationNACE Regulation105K Financial and insurance activitiesNACE Regulation, Annex V.Part 2.92110L Real estate activitiesNACE Regulation 120M Professional, scientific and technical activitiesNACE Regulation130N Administrative and support service activitiesNACE Regulation140O Public administration and defence, compulsory social securityNACE Regulation150P EducationNACE Regulation160Q Human health services and social work activitiesNACE Regulation170R Arts, entertainment and recreationNACE Regulation180S Other servicesNACE Regulation190LOANS AND ADVANCESAnnex V.Part 1.32, Part 2.90
2. Financial assets subject to impairment that are past due 7.1 Financial assets subject to impairment that are past due References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27 Assets without significant increase in credit risk since initial recognition (Stage 1)Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)Credit-impaired assets (Stage 3)≤ 30 days> 30 days ≤ 90 days> 90 days≤ 30 days> 30 days ≤ 90 days> 90 days≤ 30 days> 30 days ≤ 90 days> 90 daysIFRS 9.5.5.11;B5.5.37; IFRS 7.B8I, Annex V.Part 2.96010020030040050060070080090060Debt securitiesAnnex V.Part 1.31, 44(b)070Central banksAnnex V.Part 1.42(a)080General governmentsAnnex V.Part 1.42(b)090Credit institutionsAnnex V.Part 1.42(c)100Other financial corporationsAnnex V.Part 1.42(d)110Non-financial corporationsAnnex V.Part 1.42(e)120Loans and advancesAnnex V.Part 1.32, 44(a)130Central banksAnnex V.Part 1.42(a)140General governmentsAnnex V.Part 1.42(b)150Credit institutionsAnnex V.Part 1.42(c)160Other financial corporationsAnnex V.Part 1.42(d)170Non-financial corporationsAnnex V.Part 1.42(e)180HouseholdsAnnex V.Part 1.42(f)190TOTAL DEBT INSTRUMENTSAnnex V Part 2.94-95Loans and advances by product, by collateral and by subordination 200On demand [call] and short notice [current account]Annex V.Part 2.85(a)210Credit card debtAnnex V.Part 2.85(b)220Trade receivablesAnnex V.Part 2.85(c)230Finance leasesAnnex V.Part 2.85(d)240Reverse repurchase loansAnnex V.Part 2.85(e)250Other term loansAnnex V.Part 2.85(f)260Advances that are not loansAnnex V.Part 2.85(g)270of which: Loans collateralized by inmovable propertyAnnex V.Part 2.86(a), 87280of which: other collateralized loansAnnex V.Part 2.86(b), 87290of which: credit for consumptionAnnex V.Part 2.88(a)300of which: lending for house purchaseAnnex V.Part 2.88(b)310of which: project finance loansAnnex V.Part 2.89; CRR Art 147(8)

7.2 Financial assets subject to impairment that are past due under national GAAP References National GAAP based on BAD Carrying amount Annex V.Part 1.27-28 Past due but not impairedPast due impaired≤ 30 days> 30 days ≤ 90 days> 90 days≤ 30 days> 30 days ≤ 90 days> 90 daysCRR art 4(95); Annex V.Part 2.96010020030040050060060Debt securitiesAnnex V.Part 1.31, 44(b)070Central banksAnnex V.Part 1.42(a)080General governmentsAnnex V.Part 1.42(b)090Credit institutionsAnnex V.Part 1.42(c)100Other financial corporationsAnnex V.Part 1.42(d)110Non-financial corporationsAnnex V.Part 1.42(e)120Loans and advancesAnnex V.Part 1.32, 44(a)130Central banksAnnex V.Part 1.42(a)140General governmentsAnnex V.Part 1.42(b)150Credit institutionsAnnex V.Part 1.42(c)160Other financial corporationsAnnex V.Part 1.42(d)170Non-financial corporationsAnnex V.Part 1.42(e)180HouseholdsAnnex V.Part 1.42(f)190TOTAL DEBT INSTRUMENTSAnnex V Part 2.94-95Loans and advances by product, by collateral and by subordination 200On demand [call] and short notice [current account]Annex V.Part 2.85(a)210Credit card debtAnnex V.Part 2.85(b)220Trade receivablesAnnex V.Part 2.85(c)230Finance leasesAnnex V.Part 2.85(d)240Reverse repurchase loansAnnex V.Part 2.85(e)250Other term loansAnnex V.Part 2.85(f)260Advances that are not loansAnnex V.Part 2.85(g)270of which: Loans collateralized by inmovable propertyAnnex V.Part 2.86(a), 87280of which: other collateralized loansAnnex V.Part 2.86(b), 87290of which: credit for consumptionAnnex V.Part 2.88(a)300of which: lending for house purchaseAnnex V.Part 2.88(b)310of which: project finance loansAnnex V.Part 2.89; CRR Art 147(8) 8. Breakdown of financial liabilities 8.1 Breakdown of financial liabilities by product and by counterparty sector Carrying amount Annex V.Part 1.27-28 Accumulated changes in fair value due to credit riskHeld for tradingDesignated at fair value through profit or lossAmortised costTradingAt a cost-based methodHedge accountingReferences National GAAP compatible IFRSIFRS 7.8(e)(ii); IFRS 9 Appendix A, IFRS 9.BA.6-BA.7, IFRS 9.6.7IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5IFRS 7.8(g); IFRS 9.4.2.1IFRS 7.24A(a); IFRS 9.6CRR art 33(1)(b), art 33(1)(c); Annex V.Part 2.101References National GAAP based on BADAccounting Directive art 8(1)(a), (6); IAS 39.9, AG 14-15Accounting Directive art 8(1)(a), (6); IAS 39.9Accounting Directive art 8(3), (6); IAS 39.47Accounting Directive art 8(3); Annex V.Part 1.25Accounting Directive art 8(3)Accounting Directive art 8(1)(a), (6), (8)(1)(a)CRR art 33(1)(b), art 33(1)(c); Annex V.Part 2.102010020030034035037040010DerivativesCRR Annex IIIFRS 9.BA.7(a)020Short positionsFRS 9.BA.7(b)030Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.11040Debt securitiesAnnex V.Part 1.31Annex V.Part 1.31050DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36060Central banksAnnex V.Part 1.42(a), 44(c)Annex V.Part 1.42(a), 44(c)070Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.1ECB/2013/33 Annex 2.Part 2.9.1080Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.2ECB/2013/33 Annex 2.Part 2.9.2090Deposits redeemable at noticeECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97100Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.4ECB/2013/33 Annex 2.Part 2.9.4

110General governmentsAnnex V.Part 1.42(b), 44(c)Annex V.Part 1.42(b), 44(c)120Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.1ECB/2013/33 Annex 2.Part 2.9.1130Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.2ECB/2013/33 Annex 2.Part 2.9.2140Deposits redeemable at noticeECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97150Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.4ECB/2013/33 Annex 2.Part 2.9.4160Credit institutionsAnnex V.Part 1.42(c),44(c)Annex V.Part 1.42(c),44(c)170Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.1ECB/2013/33 Annex 2.Part 2.9.1180Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.2ECB/2013/33 Annex 2.Part 2.9.2190Deposits redeemable at noticeECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97200Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.4ECB/2013/33 Annex 2.Part 2.9.4210Other financial corporationsAnnex V.Part 1.42(d),44(c)Annex V.Part 1.42(d),44(c)220Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.1ECB/2013/33 Annex 2.Part 2.9.1230Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.2ECB/2013/33 Annex 2.Part 2.9.2 240Deposits redeemable at noticeECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97250Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.4ECB/2013/33 Annex 2.Part 2.9.4260Non-financial corporationsAnnex V.Part 1.42(e), 44(c)Annex V.Part 1.42(e), 44(c)270Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.1ECB/2013/33 Annex 2.Part 2.9.1280Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.2ECB/2013/33 Annex 2.Part 2.9.2290Deposits redeemable at noticeECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97300Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.4ECB/2013/33 Annex 2.Part 2.9.4310HouseholdsAnnex V.Part 1.42(f), 44(c)Annex V.Part 1.42(f), 44(c)320Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.1ECB/2013/33 Annex 2.Part 2.9.1330Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.2ECB/2013/33 Annex 2.Part 2.9.2340Deposits redeemable at noticeECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97350Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.4ECB/2013/33 Annex 2.Part 2.9.4 360Debt securities issuedAnnex V.1.37, Part 2.98Annex V.Part 1.37, Part 2.98370Certificates of depositsAnnex V.Part 2.98(a)Annex V.Part 2.98(a)380Asset-backed securitiesCRR art 4(61)CRR art 4(1)(61)390Covered bondsCRR art 129CRR art 129400Hybrid contractsAnnex V.Part 2.98(d)Annex V.Part 2.98(d)410Other debt securities issuedAnnex V.Part 2.98(e)Annex V.Part 2.98(e)420Convertible compound financial instrumentsIAS 32.AG 31430Non-convertible440Other financial liabilitiesAnnex V.Part 1.38-41Annex V.Part 1.38-41445of which: lease liabilitiesIFRS 16.22, 26-28, 47(b)450FINANCIAL LIABILITIES

8.2 Subordinated financial liabilities Carriyng amountDesignated at fair value through profit or lossAt amortized costAt a cost-based methodReferences National GAAP compatible IFRSIFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5IFRS 7.8(g); IFRS 9.4.2.1References National GAAPAccounting Directive art 8(1)(a), (6); IAS 39.9Accounting Directive art 8(3), (6); IAS 39.47Accounting Directive art 8(3)010020030010DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36020Debt securities issuedAnnex V.Part 1.37Annex V.Part 1.37030SUBORDINATED FINANCIAL LIABILITIESAnnex V.Part 2.99-100Annex V.Part 2.99-100 9. Loan commitments, financial guarantees and other commitments 9.1.1 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given References National GAAP compatible IFRS Nominal amount of off-balance sheet commitments and financial guarantees under IFRS 9 impairment Annex V.Part 2.107-108, 118 Provisions on off-balance sheet commitments and financial guarantees under IFRS 9 impairment Annex V Part 2.106-109 Other commitments measured under IAS 37 and financial guarantees measured under IFRS 4Commitments and financial guarantees measured at fair valueInstruments without significant increase in credit risk since initial recognition (Stage 1) Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired instruments (Stage 3) Instruments without significant increase in credit risk since initial recognition (Stage 1) Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired instruments (Stage 3) Nominal amountProvisionNominal amountAccumulated negative changes in fair value due to credit risk on non-performing commitmentsIFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35MIFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35MIFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS9.B2.5; IFRS 7.35MIFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(a)IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(i)IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(ii)IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.111, 118IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.106, 111IFRS 9.2.3(a), 9.B2.5; Annex V Part 2.110, 118Annex V Part 2.69010020030040050060100110120130010Loan commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116021of which: non-performingAnnex V.Part 2.117030Central banksAnnex V.Part 1.42(a)040General governmentsAnnex V.Part 1.42(b)050Credit institutionsAnnex V.Part 1.42(c)060Other financial corporationsAnnex V.Part 1.42(d)070Non-financial corporationsAnnex V.Part 1.42(e)080HouseholdsAnnex V.Part 1.42(f)090Financial guarantees givenIFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116101of which: non-performingAnnex V.Part 2.117

110Central banksAnnex V.Part 1.42(a)120General governmentsAnnex V.Part 1.42(b)130Credit institutionsAnnex V.Part 1.42(c)140Other financial corporationsAnnex V.Part 1.42(d)150Non-financial corporationsAnnex V.Part 1.42(e)160HouseholdsAnnex V.Part 1.42(f)170Other Commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116181of which: non-performingAnnex V.Part 2.117190Central banksAnnex V.Part 1.42(a)200General governmentsAnnex V.Part 1.42(b) 210Credit institutionsAnnex V.Part 1.42(c)220Other financial corporationsAnnex V.Part 1.42(d)230Non-financial corporationsAnnex V.Part 1.42(e)240HouseholdsAnnex V.Part 1.42(f) 9.1 Off-balance sheet exposures under national GAAP: Loan commitments, financial guarantees and other commitments given References National GAAPNominal amountProvisionsCRR Annex I; Annex V.Part 2.118CRR Annex I; Annex V.Part 2.11010020010Loan commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113021of which: non-performingAnnex V. Part 2.117030Central banksAnnex V.Part 1.42(a)040General governmentsAnnex V.Part 1.42(b)050Credit institutionsAnnex V.Part 1.42(c)060Other financial corporationsAnnex V.Part 1.42(d)070Non-financial corporationsAnnex V.Part 1.42(e)080HouseholdsAnnex V.Part 1.42(f)090Financial guarantees givenCRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114101of which: non-performingAnnex V. Part 2.117110Central banksAnnex V.Part 1.42(a)120General governmentsAnnex V.Part 1.42(b)130Credit institutionsAnnex V.Part 1.42(c)140Other financial corporationsAnnex V.Part 1.42(d)150Non-financial corporationsAnnex V.Part 1.42(e)160HouseholdsAnnex V.Part 1.42(f)170Other Commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115181of which: non-performingAnnex V. Part 2.117190Central banksAnnex V.Part 1.42(a)200General governmentsAnnex V.Part 1.42(b)210Credit institutionsAnnex V.Part 1.42(c)220Other financial corporationsAnnex V.Part 1.42(d)230Non-financial corporationsAnnex V.Part 1.42(e)240HouseholdsAnnex V.Part 1.42(f) 9.2 Loan commitments, financial guarantees and other commitments received Maximum amount of the guarantee that can be consideredNominal amountReferences National GAAP compatible IFRSIFRS 7.36 (b); Annex V.Part 2.119Annex V.Part 2.119References National GAAPAnnex V.Part 2.119Annex V.Part 2.119010020010Loan commitments receivedAnnex V.Part 1.44(h), Part 2.102-103, 113IFRS 9.2.1(g), .BCZ2.2; Annex V.Part 1.44(h), Part 2.102-103, 113020Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)030General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)040Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)050Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)060Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)070HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)080Financial guarantees receivedAnnex V.Part 1.44(h), Part 2.102-103, 114IFRS 9.2.1(e ), .B2.5, .BC2.17, IFRS 8.Appendix A; IFRS 4 Annex A; Annex V.Part 1.44(h), Part 2.102-103, 114090Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)100General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)110Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)120Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)130Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)140HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)

150Other Commitments receivedAnnex V.Part 1.44(h), Part 2.102-103, 115Annex V.Part 1.44(h), Part 2.102-103, 115160Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)170General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)180Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)190Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)200Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)210HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f) 10. Derivatives – Trading and economic hedges By type of risk / By product or by type of marketCarrying amountFair valueNotional amountFinancial assets Held for trading and tradingFinancial liabilities Held for trading and tradingPositive valueNegative valueTotal Tradingof which: soldof which: Financial assets measured at a cost-based method / LOCOMof which: Financial liabilities measured at a cost-based method / LOCOMReferences National GAAP compatible IFRSAnnex V.Part 2.120, 131IFRS 9.BA.7 (a); Annex V.Part 2.120, 131Annex V.Part 2.133-135Annex V.Part 2.133-135References National GAAP based on BADAnnex V.Part 1.17, Part 2.120Annex V.Part 2.124Annex V.Part 1.25, Part 2.120Annex V.Part 2.124Annex V.Part 2.132Annex V.Part 2.132Annex V.Part 2.133-135Annex V.Part 2.133-135010011020016022025030040010Interest rateAnnex V.Part 2.129(a)Annex V.Part 2.129(a)020of which: economic hedgesAnnex V.Part 2.137-139Annex V.Part 2.137-139030OTC optionsAnnex V.Part 2.136Annex V.Part 2.136040OTC otherAnnex V.Part 2.136Annex V.Part 2.136050Organized market optionsAnnex V.Part 2.136Annex V.Part 2.136060Organized market otherAnnex V.Part 2.136Annex V.Part 2.136070EquityAnnex V.Part 2.129(b)Annex V.Part 2.129(b)080of which: economic hedgesAnnex V.Part 2.137-139Annex V.Part 2.137-139090OTC optionsAnnex V.Part 2.136Annex V.Part 2.136100OTC otherAnnex V.Part 2.136Annex V.Part 2.136110Organized market optionsAnnex V.Part 2.136Annex V.Part 2.136120Organized market otherAnnex V.Part 2.136Annex V.Part 2.136130Foreign exchange and goldAnnex V.Part 2.129(c)Annex V.Part 2.129(c)140of which: economic hedgesAnnex V.Part 2.137-139Annex V.Part 2.137-139 150OTC optionsAnnex V.Part 2.136Annex V.Part 2.136160OTC otherAnnex V.Part 2.136Annex V.Part 2.136170Organized market optionsAnnex V.Part 2.136Annex V.Part 2.136180Organized market otherAnnex V.Part 2.136Annex V.Part 2.136190CreditAnnex V.Part 2.129(d)Annex V.Part 2.129(d)195of which: economic hedges with use of the fair value optionAnnex V.Part 2.140IFRS 9.6.7.1; Annex V.Part 2.140201of which: other economic hedgesAnnex V.Part 2.137-140Annex V.Part 2.137-140210Credit default swap220Credit spread option230Total return swap240Other250CommodityAnnex V.Part 2.129(e)Annex V.Part 2.129(e)260of which: economic hedgesAnnex V.Part 2.137-139Annex V.Part 2.137-139270OtherAnnex V.Part 2.129(f)Annex V.Part 2.129(f) 280of which: economic hedgesAnnex V.Part 2.137-139Annex V.Part 2.137-139290DERIVATIVESCRR Annex II; Annex V.Part 1.16(a)IFRS 9.Appendix A300of which: OTC – credit institutionsAnnex V.Part 1.42(c), 44(e), Part 2.141 (a), 142Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142310of which: OTC – other financial corporationsAnnex V.Part 1.42(d), 44(e), Part 2.141(b)Annex V.Part 1.42(d), 44(e), Part 2.141(b)320of which: OTC – restAnnex V.Part 1.44(e), Part 2.141(c)Annex V.Part 1.44(e), Part 2.141(c)

1. Hedge accounting 11.1 Derivatives – Hedge accounting: Breakdown by type of risk and type of hedge By product or by type of marketReferences National GAAP compatible IFRSCarrying amountNotional amountAssetsLiabilitiesTotal Hedgingof which: soldIFRS 7.24A; Annex V.Part 2.120, 131IFRS 7.24A; Annex V.Part 2.120, 131Annex V.Part 2.133-135Annex V.Part 2.133-135010020030040010Interest rateAnnex V.Part 2.129(a)020OTC optionsAnnex V.Part 2.136030OTC otherAnnex V.Part 2.136040Organized market optionsAnnex V.Part 2.136050Organized market otherAnnex V.Part 2.136060EquityAnnex V.Part 2.129(b)070OTC optionsAnnex V.Part 2.136080OTC otherAnnex V.Part 2.136090Organized market optionsAnnex V.Part 2.136100Organized market otherAnnex V.Part 2.136110Foreign exchange and goldAnnex V.Part 2.129(c)120OTC optionsAnnex V.Part 2.136130OTC otherAnnex V.Part 2.136140Organized market optionsAnnex V.Part 2.136150Organized market otherAnnex V.Part 2.136160CreditAnnex V.Part 2.129(d)170Credit default swapAnnex V.Part 2.136180Credit spread optionAnnex V.Part 2.136 190Total return swapAnnex V.Part 2.136200OtherAnnex V.Part 2.136210CommodityAnnex V.Part 2.129(e)220OtherAnnex V.Part 2.129(f)230FAIR VALUE HEDGESIFRS 7.24A; IAS 39.86(a); IFRS 9.6.5.2(a)240Interest rateAnnex V.Part 2.129(a)250OTC optionsAnnex V.Part 2.136260OTC otherAnnex V.Part 2.136270Organized market optionsAnnex V.Part 2.136280Organized market otherAnnex V.Part 2.136290EquityAnnex V.Part 2.129(b)300OTC optionsAnnex V.Part 2.136310OTC otherAnnex V.Part 2.136320Organized market optionsAnnex V.Part 2.136330Organized market otherAnnex V.Part 2.136340Foreign exchange and goldAnnex V.Part 2.129(c)350OTC optionsAnnex V.Part 2.136360OTC otherAnnex V.Part 2.136370Organized market optionsAnnex V.Part 2.136 380Organized market otherAnnex V.Part 2.136390CreditAnnex V.Part 2.129(d)400Credit default swapAnnex V.Part 2.136410Credit spread optionAnnex V.Part 2.136420Total return swapAnnex V.Part 2.136430OtherAnnex V.Part 2.136440CommodityAnnex V.Part 2.129(e)450OtherAnnex V.Part 2.129(f)460CASH FLOW HEDGESIFRS 7.24A; IAS 39.86(b); IFRS 9.6.5.2(b)470HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATIONIFRS 7.24A; IAS 39.86(c); IFRS 9.6.5.2(c)480PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISKIAS 39.71, 81A, 89A, AG 114-132490PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISKIAS 39.71500DERIVATIVES-HEDGE ACCOUNTINGIFRS 7.24A; IAS 39.9; IFRS 9.6.1510of which: OTC – credit institutionsAnnex V.Part 1.42(c), 44(e), Part 2.141(a), 142520of which: OTC – other financial corporationsAnnex V.Part 1.42(d), 44(e), Part 2.141(b)530of which: OTC – restAnnex V.Part 1.44(e), Part 2.141(c) 11.2 Derivatives – Hedge accounting under National GAAP: Breakdown by type of risk By product or by type of marketReferences National GAAP based on BADCarrying amountNotional amountFair valueAssetsLiabilitiesTotal Hedgingof which: soldPositive valueNegative valueof which: assets carried at amortised cost / LOCOMof which: liabilities carried at amortised cost / LOCOMof which: derivatives carried at amortised cost / LOCOMof which: derivatives carried at amortised cost / LOCOMAnnex V.Part 1.17, Part 2.120Annex V.Part 2.124Annex V.Part 1.25, Part 2.120Annex V.Part 2.124Annex V.Part 2.133-135Annex V.Part 2.124Annex V.Part 2.133-135Annex V.Part 2.124Annex V.Part 2.132Annex V.Part 2.132005006007008010011020021030040010Interest rateAnnex V.Part 2.129(a)020OTC optionsAnnex V.Part 2.136030OTC otherAnnex V.Part 2.136040Organized market optionsAnnex V.Part 2.136050Organized market otherAnnex V.Part 2.136060EquityAnnex V.Part 2.129(b)070OTC optionsAnnex V.Part 2.136080OTC otherAnnex V.Part 2.136090Organized market optionsAnnex V.Part 2.136100Organized market otherAnnex V.Part 2.136110Foreign exchange and goldAnnex V.Part 2.129(c)120OTC optionsAnnex V.Part 2.136130OTC otherAnnex V.Part 2.136140Organized market optionsAnnex V.Part 2.136150Organized market otherAnnex V.Part 2.136160CreditAnnex V.Part 2.129(d)170Credit default swapAnnex V.Part 2.136180Credit spread optionAnnex V.Part 2.136

190Total return swapAnnex V.Part 2.136200OtherAnnex V.Part 2.136210CommodityAnnex V.Part 2.129(e)220OtherAnnex V.Part 2.129(f)230DERIVATIVES-HEDGE ACCOUNTINGAnnex V.Part 1.22, 26231of which: fair value hedgesAnnex V.Part 2.143232of which: cash flow hedgesAnnex V.Part 2.143233of which: cost-price hedgesAnnex V.Part 2.143, 144234of which: hedge in net investments in a foreign operationAnnex V.Part 2.143235of which: portfolio fair value hedges of interest rate riskAnnex V.Part 2.143236of which: portfolio cash flow hedges of interest rate riskAnnex V.Part 2.143240of which: OTC – credit institutionsAnnex V.Part 1.42(c), 44(e), Part 2.141(a), 142250of which: OTC – other financial corporationsAnnex V.Part 1.42(d), 44(e), Part 2.141(b)260of which: OTC – restAnnex V.Part 1.44(e), Part 2.141(c) 11.3 Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge References National GAAP compatible IFRSCarrying amountFair value hedgeCash flow hedgeHedge of net investment in a foreign operationAnnex V.Part 2.145Annex V.Part 2.145Annex V.Part 2.145010020030010Non-derivative financial assetsIFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2020of which: Financial assets held for tradingIFRS 9.Appendix A030of which: Non-trading financial assets mandatorily at fair value through profit or lossIFRS 9.4.1.4; IFRS 7.8(a)(ii)040of which: Financial assets designated at fair value through profit or lossIFRS 9.4.1.5; IFRS 7.8(a)(i)050Non-derivative financial liabilitiesIFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2060Financial liabilities held for tradingIFRS 9.Appendix A070Financial liabilities designated at fair value through profit or lossIFRS 9.4.2.1; IFRS 9.6.2.2080Financial assets at amortised costIFRS 9.4.2.1; IFRS 9.6.2.2 11.3.1 Non-derivative hedging instruments under national GAAP: breakdown by accounting portfolio References National GAAP based on BADCarrying amountAnnex V.Part 2.145010Non-derivative financial assets020of which: Trading financial assetsBAD Article 32-33; Annex V.Part 1.17030of which: Non-trading non-derivative financial assets measured at fair value through profit or lossBAD art 36(2)040of which: Non-trading non-derivative financial assets measured at fair value to equityAccounting Directive art 8(1)(a), (8)050of which: Other non-trading non-derivative financial assetsBAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20060Non-derivative financial liabilities070of which: Trading financial liabilitiesAccounting Directive art 8(1)(a),(3),(6)080of which: Non-trading non-derivative financial liabilities measured at a cost-based methodAccounting Directive art 8(3) 11.4 Hedged items in fair value hedges References National GAAP compatible IFRSMicro-hedgesMicro-hedges – Net position hedgeHedge adjustments on micro-hedgesMacro hedgesCarrying amountAssets or liabilities included in hedge of a net position (before netting)Hedge adjustments included in the carrying amount of assets/liabilitiesRemaining adjustments for discontinued micro hedges including hedges of net positionsHedged items in portfolio hedge of interest rate riskIFRS 7.24B(a), Annex V.Part 2.146, 147IFRS 9.6.6.1; IFRS 9.6.6.6; Annex V.Part 2.147, 151IFRS 7.24B(a)(ii); Annex V.Part 2.148, 149IFRS 7.24B(a)(v); Annex V.Part 2.148, 150IFRS 9.6.1.3; IFRS 9.6.6.1; Annex V.Part 2.152010020030040050ASSETS010Financial assets measured at fair value through other comprehensive incomeIFRS 9.4.1.2A; IFRS 7.8(h); Annex V. Part 2.146, 151020Interest rateAnnex V.Part 2.129(a)030EquityAnnex V.Part 2.129(b)040Foreign exchange and goldAnnex V.Part 2.129(c)050CreditAnnex V.Part 2.129(d)060CommodityAnnex V.Part 2.129(e)070OtherAnnex V.Part 2.129(f)080Financial assets measured at amortised costIFRS 9.4.1.2A; IFRS 7.8(f); Annex V. Part 2.146, 151090Interest rateAnnex V.Part 2.129(a)100EquityAnnex V.Part 2.129(b)110Foreign exchange and goldAnnex V.Part 2.129(c)

120CreditAnnex V.Part 2.129(d)130CommodityAnnex V.Part 2.129(e)140OtherAnnex V.Part 2.129(f)LIABILITIES150Financial liabilities measured at amortised costsIFRS 9.4.2.1; IFRS 7.8(g); Annex V. Part 2.146, 151160Interest rateAnnex V.Part 2.129(a)170EquityAnnex V.Part 2.129(b)180Foreign exchange and goldAnnex V.Part 2.129(c)190CreditAnnex V.Part 2.129(d)200CommodityAnnex V.Part 2.129(e)210OtherAnnex V.Part 2.129(f) 12. Movements in allowances and provisions for credit losses 12.0 Movements in allowances for credit losses and impairment of equity instruments under national GAAP References National GAAP based on BAD CRR article 442(i); Annex V.Part 2.153 Opening balanceIncreases due to amounts set aside for estimated loan losses during the periodDecreases due to amounts reversed for estimated loan losses during the periodDecrease in allowance account due to write-offsTransfers between allowancesOther adjustmentsClosing balanceRecoveries recorded directly to the statement of profit or lossValue adjustments recorded directly to the statement of profit or lossAmounts written-off directly to the statement of profit or lossAnnex V.Part 2.154Annex V.Part 2.154Annex V.Part 2.155Annex V.Part 2.78010020030040050060070080090100010Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5330Specific allowances for credit riskCRR art 428 (g)(ii)340Debt securitiesAnnex V.Part 1.31, 44(b)350Central banksAnnex V.Part 1.42(a)360General governmentsAnnex V.Part 1.42(b)370Credit institutionsAnnex V.Part 1.42(c)380Other financial corporationsAnnex V.Part 1.42(d)390Non-financial corporationsAnnex V.Part 1.42(e)400Loans and advancesAnnex V.Part 1.32, 44(a)410Central banksAnnex V.Part 1.42(a)420General governmentsAnnex V.Part 1.42(b)430Credit institutionsAnnex V.Part 1.42(c) 440Other financial corporationsAnnex V.Part 1.42(d)450Non-financial corporationsAnnex V.Part 1.42(e)460HouseholdsAnnex V.Part 1.42(f)470General allowances for credit riskCRR art 4(1)(95)480Debt securitiesAnnex V.Part 1.31490Loans and advancesAnnex V.Part 1.32500General allowance for banking risksBAD art 37.2; CRR art 4(95)510Debt securitiesAnnex V.Part 1.31520Loans and advancesAnnex V.Part 1.32530Total 12.1 Movements in allowances and provisions for credit losses References National GAAP compatible IFRSOpening balanceIncreases due to origination and acquisitionDecreases due to derecognitionChanges due to change in credit risk (net)Changes due to modifications without derecognition (net)Changes due to update in the institution’s methodology for estimation (net)Decrease in allowance account due to write-offsOther adjustmentsClosing balanceRecoveries of previously written-off amounts recorded directly to the statement of profit or lossAmounts written-off directly to the statement of profit or lossGains or losses on derecognition of debt instrumentsIFRS 7.35I; Annex V.Part 2.159, 164(b)IFRS 7.35I; Annex V.Part 2.160, 164(b)IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.161-162IFRS 7.35I; IFRS 7.35J; IFRS 9.5.5.12, B5.5.25, B5.5.27; Annex V.Part 2.164(c)IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.163IFRS 7.35I; IFRS 9.5.4.4;IFRS 7.35L; Annex V.Part 2.72, 74, 164(a), 165IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.166IFRS 9.5.4.4; Annex V.Part 2.165Annex V.Part 2.166i010020030040050070080090100110120125010Allowances for financial assets without increase in credit risk since initial recognition (Stage 1)IFRS 9.5.5.5020Debt securitiesAnnex V.Part 1.31, 44(b)030Central banksAnnex V.Part 1.42(a)040General governmentsAnnex V.Part 1.42(b)050Credit institutionsAnnex V.Part 1.42(c)060Other financial corporationsAnnex V.Part 1.42(d)070Non-financial corporationsAnnex V.Part 1.42(e)080Loans and advancesAnnex V.Part 1.32, 44(a)090Central banksAnnex V.Part 1.42(a)100General governmentsAnnex V.Part 1.42(b)110Credit institutionsAnnex V.Part 1.42(c)120Other financial corporationsAnnex V.Part 1.42(d)130Non-financial corporationsAnnex V.Part 1.42(e)140HouseholdsAnnex V.Part 1.42(f)

160of which: collectively measured allowancesIFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158170of which: individually measured allowancesIFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158180Allowances for debt instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)IFRS 9.5.5.3190Debt securitiesAnnex V.Part 1.31, 44(b)200Central banksAnnex V.Part 1.42(a)210General governmentsAnnex V.Part 1.42(b)220Credit institutionsAnnex V.Part 1.42(c)230Other financial corporationsAnnex V.Part 1.42(d)240Non-financial corporationsAnnex V.Part 1.42(e)250Loans and advancesAnnex V.Part 1.32, 44(a)260Central banksAnnex V.Part 1.42(a)270General governmentsAnnex V.Part 1.42(b)280Credit institutionsAnnex V.Part 1.42(c)290Other financial corporationsAnnex V.Part 1.42(d)300Non-financial corporationsAnnex V.Part 1.42(e)310HouseholdsAnnex V.Part 1.42(f) 330of which: collectively measured allowancesIFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158340of which: individually measured allowancesIFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158350of which: non-performingAnnex V.Part 2.213-232360Allowances for credit-impaired debt instruments (Stage 3)IFRS 9.5.5.1, 9. Appendix A370Debt securitiesAnnex V.Part 1.31, 44(b)380Central banksAnnex V.Part 1.42(a)390General governmentsAnnex V.Part 1.42(b)400Credit institutionsAnnex V.Part 1.42(c)410Other financial corporationsAnnex V.Part 1.42(d)420Non-financial corporationsAnnex V.Part 1.42(e)430Loans and advancesAnnex V.Part 1.32, 44(a)440Central banksAnnex V.Part 1.42(a)450General governmentsAnnex V.Part 1.42(b)460Credit institutionsAnnex V.Part 1.42(c)470Other financial corporationsAnnex V.Part 1.42(d)480Non-financial corporationsAnnex V.Part 1.42(e) 490HouseholdsAnnex V.Part 1.42(f)500of which: collectively measured allowancesIFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158510of which: individually measured allowancesIFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158520Total allowance for debt instrumentsIFRS 7.B8E530Commitments and financial guarantees given (Stage 1)IFRS 9.2.1|(g); 2.3(c); 5.5, B2.5; Annex V.Part 2.157540Commitments and financial guarantees given (Stage 2)IFRS 9.2.1|(g); 2.3(c); 5.5.3, B2.5; Annex V.Part 2.157550of which: non-performingAnnex V.Part 2.117560Commitments and financial guarantees given (Stage 3)IFRS 9.2.1|(g); 2.3(c); 5.5.1, B2.5; Annex V.Part 2.157570Total provisions on commitments and financial guarantees givenIFRS 7.B8E; Annex V.Part 2.157 12.2 Transfers between impairment stages (gross basis presentation) References National GAAP compatible IFRS Gross carrying amount / nominal amount Annex V.Part 1.34, Part 2.118, 167, 170 Transfers between Stage 1 and Stage 2Transfers between Stage 2 and Stage 3Transfers between Stage 1 and Stage 3To Stage 2 from Stage 1To Stage 1 from Stage 2To Stage 3 from Stage 2To Stage 2 from Stage 3To Stage 3 from Stage 1To Stage 1 from Stage 3Annex V.Part 2.168-169010020030040050060010Debt securitiesAnnex V.Part 1.31, 44(b)020Central banksAnnex V.Part 1.42(a)030General governmentsAnnex V.Part 1.42(b)040Credit institutionsAnnex V.Part 1.42(c)050Other financial corporationsAnnex V.Part 1.42(d)060Non-financial corporationsAnnex V.Part 1.42(e)070Loans and advancesAnnex V.Part 1.32, 44(a)080Central banksAnnex V.Part 1.42(a)090General governmentsAnnex V.Part 1.42(b)100Credit institutionsAnnex V.Part 1.42(c)110Other financial corporationsAnnex V.Part 1.42(d)120Non-financial corporationsAnnex V.Part 1.42(e)130HouseholdsAnnex V.Part 1.42(f)140Total debt instruments150Commitments and financial guarantees givenIFRS 9.2.1|(g); 2.3(c); 5.5.1, 5.5.3, 5.5.5

1. Collateral and guarantees received 13.1 Breakdown of collateral and guarantees by loans and advances other than held for trading Guarantees and collateral Maximum amount of the collateral or guarantee that can be considered Annex V.Part 2.171-172, 174 References National GAAP based on BADReferences National GAAP compatible IFRSLoans collateralized by immovable propertyOther collateralised loansFinancial guarantees receivedResidential immovable propertyCommercial immovable propertyCash, deposits, [debt securities issued]Movable propertyEquity and debt securitiesRestIFRS 7.36(b)Annex V.Part 2.173(a)Annex V.Part 2.173(a)Annex V.Part 2.173(b)(i)Annex V.Part 2.173(b)(ii)Annex V.Part 2.173(b)(iii)Annex V.Part 2.173(b)(iv)Annex V.Part 2.173(c)010020030031032041050010Loans and advancesAnnex V.Part 1.32, 44(a)Annex V.Part 1.32, 44(a)020of which: Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)030of which: Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)035of which: Small and Medium-sized Enterprises (SMEs)SME Art 1 2(a)SME Art 1 2(a)036of which: Commercial real estate (CRE) loans to small and medium-sized enterprisesSME Art 1 2(a); Annex V.Part 2.239ixSME Art 1 2(a); Annex V.Part 2.239ix037of which: Commercial real estate (CRE) loans to non-financial corporations other than SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix040of which: HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)050of which: Lending for house purchaseAnnex V.Part 2.88(b)Annex V.Part 2.88(b)060of which: Credit for consumptionAnnex V.Part 2.88(a)Annex V.Part 2.88(a) 13.2.1 Collateral obtained by taking possession during the period [held at the reference date] Collateral obtained by taking possession during the period [held at the reference date] (Annex V.Part 2.175) Of which: Non current assets held for sale (IFRS 5.38, Annex V.Part 2.7) Value at initial recognitionCarrying amountAccumulated negative changesValue at initial recognitionCarrying amountReferences National GAAP based on BADReferences National GAAP compatible IFRSAnnex V.Part 2.175iAnnex V.Part 1.27-28Annex V.Part 2.175iiAnnex V.Part 2.175iAnnex V.Part 1.27-28001000200030004000500010Property, Plant and EquipmentIAS 16.60020Other than Property Plant and EquipmentIFRS 7.38(a)0030Residential immovable propertyAnnex V.Part 2.173(a)IFRS 7.38(a), Annex V.Part 2.173(a)0040Commercial immovable propertyAnnex V.Part 2.173(a)IFRS 7.38(a), Annex V.Part 2.173(a)0050Movable propertyAnnex V.Part 2.173(b)(ii)IFRS 7.38(a), Annex V.Part 2.173(b)(ii)0060Equity and debt securitiesAnnex V.Part 2.173(b)(iii)IFRS 7.38(a), Annex V.Part 2.173(b)(iii)0070OtherAnnex V.Part 2.173(b)(iv)IFRS 7.38(a), Annex V.Part 2.173(b)(iv)0080Total 13.3.1 Collateral obtained by taking possession accumulated Collateral obtained by taking possession accumulated (Annex V.Part 2.176) Of which: Non current assets held for sale (IFRS 5.38, Annex V.Part 2.7) Value at initial recognitionCarrying amountAccumulated negative changesValue at initial recognitionCarrying amountReferences National GAAP based on BADReferences National GAAP compatible IFRSAnnex V.Part 2.175iAnnex V.Part 1.27-28Annex V.Part 2.175iiAnnex V.Part 2.175iAnnex V.Part 1.27-28001000200030004000500010Property, Plant and EquipmentIAS 16.60020Other than Property Plant and EquipmentIFRS 7.38(a)0030Residential immovable propertyAnnex V.Part 2.173(a)IFRS 7.38(a), Annex V.Part 2.173(a)0040Commercial immovable propertyAnnex V.Part 2.173(a)IFRS 7.38(a), Annex V.Part 2.173(a)0050Movable propertyAnnex V.Part 2.173(b)(ii)IFRS 7.38(a), Annex V.Part 2.173(b)(ii)0060Equity and debt securitiesAnnex V.Part 2.173(b)(iii)IFRS 7.38(a), Annex V.Part 2.173(b)(iii)0070OtherAnnex V.Part 2.173(b)(iv)IFRS 7.38(a), Annex V.Part 2.173(b)(iv)0080Total

1. Fair value hierachy: financial instruments at fair value References National GAAP based on BADReferences National GAAP compatible IFRS Fair value hierarchy IFRS 13.93 (b) Change in fair value for the period Annex V.Part 2.178 Accumulated change in fair value before taxes Annex V.Part 2.179 Level 1Level 2Level 3Level 2Level 3Level 1Level 2Level 3IFRS 13.76IFRS 13.81IFRS 13.86IFRS 13.81IFRS 13.86, 93(f)IFRS 13.76IFRS 13.81IFRS 13.86010020030040050060070080ASSETS010Financial assets held for tradingIFRS 7.8(a)(ii);IFRS 9.Appendix A020DerivativesIFRS 9.Appendix A030Equity instrumentsIAS 32.11,040Debt securitiesAnnex V.Part 1.31050Loans and advancesAnnex V.Part 1.32051Trading financial assetsBAD Article 32-33; Annex V.Part 1.17052DerivativesCRR Annex II; Annex V.Part 1.17053Equity instrumentsECB/2013/33; Annex 2.Part 2.4-5054Debt securitiesAnnex V.Part 1.31055Loans and advancesAnnex V.Part 1.32056Non-trading financial assets mandatorily at fair value through profit or lossIFRS 9.4.1.4; IFRS 7.8(a)(ii)057Equity instrumentsIAS 32.11058Debt securitiesAnnex V.Part 1.31 059Loans and advancesAnnex V.Part 1.32060Financial assets designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6); IAS 39.9IFRS 7.8(a)(i); IFRS 9.4.1.5070Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.11080Debt securitiesAnnex V.Part 1.31Annex V.Part 1.31090Loans and advancesAnnex V.Part 1.32Annex V.Part 1.32101Financial assets at fair value through other comprehensive incomeIFRS 7.8 (h); IFRS 9.4.1.2A102Equity instrumentsIAS 32.11103Debt securitiesAnnex V.Part 1.31104Loans and advancesAnnex V.Part 1.32121Non-trading non-derivative financial assets measured at fair value through profit or lossAccounting Directive art 8(1)(a), (4)122Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5123Debt securitiesAnnex V.Part 1.31124Loans and advancesAccounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 125Non-trading non-derivative financial assets measured at fair value to equityAccounting Directive art 8(1)(a), (6),(8)126Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5127Debt securitiesAnnex V.Part 1.31128Loans and advancesAccounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32140Derivatives – Hedge accountingAccounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22IFRS 9.6.2.1; Annex V.Part 1.22LIABILITIES150Financial liabilities held for tradingAccounting Directive art 4art 8(1)(a), (6); IAS 39.9, AG 14-15IFRS 7.8 (e) (ii); IFRS 9.BA.6160DerivativesCRR Annex IIIFRS 9.BA.7(a)170Short positionsIFRS 9.BA.7(b)180DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36190Debt securities issuedAnnex V.Part 1.31Annex V.Part 1.37200Other financial liabilitiesAnnex V.Part 1.32-34Annex V.Part 1.38-41 201Trading financial liabilitiesAccounting Directive art 8(1)(a),(3),(6)202DerivativesCRR Annex II; Annex V.Part 1.25, 27203Short positions204DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36205Debt securities issuedAnnex V.Part 1.37206Other financial liabilitiesAnnex V.Part 1.38-41210Financial liabilities designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6); IAS 39.9IFRS 7.8 (e) (i); IFRS 9.4.1.5220DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36230Debt securities issuedAnnex V.Part 1.37Annex V.Part 1.37240Other financial liabilitiesAnnex V.Part 1.38-41Annex V.Part 1.38-41250Derivatives – Hedge accountingAccounting Directive art art 8(1)(a), (6), (8)(1)(a); IAS 39.9; Annex V.Part 1.26IFRS 9.6.2.1; Annex V.Part 1.26

1. Derecognition and financial liabilities associated with transferred financial assets Transferred financial assets entirely recognizedTransferred financial assets recognized to the extent of the instution’s continuing involvementPrincipal amount outstanting of transferred financial assets entirely derecognised for which the intitution retains servicing rightsAmounts derecognised for capital purposesTransferred assets Associated liabilities ITS V.Part 2.181 Principal amount outstanding of the original assetsCarrying amount of assets still recognised [continuing involvement]Carrying amount of associated liabilitesCarrying amountOf which: securitizationsOf which: repurchase agreementsCarrying amountOf which: securitizationsOf which: repurchase agreementsReferences National GAAP compatible IFRSIFRS 7.42D.(e), Annex V.Part 1.27IFRS 7.42D(e); CRR art 4(1)(61)IFRS 7.42D(e); Annex V.Part 2.183-184IFRS 7.42D(e)IFRS 7.42D.(e)IFRS 7.42D(e); Annex V.Part 2.183-184IFRS 7.42D(f)IFRS 7.42D(f); Annex V.Part 1.27, Part 2.181CRR art 109; Annex V.Part 2.182References National GAAP based on BADAnnex V.Part 1.27-28CRR art 4(61)Annex V.Part 2.183-184CRR art 4(61)Annex V.Part 2.183-184CRR art 109; Annex V.Part 2.182010020030040050060070080090100110010Financial assets held for tradingIFRS 7.8(a)(ii);IFRS 9.Appendix A020Equity instrumentsIAS 32.11030Debt securitiesAnnex V.Part 1.31040Loans and advancesAnnex V.Part 1.32041Trading financial assetsAccounting Directive art 8(1)(a), (6); Annex V.Part 1.15042Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5043Debt securitiesAnnex V.Part 1.31044Loans and advancesAnnex V.Part 1.32045Non-trading financial assets mandatorily at fair value through profit or lossIFRS 9.4.1.4046Equity instrumentsIAS 32.11047Debt securitiesAnnex V.Part 1.31048Loans and advancesAnnex V.Part 1.32 050Financial assets designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6); IAS 39.9IFRS 7.8(a)(i); IFRS 9.4.1.5060Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.11070Debt securitiesAnnex V.Part 1.31Annex V.Part 1.31080Loans and advancesAnnex V.Part 1.32Annex V.Part 1.32091Financial assets at fair value through other comprehensive incomeIFRS 7.8(h); IFRS 9.4.1.2A092Equity instrumentsIAS 32.11093Debt securitiesAnnex V.Part 1.31094Loans and advancesAnnex V.Part 1.32121Non-trading non-derivative financial assets measured at fair value through profit or lossAccounting Directive art 8(1)(a), (4)122Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5123Debt securitiesAnnex V.Part 1.31124Loans and advancesAccounting Directive art 8(1)(a), (4)(b); part 1.14, part 3.35125Non-trading non-derivative financial assets measured at fair value to equityAccounting Directive art 8(1)(a), 8(2) 126Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5127Debt securitiesAnnex V.Part 1.31128Loans and advancesAccounting Directive art 8(1)(a), (4)(b);part 1.14, part 3.35131Financial assets at amortised costAccounting Directive art 42a(4)(b),(5a); IAS 39.9IFRS 7.8 (f); IFRS 9.4.1.2132Debt securitiesAnnex V.Part 1.24, 26Annex V.Part 1.31133Loans and advancesAnnex V.Part 1.24, 27Annex V.Part 1.32181Non-trading non-derivative financial assets measured at a cost-based methodBAD art 37.1; art 42a(4)(b); Annex V.Part 1.16200Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5182Debt securitiesAnnex V.Part 1.31183Loans and advancesAnnex V.Part 1.32184Other non-trading non-derivative financial assetsBAD art 35-37185Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5186Debt securitiesAnnex V.Part 1.31187Loans and advancesAnnex V.Part 1.32190Total

1. Breakdown of selected statement of profit or loss items 16.1 Interest income and expenses by instrument and counterparty sector References National GAAP based on BADReferences National GAAP compatible IFRSCurrent periodIncomeExpensesAnnex V.Part 2.187, 189Annex V.Part 2.188, 190010020010Derivatives -TradingCRR Annex II; Annex V.Part 2.193IFRS 9.Appendix A, .BA.1, .BA.6; Annex V.Part 2.193015of which: interest income from derivatives in economic hedgesAnnex V.Part 2.193Annex V.Part 2.193020Debt securitiesAnnex V.Part 1.31, 44(b)Annex V.Part 1.31, 44(b)030Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)040General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)050Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)060Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)070Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)080Loans and advancesAnnex V.Part 1.32, 44(a)Annex V.Part 1.32, 44(a)090Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)100General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)110Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)120Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)130Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)140HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)141of which: lending for house purchaseAnnex V.Part 2.88(b), 194iAnnex V.Part 2.88(b), 194i142of which: credit for consumptionAnnex V.Part 2.88(a), 194iAnnex V.Part 2.88(a), 194i150Other assetsAnnex V.Part 1.51Annex V.Part 2.5160DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36170Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)180General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)190Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c) 200Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)210Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)220HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)230Debt securities issuedAnnex V.1.37Annex V.Part 1.37240Other financial liabilitiesAnnex V.Part 1.32-34, Part 2.191Annex V.Part 1.32-34, Part 2.191250Derivatives – Hedge accounting, interest rate riskAnnex V.Part 2.192Annex V.Part 2.192260Other LiabilitiesAnnex V.Part 1.38-41Annex V.Part 1.38-41270INTERESTBAD art 27.Vertical layout(1), (2)IAS 1.97280of which: interest-income on credit impaired financial assetsIFRS 9.5.4.1; .B5.4.7; Annex V.Part 2.194290of which: interest from leasesAnnex V.Part 2.194iiIFRS 16.38 (a), 49, Annex V.Part 2.194ii 16.2 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument References National GAAP based on BADReferences National GAAP compatible IFRSCurrent periodAnnex V. Part 2.195-196010010Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5Annex V.Part 1.28020Debt securitiesAnnex V.Part 1.31Annex V.Part 1.31030Loans and advancesAnnex V.Part 1.32Annex V.Part 1.32040DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36050Debt securities issuedAnnex V.Part 1.37Annex V.Part 1.37060Other financial liabilitiesAnnex V.Part 1.38-41Annex V.Part 1.38-41070GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NETBAD art 27.Vertical layout(6); Annex V.Part 2.45Annex V.Part 2.45

16.3 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument References National GAAP based on BADReferences National GAAP compatible IFRSCurrent periodAnnex V. Part 2.197-198010010DerivativesIFRS 9.Appendix A, .BA.1, .BA.7(a)015of which: Economic hedges with use of the fair value optionIFRS 9.6.7.1; IFRS 7.9(d); Annex V.Part 2.199020Equity instrumentsIAS 32.11030Debt securitiesAnnex V.Part 1.31040Loans and advancesAnnex V.Part 1.32050Short positionsIFRS 9.BA.7(b)060DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36070Debt securities issuedAnnex V.Part 1.37080Other financial liabilitiesAnnex V.Part 1.38-41090GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NETIFRS 9.Appendix A, .BA.6;IFRS 7.20(a)(i)095of which: gains and losses due to the reclassification of assets at amortised costIFRS 9.5.6.2; annex V.Part 2.199100DerivativesCRR Annex II110Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5120Debt securitiesAnnex V.Part 1.31130Loans and advancesAnnex V.Part 1.32140Short positions150DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36160Debt securities issuedAnnex V.Part 1.37170Other financial liabilitiesAnnex V.Part 1.38-41180GAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NETBAD art 27.Vertical layout(6); Annex V.Part 1.17 16.4 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk References National GAAP based on BADReferences National GAAP compatible IFRSCurrent period010010Interest rate instruments and related derivativesAnnex V.Part 2.200(a)020Equity instruments and related derivativesAnnex V.Part 2.200(b)030Foreign exchange trading and derivatives related with foreign exchange and goldAnnex V.Part 2.200(c)040Credit risk instruments and related derivativesAnnex V.Part 2.200(d)050Derivatives related with commoditiesAnnex V.Part 2.200(e)060OtherAnnex V.Part 2.200(f)070GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NETBAD art 27.Vertical layout(6)IFRS 7.20(a)(i)080Interest rate instruments and related derivativesAnnex V.Part 2.200(a)090Equity instruments and related derivativesAnnex V.Part 2.200(b)100Foreign exchange trading and derivatives related with foreign exchange and goldAnnex V.Part 2.200(c)110Credit risk instruments and related derivativesAnnex V.Part 2.200(d)120Derivatives related with commoditiesAnnex V.Part 2.200(e)130OtherAnnex V.Part 2.200(f)140GAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NETBAD art 27.Vertical layout(6) 16.4.1 Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument References National GAAP based on BADReferences National GAAP compatible IFRSCurrent periodAnnex V.Part 2.201010020Equity instrumentsIAS 32.11030Debt securitiesAnnex V.Part 1.31040Loans and advancesAnnex V.Part 1.32090GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT AND LOSS, NETIFRS 7.20(a)(i)100of which: gains and losses due to the reclassification of assets at amortised costIFRS 9.6.5.2; Annex V.Part 2.202

16.5 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument References National GAAP based on BADReferences National GAAP compatible IFRSCurrent periodChanges in fair value due to credit riskAnnex V.Part 2.203Annex V.Part 2.203010020010Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.11020Debt securitiesAnnex V.Part 1.31Annex V.Part 1.31030Loans and advancesAnnex V.Part 1.32Annex V.Part 1.32040DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36050Debt securities issuedAnnex V.Part 1.37Annex V.Part 1.37060Other financial liabilitiesAnnex V.Part 1.38-41Annex V.Part 1.38-41070GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NETBAD art 27.Vertical layout(6)IFRS 7.20(a)(i)071of which: gains or (-) losses upon designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, netIFRS 9.6.7;IFRS 7.24G(b); Annex V.Part 2.204072of which: gains or (-) losses after designation on financial assets and liabilities designated at fair value through profit or loss for hedging purposes, netIFRS 9.6.7; IFRS 7.20(a)(i); Annex V.Part 2.204080Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5090Debt securitiesAnnex V.Part 1.31100Loans and advancesAnnex V.Part 1.32110DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36120Debt securities issuedAnnex V.Part 1.37130Other financial liabilitiesAnnex V.Part 1.38-41140GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS AND LIABILITIES, NETBAD art 27.Vertical layout(6) 16.6 Gains or losses from hedge accounting References National GAAP based on BAD Annex V.Part 2.207 References National GAAP compatible IFRSCurrent periodAnnex V.Part 2.205010010Fair value changes of the hedging instrument [including discontinuation]Accounting Directive art 8(1)(a), (6), (8)(a)IFRS 7.24A(c);IFRS 7.24C(b)(vi)020Fair value changes of the hedged item attributable to the hedged riskAccounting Directive art 8(1)(a), (6), (8)(a)IFRS 9.6.3.7; .6.5.8; .B6.4.1; IFRS 7.24B(a)(iv); IFRS 7.24C(b)(vi); Annex V.Part 2.206030Ineffectiveness in profit or loss from cash flow hedgesAccounting Directive art 8(1)(a), (6), (8)(a)IFRS 7.24C(b)ii; IFRS 7.24C(b)(vi)040Ineffectiveness in profit or loss from hedges of net investments in foreign operationsAccounting Directive art 8(1)(a)IFRS 7.24C(b)(ii); IFRS 7.24C(b)(vi)050GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NETAccounting Directive art 8(1)(a), (6), (8)(a) 16.7 Impairment on non-financial assets References National GAAP based on BADReferences National GAAP compatible IFRSCurrent periodAdditionsReversalsAccumulated impairmentAnnex V.Part 2.208Annex V.Part 2.208010020040060Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associatesBAD art 27.Vertical layout(13)-(14)IAS 28.40-43070SubsidiariesIFRS 10 Appendix A080Joint venturesIAS 28.3090AssociatesIAS 28.3100Impairment or (-) reversal of impairment on non-financial assetsIAS 36.126(a),(b)110Property, plant and equipmentBAD art 27.Vertical layout(9)IAS 16.73(e)(v-vi)120Investment propertiesBAD art 27.Vertical layout(9)IAS 40.79(d)(v)130GoodwillBAD art 27.Vertical layout(9)IAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v)140Other intangible assetsBAD art 27.Vertical layout(9)IAS 38.118(e)(iv)(v)145OtherIAS 36.126(a),(b)150TOTAL

16.8 Other administrative expenses References National GAAP based on BADReferences National GAAP compatible IFRSCurrent periodExpenses00100010Information Technology expensesAnnex V.Part 2.208iAnnex V.Part 2.208i0020IT outsourcingAnnex V.Part 2.208i-208iiAnnex V.Part 2.208i-208ii0030IT expenses other than IT outsourcing expensesAnnex V.Part 2.208iAnnex V.Part 2.208i0040Taxes and duties (other)Annex V.Part 2.208iiiAnnex V.Part 2.208iii0050Consulting and professional servicesAnnex V.Part 2.208ivAnnex V.Part 2.208iv0060Advertising, marketing and communicationAnnex V.Part 2.208vAnnex V.Part 2.208v0070Expenses related to credit riskAnnex V.Part 2.208viAnnex V.Part 2.208vi0080Litigation expenses not covered by provisionsAnnex V.Part 2.208viiAnnex V.Part 2.208vii0090Real estate expensesAnnex V.Part 2.208viiiAnnex V.Part 2.208viii0100Leasing expensesAnnex V.Part 2.208ixAnnex V.Part 2.208ix0110Other admininstrative expenses – RestAnnex V.Part 2.208xAnnex V.Part 2.208x0120OTHER ADMINISTRATIVE EXPENSES 17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet 17.1 Assets References National GAAP based on BADReferences National GAAP compatible IFRSAccounting scope of consolidation [Carrying amount]Annex V.Part 1.27-28, Part 2.209010010Cash, cash balances at central banks and other demand depositsBAD art 4.Assets(1)IAS 1.54 (i)020Cash on handAnnex V.Part 2.1Annex V.Part 2.1030Cash balances at central banksBAD art 13(2); Annex V.Part 2.2Annex V.Part 2.2040Other demand depositsAnnex V.Part 2.3Annex V.Part 2.3050Financial assets held for tradingAccounting Directive art 8(1)(a), (5); IAS 39.9IFRS 7.8(a)(ii);IFRS 9.Appendix A060DerivativesCRR Annex IIIFRS 9.Appendix A070Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.11080Debt securitiesAnnex V.Part 1.24, 26Annex V.Part 1.31 090Loans and advancesAnnex V.Part 1.24, 27Annex V.Part 1.32091Trading financial assetsBAD Article 32-33; Annex V.Part 1.17092DerivativesCRR Annex II; Annex V.Part 1.17093Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5094Debt securitiesAnnex V.Part 1.31095Loans and advancesAnnex V.Part 1.32096Non-trading financial assets mandatorily at fair value through profit or lossIFRS 9.4.1.4097Equity instrumentsIAS 32.11098Debt securitiesAnnex V.Part 1.31099Loans and advancesAnnex V.Part 1.32100Financial assets designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6)IFRS 7.8(a)(i); IFRS 9.4.1.5110Equity instrumentsIAS 32.11;ECB/2013/33 Annex 2.Part 2.4-5120Debt securitiesAnnex V.Part 1.31Annex V.Part 1.31130Loans and advancesAnnex V.Part 1.32Annex V.Part 1.32141Financial assets at fair value through other comprehensive incomeIFRS 7.8(h); IFRS 9.4.1.2A142Equity instrumentsIAS 32.11143Debt securitiesAnnex V.Part 1.31144Loans and advancesAnnex V.Part 1.32171Non-trading non-derivative financial assets measured at fair value through profit or lossBAD art 36(2)172Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5173Debt securitiesAnnex V.Part 1.31174Loans and advancesAccounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32

175Non-trading non-derivative financial assets measured at fair value to equityAccounting Directive art 8(1)(a), (8)176Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5177Debt securitiesAnnex V.Part 1.31178Loans and advancesAccounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32181Financial assets at amortised costIFRS 7.8(f); IFRS 9.4.1.2182Debt securitiesAnnex V.Part 1.31183Loans and advancesAnnex V.Part 1.32231Non-trading non-derivative financial assets measured at a cost-based methodBAD art 35;Accounting Directive Article 6(1)(i) and Article 8(2); Annex V.Part1.18, 19380Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5232Debt securitiesAnnex V.Part 1.31233Loans and advancesAnnex V.Part 1.32234Other non-trading non-derivative financial assetsBAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20235Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5236Debt securitiesAnnex V.Part 1.31237Loans and advancesAnnex V.Part 1.32240Derivatives – Hedge accountingAccounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22IFRS 9.6.2.1; Annex V.Part 1.22250Fair value changes of the hedged items in portfolio hedge of interest rate riskAccounting Directive art 8(5), (6); IAS 39.89A (a)IAS 39.89A(a); IFRS 9.6.5.8260Investments in subsidaries, joint ventures and associatesBAD art 4.Assets(7)-(8); Accounting Directive art 2(2); Annex V.Part 1.21, Part 2.4, 210IAS 1.54(e); Annex V.Part 1.21, Part 2.4, 210270Assets under reinsurance and insurance contractsAnnex V.Part 2.211IFRS 4.IG20.(b)-(c); Annex V.Part 2.211 280Tangible assetsBAD art 4.Assets(10)290Intangible assetsBAD art 4.Assets(9); CRR art 4(1)(115)IAS 1.54(c); CRR art 4(1)(115)300GoodwillBAD art 4.Assets(9); CRR art 4(1)(113)IFRS 3.B67(d); CRR art 4(1)(113)310Other intangible assetsBAD art 4.Assets(9)IAS 38.8,118320Tax assetsIAS 1.54(n-o)330Current tax assetsIAS 1.54(n); IAS 12.5340Deferred tax assetsAccounting Directive art 17(1)(f); CRR art 4(1)(106)IAS 1.54(o); IAS 12.5; CRR art 4(1)(106)350Other assetsAnnex V.Part 2.5, 6Annex V.Part 2.5360Non-current assets and disposal groups classified as held for saleIAS 1.54(j); IFRS 5.38, Annex V.Part 2.6365(-) Haircuts for trading assets valued at fair valueAnnex V Part 1.29370TOTAL ASSETSBAD art 4 AssetsIAS 1.9(a), IG 6 17.2 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given References National GAAP based on BADReferences National GAAP compatible IFRSAccounting scope of consolidation [Nominal amount]Annex V.Part 2.118, 209010010Loan commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116020Financial guarantees givenCRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116030Other Commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116040OFF-BALANCE SHEET EXPOSURES 17.3 Liabilities and equity

References National GAAP based on BADReferences National GAAP compatible IFRSAccounting scope of consolidation [Carrying amount]Annex V.Part 1.27-28, Part 2.209010010Financial liabilities held for tradingIFRS 7.8 (e) (ii); IFRS 9.BA.6020DerivativesIFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)030Short positionsIFRS 9.BA7(b)040DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36050Debt securities issuedAnnex V.Part 1.37060Other financial liabilitiesAnnex V.Part 1.38-41061Trading financial liabilitiesAccounting Directive art 8(1)(a),(3),(6)062DerivativesCRR Annex II; Annex V.Part 1.25, 27063Short positions064DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36065Debt securities issuedAnnex V.Part 1.37066Other financial liabilitiesAnnex V.Part 1.38-41070Financial liabilities designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6); IAS 39.9IFRS 7.8 (e)(i); IFRS 9.4.2.2080DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36090Debt securities issuedAnnex V.Part 1.37Annex V.Part 1.37100Other financial liabilitiesAnnex V.Part 1.38-41Annex V.Part 1.38-41110Financial liabilities measured at amortised costAccounting Directive art 8(3), (6); IAS 39.47IFRS 7.8(g); IFRS 9.4.2.1120DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36130Debt securities issuedAnnex V.Part 1.31Annex V.Part 1.37140Other financial liabilitiesAnnex V.Part 1.32-34Annex V.Part 1.38-41141Non-trading non-derivative financial liabilities measured at a cost-based methodAccounting Directive art 8(3) 142DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36143Debt securities issuedAnnex V.Part 1.37144Other financial liabilitiesAnnex V.Part 1.38-41150Derivatives – Hedge accountingAccounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.26IFRS 9.6.2.1; Annex V.Part 1.26160Fair value changes of the hedged items in portfolio hedge of interest rate riskAccounting Directive art 8(5), (6); Annex V.Part 2.8; IAS 39.89A(b)IAS 39.89A(b), IFRS 9.6.5.8170Liabilities under insurance and reinsurance contractsAnnex V.Part 2.212IFRS 4.IG20(a); Annex V.Part 2.212180ProvisionsBAD art 4.Liabilities(6)IAS 37.10; IAS 1.54(l)190Tax liabilitiesIAS 1.54(n-o)200Current tax liabilitiesIAS 1.54(n); IAS 12.5210Deferred tax liabilitiesAccounting Directive art 17(1)(f); CRR art 4(1)(108)IAS 1.54(o); IAS 12.5; CRR art 4(1)(108)220Share capital repayable on demandIAS 32 IE 33; IFRIC 2; Annex V.Part 2.12230Other liabilitiesAnnex V.Part 2.13Annex V.Part 2.13240Liabilities included in disposal groups classified as held for saleIAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14245Haircuts for trading liabilities valued at fair valueAnnex V Part 1.29250LIABILITIESIAS 1.9(b);IG 6260CapitalBAD art 4.Liabilities(9), BAD art 22IAS 1.54(r), BAD art 22270Share premiumBAD art 4.Liabilities(10); CRR art 4(124)IAS 1.78(e); CRR art 4(1)(124)280Equity instruments issued other than capitalAnnex V.Part 2.18-19Annex V.Part 2.18-19290Other equityAnnex V.Part 2.20IFRS 2.10; Annex V.Part 2.20300Accumulated other comprehensive incomeCRR art 4(1)(100)CRR art 4(1)(100)310Retained earningsCRR art 4(1)(123)CRR art 4(1)(123)320Revaluation reservesBAD art 4.Liabilities(12)IFRS 1.33, D5-D8325Fair value reservesAccounting Directive art 8(1)(a)

330Other reservesBAD art 4.Liabilities (11)-(13)IAS 1.54; IAS 1.78 (e)335First consolidation differencesAccounting Directive art 24(3)(c)340(-) Treasury sharesAccounting Directive Annex III Annex III Assets D(III)(2); BAD art 4 Assets (12); Annex V.Part 2.20IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.28350Profit or loss attributable to owners of the parentBAD art 4.Liabilities(14)IFRS 10.B94360(-) Interim dividendsCRR Article 26 (2)IAS 32.35370Minority interests [Non-controlling interests]Accounting Directive art 24(4)IAS 1.54(q); IFRS 10.22, .B94380TOTAL EQUITYIAS 1.9(c), IG 6390TOTAL EQUITY AND TOTAL LIABILITIESBAD art 4.LiabilitiesIAS 1.IG6 18 Information on performing and non-performing exposures 18.0 Information on performing and non-performing exposures Gross carrying amount / Nominal amountAccumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 PerformingNon-performing Performing exposures - Accumulated impairment and provisions Non-performing exposures – Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisionsCollateral received and financial guarantees receivedNot past due or Past due <= 30 days Past due 30 days <= 90 days Of which: Instruments without significant increase in credit risk since initial recognition (Stage 1) Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Unlikely to pay that are not past-due or past-due < = 90 days Past due 90 days <= 180 days Past due 180 days <= 1 year Past due 1 year <= 2 years Past due 2 year <= 5 years Past due 5 year <= 7 years Past due > 7 years Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Of which: defaultedof which: Credit-impaired instruments (Stage 3)of which: impairedUnlikely to pay that are not past-due or past-due < = 90 days Past due 90 days <= 180 days Past due 180 days <= 1 year Past due 1 year < = 2 year Past due 2 year < = 5 year Past due 5 year <= 7 years Past due > 7 years Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Of which: Credit-impaired instruments (Stage 3) Collateral received on performing exposuesCollateral received on non-performing exposuesFinancial guarantees received on performing exposuresFinancial guarantees received on non-performing exposuresof which: Instruments without significant increase in credit risk since initial recognition (Stage 1)of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)010020030055056057060070080090101102106107109110121122130140141142150160170180191192196197950951201200205210References National GAAP compatible IFRSAnnex V. Part 1.34, Part 2.118, 221Annex V. Part 2. 213-216, 223-239Annex V. Part 2. 222, 235Annex V. Part 2. 222, 235IFRS 9.5.5.5; IFRS 7.35M(a); Annex V. Part 2. 237(d)IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c)Annex V. Part 2. 213-216, 223-239Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c)CRR art 178; Annex V.Part 2.237(b)IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.237(a)Annex V. Part 2. 238Annex V. Part 2. 238IFRS 9.5.5.5; IFRS 7.35M(a); Annex V. Part 2. 237(d)IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c)Annex V. Part 2. 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c)IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.237(a)Annex V. Part 2. 239Annex V. Part 2. 239Annex V. Part 2. 239Annex V. Part 2. 239References National GAAP based on BADAnnex V. Part 1.34, Part 2.118, 221Annex V. Part 2. 213-216, 223-239Annex V. Part 2. 222, 235Annex V. Part 2. 222, 235Annex V. Part 2. 213-216, 223-239Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236CRR art 178; Annex V.Part 2.237(b)CRR art 4(95); Annex V.Part 2.237(a)Annex V. Part 2. 238Annex V. Part 2. 238Annex V. Part 2. 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 239Annex V. Part 2. 239Annex V. Part 2. 239Annex V. Part 2. 239005Cash balances at central banks and other demand depositsBAD art 13(2); Annex V.Part 2.2, 3Annex V.Part 2.2, 3010Debt securitiesAnnex V.Part 1.31, 44(b)Annex V.Part 1.31, 44(b)020Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)030General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)040Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)050Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)060Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)070Loans and advancesAnnex V.Part 1.32, 44(a)Annex V.Part 1.32, 44(a)080Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)090General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)100Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)

110Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)120Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)130Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)SME Art 1 2(a)140Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)150HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)160Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)170Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)Annex V.Part 2.88(a), 234i (b)180DEBT INSTRUMENTS AT COST OR AT AMORTISED COSTAnnex V.Part 2.233(a)Annex V.Part 2.233(a)181Debt securitiesAnnex V.Part 1.31, 44(b)Annex V.Part 1.31, 44(b)182Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)183General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b) 184Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)185Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)186Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)191Loans and advancesAnnex V.Part 1.32, 44(a)Annex V.Part 1.32, 44(a)192Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)193General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)194Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)195Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)196Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)900Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)SME Art 1 2(a)903Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a) 197HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)910Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)913Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)Annex V.Part 2.88(a), 234i (b)201DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENTAnnex V.Part 2.233(b)Annex V.Part 2.233(b)211Debt securitiesAnnex V.Part 1.31, 44(b)Annex V.Part 1.31, 44(b)212Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)213General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)214Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)215Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)216Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)221Loans and advancesAnnex V.Part 1.32, 44(a)Annex V.Part 1.32, 44(a)222Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)223General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b) 224Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)225Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)226Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)920Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)SME Art 1 2(a)923Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)227HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)930Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)933Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)Annex V.Part 2.88(a), 234i (b)231DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENTAnnex V.Part 2.233(c), 234Annex V.Part 2.233(c), 234330DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADINGAnnex V.Part 2.217Annex V.Part 2.217335DEBT INSTRUMENTS HELD FOR SALEAnnex V.Part 2.220

340Loan commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113, 224CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 224350Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)360General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)370Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)380Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)390Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)400HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)410Financial guarantees givenCRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114, 225IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116, 225420Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)430General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)440Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c) 450Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)460Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)470HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)480Other Commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115, 224CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116, 224490Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)500General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)510Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)520Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)530Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)540HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)550OFF-BALANCE SHEET EXPOSURESAnnex V.Part 2.217Annex V.Part 2.217 18.1 Inflows and outflows of non-performing exposures – loans and advances by counterparty sector Gross carrying amount of loans and advancesInflows to non-performing exposures(-) Outflows from non-performing exposures00100020References National GAAP compatible IFRSAnnex V. Part 2.213-216, 224-234, 239i-239iii, 239viAnnex V. Part 2.213-216, 224-234, 239i, 239iv- 239viReferences National GAAP based on BADAnnex V. Part 2.213-216, 224-234, 239i-239iii, 239viAnnex V. Part 2.213-216, 224-234, 239i, 239iv- 239vi0010Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0020General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0030Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0040Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0050Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0060Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)SME Art 1 2(a)0070Of which: Commercial real estate (CRE) loans to small and medium-sized enterprisesSME Art 1 2(a); Annex V.Part 2.239vii (a), 239ixSME Art 1 2(a); Annex V.Part 2.239vii (a), 239ix0080Of which: Commercial real estate (CRE) loans to non-financial corporations other than SMEsAnnex V.Part 2.239vii (a), 239ixAnnex V.Part 2.239vii (a), 239ix0090Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 239vii (b)Annex V.Part 2.86(a), 87, 239vii (b)0100HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0110Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 239vii (b)Annex V.Part 2.86(a), 87, 239vii (b)0120Of which: Credit for consumptionAnnex V.Part 2.88(a), 239vii (c)Annex V.Part 2.88(a), 239vii (c)0130LOANS AND ADVANCES OTHER THAN HELD FOR TRADING OR TRADINGAnnex V.Part 2.217Annex V.Part 2.2170140LOANS AND ADVANCES HELD FOR SALEAnnex V.Part 2.2200150TOTAL INFLOWS / OUTFLOWS

18.2 Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property Gross carrying amountAccumulated impairment, accumulated negative changes in fair value due to credit risk Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 of which: exposures with forbearance measuresPerformingNon-performingOf which: Exposures with forbearance measures Performing exposures - Accumulated impairments Non-performing exposures – Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisionsCollateral received and financial guarantees receivedNot past due or Past due <= 30 days Past due 30 days <= 90 days of which: performing exposures with forbearance measuresUnlikely to pay that are not past-due or past-due < = 90 days Past due 90 days <= 180 days Past due 180 days <= 1 year Past due 1 year <= 2 years Past due 2 year <= 5 years Past due 5 year <= 7 years Past due > 7 yearsOf which: defaultedOf which: Non-performing exposures with forbearance measuresOf which: Performing exposures with forbearance measuresUnlikely to pay that are not past-due or past-due < = 90 days Past due 90 days <= 180 days Past due 180 days <= 1 year Past due 1 year < = 2 year Past due 2 year < = 5 year Past due 5 year <= 7 years Past due > 7 yearsOf which: Non-performing exposures with forbearance measuresCollateral received on performing exposuesCollateral received on non-performing exposuesFinancial guarantees received on performing exposuresFinancial guarantees received on non-performing exposuresof which: Performing forborne exposures under probation reclassified from non-performing0010002000300040005000600070008000900100011001200130014001500160017001800190020002100220023002400250026002700280029003000310032003300340References National GAAP compatible IFRSAnnex V. Part 1.34, Part 2.118, 221Annex V. Part 1.34, Part 2. 118, 240-245, 251-258Annex V. Part 2. 213-216, 223-239Annex V. Part 2. 222, 235Annex V. Part 2. 222, 235Annex V. Part 2. 256, 259-262Annex V. Part 2. 256(b), 261Annex V. Part 2. 213-216, 223-239Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236CRR art 178; Annex V.Part 2.237(b)Annex V. Part 2. 259-263Annex V. Part 2. 238Annex V. Part 2. 267Annex V. Part 2. 238Annex V. Part 2. 207Annex V. Part 2. 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 207Annex V. Part 2. 239Annex V. Part 2. 239Annex V. Part 2. 239Annex V. Part 2. 239References National GAAP based on BADAnnex V. Part 1.34, Part 2.118, 221Annex V. Part 1.34, Part 2. 118, 240-245, 251-255Annex V. Part 2. 213-216, 223-239Annex V. Part 2. 222, 235Annex V. Part 2. 222, 235Annex V. Part 2. 256, 259-262Annex V. Part 2. 256(b), 261Annex V. Part 2. 213-216, 223-239Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236Annex V. Part 2. 222, 235-236CRR art 178; Annex V.Part 2.237(b)Annex V. Part 2. 259-263Annex V. Part 2. 238Annex V. Part 2. 267Annex V. Part 2. 238Annex V. Part 2. 207Annex V. Part 2. 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 236, 238Annex V. Part 2. 207Annex V. Part 2. 239Annex V. Part 2. 239Annex V. Part 2. 239Annex V. Part 2. 2390010Non-finan-cial corpo-rationsCommercial real estate (CRE) loans to small and medium-sized enterprisesSME Art 1 2(a); Annex V.Part 2.239vi (a), 239viiSME Art 1 2(a); Annex V.Part 2.239vi (a), 239vii0020Commercial real estate (CRE) loans to non-financial corporations other than SMEsAnnex V.Part 2.239vi (a), 239viiAnnex V.Part 2.239vi (a), 239vii0030Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 239vi (b)Annex V.Part 2.86(a), 87, 239vi (b)0040Of which: Loans with LTV ratio higher than 60 % and less than or equal to 80 %Annex V.Part 2.86(a), 87, 239vi (b), 239viiiAnnex V.Part 2.86(a), 87, 239vi (b), 239viii0050Of which: Loans with LTV ratio higher than 80 % and less than or equal to 100 %Annex V.Part 2.86(a), 87, 239vi (b), 239viiiAnnex V.Part 2.86(a), 87, 239vi (b), 239viii0060Of which: Loans with LTV ratio higher than 100 %Annex V.Part 2.86(a), 87, 239vi (b), 239viiiAnnex V.Part 2.86(a), 87, 239vi (b), 239viii0070House-holdsLoans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 239vi (b)Annex V.Part 2.86(a), 87, 239vi (b)0080Of which: Loans with LTV ratio higher than 60 % and less than or equal to 80 %Annex V.Part 2.86(a), 87, 239vi (b), 239viiiAnnex V.Part 2.86(a), 87, 239vi (b), 239viii0090Of which: Loans with LTV ratio higher than 80 % and less than or equal to 100 %Annex V.Part 2.86(a), 87, 239vi (b), 239viiiAnnex V.Part 2.86(a), 87, 239vi (b), 239viii0100Of which: Loans with LTV ratio higher than 100 %Annex V.Part 2.86(a), 87, 239vi (b), 239viiiAnnex V.Part 2.86(a), 87, 239vi (b), 239viii

1. Information forborne exposures Gross carrying amount / nominal amount of exposures with forbearance measuresAccumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 Performing exposures with forbearance measuresNon-performing exposures with forbearance measuresPerfoming exposures with forbearance measures – Accumulated impairment and provisionsNon-performing exposures with forbearance measures – Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisionsCollateral received and financial guarantees receivedInstruments with modifications in their terms and conditionsRefinancingof which: Performing forborne exposures under probation reclassified from non-performingInstruments with modifications in their terms and conditionsRefinancing of which: Defaulted of which: Impaired of which: Forbearance of exposures non-performing prior to forbearance Instruments with modifications in their terms and conditionsRefinancingCollateral received on exposures with forbearance measuresFinancial guarantees received on exposures with forbearance measuresOf which: Collateral received on non-performing exposures with forbearance measuresOf which: Financial guarantees received on non-performing exposures with forbearance measures010020030040050060070080090100110120130140150160170175180185References National GAAP compatible IFRSAnnex V. Part 1.34, Part 2. 118, 240-245, 251-258Annex V. Part 2. 256, 259-262Annex V. Part 2.241(a), 266Annex V. Part 2. 241 (b), 265-266Annex V. Part 2. 256(b), 261Annex V. Part 2. 259-263Annex V. Part 2.241(a), 266Annex V. Part 2. 241 (b), 265-266CRR art 178; Annex V. Part 2.264(b)IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.264(a)Annex V. Part 2. 231, 252(a), 263Annex V. Part 2. 267Annex V. Part 2. 207Annex V. Part 2. 207Annex V. Part 2. 241(a), 267Annex V. Part 2. 241(b), 267Annex V. Part 2. 268Annex V. Part 2. 268Annex V. Part 2. 268Annex V. Part 2. 268References National GAAP based on BADAnnex V. Part 1.34, Part 2. 118, 240-245, 251-255Annex V. Part 2. 256, 259-262Annex V. Part 2.241(a), 266Annex V. Part 2. 241 (b), 265-266Annex V. Part 2. 256(b), 261Annex V. Part 2. 259-263Annex V. Part 2.241(a), 266Annex V. Part 2. 241 (b), 265-266CRR art 178; Annex V. Part 2.264(b)CRR art 4(95); Annex V.Part 2.264(a)Annex V. Part 2. 231, 252(a), 263Annex V. Part 2. 267Annex V. Part 2. 207Annex V. Part 2. 207Annex V. Part 2. 241(a), 267Annex V. Part 2. 241(b), 267Annex V. Part 2. 268Annex V. Part 2. 268Annex V. Part 2. 268Annex V. Part 2. 268005Cash balances at central banks and other demand depositsBAD art 13(2); Annex V.Part 2.2, 3Annex V.Part 2.2, 3010Debt securitiesAnnex V.Part 1.31, 44(b)Annex V.Part 1.31, 44(b)020Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)030General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)040Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)050Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)060Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)070Loans and advancesAnnex V.Part 1.32, 44(a)Annex V.Part 1.32, 44(a)080Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)090General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)100Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)110Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)120Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)

130Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)SME Art 1 2(a)140Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)150HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)160Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)170Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)Annex V.Part 2.88(a), 234i (b)180DEBT INSTRUMENTS AT COST OR AT AMORTISED COSTAnnex V.Part 2.249(a)Annex V.Part 2.249(a)181Debt securitiesAnnex V.Part 1.31, 44(b)Annex V.Part 1.31, 44(b)182Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)183General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)184Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)185Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)186Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e) 191Loans and advancesAnnex V.Part 1.32, 44(a)Annex V.Part 1.32, 44(a)192Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)193General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)194Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)195Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)196Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)900Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)SME Art 1 2(a)903Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)197HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)910Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)913Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)Annex V.Part 2.88(a), 234i (b)201DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENTAnnex V.Part 2.249(b)Annex V.Part 2.249(b)211Debt securitiesAnnex V.Part 1.31, 44(b)Annex V.Part 1.31, 44(b) 212Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)213General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)214Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)215Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)216Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)221Loans and advancesAnnex V.Part 1.32, 44(a)Annex V.Part 1.32, 44(a)222Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)223General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)224Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)225Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)226Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)920Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)SME Art 1 2(a)923Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a) 227HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)930Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)933Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)Annex V.Part 2.88(a), 234i (b)231DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENTAnnex V.Part 2.249Annex V.Part 2.249330DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADINGAnnex V.Part 2.246Annex V.Part 2.246335DEBT INSTRUMENTS HELD FOR SALEAnnex V.Part 2.247340Loan commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113, 246CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 246

1. Geographical breakdown 20.1 Geographical breakdown of assets by location of the activities References National GAAP based on BADReferences National GAAP compatible IFRS Carrying amount Annex V.Part 1.27-28 Domestic activitiviesNon-domestic activitiesAnnex V.Part 2.270Annex V.Part 2.270010020010Cash, cash balances at central banks and other demand depositsBAD art 4.Assets(1)IAS 1.54 (i)020Cash on handAnnex V.Part 2.1Annex V.Part 2.1030Cash balances at central banksBAD art 13(2); Annex V.Part 2.2Annex V.Part 2.2040Other demand depositsAnnex V.Part 2.3Annex V.Part 2.3050Financial assets held for tradingAccounting Directive art 8(1)(a), (5); IAS 39.9IFRS 9. Appendix A060DerivativesCRR Annex IIIFRS 9. Appendix A070Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.11080Debt securitiesAnnex V.Part 1.24, 26Annex V.Part 1.31090Loans and advancesAnnex V.Part 1.24, 27Annex V.Part 1.32091Trading financial assetsBAD Article 32-33; Annex V.Part 1.17092DerivativesCRR Annex II; Annex V.Part 1.17, 27093Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5094Debt securitiesAnnex V.Part 1.31095Loans and advancesAnnex V.Part 1.32096Non-trading financial assets mandatorily at fair value through profit or lossIFRS 7.8(a)(ii); IFRS 9.4.1.4097Equity instrumentsIAS 32.11098Debt securitiesAnnex V.Part 1.31099Loans and advancesAnnex V.Part 1.32100Financial assets designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6)IFRS 7.8(a)(i); IFRS 9.4.1.5110Equity instrumentsIAS 32.11;ECB/2013/33 Annex 2.Part 2.4-5120Debt securitiesAnnex V.Part 1.31Annex V.Part 1.31130Loans and advancesAnnex V.Part 1.32Annex V.Part 1.32 141Financial assets at fair value through other comprehensive incomeIFRS 7.8(h); IFRS 9.4.1.2A142Equity instrumentsIAS 32.11143Debt securitiesAnnex V.Part 1.31144Loans and advancesAnnex V.Part 1.32171Non-trading non-derivative financial assets measured at fair value through profit or lossBAD art 36(2)172Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5173Debt securitiesAnnex V.Part 1.31174Loans and advancesAccounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32175Non-trading non-derivative financial assets measured at fair value to equityAccounting Directive art 8(1)(a), (8)176Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5177Debt securitiesAnnex V.Part 1.31178Loans and advancesAccounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32181Financial assets at amortised costIFRS 7.8(f); IFRS 9.4.1.2182Debt securitiesAnnex V.Part 1.31183Loans and advancesAnnex V.Part 1.32231Non-trading non-derivative financial assets measured at a cost-based methodBAD art 35;Accounting Directive Article 6(1)(i) and Article 8(2); Annex V.Part1.18, 19330Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5232Debt securitiesAnnex V.Part 1.31233Loans and advancesAnnex V.Part 1.32234Other non-trading non-derivative financial assetsBAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20235Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5236Debt securitiesAnnex V.Part 1.31

237Loans and advancesAnnex V.Part 1.32240Derivatives – Hedge accountingAccounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22IFRS 9.6.2.1; Annex V.Part 1.22250Fair value changes of the hedged items in portfolio hedge of interest rate riskAccounting Directive art 8(5), (6); IAS 39.89A (a)IAS 39.89A(a); IFRS 9.6.5.8260Tangible assetsBAD art 4.Assets(10)270Intangible assetsBAD art 4.Assets(9); CRR art 4(1)(115)IAS 1.54(c); CRR art 4(1)(115)280Investments in subsidaries, joint ventures and associatesBAD art 4.Assets(7)-(8); Accounting Directive art 2(2); Annex V.Part 1.21, Part 2.4IAS 1.54(e); Annex V.Part 1.21, Part 2.4290Tax assetsIAS 1.54(n-o)300Other assetsAnnex V.Part 2.5, 6Annex V.Part 2.5310Non-current assets and disposal groups classified as held for saleIAS 1.54(j); IFRS 5.38, Annex V.Part 2.7315(-) Haircuts for trading assets valued at fair valueAnnex V Part 1.29320ASSETSBAD art 4 AssetsIAS 1.9(a), IG 6 20.2 Geographical breakdown of liabilities by location of the activities References National GAAP based on BADReferences National GAAP compatible IFRS Carrying amount Annex V.Part 1.27-28 Domestic activitiviesNon-domestic activitiesAnnex V.Part 2.270Annex V.Part 2.270010020010Financial liabilities held for tradingIFRS 7.8 (e) (ii); IFRS 9.BA.6020DerivativesIFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)030Short positionsIFRS 9.BA7(b)040DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36050Debt securities issuedAnnex V.Part 1.37 060Other financial liabilitiesAnnex V.Part 1.38-41061Trading financial liabilitiesAccounting Directive art 8(1)(a),(3),(6)062DerivativesCRR Annex II; Annex V.Part 1.25063Short positions064DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36065Debt securities issuedAnnex V.Part 1.37066Other financial liabilitiesAnnex V.Part 1.38-41070Financial liabilities designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6); IAS 39.9IFRS 7.8 (e)(i); IFRS 9.4.2.2080DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36090Debt securities issuedAnnex V.Part 1.37Annex V.Part 1.37100Other financial liabilitiesAnnex V.Part 1.38-41Annex V.Part 1.38-41110Financial liabilities measured at amortised costAccounting Directive art 8(3), (6); IAS 39.47IFRS 7.8(g); IFRS 9.4.2.1120DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36130Debt securities issuedAnnex V.Part 1.31Annex V.Part 1.37140Other financial liabilitiesAnnex V.Part 1.32-34Annex V.Part 1.38-41141Non-trading non-derivative financial liabilities measured at a cost-based methodAccounting Directive art 8(3)142DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36143Debt securities issuedAnnex V.Part 1.37144Other financial liabilitiesAnnex V.Part 1.38-41150Derivatives – Hedge accountingAccounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.26IFRS 9.6.2.1; Annex V.Part 1.26160Fair value changes of the hedged items in portfolio hedge of interest rate riskAccounting Directive art 8(5), (6); Annex V.Part 2.8; IAS 39.89A(b)IAS 39.89A(b), IFRS 9.6.5.8

170ProvisionsBAD art 4.Liabilities(6)IAS 37.10; IAS 1.54(l)180Tax liabilitiesIAS 1.54(n-o)190Share capital repayable on demandIAS 32 IE 33; IFRIC 2; Annex V.Part 2.12200Other liabilitiesAnnex V.Part 2.13Annex V.Part 2.13210Liabilities included in disposal groups classified as held for saleIAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14215Haircuts for trading liabilities valued at fair valueAnnex V Part 1.29220LIABILITIESIAS 1.9(b);IG 6 20.3 Geographical breakdown of statement of profit or loss items by location of the activities References National GAAP based on BADReferences National GAAP compatible IFRSCurrent periodDomestic activitiviesNon-domestic activitiesAnnex V.Part 2.270Annex V.Part 2.270010020010Interest incomeBAD art 27.Vertical layout(1); Annex V.Part 2.31IAS 1.97; Annex V.Part 2.31020(Interest expenses)BAD art 27.Vertical layout(2); Annex V.Part 2.31IAS 1.97; Annex V.Part 2.31030(Expenses on share capital repayable on demand)IFRIC 2.11040Dividend incomeBAD art 27.Vertical layout(3); Annex V.Part 2.40Annex V.Part 2.40050Fee and commission incomeBAD art 27.Vertical layout(4)IFRS 7.20(c)060(Fee and commission expenses)BAD art 27.Vertical layout(5)IFRS 7.20(c)070Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, netBAD art 27.Vertical layout(6)Annex V.Part 2.45080Gains or (-) losses on financial assets and liabilities held for trading, netBAD art 27.Vertical layout(6)IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 46 083Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or lossIFRS 9.5.7.1085Gains or (-) losses on trading financial assets and liabilities, netBAD art 27.Vertical layout(6)090Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, netIFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44095Gains or (-) losses on non-trading financial assets and liabilities, netBAD art 27.Vertical layout(6)100Gains or (-) losses from hedge accounting, netAccounting Directive art 8(1)(a), (6), (8)Annex V.Part 2.47-48110Exchange differences [gain or (-) loss], netBAD art 39IAS 21.28, 52 (a)120Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, netBAD art 27.Vertical layout(13)-(14); Annex V Part 2.56130Gains or (-) losses on derecognition of non financial assets, netIAS 1.34140Other operating incomeBAD art 27.Vertical layout(7); Annex V.Part 2.314-316Annex V.Part 2.314-316150(Other operating expenses)BAD art 27.Vertical layout(10); Annex V.Part 2.314-316Annex V.Part 2.314-316155TOTAL OPERATING INCOME, NET160(Administrative expenses)BAD art 27.Vertical layout(8)170(Depreciation)IAS 1.102, 104171Modification gains or (-) losses, netIFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49175(Increases or (-) decreases of the fund for general banking risks, net)BAD art 38.2180(Provisions or (-) reversal of provisions)IAS 37.59, 84; IAS 1.98(b)(f)(g)190(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss)BAD art 35-37, Annex V.Part 2.52, 53IFRS 7.20(a)(viii); Annex V Part 2.51, 53

200(Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates)BAD art 27.Vertical layout(13)-(14)IAS 28.40-43210(Impairment or (-) reversal of impairment on non-financial assets)IAS 36.126(a)(b)220Negative goodwill recognised in profit or lossAccounting Directive art 24(3)(f)IFRS 3.Appendix B64(n)(i)230Share of the profit or (-) loss of investments in subsidaries, joint ventures and associatesBAD art 27.Vertical layout(13)-(14)Annex V.Part 2.54240Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operationsIFRS 5.37; Annex V.Part 2.55250PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONSIAS 1.102, IG 6; IFRS 5.33 A260(Tax expense or (-) income related to profit or loss from continuing operations)BAD art 27.Vertical layout(15)IAS 1.82(d); IAS 12.77270PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONSBAD art 27.Vertical layout(16)IAS 1, IG 6275Extraordinary profit or (-) loss after taxBAD art 27.Vertical layout(21)280Profit or (-) loss after tax from discontinued operationsIAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56290PROFIT OR (-) LOSS FOR THE YEARBAD art 27.Vertical layout(23)IAS 1.81A(a) 20.4 Geographical breakdown of assets by residence of the counterparty Country of residence of the counterparty: Gross carrying amountAccumulated impairmentAccumulated negative changes in fair value due to credit risk on non-performing exposuresOf which: held for trading or tradingof which: financial assets subject to impairmentOf which: forborneOf which: non-perfomingof which: defaultedReferences National GAAP based on BADReferences National GAAP compatible IFRSAnnex V.Part 1.34, Part 2.271, 275Annex V.Part 1.15(a), 16(a), 17, Part 2.273Annex V.Part 2.273Annex V.Part 2.275Annex V.Part 2.275CRR art 178; Annex V.Part 2.237(b)Annex V.Part 2.274Annex V.Part 2.274010011012022025026031040010DerivativesCRR Annex II; Annex V.Part 2.272IFRS 9 Appendix A, Annex V.Part 2.272020Of which: credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)030Of which: other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)040Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b)IAS 32.11050Of which: credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)060Of which: other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)070Of which: non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)080Debt securitiesAnnex V.Part 1.31, 44(b)Annex V.Part 1.31, 44(b)090Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)100General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)110Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)120Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)130Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e) 140Loans and advancesAnnex V.Part 1.32, 44(a)Annex V.Part 1.32, 44(a)150Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)160General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)170Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)180Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)190Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)200Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)SME Art 1 2(a)210Of which: Loans collateralized by commercial immovable propertyAnnex V.Part 2.86(a), 87Annex V.Part 2.86(a), 87220HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)230Of which: Loans collateralized by residential immovable propertyAnnex V.Part 2.86(a), 87Annex V.Part 2.86(a), 87240Of which: Credit for consumptionAnnex V.Part 2.88(a)Annex V.Part 2.88(a)

20.5 Geographical breakdown of off-balance sheet exposures by residence of the counterparty Country of residence of the counterparty: Nominal amountProvisions for commitments and guarantees givenOf which: forborneOf which: non-perfomingof which: defaultedReferences National GAAP based on BADReferences National GAAP compatible IFRSAnnex V.Part 2.118, 271Annex V.Part 2.240-258Annex V.Part 2.275CRR art 178; Annex V.Part 2.237(b)Annex V.Part 2.276010022025026030010Loan commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116020Financial guarantees givenCRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116030Other Commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 20.6 Geographical breakdown of liabilities by residence of the counterparty Country of residence of the counterparty: References National GAAP based on BADReferences National GAAP compatible IFRSCarrying amountAnnex V.Part 1.27-28, 2.271010010DerivativesCRR Annex II; Annex V.Part 1.24(a), 25, 26, 44(e), Part 2.272IFRS 9 Appendix A, Annex V.Part 1.44(e), Part 2.272020Of which: credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)030Of which: other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)040Short positionsAnnex V.Part 1.44(d)IFRS 9.BA7(b); Annex V.Part 1.44(d)050Of which: credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)060Of which: other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)070DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36080Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)090General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)100Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)110Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)120Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)130HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f) 20.7.1 Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes Country of residence of the counterparty: References Non-financial corporations Annex V. Part 2.271, 277 Gross carrying amountAccumulated impairmentAccumulated negative changes in fair value due to credit risk on non-performing exposuresof which: loans and advances subject to impairmentOf which: non-performingAnnex V.Part 1.34, Part 2.275Annex V.Part 2.273Annex V.Part 2.275Annex V.Part 2.274Annex V.Part 2.274010011012021022010A Agriculture, forestry and fishingNACE Regulation020B Mining and quarryingNACE Regulation030C ManufacturingNACE Regulation040D Electricity, gas, steam and air conditioning supplyNACE Regulation050E Water supplyNACE Regulation060F ConstructionNACE Regulation070G Wholesale and retail tradeNACE Regulation080H Transport ans storageNACE Regulation090I Accommodation and food service activitiesNACE Regulation100J Information and communicationNACE Regulation105K Financial and insurance activitiesNACE Regulation110L Real estate activitiesNACE Regulation120M Professional, scientific and technical activitiesNACE Regulation130N Administrative and support service activitiesNACE Regulation140O Public administration and defence, compulsory social securityNACE Regulation

150P EducationNACE Regulation160Q Human health services and social work activitiesNACE Regulation170R Arts, entertainment and recreationNACE Regulation180S Other servicesNACE Regulation190LOANS AND ADVANCESAnnex V.Part 1.32 21. Tangible and intangible assets: assets subject to operating lease References National GAAP based on BADReferences National GAAP compatible IFRSCarrying amountAnnex V.Part 2.278-279010010Property plant and equipmentIAS 16.6; IAS 1.54(a)020Revaluation modelIAS 17.49; IAS 16.31, 73(a)(d)030Cost modelIAS 17.49; IAS 16.30, 73(a)(d)040Investment propertyIAS 40.IN5; IAS 1.54(b)050Fair value modelIAS 17.49; IAS 40.33-55, 76060Cost modelIAS 17.49; IAS 40.56,79(c)070Other intangible assetsBAD art 4.Assets(9)IAS 38.8, 118080Revaluation modelIAS 17.49; IAS 38.75-87, 124(a)(ii)090Cost modelIAS 17.49; IAS 38.74 22. Asset management, custody and other service functions 22.1 Fee and commission income and expenses by activity References National GAAP based on BADReferences National GAAP compatible IFRSCurrent periodAnnex V.Part 2.280BAD art 27.Vertical layout(4), (5)IFRS 7.20(c )010010Fee and commission incomeAnnex V.Part 2.281-284020Securities030IssuancesAnnex V.Part 2.284(a)Annex V.Part 2.284(a)040Transfer ordersAnnex V.Part 2.284(b)Annex V.Part 2.284(b)050Other fee and commission income in relation to securitiesAnnex V.Part 2.284(c)Annex V.Part 2.284(c)051Corporate Finance052M&A advisoryAnnex V.Part 2.284 (e)Annex V.Part 2.284 (e)053Treasury servicesAnnex V.Part 2.284(f)Annex V.Part 2.284(f)054Other fee and commission income in relation to corporate finance activitiesAnnex V.Part 2.284(g)Annex V.Part 2.284(g)055Fee based adviceAnnex V.Part 2.284(h)Annex V.Part 2.284(h)060Clearing and settlementAnnex V.Part 2.284(i)Annex V.Part 2.284(i)070Asset managementAnnex V.Part 2.284(j); 285(a)Annex V.Part 2.284(j); 285(a)080Custody [by type of customer]Annex V.Part 2.284(j); 285(b)Annex V.Part 2.284(j); 285(b)090Collective investment100Other fee and commission income in relation to custody services 110Central administrative services for collective investmentAnnex V.Part 2.284(j); 285(c)Annex V.Part 2.284(j); 285(c)120Fiduciary transactionsAnnex V.Part 2.284(j); 285(d)Annex V.Part 2.284(j); 285(d)131Payment servicesAnnex V.Part 2.284(k), 285(e)Annex V.Part 2.284(k), 285(e)132Current accountsAnnex V.Part 2.284(k), 285(e)Annex V.Part 2.284(k), 285(e)133Credit cardsAnnex V.Part 2.284(k), 285(e)Annex V.Part 2.284(k), 285(e)134Debit cards and other card paymentsAnnex V.Part 2.284(k), 285(e)Annex V.Part 2.284(k), 285(e)135Transfers and other payment ordersAnnex V.Part 2.284(k), 285(e)Annex V.Part 2.284(k), 285(e)136Other fee and commission income in relation to payment servicesAnnex V.Part 2.284(k), 285(e)Annex V.Part 2.284(k), 285(e)140Customer resources distributed but not managed [by type of product]Annex V.Part 2.284 (l); 285(f)Annex V.Part 2.284 (l); 285(f)150Collective investment160Insurance products170Other fee and commission income in relation to customer resources distributed but not managed180Structured FinanceAnnex V.Part 2.284(n)Annex V.Part 2.284(n)190Loan servicing activitiesAnnex V.Part 2.284(o)Annex V.Part 2.284(o)200Loan commitments givenAnnex V.Part 2.284(p)IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(p)210Financial guarantees givenAnnex V.Part 2.284(p)IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(p)211Loans grantedAnnex V.Part 2.284(r)Annex V.Part 2.284(r)213Foreign exchangeAnnex V.Part 2.284(s)Annex V.Part 2.284(s)214CommoditiesAnnex V.Part 2.284(t)Annex V.Part 2.284(t)220Other fee and commission incomeAnnex V.Part 2.284(u)Annex V.Part 2.284(u)230(Fee and commission expenses)Annex V.Part 2.281-284235(Securities)Annex V.Part 2.284(d)Annex V.Part 2.284(d)240(Clearing and settlement)Annex V.Part 2.284(i)Annex V.Part 2.284(i)245(Asset management)Annex V.Part 2.284(j); 285(a)Annex V.Part 2.284(j); 285(a)250(Custody)Annex V.Part 2.284(j); 285 (b)Annex V.Part 2.284(j); 285 (b)255(Payment services)Annex V.Part 2.284(k), 285(e)Annex V.Part 2.284(k), 285(e)

256(of which: Credit, Debit and other Cards)260(Loan servicing activities)Annex V.Part 2.284(o)Annex V.Part 2.284(o)270(Loan commitments received)Annex V.Part 2.284(q)Annex V.Part 2.284(q)280(Financial guarantees received)Annex V.Part 2.284(q)Annex V.Part 2.284(q)281(Externally provided distribution of products)Annex V.Part 2.284(m)Annex V.Part 2.284(m)282(Foreign exchange)Annex V.Part 2.284(s)Annex V.Part 2.284(s)290(Other fee and commission expenses)Annex V.Part 2.284(u)Annex V.Part 2.284(u) 22.2 Assets involved in the services provided References National GAAP based on BADReferences National GAAP compatible IFRSAmount of the assets involved in the services providedAnnex V.Part 2.285(g)010010Asset management [by type of customer]Annex V.Part 2.285(a)Annex V.Part 2.285(a)020Collective investment030Pension funds040Customer portfolios managed on a discretionary basis050Other investment vehicles060Custody assets [by type of customer]Annex V.Part 2.285(b)Annex V.Part 2.285(b)070Collective investment080Other090Of which: entrusted to other entities100Central administrative services for collective investmentAnnex V.Part 2.285(c)Annex V.Part 2.285(c)110Fiduciary transactionsAnnex V.Part 2.285(d)Annex V.Part 2.285(d)120Payment servicesAnnex V.Part 2.285(e)Annex V.Part 2.285(e)130Customer resources distributed but not managed [by type of product]Annex V.Part 2.285(f)Annex V.Part 2.285(f)140Collective investment150Insurance products160Other 23. Loans and advances: additional information 23.1 Loans and advances: Number of instruments Number of instruments (Annex V.Part 2.320) PerformingNon PerformingUnlikely to pay that are not past due or past due <= 90 daysPast due > 90 daysof which: Exposures with forbearance measuresof which: Past due > 30 days <= 90 daysof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresPast due > 90 days <= 180 daysPast due > 180 days <= 1 yearPast due > 1 years <=2 yearsPast due > 2 years <=5 yearsPast due > 5 years <=7 yearsPast due > 7 yearsReferences National GAAP compatible IFRSAnnex V.Part 1.32Annex V. Part 2. 256, 259-263Annex V. Part 2. 213-216, 226-239Annex V. Part 2. 222, 235Annex V. Part 2. 259-261Annex V. Part 2. 213-216, 226-239Annex V. Part 2.256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236References National GAAP based on BADAnnex V.Part 1.32Annex V. Part 2. 256, 259-263Annex V. Part 2. 213-216, 226-232Annex V. Part 2. 222, 235Annex V. Part 2. 259-261Annex V. Part 2. 213-216, 226-232Annex V. Part 2.256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236001000200030004000500060007000800090010001100120013001400150016001700010Loans and advancesAnnex V.Part 1.32, 44(a), Part 2.319Annex V.Part 1.32, 44(a), Part 2.3190020of which: HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0030of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)0040of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)Annex V.Part 1.42(e), SME Art 1 2(a)0050of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0060of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0070of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0080Loans and advances in pre-litigation statusAnnex V.Part 1.32, 44(a), Part 2.319, 321Annex V.Part 1.32, 44(a), Part 2.319, 3210090of which: HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0100of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87Annex V.Part 2.86(a), 87

0110of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)Annex V.Part 1.42(e), SME Art 1 2(a)0120of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0130of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0140of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0150Loans and advances in litigation statusAnnex V.Part 1.32, 44(a), Part 2.319; 322Annex V.Part 1.32, 44(a), Part 2.319; 3220160of which: HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0170of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87Annex V.Part 2.86(a), 870180of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)Annex V.Part 1.42(e), SME Art 1 2(a)0190of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0200of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0210of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix 23.2 Loans and advances: Additional information on gross carrying amounts Gross carrying amount (Annex V.Part 1.34) PerformingNon PerformingUnlikely to pay that are not past due or past due <= 90 daysPast due > 90 daysof which: Exposures with forbearance measuresof which: Past due > 30 days <= 90 daysof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresPast due > 90 days <= 180 daysPast due > 180 days <= 1 yearPast due > 1 years <=2 yearsPast due > 2 years <=5 yearsPast due > 5 years <=7 yearsPast due > 7 yearsReferences National GAAP compatible IFRSAnnex V.Part 1.32Annex V. Part 2. 256, 259-263Annex V. Part 2. 213-216, 226-239Annex V. Part 2. 222, 235Annex V. Part 2. 259-261Annex V. Part 2. 213-216, 226-239Annex V. Part 2.256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236References National GAAP based on BADAnnex V.Part 1.32Annex V. Part 2. 256, 259-263Annex V. Part 2. 213-216, 226-232Annex V. Part 2. 222, 235Annex V. Part 2. 259-261Annex V. Part 2. 213-216, 226-232Annex V. Part 2.256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236001000200030004000500060007000800090010001100120013001400150016001700010Loans and advancesAnnex V.Part 1.32, 44(a), Part 2.319Annex V.Part 1.32, 44(a), Part 2.3190020of which: HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0030of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87Annex V.Part 2.86(a), 870040of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)Annex V.Part 1.42(e), SME Art 1 2(a)0050of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0060of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0070of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0080Loans and advances at cost or at amortised costAnnex V.Part 1.32, 44(a), Part 2.233 (a), 319Annex V.Part 1.32, 44(a), Part 2.233 (a), 3190090of which: HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0100of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87Annex V.Part 2.86(a), 870110of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)Annex V.Part 1.42(e), SME Art 1 2(a)0120of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0130of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0140of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix

0150Loans and advances in pre-litigation statusAnnex V.Part 1.32, 44(a), Part 2.319, 321Annex V.Part 1.32, 44(a), Part 2.319, 3210160of which: HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0170of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87Annex V.Part 2.86(a), 870180of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)Annex V.Part 1.42(e), SME Art 1 2(a)0190of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0200of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0210of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0220Loans and advances in litigation statusAnnex V.Part 1.32, 44(a), Part 2.319, 322Annex V.Part 1.32, 44(a), Part 2.319, 3220230of which: HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0240of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87Annex V.Part 2.86(a), 870250of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)Annex V.Part 1.42(e), SME Art 1 2(a)0260of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0270of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0280of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix 0290Unsecured loans and advances without guaranteesAnnex V.Part 1.32, 44(a), Part 2.319, 323Annex V.Part 1.32, 44(a), Part 2.319, 3230300of which: HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0310of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)Annex V.Part 1.42(e), SME Art 1 2(a)0320of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0330of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0340of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0350Loans and advances with an accumulated coverage ratio > 90 %Annex V.Part 1.32, 44(a), Part 2.319, 324Annex V.Part 1.32, 44(a), Part 2.319, 3240360of which: HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0370of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87Annex V.Part 2.86(a), 870380of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)Annex V.Part 1.42(e), SME Art 1 2(a)0390of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0400of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0410of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix 23.3 Loans and advances collateralised by immovable property: Breakdown by LTV ratios Gross carrying amount (Annex V.Part 1.34) PerformingNon PerformingUnlikely to pay that are not past due or past due <= 90 daysPast due > 90 daysof which: Exposures with forbearance measuresof which: Past due > 30 days <= 90 daysof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresPast due > 90 days <= 180 daysPast due > 180 days <= 1 yearPast due > 1 years <=2 yearsPast due > 2 years <=5 yearsPast due > 5 years <=7 yearsPast due > 7 yearsReferences National GAAP compatible IFRSAnnex V.Part 1.32Annex V. Part 2. 256, 259-263Annex V. Part 2. 213-216, 226-239Annex V. Part 2. 222, 235Annex V. Part 2. 259-261Annex V. Part 2. 213-216, 226-239Annex V. Part 2.256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236References National GAAP based on BADAnnex V.Part 1.32Annex V. Part 2. 256, 259-263Annex V. Part 2. 213-216, 226-232Annex V. Part 2. 222, 235Annex V. Part 2. 259-261Annex V. Part 2. 213-216, 226-232Annex V. Part 2.256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236001000200030004000500060007000800090010001100120013001400150016001700010Loans and advances collateralised by immovable propertyAnnex V.Part 1.32, 44(a), Part 2.86(a), 87, 319Annex V.Part 1.32, 44(a), Part 2.86(a), 87, 3190020Of which: Loans with a LTV higher than 60 % and lower than or equal to 80 %Annex V.Part 2.239x, 325Annex V.Part 2.239x, 3250030Of which: Loans with a LTV higher than 80 % and lower than or equal to 100 %Annex V.Part 2.239x, 325Annex V.Part 2.239x, 3250040Of which: Loans with a LTV higher than 100 %Annex V.Part 2.239x, 325Annex V.Part 2.239x, 3250050Loans and advances to small and medium-sized enterprises (NFCs) collateralised by commercial immovable propertyAnnex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a)Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a)0060Of which: Loans with a LTV higher than 60 % and lower than or equal to 80 %Annex V.Part 2.239x, 325Annex V.Part 2.239x, 3250070Of which: Loans with a LTV higher than 80 % and lower than or equal to 100 %Annex V.Part 2.239x, 325Annex V.Part 2.239x, 3250080Of which: Loans with a LTV higher than 100 %Annex V.Part 2.239x, 325Annex V.Part 2.239x, 3250090Loans and advances to non-financial corporations (NFCs) other than SMEs collateralised by commercial immovable propertyAnnex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a)Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a)0100Of which: Loans with a LTV higher than 60 % and lower than or equal to 80 %Annex V.Part 2.239x, 325Annex V.Part 2.239x, 3250110Of which: Loans with a LTV higher than 80 % and lower than or equal to 100 %Annex V.Part 2.239x, 325Annex V.Part 2.239x, 325

0120Of which: Loans with a LTV higher than 100 %Annex V.Part 2.239x, 325Annex V.Part 2.239x, 3250130Commercial Real Estate loans to small and medium-sized enterprises (NFCs) collateralised by immovable propertyAnnex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a)Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a)0140Of which: Loans with a LTV higher than 60 % and lower than or equal to 80 %Annex V.Part 2.239x, 325Annex V.Part 2.239x, 3250150Of which: Loans with a LTV higher than 80 % and lower than or equal to 100 %Annex V.Part 2.239x, 325Annex V.Part 2.239x, 3250160Of which: Loans with a LTV higher than 100 %Annex V.Part 2.239x, 325Annex V.Part 2.239x, 3250170Commercial Real Estate loans to non-financial corporations (NFCs) other than SMEs) collateralised by immovable propertyAnnex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a)Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a)0180Of which: Loans with a LTV higher than 60 % and lower than or equal to 80 %Annex V.Part 2.239x, 325Annex V.Part 2.239x, 3250190Of which: Loans with a LTV higher than 80 % and lower than or equal to 100 %Annex V.Part 2.239x, 325Annex V.Part 2.239x, 3250200Of which: Loans with a LTV higher than 100 %Annex V.Part 2.239x, 325Annex V.Part 2.239x, 325 23.4 Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to credit risk Accumulated impairment, accumulated negative changes in fair value due to credit risk (Annex V. Part 2.69-71) PerformingNon PerformingUnlikely to pay that are not past due or past due <= 90 daysPast due > 90 daysof which: Exposures with forbearance measuresof which: Past due > 30 days <= 90 daysof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresPast due > 90 days <= 180 daysPast due > 180 days <= 1 yearPast due > 1 years <=2 yearsPast due > 2 years <=5 yearsPast due > 5 years <=7 yearsPast due > 7 yearsReferences National GAAP compatible IFRSAnnex V.Part 1.32Annex V. Part 2. 256, 259-263Annex V. Part 2. 213-216, 226-239Annex V. Part 2. 222, 235Annex V. Part 2. 259-261Annex V. Part 2. 213-216, 226-239Annex V. Part 2.256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236References National GAAP based on BADAnnex V.Part 1.32Annex V. Part 2. 256, 259-263Annex V. Part 2. 213-216, 226-232Annex V. Part 2. 222, 235Annex V. Part 2. 259-261Annex V. Part 2. 213-216, 226-232Annex V. Part 2.256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236001000200030004000500060007000800090010001100120013001400150016001700010Loans and advancesAnnex V.Part 1.32, 44(a), Part 2.319Annex V.Part 1.32, 44(a), Part 2.3190020of which: HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0030of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87Annex V.Part 2.86(a), 870040of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)Annex V.Part 1.42(e), SME Art 1 2(a)0050of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0060of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0070of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0080Loans and advances at cost or at amortised costAnnex V.Part 1.32, 44(a), Part 2.233 (a), 319Annex V.Part 1.32, 44(a), Part 2.233 (a), 3190090of which: HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0100of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87Annex V.Part 2.86(a), 87

0110of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)Annex V.Part 1.42(e), SME Art 1 2(a)0120of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0130of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0140of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0150Unsecured loans and advances without guaranteesAnnex V.Part 1.32, 44(a), Part 2.319, 323Annex V.Part 1.32, 44(a), Part 2.319, 3230160of which: HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0170of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)Annex V.Part 1.42(e), SME Art 1 2(a)0180of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0190of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0200of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix 23.5 Loans and advances: Collateral received and financial guarantees received Maximum amount of the collateral or guarantee that can be considered Annex V.Part 2.171-172, 174 PerformingNon PerformingUnlikely to pay that are not past due or past due <= 90 daysPast due > 90 daysof which: Exposures with forbearance measuresof which: Past due > 30 days <= 90 daysof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresPast due > 90 days <= 180 daysPast due > 180 days <= 1 yearPast due > 1 years <=2 yearsPast due > 2 years <=5 yearsPast due > 5 years <=7 yearsPast due > 7 yearsReferences National GAAP compatible IFRSAnnex V.Part 1.32Annex V. Part 2. 256, 259-263Annex V. Part 2. 213-216, 226-239Annex V. Part 2. 222, 235Annex V. Part 2. 259-261Annex V. Part 2. 213-216, 226-239Annex V. Part 2.256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236References National GAAP based on BADAnnex V.Part 1.32Annex V. Part 2. 256, 259-263Annex V. Part 2. 213-216, 226-232Annex V. Part 2. 222, 235Annex V. Part 2. 259-261Annex V. Part 2. 213-216, 226-232Annex V. Part 2.256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236001000200030004000500060007000800090010001100120013001400150016001700010Financial guarantees received on loans and advancesAnnex V.Part 2.319, 326Annex V.Part 2.319, 3260020of which: HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0030of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87Annex V.Part 2.86(a), 870040of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)Annex V.Part 1.42(e), SME Art 1 2(a)0050of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0060of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0070of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0080Collateral received on loans and advancesAnnex V.Part 2.319, 326Annex V.Part 2.319, 3260090of which: HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0100of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87Annex V.Part 2.86(a), 870110of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)Annex V.Part 1.42(e), SME Art 1 2(a)0120of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix

0130of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0140of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0150Immovable property collateral received on loans and advancesAnnex V.Part 2.319, 326Annex V.Part 2.319, 3260160of which: HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0170of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87Annex V.Part 2.86(a), 870180of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)Annex V.Part 1.42(e), SME Art 1 2(a)0190of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0200of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0210of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0220Memorandum item: Collateral received on loans and advances – uncapped amountsAnnex V.Part 2.319, 326, 327Annex V.Part 2.319, 326, 3270230of which: Immovable property collateralAnnex V.Part 2.319, 326, 327Annex V.Part 2.319, 326, 327 23.6 Loans and advances: Accumulated partial write-offs Accumulated partial write-offs (Annex V.Part 2.72, 74) PerformingNon PerformingUnlikely to pay that are not past due or past due <= 90 daysPast due > 90 daysof which: Exposures with forbearance measuresof which: Past due > 30 days <= 90 daysof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresof which: Exposures with forbearance measuresPast due > 90 days <= 180 daysPast due > 180 days <= 1 yearPast due > 1 years <=2 yearsPast due > 2 years <=5 yearsPast due > 5 years <=7 yearsPast due > 7 yearsReferences National GAAP compatible IFRSAnnex V.Part 1.32Annex V. Part 2. 256, 259-263Annex V. Part 2. 213-216, 226-239Annex V. Part 2. 222, 235Annex V. Part 2. 259-261Annex V. Part 2. 213-216, 226-239Annex V. Part 2.256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236References National GAAP based on BADAnnex V.Part 1.32Annex V. Part 2. 256, 259-263Annex V. Part 2. 213-216, 226-232Annex V. Part 2. 222, 235Annex V. Part 2. 259-261Annex V. Part 2. 213-216, 226-232Annex V. Part 2.256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236, 256, 259-262Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236Annex V. Part 2.222, 235-236001000200030004000500060007000800090010001100120013001400150016001700010Loans and advancesAnnex V.Part 1.32, 44(a), Part 2.319Annex V.Part 1.32, 44(a), Part 2.3190020of which: HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0030of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87Annex V.Part 2.86(a), 870040of which: Non-financial corporations – SMEsAnnex V.Part 1.42(e), SME Art 1 2(a)Annex V.Part 1.42(e), SME Art 1 2(a)0050of which: Commercial Real Estate (CRE) loans to SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0060of which: Non-financial corporations – other than SMEsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0070of which: Commercial Real Estate (CRE) loans to NFCs other than SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix

1. Loans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year 24.1 Loans and advances: Inflows and outflows of non-performing exposures Gross Carrying amount (Annex V. Part 1.34) Non-performing exposures – loans and advancesof which: Householdsof which: Non-financial corporationsof which: Loans collateralised by residential immovable propertyof which: SMEsof which: CRE loans to NFCs other than SMEs of which: Commercial Real Estate (CRE) loans References National GAAP compatible IFRSAnnex V.Part 1.32, 34, Part 2.213-216, 223-239Annex V.Part 1.42(f), 44(a)Annex V.Part 2.86(a), 87Annex V.Part 1.42(e), 44(a)SME Art 1 2(a)SME Art 1 2(a), Annex V.Part 2.239ixAnnex V.Part 2.239ixReferences National GAAP based on BADAnnex V.Part 1.32, 34, Part 2.213-216, 223-239Annex V.Part 1.42(f), 44(a)Annex V.Part 2.86(a), 87Annex V.Part 1.42(e), 44(a)SME Art 1 2(a)SME Art 1 2(a), Annex V.Part 2.239ixAnnex V.Part 2.239ix00100020003000400050006000700010Opening balanceAnnex V.Part 2.328Annex V.Part 2.3280020InflowsAnnex V.Part 2.239ii, 239iii, 239vi, 329Annex V.Part 2.239ii, 239iii, 239vi, 3290030Inflow due to reclassification from performing not forborneAnnex V.Part 2.239ii, 239iii, 239vi, 329Annex V.Part 2.239ii, 239iii, 239vi, 3290040Inflow due to reclassification from performing forborneAnnex V.Part 2.239ii, 239iii, 239vi, 329Annex V.Part 2.239ii, 239iii, 239vi, 3290050of which: reclassified from performing forborne exposures under probation previously reclassified from non-performingAnnex V.Part 2.239ii, 239iii, 239vi, 329(b)Annex V.Part 2.239ii, 239iii, 239vi, 329(b)0060Inflow due to purchase of exposuresAnnex V.Part 2.239ii, 239iii, 239vi, 329Annex V.Part 2.239ii, 239iii, 239vi, 3290070Inflow due to accrued interestAnnex V.Part 2.239ii, 239iii, 239vi, 329 (a)Annex V.Part 2.239ii, 239iii, 239vi, 329 (a)0080Inflow due to other reasonsAnnex V.Part 2.239ii, 239iii, 239vi, 329 (c)Annex V.Part 2.239ii, 239iii, 239vi, 329 (c)0090Of which: Inflow more than onceAnnex V.Part 2.239ii, 239iii, 239vi, 330 (a)Annex V.Part 2.239ii, 239iii, 239vi, 330 (a)0100Of which: Inflow of exposures granted in the past 24 monthsAnnex V.Part 2.239ii, 239iii, 239vi, 330 (b)Annex V.Part 2.239ii, 239iii, 239vi, 330 (b) 0110Of which: Inflow of exposures granted during the periodAnnex V.Part 2.239ii, 239iii, 239vi, 330 (b)Annex V.Part 2.239ii, 239iii, 239vi, 330 (b)0120OutflowsAnnex V.Part 2.239iii-239v, 331, 332Annex V.Part 2.239iii-239v, 331, 3320130Outflow due to reclassification as performing not forborneAnnex V.Part 2.239iii-239v(a), 331, 332Annex V.Part 2.239iii-239v(a), 331, 3320140Outflow due to reclassification as performing forborneAnnex V.Part 2.239iii-239v(a), 331, 332Annex V.Part 2.239iii-239v(a), 331, 3320150Outflow due to partial or total loan repaymentAnnex V.Part 2.239iii-239v(b), 331, 332Annex V.Part 2.239iii-239v(b), 331, 3320160Outflow due to collateral liquidationsAnnex V.Part 2.239iii-239v(c), 331, 332Annex V.Part 2.239iii-239v(c), 331, 3320170Net cumulated recoveries from collateral liquidationAnnex V.Part 2.333Annex V.Part 2.3330180of which: Write-offs in the context of collateral liquidationsAnnex V.Part 2.239iii-239v(c)Annex V.Part 2.239iii-239v(c)0190Outflow due to taking possession of collateralAnnex V.Part 2.239iii-239v(d), 331, 332Annex V.Part 2.239iii-239v(d), 331, 3320200Net cumulated recoveries from taking possession of collateralAnnex V.Part 2.333Annex V.Part 2.3330210of which: Write-offs in the context of taking possession of collateralAnnex V.Part 2.239iii-239v(d)Annex V.Part 2.239iii-239v(d)0220Outflow due to sale of instrumentsAnnex V.Part 2.239iii-239v(e), 331, 332Annex V.Part 2.239iii-239v(e), 331, 332

0230Net cumulated recoveries from sale of instrumentsAnnex V.Part 2.333Annex V.Part 2.3330240of which: Write-offs in the context of sale of instrumentsAnnex V.Part 2.239iii-239v(e)Annex V.Part 2.239iii-239v(e)0250Outflow due to risk transfersAnnex V.Part 2.239iii-239v(f), 331, 332Annex V.Part 2.239iii-239v(f), 331, 3320260Net cumulated recoveries from risk transfersAnnex V.Part 2.333Annex V.Part 2.3330270of which: Write-offs in the context of risk transfersAnnex V.Part 2.239iii-239v(f)Annex V.Part 2.239iii-239v(f)0280Outflow due to write-offsAnnex V.Part 2.239iii-239v(g), 331, 332Annex V.Part 2.239iii-239v(g), 331, 3320290Outflow due to reclassification as held for saleAnnex V.Part 2.239iii-239vi, 331, 332Annex V.Part 2.239iii-239vi, 331, 3320300Outflow due to other reasonsAnnex V.Part 2.239iii-239v(h), 331, 332Annex V.Part 2.239iii-239v(h), 331, 3320310Of which: Outflow of non-performing exposures that became non-performing during the periodAnnex V.Part 2.334Annex V.Part 2.3340320Closing balanceAnnex V.Part 2.328Annex V.Part 2.328 24.2 Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures Accumulated impairment and accumulated negative changes in fair value due to credit riskNon-performing exposures – loans and advancesof which: Householdsof which: Non-financial corporationsof which: Loans collateralised by residential immovable propertyof which: SMEsof which: Commercial Real Estate (CRE) loans to NFCs other than SMEs of which: Commercial Real Estate (CRE) loans References National GAAP compatible IFRSAnnex V.Part 1.32, Part 2.69-71, 213-216, 223-239Annex V.Part 1.42(f), 44(a)Annex V.Part 2.86(a), 87Annex V.Part 1.42(e), 44(a)SME Art 1 2(a)SME Art 1 2(a), Annex V.Part 2.239ixAnnex V.Part 2.239ixReferences National GAAP based on BADAnnex V.Part 1.32, Part 2.69-71, 213-216, 223-239Annex V.Part 1.42(f), 44(a)Annex V.Part 2.86(a), 87Annex V.Part 1.42(e), 44(a)SME Art 1 2(a)SME Art 1 2(a), Annex V.Part 2.239ixAnnex V.Part 2.239ix00100020003000400050006000700010Opening balanceAnnex V.Part 2.335Annex V.Part 2.3350020Increases during the periodAnnex V.Part 2.336Annex V.Part 2.3360030Of which: impairments against interest accruedAnnex V.Part 2.337Annex V.Part 2.3370040Decreases during the periodAnnex V.Part 2.338Annex V.Part 2.3380050Of which: Reversal of impairment and negative changes in fair value due to credit riskAnnex V.Part 2.339(a)Annex V.Part 2.339(a)0060Of which: Release of allowances due to unwinding processAnnex V.Part 2.339(b)Annex V.Part 2.339(b)0070Closing balanceAnnex V.Part 2.335Annex V.Part 2.335 24.3 Loans and advances: Write-offs of non-performing exposures during the period Gross Carrying amountNon-performing exposures – Loans and advancesof which: Householdsof which: Non-financial corporationsof which: Loans collateralised by residential immovable propertyOf which: SMEsOf which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Of which: Commercial Real Estate (CRE) loans to SMEs

References National GAAP compatible IFRSAnnex V.Part 1.32, 34, Part 2.213-216, 223-239Annex V.Part 1.42(f), 44(a)Annex V.Part 2.86(a), 87Annex V.Part 1.42(e), 44(a)SME Art 1 2(a)SME Art 1 2(a), Annex V.Part 2.239ixAnnex V.Part 2.239ixReferences National GAAP based on BADAnnex V.Part 1.32, 34, Part 2.213-216, 223-239Annex V.Part 1.42(f), 44(a)Annex V.Part 2.86(a), 87Annex V.Part 1.42(e), 44(a)SME Art 1 2(a)SME Art 1 2(a), Annex V.Part 2.239ixAnnex V.Part 2.239ix00100020003000400050006000700010Write-offs during the periodAnnex V.Part 2.340Annex V.Part 2.3400020Of which: Debt forgivenessAnnex V.Part 2.340Annex V.Part 2.340 25. Collateral obtained by taking possession and execution processes 25.1 Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and outflows Debt balance reductionCollateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E)Vintage: Recognition in balance sheet for Of which: Non-current assets held-for-sale <= 2 years> 2 years <= 5 years> 5 yearsGross carrying amountAccumulated impairment, accumulated negative changes in fair value due to credit riskValue at initial recognitionCarrying amountValue at initial recognitionCarrying amountValue at initial recognitionCarrying amountValue at initial recognitionCarrying amountValue at initial recognitionCarrying amountReferences National GAAP compatible IFRSAnnex V.Part 1.34, Part 2.343Annex V.Part 2.69-71, 343Annex V.Part 2.175, 175i, 344Annex V.Part 1.27, Part 2.175Annex V.Part 2.175, 175i, 348Annex V.Part 1.27, Part 2.175, 348Annex V.Part 2.175, 175i, 348Annex V.Part 1.27, Part 2.175, 348Annex V.Part 2.175, 175i, 348Annex V.Part 1.27, Part 2.175, 348IFRS 5.6, Annex V.Part 2.175, 175i, 344IFRS 5.6, Annex V.Part 1.27, Part 2.175References National GAAP based on BADAnnex V.Part 1.34, Part 2.343Annex V.Part 1.34, Part 2.343Annex V.Part 2.175, 175i, 344Annex V.Part 1.27, Part 2.175Annex V.Part 2.175, 175i, 348Annex V.Part 1.27, Part 2.175, 348Annex V.Part 2.175, 175i, 348Annex V.Part 1.27, Part 2.175, 352Annex V.Part 2.175, 175i, 348Annex V.Part 1.27, Part 2.175, 348Annex V.Part 2.175, 175i, 344Annex V.Part 1.27, Part 2.1750010002000300040005000600070008000900100011001200010Opening balanceAnnex V.Part 2.341, 342Annex V.Part 2.341, 3420020Inflows of collateral during the periodAnnex V.Part 2.345, 349Annex V.Part 2.345, 3490030Inflow due to new collateral obtained by taking possessionAnnex V.Part 2.345, 349Annex V.Part 2.345, 3490040Inflow due to positive changes in valueAnnex V.Part 2.345, 349Annex V.Part 2.345, 3490050Outflows of collateral during the periodAnnex V.Part 2.346, 349Annex V.Part 2.346, 3490060Outflow for which cash was collectedAnnex V.Part 2.347, 349Annex V.Part 2.347, 3490070Cash collected net of costsAnnex V.Part 2.347Annex V.Part 2.3470080Profits/(-) losses from sale of collateral obtained by taking possessionAnnex V.Part 2.347Annex V.Part 2.3470090Outflow with replacement by financial instrumentAnnex V.Part 2.346, 349Annex V.Part 2.346, 3490100Financing grantedAnnex V.Part 2.347Annex V.Part 2.3470110Outflow due to negative changes in valueAnnex V.Part 2.346, 349Annex V.Part 2.346, 3490120Closing balanceAnnex V.Part 2.341, 342Annex V.Part 2.341, 342

25.2 Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of collateral obtained Debt balance reductionCollateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E)Vintage: Recognition in balance sheet for Of which: Non-current assets held-for-sale <= 2 years> 2 years <= 5 years> 5 yearsGross carrying amountAccumulated impairment, accumulated negative changes in fair value due to credit riskValue at initial recognitionCarrying amountAccumulated negative changesValue at initial recognitionCarrying amountAccumulated negative changesValue at initial recognitionCarrying amountAccumulated negative changesValue at initial recognitionCarrying amountAccumulated negative changesValue at initial recognitionCarrying amountReferences National GAAP compatible IFRSAnnex V.Part 1.34, Part 2.343Annex V.Part 2.69-71, 343Annex V.Part 2.175, 175i, 344Annex V.Part 1.27, Part 2.175Annex V.Part 2.175, 175iiAnnex V.Part 2.175, 175i, 348Annex V.Part 1.27, Part 2.175, 348Annex V.Part 2.175, 175ii, 348Annex V.Part 2.175, 175i, 348Annex V.Part 1.27, Part 2.175, 348Annex V.Part 2.175, 175ii, 348Annex V.Part 2.175, 175i, 348Annex V.Part 1.27, Part 2.175, 348Annex V.Part 2.175, 175ii, 348IFRS 5.6, Annex V.Part 2.175, 175iIFRS 5.6, Annex V.Part 1.27, Part 2.175References National GAAP based on BADAnnex V.Part 1.34, Part 2.343Annex V.Part 1.34, Part 2.343Annex V.Part 2.175, 175i, 344Annex V.Part 1.27, Part 2.175Annex V.Part 2.175, 175iiAnnex V.Part 2.175, 175i, 348Annex V.Part 1.27, Part 2.175, 348Annex V.Part 2.175, 175ii, 348Annex V.Part 2.175, 175i, 348Annex V.Part 1.27, Part 2.175, 348Annex V.Part 2.175, 175ii, 348Annex V.Part 2.175, 175i, 348Annex V.Part 1.27, Part 2.175, 348Annex V.Part 2.175, 175ii, 348Annex V.Part 2.175, 175iAnnex V.Part 1.27, Part 2.17500100020003000400050006000700080009001000110012001300140015001600010Residential immovable propertyAnnex V. Part 2.350, 351Annex V. Part 2.350, 3510020Of which: under construction / developmentAnnex V. Part 2.350, 352(a)Annex V. Part 2.350, 352(a)0030Commercial immovable propertyAnnex V. Part 2.350, 351Annex V. Part 2.350, 3510040Of which: under construction / developmentAnnex V. Part 2.350, 352(a)Annex V. Part 2.350, 352(a)0050Of which: Land related to commercial real estate corporations (excluding agricultural land)Annex V. Part 2.350, 352(b)Annex V. Part 2.350, 352(b)0060Of which: Land with planning permission for developmentAnnex V. Part 2.350, 352(b)Annex V. Part 2.350, 352(b)0070Of which: Land without planning permission for developmentAnnex V. Part 2.350, 352(b)Annex V. Part 2.350, 352(b)0080Movable propertyAnnex V. Part 2.350, 351Annex V. Part 2.350, 3510090Equity and debt securitiesAnnex V. Part 2.350, 351Annex V. Part 2.350, 3510100OtherAnnex V. Part 2.350, 351Annex V. Part 2.350, 3510110TotalAnnex V. Part 2.350, 351Annex V. Part 2.350, 3510120Number of Collateral obtained by taking possessionAnnex V. Part 2.350, 351Annex V. Part 2.350, 351

25.3 Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) Debt balance reductionCollateral obtained by taking possession classified as Property Plant and Equipment (PP&E)Gross carrying amountAccumulated impairment, accumulated negative changes in fair value due to credit riskValue at initial recognitionCarrying amountAccumulated negative changesReferences National GAAP compatible IFRSAnnex V.Part 1.34, Part 2.343Annex V.Part 2.69-71, 343IAS 16.6, Annex V.Part 2.175, 175iIAS 16.6, Annex V.Part 1.27, Part 2.175IAS 16.6, Annex V.Part 2.175, 175iiReferences National GAAP based on BADAnnex V.Part 1.34, Part 2.343Annex V.Part 1.34, Part 2.343Annex V.Part 2.175, 175iAnnex V.Part 1.27, Part 2.175Annex V.Part 2.175, 175ii001000200030004000500010TotalAnnex V.Part 2.341, 357-358Annex V.Part 2.341, 357-3580020Inflows due to new collateral obtained by taking possessionAnnex V.Part 2.341, 345, 357-358Annex V.Part 2.341, 345, 357-358 26. Forbearance management and quality of forbearance Loans and advances with forbearance measuresof which: Householdsof which: Non-financial corporationsof which: performingof which: having been granted forbearance measures during the periodof which: performingof which: having been granted forbearance measures during the periodof which: performingof which: having been granted forbearance measures during the periodReferences National GAAP compatible IFRSAnnex V.Part 1.32, Part 2.240-245, 252-257Annex V.Part 2.256, 259-261Annex V.Part 2.361Annex V.Part 1.32, 42(f), 44(a), Part 2.240-245, 252-257Annex V.Part 2.256, 259-261Annex V.Part 2.361Annex V.Part 1.32, 42(e), 44(a), Part 2.240-245, 252-257Annex V.Part 2.256, 259-261Annex V.Part 2.361References National GAAP based on BADAnnex V.Part 1.32, Part 2.240-245, 252-257Annex V.Part 2.256, 259-261Annex V.Part 2.361Annex V.Part 1.32, 42(f), 44(a), Part 2.240-245, 252-257Annex V.Part 2.256, 259-261Annex V.Part 2.361Annex V.Part 1.32, 42(e), 44(a), Part 2.240-245, 252-257Annex V.Part 2.256, 259-261Annex V.Part 2.3610010002000300040005000600070008000900010Number of instrumentsAnnex V. Part 2.320, 355, 356Annex V. Part 2.320, 355, 3560020Gross carrying amount of instruments, for the following types of forbearance measures:Annex V.Part 1.34, Part 2.355, 357, 359Annex V.Part 1.34, Part 2.355, 357, 3590030Grace period/payment moratoriumAnnex V.Part 2.358(a)Annex V.Part 2.358(a)0040Interest rate reductionAnnex V.Part 2.358(b)Annex V.Part 2.358(b)0050Extension of maturity/termAnnex V.Part 2.358(c)Annex V.Part 2.358(c)0060Rescheduled paymentsAnnex V.Part 2.358(d)Annex V.Part 2.358(d)0070Debt forgivenessAnnex V.Part 2.358(e)Annex V.Part 2.358(e)0080Debt asset swapsAnnex V.Part 2.358(f)Annex V.Part 2.358(f)0090Other forbearance measuresAnnex V.Part 2.358(g)Annex V.Part 2.358(g)Gross carrying amount of instruments that were subject to forbearance measures at multiple points in timeAnnex V.Part 1.34, Part 2.355Annex V.Part 1.34, Part 2.355 0100Loans and advances having been forborne twiceAnnex V.Part 2.360(a)(i)Annex V.Part 2.360(a)(i)0110Loans and advances having been forborne more than twiceAnnex V.Part 2.360(a)(i)Annex V.Part 2.360(a)(i)0120Loans and advances to which forbearance measures were granted in addition to already existing forbearance measuresAnnex V.Part 2.360(a)(ii)Annex V.Part 2.360(a)(ii)0130Gross carrying amount of non-performing forborne loans and advances that failed to meet the non-performing exit criteriaAnnex V.Part 1.34, Part 2.232, 355, 360(b)Annex V.Part 1.34, Part 2.232, 355, 360(b)

1. Off-balance sheet activities: Interests in unconsolidated structured entities 30.1 Interests in unconsolidated structured entities References National GAAP based on BADReferences National GAAP compatible IFRSCarrying amount of financial assets recognised in the balance sheetOf which: liquidity support drawnFair value of liquidity support drawnCarrying amount of financial liabilities recognised in the balance sheetNominal amount of off-balance sheet exposures given by the reporting institutionOf which: Nominal amount of loan commitments givenLosses incurred by the reporting institution in the current periodIFRS 12.29(a)IFRS 12.29(a); Annex V.Part 2.286IFRS 12.29(a)IFRS 12.B26(e)IFRS 12 B26(b); Annex V.Part 2.287010020030040050060080010Total 30.2 Breakdown of interests in unconsolidated structured entities by nature of the activities By nature of the activitiesReferences National GAAP based on BADReferences National GAAP compatible IFRSCarrying amountSecuritisation Special Purpose EntitiesAsset managementOther activitiesCRR art 4(1)(66)Annex V.Part 2.285(a)IFRS 12.24, B6.(a)010020030010Selected financial assets recognised in the reporting institution’s balance sheetIFRS 12.29(a),(b)021of which: non-performingAnnex V.Part 2.213-239Annex V.Part 2.213-239030DerivativesCRR Annex II; Annex V.Part 2.272IFRS 9 Appendix A; Annex V.Part 2.272040Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.11050Debt securitiesAnnex V.Part 1.31Annex V.Part 1.31060Loans and advancesAnnex V.Part 1.32Annex V.Part 1.32070Selected equity and financial liabilites recognised in the reporting institution’s balance sheetIFRS 12.29(a),(b)080Equity instruments issuedIAS 32.11090DerivativesCRR Annex II; Annex V.Part 1.24(a), 25, 26, Part 2.272IFRS 9 Appendix A; Annex V.Part 2.272100DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36110Debt securities issuedAnnex V.Part 1.37Annex V.Part 1.37Nominal amount120Off-balance sheet exposures given by the reporting institutionCRR Annex I; Annex V.Part 2.112, 113-115, 118IFRS 12.B26.(e); CRR Annex I; Annex V.Part 2.102-105, 113-115, 118131of which: non-performingAnnex V.Part 2.117Annex V.Part 2.117
2. Related parties 31.1 Related parties: amounts payable to and amounts receivable from References National GAAP based on BADReferences National GAAP compatible IFRSOutstanding balancesParent and entities with joint control or significant influenceSubsidiaries and other entities of the same groupAssociates and joint venturesKey management of the institution or its parentOther related partiesIAS 24.19(a),(b)IAS 24.19(c); Annex V.Part 2.289IAS 24.19(d),(e); Annex V.Part 2.289IAS 24.19(f)IAS 24.19(g)Accounting Directive art 17(1)(p)Accounting Directive art 17(1)(p); Annex V.Part 2.289Accounting Directive art 17(1)(p); Annex V.Part 2.289Accounting Directive art 17(1)(p)Accounting Directive art 17(1)(p)Annex V.Part 2.288-291Annex V.Part 2.288-291010020030040050010Selected financial assetsIAS 24.18(b)020Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.11030Debt securitiesAnnex V.Part 1.31Annex V.Part 1.31040Loans and advancesAnnex V.Part 1.32Annex V.Part 1.32050of which: non-performingAnnex V. Part 2.213-239Annex V. Part 2.213-239060Selected financial liabilitiesIAS 24.18(b)070DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36080Debt securities issuedAnnex V.Part 1.37Annex V.Part 1.37

090Nominal amount of loan commitments, financial guarantees and other commitments givenCRR Annex I; Annex V.Part 2.112, 113-115, 118 IAS 24.18(b); CRR Annex I; Annex V.Part 2.102-105, 113-115, 118 100of which: non-performingAnnex V. Part 2.117IAS 24.18(b); Annex V. Part 2.117110Loan commitments, financial guarantees and other commitments receivedAnnex V.Part 2.102-103, 113-115, 290IAS 24.18(b); Annex V.Part 2.290120Notional amount of derivativesAnnex V.Part 2.133-135Annex V.Part 2.133-135131Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposuresAnnex V.Part 2.69-71, 291IAS 24.1(c); Annex V.Part 2.69-71, 291132Provisions on non-performing off-balance sheet exposuresAnnex V.Part 2.11, 106, 291Annex V.Part 2.11, 106, 291 31.2 Related parties: expenses and income generated by transactions with References National GAAP based on BADReferences National GAAP compatible IFRSCurrent periodParent and entities with joint control or significant influenceSubsidiaries and other entities of the same groupAssociates and joint venturesKey management of the institution or its parentOther related partiesIAS 24.19(a),(b)IAS 24.19(c)IAS 24.19(d),(e)IAS 24.19(f)IAS 24.19(g)Annex V.Part 2.288-289, 292-293Annex V.Part 2.288-289, 292-293010020030040050010Interest incomeBAD art 27.Vertical layout(1); Annex V.Part 2.31IAS 24.18(a); Annex V.Part 2.31020Interest expensesBAD art 27.Vertical layout(2); Annex V.Part 2.31IAS 24.18(a); IAS 1.97; Annex V.Part 2.31030Dividend incomeBAD art 27.Vertical layout(3); Annex V.Part 2.40IAS 24.18(a); Annex V.Part 2.40040Fee and commission incomeBAD art 27.Vertical layout(4)IAS 24.18(a); IFRS 7.20(c)050Fee and commission expensesBAD art 27.Vertical layout(5)IAS 24.18(a); IFRS 7.20(c)060Gains or (-) losses on de-recognition of financial assets and liabilities not measured at fair value through profit or lossBAD art 27.Vertical layout(6)IAS 24.18(a)070Gains or (-) losses on de-recognition of other than financial assetsAnnex V.Part 2.292IAS 24.18(a); Annex V.Part 2.292080Impairment or (-) reversal of impairment on non-performing exposuresAnnex V. Part 2.293IAS 24.18(d); Annex V.Part 2.293090Provisions or (-) reversal of provisions on non-performing exposuresAnnex V. Part 2.50, 293Annex V. Part 2.50, 293 40. Group structure 40.1 Group structure: entity-by-entity LEI codeEntity codeEntity nameEntry dateShare capital of investeeEquity of investeeTotal assets of investeeProfit or (-) loss of investeeResidence of investeeSector of investeeNACE CodeAccumulated equity interest [%]Voting rights [%]Group structure [relationship]Accounting treatment [Accounting Group]Accounting treatment [CRR Group]Carrying amountAcquisition costGoodwill link to InvesteeFair value of investments for which there are published price quotationsAnnex V.Part 2.294-295, 296(a)Annex V.Part 2.294-295, 296(b)IFRS 12.12(a), 21(a)(i); Annex V.Part 2.294-295, 296(c)Annex V.Part 2.294-295, 296(d)Annex V.Part 2.294-295, 296(e)IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f)IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f)IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f)IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.294-295, 296(g)Annex V.Part 2.294-295, 296(h)Annex V.Part 2.294-295, 296(i)IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(j)IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(k)IFRS 12.10(a)(i); Annex V.Part 2.294-295, 296(l)IFRS 12.21(b); Annex V.Part 2.294-295, 296(m)CRR art 18; Annex V.Part 2.294-295, 296(n)Annex V.Part 2.294-295, 296(0)Annex V.Part 2.294-295, 296(p)Annex V.Part 2.294-295, 296(q)IFRS 12.21(b)(iii); Annex V.Part 2.294-295, 296(r)Annex V.Part 2.294-295, 296(a)Annex V.Part 2.294-295, 296(b)Annex V.Part 2.294-295, 296(c)Annex V.Part 2.294-295, 296(d)Annex V.Part 2.294-295, 296(e)Annex V.Part 2.294-295, 296(f)Annex V.Part 2.294-295, 296(f)Annex V.Part 2.294-295, 296(f)Annex V.Part 2.294-295, 296(q)Annex V.Part 2.294-295, 296(h)Annex V.Part 2.294-295, 296(i)Annex V.Part 2.294-295, 296(j)Annex V.Part 2.294-295, 296(k)Annex V.Part 2.294-295, 296(l)Annex V.Part 2.294-295, 296(m)CRR art 423(b); Annex V.Part 2.294-295, 296(n)Annex V.Part 2.294-295, 296(0)Annex V.Part 2.294-295, 296(p)Annex V.Part 2.294-295, 296(q)Annex V.Part 2.294-295, 296(r)010020030040050060070080090095100110120130140150160170180190

40.2. Group structure: instrument-by-instrument Security codeEntity codeHolding company LEI codeHolding company codeHolding company nameAccumulated equity interest (%)Carrying amountAcquisition costAnnex V.Part 2.297(a)Annex V.Part 2.296(b), 297(c)Annex V.Part 2.297(b)Annex V.Part 2.297(b)Annex V.Part 2.296(j), 297(c)Annex V.Part 2.296(o), 297(c)Annex V.Part 2.296(p), 297(c)Annex V.Part 2.297(a)Annex V.Part 2.296(b), 297(c)Annex V.Part 2.297(b)Annex V.Part 2.297(b)Annex V.Part 2.296(j), 297(c)Annex V.Part 2.296(o), 297(c)Annex V.Part 2.296(p), 297(c)010020030040050060070080 41. Fair value 41.1 Fair value hierarchy: financial instruments at amortised cost References National GAAP based on BAD Annex V.Part 2.298 References National GAAP compatible IFRS Annex V.Part 2.298 Fair value IFRS 7.25-26 Fair value hierarchy IFRS 13.97, 93(b) Level 1 IFRS 13.76 Level 2 IFRS 13.81 Level 3 IFRS 13.86 010020030040ASSETS015Financial assets at amortised costAccounting Directive art 8(4)(b), (6); IAS 39.9IFRS 7.8(f); IFRS 9.4.1.2016Debt securitiesAnnex V.Part 1.24, 26Annex V.Part 1.31017Loans and advancesAnnex V.Part 1.24, 27Annex V.Part 1.32021Non-trading non-derivative financial assets measured at a cost-based methodBAD art 35;Accounting Directive Article 6(1)(i) and Article 8(2); Annex V.Part1.18, 19022Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5023Debt securitiesAnnex V.Part 1.31024Loans and advancesAnnex V.Part 1.32031Other non-trading non-derivative financial assetsBAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20032Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5033Debt securitiesAnnex V.Part 1.31034Loans and advancesAnnex V.Part 1.32 LIABILITIES070Financial liabilities measured at amortised costAccounting Directive art 8(3), (6); IAS 39.47IFRS 7.8(g); IFRS 9.4.2.1080DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36090Debt securities issuedAnnex V.Part 1.31Annex V.Part 1.37100Other financial liabilitiesAnnex V.Part 1.32-34Annex V.Part 1.38-41101Non-trading non-derivative financial liabilities measured at a cost-based methodAccounting Directive art 8(3)102DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36103Debt securities issuedAnnex V.Part 1.37104Other financial liabilitiesAnnex V.Part 1.38-41 41.2 Use of the Fair Value Option References National GAAP based on BADReferences National GAAP compatible IFRS Carrying amount Annex V.Part 1.27-28 Accounting mismatchManaged on a fair value basisHybrid contractsManaged for credit riskIFRS 9.B4.1.29IFRS 9.B4.1.33IFRS 9.4.3.6; IFRS 9.4.3.7; Annex V.Part 2.300IFRS 9.6.7; IFRS 7.8(a)(e); Annex V.Part 2.301010020030040ASSETS010Financial assets designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6)IFRS 7.8(a)(i); IFRS 9.4.1.5030Debt securitiesAnnex V.Part 1.31Annex V.Part 1.31040Loans and advancesAnnex V.Part 1.32Annex V.Part 1.32LIABILITIES050Financial liabilities designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6); IAS 39.9IFRS 7.8 (e)(i); IFRS 9.4.2.2060DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36070Debt securities issuedAnnex V.Part 1.37Annex V.Part 1.37080Other financial liabilitiesAnnex V.Part 1.38-41Annex V.Part 1.38-41

1. Tangible and intangible assets: carrying amount by measurement method References National GAAP compatible IFRS Annex V.Part 2.302 Carrying amountof which: right-of-use assetsIFRS 16.47(a), 53(j), Annex V.Part 2.303i010020010Property plant and equipmentIAS 16.6; IAS 16.29; IAS 1.54(a)020Revaluation modelIAS 16.31, 73(a),(d)030Cost modelIAS 16.30, 73(a),(d)040Investment propertyIAS 40.5, 30; IAS 1.54(b)050Fair value modelIAS 40.33-55, 76060Cost modelIAS 40.56, 79(c)070Other intangible assetsIAS 38.8, 118, 122 ; Annex V.Part 2.303080Revaluation modelIAS 38.75-87, 124(a)(ii)090Cost modelIAS 38.74
2. Provisions References National GAAP based on BADReferences National GAAP compatible IFRS Carrying amount Annex V.Part 1.27-28 Pensions and other post employment defined benefit obligationsOther long term employee benefitsRestructuringPending legal issues and tax litigationCommitments and guarantees given under national GAAPOther commitments and guarantees given measured under IAS 37 and guarantees given measured under IFRS 4Other provisionsIAS 19.63; IAS 1.78(d); Annex V.Part 2.9IAS 19.153; IAS 1.78(d); Annex V.Part 2.10IAS 37.70-83IAS 37.14IAS 37; IFRS 4; Annex V. Part 2.304-305IAS 37.14Annex V.Part 2.9Annex V.Part 2.10BAD art 24-25, 33(1)010020030040050055060010Opening balance [carrying amount at the beginning of the period]IAS 37.84 (a)020Additions, including increases in existing provisionsIAS 37.84 (b)030(-) Amounts usedIAS 37.84 (c)040(-) Unused amounts reversed during the periodIAS 37.84 (d)050Increase in the discounted amount [passage of time] and effect of any change in the discount rateIAS 37.84 (e)060Other movements070Closing balance [carrying amount at the end of the period]IAS 37.84 (a) 44 Defined benefit plans and employee benefits 44.1 Components of net defined benefit plan assets and liabilities References National GAAP compatible IFRSAmountAnnex V.Part 2.306-307010010Fair value of defined benefit plan assetsIAS 19.140(a)(i), 142020Of which: Financial instruments issued by the institutionIAS 19.143030Equity instrumentsIAS 19.142(b)040Debt instrumentsIAS 19.142(c)050Real estateIAS 19.142(d)060Other defined benefit plan assets070Present value of defined benefit obligationsIAS 19.140(a)(ii)080Effect of the asset ceilingIAS 19.140(a)(iii)090Net defined benefit assets [Carrying amount]IAS 19.63; Annex V.Part 2.308100Provisions for pensions and other post-employment defined benefit obligations [Carrying amount]IAS 19.63, IAS 1.78(d); Annex V.Part 2.9110Fair value of any right to reimbursement recognised as an assetIAS 19.140(b) 44.2 Movements in defined benefit obligations References National GAAP compatible IFRSDefined benefit obligationsAnnex V.Part 2.306, 309010010Opening balance [present value]IAS 19.140(a)(ii)020Current service costIAS 19.141(a)030Interest costIAS 19.141(b)040Contributions paidIAS 19.141(f)050Actuarial (-) gains or losses from changes in demographic assumptionsIAS 19.141(c)(ii)060Actuarial (-) gains or losses from changes in financial assumptionsIAS 19.141(c)(iii)070Foreign currency exchange increase or (-) decreaseIAS 19.141(e)080Benefits paidIAS 19.141(g)090Past service cost, including gains and losses arising from settlementsIAS 19.141(d)100Increase or (-) decrease through business combinations and disposalsIAS 19.141(h)110Other increases or (-) decreases120Closing balance [present value]IAS 19.140(a)(ii); Annex V.Part 2.310

44.3 Staff expenses by type of benefits References National GAAP based on BADReferences National GAAP compatible IFRSCurrent period010010Pension and similar expensesAnnex V.Part 2.311(a)Annex V.Part 2.311(a)020Share based paymentsAnnex V.Part 2.311(b)IFRS 2.44; Annex V.Part 2.311(b)030Wages and salariesAnnex V.Part 2.311(c)Annex V.Part 2.311(c)040Social security contributionsAnnex V.Part 2.311(d)Annex V.Part 2.311(d)050Severance paymentsAnnex V.Part 2.311(e)IAS 19.8, Annex V.Part 2.311(e)060Other types of staff expensesAnnex V.Part 2.311(f)Annex V.Part 2.311(f)070STAFF EXPENSES 44.4 Staff expenses by category of remuneration and category of staff Current periodTotal staffof which: Identified staffof which: Management body (in its management function) and senior managementof which: Management body (in its supervisory function)References National GAAP based on BADReferences National GAAP compatible IFRSAnnex V.Part 2.311i (a)Annex V.Part 2.311iAnnex V.Part 2.311i (b)00100020003000400010Fixed remunerationAnnex V.Part 2.311i (a)Annex V.Part 2.311i (a)0020Variable remunerationAnnex V.Part 2.311i (a)Annex V.Part 2.311i (a)0030Staff expenses other than remuneration0040STAFF EXPENSES0050NUMBER OF STAFFAnnex V.Part 2.311iiAnnex V.Part 2.311ii 45 Breakdown of selected items of statement of profit or loss 45.1 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio References National GAAP based on BADReferences National GAAP compatible IFRSCurrent periodChanges in fair value due to credit riskAnnex V.Part 2.312010020010Financial assets designated at fair value through profit or lossIFRS 7.20(a)(i); IFRS 9.4.1.5020Financial liabilities designated at fair value through profit or lossIFRS 7.20(a)(i); IFRS 9.4.2.2030GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSSBAD art 27.Vertical layout(6)IFRS 7.20(a)(i) 45.2 Gains or losses on derecognition of non-financial assets References National GAAP based on BADReferences National GAAP compatible IFRSCurrent periodAnnex V.Part 2.313010010Property, Plant and EquipmentIAS 16.68, 71020Investment propertyIAS 40.69; IAS 1.34(a), 98(d)030Intangible assetsIAS 38.113-115A; IAS 1.34(a)040Other assetsIAS 1.34 (a)050GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETSIAS 1.34 45.3 Other operating income and expenses References National GAAP based on BADReferences National GAAP compatible IFRSIncomeExpenses010020010Changes in fair value in tangible assets measured using the fair value modelAnnex V.Part 2.314IAS 40.76(d); Annex V.Part 2.314020Investment propertyAnnex V.Part 2.314IAS 40.75(f); Annex V.Part 2.314030Operating Leases other than investment propertyAnnex V.Part 2.315IFRS 16.81,82; Annex V.Part 2.315040OtherAnnex V.Part 2.316Annex V.Part 2.316050OTHER OPERATING INCOME OR EXPENSESAnnex V.Part 2.314-316Annex V.Part 2.314-316 46. Statement of changes in equity Sources of equity changesReferences National GAAP based on BADReferences National GAAP compatible IFRSCapitalShare premiumEquity instruments issued other than CapitalOther equityAccumulated other comprehensive incomeRetained earningsRevaluation reservesFair value reservesOther reservesFirst consolidation differences(-) Treasury sharesProfit or (-) loss atributable to owners of the parent(-) Interim dividendsMinority interestsTotalAccumulated Other Comprehensive IncomeOther itemsIAS 1.106, 54(r)IAS 1.106, 78(e)IAS 1.106, Annex V.Part 2.18-19IAS 1.106; Annex V.Part 2.20IAS 1.106CRR art 4(1)(123)IFRS 1.30 D5-D8IAS 1.106, 54(c)IAS 1.106; IAS 32.34, 33; Annex V.Part 2.30IAS 1.106(a)IAS 1.106; IAS 32.35IAS 1.54(q), 106(a)IAS 1.54(q), 106(a)IAS 1.9(c), IG6BAD art 4.Liabilities(9), BAD art 22BAD art 4.Liabilities(10); CRR art 4(124)Annex V.Part 2.18-19Annex V.Part 2.20Accounting Directive art 8(1)(a), (6)BAD art 4 Liabilities (13); CRR art 4(123)BAD art 4.Liabilities(12)Accounting Directive 24(3)(c)Accounting Directive Annex III Annex III Assets D(III)(2); BAD art 4 Assets (12); Annex V.Part 2.30BAD art 4.Liabilities(14)CRR Article 26(2b)Accounting Directive art 24(4)Accounting Directive art 24(4)010020030040050060070075080085090100110120130140010Opening balance [before restatement]020Effects of corrections of errorsIAS 1.106.(b); IAS 8.42030Effects of changes in accounting policiesIAS 1.106.(b); IAS 1.IG6; IAS 8.22040Opening balance [current period]050Issuance of ordinary sharesIAS 1.106.(d).(iii)060Issuance of preference sharesIAS 1.106.(d).(iii)070Issuance of other equity instrumentsIAS 1.106.(d).(iii)080Exercise or expiration of other equity instruments issuedIAS 1.106.(d).(iii)090Conversion of debt to equityIAS 1.106.(d).(iii)100Capital reductionIAS 1.106.(d).(iii)110DividendsIAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6120Purchase of treasury sharesIAS 1.106.(d).(iii); IAS 32.33130Sale or cancellation of treasury sharesIAS 1.106.(d).(iii); IAS 32.33

140Reclassification of financial instruments from equity to liabilityIAS 1.106.(d).(iii)150Reclassification of financial instruments from liability to equityIAS 1.106.(d).(iii)160Transfers among components of equityIAS 1.106.(d).(iii); Annex V.Part 2.318170Equity increase or (-) decrease resulting from business combinationsIAS 1.106.(d).(iii)180Share based paymentsIAS 1.106.(d).(iii); IFRS 2.10190Other increase or (-) decrease in equityIAS 1.106.(d)200Total comprehensive income for the yearIAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6210Closing balance [current period] 47. Loans and advances: Average duration and recovery periods TOTALof which: Householdsof which: Non-financial corporationsof which: loans collateralised by residential immovable propertyof which: SMEsOf which: Commercial Real Estate (CRE) loans to NFCs other than SMEsof which: Commercial Real Estate (CRE) loansReferencesAnnex V.Part 1.42(f)Annex V.Part 2.86(a), 87Annex V.Part 1.42(e)SME Art 1 2(a)SME Art 1 2(a), Annex V.Part 2.239ixAnnex V.Part 2.239ix00100020003000400050006000700010Non-performing loans and advances: weighted average time since past due date (in years)Annex V.Part 2.362, 3630020Net cumulated recoveries from litigation procedures concluded during the periodAnnex V.Part 2.362, 364(a)0030Gross carrying amount reduction from litigation procedures concluded during the periodAnnex V.Part 2.362, 364(b)0040Average duration of litigation procedures concluded in the period (in years)Annex V.Part 2.362, 364(c)

Annex

ANNEX V

Annex

ANNEX V REPORTING ON FINANCIAL INFORMATION Table of contents PART 1: GENERAL INSTRUCTIONS 830

1. References 830
2. Conventions 831
3. Consolidation 832
4. Accounting portfolios of financial instruments 833 4.1. Financial assets 833 4.2. Financial liabilities 834
5. Financial instruments 834 5.1. Financial assets 835 5.2. Gross carrying amount 835 5.3. Financial liabilities 836
6. Counterparty breakdown 836 PART 2: TEMPLATE RELATED INSTRUCTIONS 837
7. Balance sheet 837 1.1. Assets (1.1) 837 1.2. Liabilities (1.2) 838 1.3. Equity (1.3) 839
8. Statement of profit or loss (2) 840
9. Statement of comprehensive income (3) 843
10. Breakdown of financial assets by instrument and by counterparty sector (4) 844
11. Breakdown of non-trading loans and advances by product (5) 846
12. Breakdown of non-trading loans and advances to non-financial corporations by NACE codes (6) 847
13. Financial assets subject to impairment that are past due (7) 848
14. Breakdown of financial liabilities (8) 848
15. Loan commitments, financial guarantees and other commitments (9) 849
16. Derivatives and hedge accounting (10 and 11) 851 10.1. Classification of derivatives by type of risk 852 10.2. Amounts to be reported for derivatives 3 10.3. Derivatives classified as economic hedges 854 10.4. Breakdown of derivatives by counterparty sector 854 10.5. Hedge accounting under national GAAP (11.2) 855 10.6. Amount to be reported for non-derivative hedging instruments (11.3 and 11.3.1)

855 10.7. Hedged items in fair value hedges (11.4) 855 11. Movements in allowances and provisions for credit losses (12) 856 11.1. Movements in allowances for credit losses and impairment of equity instruments under national GAAP based on BAD (12.0) 856 11.2. Movements in allowances and provisions for credit losses under IFRS (12.1) 856 11.3. Transfers between impairment stages (gross basis presentation) (12.2) 858 12. Collateral and guarantees received (13) 858 12.1. Breakdown of collateral and guarantees by loans and advances other than held for trading(13.1) 858 12.2. Collateral obtained by taking possession during the period (held at the reference date) (13.2.1) 859 12.3. Collateral obtained by taking possession accumulated (13.3.1) 859 13. Fair value hierarchy: Financial instruments at fair value (14) 859 14. Derecognition and financial liabilities associated with transferred financial assets (15) 860 15. Breakdown of selected statement of profit or loss items (16) 860 15.1. Interest income and expenses by instrument and counterparty sector (16.1) 860 15.2. Gains or losses on derecognitionderecognit of financial assets and liabilities not measured at fair value through profit or loss by instrument (16.2) 861 15.3. Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument (16.3) 862 15.4. Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk (16.4) 862 15.5. Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument (16.4.1) 862 15.6. Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5) 863 15.7. Gains or losses from hedge accounting (16.6) 863 15.8. Impairment on non-financial assets (16.7) 863 15.9. Other Administrative Expenses (16.8) 863 16. Reconciliation between accounting and CRR scope of consolidation (17) 864 17. Non-performing exposures (18) 864 17.1. Information on performing and non-performing exposures (18.0) 864 17.2. Inflows and outflows of non-performing exposures – loans and advances by counterparty sector (18.1) 868 17.3. Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property (18.2) 869 18. Forborne exposures (19) 870 19. Geographical breakdown (20) 873 19.1. Geographical breakdown by location of activities (20.1-20.3) 873 19.2. Geographical breakdown by residence of the counterparty (20.4-20.7) 873 20. Tangible and intangible assets: assets subject to operating lease (21) 874 21. Asset management, custody and other service functions (22) 874 21.1. Fee and commission income and expenses by activity (22.1) 874 21.2. Assets involved in the services provided (22.2) 876 22. Interests in unconsolidated structured entities (30) 7 23. Related parties (31) 7 23.1. Related parties: amounts payable to and amounts receivable from (31.1)

877 23.2. Related parties: expenses and income generated by transactions with (31.2) 877 24. Group structure (40) 878 24.1. Group structure: entity-by-entity (40.1) 878 24.2. Group structure: instrument-by-instrument (40.2) 879 25. Fair value (41) 879 25.1. Fair value hierarchy: financial instruments at amortised cost (41.1) 879 25.2. Use of fair value option (41.2) 879 26. Tangible and intangible assets: carrying amount by measurement method (42) 880 27. Provisions (43) 880 28. Defined benefit plans and employee benefits (44) 880 28.1. Components of net defined benefit plan assets and liabilities (44.1) 880 28.2. Movements in defined benefit obligations (44.2) 880 28.3. Staff expenses by type of benefits (44.3) 880 28.4. Staff expenses by category of remuneration and category of staff (44.4) 881 29. Breakdown of selected items of statement of profit or loss (45) 881 29.1. Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio (45.1) 881 29.2. Gains or losses on derecognition of non-financial assets (45.2) 881 29.3. Other operating income and expenses (45.3) 881 30. Statement of changes in equity (46) 882 31. LOANS AND ADVANCES: ADDITIONAL INFORMATION (23) 882 32. LOANS AND ADVANCES: FLOWS OF NON PERFORMING EXPOSURES, IMPAIRMENTS AND WRITE OFFS SINCE THE END OF THE LAST FINANCIAL YEAR (24) 883 32.1. Loans and advances: Inflows and outflows of non-performing exposures (24.1) 883 32.2. Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures (24.2) 884 32.3. Loans and advances: Write-offs of non-performing exposures during the period (24.3) 885 33. COLLATERAL OBTAINED BY TAKING POSSESSION AND EXECUTION PROCESSES (25) 885 33.1. Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): inflows and outflows (25.1) 885 33.2. Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E) – Type of collateral obtained (25.2) 886 33.3. Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) (25.3) 887 34. FORBEARANCE MANAGEMENT AND QUALITY OF FORBEARANCE (26) 887 35. LOANS AND ADVANCES: AVERAGE DURATION AND RECOVERY PERIODS (47) 888 PART 3: MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS 889 PART 1 GENERAL INSTRUCTIONS

1. REFERENCES
2. This Annex contains additional instructions for the financial information templates (FINREP) in Annexes III and IV to this Regulation. This Annex complements the instructions included in the form of references in the templates in Annexes III and IV.
3. Institutions that use national accounting standards compatible with IFRS (compatible national GAAP) shall apply the common and IFRS instructions in this Annex, unless otherwise provided. This is without prejudice to the compliance of the compatible national GAAP requirements with the requirements of BAD. Institutions that use national GAAP requirements that are non-compatible with IFRS or that have not yet been made compatible with the requirements in IFRS 9 shall apply the common and BAD instructions in this Annex, unless provided otherwise.

1. The data points identified in the templates shall be drawn up in accordance with the recognition, offsetting and valuation rules of the relevant accounting framework, as defined in point (77) of Article 4(1) of Regulation (EU) No 575/2013.
2. An institution shall only submit those parts of the templates relating to: (a) assets, liabilities, equity, income and expenses that are recognised by the institution; (b) off-balance sheet exposures and activities in which the institution is involved; (c) transactions performed by the institution; (d) valuation rules, including methods for the estimation of allowances for credit risk, applied by the institution.
3. For the purposes of Annexes III and IV as well as this Annex, the following abbreviations shall apply: (a) CRR: Regulation (EU) No 575/2013; (b) IAS or IFRS: International Accounting Standards, as defined in Article 2 of Regulation (EC) No 1606/2002 of the European Parliament and of the Council Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards (OJ L 243, 11.9.2002, p. 1). , which have been adopted by the Commission; (c) ECB BSI Regulation or ECB/2013/33: Regulation (EU) No 1071/2013 of the European Central Bank Regulation (EU) No 1071/2013 of the European Central Bank of 24 September 2013 concerning the balance sheet of monetary financial institutions sector (ECB/2013/33) (OJ L 297, 7.11.2013, p. 1). ; (d) NACE Regulation: Regulation (EC) No 1893/2006 of the European Parliament and of the Council Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains (OJ L 393, 30.12.2006, p. 1). ; (e) NACE codes: codes in NACE Regulation; (f) BAD: Council Directive 86/635/EEC Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1). ; (g) Accounting Directive: Directive 2013/34/EU of the European Parliament and of the Council Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19). ; (h) National GAAP: national generally accepted accounting principles developed under BAD; (i) SME: micro, small and medium-sized enterprises as defined in Commission Recommendation C(2003)1422 Commission Recommendation of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises (C(2003)1422) (OJ L 124, 20.5.2003, p. 36). ; (j) ISIN code: the International Securities Identification Number assigned to securities, composed of 12 alphanumeric characters, which uniquely identifies a securities issue;

(k) LEI code: the global Legal Entity Identifier assigned to entities, which uniquely identifies a party to a financial transaction; (l) Impairment stages: categories of impairment as defined in IFRS 9.5.5. Stage 1 refers to impairment measured in accordance with IFRS 9.5.5.5. Stage 2 refers to impairment measured in accordance with IFRS 9.5.5.3. Stage 3 refers to impairment on credit-impaired assets as defined in Appendix A of IFRS 9; (m) ESRB recommendation on closing real estate data gaps refers to the Recommendation of the European Systemic Risk Board of 31 October 2016 on closing real estate data gaps (ESRB/2016/14) Recommendation of the European Systemic Risk Board of 31 October 2016 on closing real estate data gaps (ESRB/2016/14) (OJ C 31, 31.1.2017, p. 1). . 2. CONVENTIONS 6. For the purposes of Annexes III and IV, a data point shadowed in grey shall mean that that data point is not requested or that it is not possible to report it. In Annex IV, a row or a column with references shadowed in black shall mean that the related data points shall not be submitted by those institutions that follow those references in that row or column. 7. Templates in Annexes III and IV include implicit validation rules which are laid down in the templates themselves through the use of conventions. 8. The use of brackets in the label of an item in a template means that this item is to be subtracted to obtain a total, but it does not mean that it shall be reported as negative. 9. Items that shall be reported in negative are identified in the compiling templates by including (-) at the beginning of their label such as in (-) Treasury shares. 10. In the Data Point Model (DPM) for financial information reporting templates of Annexes III and IV, every data point (cell) has a base item to which the credit/debit attribute is allocated. That allocation ensures that all entities that report data points follow the sign convention and allows to know the credit/debit attribute that corresponds to each data point. 11. Schematically, this convention works as in Table 1. Table 1 Credit/debit convention, positive and negative signs ElementCredit/DebitBalance/MovementFigure reportedAssetsDebitBalance on assetsPositive (Normal, no sign needed)Increase on assetsPositive (Normal, no sign needed)Negative balance on assetsNegative (Minus - sign needed)Decrease on assetsNegative (Minus - sign needed)ExpensesBalance on expensesPositive (Normal, no sign needed)Increase on expensesPositive (Normal, no sign needed)Negative balance (including reversals) on expensesNegative (Minus - sign needed)Decrease on expensesNegative (Minus - sign needed)LiabilitiesCreditBalance on liabilitiesPositive (Normal, no sign needed)Increase on liabilitiesPositive (Normal, no sign needed)Negative balance on liabilitiesNegative (Minus - sign needed)Decrease on liabilitiesNegative (Minus - sign needed)EquityBalance on equityPositive (Normal, no sign needed)Increase on equityPositive (Normal, no sign needed)Negative balance on equityNegative (Minus - sign needed)Decrease on equityNegative (Minus - sign needed)IncomeBalance on incomePositive (Normal, no sign needed)Increase on incomePositive (Normal, no sign needed)Negative balance (including reversals) on incomeNegative (Minus - sign needed)Decrease on incomeNegative (Minus - sign needed)

1. CONSOLIDATION
2. Unless specified otherwise in this Annex, FINREP templates shall be prepared using the prudential scope of consolidation in accordance with Section 2 of Chapter 2 of Title II of Part 1 CRR. Institutions shall account for their subsidiaries, joint ventures and associates using the same methods as for prudential consolidation: (a) institutions may be permitted or required to apply the equity method to investments in insurance and non-financial subsidiaries in accordance with Article 18(5)CRR; (b) institutions may be permitted to use the proportional consolidation method for financial subsidiaries in accordance with Article 18(2) CRR; (c) institutions may be required to use the proportional consolidation method for investment in joint ventures in accordance with Article 18(4) CRR.
3. ACCOUNTING PORTFOLIOS OF FINANCIAL INSTRUMENTS
4. For the purposes of Annexes III and IV as well as this Annex, accounting portfolios means financial instruments aggregated by valuation rules. Those aggregations shall not include investments in subsidiaries, joint ventures and associates, balances receivable on demand classified as Cash, cash balances at central banks and other demand deposits, nor financial instruments classified as Held for sale presented in the items Non-current assets and disposal groups classified as held for sale and Liabilities included in disposal groups classified as held for sale.
5. Under national GAAP, institutions that are permitted or required to apply certain valuation rules for financial instruments in accordance with IFRS shall submit, to the extent that those rules are applied, the relevant IFRS accounting portfolios. Where the valuation rules for financial instruments that institutions are permitted or required to use under national GAAP based on BAD do refer to the valuation rules in IAS 39, institutions shall submit the accounting portfolios based on BAD for all their financial instruments until the valuation rules they apply refer to the valuation rules in IFRS 9. 4.1. Financial assets
6. The following accounting portfolios based on IFRS shall be used for financial assets: (a) Financial assets held for trading; (b) Non-trading financial assets mandatorily at fair value through profit or loss; (c) Financial assets designated at fair value through profit or loss; (d) Financial assets at fair value through other comprehensive income; (e) Financial assets at amortised cost.
7. The following accounting portfolios based on national GAAP shall be used for financial assets: (a) Trading financial assets; (b) Non-trading non-derivative financial assets measured at fair value through profit or loss; (c) Non-trading non-derivative financial assets measured at fair value to equity; (d) Non-trading non-derivative financial assets measured at a cost-based method; (e) Other non-trading non-derivative financial assets.
8. Trading financial assets includes all financial assets classified as trading under the relevant national GAAP based on BAD. Irrespective of the measurement methodology applied under the relevant national GAAP based on BAD, all derivatives with a positive balance for the reporting institution that are not classified as hedge accounting in accordance with paragraph 22 of this Part shall be reported as trading financial assets. That classification shall also apply to derivatives which according to national GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet or which are used as economic hedges as defined in paragraph 137 of Part 2 of this Annex.

1. Under national GAAP based on BAD, for financial assets, cost-based methods shall include those valuation rules by which the debt instrument is measured at cost plus interest accrued less impairment losses.
2. Under national GAAP based on BAD, Non-trading non-derivative financial assets measured at a cost-based method includes financial instruments measured at cost-based methods as well as instruments measured at the lower of cost or market (LOCOM) under a non-continuous basis (moderate LOCOM), regardless of their actual measurement as of the reporting reference date. Assets measured at moderate LOCOM are assets for which LOCOM is applied only in specific circumstances. The applicable accounting framework provides for those circumstances, such as impairment, a prolonged decline in fair value compared to cost or change in the management intent.
3. Under national GAAP based on BAD, Other non-trading non-derivative financial assets shall include financial assets that do not qualify for inclusion in other accounting portfolios. That accounting portfolio includes, among others, financial assets that are measured at LOCOM on a continuous basis (strict LOCOM). Assets measured at strict LOCOM are assets for which the applicable accounting framework either provides for the initial and subsequent measurement at LOCOM, or the initial measurement at cost and the subsequent measurement at LOCOM.
4. Regardless of their measurement method, investments in subsidiaries, joint ventures and associates that are not fully or proportionally consolidated under the regulatory scope of consolidation are reported in Investments in subsidiaries, joint ventures and associates, except where they are classified as held for sale in accordance with IFRS 5.
5. Derivatives – Hedge accounting shall include derivatives with a positive balance for the reporting institution held for hedge accounting under IFRS. Under national GAAP based on BAD, banking book derivatives shall be classified as derivatives held for hedge accounting only where there are special accounting rules for banking book derivatives under the relevant national GAAP based on BAD and the derivatives reduce risk of another position in the banking book. 4.2. Financial liabilities
6. The following accounting portfolios based on IFRS shall be used for financial liabilities: (a) Financial liabilities held for trading; (b) Financial liabilities designated at fair value through profit or loss; (c) Financial liabilities measured at amortised cost.
7. The following accounting portfolios based on national GAAP shall be used for financial liabilities: (a) Trading financial liabilities; (b) Non-trading non-derivative financial liabilities measured at a cost-based method.
8. Trading financial liabilities includes all financial liabilities classified as trading under the relevant national GAAP based on BAD. Irrespective of the measurement methodology applied under the relevant national GAAP based on BAD, all derivatives with a negative balance for the reporting institution that are not classified as hedge accounting in accordance with paragraph 26 of this Part shall be reported as trading financial liabilities. That classification shall also apply to derivatives which according to national GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet or which are used as economic hedges as defined in paragraph 137 of Part 2 of this Annex.

1. Derivatives – Hedge accounting shall include derivatives with a negative balance for the reporting institution held for hedge accounting under IFRS. Under national GAAP based on BAD, banking book derivatives shall be classified as hedge accounting only if there are special accounting rules for banking book derivatives under the relevant national GAAP based on BAD and the derivatives reduce risk of another position in the banking book.
2. FINANCIAL INSTRUMENTS
3. For the purposes of Annexes III and IV as well as this Annex, the carrying amount means the amount to be reported in the balance sheet. The carrying amount of financial instruments shall include accrued interest. Under the relevant national GAAP based on BAD, the carrying amount of derivatives either shall be the carrying amount under national GAAP including accruals, premium values and provisions if applicable, or it shall be equal to zero where derivatives are not recognised on-balance sheet.
4. If recognised under the relevant national GAAP based on BAD, accruals and deferrals of financial instruments including interest accrual, premiums and discounts or transaction costs shall be reported together with the instrument and not as other assets or other liabilities.
5. Where applicable under national GAAP based on BAD, Haircuts for trading positions valued at fair value shall be reported. The haircuts decrease the value of trading assets and increase the value of trading liabilities. 5.1. Financial assets
6. Financial assets shall be distributed among the following classes of instruments: Cash on hand, Derivatives, Equity instruments, Debt securities and Loans and advances.
7. Debt securities are debt instruments held by the institution issued as securities that are not loans, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation.
8. Loans and advances are debt instruments held by the institutions that are not securities. That item includes loans as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation as well as advances that cannot be classified as loans defined in the Table of Part 2 of Annex II to the ECB BSI Regulation. Advances that are not loans are further characterized in paragraph 85(g) of Part 2 of this Annex.
9. In FINREP, debt instruments shall include loans and advances and debt securities. 5.2. Gross carrying amount
10. Gross carrying amount of debt instruments shall have the following meaning: (a) under IFRS and national GAAP based on BAD for debt instruments measured at fair value through profit or loss without being included in the held for trading or trading portfolio, the gross carrying amount shall depend on whether those debt instruments are classified as performing or non-performing. For performing debt instruments, the gross carrying amount shall be the fair value. For non-performing debt instruments, the gross carrying amount shall be the fair value after adding back any accumulated negative changes in fair value due to credit risk, as defined in paragraph 69 of Part 2 of this Annex. For the purposes of the measurement of the gross carrying amount, the valuation of the debt instruments shall be performed on the level of single financial instruments;

(b) under IFRS for debt instruments at amortised cost or at fair value through other comprehensive income, the gross carrying amount shall be the carrying amount before adjusting for any loss allowance; (c) under national GAAP based on BAD, for debt instruments classified as non-trading non-derivative financial assets measured at a cost-based method, the gross carrying amount of impaired assets shall be equal to the carrying amount before adjusting for specific allowances for credit risk. The gross carrying amount of unimpaired assets shall be the carrying amount before adjusting for general allowances for credit risk and general allowances for banking risk, where affecting the carrying amount; (d) under national GAAP based on BAD, the gross carrying amount of debt instruments classified as Non-trading non-derivative financial assets measured at fair value to equity shall depend on whether those financial assets are subject to impairment requirements. Where they are subject to impairment requirements, the gross carrying amount shall be the carrying amount before adjusting for any accumulated impairment, following the requirements in point (c) above for impaired and unimpaired assets, or any accumulated amount of fair value adjustment that is considered as impairment loss. When those financial assets are not subject to impairment requirements, the gross carrying amount of those financial assets shall be the fair value for performing exposures, and for non-performing exposures the fair value after adding back any accumulated negative fair value adjustment due to credit risk; (e) under national GAAP based on BAD, the gross carrying amount of debt instruments measured at strict or moderate LOCOM shall be the cost where measured at cost during the reporting reference period. Where those debt instruments are measured at market value, the gross carrying amount shall be the market value before adjusting for credit-risk induced value adjustments; (f) under national GAAP based on BAD, for debt instruments reported under Other non-trading non-derivative financial assets under measurement methods other than LOCOM, the gross carrying amount shall be the carrying amount before taking into account any valuation adjustment that qualifies as impairment; (g) for trading financial assets under GAAP based on BAD or held for trading financial assets under IFRS, the gross carrying amount shall be the fair value. Where GAAP based on BAD require haircuts on trading and fair valued instruments, the carrying amount of the financial instruments shall be the fair value before those haircuts. 5.3. Financial liabilities 35. Financial liabilities shall be distributed among the following classes of instruments: Derivatives, Short positions, Deposits, Debt securities issued and Other financial liabilities. 36. For the purposes of Annexes III and IV as well as this Annex, deposits shall be deposits as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation. 37. Debt securities issued shall be debt instruments issued as securities by the institution that are not deposits, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation.

1. Other financial liabilities shall include all financial liabilities other than derivatives, short positions, deposits and debt securities issued.
2. Under IFRS, Other financial liabilities shall include financial guarantees given where they are measured either at fair value through profit or loss (IFRS 9.4.2.1(a)) or at the amount initially recognised less cumulative amortization (IFRS 9.4.2.1(c)(ii)). Loan commitments given shall be reported as Other financial liabilities where they are designated as financial liabilities at fair value through profit or loss (IFRS 9.4.2.1(a)) or they are commitments to provide a loan at a below-market interest rate (IFRS 9.2.3(c), IFRS 9.4.2.1(d)).
3. Where loan commitments, financial guarantees and other commitments given are measured at fair value through profit or loss, any change in the fair value, including changes due to credit risk, shall be reported as other financial liabilities and not as provisions for Commitments and guarantees given.
4. Other financial liabilities shall also include dividends to be paid, amounts payable in respect of suspense and transit items, and amounts payable in respect of future settlements of transactions in securities or foreign exchange transactions where payables for transactions are recognised before the payment date.
5. COUNTERPARTY BREAKDOWN
6. Where a breakdown by counterparty is required the following counterparty sectors shall be used: (a) central banks; (b) general governments: central governments, state or regional governments, and local governments, including administrative bodies and non-commercial undertakings, but excluding public companies and private companies held by these administrations that have a commercial activity (which shall be reported under credit institutions, other financial corporations or non-financial corporations depending on their activity); social security funds; and international organisations, such as institutions of the European Union, the International Monetary Fund and the Bank for International Settlements; (c) credit institutions: any institution covered by the definition in point (1) of Article 4(1) CRR (undertaking the business of which is to take deposits or other repayable funds from the public and to grant credits for its own account) and multilateral development banks (MDBs); (d) other financial corporations: all financial corporations and quasi-corporations, other than credit institutions, such as investment firms, investment funds, insurance companies, pension funds, collective investment undertakings, and clearing houses as well as remaining financial intermediaries, financial auxiliaries and captive financial institutions and money lenders; (e) non-financial corporations (NFCs): corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services, as defined in the Table of Part 3 of Annex II to the ECB BSI Regulation; (f) households: individuals or groups of individuals as consumers and producers of goods and non-financial services exclusively for their own final consumption, and as producers of market goods and non-financial and financial services provided that their activities are not those of quasi-corporations. Non-profit institutions which serve households (NPISH) and which are principally engaged in the production of non-market goods and services intended for particular groups of households shall be included.

1. The counterparty sector allocation shall be based exclusively on the nature of the immediate counterparty. The classification of the exposures incurred jointly by more than one obligor shall be done on the basis of the characteristics of the obligor that was the more relevant, or determinant, for the institution to grant the exposure. Among other classifications, the distribution of jointly incurred exposures by counterparty sector, country of residence and NACE codes shall be driven by the characteristics of the more relevant or determinant obligor.
2. The immediate counterparties in the following transactions shall be: (a) for loans and advances, the immediate borrower. For trade receivables, the immediate borrower shall be the counterparty obliged to pay the receivables, except in transactions with recourse, where the immediate borrower shall be the transferor of receivables where the reporting institution does not acquire substantially all the risks and rewards of ownership of the transferred receivables; (b) for debt securities and equity instruments, the issuer of the securities; (c) for deposits, the depositor; (d) for short positions, the counterparty of the securities borrowing transaction or reverse repurchase agreement; (e) for derivatives, the direct counterparty of the derivative contract. For centrally cleared OTC derivatives, the direct counterparty shall be the clearing house acting as a central counterparty. Counterparty breakdown for credit risk derivatives refers to the sector where the counterparty of the contract (buyer or seller of protection) belongs; (f) for financial guarantees given, the counterparty shall be the direct counterparty of the guaranteed debt instrument; (g) for loan commitments and other commitments given, the counterparty whose credit risk is assumed by the reporting institution; (h) for loan commitments, financial guarantees and other commitments received, the guarantor or the counterparty that has provided the commitment to the reporting institution. PART 2 TEMPLATE RELATED INSTRUCTIONS
3. BALANCE SHEET 1.1. Assets (1.1)
4. Cash on hand shall include holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments.
5. Cash balances at central banks shall include balances receivable on demand at central banks.
6. Other demand deposits shall include balances receivable on demand with credit institutions.
7. Investments in subsidiaries, joint ventures and associates shall include the investments in associates, joint ventures and subsidiaries which are not fully or proportionally consolidated under the regulatory scope of consolidation, except where they shall be classified as held for sale in accordance with IFRS 5, irrespective of how they are measured, including where the accounting standards allow for them to be included in the different accounting portfolios used for financial instruments. The carrying amount of investments accounted for using the equity method shall include related goodwill.

1. Assets that are not financial assets and that due to their nature could not be classified in specific balance sheet items shall be reported in Other assets. Other assets shall include, among others, gold, silver and other commodities, even where they are held with trading intent.
2. Under the relevant national GAAP based on BAD, the carrying amount of repurchased own shares shall be reported as other assets where presentation as asset is allowed under the relevant national GAAP.
3. Non-current assets and disposal groups classified as held for sale shall have the same meaning as under IFRS 5. 1.2. Liabilities (1.2)
4. Under national GAAP based on BAD, provisions for contingent losses arising from the ineffective part of portfolio hedge relationship shall be reported in row Derivatives – Hedge accounting where the loss arises from the valuation of the hedging derivative, or in row Fair value changes of the hedged items in portfolio hedge of interest rate risk where the loss arises from the valuation of the hedged position. Where no distinction between losses arising from the valuation of the hedging derivative and loss arising from the valuation of the hedged position is possible, all provisions for contingent losses arising from the ineffective part of the portfolio hedge relationship shall be reported in row Derivatives – Hedge accounting.
5. Provisions for Pensions and other post-employment defined benefit obligations shall include the amount of net defined benefit liabilities.
6. Under IFRS, provisions for Other long-term employee benefits shall include the amount of the deficits in the long-term employment benefit plans listed in IAS 19.153. The accrued expense from short-term employee benefits (IAS 19.11(a)), defined contribution plans (IAS 19.51(a)) and termination benefits (IAS 19.169(a)) shall be included in Other liabilities.
7. Under IFRS, provisions for Commitments and guarantees given shall include provisions related to all commitments and guarantees, irrespective of whether their impairment is determined in accordance with IFRS 9 or their provisioning follows IAS 37 or whether they are treated as insurance contracts under IFRS 4. Liabilities arising from commitments and financial guarantees measured at fair value through profit or loss shall not be reported as provisions although they are due to credit risk, but as other financial liabilities in accordance with paragraph 40 of Part 1 of this Annex. Under national GAAP based on BAD, provisions for Commitments and guarantees given shall include provisions related to all commitments and guarantees.
8. Share capital repayable on demand shall include the capital instruments issued by the institution that do not meet the criteria to be classified in equity. Institutions shall include in this item the cooperative shares that do not meet the criteria to be classified in equity.
9. Liabilities that are not financial liabilities and that due to their nature could not be classified in specific balance sheet items shall be reported in Other liabilities.

1. Liabilities included in disposal groups classified as held for sale shall have the same meaning as under IFRS 5.
2. Under national GAAP based on BAD Funds for general banking risks are amounts that have been assigned in accordance with Article 38 of BAD. Where recognised, they shall appear separately either as liabilities under provisions or within equity under other reserves in accordance with the relevant national GAAP. 1.3. Equity (1.3)
3. Under IFRS, equity instruments that are financial instruments shall include those contracts under the scope of IAS 32.
4. Under the relevant national GAAP based on BAD, Unpaid capital which has been called up shall include the carrying amount of capital issued by the institution that has been called-up to the subscribers but not paid at the reference date. If capital increase, not yet paid, is recorded as an increase of share capital, unpaid capital which has been called up shall be reported in Unpaid capital which has been called up in template 1.3 as well as in other assets in template 1.1. Under the relevant national GAAP based on BAD, where capital increase can be recorded only following the receipt of the payment from shareholders, unpaid capital shall not be reported in template 1.3.
5. Equity component of compound financial instruments shall include the equity component of compound financial instruments (that is, financial instruments that contain both a liability and an equity component) issued by the institution, where segregated in accordance with the relevant accounting framework (including compound financial instruments with multiple embedded derivatives the values of which are interdependent).
6. Other equity instruments issued shall include equity instruments that are financial instruments other than Capital and Equity component of compound financial instruments.
7. Other equity shall comprise all equity instruments that are not financial instruments including, among others, equity-settled share-based payment transactions (IFRS 2.10).
8. Fair value changes of equity instruments measured at fair value through other comprehensive income shall include accumulated gains and losses due to changes in fair value on investments in equity instruments for which the reporting entity has made the irrevocable election to present changes in fair value in other comprehensive income.
9. Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income shall comprise the accumulated hedge ineffectiveness arising in fair value hedges in which the hedged item is an equity instrument measured at fair value through other comprehensive income. Hedge ineffectiveness reported in this row shall be the difference between the accumulated variation of the fair value of the equity instrument reported in Fair value changes of equity instruments measured at fair value through other comprehensive income (hedged item) and the accumulated variations of the fair value of the hedging derivative reported in Fair value changes of equity instruments measured at fair value through other comprehensive income (hedging instrument) (IFRS 9.6.5.3 and IFRS 9.6.5.8).

1. Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in the credit risk shall include accumulated gains and losses recognised in other comprehensive income and related to own credit risk for liabilities designated at fair value through profit or loss, regardless of whether the designation takes place at initial recognition or subsequently.
2. Hedge of net investments in foreign operations (effective portion) shall include the foreign currency translation reserve for the effective portion of both on-going hedges of net investments in foreign operations and hedges of net investments in foreign operations that no longer apply while the foreign operations remain recognised in the balance sheet.
3. Hedging derivatives. Cash flow hedges reserve (effective portion) shall include the cash flow hedge reserve for the effective portion of the variation in fair value of hedging derivatives in a cash flow hedge, both for on-going cash flow hedges and cash flow hedges that no longer apply.
4. Fair value changes of debt instruments measured at fair value through other comprehensive income shall include accumulated gains or losses on debt instruments measured at fair value through other comprehensive income, net of the loss allowance that is measured at the reporting date in accordance with IFRS 9.5.5.
5. Hedging instruments (not designated elements) shall include the accumulated changes in fair value of all of the following: (a) the time value of an option where the changes in the time value and the intrinsic value of that option are separated and only the change in the intrinsic value is designated as a hedging instrument (IFRS 9.6.5.15); (b) the forward element of a forward contract where the forward element and the spot element of that forward contract are separated and only the change in the spot element of the forward contract is designated as hedging instrument; (c) the foreign currency basis spread from a financial instrument where this spread is excluded from the designation of that financial instrument as the hedging instrument (IFRS 9.6.5.15, IFRS 9.6.5.16).
6. Under IFRS, Revaluation reserves shall include the amount of reserves resulting from first-time adoption to IAS that have not been released to other type of reserves.
7. Other reserves shall be split between Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates accounted for using the equity method and Other. Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates accounted for using the equity method shall include the accumulated amount of income and expenses generated by the aforementioned investments through profit or loss in past years where they are accounted for using the equity method. Other shall include reserves different from those separately disclosed in other items and may include legal reserve and statutory reserve.
8. Treasury shares shall cover all financial instruments that have the characteristics of own equity instruments which have been reacquired by the institution while they are not sold or amortised, except where under the relevant national GAAP based on BAD they shall be reported in other assets.

1. STATEMENT OF PROFIT OR LOSS (2)
2. Interest income and interest expense from financial instruments measured at fair value through profit or loss and from hedging derivatives classified in the category hedge accounting shall be reported either separately from other gains and losses under items interest income and interest expense (clean price) or as part of gains or losses from these categories of instruments (dirty price). The clean or dirty price approach shall be applied consistently for all financial instruments measured at fair value through profit or loss and for hedging derivatives classified in the category hedge accounting.
3. Institutions shall report the following items, which include income and expense in relation to related parties not fully or proportionally consolidated under the regulatory scope of consolidation, broken down by accounting portfolios: (a) Interest income; (b) Interest expense; (c) Dividend income; (d) Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net; (e) Modification gains or losses, net; (f) Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss.
4. Interest income. Financial assets held for trading and Interest expenses. Financial liabilities held for trading shall include, where the clean price is used, the amounts related to those derivatives classified in the category held for trading which are hedging instruments from an economic but not accounting point of view to present correct interest income and expenses from the financial instruments that are hedged.
5. Where the clean price is used, Interest income. Financial assets held for trading and Interest expenses. Financial liabilities held for trading shall also include time-apportioned fees and balancing payments in relation to credit derivatives measured at fair value and used to manage the credit risk of part or all of a financial instrument that is designated at fair value at that occasion (IFRS 9.6.7).
6. Interest income. Derivatives – Hedge accounting, interest rate risk and Interest expenses. Derivatives – Hedge accounting, interest rate risk shall include, where the clean price is used, the amounts related to those derivatives classified in the category hedge accounting which cover interest rate risk, including hedges of a group of items with offsetting risk positions (hedges of a net position) whose hedged risk affect different line items in the statement of profit or loss. Where the clean price is used, those amounts shall be reported as interest income and expenses on a gross basis to present correct interest income and expenses from the hedged items to which they are linked. With clean price, where the hedged item generates interest income (expense), those amounts shall be reported as an interest income (expense) even where it is a negative (positive) amount.
7. Interest income – other assets shall include amounts of interest income not included in the other items, like interest income related to cash, cash balances at central banks and other demand deposits and to non-current assets and disposal groups classified as held for sale as well as net interest income from net defined benefit asset.

1. Under IFRS and where not provided otherwise in national GAAP, interest in relation to financial liabilities with a negative effective interest rate shall be reported in Interest income on liabilities. These liabilities and their interests give rise to a positive yield for an institution.
2. Interest expenses – other liabilities shall include amounts of interest expenses not included in the other items, like interest expenses related to liabilities included in disposal groups classified as held for sale, expenses derived from increases in the carrying amount of a provision reflecting the passage of time or net interest expenses from net defined benefit liabilities.
3. Under IFRS and where not provided otherwise in national GAAP, interest in relation to financial assets with a negative effective interest rate shall be reported in Interest expense on assets. Those assets and their interests give rise to a negative yield for an institution.
4. Dividend income on equity instruments measured at fair value through profit or loss shall be reported either as dividend income separately from other gains and losses from those classes of instruments where the clean price is used, or as part of gains or losses from those classes of instruments where the dirty price is used.
5. Dividend income on equity instruments designated at fair value through other comprehensive income shall encompass dividends related to instruments derecognised during the reporting reference period and dividends related to instruments held at the end of the reporting reference period.
6. Dividend income from investments in subsidiaries, joint ventures and associates shall include the dividends of those investments where they are accounted for using other than the equity method.
7. Gains or (-) losses on financial assets and liabilities held for trading, net shall include gains and losses in the remeasurement and derecognition of financial instruments classified as held for trading. This item shall also include gains and losses on credit derivatives measured at fair value through profit or loss used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss, as well as dividend and interest income and expense on financial assets and liabilities held for trading where the dirty price is used.
8. Gains or losses on financial assets and liabilities designated at fair value through profit or loss shall include also the amount recognised in the statement of profit or loss for the own credit risk of liabilities designated at fair value where recognising own credit risk changes in other comprehensive income creates or enlarges an accounting mismatch (IFRS 9.5.7.8). This item shall include also gains and losses on the hedged instruments that are designated as measured at fair value through profit or loss where the designation is used to manage credit risk, as well as interest income and expense on financial assets and liabilities designated at fair value through profit or loss where the dirty price is used.

1. Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss shall not include gains on equity instruments that a reporting entity choses to measure at fair value through other comprehensive income (IFRS 9.5.7.1(b)).
2. Where a change in business model leads to the reclassification of a financial asset into a different accounting portfolio, the gains or losses from the reclassification shall be reported in the relevant rows of the accounting portfolio in which the financial asset is reclassified, in accordance with the following: (a) where a financial asset is reclassified out of the amortised cost measurement category and into the fair value through profit or loss accounting portfolio (IFRS 9.5.6.2), gains or losses due to the reclassification shall be reported in Gains or (-) losses on financial assets and liabilities held for trading, net or Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net, as applicable; (b) where a financial asset is reclassified out of the fair value through other comprehensive income measurement category and into the fair value through profit or loss measurement category (IFRS 9.5.6.7), the cumulative gains or losses previously recognised in other comprehensive income reclassified to profit or loss shall be reported in Gains or (-) losses on financial assets and liabilities held for trading, net or Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net, as applicable.
3. Gains or (-) losses from hedge accounting, net shall include gains and losses on hedging instruments and on hedged items, including those on hedged items measured at fair value through other comprehensive income other than equity instruments, in a fair value hedge in accordance with IFRS 9.6.5.8. It shall also include the ineffective part of the variation of the fair value of the hedging instruments in a cash flow hedge. The reclassifications of the cash flow hedges reserve or of the reserve for hedges of net investment in a foreign operation shall be recognised in the same rows of the Statement of profit or loss as those impacted by the cash flows from the hedged items. Gains or (-) losses from hedge accounting, net shall include also the gains and losses from hedges of net investment in foreign operations. This item shall also include gains on hedges of net positions.
4. Gains or losses on derecognition of non-financial assets shall include the gains and losses on derecognition of non-financial assets, except where classified as held for sale or as investments in subsidiaries, joint ventures and associates. 48i. Cash contributions to resolution funds and deposit guarantee schemes shall include the amounts of contributions to resolution funds and deposit guarantee schemes where they are paid in the form of cash. Where the contribution is made in the form of a payment commitment, this payment commitment shall be included in provisions or (-) reversal of provisions, if the payment commitment gives rise to a liability in accordance with the applicable accounting standard.

1. Modification gains or (-) losses, net shall include the amounts arising from adjusting the gross carrying amounts of financial assets to reflect the renegotiated or modified contractual cash flows (IFRS 9.5.4.3 and Appendix A). The modification gains or losses shall not include the impact of modifications on the amount of expected credit losses, which shall be reported in Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss.
2. Provisions or (-) reversal of provisions. Commitments and guarantees given shall include the net charges in the Statement of profit or loss for provisions on all commitments and guarantees in the scope of IFRS 9, IAS 37 or IFRS 4 in accordance with paragraph 11 of this Part, or under national GAAP based on BAD. Under IFRS, any change in the fair value of commitments and financial guarantees measured at fair value shall be reported in Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net. Provisions therefore include the impairment amount for commitments and guarantees for which impairment is determined in accordance with IFRS 9 or their provisioning follows IAS 37 or they are treated as insurance contracts under IFRS 4.
3. Under IFRS, Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss shall include all impairment gains or losses for debt instruments arising from the application of the impairment rules in IFRS 9.5.5, regardless of whether the expected credit losses in accordance with IFRS 9.5.5 are estimated over a 12-month or a lifetime period, and including the impairment gains or losses for trade receivables, contract assets and lease receivables (IFRS 9.5.5.15).
4. Under national GAAP based on BAD Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit and loss shall include all allowances and reversal of allowances of financial instruments measured at cost based methods due to the change in creditworthiness of the debtor or issuer, as well as, depending on the specifications of the national GAAP, the allowances due to the impairment of financial instruments measured at fair value through equity and other measurement methods, including LOCOM.
5. Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss shall also include the amounts written off – as defined in paragraph 72, 74 and 165(b) of this Part of this Annex- that exceed the amount of the loss allowance at the date of write-off and are therefore recognised as a loss directly in profit or loss, as well as recoveries of previously written-off amounts recorded directly to the statement of profit or loss.
6. The share of profit or loss from subsidiaries, associates and joint ventures which are accounted for under the equity method in the regulatory scope of consolidation shall be reported within Share of the profit or (-) loss of investments in subsidiaries, joint ventures and associates accounted for using the equity method. According to IAS 28.10, the carrying amount of the investment shall be reduced by the amount of dividends paid by those entities. The impairment on those investments shall be reported in (Impairment or (-) reversal of impairment of investments in subsidiaries, joint ventures and associates). Gains or losses on derecognition of these investments shall be reported in accordance with paragraph 55 and 56of this Part.

1. Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations shall include profit or loss generated by non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations.
2. Under IFRS, the gains or losses on derecognition of investments in subsidiaries, joint ventures and associates shall be reported within Profit or (-) loss before tax from discontinued operations where they are considered discontinued operations under IFRS 5. Under national GAAP based on BAD, those gains and losses shall be reported in Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net.
3. STATEMENT OF COMPREHENSIVE INCOME (3)
4. Gains or (-) losses from hedge accounting of equity instruments at fair value through other comprehensive income shall include the change in the accumulated hedge ineffectiveness in fair value hedges in which the hedged item is an equity instrument measured at fair value through other comprehensive income. The change in accumulated hedge ineffectiveness reported in this row shall be the difference between the changes in the variation of the fair value of the equity instrument reported in Fair value changes of equity instruments measured at fair value through other comprehensive income (hedged item) and the changes in the variation of the fair value of the hedging derivative reported in Fair value changes of equity instruments measured at fair value through other comprehensive income (hedging instrument).
5. Hedge of net investments in foreign operations (effective portion) shall include the change in the accumulated foreign currency translation reserve for the effective portion of both on-going and discontinued hedges of net investments in foreign operations.
6. For hedges of net investment in foreign operations and cash flow hedges, the respective amounts reported in Transferred to profit or loss shall include amounts transferred because the hedged flows have occurred and are no longer expected to occur.
7. Hedging instruments (not designated elements) shall include changes in the accumulated changes in fair value of all of the following where they are not designated as a hedging component: (a) time value of options; (b) forward elements of forward contracts; (c) foreign exchange basis spread of financial instruments.
8. For options, the amounts reclassified to profit or loss and reported in Transferred to profit or loss shall include reclassifications due to options that hedge a transaction-related hedged item and options that hedge a time-period related hedge item.
9. Debt instruments at fair value through other comprehensive income shall include gains or losses on debt instruments measured at fair value through other comprehensive income other than impairment gains or losses and foreign exchange gains and losses, that shall respectively be reported in (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) and in Exchange differences (gain or (-) loss), net in template 2. Transferred to profit or loss in particular shall include the transfer to profit or loss due to derecognition or reclassification into the fair value through profit or loss measurement category.

1. Where a financial asset is reclassified out of the amortised cost measurement category and into the fair value through other comprehensive income measurement category (IFRS 9.5.6.4), the gains or losses arising due to the reclassification shall be reported in Debt instruments at fair value through other comprehensive income.
2. Where a financial asset is reclassified out of the fair value through other comprehensive income measurement category and into the fair value through profit or loss measurement category (IFRS 9.5.6.7) or into the amortised cost measurement category (IFRS 9.5.6.5), the reclassified cumulative gains and losses previously recognised in other comprehensive income shall be respectively reported in Transferred to profit or loss and in Other reclassifications, adjusting in the latter case the carrying amount of the financial asset.
3. For all components of the other comprehensive income, Other reclassifications shall include transfers other than the reclassifications from the other comprehensive income to the profit or loss or to the initial carrying amount of hedged items in the case of cash flow hedges.
4. Under IFRS Income tax relating to items that will not be reclassified and Income tax relating to items that may be reclassified to profit or (-) loss (IAS 1.91 (b), IG6) shall be reported as separate line items.
5. BREAKDOWN OF FINANCIAL ASSETS BY INSTRUMENT AND BY COUNTERPARTY SECTOR (4)
6. Financial assets shall be broken down by accounting portfolio and instrument and – where required – by counterparty. For debt instruments measured at fair value through other comprehensive income and at amortised cost, the gross carrying amount of assets and accumulated impairments shall be broken down by impairment stages.
7. Derivatives reported as trading financial assets under GAAP based on BAD include instruments measured at fair value as well as instruments measured at cost-based methods or LOCOM.
8. For the purposes of Annexes III and IV as well as this Annex, accumulated negative changes in fair value due to credit risk means, for non-performing exposures, accumulated changes in fair value due to credit risk where the accumulated net change is negative. The accumulated net change in fair value due to credit risk shall be calculated by adding all negative and positive changes in fair value due to credit risk that have occurred since recognition of the debt instrument. That amount shall only be reported where the addition of positive and negative changes in fair value due to credit risk results in a negative amount. The valuation of the debt instruments shall be performed on the level of single financial instruments. For each debt instrument, Accumulated negative changes in fair value due to credit risk shall be reported until the derecognition of the instrument.
9. For the purposes of Annexes III and IV as well as this Annex, accumulated impairment shall have the following meaning: (a) for debt instruments measured at amortised cost or at a cost-based method, accumulated impairment is the cumulative amount of impairment losses, net of use and reversals that has been recognised, where appropriate for each of the impairment stages. Accumulated impairment reduces the carrying amount of the debt instrument through the use of an allowance account under IFRS and national GAAP based on BAD, or via direct reductions that do not constitute a derecognition event under national GAAP based on BAD;

(b) for debt instruments measured at fair value through other comprehensive income under IFRS, accumulated impairment is the sum of expected credit losses and their variations recognised as a reduction of fair value on a given instrument since initial recognition; (c) for debt instruments at fair value through equity under national GAAP based on BAD subject to impairment, accumulated impairment is the cumulative amount of impairment losses, net of use and reversals that has been recognised. The reduction in the carrying amount is either made through use of an allowance account or via direct reductions that do not constitute a derecognition event. 71. Under IFRS, accumulated impairment shall include the allowance for expected credit losses for financial assets under each of the impairment stages specified by IFRS 9. Under national GAAP based on BAD, it shall include specific and general allowance for credit risk, as well as the general allowance for banking risk where it reduces the carrying amount of debt instruments. Accumulated impairment shall also include the credit risk-induced value adjustments on financial assets under LOCOM. 72. Accumulated partial write-offs and Accumulated total write-offs shall include, respectively, the accumulated partial and total amount as at the reference date of principal and accrued past due interest and fees of any debt instrument that has been de-recognised to date using either of the methods described in paragraph 74 because the institution has no reasonable expectations of recovering the contractual cash flows. Those amounts shall be reported until the total extinguishment of all the reporting institution’s rights by expiry of the statute-of-limitations period, forgiveness or other causes, or until recovery. Therefore, where the written-off amounts are not recovered, they shall be reported while they are subject to enforcement activities. 73. Where a debt instrument is eventually totally written-off because of successive partial write-offs, the cumulative amount written-off shall be reclassified from the Accumulated partial write-offs into the Accumulated total write-offs column. 74. Write-offs shall constitute a derecognition event and relate to a financial asset in its entirety or to a portion of it, including where the modification of an asset leads the institution to give up its right of collecting cash flows on a portion or the entirety of this asset as further explained in paragraph 72. Write-offs shall include amounts caused by both reductions of the carrying amount of financial assets recognised directly in profit or loss and reductions in the amounts of the allowance accounts for credit losses taken against the carrying amount of financial assets. 75. The column of which: Instruments with low credit risk shall include instruments that are determined to have low credit risk at the reporting date and for which the institution assumes that the credit risk has not increased significantly since initial recognition in accordance with IFRS 9.5.5.10.

1. Trade receivables within the meaning of IAS 1.54(h), contract assets and lease receivables for which the simplified approach of IFRS 9.5.5.15 for the estimation of loss allowances has been applied, shall be reported within loans and advances in template 4.4.1. The corresponding loss allowance for those assets shall be reported in either Accumulated impairment on assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) or Accumulated impairment on credit-impaired assets (Stage 3), depending on whether trade receivables, contract assets or lease receivables under the simplified approach are considered as credit-impaired assets.
2. Purchased or originated financial assets that are credit-impaired at initial recognition as defined in IFRS 9 Appendix A shall be separately reported in templates 4.3.1 and 4.4.1. For those assets, the accumulated impairment shall only include the cumulative changes in lifetime expected credit losses since initial recognition (IFRS 9.5.5.13). The corresponding gross carrying amount and accumulated impairment for those assets shall be reported in Credit-impaired assets (Stage 3) at initial recognition and as long as they are considered as credit-impaired assets in accordance with the definition of credit-impaired financial assets of Appendix to IFRS 9 A. Where those assets are no long considered to be credit-impaired assets after initial recognition, they shall be reported in Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2).
3. In template 4.5, institutions shall report the carrying amount of Loans and advances and Debt securities that fall within the definition of subordinated debt in paragraph 100 of this Part.
4. In template 4.8, information to be reported depends on whether Non-trading non-derivative financial assets measured at fair value to equity can be subject to impairment requirements in application of the national GAAP based on BAD. Where those financial assets are subject to impairment, institutions shall report information in this template that relates to the carrying amount, the gross carrying amount of unimpaired assets and impaired assets, accumulated impairment and accumulated write-offs. Where those financial assets are not subject to impairment, institutions shall report the accumulated negative changes in fair value due to credit risk for non-performing exposures.
5. In template 4.9, financial assets measured under moderate LOCOM and their associated value adjustments shall be identified separately from other financial assets measured at a cost-based method and their associated impairment. Financial assets under a cost-based method, including financial assets under moderate LOCOM, shall be reported as unimpaired assets where they have no value adjustments or impairment associated with them, and as impaired assets in case they have value adjustments that qualify as impairment or impairment associated with them. Value adjustments that qualify as impairment shall be credit risk-induced value adjustments reflecting the deterioration of the creditworthiness of the counterparty. Financial assets under moderate LOCOM with market-risk induced value adjustments reflecting the impact of changes in the market conditions on the value of the asset shall not be considered as impaired. Accumulated credit-risk induced and market-risk induced value adjustments shall be reported separately.

1. In template 4.10, assets measured at strict LOCOM as well as their associated value adjustments shall be reported separately from assets under other measurement methods. Financial assets under strict LOCOM and financial assets under other measurement methods shall be reported as impaired assets in case they have credit-risk induced value adjustments as defined in paragraph 80 or impairment associated with them. Financial assets under strict LOCOM with market risk induced value adjustments as defined in paragraph 80 shall not be considered as impaired. Accumulated credit-risk induced and market-risk induced value adjustments shall be reported separately.
2. Under national GAAP based on BAD, the amount of general allowances for banking risk to be reported in the applicable templates shall only be the part that affects the carrying amount of debt instruments (BAD Article 37.2).
3. BREAKDOWN OF NON-TRADING LOANS AND ADVANCES BY PRODUCT (5)
4. Loans and advances other than those held for trading or trading assets shall be broken down by type of product and by counterparty sector for the carrying amount and by type of products only for the gross carrying amount.
5. Balances receivable on demand classified as Cash, cash balances at central banks and other demand deposits shall also be reported in this template independently of how they are measured.
6. Loans and advances shall be allocated to the following products: (a) on demand (call) and short notice (current account) shall include balances receivable on demand (call), at short notice (by close of business on the day following that on which the demand was made), current accounts and similar balances including loans that are overnight deposits for the borrower (loans to be repaid by close of business on the day following that in which it was granted), regardless of their legal form. It shall also include overdrafts that are debit balances on current account balances and compulsory reserves held at the central bank; (b) Credit card debt shall include credit granted either via delayed debit cards or via credit cards as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation; (c) Trade receivables shall include loans to other debtors granted on the basis of bills or other documents that give the right to receive the proceeds of transactions for the sale of goods or provision of services. That item shall include all factoring and similar transactions, like acceptances, outright purchase of trade receivables, forfaiting, discounting of invoice, bills of exchange, commercial papers and other claims where the reporting institution buys the trade receivables (both with and without recourse); (d) Finance leases shall include the carrying amount of finance lease receivables. Under IFRS, finance lease receivables are as defined in IAS 17; (e) Reverse repurchase loans shall include finance granted in exchange for securities or gold bought under repurchase agreements or borrowed under securities lending agreements as defined in paragraphs 183 and 184 of this Part;

(f) Other term loans shall include debit balances with contractually fixed maturities or terms that are not included in other items; (g) Advances that are not loans shall include advances that cannot be classified as loans in accordance with the Table of Part 2 of Annex II to the ECB BSI Regulation. That item shall include, among others, gross amounts receivable in respect of suspense items (such as funds that are awaiting investment, transfer, or settlement) and transit items (such as cheques and other forms of payment that have been sent for collection). 86. Loans and advances shall be classified on the basis of the collateral received as follows: (a) Loans collateralized by immovable property shall include loans and advances formally secured by residential or commercial immovable property collateral, regardless of their loan/collateral ratio (commonly referred as loan-to-value) and the legal form of the collateral; (b) Other collateralized loans shall include loans and advances formally secured by collateral, regardless of their loan/collateral ratio (commonly referred to as loan-to-value (LTV) ratio) and the legal form of the collateral, other than Loans collateralised by immovable property. That collateral shall include pledges of securities, cash, and other collateral, regardless of the legal form of the collateral. 87. Loans and advances shall be classified based on the collateral and irrespective of the purpose of the loan. The carrying amount of loans and advances secured by more than one type of collateral shall be classified and reported as collateralised by immovable property where those loans and advances are secured by immovable property regardless of whether they are also secured by other types of collateral. 88. Loans and advances shall be classified on the basis of their purpose as: (a) Credit for consumption shall include loans granted mainly for the personal consumption of goods and services, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation; (b) Lending for house purchase shall include credit extended to households for the purpose of investing in houses for own use or rental, including building and refurbishments, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation. 89. Loans shall be classified on the basis of how they can be recovered. Project finance loans shall include loans that meet the characteristics of specialised lending exposures as referred to in Article 147(8) CRR. 6. BREAKDOWN OF NON-TRADING LOANS AND ADVANCES TO NON-FINANCIAL CORPORATIONS BY NACE CODES (6) 90. Gross carrying amount of loans and advances to non-financial corporations other than those included in the held for trading or trading assets portfolios shall be classified by sector of economic activities using NACE Codes on the basis of the principal activity of the counterparty. 91. The classification of the exposures incurred jointly by more than one obligor shall be done in accordance with paragraph 43 of Part 1 of this Annex.

1. Reporting of NACE codes shall be done with the first level of disaggregation (by section). Institutions shall report loans and advances to non-financial corporations which engage in financial or insurance activities in K – Financial and insurance activities.
2. Under IFRS, financial assets subject to impairment shall include (i) financial assets at amortised cost, and (ii) financial assets at fair value through other comprehensive income. Under national GAAP based on BAD, financial assets subject to impairment shall include financial assets measured at a cost-based method, including under LOCOM. Depending on the specifications in each national GAAP, they may include (i) financial assets measured at fair value through equity, and (ii) financial assets under other measurement methods.
3. FINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE (7)
4. The carrying amount of debt instruments that are included in the accounting portfolios subject to impairment shall be reported in template 7.1 only where they are past due. Past-due instruments shall be allocated to the corresponding past-due buckets on the basis of their individual situation.
5. Accounting portfolios subject to impairment shall be financial assets subject to impairment, as defined as in paragraph 93 of this Part.
6. Financial assets shall qualify as past due where any amount of principal, interest or fee has not been paid at the date it was due. Past due exposures shall be reported for their entire carrying amount. The carrying amounts of such assets shall be reported by impairment stages or impairment status in accordance with the applicable accounting standards and broken down according to the number of days of the oldest past due amount unpaid at the reference date.
7. BREAKDOWN OF FINANCIAL LIABILITIES (8)
8. Deposits and the product breakdown shall be defined in accordance with the Table of Part 2 of Annex II to the ECB BSI Regulation. Regulated savings deposits shall be classified in accordance with the ECB BSI Regulation and distributed according to the counterparty. In particular, non-transferable sight savings deposits, which although legally redeemable at demand are subject to significant penalties and restrictions and have features that are very similar to overnight deposits, shall be classified as deposits redeemable at notice.
9. Debt securities issued shall be disaggregated into the following type of products: (a) Certificates of deposits shall be securities that enable the holders to withdraw funds from an account; (b) Asset backed securities shall be securities derived from securitisation transactions as defined in point (61) of Article 4(1) CRR; (c) Covered Bonds as referred to in Article 129(1) CRR; (d) Hybrid contracts shall comprise contracts with embedded derivatives; (e) Other debt securities issued shall be debt securities that are not included in the products referred to in points (a) to (d) and shall distinguish between convertible compound financial instruments and non-convertible instruments.

1. Subordinated financial liabilities issued shall be treated in the same way as other financial liabilities incurred. Subordinated liabilities issued in the form of securities shall be classified as Debt securities issued and subordinated liabilities in the form of deposits are classified as Deposits.
2. Template 8.2 shall include the carrying amount of Deposits and Debt securities issued that shall be subordinated debt, as determined in Table of Part 2 of Annex II to the ECB BSI Regulation, classified by accounting portfolios. Subordinated debt instruments provide a subsidiary claim on the issuing institution that can only be exercised after all claims with a higher status have been satisfied.
3. Accumulated changes in fair value due to changes in own credit risk shall include all the said accumulative changes in fair value, regardless of whether they are recognised in profit or loss or in the other comprehensive income.
4. LOAN COMMITMENTS, FINANCIAL GUARANTEES AND OTHER COMMITMENTS (9)
5. Off-balance sheet exposures shall include the off-balance sheet items listed in Annex I to CRR. In templates 9.1, 9.1.1 and 9.2, all off-balance sheet exposures listed in Annex I to CRR shall be broken down in loan commitments, financial guarantees, and other commitments.
6. Information on loan commitments, financial guarantees and other commitments given and received shall include both revocable and irrevocable commitments.
7. Loan commitments, financial guarantees and other commitments given listed in Annex I to CRR may be instruments that are in the scope of IFRS 9 where they are measured at fair value through profit or loss, or where they are subject to the impairment requirements of IFRS 9, as well as instruments that are within the scope of IAS 37 or IFRS 4.
8. Under IFRS, loan commitments, financial guarantees and other commitments given shall be reported in template 9.1.1 where any of the following conditions are met: (a) they are subject to impairment requirements of IFRS 9; (b) they are designated at fair value through profit or loss under IFRS 9; (c) they are within the scope of IAS 37 or IFRS 4.
9. Liabilities that shall be recognised as credit losses for the financial guarantees and commitments given referred to under points (a) and (c) of paragraph 105 of this Part of this Annex shall be reported as provisions regardless of the measurement criteria applied.
10. Institutions under IFRS shall report the nominal amount and provisions of instruments that are subject to the impairment requirements of IFRS 9, including those measured at initial cost less cumulative income recognised, broken down by impairment stages.
11. Only the nominal amount of the commitment shall be reported in template 9.1.1 where a debt instrument includes both an on-balance sheet instrument and an off-balance sheet component. Where the reporting entity is unable to identify separately the expected credit losses on the on-balance sheet and off-balance components, the expected credit losses on the commitment shall be reported together with the accumulated impairment on the on-balance sheet component. Where the combined expected credit losses exceed the gross carrying amount of the debt instrument, the remaining balance of the expected credit losses shall be reported as a provision in the appropriate impairment stage in template 9.1.1 (IFRS 9.5.5.20 and IFRS 7.B8E).

1. A financial guarantee or a commitment to provide a loan at a below-market rate that is measured in accordance with IFRS 9.4.2.1(d) and for which its loss allowance is determined in accordance with IFRS 9.5.5 shall be reported in the appropriate impairment stage.
2. Where loan commitments, financial guarantees and other commitments are measured at fair value in accordance with IFRS 9, institutions shall report in template 9.1.1 the nominal amount and accumulated negative changes in fair value due to credit risk of those financial guarantees and commitments in dedicated columns. Accumulated negative changes in fair value due to credit risk shall be reported applying the criteria of paragraph 69of this Part.
3. The nominal amount and provisions of other commitments or guarantees that are within the scope of IAS 37 or IFRS 4 shall be reported in dedicated columns.
4. Institutions under national GAAP based on BAD shall report in template 9.1 the nominal amount of commitments and financial guarantees referred to in paragraphs 102 and 103, as well as the amount of provisions required to be held against those off-balance sheet exposures.
5. Loan commitments shall be firm commitments to provide credit under pre-specified terms and conditions, except those that are derivatives because they can be settled net in cash or by delivering or issuing another financial instrument. The following items of Annex I to CRR shall be classified as Loan commitments: (a) Forward deposits; (b) Undrawn credit facilities, which comprise agreements to lend or provide acceptance facilities under pre-specified terms and conditions.
6. Financial guarantees shall be contracts that require the issuer to make specified payments to reimburse the holder of a loss it incurs, because a specified debtor fails to make payment where due in accordance with the original or modified terms of a debt instrument, including guarantees provided for other financial guarantees. Under IFRS, those contracts shall meet the definition of financial guarantee contracts in IFRS 9.2.1(e) and IFRS 4.A. The following items of Annex I to CRR shall be classified as financial guarantees: (a) Guarantees having the character of credit substitute; (b) Credit derivatives that meet the definition of financial guarantee; (c) Irrevocable standby letters of credit having the character of credit substitutes.
7. Other commitments shall include the following items of Annex I to CRR: (a) Unpaid portion of partly-paid shares and securities; (b) Documentary credits issued or confirmed; (c) Trade finance off-balance sheet items; (d) Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions; (e) Warranties and indemnities (including tender and performance bonds) and guarantees not having the character of credit substitutes; (f) Shipping guarantees, customs and tax bonds; (g) Note issuance facilities (NIFs) and Revolving underwritings facilities (RUFs); (h) Undrawn credit facilities which comprise agreements to lend or provide acceptance facilities where the terms and conditions are not pre-specified;

(i) Undrawn credit facilities which comprise agreements to purchase securities or provide guarantees; (j) Undrawn credit facilities for tender and performance guarantees; (k) Other off-balance sheet items in Annex I to CRR. 116. Under IFRS, the following items are recognised in the balance sheet and, consequently, shall not be reported as off-balance sheet exposures: (a) Credit derivatives that do not meet the definition of financial guarantees are derivatives under IFRS 9; (b) Acceptances are obligations by an institution to pay on maturity the face value of a bill of exchange, normally covering the sale of goods. Consequently, they are classified as trade receivables on the balance sheet; (c) Endorsements on bills that do not meet the criteria for derecognition under IFRS 9; (d) Transactions with recourse that do not meet the criteria for derecognition under IFRS 9; (e) Assets purchased under outright forward purchase agreements are derivatives under IFRS 9; (f) Asset sale and repurchase agreements as referred to in paragraphs 3 and 5 of Article 12 of Directive 86/635/EEC. In those contracts, the transferee has the option, but not the obligation, to return the assets at a price agreed in advance on a date specified or on a date to be specified. Therefore, those contracts meet the definition of derivatives in Appendix A to IFRS 9. 117. The item of which: non-performing shall include the nominal amount of those loan commitments, financial guarantees and other commitments given that are considered as non-performing in accordance with paragraphs 213 to 239 of this Part. 118. For financial guarantees, loan commitments and other commitments given, the Nominal amount shall be the amount that best represents the institution’s maximum exposure to credit risk without taking account of any collateral held or other credit enhancements. In particular, for financial guarantees given, the nominal amount shall be the maximum amount the entity would have to pay if the guarantee is called on. For loan commitments, the nominal amount shall be the undrawn amount that the institution has committed to lend. Nominal amounts shall be the exposure values before applying conversion factors and credit risk mitigation techniques. 119. In template 9.2, for loan commitments received, the nominal amount shall be the total undrawn amount that the counterparty has committed to lend to the institution. For other commitments received, the nominal amount shall be the total amount committed by the other party in the transaction. For financial guarantees received, the maximum amount of the guarantee that can be considered shall be the maximum amount the counterparty would have to pay if the guarantee is called on. Where a financial guarantee received has been issued by more than one guarantor, the guaranteed amount shall be reported only once in this template; the guaranteed amount shall be allocated to guarantor that is more relevant for the mitigation of credit risk. 10. DERIVATIVES AND HEDGE ACCOUNTING (10 AND 11)

1. For the purpose of templates 10 and 11, derivatives shall be considered either as hedging derivatives where they are used in a qualifying hedging relationship in accordance with IFRS or with the applicable national GAAP under BAD, or as held for trading in other cases.
2. The carrying amount and the notional amount of the derivatives held for trading, including economic hedges, as well as the derivatives held for hedge accounting shall be reported broken down by type of underlying risk, type of market and type of product in templates 10 and 11. Institutions shall report the derivatives held for hedge accounting also broken down by type of hedge. Information on non-derivative hedging instruments shall be reported separately and broken down by types of hedges.
3. Under the relevant national GAAP based on BAD, all derivatives shall be reported in these templates irrespective of whether they are or are not recognised on the balance sheet under the relevant national GAAP.
4. The breakdown of the carrying amount, fair value and notional amount of trading and hedging derivatives by accounting portfolios and types of hedges shall be implemented taking into consideration the accounting portfolios and types of hedges that are applicable in IFRS or national GAAP under BAD, whichever framework applies to the reporting entity.
5. Trading derivatives and hedging derivatives which, in accordance with national GAAP based on BAD, are measured at cost or LOCOM shall be identified separately.
6. Template 11 shall include hedging instruments and hedged items irrespective of the accounting standard used to recognise a qualifying hedge relationship, including where that qualifying hedge relationship concerns a net position. Where an institution has elected to keep applying IAS 39 for hedge accounting (IFRS 9.7.2.21), the references and names for the types of hedges and accounting portfolios shall be read as the relevant references and names in IAS 39.9: Financial assets measured at fair value through other comprehensive income shall refer to Available for sale assets, and ‘Assets at amortised cost shall gather Held to maturity as well as Loans and receivables.
7. Derivatives included in hybrid instruments, which have been separated from the host contract, shall be reported in templates 10 and 11 according to the nature of the derivative. The amount of the host contract is not included in those templates. However, where the hybrid instrument is measured at fair value through profit or loss, the contract shall be reported as a whole and the embedded derivatives shall not be reported in templates 10 and 11.
8. Commitments considered as derivatives (IFRS 9.2.3(b)) and credit derivatives that do not meet the definition of a financial guarantee in paragraph 114 of this Part of this Annex shall be reported in template 10 and template 11 following the same breakdowns as the other derivative instruments, but not be reported in template 9.
9. The carrying amount of non-derivative financial assets or non-derivative financial liabilities that are recognised as hedging instrument in application of IFRS or the relevant national GAAP under BAD shall be reported separately in template 11.3.

10.1. Classification of derivatives by type of risk 129. All derivatives shall be classified into one of the following risk categories: (a) interest rate: Interest rate derivatives shall be contracts related to an interest-bearing financial instrument the cash flows of which are determined by referencing interest rates or another interest rate contract such as an option on a futures contract to purchase a treasury bill. That category shall be restricted to those deals where all the legs are exposed to only one currency’s interest rate. It shall thus exclude contracts involving the exchange of one or more foreign currencies such as cross-currency swaps and currency options, and other contracts the predominant risk characteristic of which is foreign exchange risk, which are to be reported as foreign exchange contracts. The only exception is where cross-currency swaps are used as part of a portfolio hedge of interest rate risk, where they shall be reported in the dedicated rows for those types of hedges. Interest rate contracts shall include forward rate agreements, single-currency interest rate swaps, interest rate futures, interest rate options (including caps, floors, collars and corridors), interest rate swaps and interest rate warrants; (b) equity: Equity derivatives shall be contracts that have a return, or a portion of their return, linked to the price of a particular equity or to an index of equity prices; (c) foreign exchange and gold: These derivatives shall include contracts involving the exchange of currencies in the forward market and the exposure to gold. They shall therefore cover outright forwards, foreign exchange swaps, currency swaps (including cross-currency interest rate swaps), currency futures, currency options, currency swaps and currency warrants. Foreign exchange derivatives shall include all deals involving exposure to more than one currency, whether in exchange rates or in interest rates, except where cross-currency swaps are used as part of a portfolio hedge of interest rate risk. Gold contracts shall include all deals involving exposure to that commodity; (d) credit: Credit derivatives shall be contracts in which the payout is linked primarily to some measure of the creditworthiness of a particular reference credit and that do not meet the definition of financial guarantees (IFRS 9.4.2.1 (c)). The contracts shall specify an exchange of payments in which at least one of the two legs is determined by the performance of the reference credit. Payouts can be triggered by a number of events, including a default, a rating downgrade or a stipulated change in the credit spread of the reference asset. Credit derivatives that meet the definition of a financial guarantee in paragraph 114 of this Part of this Annex shall be reported only in template 9; (e) commodity: These derivatives shall be contracts that have a return, or a portion of their return, linked to the price of, or to a price index of, a commodity such as a precious metal (other than gold), petroleum, lumber or agricultural products;

(f) other: those derivatives shall be any other derivative contracts, which do not involve an exposure to foreign exchange, interest rate, equity, commodity or credit risk such as climatic derivatives or insurance derivatives. 130. Where a derivative is influenced by more than one type of underlying risk, the instrument shall be allocated to the most sensitive type of risk. For multi-exposure derivatives, in cases of uncertainty, the deals shall be allocated according to the following order of precedence: (a) commodities: All derivatives transactions involving a commodity or commodity index exposure, whether or not they involve a joint exposure in commodities and any other risk category which may include foreign exchange, interest rate or equity, shall be reported in this category; (b) equities: With the exception of contracts with a joint exposure to commodities and equities, which are to be reported as commodities, all derivatives transactions with a link to the performance of equities or equity indices shall be reported in the equity category. Equity deals with exposure to foreign exchange or interest rates shall be included in this category; (c) foreign exchange and gold: This category shall include all derivatives transactions (with the exception of those already reported in the commodity or equity categories) with exposure to more than one currency, be it pertaining to either interest-bearing financial instruments or exchange rates, except where cross-currency swaps are used as part of a portfolio hedge of interest rate risk. 10.2. Amounts to be reported for derivatives 131. Under IFRS, the carrying amount for all derivatives (hedging or trading) shall be the fair value. Derivatives with a positive fair value (above zero) shall be financial assets and derivatives with a negative fair value (below zero) shall be financial liabilities. The carrying amount shall be reported separately for derivatives with a positive fair value (financial assets) and for those with a negative fair value (financial liabilities). At the date of initial recognition, a derivative shall be classified as financial asset or financial liability according to its initial fair value. After initial recognition, as the fair value of a derivative increases or decreases, the terms of the exchange may become either favourable to the institution (and the derivative is classified as financial asset) or unfavourable (and the derivative is classified as financial liability). The carrying amount of hedging derivatives shall be their entire fair value, including, where applicable, the components of this fair value that are not designated as hedging instruments. 132. In addition to carrying amounts as defined in paragraph 27 of Part 1 of this Annex, fair values shall be reported by reporting institutions under national GAAP based on BAD for all derivative instruments, whether required to be booked on-balance sheet or off-balance sheet by the national GAAP based on BAD. 133. The Notional amount shall be the gross nominal of all deals concluded and not yet settled at the reference date, regardless of whether those deals lead to derivative exposures being booked on-balance sheet. In particular, the following shall be taken into account to determine the notional amount:

(a) for contracts with variable nominal or notional principal amounts, the basis for reporting shall be the nominal or notional principal amounts at the reference date; (b) the notional amount value to be reported for a derivative contract with a multiplier component shall be the contract effective notional amount or par value; (c) swaps: The notional amount of a swap shall be the underlying principal amount upon which the exchange of interest, foreign exchange or other income or expense is based; (d) equity and commodity-linked contracts: The notional amount to be reported for an equity or commodity contract shall be the quantity of the commodity or equity product contracted for purchase or sale multiplied by the contract price of a unit. The notional amount to be reported for commodity contracts with multiple exchanges of principal shall be the contractual amount multiplied by the number of remaining exchanges of principal in the contract; (e) credit derivatives: The contract amount to be reported for credit derivatives shall be the nominal value of the relevant reference credit; (f) digital options have a predefined payoff, which can be either a monetary amount or a number of contracts of an underlying. The notional amount for digital options shall be either the predefined monetary amount or the fair value of the underlying at the reference date. 134. The column Notional amount of derivatives shall include, for each line item, the sum of the notional amounts of all contracts in which the institution is counterparty, irrespective of whether the derivatives are considered assets or liabilities on the face of the balance sheet or are not booked on-balance sheet. All notional amounts shall be reported, regardless of whether the fair value of derivatives is positive, negative or equal to zero. Netting among the notional amounts shall not be allowed. 135. The Notional amount shall be reported by total and by of which: sold for the line items: OTC options, Organised market options, Credit, Commodity and Other. The item of which sold shall include the notional amounts (strike price) of the contracts in which the counterparties (option holders) of the institution (option writer) have the right to exercise the option, and for the items related to credit risk derivatives, the notional amounts of the contracts in which the institution (protection seller) has sold (gives) protection to its counterparties (protection buyers). 136. The allocation of a transaction as OTC or Organized market shall be based on the nature of the market where the transaction takes place and not on whether there is a mandatory clearing obligation for that transaction. An Organised market is a regulated market in the meaning of point (92) of Article 4(1) CRR. Therefore, where a reporting entity enters into a derivative contract in an OTC market where central clearing is compulsory, it shall classify that derivative as OTC and not as Organised market. 10.3. Derivatives classified as economic hedges

1. Derivatives that are held for hedging purposes but which do not meet the criteria to be effective hedging instruments in accordance with IFRS 9, with IAS 39 where IAS 39 is applied for hedge accounting purposes or with the accounting framework under national GAAP based on BAD, shall be reported in template 10 as economic hedges. This shall apply also to all of the following cases: (a) derivatives hedging unquoted equity instruments for which cost may be an appropriate estimate of fair value; (b) credit derivatives measured at fair value through profit or loss used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss at, or subsequent to, initial recognition, or while it is unrecognised in accordance with IFRS 9.6.7.; (c) derivatives that are classified as held for trading in accordance with Appendix A to IFRS 9 or classified as trading assets in accordance with the national GAAP based on BAD but are not part of the trading book as defined in point (86) of Article 4(1) CRR.
2. Economic hedges shall not include derivatives for proprietary trading.
3. Derivatives that meet the definition of economic hedges shall be reported separately in template 10 for each type of risk.
4. Credit derivatives used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss at, or subsequent to, initial recognition, or while it is unrecognised in accordance with IFRS 9.6.7, shall be reported in a dedicated row in template 10 within credit risk. Other economic hedges of credit risk for which the reporting entity does not apply IFRS 9.6.7 shall be reported separately. 10.4. Breakdown of derivatives by counterparty sector
5. The carrying amount and the total notional amount of derivatives held for trading, and also of derivatives held for hedge accounting, which are traded in the OTC market, shall be reported by counterparties using the following categories: (a) credit institutions; (b) other financial corporations; (c) rest comprising all other counterparties.
6. All OTC derivatives, irrespective of the type of risk to which they are related, shall be broken down by those counterparties. 10.5. Hedge accounting under national GAAP (11.2)
7. Where national GAAP under BAD require the allocation of hedging derivatives across categories of hedges, the hedging derivatives shall be separately reported for each of the applicable categories: fair-value hedges, cash flow hedges, cost-price hedges, hedge in net investments in a foreign operation, portfolio fair value hedges of interest rate risk and portfolio cash flow hedges of interest rate risk.
8. Where applicable in accordance with national GAAP based on BAD, Cost price hedges shall refer to a hedging category in which the hedging derivative is generally measured at cost. 10.6. Amount to be reported for non-derivative hedging instruments (11.3 and 11.3.1)

1. For non-derivative hedging instruments, the amount to be reported shall be the carrying amount of those non-derivative hedging instruments according to the applicable measurement rules in IFRS or in GAAP based on BAD for the accounting portfolios to which they belong. No notional amount shall be reported for non-derivative hedging instruments. 10.7. Hedged items in fair value hedges (11.4)
2. The carrying amount of hedged items in a fair value hedge recognised on the statement of financial position shall be broken down by accounting portfolio and type of hedged risk for hedged financial assets and hedged financial liabilities. Where a financial instrument is hedged for more than one risk, it shall be reported in the type of risk in which the hedging instrument shall be reported in accordance with paragraph 129.
3. Micro-hedges shall be hedges other than portfolio hedge of interest rate risk in accordance with IAS 39.89 A. Micro-hedges shall include hedges of nil net positions as referred to in accordance with IFRS 9.6.6.6.
4. Hedge adjustments on micro-hedges shall include all hedge adjustments for all the micro-hedges as defined in paragraph 147.
5. Hedge adjustments included in the carrying amount of assets/liabilities shall be the accumulated amount of the gains and losses on the hedged items that have adjusted the carrying amount of those items and been recognised in profit or loss. Hedge adjustments for the hedged items that are equities measured at fair value through other comprehensive income shall be reported in template 1.3. Hedge adjustments for unrecognised firm commitments or a component thereof shall not be reported.
6. Remaining adjustments for discontinued micro-hedges including hedges of net positions shall include those hedge adjustments which, following the discontinuation of the hedge relationship and the end of the adjustment of hedged items for hedging gains and losses, remain to be amortised to the profit or loss via a recalculated effective interest rate for hedged items measured at amortised cost, or to the amount that represents the previously recognised cumulative hedging gain or loss for hedged assets measured at fair value through other comprehensive income.
7. Where a group of financial assets or financial liabilities, including a group of financial assets or financial liabilities that constitute a net position, is eligible as a hedged item, financial assets and financial liabilities constituting that group shall be reported at their carrying amount on a gross basis, before netting between instruments within the group, in Assets or liabilities included in hedge of a net position (before netting).
8. Hedged items in portfolio hedge of interest rate risk shall include financial assets and financial liabilities included in a fair value hedge of the interest rate exposure of a portfolio of financial assets or financial liabilities. Those financial instruments shall be reported at their carrying amount on a gross basis, before netting between instruments within the portfolio.

1. MOVEMENTS IN ALLOWANCES AND PROVISIONS FOR CREDIT LOSSES (12) 11.1. Movements in allowances for credit losses and impairment of equity instruments under national GAAP based on BAD (12.0)
2. Template 12.0 contains a reconciliation of the opening and closing balances of the allowance account for financial assets measured under cost-based methods, as well as for financial assets under other measurement methods or measured at fair value through equity where the national GAAP under BAD require those assets to be subject to impairment. Value adjustments on assets measured at the lower of cost or market shall not be reported in template 12.0.
3. Increases due to amounts set aside for estimated loan losses during the period shall be reported where, for the main category of assets or the counterparty, the estimation of the impairment for the period results in the recognition of net expenses; that is, for the given category or counterparty, the increases in the impairment for the period exceed the decreases. Decreases due to amounts reversed for estimated loan losses during the period shall be reported where, for the main category of assets or counterparty, the estimation of the impairment for the period result in the recognition of net income; that is, for the given category or counterparty, the decreases in the impairment for the period exceed the increases.
4. Changes in the allowance amounts due to repayment and disposals of financial assets shall be reported in Other adjustments. Write-offs shall be reported in accordance with paragraphs 72 to 74. 11.2. Movements in allowances and provisions for credit losses under IFRS (12.1)
5. Template 12.1 contains a reconciliation of the opening and closing balances of the allowance account for financial assets measured at amortised cost and at fair value through other comprehensive income broken down by impairment stages, by instrument and by counterparty.
6. The provisions for off-balance sheet exposures that are subject to the impairment requirements of IFRS 9 shall be reported by impairment stages. Impairment for loan commitments shall be reported as provisions only where they are not considered together with the impairment of on-balance sheet assets in accordance with IFRS 9.7.B8E and paragraph 108 of this part. Movements in provisions for commitments and financial guarantees measured under IAS 37 and financial guarantees treated as insurance contracts under IFRS 4 shall not be reported in this template but in template 43. Changes in the fair value due to credit risk of commitments and financial guarantees measured at fair value through profit or loss in accordance with IFRS 9 shall not be reported in this template but in item Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net in accordance with paragraph 50 of this Part.
7. The items of which: collectively measured allowances and of which: individually measured allowances shall include the movements in the cumulative amount of impairment related to financial assets which have been measured on a collective or individual basis.

1. Increases due to origination and acquisition shall include the amount of increases in expected losses accounted for on the initial recognition of financial assets originated or acquired. That increase of the allowance shall be reported at the first reporting reference date following the origination or acquisition of those financial assets. Increases or decreases in the expected losses on those financial assets after their initial recognition shall be reported in other columns. Originated or acquired assets shall include assets resulting from the drawdown of off-balance sheet commitments given.
2. Decreases due to derecognition shall include the amount of changes in allowances due to financial assets de-recognised totally in the reporting reference period for reasons other than write-offs, which include transfers to third parties or the expiry of the contractual rights due to full repayment, disposal of those financial assets or their transfer in another accounting portfolio. The change in allowance shall be recognised in this column at the first reporting reference date following the repayment, disposal or transfer. For off-balance sheet exposures, this item shall also include the decreases in the impairment due to the off-balance sheet item becoming an on-balance sheet asset.
3. Changes due to change in credit risk (net) shall include the net amount of changes in expected losses at the end of the reporting reference period due to an increase or decrease in credit risk since initial recognition, irrespective of whether those changes led to a transfer of the financial asset to another stage. The impact on the allowance due to the increase or decrease of the amount of financial assets as a consequence of the interest income accrued and paid shall be reported in this column. This item shall also include the impact of the passing of time on the expected losses calculated in accordance with IFRS 9.5.4.1(a) and (b). The changes in estimates due to updates or review of risk parameters as well as changes in forward-looking economic data shall also be reported in this column. Changes in expected losses due to partial repayment of exposures via instalments shall be reported in this column with the exception of the last instalment, which shall be reported in the column Decreases due to derecognition.
4. All changes in expected credit losses related to revolving exposures shall be reported in Changes due to change in credit risk (net), except for those changes related to write-offs and updates in the institution’s methodology for estimation of credit losses. Revolving exposures shall be those for which customers’ outstanding balances are permitted to fluctuate based on their decisions to borrow and repay up to a limit established by the institution.
5. Changes due to an update in the institution’s methodology for estimation (net) shall include changes due to updates in the institution’s methodology for estimation of expected losses due to changes in the existing models or establishment of new models used to estimate impairment. Methodological updates shall also encompass the impact of the adoption of new standards. Changes in methodology that trigger an asset to change impairment stage shall be considered for a model change in its entirety. The changes in estimates due to updates or review of risk parameters as well as changes in forward-looking economic data shall not be reported in this column.

1. The reporting of the changes in the expected losses related to modified assets (IFRS 9.5.4.3 and Appendix A) shall depend on the feature of the modification in accordance with the following: (a) where the modification results in the partial or total derecognition of an asset due to a write-off as defined in paragraph 74, the impact on expected losses due to this derecognition shall be reported in Decrease in allowance account due to write-offs, and any other impact from modification on expected credit losses in other appropriate columns; (b) where the modification results in the complete derecognition of an asset for reasons other than a write-off as defined in paragraph 74 and its substitution by a new asset, the impact of modification on expected credit losses shall be reported in Changes due to derecognition for the changes due to the asset derecognised, and in Increases due to origination and acquisition for the changes due to the newly recognised modified asset. Derecognition for reasons other than write-offs shall include derecognition where the terms of the modified assets have been subject to substantial changes; (c) where the modification does not result in derecognition of all or part of the modified asset, its impact on expected losses shall be reported in Changes due to modifications without derecognition.
2. Write-offs shall be reported in accordance with paragraphs 72 to 74 of this Part of this Annex and in accordance with the following: (a) where the debt instrument is partially or totally derecognised because there is no reasonable expectation of recovery, the decrease in the loss allowance reported due to the amounts written off shall be reported in: Decrease in allowance account due to write-offs; (b) Amounts written-off directly to the statement of profit or loss shall be the amounts of financial assets written-off during the reporting reference period that exceed any allowance account of the respective financial assets at the derecognition date. They shall include all amounts written-off during the reporting reference period and not only those which are still subject to enforcement activity.
3. Other adjustments shall include any amount not reported in the previous columns, including the adjustments on expected losses due to foreign exchange differences where it is consistent with the reporting of the impact of foreign exchange in template 2. 166i. Gains or losses on derecognition of debt instruments shall include the difference between the carrying amount of financial assets measured at the date of derecognition and the consideration received. 11.3. Transfers between impairment stages (gross basis presentation) (12.2)
4. For financial assets, the gross carrying amount and for off-balance exposures that are subject to the impairment requirements of IFRS 9, the nominal amount that has been transferred between impairment stages during the reporting reference period shall be reported in template 12.2.
5. Only the gross carrying amount or the nominal amount of those financial assets or off-balance exposures which are in a different impairment stage at the reporting reference date than they were at the beginning of the financial year or their initial recognition shall be reported. For on-balance exposures for which the impairment reported in template 12.1 includes an off-balance sheet component (IFRS 9.5.5.20 and IFRS 7.B8E), the change in stage of the on-balance sheet and off-balance sheet component shall be considered.

1. For the reporting of the transfers that have taken place during the financial year, financial assets or off-balance exposures that have changed multiple times the impairment stage since the beginning of the financial year or their initial recognition shall be reported as having been transferred from their impairment stage at the opening of the financial year or initial recognition to the impairment stage in which they are included at the reporting reference date.
2. The gross carrying amount or the nominal amount to be reported in template 12.2 shall be the gross carrying amount or the nominal value at the reporting date, regardless of whether that amount was higher or lower at the date of the transfer.
3. COLLATERAL AND GUARANTEES RECEIVED (13) 12.1. Breakdown of collateral and guarantees by loans and advances other than held for trading (13.1)
4. The collateral and guarantees backing the loans and advances, independently of their legal form, shall be reported by type of pledges: loans collateralised by immovable property and other collateralised loans, and by financial guarantees received. The loans and advances shall be broken down by counterparties and purpose.
5. In template 13.1, the maximum amount of the collateral or guarantee that can be considered shall be reported. The sum of the amounts of the financial guarantee and/or collateral shown in the related columns of template 13.1 shall not exceed the carrying amount of the related loan.
6. For reporting loans and advances according to the type of pledge, the following definitions shall be used: (a) within Loans collateralised by immovable property, Residential shall include loans secured by residential immovable property and Commercial loans secured by pledges of immovable property other than residential, including offices and commercial premises and other types of commercial immovable property. The determination of whether immovable property collateral shall be residential or commercial shall be made in accordance with point (75) of Article 4(1) CRR; (b) within Other collateralised loans: (i) Cash, deposits, (Debt securities issued) shall include (a) deposits in the reporting institution that have been pledged as collateral for a loan and (b) debt securities issued by the reporting institution which have been pledged as collateral for a loan; (ii) Movable property shall comprise pledges of physical collateral other than immovable property and include cars, airplanes, ships, industrial and mechanical equipment (machinery, mechanical and technical equipment), inventories and commodities (merchandise, finished and semi-finished products, raw materials) and other forms of movable property; (iii) Equities and debt securities shall include collateral in the form of equity instruments, including investments in subsidiaries, joint ventures and associates, as well as in the form of debt securities issued by third parties; (iv) Rest shall include pledges of assets; (c) Financial guarantees received shall include contracts that in accordance with paragraph 114 of this Part of this Annex require the issuer to make specified payments to reimburse the institution for a loss it incurs because a specified debtor failed to make a payment where due in accordance with the original or modified terms of a debt instrument.

1. For loans and advances that have simultaneously several types of collateral or guarantee, the amount of the Maximum collateral/guarantee that can be considered shall be allocated according to its quality, starting from the one with the best quality. For loans collateralised by immovable property, immovable property collateral shall always be reported first, irrespective of its quality compared to other collateral. Where the Maximum collateral/guarantee that can be considered exceeds the value of immovable property collateral, its remaining value shall be allocated to other collateral types and guarantees according to its quality, starting from the one with best quality. 12.2. Collateral obtained by taking possession during the period (held at the reference date) (13.2.1)
2. This template shall be used to report information on collateral that has been obtained between the beginning and the end of the reference period and that remains recognised in the balance sheet at the reference date. Collateral obtained by taking possession shall include assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings. The types of collateral shall be the ones referred to in paragraph 173, with the exception of those in point (b) (i) of that paragraph. 175i. Value at initial recognition shall mean the gross carrying amount of the collateral obtained by taking possession at the point in time of the initial recognition in the balance sheet of the reporting institution. 175ii. Accumulated negative changes shall be the difference, at the level of the individual collateral item, between the value at initial recognition of the collateral and the carrying amount at the reporting reference date, where that difference is negative. 12.3. Collateral obtained by taking possession accumulated (13.3.1)
3. Collateral obtained by taking possession that remains recognised in the balance sheet at the reference date, irrespective of the point in time when it was obtained, shall be reported in template 13.3.1. Both collateral obtained by taking possession classified as Property, plant and equipment and other collateral obtained by taking possession shall be included. Collateral obtained by taking possession shall include assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings.
4. FAIR VALUE HIERARCHY: FINANCIAL INSTRUMENTS AT FAIR VALUE (14)
5. Institutions shall report the value of financial instruments measured at fair value according to the hierarchy provided by IFRS 13.72. Where national GAAP under BAD require the allocation of assets measured at fair value between different levels of fair value, institutions under national GAAP shall also report this template.
6. Change in fair value for the period shall include gains or losses from re-measurements made in accordance with IFRS 9, IFRS 13 or national GAAP, where applicable, in the period of the instruments that continue to exist at the reporting date. Those gains and losses shall be reported as for inclusion in the statement of profit or loss, or where applicable, in the statement of comprehensive income; thus, the amounts to be reported are before taxes.

1. Accumulated change in fair value before taxes shall include the amount of gains or losses from re-measurements of the instruments accumulated from the initial recognition to the reference date.
2. DERECOGNITION AND FINANCIAL LIABILITIES ASSOCIATED WITH TRANSFERRED FINANCIAL ASSETS (15)
3. Template 15 shall include information on transferred financial assets of which part or all do not qualify for derecognition, and financial assets entirely derecognised for which the institution retains servicing rights.
4. The associated liabilities shall be reported according to the portfolio in which the related transferred financial assets were included in the assets side and not according to the portfolio in which they were included in the liability side.
5. The column Amounts derecognised for capital purposes shall include the carrying amount of the financial assets recognised for accounting purposes but de-recognised for prudential purposes because the institution is treating them as securitisation positions for capital purposes in accordance with Articles 109, 243 and 244 CRR.
6. Repurchase agreements (repos) shall be transactions in which the institution receives cash in exchange for financial assets sold at a given price under a commitment to repurchase the same (or identical) assets at a fixed price on a specified future date. Transactions involving the temporary transfer of gold against cash collateral shall also be considered Repurchase agreements (repos). Amounts received by the institution in exchange for financial assets transferred to a third party (temporary acquirer) shall be classified under repurchase agreements where there is a commitment to reverse the operation and not merely an option to do so. Repurchase agreements shall also include repo-type operations which may include: (a) amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral; (b) amounts received in exchange for securities temporarily transferred to a third party in the form of sale/buy-back agreement.
7. Repurchase agreements (repos) and reverse repurchase loans (reverse repos) shall involve cash received or loaned out by the institution.
8. In a securitisation transaction, where the transferred financial assets are derecognized, institutions shall declare the gains (losses) generated by the item within the income statement corresponding to the accounting portfolios in which the financial assets were included prior to their derecognition.
9. BREAKDOWN OF SELECTED STATEMENT OF PROFIT OR LOSS ITEMS (16)
10. For selected items of the income statement further breakdowns of gains (or income) and losses (or expenses) shall be reported. 15.1. Interest income and expenses by instrument and counterparty sector (16.1)
11. Interest income shall be broken down in accordance with both of the following: (a) interest income on financial and other assets; (b) interest income on financial liabilities with negative effective interest rate.

1. Interest expenses shall be broken down in accordance with both of the following: (a) interest expenses on financial and other liabilities; (b) interest expenses on financial assets with negative effective interest rate.
2. Interest income on financial assets and on financial liabilities with a negative effective interest rate shall include interest income on derivatives held for trading, debt securities, and loans and advances, as well as on deposits, debt securities issued and other financial liabilities with a negative effective interest rate.
3. Interest expenses on financial liabilities and on financial assets with a negative effective interest rate shall include interest expenses on derivatives held for trading, deposits, debt securities issued and other financial liabilities, as well as on debt securities and loans and advances with a negative effective interest rate.
4. For the purpose of template 16.1, short positions shall be considered within other financial liabilities. All instruments in the various portfolios shall be taken into account except those included in the items Derivatives – Hedge accounting not used to hedge interest rate risk.
5. Derivatives – Hedge accounting, interest rate risk shall include the interest income and expenses on hedging instruments where the hedged items generate interest.
6. Where the clean price is used, interest on derivatives held for trading shall include the amounts related to those derivatives held for trading which qualify as economic hedges that are included as interest income or expenses to correct the income and expense of the hedged financial instruments from an economic but not accounting point of view. In such case, interest income on economic hedge derivatives shall be reported separately within interest income from trading derivatives. Time-apportioned fees or balancing payments in relation to credit derivatives measured at fair value and used to manage the credit risk of part or all of a financial instrument that is designated at fair value at that occasion shall also be reported within interest on derivatives held for trading.
7. Under IFRS, Of which: interest-income on impaired financial assets means interest income on credit-impaired financial assets, including purchased or originated credit-impaired financial assets. Under national GAAP under BAD, it shall include interest income on assets impaired with a specific impairment allowance for credit risk. 194i. Of which: credit for consumption and of which: lending for house purchase shall reflect the income and expenses on loans and advances as described in paragraph 88of this Part. 194ii. Of which: interest from leases shall reflect the lessor’s interest income on the lease receivable (finance leases) and the lessee’s interest expenses on the lease liability respectively. 15.2. Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument (16.2)
8. Gains and losses on derecognition of financial assets and financial liabilities not measured at fair value through profit or loss shall be broken down by type of financial instrument and by accounting portfolio. For each item, the net realised gain or loss stemming from the derecognised transaction shall be reported. The net amount represents the difference between realised gains and realised losses.

1. Template 16.2 shall apply under IFRS to financial assets and liabilities at amortised cost, and debt instruments measured at fair value through other comprehensive income. Under national GAAP based on BAD, template 16.2 shall apply to financial assets measured at cost-based method, at fair value through equity, and in accordance with measurement methods such as the lower of cost or market. Gains and losses of financial instruments classified as trading under the relevant national GAAP based on BAD shall not be reported in this template regardless of the valuation rules applicable for those instruments. 15.3. Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument (16.3)
2. Gains and losses on financial assets and liabilities held for trading shall be broken down by type of instrument; each item of the breakdown shall be the net realised and unrealised amount (gains minus losses) of the financial instrument.
3. Gains and losses from foreign currency trading on the spot market, excluding exchange of foreign notes and coins, shall be included as trading gains and losses. Gains and losses from precious metal trading or derecognition and re-measurement shall not be included in trading gains and losses but in Other operating income or Other operating expense in accordance with paragraph 316 of this Part.
4. The item Of which: economic hedges with use of the fair value option shall include only gains and losses on credit derivatives measured at fair value through profit or loss and used to manage the credit risk of all or part of a financial instrument that is designated at fair value through profit or loss at that occasion in accordance with IFRS 9.6.7. Gains or losses due to the reclassification of financial assets out of the amortised cost accounting portfolio and into the fair value through profit or loss accounting portfolio or into the held for trading portfolio (IFRS 9.5.6.2) shall be reported in Of which: gains and losses due to the reclassification of assets at amortised cost. 15.4. Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk (16.4)
5. Gains and losses on financial assets and financial liabilities held for trading shall also be broken down by type of risk. Each item of the breakdown shall be the net realised and unrealised amount (gains minus losses) of the underlying risk (interest rate, equity, foreign exchange, credit, commodity and other) associated with the exposure, including related derivatives. Gains and losses from exchange differences shall be included in the item in which the rest of gains and losses arising from the converted instrument are included. Gains and losses on financial assets and financial liabilities other than derivatives shall be included in the risk categories as follows: (a) interest rate: including trading of loans and advances, deposits and debt securities (held or issued);

(b) equity: including trading of shares, quotas of UCITS and other equity instruments; (c) foreign exchange trading: including exclusively trading on foreign exchanges; (d) credit risk: including trading of credit link notes; (e) commodities: this item shall include only derivatives because gains and losses on commodities held with trading intent shall be reported under Other operating income or Other operating expense in accordance with paragraph 316of this Part; (f) other: including trading of financial instruments, which cannot be classified in other breakdowns. 15.5. Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument (16.4.1) 201. Gains and losses on non-trading financial assets mandatorily at fair value through profit or loss shall be broken down by type of instrument. Each item of the breakdown shall be the net realised and unrealised amount (gains minus losses) of the financial instrument. 202. Gains or losses due to the reclassification of financial assets out of the amortised cost accounting portfolio and into the non-trading financial assets mandatorily at fair value through profit or loss accounting portfolio (IFRS 9.5.6.2) shall be reported in Of which: gains and losses due to the reclassification of assets at amortised cost. 15.6. Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5) 203. Gains and losses on financial assets and liabilities designated at fair value through profit or loss shall be broken down by type of instrument. Institutions shall report the net realised and unrealised gains or losses and the amount of change in fair value of financial liabilities in the period due to changes in the credit risk (own credit risk of the borrower or issuer) where own credit risk is not reported within other comprehensive income. 204. Where a credit derivative measured at fair value is used to manage the credit risk of all or part of a financial instrument that is designated at fair value through profit or loss at that occasion, the gains or losses of the financial instrument upon that designation shall be reported in Of which: gains or (-) losses upon designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net. Subsequent fair value gains or losses on those financial instruments shall be reported in Of which: gains or (-) losses after the designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net. 15.7. Gains or losses from hedge accounting (16.6) 205. All gains and losses from hedge accounting, except interest income or expense where the clean price is used, shall be broken down by type of hedge accounting: fair value hedge, cash flow hedge and hedge of net investments in foreign operations. Gains and losses related to fair value hedge shall be broken down between the hedging instrument and the hedged item. Gains and losses on hedging instruments shall not include gains and losses related to elements of the hedging instruments that are not designated as hedging instruments in accordance with IFRS 9.6.2.4. Those hedging instruments that are not designated shall be reported in accordance with paragraph 60of this Part. Gains and losses from hedge accounting shall also include gains and losses on hedges of a group of items with offsetting risk positions (hedges of a net position).

1. Fair value changes of the hedged item attributable to the hedged risk shall include gains and losses on hedged items where the items are debt instruments measured at fair value through other comprehensive income in accordance with IFRS 9.4.1.2 A (IFRS 9.6.5.8).
2. Under national GAAP based on BAD, the breakdown by type of hedges as provided for in this template shall be reported to the extent the breakdown is compatible with the applicable accounting requirements. 15.8. Impairment on non-financial assets (16.7)
3. Additions shall be reported where, for the accounting portfolio or main category of assets, the estimation of the impairment for the period results in recognition of net expenses. Reversals shall be reported where, for the accounting portfolio or main category of assets, the estimation of the impairment for the period results in the recognition of net income. 15.9. Other Administrative Expenses (16.8) 208i. Information Technology expenses shall be the expenses made to deliver IT-enabled business processes, application services and infrastructure solutions for business outcomes, including costs related to the creation and maintenance of IT systems and excluding compensation for IT specialists on the institution’s payroll which shall be reported under staff expenses. 208ii. Among the Information Technology expenses, IT outsourcing shall mean IT expenses related to the use of external service providers. It shall not include expenses related to (i) pure staff services (agency staff) to the extent that the institution just hires staff temporarily and keeps full control of the delivered services and (ii) purely standardised operational hardware/software maintenance contracts on merely purchased assets. 208iii. Taxes and duties (other)shall include taxes and duties other than (i) taxes related to profit or loss taxes and (ii) taxes and duties from discontinued operations. This item includes taxes and duties such as taxes levied on goods and services and the duties paid by the institution. 208iv. Consulting and professional services shall mean expenses made to get expert or strategic advice. 208v. Advertising, marketing and communication shall include expenses related to marketing communications activities such as advertising, direct or online marketing, and events. 208vi. Expenses related to credit risk shall mean administrative expenses in the context of credit events, such as expenses incurred in respect of taking possession of collateral or legal proceedings. 208vii. Litigation expenses not covered by provisions shall mean litigation expenses not related to credit risk that were not covered by an associated provision. 208viii. Real estate expenses shall mean expenses for repairs and maintenance that do not improve the use or prolong the useful life of the real estate, as well as utility expenses (water, electricity and heating). 208ix. Under IFRS, leasing expenses shall comprise expenses of the lessee due to short-term leases and leases of assets of low value as referred to IFRS 16.5 and 16.6. Under national GAAP, leasing expenses shall comprise expenses of the lessee, where the accounting standard envisages the treatment of lease payments as expenses.

208x. Other administrative expenses – Rest shall include all the remaining components of other administrative expenses, such as administrative and logistic services, postage and transport of documents, surveillance and security services, money counting services and transport. Cash contributions to resolution funds and deposit guarantee schemes shall not be reported in this category since they are reported in a separate row of template 2. 16. RECONCILIATION BETWEEN ACCOUNTING AND CRR SCOPE OF CONSOLIDATION (17) 209. Accounting scope of consolidation shall include the carrying amount of assets, liabilities and equity as well as the nominal amounts of the off-balance sheet exposures prepared using the accounting scope of consolidation, that is, including in the consolidation subsidiaries that are insurance undertakings and non-financial corporations. Institutions shall account for the subsidiaries, joint ventures and associates using the same method as in their financial statements. 210. In this template, the item Investments in subsidiaries, joint ventures and associates shall not include subsidiaries as all subsidiaries are fully consolidated under the scope of accounting consolidation. 211. Assets under reinsurance and insurance contracts shall include assets under reinsurance ceded as well as, if any, assets related to insurance and reinsurance contracts issued. 212. Liabilities under insurance and reinsurance contracts shall include liabilities under insurance and reinsurance contracts issued. 17. NON-PERFORMING EXPOSURES (18) 17.1. Information on performing and non-performing exposures (18.0) 213. For the purposes of template 18, non-performing exposures shall be exposures that satisfy any of the following criteria: (a) material exposures which are more than 90 days past due; (b) the debtor is assessed as unlikely to pay his or her credit obligations in full without realisation of collateral, regardless of the existence of any past due amount or of the number of days past due. 214. The categorisation as non-performing exposures shall apply notwithstanding the classification of an exposure as defaulted for regulatory purposes in accordance with Article 178 CRR or as impaired for accounting purposes in accordance with the applicable accounting framework. 215. Exposures in respect of which a default is considered to have occurred in accordance with Article 178 CRR and exposures that have been found impaired in accordance with the applicable accounting framework shall always be considered as non-performing exposures. Under IFRS, for the purpose of template 18, impaired exposures shall be those that have been found credit-impaired (Stage 3), including purchased or originated credit-impaired assets reported in this stage in accordance with paragraph 77of this Part. Exposures included in impairment stages other than Stage 3 shall be considered as non-performing where they meet the criteria to be considered as non-performing. 216. Exposures shall be categorised for their entire amount and without taking into account the existence of any collateral. Materiality shall be assessed in accordance with Article 178 CRR.

1. For the purpose of template 18, exposures shall include all debt instruments (debt securities and loans and advances, including cash balances at central banks and other demand deposits) and off-balance sheet exposures, except those held for trading exposures.
2. Debt instruments shall be included in the following accounting portfolios: (a) debt instruments at cost or amortised cost; (b) debt instruments at fair value through other comprehensive income or through equity subject to impairment; and (c) debt instruments at strict LOCOM or fair value through profit or loss or through equity not subject to impairment, in accordance with the criteria of paragraph 233 of this Part. Each category shall be broken down by instrument and by counterparty.
3. Under IFRS and relevant national GAAP based on BAD, off-balance sheet exposures shall comprise the following revocable and irrevocable items: (a) loan commitments given; (b) financial guarantees given; (c) other commitments given.
4. Debt instruments classified as held for sale in accordance with IFRS 5 shall be reported separately.
5. In template 18 for debt instruments, gross carrying amount as defined in paragraph 34of Part 1 of this Annex shall be reported. For off-balance sheet exposures, the nominal amount as defined in paragraph 118 of this Annex shall be reported.
6. For the purpose of template 18, an exposure is past-due where it meets the criteria of paragraph 96 of this Part.
7. For the purpose of template 18, debtor shall mean an obligor within the meaning of Article 178 CRR.
8. A commitment shall be considered as a non-performing exposure for its nominal amount where, drawn down or otherwise used, it would lead to exposures that present a risk of not being paid back in full without realisation of collateral.
9. Financial guarantees given shall be considered as non-performing exposures for their nominal amount where the financial guarantee is at risk of being called by the guaranteed party, including, in particular, where the underlying guaranteed exposure meets the criteria to be considered as non-performing, referred to in paragraph 213. Where the guaranteed party is past-due on the amount due under the financial guarantee contract, the reporting institution shall assess whether the resulting receivable meets the non-performing criteria.
10. Exposures classified as non-performing in accordance with paragraph 213 shall be categorised as either non-performing on an individual basis (transaction based) or as non-performing for the overall exposure to a given debtor (debtor based). For the categorisation of non-performing exposures on an individual basis or to a given debtor, the following categorisation approaches shall be used for the different types of non-performing exposures: (a) for non-performing exposures classified as defaulted in accordance with Article 178 CRR, the categorisation approach of that Article shall be applied; (b) for exposures that are classified as non-performing due to impairment under the applicable accounting framework, the recognition criteria for impairment under the applicable accounting framework shall be applied;

(c) for other non-performing exposures that are neither classified as defaulted nor as impaired, the provisions of Article 178 CRR for defaulted exposures shall be applied. 227. Where an institution has on-balance sheet exposures to a debtor that are past due by more than 90 days and the gross carrying amount of the past due exposures represents more than 20 % of the gross carrying amount of all on-balance sheet exposures to that debtor, all on- and off-balance sheet exposures to that debtor shall be considered as non-performing. Where a debtor belongs to a group, the need to consider also exposures to other entities of the group as non-performing shall be assessed, where those exposures are not already considered as impaired or defaulted in accordance with Article 178 CRR, except for exposures affected by isolated disputes that are unrelated to the solvency of the counterparty. 228. Exposures shall be considered to have ceased being non-performing where all of the following conditions are met: (a) the exposure meets the exit criteria applied by the reporting institution for the discontinuation of the impairment and default classification according to the applicable accounting framework and Article 178 of the CRR respectively; (b) the situation of the debtor has improved to the extent that full repayment is likely to be made, either according to the original or to the modified conditions; (c) the debtor does not have any amount past-due by more than 90 days. 229. An exposure shall remain classified as non-performing as long as the conditions in points (a), (b) and (c) of paragraph 228 are not met, even where the exposure has already met the discontinuation criteria applied by the reporting institution for the impairment and default classification in accordance with the applicable accounting framework and Article 178 CRR respectively. 230. The classification of a non-performing exposure as non-current asset held for sale in accordance with IFRS 5 shall not discontinue their classification as non-performing exposure. 231. Granting forbearance measures to a non-performing exposure shall not discontinue the non-performing status of this exposure. Where exposures are non-performing with forbearance measures, as referred to in paragraph 262, those exposures shall be considered to have ceased being non-performing where all the following conditions are met: (a) exposures are not considered to be impaired or defaulted by the reporting institution according to the applicable accounting framework and Article 178 of the CRR, respectively; (b) at least one year has passed since the date on which the forbearance measures were granted and the date on which the exposures were classified as non-performing, whichever is later;; (c) there is not, following the forbearance measures, any past-due amount or concern regarding the full repayment of the exposure according to the post-forbearance conditions. The absence of concerns shall be determined after an analysis of the debtor’s financial situation by the institution. Concerns may be considered as no longer existing where the debtor has paid, via its regular payments in accordance with the post-forbearance conditions, a total equal to the amount that was previously past-due (where there were past-due amounts) or that has been written-off (where there were no past-due amounts) under the forbearance measures or the debtor has otherwise demonstrated its ability to comply with the post-forbearance conditions.

The specific exit conditions referred to in points (a), (b) and (c) shall apply in addition to the criteria applied by reporting institutions for impaired and defaulted exposures according to the applicable accounting framework and Article 178 CRR, respectively. 232. Where the conditions referred to in paragraph 231 of this Part of this Annex are not met at the end of the one year period specified in point (b) of that paragraph, the exposure shall continue to be identified as non-performing forborne exposure until all conditions are met. The conditions shall be assessed at least on a quarterly basis. 233. The accounting portfolios under IFRS listed in paragraph 15 of Part 1 of this Annex and under relevant national GAAP based on BAD listed in paragraph 16 of Part 1 of this Annex shall be reported as follows in template 18: (a) Debt instruments at cost or at amortised cost shall encompass debt instruments included in any of the following: (i) Financial assets at amortised cost (IFRS); (ii) Non-trading non-derivative financial assets at a cost based method, including debt instruments under moderate LOCOM (national GAAP based on BAD); (iii) Other non-trading non-derivative financial assets, except debt instruments measured at strict LOCOM (national GAAP based on BAD); (b) Debt instruments at fair value through other comprehensive income or through equity subject to impairment shall encompass debt instruments included in any of the following: (i) Financial assets at fair value through other comprehensive income (IFRS); (ii) Non-trading non-derivative financial assets measured at fair value to equity, where instruments in that measurement category can be subject to impairment in accordance with the applicable accounting framework under national GAAP based on BAD; (c) Debt instruments at strict LOCOM, or at fair value through profit or loss or through equity not subject to impairment shall encompass debt instruments included in any of the following: (i) Non-trading financial assets mandatorily at fair value through profit or loss (IFRS); (ii) Financial assets designated at fair value through profit or loss (IFRS); (iii) Non-trading non-derivative financial assets measured at fair value through profit or loss (national GAAP based on BAD); (iv) Other non-trading non-derivative financial assets where debt instruments are measured under strict LOCOM (national GAAP based on BAD); (v) Non-trading non-derivative financial assets measured at fair value through equity, where debt instruments in that measurement category are not subject to impairment in accordance with the applicable accounting framework under GAAP based on BAD. 234. Where IFRS or the relevant national GAAP based on BAD provide for the designation of commitments at fair value through profit and loss, the carrying amount of any asset resulting from that designation and measurement at fair value shall be reported in Financial assets designated at fair value through profit or loss (IFRS) or Non-trading non-derivative financial assets measured at fair value through profit or loss (national GAAP based on BAD). The carrying amount of any liability resulting from that designation shall not be reported in template 18. The notional amount of all commitments designated at fair value through profit or loss shall be reported in template 9.

234i. The following exposures shall be identified in separate rows: (a) Loans collateralised by immovable property as defined in paragraphs 86(a) and 87of this Part; (b) Credit for consumption as defined in paragraph 88(a) of this Part. 235. Past due exposures shall be reported separately within the performing and non-performing categories for their entire amount as defined in paragraph 96 of this Part. Exposures past due by more than 90 days but that are not material in accordance with Article 178 CRR shall be reported within performing exposures in Past due > 30 days <= 90 days. 236. Non-performing exposures shall be reported broken down by past due time bands. Exposures that are not past due or are past due by 90 days or less, but are nevertheless identified as non-performing due to the likelihood of non-full repayment, shall be reported in a dedicated column. Exposures that present both past due amounts and a likelihood of non-full repayment shall be allocated by past-due time bands consistent with the number of days that they are past due. 237. The following exposures shall be identified in separate columns: (a) exposures which are considered to be impaired in accordance with the applicable accounting framework; under IFRS, the amount of credit-impaired assets (Stage 3), including purchased or originated credit-impaired assets, shall be reported; under national GAAP, the amount of impaired assets shall be reported; (b) exposures in respect of which a default is considered to have occurred in accordance with Article 178 CRR. (c) under IFRS, assets with significant increase in credit risk since initial recognition, but not credit-impaired (Stage 2), including purchased or originated credit-impaired assets that no longer meet the definition of credit-impaired assets after the initial recognition; (d) under IFRS, for performing exposures, assets without significant increase in credit risk since initial recognition (Stage 1). 238. Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110of this Part. 239. Information on collateral held and guarantees received on performing and non-performing exposures shall be reported separately. Amounts reported for collateral received and guarantees received shall be calculated in accordance with paragraphs 172 and 174of this Part. The sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount or nominal amount after deduction of provisions of the related exposure. 17.2. Inflows and outflows of non-performing exposures – loans and advances by counterparty sector (18.1) 239i. Template 18.1 shall provide the inflows and outflows of loans and advances, excluding loans and advances classified as trading financial assets or held for trading, that were classified into or out of the category of non-performing exposures as defined in paragraphs 213 to 239 or 260of this Part. Inflows and outflows of non-performing loans and advances shall be broken down by counterparty sector.

239ii. Inflows to the non-performing exposures category shall be reported on a cumulative basis since the beginning of the financial year. The inflow shall reflect the gross carrying amount of exposures that have become non-performing as defined in paragraphs 213 to 239 or 260 of this Part during the period, including purchased non-performing exposures. An increase in the gross carrying amount of a non-performing exposure due to accrued interest or due to an increase in the accumulated negative changes in fair value due to credit risk shall be reported as an inflow as well. 239iii. For an exposure that during the period has been reclassified multiple times from non-performing to performing or vice versa, the amount of inflows and outflows shall be identified based on a comparison between the status of the exposure (performing or non-performing) at the beginning of the financial year or at initial recognition and its status at the reporting reference date. 239iv. Outflows from the non-performing exposures category shall be reported on a cumulative basis since the beginning of the financial year. The outflow shall reflect the sum of the gross carrying amounts of exposures that cease to be non-performing during the period, and, where applicable, shall include the amount of write-offs made in the context of the partial or full derecognition of the exposure. A decrease in the gross carrying amount of a non-performing exposure due to interest paid or a decrease in the accumulated negative changes in fair value due to credit risk shall be reported as an outflow as well. 239v. An outflow shall be reported in the following cases: (a) a non-performing exposure meets the criteria for ceasing to be classified as non-performing as laid out in paragraphs 228 – 232 of this Part and is reclassified as performing not forborne or performing forborne; (b) a non-performing exposure is partially or totally repaid; in case of partial repayment, only the repaid amount shall be classified as outflow; (c) collateral is liquidated, including outflows due to other liquidation or legal procedures, such as the liquidation of assets other than collateral obtained via legal procedures, and the voluntary sale of the collateral; (d) the institution takes possession of the collateral as referred in paragraph 175 of this Part including cases of debt asset swaps, voluntary surrenders and debt equity swaps; (e) a non-performing exposure is sold; (f) the risk pertaining to a non-performing exposure is transferred and the exposure meets the criteria to be derecognised; (g) a non-performing exposure is written-off partially or totally; in case of partial write-offs, only the written-off amount shall be classified as outflow; (h) a non-performing exposure, or parts of a non-performing exposure, ceases to be non-performing for other reasons. 239vi. The reclassification of a non-performing exposure from one accounting portfolio to another shall be reported neither as inflow nor as outflow. As an exception, the reclassification of a non-performing exposure from any accounting portfolio to held for sale shall be reported as outflow from the original accounting portfolio and inflow to held for sale.

239vii. The following exposures shall be identified in separate rows: (a) commercial real estate (CRE) loans as defined in paragraph 239ix, broken down into CRE loans to SMEs and CRE loans to non-financial corporations other than SMEs; (b) loans collateralised by immovable property as defined in paragraphs 86(a) and 87of this Part; (c) credit for consumption as defined in paragraph 88(a) of this Part. 17.3. Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property (18.2) 239viii. Template 18.2 shall present information on commercial real estate loans to non-financial corporations and on loans collateralised by commercial or residential immovable property to non-financial corporations and households respectively, broken down by loan to value ratio (LTV ratio). Loans and advances classified as held for trading, trading financial assets and debt instruments held for sale shall be excluded. 239ix. Commercial real estate (CRE) loans shall comprise exposures as defined in section 2, chapter 1, paragraph 1 of the ESRB Recommendation on closing real estate data gaps Recommendation of the European Systemic Risk Board of 31 October 2016 on closing real estate data gaps (ESRB/2016/14), OJ C 31, 31.1.2017, p. 1. . 239x. The LTV ratio shall be calculated in accordance with the method for the calculation of the current loan-to-value ratio (LTV-C) laid down in section 2, chapter 1, paragraph 1 of the ESRB Recommendation on closing real estate data gaps. 239xi. Information on collateral received and financial guarantees received on loans shall be reported in accordance with paragraph 239of this Part. Consequently, the sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related exposure. 18. FORBORNE EXPOSURES (19) 240. For the purpose of template 19, forborne exposures shall be debt contracts in respect of which forbearance measures have been applied. Forbearance measures consist of concessions towards a debtor that is experiencing or about to experience difficulties in meeting its financial commitments (financial difficulties). 241. For the purpose of template 19, a concession may entail a loss for the lender and shall refer to either of the following actions: (a) a modification of the terms and conditions of a contract that the debtor is considered unable to comply with due to his or her financial difficulties (troubled debt) resulting in insufficient debt service ability, and where that modification would not have been granted had the debtor not been experiencing financial difficulties; (b) a total or partial refinancing of a troubled debt contract, where that refinancing would not have been granted had the debtor not been experiencing financial difficulties. 242. Evidence of a concession shall include at least any of the following: (a) a difference in favour of the debtor between the modified terms of the contract and the pre-modified terms of the contract; (b) inclusion in a modified contract of more favourable terms than other debtors with a similar risk profile could have obtained from the same institution at the time of inclusion of those more favourable terms.

1. The exercise of clauses which, where used at the discretion of the debtor, enable the debtor to change the terms of the contract (embedded forbearance clauses) shall be treated as a concession where the institution approves executing those clauses and concludes that the debtor is experiencing financial difficulties.
2. For the purposes of Annexes III and IV as well as this Annex, refinancing shall mean the use of debt contracts to ensure the total or partial payment of other debt contracts the terms of which the debtor is unable to comply with.
3. For the purpose of template 19, debtor shall include all the legal entities in the debtor’s group which are within the accounting scope of consolidation and natural persons who control that group.
4. For the purpose of template 19, debt shall include loans and advances (including also cash balances at central banks and other demand deposits), debt securities and revocable and irrevocable loan commitments given, including those loan commitments that are designated at fair value through profit and loss that are assets at the reporting date. Debt shall exclude exposures held for trading.
5. Debt shall also include loans and advances and debt securities classified as non-current assets and disposal groups classified as held for sale in accordance with IFRS 5.
6. For the purposes of template 19, exposure shall have the same meaning as debt in paragraphs 246 and 247of this Part.
7. The accounting portfolios under IFRS listed in paragraph 15 of Part 1 of this Annex and under relevant national GAAP based on BAD listed in paragraph 16 of Part 1 of this Annex shall be reported in template 19 in accordance with paragraph 233 of this Part.
8. For the purposes of template 19, institution shall mean the institution, which applied the forbearance measures.
9. In template 19 for debt, the gross carrying amount shall be reported in accordance with paragraph 34 of Part 1 of this Annex. For loan commitments given which are off-balance sheet exposures, the nominal amount as defined in paragraph 118 of this Part of this Annex shall be reported.
10. Exposures shall be regarded as forborne where a concession has been made, irrespective of whether any amount is past due or of the classification of the exposures as impaired in accordance with the applicable accounting framework or as defaulted in accordance with Article 178 CRR. Exposures shall not be treated as forborne where the debtor is not in financial difficulties. Under IFRS, modified financial assets (IFRS 9.5.4.3 and Appendix A) shall be treated as forborne where a concession as defined in paragraphs 240 and 241 of this Part of this Annex has been made, regardless of the incidence of the modification on the change in the credit risk of the financial asset since initial recognition. Any of the following shall be treated as forbearance measures: (a) a modified contract that has been classified as non-performing before the modification or would in the absence of modification be classified as non-performing;

(b) the modification that has been made to a contract involves a total or partial cancellation by write-offs of the debt; (c) the institution approves the use of embedded forbearance clauses for a debtor who is non-performing or who would be considered as non-performing without the use of those clauses; (d) simultaneously with or close in time to the concession of additional debt by the institution, the debtor made payments of principal or interest on another contract with the institution that was non-performing or would in the absence of refinancing be classified as non-performing. 253. A modification involving repayments made by taking possession of collateral shall be treated as a forbearance measure where that modification constitutes a concession. 254. There is a rebuttable presumption that forbearance has taken place in any of the following circumstances: (a) the modified contract was totally or partially past due more than 30 days (without being non-performing) at least once during the three months prior to its modification or would be more than 30 days past due, totally or partially, without modification; (b) simultaneously with or close in time to the concession of additional debt by the institution, the debtor made payments of principal or interest on another contract with the institution that was totally or partially past due by 30 days at least once during the three months prior to its refinancing; (c) the institution approves the use of embedded forbearance clauses for 30 days past due debtors or debtors who would be 30 days past due without the exercise of those clauses. 255. Financial difficulties shall be assessed at debtor level as referred to in paragraph 245. Only exposures to which forbearance measures have been applied shall be identified as forborne exposures. 256. Forborne exposures shall be included in the non-performing exposures category or the performing exposures category in accordance with paragraphs 213 to 239 and 260 of this Part. The classification as forborne exposure shall be discontinued where all of the following conditions are met: (a) the forborne exposure is considered to be performing, including where the exposure has been reclassified from the non-performing exposures category after an analysis of the financial condition of the debtor showed that it no longer met the conditions to be considered as non-performing; (b) a minimum two year period has passed from the date the forborne exposure was considered to be performing (probation period); (c) regular payments of more than an insignificant aggregate amount of principal or interest have been made during at least half of the probation period; (d) none of the exposures to the debtor is more than 30 days past due at the end of the probation period. 257. Where the conditions referred to in paragraph 256 are not met at the end of the probation period, the exposure shall continue to be identified as performing forborne under probation until all the conditions are met. The conditions shall be assessed at least on a quarterly basis.

1. Forborne exposures, which are classified as non-current assets held for sale in accordance with IFRS 5, shall continue to be classified as forborne exposures.
2. A forborne exposure may be considered as performing from the date the forbearance measures were applied where both of the following conditions are met: (a) that extension has not led the exposure to be classified as non-performing; (b) the exposure was not considered to be a non-performing exposure at the date the forbearance measures were extended.
3. Where additional forbearance measures are applied to a performing forborne exposure under probation that has been reclassified out of non-performing category or the forborne exposure under probation reclassified out of non-performing category becomes more than 30 days past due, the exposure shall be classified as non-performing.
4. Performing exposures with forbearance measures (performing forborne exposures) shall comprise forborne exposures that do not meet the criteria to be considered as non-performing and that are included in the performing exposures category. Performing forborne exposures shall be under probation until the criteria laid down in paragraphs 256 and 259 of this Part are not met. Performing forborne exposures under probation that have been reclassified out of the non-performing exposures category shall be reported separately within the performing exposures with forbearance measures in the column of which: Performing forborne exposures under probation reclassified from non-performing.
5. Non-performing exposures with forbearance measures (non-performing forborne exposures) shall comprise forborne exposures that meet the criteria to be considered as non-performing and that are included in the non-performing exposures category. Those non-performing forborne exposures shall include the following: (a) exposures which have become non-performing due to the application of forbearance measures; (b) exposures which were non-performing prior to the extension of forbearance measures; (c) forborne exposures which have been reclassified from the performing category, including exposures reclassified in application of paragraph 260.
6. Where forbearance measures are extended to exposures which were non-performing prior to the extension of forbearance measures, the amount of those forborne exposures shall be separately identified in the column of which: forbearance of exposures non-performing prior to forbearance measures.
7. The following non-performing exposures with forbearance measures shall be identified in separate columns: (a) exposures which are considered, in accordance with the applicable accounting framework, to be impaired. Under IFRS, the amount of credit-impaired assets (Stage 3), including purchased or originated credit-impaired assets reported in this stage in accordance with paragraph 77 of this Part shall be reported in this column; (b) exposures in respect of which a default is considered to have occurred in accordance with Article 178 CRR.

1. The column Refinancing shall comprise the gross carrying amount of the new contract (refinancing debt) granted as part of a refinancing transaction which qualifies as a forbearance measure, as well as the gross carrying amount of the old re-paid contract that is still outstanding.
2. Forborne exposures combining modifications and refinancing shall be allocated to the column Instruments with modifications of the terms and conditions or the column Refinancing, depending on the measure that has the most impact on cash flows. Refinancing by a pool of banks shall be reported in the column Refinancing for the total amount of refinancing debt provided by or refinanced debt still outstanding at the reporting institution. Repackaging of several debts into a new debt shall be reported as a modification, unless there is also a refinancing transaction that has a larger impact on cash flows. Where forbearance through modification of the terms and conditions of a troubled exposure leads to that exposure’s derecognition and to the recognition of a new exposure, that new exposure shall be treated as forborne debt.
3. Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110 of this Part.
4. Collateral and guarantees received on exposures with forbearance measures shall be reported for all exposures with forbearance measures, regardless of their performing or non-performing status. In addition, collateral and financial guarantees received on non-performing exposures with forbearance measures shall be shown separately. Amounts reported for collateral received and guarantees received shall be calculated in accordance with paragraphs 172 and 174 of this Part. The sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related on-balance sheet exposure or nominal amount after deduction of provisions of the related off-balance sheet exposure.
5. GEOGRAPHICAL BREAKDOWN (20)
6. Template 20 shall be reported where the institution exceeds the threshold described in point (4) of Article 5(a) of this Regulation. 19.1. Geographical breakdown by location of activities (20.1-20.3)
7. The geographical breakdown by location of the activities in templates 20.1 to 20.3 distinguishes between domestic activities and non-domestic activities. For the purposes of this Part, location shall mean the jurisdiction of incorporation of the legal entity which has recognised the corresponding asset or liability. For branches, it shall mean the jurisdiction of its residence. Domestic shall include the activities recognised in the Member State where the reporting institution is located. 19.2. Geographical breakdown by residence of the counterparty (20.4-20.7)
8. Templates 20.4 to 20.7 contain information country-by-country on the basis of the residence of the immediate counterparty as defined in paragraph 43of Part 1 of this Annex. The breakdown provided shall include exposures or liabilities with residents in each foreign country in which the institution has exposures. Exposures or liabilities with international organisations and multilateral development banks shall not be assigned to the country of residence of the institution but to the geographical area Other countries.

1. Derivatives shall include both trading derivatives, including economic hedges, and hedging derivatives under IFRS and under GAAP, reported in templates 10 and 11.
2. Assets held for trading under IFRS and trading assets under GAAP shall be identified separately. Financial assets subject to impairment shall have the same meaning as in paragraph 93 of this Part. Assets measured under LOCOM that have credit risk induced value adjustments shall be considered as impaired.
3. In templates 20.4 and 20.7, Accumulated impairment and Accumulated negative changes in fair value due to credit risk on non-performing exposures, as determined in accordance with paragraphs 69 to 71 of this Part shall be reported.
4. In template 20.4 for debt instruments, gross carrying amount, as determined in accordance with paragraph 34 of Part 1 of this Annex, shall be reported. For derivatives and equity instruments, the amount to be reported shall be the carrying amount. In column Of which: Non-performing debt instruments, as determined in accordance with paragraphs 213 to 239 or 260of this Part shall be reported. Debt forbearance shall comprise all debt contracts for the purpose of template 19 to which forbearance measures, as defined in paragraphs 240 to 268of this Part, are extended.
5. In template 20.5, Provisions for commitments and guarantees given shall include provisions measured under IAS 37, the credit losses of financial guarantees treated as insurance contracts under IFRS 4, and the provisions on loan commitments and financial guarantees under the impairment requirements of IFRS 9 and provisions for commitments and guarantees under national GAAP based on BAD in accordance with paragraph 11 of this Part.
6. In template 20.7, loans and advances not held for trading shall be reported with the classification by NACE Codes on a country-by-country basis. NACE Codes shall be reported with the first level of disaggregation (by section). Loans and advances subject to impairment shall refer to the same portfolios as referred to in paragraph 93 of this Part.
7. TANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21)
8. For the purposes of the calculation of the threshold in Article 9(e) of this Regulation, tangible assets that have been leased by the institution (lessor) to third parties in agreements that qualify as operating leases under the relevant accounting framework shall be divided by the total of tangible assets.
9. Under IFRS, assets that have been leased by the institution (as lessor) to third parties in operating leases shall be broken down by measurement method.
10. ASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22)
11. For the purposes of the calculation of the threshold in Article 9(f) of this Regulation, the amount of net fee and commission income shall be the absolute value of the difference between fee and commission income and fee and commission expense. For the same purposes, the amount of net interest shall be the absolute value of the difference between interest income and interest expenses.

21.1. Fee and commission income and expenses by activity (22.1) 281. The fee and commission income and expenses shall be reported by type of activity. Under IFRS, this template shall include fee and commission income and expenses other than both of the following: (a) amounts considered for the calculation of the effective interest of financial instruments (IFRS 7.20.(c)); (b) amounts arising from financial instruments that are measured at fair value through profit or loss (IFRS 7.20.(c).(i)). 282. Transaction costs directly attributable to the acquisition or issue of financial instruments not measured at fair value through profit or loss shall not be included. Those transaction costs shall form part of the initial acquisition/issue value of those instruments and shall be amortised to profit or loss over their residual life using the effective interest rate (IFRS 9.5.1.1). 283. Under IFRS, transaction costs directly attributable to the acquisition or issue of financial instruments measured at fair value through profit or loss shall be included as a part of Gains or losses on financial assets and liabilities held for trading, net, Gain or losses on non-trading financial assets mandatorily at fair value through profit or loss, net and Gains or losses on financial assets and liabilities designated at fair value through profit or loss, net, depending on the accounting portfolio in which those transaction costs are classified. Those transaction costs shall not be part of the initial acquisition or issuance value of those instruments and shall be immediately recognized in profit or loss. 284. Institutions shall report fee and commission income and expenses in accordance with the following criteria: (a) Securities. Issuances shall include fees and commissions received for the involvement in the origination or issuance of securities not originated or issued by the institution; (b) Securities. Transfer orders shall include fees and commissions generated by the reception, transmission and execution on behalf of customers of orders to buy or sell securities; (c) Securities. Other fee and commission income in relation to securities shall include fees and commissions generated by the institution providing other services related with securities not originated or issued by the institution; (d) Under fee and commission expenses, securities shall include fees and commissions charged to the institution where it is receiving services related with securities regardless of whether they are originated or issued by the institution or not; (e) Corporate Finance. M&A advisory shall include fees and commissions for advisory services surrounding corporate clients’ mergers and acquisitions activities; (f) Corporate Finance. Treasury services shall include fees and commissions for corporate finance services related to capital market advisory for corporate clients; (g) Corporate Finance. Other fee and commission income in relation to corporate finance activities shall include all other corporate finance related fees and commissions;

(h) Fee based advice shall include fees and commissions charged for advisory services to clients that are not directly linked to asset management, such as private banking related fees. M&A advisory fees shall not be included here, but under Corporate Finance. M&A advisory; (i) Clearing and settlement shall include fees and commission income (expenses) generated by (charged to) the institution where that institution participates in counterparty, clearing and settlement facilities; (j) Asset management, Custody, Central administrative services for collective investment undertakings and Fiduciary transactions shall include fees and commission income (expenses) generated by (charged to) the institution that provides those services; (k) Payment services shall include fees and commission income (expenses) generated by (charged to) the institution that provides (receives) payment services as referred to in Annex I to Directive (EU) 2015/2366 of the European Parliament and of the Council Directive (EU) 2015/2366 of the European Parliament and of the Council of 25 November 2015 on payment services in the internal market, amending Directives 2002/65/EC, 2009/110/EC and 2013/36/EU and Regulation (EU) No 1093/2010, and repealing Directive 2007/64/EC (OJ L 337, 23.12.2015, p. 35). . Information on the fee and commission income shall be reported separately for current accounts, credit cards, debit cards and other card payments, transfers and other payment orders as well as other fee and commission income in relation to payment services. Other fee and commissions income in relation to payment services shall include charges for the use of the institution’s ATM network by cards not issued by the institution. Information on fee and commission expenses on credit, debit and other cards shall be reported separately; (l) Customer resources distributed but not managed (by type of product) shall comprise fee and commission income for distribution of products issued by entities outside the prudential group to its current customers. This information shall be reported by type of product; (m) Under fee and commission expenses, Externally provided distribution of products shall comprise the expenses for distribution of the institution’s products and services via an external agent network/distribution arrangement with external providers such as mortgage brokers, online loan platforms or Fintech frontends; (n) Structured finance shall include fees and commissions received for the involvement in the origination or issuance of financial instruments other than securities originated or issued by the institution; (o) Fees from Loan servicing activities shall include, on the income side, the fee and commission income generated by the institution providing loan servicing services and on the expense side, the fee and commission expense charged to the institution by loan service providers; (p) Loan commitments given and Financial guarantees given shall include the amount, recognized as income during the period, of the amortization of the fees and commission for those activities initially recognised as other liabilities;

(q) Loan commitments received and Financial guarantees received shall include the fee and commission recognised as expense by the institution during the period as a consequence of the charge made to the counterparty that has given the loan commitment or the financial guarantee that is initially recognised as other assets; (r) Under loans granted, fees and commissions shall be reported which are charged in the process of granting loans, but are not part of the effective interest rate calculation; (s) Foreign exchange includes fee and commission income (expenses) for foreign exchange services (including exchange of foreign banknotes or coins, fees on international currency cheques, bid-ask-spread) and fee income from/expenses on international transactions. Where the income (expenses) attributable to foreign exchange transactions can be separated from the other credit/debit card related fee income, this item shall also include foreign-exchange related fees and commissions generated via credit or debit cards; (t) Commodities include fee and commission income related to the commodity business, except for income related to commodity trading which shall be reported as other operating income; (u) Other fee and commission income (expenses) shall include the fee and commission income (expenses) generated by (charged to) the institution that cannot be allocated to any of the other listed items. 21.2. Assets involved in the services provided (22.2) 285. Business related to asset management, custody functions, and other services provided by the institution shall be reported using the following definitions: (a) Asset management shall refer to assets belonging directly to the customers, for which the institution is providing management. Asset management shall be reported by type of customer: collective investment undertakings, pension funds, customer portfolios managed on a discretionary basis, and other investment vehicles; (b) Custody assets shall refer to the services of safekeeping and administration of financial instruments for the account of clients provided by the institution and services related to custodianship such as cash and collateral management. Custody assets shall be reported by type of customers for which the institution is holding the assets distinguishing between collective investment undertakings and others. The item of which: entrusted to other entities shall refer to the amount of assets included in custody assets for which the institution has given the effective custody to other entities; (c) Central administrative services for collective investment shall refer to the administrative services provided by the institution to collective investment undertakings. It shall include, among others, the services of transfer agent, of compiling accounting documents, of preparing the prospectus, financial reports and all other documents intended for investors, of carrying out the correspondence by distributing financial reports and all other documents intended for investors, of carrying out issues and redemptions and keeping the register of investors, as well as of calculating the net asset value;

(d) Fiduciary transactions shall refer to the activities where the institution acts in its own name but for the account and at the risk of its customers. Frequently, in fiduciary transactions, the institution provides services, such as custody, asset management services, to a structured entity or managing portfolios on a discretionary basis. All fiduciary transactions shall be reported exclusively in this item irrespective of whether the institution provides other services; (e) Payment services shall refer to the payment services listed in Annex I of Directive (EU) 2015/2366; (f) Customer resources distributed but not managed shall refer to products issued by entities outside the prudential group that the institution has distributed to its current customers. This item shall be reported by type of product; (g) Amount of the assets involved in the services provided shall include the amount of assets in relation to which the institution is acting, using the fair value. Other measurement bases including nominal value may be used where the fair value is not available. Where the institution provides services to entities such as collective investment undertakings or pension funds, the assets concerned may be shown at the value at which those entities report the assets in their own balance sheet. Reported amounts shall include accrued interest, where applicable. 22. INTERESTS IN UNCONSOLIDATED STRUCTURED ENTITIES (30) 286. For the purposes of Annexes III and IV as well as this Annex, liquidity support drawn shall mean the sum of the carrying amount of the loan and advances granted to unconsolidated structured entities and the carrying amount of debt securities held that have been issued by unconsolidated structured entities. 287. Losses incurred by the reporting institution in the current period shall include losses due to impairment and any other losses which are incurred by a reporting institution during the reporting reference period and concern the reporting institution’s interests in unconsolidated structured entities. 23. RELATED PARTIES (31) 288. Institutions shall report amounts or transactions related to the balance sheet and the off-balance sheet exposures where the counterparty is a related party as referred to in IAS 24. 289. Intra-group transactions and intra-group outstanding balances of the prudential group shall be eliminated. Under Subsidiaries and other entities of the same group, institutions shall include balances and transactions with subsidiaries that have not been eliminated either because the subsidiaries are not fully consolidated within the scope of the prudential consolidation or because the subsidiaries are excluded from the scope of prudential consolidation in accordance with Article 19 CRR for being immaterial or because, for institutions that are part of a wider group, the subsidiaries are of the ultimate parent, not of the institution. Under Associates and joint ventures, institutions shall include the portions of balances and transactions with joint ventures and associates of the group to which the entity belongs that have not been eliminated where proportional consolidation is applied.

23.1. Related parties: amounts payable to and amounts receivable from (31.1) 290. For Loan commitments, financial guarantees and other commitments received, the amounts that shall be reported shall be the sum of the nominal of loan and other commitments received and the maximum amount of the guarantee that can be considered of financial guarantees received as defined in paragraph 119. 291. Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposures, as determined in paragraphs 69 to 71, in this Part shall be reported for non-performing exposures only. Provisions on non-performing off-balance sheet exposures shall include provisions in accordance with paragraphs 11, 106 and 111 of this Part for exposures which are non-performing, as determined in accordance with paragraphs 213 to 239of this Part. 23.2. Related parties: expenses and income generated by transactions with (31.2) 292. Gains or losses on derecognition of other than financial assets shall include all the gains and losses on derecognition of non-financial assets generated by transactions with related parties. This item shall include the gains and losses on derecognition of non-financial assets, which have been generated by transactions with related parties and that are part of any of the following line items of the Statement of profit or loss: (a) Gains or losses on derecognition of investments in subsidiaries, joint ventures and associates, where reporting under national GAAP based on BAD; (b) Gains or losses on derecognition of non-financial assets; (c) Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations; (d) Profit or loss after tax from discontinued operations. 293. Impairment or (-) reversal of impairment on non-performing exposures shall include impairment losses as defined in paragraphs 51 to 53 of this Part for exposures which are non-performing in accordance with paragraphs 213 to 239 of this Part. Provisions or (-) reversal of provisions on non-performing exposures shall include provisions as defined in paragraph 50 of this Part for off-balance sheet exposures which are non-performing as referred in paragraphs 213 to 239 of this Part. 24. GROUP STRUCTURE (40) 294. Institutions shall provide, as of the reporting date, detailed information on subsidiaries, joint ventures and associates fully or proportionally consolidated within the scope of accounting consolidation as well as entities reported as Investments in subsidiaries, joint ventures and associates in accordance with paragraph 4 of this Part, including those entities in which investments are held for sale under IFRS 5. All entities shall be reported, regardless of the activity they perform. 295. Equity instruments that do not meet the criteria to be classified as investments in subsidiaries, joint ventures and associates and in own shares of the reporting institution owned by it (Treasury shares) shall be excluded from this template.

24.1. Group structure: entity-by-entity (40.1) 296. The following information shall be reported on a entity-by-entity basis and the following requirements shall apply for the purposes of Annexes III and IV as well as this Annex: (a) LEI code shall include the LEI code of the investee. Where a LEI code exists for the investee, it shall be reported; (b) Entity code shall include the identification code of the investee. The entity code is a row identifier and shall be unique for each row in template 40.1; (c) Entity name shall include the name of the investee; (d) Entry date shall mean the date on which the investee entered within the scope of the group; (e) Share capital of investee shall mean the total amount of capital issued by the investee as of the reference date; (f) Equity of investee, Total assets of the Investee and Profit or (loss) of the Investee shall include the amounts of those items in the last financial statements of the investee; (g) Residence of investee shall mean the country of residence of the investee; (h) Sector of investee shall mean the sector of counterparty referred to in paragraph 42 of Part 1 of this Annex; (i) the NACE code shall be provided on the basis of the principal activity of the investee. For non-financial corporations, NACE codes shall be reported with the first level of disaggregation (by section). For financial corporations, NACE codes shall be reported with a two level detail (by division); (j) Accumulated equity interest (%) shall be the percentage of ownership instruments held by the institution as of the reference date; (k) Voting rights (%) shall mean the percentage of voting rights associated to the ownership instruments held by the institution as of the reference date; (l) Group structure (relationship) shall indicate the relationship between the ultimate parent and the investee (parent or entity with joint control of the reporting institution, subsidiary, joint venture or associate); (m) Accounting treatment (Accounting Group) shall indicate the relationship between the accounting treatment with the accounting scope of consolidation (full consolidation, proportional consolidation, equity method or other); (n) Accounting treatment (CRR Group) shall indicate the relationship between the accounting treatment and the CRR scope of consolidation (full consolidation, proportional consolidation, equity method or other); (o) Carrying amount shall mean the amounts reported on the balance sheet of the institution for investees that are neither fully nor proportionally consolidated; (p) Acquisition cost shall mean the amount paid by investors; (q) Goodwill link to the investee shall mean the amount of goodwill reported on the consolidated balance sheet of the reporting institution for the investee in the items goodwill or investments in subsidiaries, joint ventures and associated; (r) Fair value of the investments for which there are published price quotations shall mean the price at the reference date. It shall be provided only where the instruments are quoted.

24.2. Group structure: instrument-by-instrument (40.2) 297. The following information shall be reported on an instrument-by-instrument basis: (a) Security code shall include the ISIN code of the security. For securities without ISIN code, it shall include another code that uniquely identifies the security. Security code and Holding company code shall be a composite row identifier, and together shall be unique for each row in template 40.2; (b) Holding company code shall be the identification code of the entity within the group that holds the investment. Holding company LEI code shall include the LEI code for the company holding the security. Where a LEI code exists for the holding company, it shall be reported; (c) Entity code, Accumulated equity interest (%), Carrying amount and Acquisition cost are defined in paragraph 296 of this Part. The amounts shall correspond to the security held by the related holding company. 25. FAIR VALUE (41) 25.1. Fair value hierarchy: financial instruments at amortised cost (41.1) 298. Information on the fair value of financial instruments measured at amortised cost, using the hierarchy in IFRS 13.72, 76, 81, and 86, shall be reported in this template. Where national GAAP under BAD also requires the allocation of assets measured at fair value between different levels of fair value, institutions under national GAAP shall also report this template. 25.2. Use of fair value option (41.2) 299. Information on the use of fair value option for financial assets and liabilities designated at fair value through profit or loss shall be reported in this template. 300. Hybrid contracts shall, for liabilities, include the carrying amount of hybrid financial instruments classified, as a whole, in the accounting portfolio of financial liabilities designated at fair value through profit or loss It shall thus include non-separated hybrid instruments in their entirety. 301. Managed for credit risk shall include the carrying amount of instruments that are designated at fair value through profit or loss at the occasion of their hedging against credit risk by credit derivatives measured at fair value through profit or loss in accordance with IFRS 9.6.7. 26. TANGIBLE AND INTANGIBLE ASSETS: CARRYING AMOUNT BY MEASUREMENT METHOD (42) 302. Property, plant and equipment, Investment property and Other intangible assets shall be reported by the criteria used in their measurement. 303. Other intangible assets shall include all intangible assets other than goodwill. 303i. Where the institution assumes the role of a lessee, it shall provide separate information on lease assets (right-of-use assets). 27. PROVISIONS (43) 304. This template shall include reconciliation between the carrying amount of the item Provisions at the beginning and end of the period by the nature of the movements, except provisions measured under IFRS 9 that shall instead be reported in template 12. 305. Other commitments and guarantees given measured under IAS 37 and guarantees given measured under IFRS 4 shall include provisions measured under IAS 37 and the credit losses of financial guarantees treated as insurance contracts under IFRS 4.

1. DEFINED BENEFIT PLANS AND EMPLOYEE BENEFITS (44)
2. These templates shall include accumulated information of all defined benefit plans of the institution. Where there is more than one defined benefit plan, aggregated amount of all plans shall be reported. 28.1. Components of net defined benefit plan assets and liabilities (44.1)
3. The template on components of net defined benefit plan assets and liabilities shall show the reconciliation of the accumulated present value of all net defined benefit liabilities (assets) as well as reimbursement rights (IAS 19.140 (a), (b)).
4. Net defined benefit assets shall include, in the event of a surplus, the surplus amounts that shall be recognised in the balance sheet as they are not affected by the limits set up in IAS 19.63. The amount of this item and the amount recognised in the memo item Fair value of any right to reimbursement recognized as asset shall be included in the item Other assets of the balance sheet. 28.2. Movements in defined benefit obligations (44.2)
5. The template on movements in defined benefit obligations shall show the reconciliation of opening and closing balances of the accumulated present value of all defined benefit obligations of the institution. The effects of the different elements listed in IAS 19.141 during the period shall be presented separately.
6. The amount of Closing balance (present value) in the template for movements in defined benefit obligations shall be equal to Present value defined benefit obligations. 28.3. Staff expenses by type of benefits (44.3)
7. For reporting of staff expenses by type of benefits, the following definitions shall be used: (a) Pension and similar expenses shall include the amount recognised in the period as staff expenses for any post-employment benefit obligations (both defined contribution plans and defined benefit plans), including post-employment-related contributions to social security funds (pension funds) maintained by the government or social security entities; (b) Share based payments shall include the amount recognised in the reference period as staff expenses for share based payments; (c) Wages and salaries shall include the remuneration of the institution’s employees for their labour or services, but shall exclude severance payments and remuneration in the form of share-based items which shall be reported in separate items; (d) Social security contributions shall include contributions to social security funds, amounts paid to the government or to social security entities in order to receive a future social benefit, but shall exclude post-employment-related contributions to social security funds in terms of pensions (contributions to pension funds); (e) Severance payments shall mean payments relating to the early termination of a contract and shall include termination benefits as defined in IAS 19.8; (f) Other types of staff expenses shall include staff expenses that cannot be allocated to any of the categories above.

28.4. Staff expenses by category of remuneration and category of staff (44.4) 311i. For reporting of staff expenses by category of remuneration and category of staff, the following definitions shall be used: (a) Fixed remuneration, variable remuneration, identified staff and management body in its management function shall have the same meaning as in the EBA Guidelines on sound remuneration policies under Articles 74(3) and 75(2) of Directive 2013/36/EU and disclosures under Article 450 of Regulation (EU) No 575/2013 (EBA/GL/2015/22); (b) Management body, management body in its supervisory function and senior management shall comprise staff as defined in points (7), (8) and (9) of Article 3(1) CRD. 311ii. Number of staff shall include, as of the reporting reference date, the number of staff, expressed in full time equivalents (FTEs), plus the number of members in the management body expressed in terms of headcount for prudential (CRR) scope of consolidation. Of those, the number of identified staff, and the number of representatives in the management body in its management function and in senior management, as well as the number of representatives in the management body in its supervisory function shall be reported separately. 29. BREAKDOWN OF SELECTED ITEMS OF STATEMENT OF PROFIT OR LOSS (45) 29.1. Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio (45.1) 312. Financial liabilities designated at fair value through profit or loss shall only include the gains and losses due to the change in the own credit risk of issuers of liabilities designated at fair value through profit or loss where the reporting institution has chosen to recognise them in profit or loss because a recognition in other comprehensive income would create or enlarge an accounting mismatch. 29.2. Gains or losses on derecognition of non-financial assets (45.2) 313. Gains or losses on derecognition of non-financial assets shall be broken down by type of asset. Each line item shall include the gain or the loss on the asset that has been derecognised. Other assets shall include other tangible assets, intangible assets and investments not reported elsewhere. 29.3. Other operating income and expenses (45.3) 314. Other operating income and expenses shall be broken down according to the following items: fair value adjustments on tangible assets measured using the fair value model; rental income and direct operating expenses from investment property; income and expenses on operating leases other than investment property and the rest of operating income and expenses. 315. Operating leases other than investment property shall include, for the column income the returns obtained, and for the column expenses the costs incurred, by the institution as lessor in its operating leasing activities other than those with assets classified as investment property. The costs for the institution as lessee shall be included in the item Other administrative expenses.

1. Gains or losses from derecognition and re-measurements of holdings of gold, other precious metals and other commodities measured at fair value, less costs to sell, shall be reported among the items included in Other operating income. Other or Other operating expenses. Other
2. STATEMENT OF CHANGES IN EQUITY (46)
3. The statement of changes in equity shall disclose the reconciliation between the carrying amount at the beginning of the period (opening balance) and the end of the period (closing balance) for each component of equity.
4. Transfers among components of equity shall include all amounts transferred within equity, including both gains and losses due to own-credit risk of liabilities designated at fair value through profit or loss and the accumulated fair value changes of equity instruments measured at fair value through other comprehensive income that are transferred to other components of equity upon derecognition.
5. LOANS AND ADVANCES: ADDITIONAL INFORMATION (23)
6. Template 23 presents additional information on loans and advances, excluding loans and advances classified as held for trading, trading financial assets and debt instruments held for sale.
7. For the purposes of determining the number of instruments, an instrument shall be understood as a banking product with an outstanding balance and, where applicable, a credit limit, typically being associated with an account. An exposure towards a specific counterparty can consist of multiple instruments. The number of instruments shall be determined based on the way the institution manages the exposure. The number of instruments shall be indicated separately for exposures in pre-litigation status and exposures in litigation status as defined in paragraphs 321 and 322 of this Part.
8. An exposure shall be in pre-litigation status where the debtor has been formally notified that the institution will take legal action against the debtor within a defined time period, unless certain contractual or other payment obligations are met. That shall also include cases where the contract has been terminated by the reporting institution because the debtor is in formal breach of the terms and conditions of the contract and the debtor has been notified accordingly, but no legal action against the debtor has formally been taken by the institution yet. Exposures classified as in pre-litigation status can exit this classification if the outstanding amounts are paid or if they enter into litigation status as defined in the following paragraph.
9. An exposure shall be in litigation status where legal action against the debtor has formally been taken. This comprises cases where a court of law confirmed that formal judiciary proceedings have occurred or the judiciary system has been notified of the intention to commence legal proceedings.
10. Unsecured loans and advances without guarantees refers to exposures for which neither collateral was pledged nor financial guarantees were received; the unsecured part of a partially secured or partially guaranteed exposure shall not be included.

1. Loans and advances with an accumulated coverage ratio of more than 90 % shall be reported separately. For that purpose, the accumulated coverage ratio shall be the ratio between the accumulated impairments, respectively the accumulated negative changes in fair value due to credit risk related to a loan or advance as numerator, and the gross carrying amount of that loan or advance as denominator.
2. Loans collateralised by immovable property as defined in paragraphs 86(a) and 87 of this Part as well as commercial real estate loans as defined in paragraph 239ix of this Part shall be reported broken down by loan/collateral ratio (loan-to-value (LTV) ratio) as defined in paragraph 239x of this Part.
3. Information on collateral held and guarantees received on the loans and advances shall be reported in accordance with paragraph 239 of this Part. Consequently, the sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related exposure. Immovable property pledged as collateral shall be reported separately in addition.
4. By way of derogation from the previous paragraph, collateral received on loans and advances – uncapped amounts shall reflect the full value of the collateral received without a cap at the carrying amount of the related exposure.
5. LOANS AND ADVANCES: FLOWS OF NON PERFORMING EXPOSURES, IMPAIRMENTS AND WRITE OFFS SINCE THE END OF THE LAST FINANCIAL YEAR (24) 32.1. Loans and advances: Inflows and outflows of non-performing exposures (24.1)
6. Template 24.1 shall provide a reconciliation of the opening and closing balances of the stock of loans and advances, excluding loans and advances classified as trading financial assets, held for trading or as held for sale, that are classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part and reported in template 18. Inflows and outflows of non-performing loans and advances shall be broken down by type of inflow or outflow.
7. Inflows to the category of non-performing exposures shall be reported in accordance with paragraphs 239ii to 239iii and 239vi of this Part, with the exception of inflows to the category held for sale, which are outside the scope of this template. Inflows shall be broken down by type (source) of inflow. In this context: (a) Inflow due to accrued interest shall represent interest accrued on non-performing loans and advances that have not been included in any of the other categories of the breakdown by type (source); in this regard, this inflow captures the interest accrued on non-performing loans and advances that were classified as non-performing at the end of the preceding financial year and have been continuously classified as such ever since; interest accrued on exposures that were classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part only during the period shall be reported together with the inflow itself in the corresponding type (source) category;

(b) of which: reclassified from performing forborne exposures under probation previously reclassified from non-performing shall include performing forborne exposures under probation reclassified from non-performing, as defined in paragraph 261 of this Part, that were reclassified again as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part during the period; (c) Inflow due to other reasons shall capture inflows that cannot be linked to any of the other, specified sources of inflows and shall include, among others, increases in the gross carrying amount of non-performing exposures due to additional amounts disbursed during the period, the capitalisation of past due amounts including capitalised fees and expenses and changes in exchange rates related to non-performing loans and advances that were classified as non-performing at the end of the preceding financial year and have been continuously classified as such ever since. 330. The following exposures shall be reported in separate rows: (a) Inflow more than once shall comprise loans and advances that were reclassified multiple times from non-performing to performing or vice versa during the period; (b) Inflow of exposures granted in the past 24 months shall represent loans and advances that were granted in the 24 months prior to the reference date and that were classified as non-performing in accordance paragraphs 213 to 239 or 260 of this Part during the period. Of these exposures, those granted during the period shall be reported separately in addition. 331. Outflows from the category of non-performing exposures shall be reported in accordance with paragraphs 239iii to 239vi of this Part, and be broken down by type (reason) of the outflow. In this context, outflow due to write-offs shall reflect the amount of write-offs made during the period that cannot be linked to any of the other specified outflow types and shall include also write-offs related to the total extinguishment of all the reporting institution’s rights by expiry of the statue-of-limitations period, forgiveness or other causes occurred during the period. 332. In those cases where an exposure is partially derecognised and the remaining part is reclassified as performing, the outflow pertaining to the reclassification and the outflow pertaining to the derecognition shall be reported as separate outflows. For outflows due to collateral liquidations, sale of exposures, risk transfers and taking possession of collateral, the net cumulated recoveries obtained shall be reported. If, at the moment of collateral liquidations, sale of exposures, risk transfers and taking possession of collateral, a write-off was made, that amount shall be reported as a part of the related outflow type. 333. Net cumulated recoveries shall mean (i) the amount of cash or cash equivalents collected, net of related costs, in the context of collateral liquidations, of the sale of exposures and of risk transfers, respectively (ii) the value at initial recognition as defined in paragraph 175i of this Part of the collateral obtained in the context of outflows due to taking possession of collateral.

1. The outflow pertaining to loans and advances that became non-performing during the period and afterwards ceased to meet the criteria for being classified as non-performing shall be reported separately. 32.2. Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures (24.2)
2. Template 24.2 shall contain a reconciliation of the opening and closing balances of the allowance accounts and the stock of accumulated negative changes in fair value due to credit risk pertaining to loans and advances that are or were classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part.
3. Increases during the period shall comprise: (a) the stock, as of the reference date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that became non-performing during the period and are still classified as non-performing at the reporting reference date; (b) the stock, as of the derecognition date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that became non-performing during the period and were derecognised during the period; and (c) the increase of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that were classified as non-performing at the end of the preceding financial year and are either still classified as such at the reporting reference date or were derecognised during the period.
4. The part of the increase attributable to impairments and accumulated negative changes in fair value booked against interest accrued shall be reported separately in addition.
5. Decreases during the period shall comprise: (a) the stock, as of the end of derecognition date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that ceased to be non-performing during the period and exited the institution’s portfolio during the period; (b) the stock, as of the reference date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that ceased to be non-performing during the period and are still not classified as non-performing at the reference date; (c) the stock, as of the reference date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that were reclassified as held for sale during the period; and (d) the decrease of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that were classified as non-performing at the end of the preceding financial year and are still classified as such at the reporting reference date.
6. The following items shall be reported separately: (a) the decrease attributable to the reversal of allowances and the reversal of negative changes in fair value due to credit risk;

(b) the decrease attributable to the unwinding of discounts in the context of application of effective interest rate’s accounting method. 32.3. Loans and advances: Write-offs of non-performing exposures during the period (24.3) 340. Template 24.3 shall be used to report the write-offs as defined in paragraph 74 of this Part to the extent that they (i) were made during the period (inflows) and (ii) refer to loans and advances classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part during the period, excluding loans and advances classified as held for trading, trading financial assets or held for sale. Both partial and total write-offs shall be reported. Of these write-offs, those attributable to the forfeiture of the right to legally recover an exposure, or part of it, shall be reported separately. 33. COLLATERAL OBTAINED BY TAKING POSSESSION AND EXECUTION PROCESSES (25) 341. Collateral obtained by taking possession shall include both assets that were pledged by the debtor as collateral and assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings. 33.1. Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): inflows and outflows (25.1) 342. Template 25.1 shall be used to present the reconciliation of the opening balance, as of the beginning of the financial year, and the closing balance of the stock of collateral obtained by taking possession, other than collateral classified as property, plant and equipment (PP&E). In addition, the template shall provide information on the related debt balance reduction and the value at initial recognition of collateral obtained by taking possession. 343. Debt balance reduction shall mean the gross carrying amount of the exposure that was derecognised from the balance sheet in exchange for the collateral obtained by taking possession, at the exact moment of the exchange, and the related impairments and negative changes in fair value due to credit risk accumulated at that point in time. Where, at the moment of exchange, a write-off was made, that amount shall be considered part of the debt balance reduction as well. Derecognitions from the balance sheet due to other reasons, such as cash collections, shall not be reported. 344. Value at initial recognition shall have the same meaning as described in paragraph 175i of this Part. 345. With regard to the inflows during the period: a) the collateral obtained by taking possession shall include: (i) new collateral obtained by taking possession during the period (since the beginning of the financial year), irrespective of whether the collateral is still recognised in the institution’s balance sheet (held) at the reference date or not and (ii) positive changes in valuation of collateral during the period due to different reasons (such as positive changes in fair value, appreciation, reversal of impairment, changes of accounting policies). These types of inflows shall be reported separately in addition.

b) the debt balance reduction shall reflect the debt balance reduction of the exposure derecognised related to the collateral that was obtained during the period. 346. With regard to the outflows during the period: a) the collateral obtained by taking possession shall include: (i) collateral sold for cash during the period; (ii) collateral sold with replacement by financial instruments during the period; and (iii) negative changes in valuation of collateral during the period due to different reasons (such as negative changes in fair value, depreciation, impairment, write-off, changes of accounting policies). Those types of outflows shall be reported separately. Where collateral is derecognised in exchange for both cash and financial instruments, the relevant amounts shall be split and allocated to the two outflow types. Collateral sold with replacement by financial instruments shall describe cases where the collateral is sold to a counterparty, and the acquisition by that counterparty is financed by the reporting institution. b) the debt balance reduction shall reflect the debt balance reduction of the exposure related to cases where the collateral was sold for cash or replaced by financial instruments during the period. 347. In case of a sale of collateral for cash, the Outflow for which cash was collected shall be equal to the sum of Cash collected net of costs and Profits/(-) losses from sale of collateral obtained by taking possession. Cash collected net of costs shall mean the amount of cash received net of transaction costs, such as fees and commissions paid to agents, transfer taxes and duties. Profits/(-) losses from sale of collateral obtained by taking possession shall mean the difference between the carrying amount of the collateral measured at the date of derecognition and the amount of cash received net of transaction costs. In case of replacement of collateral with financial instruments as described in paragraph 346 of this Part, the carrying amount of the financing granted shall be reported. 348. Collateral obtained by taking possession shall be reported broken down by vintage of the collateral, i.e. based on the period of time from which the collateral has been recognised in the institution’s balance sheet. 349. In the context of the presentation of collateral obtained by vintage, the ageing of collateral on the balance sheet, i.e. the migration between the predefined vintage buckets, shall be reported neither as inflow nor as outflow. 33.2. Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E) – Type of collateral obtained (25.2) 350. Template 25.2 shall include a breakdown of the collateral obtained by taking possession as defined in paragraphs 341 of this Part, by type of collateral obtained. The template reflects collateral recognised in the balance sheet at the reference date, irrespective of the point in time when it was obtained. In addition, the template provides information on the related debt balance reduction and value at initial recognition as defined in paragraphs 343 and 344 of this Part and on the number of collateral obtained by taking possession and recognised in the balance sheet at the reference date.

1. The type of collateral shall be the ones referred to in paragraph 173 of this Part with the exception of those in point (b) (i) of that paragraph.
2. With regard to collateral in the form of immovable property, the following information shall be reported in separate rows: (a) immovable property that is under construction or development; (b) with regard to commercial immovable property, collateral in the form of land related to commercial real estate corporations, excluding agricultural land. Separate information on land with and without a planning permission shall be reported in addition. 33.3. Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) (25.3)
3. In template 25.3, information on collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) shall be reported. In addition, the template shall provide information on the related debt balance reduction and value at initial recognition as defined in paragraphs 343 and 344 of this Part.
4. Information shall be provided on the stock of collateral as of the reference date, irrespective of the point in time it was obtained, and the inflows due to new collateral obtained by taking possession during the period between the beginning and the end of the reference period and that remains recognised in the balance sheet at the reference date. With regard to the debt balance reduction, the total shall reflect the debt balance reduction related to the collateral as of the reference date and the inflows due to new collateral obtained by taking possession shall reflect the debt balance reduction related to the collateral that was obtained during the period.
5. FORBEARANCE MANAGEMENT AND QUALITY OF FORBEARANCE (26)
6. Template 26 shall include detailed information on loans and advances classified as forborne in accordance with paragraphs 240 to 268 of this Part, excluding instruments classified as held for sale. Forborne exposures referring to either a modification of the previous terms and conditions or a total or partial refinancing of a troubled debt contract as defined in paragraph 241 of this Part shall be broken-down in more specific types of forbearance measures.
7. The Number of instruments shall be determined as defined in paragraph 320of this Part.
8. The gross carrying amount of exposures with forbearance measures shall be allocated to a category reflecting the type of forbearance measure. Where multiple forbearance measures have been applied to an exposure, the gross carrying amount of exposures with forbearance measures shall be allocated to the most relevant type of forbearance measure. The latter shall be identified based on the type of forbearance measure which has the highest impact on the Net Present Value (NPV) of the forborne exposure or by using any other methods considered applicable.
9. The types of forbearance measures shall be the following: (a) grace period/payment moratorium: temporary suspension of repayment obligations with regard to the principal or the interest, with repayments to be resumed at a later point in time;

(b) interest rate reduction: permanent or temporary reduction of the interest rate (fixed or variable) to a fair and sustainable rate; (c) extension of maturity/term: extension of the maturity of the exposure, entailing a reduction in instalment amounts by spreading the repayments over a longer period; (d) rescheduled payments: adjustment of the contractual repayment schedule with or without changes to instalment amounts, other than grace periods/payment moratorium, extension of maturity/term and debt forgiveness. That category shall include, among others, capitalisation of arrears and/or accrued interest arrears to the outstanding principal balance for repayment under a sustainable, rescheduled programme; decrease of the amount of principal repayment instalments over a defined period, regardless of whether interests remain to be paid in full or whether they are capitalised or forfeited; (e) debt forgiveness: partial cancellation of the exposure by the reporting institution through forfeiture of right to legally recover it; (f) debt asset swaps: partial replacement of exposures in the form of debt instruments with assets or equity; (g) other forbearance measures, including among others, total or partial refinancing of a troubled debt contract. 359. Where the forbearance measure affects the gross carrying amount of an exposure, the gross carrying amount at the reference date, i.e. after application of the forbearance measure, shall be reported. In the case of refinancing, the gross carrying amount of the new contract (refinancing debt) granted which qualifies as a forbearance measure, as well as the gross carrying amount of the old re-paid contract that is still outstanding shall be reported. 360. The following items shall be reported in separate rows: (a) Instruments that were subject to forbearance measures at multiple points in time, where: (i) ‘Loans and advances having been forborne twice and more than twice shall mean exposures classified as forborne in accordance with paragraphs 240 to 268 of this Part at the reporting reference date, to which forbearance measures have been applied at two, respectively more than two different points in time. That includes, among others, originally forborne exposures that exited the forborne status (cured forborne exposures), but were granted new forbearance measures after that; (ii) Loans and advances to which forbearance measures were granted in addition to already existing forbearance measures shall mean forborne exposures under probation to which forbearance measures were applied in addition to forbearance measures granted at an earlier point in time, without the exposure having cured in between. (b) Non-performing forborne exposures that failed to meet the non-performing exit criteria. That shall comprise non-performing forborne exposures that failed to meet the conditions for ceasing to be non-performing as described in paragraph 232 of this Part at the end of the probation period of 1 year specified in paragraph 231 (b) of this Part.

1. Exposures to which forbearance measures have been granted since the end of the last financial year shall be reported in separate columns.
2. LOANS AND ADVANCES: AVERAGE DURATION AND RECOVERY PERIODS (47)
3. The information provided in template 47 shall refer to loans and advances, excluding loans and advances classified as held for trading, trading financial assets or held for sale.
4. The weighted average time since past due date (in years) shall be calculated as the weighted average of the number of days past due of exposures classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part at the reference date. Non-performing exposures that are not past due shall be considered as being zero days past due in this calculation. Exposures shall be weighted by the gross carrying amount measured at the reference date. The weighted average time since past due date shall be expressed in years (with decimals).
5. The following information on the results of litigation procedures on non-performing loans and advances concluded during the period shall be reported: (a) Net cumulated recoveries: This item shall include recoveries resulting from in-court procedures. Recoveries stemming from voluntary agreements shall not be included. (b) Gross carrying amount reduction: This item shall include the gross-carrying amount of non-performing loans and advances derecognised in response to the conclusion of a litigation procedure. This includes related write-offs. (c) Average duration of litigation procedures concluded in the period: shall be calculated as the average of the elapsed time between the date of classification of the instrument as in litigation status in accordance with paragraph 322 of this Part and the date of the finalisation of legal proceedings; it shall be expressed in years (with decimals). PART 3 MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS
6. Tables 2 and 3 map exposure classes to be used to calculate capital requirements in accordance with CRR to counterparty sectors used in FINREP tables. Table 2 Standardised Approach SA exposure classes (CRR Article 112)FINREP counterparty sectorsComments (a) Central governments or central banks (1) Central banks (2) General governments These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (b) Regional governments or local authorities (2) General governments These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (c) Public sector entities (2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations. These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (d) Multilateral development banks (3) Credit institutions These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

(e) International organisations (2) General governments These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (f) Institutions (i.e. credit institutions and investment firms) (3) Credit institutions (4) Other financial corporations These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (g) Corporates (2) General governments (4) Other financial corporations (5) Non-financial corporations. (6) Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (h) Retail (4) Other financial corporations (5) Non-financial corporations (6) Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (i) Secured by mortgages on immovable property (2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. (j) In default (1) Central banks (2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. (ja) Items associated with particularly high risk (1) Central banks (2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. (k) Covered bonds (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. (l) Securitisation positions (2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households These exposures shall be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation. In FINREP, where securitized positions remain recognised in the balance sheet, the counterparty sectors shall be the sectors of the immediate counterparties of these positions. (m) Institutions and corporates with a short-term credit assessment (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. (n) Collective investment undertakings Equity instrumentsInvestments in CIU shall be classified as equity instruments in FINREP, regardless of whether the CRR allows look-through. (o) Equity Equity instrumentsIn FINREP, equities shall be separated as instruments under different categories of financial assets

(p) Other items Various items of the balance sheetIn FINREP, other items may be included under different asset categories. Table 3 Internal Ratings Based Approach IRBA exposure classes (CRR Article 147) FINREP counterparty sectorsComments (a) Central governments and central banks (1) Central banks (2) General governments (3) Credit institutions These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (b) Institutions (i.e. credit institution and investment firms as well as some general governments and multilateral banks) (2) General governments (3) Credit institutions (4) Other financial corporations These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (c) Corporates (2) General governments (4) Other financial corporations (5) Non-financial corporations (6) Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (d) Retail (4) Other financial corporations (5) Non-financial corporations (6) Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (e) Equity Equity instrumentsIn FINREP, equities shall be separated as instruments under different categories of financial assets (f) Securitisation positions (2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households These exposures shall be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation positions. In FINREP, where securitized positions remain recognised in the balance sheet, the counterparty sectors shall be the sectors of the immediate counterparties of these positions (g) Other non credit obligations Various items of the balance sheetIn FINREP, other items may be included under different asset categories.

Annex

ANNEX VI

Annex

ANNEX XVIII AMM TEMPLATESTemplate numberTemplate codeName of the template /group of templatesADDITIONAL MONITORING TOOLS TEMPLATES67C 67.00CONCENTRATION OF FUNDING BY COUNTERPARTY68C 68.00CONCENTRATION OF FUNDING BY PRODUCT TYPE69C 69.00PRICES FOR VARIOUS LENGTHS OF FUNDING70C 70.00ROLL-OVER OF FUNDING C 67.00 – CONCENTRATION OF FUNDING BY COUNTERPARTY Total and significant currencies Concentration of funding by counterpartyCounterparty NameCodeLEI CodeCounterparty SectorResidence of CounterpartyProduct TypeAmount ReceivedWeighted average original maturityWeighted average residual maturityRowID010015020030040050060070080010

1. TOP TEN COUNTERPARTIES EACH GREATER THAN 1% OF TOTAL LIABILITIES 0201.010301.020401.030501.040601.050701.060801.070901.081001.091101.10120
2. ALL OTHER FUNDING C 68.00 – CONCENTRATION OF FUNDING BY PRODUCT TYPE Total and significant currencies Concentration of funding by product typeRowIDProduct NameCarrying amount receivedAmount covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third countryAmount not covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third countryWeighted average original maturityWeighted average residual maturity010020030040050PRODUCTS GREATER THAN 1% OF TOTAL LIABILITIES0101RETAIL FUNDING0201.1of which sight deposits0311.2of which term deposits not withdrawable within the following 30 days0411.3of which term deposits withdrawable within the following 30 days0701.4Savings accounts0801.4.1with a notice period for withdrawal greater than 30 days0901.4.2without a notice period for withdrawal greater than 30 days1002WHOLESALE FUNDING1102.1Unsecured wholesale funding1202.1.1of which loans and deposits from financial customers1302.1.2of which loans and deposits from non financial customers1402.1.3of which loans and deposits from intra-group entities

1502.2Secured wholesale funding1602.2.1of which SFTs1702.2.2of which covered bond issuance1802.2.3of which asset backed security issuance1902.2.4of which loans and deposits from intra-group entities C 69.00 – PRICES FOR VARIOUS LENGTHS OF FUNDING Total and significant currencies Prices for various lengths of fundingOvernight1 week1 month3 months6 months1 year2 years5 years10 yearsSpreadVolumeSpreadVolumeSpreadVolumeSpreadVolumeSpreadVolumeSpreadVolumeSpreadVolumeSpreadVolumeSpreadVolumeRowIDItem0100200300400500600700800901001101201301401501601701800101Total Funding0201.1of which: Retail funding0301.2of which: Unsecured wholesale funding0401.3of which: Secured funding0501.4of which: Senior unsecured securities0601.5of which: Covered bonds0701.6of which: Asset backed securities including ABCP C 70.00 – ROLL-OVER OF FUNDING Total and significant currencies Roll-over of fundingOvernight> 1 day ≤ 7 days>7days ≤ 14 days>14 days ≤ 1 month>1 Month ≤ 3 Months>3 Months ≤ 6 Months>6 MonthsTotal net cashflowsAverage Term (days)MaturingRoll overNew FundsNetMaturingRoll overNew FundsNetMaturingRoll overNew FundsNetMaturingRoll overNew FundsNetMaturingRoll overNew FundsNetMaturingRoll overNew FundsNetMaturingRoll overNew FundsNetMaturing Funds TermRoll-over Funds TermNew Funds TermRowIDDayItem0100200300400500600700800901001101201301401501601701801902002102202302402502602702802903003103200101.11Total funding0201.1.1Retail funding0301.1.2Unsecured wholesale funding0401.1.3Secured funding0501.22Total funding0601.2.1Retail funding0701.2.2Unsecured wholesale funding0801.2.3Secured funding0901.33Total funding1001.3.1Retail funding1101.3.2Unsecured wholesale funding1201.3.3Secured funding1301.44Total funding1401.4.1Retail funding1501.4.2Unsecured wholesale funding1601.4.3Secured funding 1701.55Total funding1801.5.1Retail funding1901.5.2Unsecured wholesale funding2001.5.3Secured funding2101.66Total funding2201.6.1Retail funding2301.6.2Unsecured wholesale funding2401.6.3Secured funding2501.77Total funding2601.7.1Retail funding2701.7.2Unsecured wholesale funding2801.7.3Secured funding2901.88Total funding3001.8.1Retail funding3101.8.2Unsecured wholesale funding3201.8.3Secured funding3301.99Total funding3401.9.1Retail funding3501.9.2Unsecured wholesale funding3601.9.3Secured funding 3701.1010Total funding3801.10.1Retail funding3901.10.2Unsecured wholesale funding4001.10.3Secured funding4101.1111Total funding4201.11.1Retail funding4301.11.2Unsecured wholesale funding4401.11.3Secured funding4501.1212Total funding4601.12.1Retail funding4701.12.2Unsecured wholesale funding4801.12.3Secured funding4901.1313Total funding5001.13.1Retail funding5101.13.2Unsecured wholesale funding5201.13.3Secured funding5301.1414Total funding5401.14.1Retail funding5501.14.2Unsecured wholesale funding5601.14.3Secured funding 5701.1515Total funding5801.15.1Retail funding5901.15.2Unsecured wholesale funding6001.15.3Secured funding6101.1616Total funding6201.16.1Retail funding6301.16.2Unsecured wholesale funding6401.16.3Secured funding6501.1717Total funding6601.17.1Retail funding6701.17.2Unsecured wholesale funding6801.17.3Secured funding6901.1818Total funding7001.18.1Retail funding7101.18.2Unsecured wholesale funding7201.18.3Secured funding7301.1919Total funding7401.19.1Retail funding7501.19.2Unsecured wholesale funding7601.19.3Secured funding

7701.2020Total funding7801.20.1Retail funding7901.20.2Unsecured wholesale funding8001.20.3Secured funding8101.2121Total funding8201.21.1Retail funding8301.21.2Unsecured wholesale funding8401.21.3Secured funding8501.2222Total funding8601.22.1Retail funding8701.22.2Unsecured wholesale funding8801.22.3Secured funding8901.2323Total funding9001.23.1Retail funding9101.23.2Unsecured wholesale funding9201.23.3Secured funding9301.2424Total funding9401.24.1Retail funding9501.24.2Unsecured wholesale funding9601.24.3Secured funding 9701.2525Total funding9801.25.1Retail funding9901.25.2Unsecured wholesale funding10001.25.3Secured funding10101.2626Total funding10201.26.1Retail funding10301.26.2Unsecured wholesale funding10401.26.3Secured funding10501.2727Total funding10601.27.1Retail funding10701.27.2Unsecured wholesale funding10801.27.3Secured funding10901.2828Total funding11001.28.1Retail funding11101.28.2Unsecured wholesale funding11201.28.3Secured funding11301.2929Total funding11401.29.1Retail funding11501.29.2Unsecured wholesale funding11601.29.3Secured funding 11701.3030Total funding11801.30.1Retail funding11901.30.2Unsecured wholesale funding12001.30.3Secured funding12101.3131Total funding12201.31.1Retail funding12301.31.2Unsecured wholesale funding12401.31.3Secured funding

Annex

ANNEX VII

Annex

ANNEX XIX INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII

1. Additional Monitoring Tools 1.1. General
2. In order to monitor an institution’s liquidity risk that falls outside of the scope of the reports on Liquidity Coverage and Stable Funding, institutions shall complete the template in Annex XVIII in accordance with the instructions in this Annex.
3. Total funding shall be all financial liabilities other than derivatives and short positions;
4. Funding with open maturity including on sight deposits shall be considered as maturing overnight.
5. Original maturity shall represent the time between the date of origination and the date of maturity of funding. The date of the maturity of the funding shall be determined in accordance with paragraph 12 of Annex XXIII. This means that in case of optionality such as in the case of paragraph 12 of Annex XXIII, the original maturity of a funding item can be shorter than the time elapsed since its origination.
6. Residual maturity shall represent the time between the end of the reporting period and the date of maturity of funding. The date of the maturity of the funding shall be determined in accordance with paragraph 12 of Annex XXIII.
7. For the purposes of calculating the original or residual weighted average maturity, deposits maturing overnight shall be considered to have a one day maturity.
8. For the purposes of calculating the original and residual maturity, where there is funding with a notice period or a cancellation or early withdrawal clause for the institution’s counterparty, a withdrawal at the first possible date shall be assumed.
9. For perpetual liabilities, except where subject to optionality as referred to in paragraph 12 of Annex XXIII, a fixed 20 years original and residual maturity shall be assumed.

1. For calculating the percentage threshold referred to in templates C 67.00 and C 68.00 by significant currency, institutions shall use a threshold of 1 % of total liabilities in all currencies. 1.2. Concentration of funding by counterparty (C 67.00)
2. In order to collect information about the reporting institutions’ concentration of funding by counterparty in template C 67.00, institutions shall apply the instructions contained in this section.
3. Institutions shall report the top ten largest counterparties or a group of connected clients that is defined in point (39) of Article 4(1) of Regulation (EU) No 575/2013, where the funding obtained from each counterparty or group of connected clients exceeds a threshold of 1 % of total liabilities in rows 020 to 110 of section 1 of the template. The counterparty reported in item 1.01 shall be the largest amount of funding received from one counterparty or group of connected clients which is above the 1 % threshold as at the reporting date. Item 1.02 shall be the second largest above the 1 % threshold, and similarly with the remaining items.
4. Where a counterparty belongs to several groups of connected clients, it shall be reported only once in the group with the highest amount of funding.
5. Institutions shall report the total of all other remaining funding in section 2.
6. The totals of section 1 and section 2 shall equal an institution’s total funding as per its balance sheet reported under the financial reporting framework (FINREP).
7. For each counterparty, institutions shall report all of the columns 010 to 080.
8. Where funding is obtained in more than one product type, the type reported shall be the product in which the largest proportion of funding was obtained. Identification of the underlying holder of securities may be undertaken on a best efforts basis. Where an institution has information concerning the holder of securities by virtue of its role as the custodian bank, it shall consider that amount for reporting the concentration of counterparties. Where there is no information available on the holder of the securities, the corresponding amount does not have to be reported.
9. Instructions concerning specific columns: ColumnLegal references and instructions010 Counterparty Name The name of each counterparty from which funding obtained exceeds 1 % of total liabilities shall be recorded in column 010 in descending order, that is, in the order of the size of funding obtained. The name of the counterparty, whether a legal entity or a natural person, shall be reported. Where the counterparty is a legal entity, the counterparty name recorded shall be the full name of the legal entity from which the funding is derived including any references to the company type in accordance with the national company law. 015 Code This code is a row identifier and shall be unique for each row in the table. 020 LEI Code The legal entity identifier code of the counterparty. Where a Legal Entity Identification code (LEI code) exists for a given counterparty, it shall be used to identify that counterparty.

030 Counterparty Sector One sector shall be allocated to each counterparty on the basis of FINREP economic sector classes: (i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) Other financial corporations; (v) Non-financial corporations; (vi) Households. For groups of connected clients, no sector shall be reported. 040 Residence of Counterparty ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used, including pseudo-ISO codes for international organisations, available in the most recent edition of the Eurostat’s Balance of Payments Vademecum. For groups of connected clients, no country shall be reported. 050 Product Type Counterparties reported in column 010 shall be assigned a product type, corresponding to the product issued in which the funding was received or in which the largest proportion of funding was received for mixed product types, using the following codes indicated in bold: UWF (unsecured wholesale funding obtained from financial customers including interbank money). UWNF (unsecured wholesale funding obtained from non-financial customers) SFT (funding obtained from repurchase agreements as defined in point (82) of Article 4(1) of Regulation (EU) No 575/2013) CB (funding obtained from covered bond issuance as defined in Article 129(4) or (5) of Regulation (EU) No 575/2013or Article 52(4) of Directive 2009/65/EC) ABS (funding obtained from asset backed security issuance including asset backed commercial paper) IGCP (funding obtained from intragroup counterparties) OSWF (other secured wholesale funding) OFP (other funding products, e.g. retail funding) 060 Amount Received The total amount of funding received from counterparties reported in column 010 shall be recorded in column 060 and institutions shall report carrying amounts therein. 070 Weighted average original maturity For the amount of funding received reported in column 060, from the counterparty reported in column 010, a weighted average original maturity (in days) for that funding shall be recorded in column 070. The weighted average original maturity shall be calculated as the average original maturity (in days) of the funding received from that counterparty. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from that counterparty. 080 Weighted average residual maturity For the amount of funding received reported in column 060, from the counterparty reported in column 010, a weighted average residual maturity, in days, for that funding shall be recorded in column 080. The weighted average residual maturity shall be calculated as the average maturity, in remaining days, of the funding received from that counterparty. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from that counterparty. 1.3. Concentration of funding by product type (C 68.00)

1. This template seeks to collect information about the reporting institutions’ concentration of funding by product type, broken down into the funding types as specified in the following instructions regarding rows:

RowLegal references and instructions010

1. Retail funding Retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61 020 1.1. of which sight deposits; Of the retail funding of row 010 those that are sight deposits. 031 1.2. of which term deposits not withdrawable within the following 30 days; Of the retail funding of row 010 those that are term deposits not withdrawable within the following 30 days 041 1.3. of which term deposits withdrawable within the following 30 days; Of the retail funding of row 010 those that are term deposits withdrawable within the following 30 days 070 1.4. of which savings accounts with either of the following characteristics: Of the retail funding of row 010 those that are savings accounts with either of the following characteristics: with a notice period for withdrawal greater than 30 days without a notice period for withdrawal which is greater than 30 days. This row shall not be reported. 080 1.4.1. with a notice period for withdrawal greater than 30 days; Of the retail funding of row 010 those that are savings accounts with a notice period for withdrawal greater than 30 days 090 1.4.2. without a notice period for withdrawal which is greater than 30 days Of the retail funding of row 010 those that are savings accounts without a notice period for withdrawal which is greater than 30 days. 100
2. Wholesale funding shall be considered to consist of any of the following: All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61. This row shall not be reported. 110 2.1. unsecured wholesale funding; All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61 where the funding is unsecured. 120 2.1.1. of which loans and deposits from financial customers; Of the funding in row 110, those that consist of loans and deposits from financial customers. Funding from central banks shall be excluded from this row. 130 2.1.2. of which loans and deposits from non-financial customers; Of the funding in row 110, those that consist of loans and deposits from non-financial customers. Funding from central banks shall be excluded from this row. 140 2.1.3. of which loans and deposits from intra-group entities; Of the funding in row 110, those that consist of loans and deposits from intra-group entities. Wholesale funding from intra-group entities shall only be reported on a solo or subconsolidated basis. 150 2.2. secured wholesale funding; All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61 where the funding is secured. 160 2.2.1. of which Securities Financing Transactions; Of the funding in row 150, that which is funding obtained from repurchase agreements as defined in point (82) of Article 4(1) of Regulation (EU) No 575/2013. 170 2.2.2. of which covered bond issuances; Of the funding in row 150, that which is funding obtained from covered bond issuance as defined in Article 129(4) or (5) of Regulation (EU) No 575/2013 or Article 52(4) of Directive 2009/65/EC.

180 2.2.3. of which asset backed security issuances; Of the funding in row 150, that which is funding obtained from asset backed security issuance including asset backed commercial paper. 190 2.2.4. of which loans and deposits from intra-group entities. Of the funding in row 150, that which is funding obtained from intra-group entities. Wholesale funding from intra-group entities shall only be reported on a solo or subconsolidated basis. 2. For the purpose of completing this template, institutions shall report the total amount of funding received from each product type which exceeds a threshold of 1 % of total liabilities. 3. For each product type, institutions shall report all of the columns 010 to 050. 4. The 1 % of total liabilities threshold shall be used to determine those product types from which funding has been obtained in accordance with the following: (a) the 1 % of total liabilities threshold shall be applied for the product types referred to in all of the following rows: 1.1 Sight deposit; 1.2 Term deposits not withdrawable within the following 30 days; 1.3 Term deposits within the following 30 days; 1.4 Saving accounts; 2.1 Unsecured wholesale funding; 2.2 Secured wholesale funding; (b) with regard to the calculation of the 1 % of total liabilities threshold for row 1.4 Saving accounts the threshold shall apply on the sum of 1.4.1 and 1.4.2; (c) for rows 1. Retail Funding and 2. Wholesale Funding the 1 % of total liabilities threshold applies on aggregated level only. 5. The figures reported in rows 1. Retail, 2.1 Unsecured wholesale funding, 2.2 Secured wholesale funding can include broader product types than the underlying of which items. 6. Instructions concerning specific columns: ColumnLegal references and instructions010 Carrying amount received Carrying amount of funding received for each of the product categories listed in the Product name column shall be reported in column 010 of the template 020 Amount covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country Of the total amount of funding received for each of the product categories listed in the Product name column reported in column 010, the amount which is covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country. Note: the amounts reported in column 020 and column 030, for each of the product categories listed in the Product name column, shall be equal to the total amount received reported in column 010. 030 Amount not covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country Of the total amount of funding received for each of the product categories listed in the Product name column reported in column 010, the amount which is not covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country.

Note: the amounts reported in column 020 and column 030, for each of the product categories listed in the Product name column, shall be equal to the total amount received reported in column 010. 040 Weighted average original maturity For the amount of funding received reported in column 010, from the product categories listed in the Product name column, a weighted average original maturity (in days) for that funding shall be recorded in column 040. The weighted average original maturity shall be calculated as the average original maturity (in days) of the funding received for that product type. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from all issuances of that product type. 050 Weighted average residual maturity For the amount of funding received reported in column 010, from the product categories listed in the Product name column, a weighted average residual maturity (in days) for that funding shall be recorded in column 050. The weighted average residual maturity shall be calculated as the average maturity (in days) left on the funding received for that product type. The average shall be size weighted, based on the size of different amounts of funding received in proportion, to the total funding received from all issuances of that product type. 1.4. Prices for Various Lengths of Funding (C 69.00)

1. Institutions shall report the information about the transaction volume and prices paid by institutions for funding obtained during the reporting period and still present at the end of the reporting period in template C 69.00 in accordance with the following original maturities: (a) overnight in columns 010 and 020; (b) greater than overnight and less than or equal to 1 week (columns 030 and 040) (c) greater than 1 week and less than or equal to 1 month in columns 050 and 060; (d) greater than 1 month and less than or equal to 3 months in columns 070 and 080; (e) greater than 3 months and less than or equal to 6 months in columns 090 and 100; (f) greater than 6 months and less than or equal to 1 year in columns 110 and 120; (g) greater than 1 year and less than or equal to 2 years in columns 130 and 140; (h) greater than 2 years and less than or equal to 5 years in columns 150 and 160; (i) greater than 5 years and less than or equal to 10 years in columns 170 and 180.
2. For the purposes of determining the maturity of the funding obtained, institutions shall ignore the period between trade date and settlement date, e.g. a three-month liability settling in two weeks’ time shall be reported in the 3 months maturity (columns 070 and 080).
3. The spread reported in the left hand column of each time bucket shall be one of the following: (a) the spread payable by the institution for liabilities less than or equal to one year, if they were to have been swapped to the benchmark overnight index for the appropriate currency no later than close of business on the day of the transaction;

(b) the spread payable by the firm at issuance for liabilities with an original maturity greater than one year, were they to be swapped to the relevant benchmark index for the appropriate currency which is three month EURIBOR for EUR or LIBOR for GBP and USD, no later than close of business on the day of the transaction. Solely for the purposes of spread calculation under points a) and b) above, on the basis of historical experience, the institution may determine the original maturity with or without taking into account optionality, as appropriate. 4. Spreads shall be reported in basis points with a negative sign in case the new funding is cheaper than under the relevant benchmark rate. They shall be calculated on a weighted average basis. 5. For the purposes of calculating the average spread payable across multiple issuances/deposits/loans, institutions shall calculate the total cost in the currency of issue ignoring any FX swap, but they shall include any premium or discount and fees payable or receivable, taking as a basis the term of any theoretical or actual interest rate swap matching the term of the liability. The spread shall be the liability rate minus the swap rate. 6. The amount of funding obtained for the funding categories listed in the Item column shall be reported in the volume column of the applicable time bucket. 7. In the column volume, institutions shall provide the amounts representing the carrying amount of the new funding obtained in the applicable time bucket according to original maturity. 8. As for all items, also for off-balance sheet commitments, institutions shall only report the related amounts reflected in the balance sheet. An off-balance sheet commitment provided to the institution shall only be reported in C69.00 after a drawdown. In the case of a drawdown, the volume and spread to be reported shall be the amount drawn and applicable spread at the end of the reporting period. Where the drawdown cannot be rolled-over at the discretion of the institution, the actual maturity of the drawdown shall be reported. Where the institution has already drawn on the facility at the end of the previous reporting period, and where the institution subsequently increases the usage of the facility, only the additional amount drawn shall be reported. 9. Deposits placed by retail customers shall consist of deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61. 10. For funding that has rolled-over during the reporting period that is still outstanding at the end of the reporting period the average of spreads applying at that time (i.e. end of reporting period) shall be reported. For the purposes of C69.00, funding that rolled-over and is still there at the end of the reporting period shall be considered to represent new funding. 11. By way of deviation from the rest of Section 1.4, the volume and spread of sight deposits shall only be reported where the depositor did not have a sight deposit in the preceding reporting period or where there is an increase in the deposit amount compared to the previous reference date, in which case the increment shall be treated as new funding. The spread shall be that of the end of the period.

1. Where there is nothing to report, cells relating to spreads shall be left empty.
2. Instructions concerning specific rows: RowLegal references and instructions010
3. Total Funding Total volume and weighted average spread of all funding shall be obtained for all of the following lengths of time in accordance as follows: (a) overnight in columns 010 and 020; (b) greater than overnight and less than or equal to 1 week in columns 030 and 040; (c) greater than 1 week and less than or equal to 1 month in columns 050 and 060; (d) greater than 1 month and less than or equal to 3 months in columns 070 and 080; (e) greater than 3 months and less than or equal to 6 months in columns 090 and 100; (f) greater than 6 months and less than or equal to 1 year in columns 110 and 120; (g) greater than 1 year and less than or equal to 2 years in columns 130 and 140; (h) greater than 2 years and less than or equal to 5 years in columns 150 and 160; (i) greater than 5 years and less than or equal to 10 years in columns 170 and 180. 020 1.1. of which: Retail funding Of the total funding reported in item 1, the total volume and weighted average spread of retail funding obtained. 030 1.2. of which: Unsecured wholesale funding Of the total funding in item 1, the total volume and weighted average spread of unsecured wholesale funding obtained. 040 1.3. of which: Secured funding Of the total funding reported in item 1, the total volume and weighted average spread of secured funding obtained. 050 1.4. of which: Senior unsecured securities Of the total funding reported in item 1, the total volume and weighted average spread of senior unsecured securities obtained. 060 1.5. of which: Covered bonds Of the total funding reported in item 1, the total volume and weighted average spread of all covered bond issuance encumbering the institutions own assets. 070 1.6. of which: Asset backed securities including ABCP Of the total funding reported in item 1, the total volume and weighted average spread of asset backed securities issued including asset backed commercial paper. 1.5. Roll-over of funding (C 70.00)
4. This template seeks to collect information about the volume of funds maturing and new funding obtained i.e. roll-over of funding on a daily basis over the month preceding the reporting date.
5. Institutions shall report, in calendar days, the funding they have maturing in accordance with the following time buckets according to the original maturity: (a) overnight in columns 010 to 040); (b) between 1 and 7 days in columns 050 to 080); (c) between 7 and 14 days in columns 090 to 120); (d) between 14 and 1 month in columns 130 to 160); (e) between 1 and 3 months in columns 170 to 200); (f) between 3 and 6 months in columns 210 to 240); (g) in more than 6 months in columns 250 to 280).
6. For each time bucket described in paragraph 2, the amount maturing shall be reported in the left-hand column, the amount funds rolled over shall be reported in the Roll over column, new funds obtained shall be reported in the New Funds column and the net difference between new funds on the one hand and roll-over minus maturing funds on the other shall be reported in the right-hand column.

1. Total net cash flows shall be reported in column 290 and shall equal the sum of all Net columns numbered 040, 080, 120, 160, 200, 240 and 280.
2. The average term of funding, in days, for maturing term funds shall be reported in column 300.
3. The average term of funding, in days, of funds rolled over shall be reported in column 310
4. The average term of funding, in days, for new term funds shall be reported in column 320.
5. The Maturing amount shall comprise all liabilities that were contractually withdrawable by the provider of the funding or due on the relevant day in the reporting period. It shall always be reported with a positive sign.
6. The Roll-over amount shall comprise the maturing amount as defined in paragraphs 2 and 3 that remains with the institution on the relevant day of the reporting period. It shall always be reported with a positive sign. Where the maturity of the funding has changed due to the roll-over event, the roll-over amount shall be reported in a time bucket according to the new maturity.
7. The New funds amount shall comprise actual inflows of funding on the relevant day in the reporting period. It shall always be reported with a positive sign.
8. The Net amount shall be considered as a change of funding within a particular original maturity time band on the relevant day of the reporting period, and shall be calculated by adding in the net column the new funds plus the roll over funds minus the maturing funds.
9. Instructions concerning specific columns: ColumnLegal references and instructions010 to 040 Overnight The total amount of funding maturing on the relevant day of the reporting period with an overnight original maturity shall be reported in column 010 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an overnight original maturity shall be reported in column 020 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an overnight original maturity shall be reported in column 030 of line item 1.1-1.31. The net difference between, on the one hand, maturing daily funding and, on the other hand, roll-overs plus new daily funding obtained shall be reported in column 040 of line item 1.1-1.31. 050 to 080 1 day ≤ 7 days The total amount of funding maturing on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 050 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 060 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 70 of line item 1.1-1.31.

The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 080 of line item 1.1-1.31. 090 to 120 7days ≤ 14 days The total amount of funding maturing on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 090 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 100 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 110 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained, shall be reported in column 120 of line item 1.1-1.31. 130 to 160 14 days ≤ 1 month The total amount of funding maturing on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 130 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 140 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 150 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 160 of line item 1.1-1.31. 170 to 200 1 Month ≤ 3 Months The total amount of funding maturing on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 170 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 180 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 190 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained, shall be reported in column 200 of line item 1.1-1.31. 210 to 240 3 Months ≤ 6 Months The total amount of funding maturing on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 210 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.

The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 220 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 230 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained, shall be reported in column 240 of line item 1.1-1.31. 250 to 280 6 Months The total amount of funding maturing on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 250 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 260 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 270 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained, shall be reported in column 280 of line item 1.1-1.31. 290 Total net cash flows The total net cash flows equal to the sum of all Net columns numbered 040, 080, 120, 160, 200, 240, 280, shall be reported in column 290. 300 to 320 Average Term (days) The weighted average term, in days, of all funds maturing shall be reported in column 300. The weighted average term, in days, of all funds rolled over shall be reported in column 310, the weighted average term, in days, of all new funds shall be reported in column 320.

Annex

ANNEX VIII

Annex

ANNEX XXIV REPORTING ON LIQUIDITY LIQUIDITY TEMPLATESTemplate numberTemplate codeName of the template /group of templatesLIQUIDITY COVERAGE TEMPLATESPART I – LIQUID ASSETS72C 72.00LIQUIDITY COVERAGE – LIQUID ASSETSPART II – OUTFLOWS73C 73.00LIQUIDITY COVERAGE – OUTFLOWSPART III – INFLOWS74C 74.00LIQUIDITY COVERAGE – INFLOWSPART IV – COLLATERAL SWAPS75C 75.01LIQUIDITY COVERAGE – COLLATERAL SWAPSPART V – CALCULATIONS76C 76.00LIQUIDITY COVERAGE – CALCULATIONSPART VI – PERIMETER OF CONSOLIDATION77C 77.00LIQUIDITY COVERAGE – PERIMETER C 72.00 – LIQUIDITY COVERAGE – LIQUID ASSETS Currency RowIDItemAmount/Market valueStandard weightApplicable weightValue in accordance with Article 90100200300400101TOTAL UNADJUSTED LIQUID ASSETS0201.1Total unadjusted level 1 assets0301.1.1Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds0401.1.1.1Coins and banknotes1,000501.1.1.2Withdrawable central bank reserves1,000601.1.1.3Central bank assets1,000701.1.1.4Central government assets1,000801.1.1.5Regional government / local authorities assets1,000901.1.1.6Public Sector Entity assets1,001001.1.1.7Recognisable domestic and foreign currency central government and central bank assets1,001101.1.1.8Credit institution (protected by Member State government, promotional lender) assets1,001201.1.1.9Multilateral development bank and international organisations assets1,001301.1.1.10Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure1,001401.1.1.11Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely high quality covered bonds0,95

1501.1.1.12Alternative Liquidity Approaches: Central bank credit facility1,001601.1.1.13Central institutions: Level 1 assets excl. EHQ CB which are considered liquid assets for the depositing credit institution1701.1.1.14Alternative Liquidity Approaches: Level 2A assets recognised as Level 10,801801.1.2Total unadjusted LEVEL 1 extremely high quality covered bonds1901.1.2.1Extremely high quality covered bonds0,932001.1.2.2Qualifying CIU shares/units: underlying is extremely high quality covered bonds0,882101.1.2.3Central institutions: Level 1 EHQ covered bonds which are considered liquid assets for the depositing credit institution2201.2Total unadjusted level 2 assets2301.2.1Total unadjusted LEVEL 2A assets2401.2.1.1Regional government / local authorities or Public Sector Entity assets (Member State, RW20 %)0,852501.2.1.2Central bank or central / regional government or local authorities or Public Sector Entity assets (Third Country, RW20 %)0,852601.2.1.3High quality covered bonds (CQS2)0,852701.2.1.4High quality covered bonds (Third Country, CQS1)0,852801.2.1.5Corporate debt securities (CQS1)0,852901.2.1.6Qualifying CIU shares/units: underlying is Level 2A assets0,80 3001.2.1.7Central institutions: Level 2A assets which are considered liquid assets for the depositing credit institution3101.2.2Total unadjusted LEVEL 2B assets3201.2.2.1Asset-backed securities (residential, CQS1)0,753301.2.2.2Asset-backed securities (auto, CQS1)0,753401.2.2.3High quality covered bonds (RW35 %)0,703501.2.2.4Asset-backed securities (commercial or individuals, Member State, CQS1)0,653601.2.2.5Corporate debt securities (CQS2/3)0,503701.2.2.6Corporate debt securities – non-interest bearing assets (held by credit institutions for religious reasons) (CQS1/2/3)0,503801.2.2.7Shares (major stock index)0,503901.2.2.8Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)0,504001.2.2.9Restricted-use central bank committed liquidity facilities1,004101.2.2.10Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1)0,704201.2.2.11Qualifying CIU shares/units: underlying is High quality covered bonds (RW35 %)0,654301.2.2.12Qualifying CIU shares/units: underlying is asset-backed securities (commercial or individuals, Member State, CQS1)0,60 4401.2.2.13Qualifying CIU shares/units: underlying is corporate debt securities (CQS2/3), shares (major stock index) or non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)0,454501.2.2.14Deposits by network member with central institution (no obligated investment)0,754601.2.2.15Liquidity funding available to network member from central institution (non-specified collateralisation)0,754701.2.2.16Central institutions: Level 2B assets which are considered liquid assets for the depositing credit institutionMEMORANDUM ITEMS4852Deposits by network member with central institution (obligated investment)5803Level 1/2A/2B assets excluded due to currency reasons5904Level 1/2A/2B assets excluded for operational reasons except for currency reasons

C 73.00 – LIQUIDITY COVERAGE – OUTFLOWS Currency AmountMarket value of collateral extendedValue of collateral extended in accordance with Article 9Standard WeightApplicable WeightOutflowRowIDItem0100200300400500600101OUTFLOWS0201.1Outflows from unsecured transactions/deposits0301.1.1Retail deposits0351.1.1.1deposits exempted from the calculation of outflows0,000401.1.1.2deposits where the payout has been agreed within the following 30 days1,000501.1.1.3deposits subject to higher outflows0601.1.1.3.1category 10,10-0,150701.1.1.3.2category 20,15-0,200801.1.1.4stable deposits0,050901.1.1.5derogated stable deposits0,031001.1.1.6deposits in third countries where a higher outflow is applied1101.1.1.7other retail deposits0,101201.1.2Operational deposits1301.1.2.1maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship1401.1.2.1.1covered by DGS0,051501.1.2.1.2not covered by DGS0,25 1601.1.2.2maintained in the context of IPS or a cooperative network1701.1.2.2.1not treated as liquid assets for the depositing institution0,251801.1.2.2.2treated as liquid assets for the depositing credit institution1,001901.1.2.3maintained in the context of an established operational relationship (other) with non-financial customers0,252001.1.2.4maintained to obtain cash clearing and central credit institution services within a network0,252031.1.3Excess operational deposits2041.1.3.1deposits by financial customers1,002051.1.3.2deposits by other customers2061.1.3.2.1covered by DGS0,202071.1.3.2.2not covered by DGS0,402101.1.4Non-operational deposits2201.1.4.1correspondent banking and provisions of prime brokerage deposits1,002301.1.4.2deposits by financial customers1,002401.1.4.3deposits by other customers2501.1.4.3.1covered by DGS0,202601.1.4.3.2not covered by DGS0,40 2701.1.5Additional outflows2801.1.5.1collateral other than Level 1 assets collateral posted for derivatives0,202901.1.5.2Level 1 EHQ Covered Bonds assets collateral posted for derivatives0,103001.1.5.3material outflows due to deterioration of own credit quality1,003101.1.5.4impact of an adverse market scenario on derivatives transactions1,003401.1.5.5outflows from derivatives1,003501.1.5.6short positions3601.1.5.6.1covered by collateralized SFT0,003701.1.5.6.2other1,003801.1.5.7callable excess collateral1,003901.1.5.8due collateral1,004001.1.5.9liquid asset collateral exchangable for non-liquid asset collateral1,004101.1.5.10loss of funding on structured financing activites4201.1.5.10.1structured financing instruments1,004301.1.5.10.2financing facilites1,004501.1.5.11internal netting of client's positions0,504601.1.6Committed facilities 4701.1.6.1credit facilities4801.1.6.1.1to retail customers0,054901.1.6.1.2to non-financial customers other than retail customers0,105001.1.6.1.3to credit institutions5101.1.6.1.3.1for funding promotional loans of retail customers0,055201.1.6.1.3.2for funding promotional loans of non-financial customers0,105301.1.6.1.3.3other0,405401.1.6.1.4to regulated financial institutions other than credit institutions0,405501.1.6.1.5within a group or an IPS if subject to preferential treatment5601.1.6.1.6within IPS or cooperative network if treated as liquid asset by the depositing institution0,755701.1.6.1.7to other financial customers1,005801.1.6.2liquidity facilities5901.1.6.2.1to retail customers0,056001.1.6.2.2to non-financial customers other than retail customers0,306101.1.6.2.3to personal investment companies0,406201.1.6.2.4to SSPEs

6301.1.6.2.4.1to purchase assets other than securities from non-financial customers0,106401.1.6.2.4.2other1,006501.1.6.2.5to credit institutions6601.1.6.2.5.1for funding promotional loans of retail customers0,056701.1.6.2.5.2for funding promotional loans of non-financial customers0,306801.1.6.2.5.3other0,406901.1.6.2.6within a group or an IPS if subject to preferential treatment7001.1.6.2.7within IPS or cooperative network if treated as liquid asset by the depositing institution0,757101.1.6.2.8to other financial customers1,007201.1.7Other products and services7311.1.7.1Uncommitted funding facilities7401.1.7.2undrawn loans and advances to wholesale counterparties7501.1.7.3mortgages that have been agreed but not yet drawn down7601.1.7.4credit cards7701.1.7.5overdrafts7801.1.7.6planned outflows related to renewal or extension of new retail or wholesale loans 8501.1.7.7derivatives payables8601.1.7.8trade finance off-balance sheet related products8701.1.7.9others8851.1.8Other liabilities and due commitments8901.1.8.1liabilities resulting from operating expenses0,009001.1.8.2in the form of debt securities if not treated as retail deposits1,009121.1.8.4the excess of funding to non-financial customers9131.1.8.4.1the excess of funding to retail customers1,009141.1.8.4.2the excess of funding to non financial corporates1,009151.1.8.4.3the excess of funding to sovereigns, MLDBs and PSEs1,009161.1.8.4.4the excess of funding to other legal entities1,009171.1.8.5assets borrowed on an unsecured basis1,009181.1.8.6others1,009201.2Outflows from secured lending and capital market-driven transactions9301.2.1Counterparty is central bank9401.2.1.1level 1 excl. EHQ Covered Bonds collateral0,009451.2.1.1.1of which collateral extended meets operational requirements 9501.2.1.2level 1 EHQ Covered Bonds collateral0,009551.2.1.2.1of which collateral extended meets operational requirements9601.2.1.3level 2A collateral0,009651.2.1.3.1of which collateral extended meets operational requirements9701.2.1.4level 2B asset-backed securities (residential or automobile, CQS1) collateral0,009751.2.1.4.1of which collateral extended meets operational requirements9801.2.1.5level 2B covered bonds0,009851.2.1.5.1of which collateral extended meets operational requirements9901.2.1.6level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral0,009951.2.1.6.1of which collateral extended meets operational requirements10001.2.1.7other Level 2B assets collateral0,0010051.2.1.7.1of which collateral extended meets operational requirements10101.2.1.8non-liquid assets collateral0,0010201.2.2Counterparty is non-central bank10301.2.2.1level 1 excl. EHQ Covered Bonds collateral0,0010351.2.2.1.1of which collateral extended meets operational requirements 10401.2.2.2level 1 EHQ Covered Bonds collateral0,0710451.2.2.2.1of which collateral extended meets operational requirements10501.2.2.3level 2A collateral0,1510551.2.2.3.1of which collateral extended meets operational requirements10601.2.2.4level 2B asset-backed securities (residential or automobile, CQS1) collateral0,2510651.2.2.4.1of which collateral extended meets operational requirements10701.2.2.5level 2B covered bonds0,3010751.2.2.5.1of which collateral extended meets operational requirements10801.2.2.6level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral0,3510851.2.2.6.1of which collateral extended meets operational requirements10901.2.2.7other Level 2B assets collateral0,5010951.2.2.7.1of which collateral extended meets operational requirements11001.2.2.8non-liquid assets collateral1,0011301.3Total outflows from collateral swaps

MEMORANDUM ITEMS11702Liquidity outflows to be netted by interdependent inflows3Operational deposits maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship11803.1provided by credit institutions11903.2provided by financial customers other than credit institutions12003.3provided by sovereigns, central banks, MDBs and PSEs12103.4provided by other customers4Intra group or IPS outflows12904.1of which: to financial customers13004.2of which: to non-financial customers13104.3of which: secured13204.4of which: credit facilities without preferential treatment13304.5of which: liquidity facilites without preferential treatment13404.6of which: operational deposits13454.7of which: excess operational deposits13504.8of which: non-operational deposits 13604.9of which: liabilities in the form of debt securities if not treated as retail deposits13705FX outflows6Secured funding waived from Article 17 (2) and (3)14006.1of which: secured by L1 excl. EHQCB14106.2of which: secured by L1 EHQCB14206.3of which: secured by L2A14306.4of which: secured by L2B14406.5of which: secured by non-liquid assets C 74.00 – LIQUIDITY COVERAGE – INFLOWS Currency AmountMarket value of collateral receivedStandard WeightApplicable WeightValue of collateral received in accordance with Article 9InflowSubject to the 75 % cap on inflowsSubject to the 90 % cap on inflowsExempted from the cap on inflowsSubject to the 75 % cap on inflowsSubject to the 90 % cap on inflowsExempted from the cap on inflowsSubject to the 75 % cap on inflowsSubject to the 90 % cap on inflowsExempted from the cap on inflowsSubject to the 75 % cap on inflowsSubject to the 90 % cap on inflowsExempted from the cap on inflowsSubject to the 75 % cap on inflowsSubject to the 90 % cap on inflowsExempted from the cap on inflowsRowIDItem0100200300400500600700800901001101201301401501600101TOTAL INFLOWS0201.1Inflows from unsecured transactions/deposits0301.1.1monies due from non-financial customers (except for central banks)0401.1.1.1monies due from non-financial customers (except for central banks) not corresponding to principal repayment1,000501.1.1.2other monies due from non-financial customers (except for central banks)0601.1.1.2.1monies due from retail customers0,500701.1.1.2.2monies due from non-financial corporates0,500801.1.1.2.3monies due from sovereigns, multilateral development banks and public sector entities0,500901.1.1.2.4monies due from other legal entities0,501001.1.2monies due from central banks and financial customers1101.1.2.1monies due from financial customers being classified as operational deposits 1201.1.2.1.1monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate1301.1.2.1.2monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate0,051401.1.2.2monies due from central banks and financial customers not being classified as operational deposits1501.1.2.2.1monies due from central banks1,001601.1.2.2.2monies due from financial customers1,001701.1.3inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/611,001801.1.4monies due from trade financing transactions1,001901.1.5monies due from securities maturing within 30 days1,002011.1.6loans with an undefined contractual end date0,202101.1.7monies due from positions in major index equity instruments provided that there is no double counting with liquid assets1,002301.1.8inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets1,00

2401.1.9inflows from derivatives1,002501.1.10inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate2601.1.11other inflows1,002631.2Inflows from secured lending and capital market-driven transactions2651.2.1Counterparty is central bank2671.2.1.1collateral that qualifies as a liquid asset2691.2.1.1.1Level 1 collateral excluding extremely high quality covered bonds0,002711.2.1.1.1.1of which collateral received meets operational requirements2731.2.1.1.2Level 1 collateral which is extremely high quality covered bonds0,072751.2.1.1.2.1of which collateral received meets operational requirements2771.2.1.1.3Level 2A collateral0,152791.2.1.1.3.1of which collateral received meets operational requirements2811.2.1.1.4Level 2B asset backed securities (residential or auto) collateral0,252831.2.1.1.4.1of which collateral received meets operational requirements2851.2.1.1.5Level 2B high quality covered bonds collateral0,302871.2.1.1.5.1of which collateral received meets operational requirements 2891.2.1.1.6Level 2B asset backed securities (commercial or individuals) collateral0,352911.2.1.1.6.1of which collateral received meets operational requirements2931.2.1.1.7Level 2B collateral not already captured in section 1.2.1.1.4, 1.2.1.1.5 or 1.2.1.1.60,502951.2.1.1.7.1of which collateral received meets operational requirements2971.2.1.2collateral is used to cover a short position2991.2.1.3collateral that does not qualify as a liquid asset3011.2.1.3.1collateral is non-liquid equity1,003031.2.1.3.2all other non-liquid collateral1,003051.2.2Counterparty is non-central bank3071.2.2.1collateral that qualifies as a liquid asset3091.2.2.1.1Level 1 collateral excluding extremely high quality covered bonds0,003111.2.2.1.1.1of which collateral received meets operational requirements3131.2.2.1.2Level 1 collateral which is extremely high quality covered bonds0,073151.2.2.1.2.1of which collateral received meets operational requirements3171.2.2.1.3Level 2A collateral0,153191.2.2.1.3.1of which collateral received meets operational requirements3211.2.2.1.4Level 2B asset backed securities (residential or auto) collateral0,25 3231.2.2.1.4.1of which collateral received meets operational requirements3251.2.2.1.5Level 2B high quality covered bonds collateral0,303271.2.2.1.5.1of which collateral received meets operational requirements3291.2.2.1.6Level 2B asset backed securities (commercial or individuals) collateral0,353311.2.2.1.6.1of which collateral received meets operational requirements3331.2.2.1.7Level 2B collateral not already captured in section 1.2.2.1.4, 1.2.2.1.5 or 1.2.2.1.60,503351.2.2.1.7.1of which collateral received meets operational requirements3371.2.2.2collateral is used to cover a short position3391.2.2.3collateral that does not qualify as a liquid asset3411.2.2.3.1margin loans: collateral is non-liquid0,503431.2.2.3.2collateral is non-liquid equity1,003451.2.2.3.3all other non-liquid collateral1,004101.3Total inflows from collateral swaps4201.4(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)4301.5(Excess inflows from a related specialised credit institution)

MEMORANDUM ITEMS4502FX inflows4603Inflows within a group or an institutional protection scheme4703.1Monies due from non-financial customers (except for central banks)4803.2Monies due from financial customers4903.3Secured transactions5003.4Monies due from maturing securities within 30 days5103.5Any other inflows within a group or an institutional protection scheme4Secured lending waived from Article 17 (2) and (3)5304.1of which: secured by L1 excl. EHQCB5404.2of which: secured by L1 EHQCB5504.3of which: secured by L2A5604.4of which: secured by L2B5704.5of which: secured by non-liquid assets C 75.01 – LIQUIDITY COVERAGE – COLLATERAL SWAPS Currency Market value of collateral lentLiquidity value of collateral lentMarket value of collateral borrowedLiquidity value of collateral borrowedStandard weightApplicable weightOutflowsInflows subject to the 75 % cap on inflowsInflows subject to the 90 % cap on inflowsInflows exempted from the cap on inflowsRowIDItem001000200030004000500060007000800090010000101TOTAL COLLATERAL SWAPS (counterparty is central bank)00201.1Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed:00301.1.1Level 1 assets (excl. EHQ covered bonds)0,0000401.1.1.1Of which collateral swapped meets operational requirements00501.1.2Level 1: extremely high quality covered bonds0,0700601.1.2.1Of which collateral swapped meets operational requirements00701.1.3Level 2A assets0,1500801.1.3.1Of which collateral swapped meets operational requirements00901.1.4Level 2B: asset-backed securities (residential or automobile, CQS1)0,2501001.1.4.1Of which collateral swapped meets operational requirements01101.1.5Level 2B: high quality covered bonds0,30 01201.1.5.1Of which collateral swapped meets operational requirements01301.1.6Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)0,3501401.1.6.1Of which collateral swapped meets operational requirements01501.1.7Other Level 2B0,5001601.1.7.1Of which collateral swapped meets operational requirements01701.1.8Non-liquid assets1,0001801.1.8.1Of which collateral swapped meets operational requirements01901.2Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed:02001.2.1Level 1 assets (excl. EHQ covered bonds)0,0002101.2.1.1Of which collateral swapped meets operational requirements02201.2.2Level 1: extremely high quality covered bonds0,0002301.2.2.1Of which collateral swapped meets operational requirements02401.2.3Level 2A assets0,0802501.2.3.1Of which collateral swapped meets operational requirements02601.2.4Level 2B: asset-backed securities (residential or automobile, CQS1)0,18 02701.2.4.1Of which collateral swapped meets operational requirements02801.2.5Level 2B: high quality covered bonds0,2302901.2.5.1Of which collateral swapped meets operational requirements03001.2.6Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)0,2803101.2.6.1Of which collateral swapped meets operational requirements03201.2.7Other Level 2B0,4303301.2.7.1Of which collateral swapped meets operational requirements03401.2.8Non-liquid assets0,9303501.2.8.1Of which collateral swapped meets operational requirements03601.3Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed:03701.3.1Level 1 assets (excl. EHQ covered bonds)0,0003801.3.1.1Of which collateral swapped meets operational requirements03901.3.2Level 1: extremely high quality covered bonds0,0004001.3.2.1Of which collateral swapped meets operational requirements04101.3.3Level 2A assets0,0004201.3.3.1Of which collateral swapped meets operational requirements

04301.3.4Level 2B: asset-backed securities (residential or automobile, CQS1)0,1004401.3.4.1Of which collateral swapped meets operational requirements04501.3.5Level 2B: high quality covered bonds0,1504601.3.5.1Of which collateral swapped meets operational requirements04701.3.6Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)0,2004801.3.6.1Of which collateral swapped meets operational requirements04901.3.7Other Level 2B0,3505001.3.7.1Of which collateral swapped meets operational requirements05101.3.8Non-liquid assets0,8505201.3.8.1Of which collateral swapped meets operational requirements05301.4Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed:05401.4.1Level 1 assets (excl. EHQ covered bonds)0,0005501.4.1.1Of which collateral swapped meets operational requirements05601.4.2Level 1: extremely high quality covered bonds0,0005701.4.2.1Of which collateral swapped meets operational requirements 05801.4.3Level 2A assets0,0005901.4.3.1Of which collateral swapped meets operational requirements06001.4.4Level 2B: asset-backed securities (residential or automobile, CQS1)0,0006101.4.4.1Of which collateral swapped meets operational requirements06201.4.5Level 2B: high quality covered bonds0,0506301.4.5.1Of which collateral swapped meets operational requirements06401.4.6Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)0,1006501.4.6.1Of which collateral swapped meets operational requirements06601.4.7Other Level 2B0,2506701.4.7.1Of which collateral swapped meets operational requirements06801.4.8Non-liquid assets0,7506901.4.8.1Of which collateral swapped meets operational requirements07001.5Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed:07101.5.1Level 1 assets (excl. EHQ covered bonds)0,0007201.5.1.1Of which collateral swapped meets operational requirements07301.5.2Level 1: extremely high quality covered bonds0,00 07401.5.2.1Of which collateral swapped meets operational requirements07501.5.3Level 2A assets0,0007601.5.3.1Of which collateral swapped meets operational requirements07701.5.4Level 2B: asset-backed securities (residential or automobile, CQS1)0,0007801.5.4.1Of which collateral swapped meets operational requirements07901.5.5Level 2B: high quality covered bonds0,0008001.5.5.1Of which collateral swapped meets operational requirements08101.5.6Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)0,0508201.5.6.1Of which collateral swapped meets operational requirements08301.5.7Other Level 2B0,2008401.5.7.1Of which collateral swapped meets operational requirements08501.5.8Non-liquid assets0,7008601.5.8.1Of which collateral swapped meets operational requirements08701.6Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed:08801.6.1Level 1 assets (excl. EHQ covered bonds)0,00

08901.6.1.1Of which collateral swapped meets operational requirements09001.6.2Level 1: extremely high quality covered bonds0,0009101.6.2.1Of which collateral swapped meets operational requirements09201.6.3Level 2A assets0,0009301.6.3.1Of which collateral swapped meets operational requirements09401.6.4Level 2B: asset-backed securities (residential or automobile, CQS1)0,0009501.6.4.1Of which collateral swapped meets operational requirements09601.6.5Level 2B: high quality covered bonds0,0009701.6.5.1Of which collateral swapped meets operational requirements09801.6.6Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)0,0009901.6.6.1Of which collateral swapped meets operational requirements10001.6.7Other Level 2B0,1510101.6.7.1Of which collateral swapped meets operational requirements10201.6.8Non-liquid assets0,6510301.6.8.1Of which collateral swapped meets operational requirements 10401.7Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed:10501.7.1Level 1 assets (excl. EHQ covered bonds)0,0010601.7.1.1Of which collateral swapped meets operational requirements10701.7.2Level 1: extremely high quality covered bonds0,0010801.7.2.1Of which collateral swapped meets operational requirements10901.7.3Level 2A assets0,0011001.7.3.1Of which collateral swapped meets operational requirements11101.7.4Level 2B: asset-backed securities (residential or automobile, CQS1)0,0011201.7.4.1Of which collateral swapped meets operational requirements11301.7.5Level 2B: high quality covered bonds0,0011401.7.5.1Of which collateral swapped meets operational requirements11501.7.6Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)0,0011601.7.6.1Of which collateral swapped meets operational requirements11701.7.7Other Level 2B0,0011801.7.7.1Of which collateral swapped meets operational requirements 11901.7.8Non-liquid assets0,5012001.7.8.1Of which collateral swapped meets operational requirements12101.8Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed:12201.8.1Level 1 assets (excl. EHQ covered bonds)0,0012301.8.1.1Of which collateral swapped meets operational requirements12401.8.2Level 1: extremely high quality covered bonds0,0012501.8.2.1Of which collateral swapped meets operational requirements12601.8.3Level 2A assets0,0012701.8.3.1Of which collateral swapped meets operational requirements12801.8.4Level 2B: asset-backed securities (residential or automobile, CQS1)0,0012901.8.4.1Of which collateral swapped meets operational requirements13001.8.5Level 2B: high quality covered bonds0,0013101.8.5.1Of which collateral swapped meets operational requirements13201.8.6Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)0,0013301.8.6.1Of which collateral swapped meets operational requirements 13401.8.7Other Level 2B0,0013501.8.7.1Of which collateral swapped meets operational requirements13601.8.8Non-liquid assets13702TOTAL COLLATERAL SWAPS (counterparty is non-central bank)13802.1Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed:13902.1.1Level 1 assets (excl. EHQ covered bonds)0,0014002.1.1.1Of which collateral swapped meets operational requirements14102.1.2Level 1: extremely high quality covered bonds0,0714202.1.2.1Of which collateral swapped meets operational requirements14302.1.3Level 2A assets0,1514402.1.3.1Of which collateral swapped meets operational requirements14502.1.4Level 2B: asset-backed securities (residential or automobile, CQS1)0,2514602.1.4.1Of which collateral swapped meets operational requirements14702.1.5Level 2B: high quality covered bonds0,3014802.1.5.1Of which collateral swapped meets operational requirements

14902.1.6Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)0,3515002.1.6.1Of which collateral swapped meets operational requirements15102.1.7Other Level 2B0,5015202.1.7.1Of which collateral swapped meets operational requirements15302.1.8Non-liquid assets1,0015402.1.8.1Of which collateral swapped meets operational requirements15502.2Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed:15602.2.1Level 1 assets (excl. EHQ covered bonds)0,0715702.2.1.1Of which collateral swapped meets operational requirements15802.2.2Level 1: extremely high quality covered bonds0,0015902.2.2.1Of which collateral swapped meets operational requirements16002.2.3Level 2A assets0,0816102.2.3.1Of which collateral swapped meets operational requirements16202.2.4Level 2B: asset-backed securities (residential or automobile, CQS1)0,1816302.2.4.1Of which collateral swapped meets operational requirements 16402.2.5Level 2B: high quality covered bonds0,2316502.2.5.1Of which collateral swapped meets operational requirements16602.2.6Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)0,2816702.2.6.1Of which collateral swapped meets operational requirements16802.2.7Other Level 2B0,4316902.2.7.1Of which collateral swapped meets operational requirements17002.2.8Non-liquid assets0,9317102.2.8.1Of which collateral swapped meets operational requirements17202.3Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed:17302.3.1Level 1 assets (excl. EHQ covered bonds)0,1517402.3.1.1Of which collateral swapped meets operational requirements17502.3.2Level 1: extremely high quality covered bonds0,0817602.3.2.1Of which collateral swapped meets operational requirements17702.3.3Level 2A assets0,0017802.3.3.1Of which collateral swapped meets operational requirements 17902.3.4Level 2B: asset-backed securities (residential or automobile, CQS1)0,1018002.3.4.1Of which collateral swapped meets operational requirements18102.3.5Level 2B: high quality covered bonds0,1518202.3.5.1Of which collateral swapped meets operational requirements18302.3.6Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)0,2018402.3.6.1Of which collateral swapped meets operational requirements18502.3.7Other Level 2B0,3518602.3.7.1Of which collateral swapped meets operational requirements18702.3.8Non-liquid assets0,8518802.3.8.1Of which collateral swapped meets operational requirements18902.4Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed:19002.4.1Level 1 assets (excl. EHQ covered bonds)0,2519102.4.1.1Of which collateral swapped meets operational requirements 19202.4.2Level 1: extremely high quality covered bonds0,1819302.4.2.1Of which collateral swapped meets operational requirements19402.4.3Level 2A assets0,1019502.4.3.1Of which collateral swapped meets operational requirements19602.4.4Level 2B: asset-backed securities (residential or automobile, CQS1)0,0019702.4.4.1Of which collateral swapped meets operational requirements19802.4.5Level 2B: high quality covered bonds0,0519902.4.5.1Of which collateral swapped meets operational requirements20002.4.6Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)0,1020102.4.6.1Of which collateral swapped meets operational requirements20202.4.7Other Level 2B0,2520302.4.7.1Of which collateral swapped meets operational requirements20402.4.8Non-liquid assets0,7520502.4.8.1Of which collateral swapped meets operational requirements20602.5Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed:20702.5.1Level 1 assets (excl. EHQ covered bonds)0,3020802.5.1.1Of which collateral swapped meets operational requirements

20902.5.2Level 1: extremely high quality covered bonds0,2321002.5.2.1Of which collateral swapped meets operational requirements21102.5.3Level 2A assets0,1521202.5.3.1Of which collateral swapped meets operational requirements21302.5.4Level 2B: asset-backed securities (residential or automobile, CQS1)0,0521402.5.4.1Of which collateral swapped meets operational requirements21502.5.5Level 2B: high quality covered bonds0,0021602.5.5.1Of which collateral swapped meets operational requirements21702.5.6Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)0,0521802.5.6.1Of which collateral swapped meets operational requirements21902.5.7Other Level 2B0,2022002.5.7.1Of which collateral swapped meets operational requirements22102.5.8Non-liquid assets0,7022202.5.8.1Of which collateral swapped meets operational requirements 22302.6Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed:22402.6.1Level 1 assets (excl. EHQ covered bonds)0,3522502.6.1.1Of which collateral swapped meets operational requirements22602.6.2Level 1: extremely high quality covered bonds0,2822702.6.2.1Of which collateral swapped meets operational requirements22802.6.3Level 2A assets0,2022902.6.3.1Of which collateral swapped meets operational requirements23002.6.4Level 2B: asset-backed securities (residential or automobile, CQS1)0,1023102.6.4.1Of which collateral swapped meets operational requirements23202.6.5Level 2B: high quality covered bonds0,0523302.6.5.1Of which collateral swapped meets operational requirements23402.6.6Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)0,0023502.6.6.1Of which collateral swapped meets operational requirements23602.6.7Other Level 2B0,1523702.6.7.1Of which collateral swapped meets operational requirements 23802.6.8Non-liquid assets0,6523902.6.8.1Of which collateral swapped meets operational requirements24002.7Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed:24102.7.1Level 1 assets (excl. EHQ covered bonds)0,5024202.7.1.1Of which collateral swapped meets operational requirements24302.7.2Level 1: extremely high quality covered bonds0,4324402.7.2.1Of which collateral swapped meets operational requirements24502.7.3Level 2A assets0,3524602.7.3.1Of which collateral swapped meets operational requirements24702.7.4Level 2B: asset-backed securities (residential or automobile, CQS1)0,2524802.7.4.1Of which collateral swapped meets operational requirements24902.7.5Level 2B: high quality covered bonds0,2025002.7.5.1Of which collateral swapped meets operational requirements25102.7.6Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)0,1525202.7.6.1Of which collateral swapped meets operational requirements 25302.7.7Other Level 2B0,0025402.7.7.1Of which collateral swapped meets operational requirements25502.7.8Non-liquid assets0,5025602.7.8.1Of which collateral swapped meets operational requirements25702.8Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed:25802.8.1Level 1 assets (excl. EHQ covered bonds)1,0025902.8.1.1Of which collateral swapped meets operational requirements26002.8.2Level 1: extremely high quality covered bonds0,9326102.8.2.1Of which collateral swapped meets operational requirements26202.8.3Level 2A assets0,8526302.8.3.1Of which collateral swapped meets operational requirements26402.8.4Level 2B: asset-backed securities (residential or automobile, CQS1)0,7526502.8.4.1Of which collateral swapped meets operational requirements26602.8.5Level 2B: high quality covered bonds0,7026702.8.5.1Of which collateral swapped meets operational requirements

26802.8.6Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)0,6526902.8.6.1Of which collateral swapped meets operational requirements27002.8.7Other Level 2B0,5027102.8.7.1Of which collateral swapped meets operational requirements27202.8.8Non-liquid assetsMEMORANDUM ITEMS273023Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions274034Total collateral swaps with intragroup counterparties5Collateral swaps waived from Article 17 (2) and (3)27505.1of which: collateral borrowed is L1 excl. EHQCB27605.2of which: collateral borrowed is L1 EHQCB27705.3of which: collateral borrowed is L2A27805.4of which: collateral borrowed is L2B27905.5of which: collateral lent is L1 excl. EHQCB28005.6of which: collateral lent is L1 EHQCB28105.7of which: collateral lent is L2A28205.8of which: collateral lent is L2B C 76.00 – LIQUIDITY COVERAGE – CALCULATIONS Currency Value / PercentageRowIDItem010CALCULATIONSNumerator, denominator, ratio0101Liquidity buffer0202Net liquidity outflow0303Liquidity coverage ratio (%)Numerator calculations0404L1 excl. EHQCB liquidity buffer (value in accordance with Article 9): unadjusted0505L1 excl. EHQCB collateral 30 day outflows0606L1 excl. EHQCB collateral 30 day inflows0707Secured cash 30 day ouflows0808Secured cash 30 day inflows0919L1 excl. EHQCB adjusted amount10010L1 EHQCB value in accordance with Article 9: unadjusted11011L1 EHQCB collateral 30 day outflows12012L1 EHQCB collateral 30 day inflows13113L1 EHQCB adjusted amount16014L2A value in accordance with Article 9: unadjusted 17015L2A collateral 30 day outflows18016L2A collateral 30 day inflows19117L2A adjusted amount22018L2B value in accordance with Article 9: unadjusted23019L2B collateral 30 day outflows24020L2B collateral 30 day inflows25121L2B adjusted amount28022Excess liquid asset amount29023Liquidity bufferDenominator calculations30024Total Outflows31025Fully Exempt Inflows32026Inflows Subject to 90 % Cap33027Inflows Subject to 75 % Cap34028Reduction for Fully Exempt Inflows35029Reduction for Inflows Subject to 90 % Cap36030Reduction for Inflows Subject to 75 % Cap37031Net liquidity outflowPillar 238032Pillar 2 requirement as set out in Article 105 CRD C 77.00 – LIQUIDITY COVERAGE – PERIMETER Parent or subsidiaryNameCodeLEI codeCountry codeType of entity005010020030040050

Annex

ANNEX IX

Annex

ANNEX XXV REPORTING ON LIQUIDITY (PART 1: LIQUID ASSETS)

1. Liquid assets 1.1. General remarks
2. This is a summary template which contains information about assets for the purpose of reporting the liquidity coverage requirement as specified in Commission Delegated Regulation (EU) 2015/61 Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions (OJ L 11, 17.1.2015, p. 1). . Items which do not need to be completed by credit institutions are coloured grey.

1. Assets reported shall comply with the requirements set out in Title II of Delegated Regulation (EU) 2015/61.
2. By way of derogation from point 2, credit institutions shall not apply currency restrictions in accordance with Article 8(6), point (d) of Article 10(1) and point (c) of Article 12(1) of Delegated Regulation (EU) 2015/61 when completing the template in a separate currency in accordance with Article 415(2) of Regulation (EU) No 575/2013. Credit institutions shall still apply jurisdiction restrictions.
3. Credit institutions shall report the template in the corresponding currencies in accordance with Article 415(2) of Regulation (EU) 575/2013.
4. In accordance with Article 9 of Delegated Regulation (EU) 2015/61, credit institutions shall report, where relevant, the amount/market value of liquid assets by taking into account the net liquidity outflows and inflows resulting from an early close-out of hedges referred to in point (b) of Article 8(5) and in accordance with the appropriate haircuts specified in Chapter 2 of that Delegated Regulation.
5. Delegated Regulation (EU) 2015/61 only refers to rates and haircuts. In these instructions the word weighted is used as general term for indicating the amount obtained after the application of the respective haircuts, rates and any other relevant additional instructions (in the case of e.g. secured lending and funding). The word weight in the context of these instructions refers to a number between 0 and 1, which multiplied by the amount yields the weighted amount or the value referred to in Article 9 of Delegated Regulation (EU) 2015/61, respectively.
6. Credit institutions shall not double report items within and across sections 1.1.1., 1.1.2., 1.2.1., and 1.2.2 of the template. 1.2. Specific remarks 1.2.1. Specific requirements regarding CIUs
7. For items 1.1.1.10., 1.1.1.11., 1.2.1.6., 1.1.2.2., 1.2.2.10., 1.2.2.11., 1.2.2.12., 1.2.2.13. of the template, credit institutions shall report the appropriate proportion of the market value of the CIUs corresponding to the liquid assets underlying the undertaking, in accordance with Article 15(4) of Delegated Regulation (EU) 2015/61. 1.2.2. Specific requirements regarding grandfathering and transitional provisions
8. Credit institutions shall report items as referred to in Articles 35 to 37 of Delegated Regulation (EU) 2015/61 in the appropriate asset rows. A total of all asset amounts reported based on these Articles shall also be reported in the Memorandum section for reference. 1.2.3. Specific requirements for reporting by Central Institutions
9. Central institutions, when reporting liquid assets corresponding to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits in accordance with Article 27(3) of Delegated Regulation (EU) 2015/61.

1.2.4. Specific requirements regarding settlement and forward starting transactions 11. All assets complying with Articles 7, 8 and 9 of Delegated Regulation (EU) 2015/61 and which are in the stock of the credit institution on the reference date, shall be reported in the relevant row in template C72, even if they are sold or used in secured forward transactions. Consistently, no liquid assets from forward starting transactions referring to contractually agreed but not yet settled purchases of liquid assets and forward purchases of liquid assets shall be reported in this template. 1.2.5. Liquid assets sub template 1.2.5.1. Instructions concerning specific columns ColumnLegal references and instructions010 Amount/Market value Credit institutions shall report in Column 010 the market value or the amount where applicable, of the liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61. The amount/market value reported in Column 010: shall take into account net outflows and net inflows due to early close-out of hedges defined in Article 8(5) of the same Regulation; shall not take into account haircuts specified in Title II of the same Regulation; shall include the proportion of deposits referred to in point (a) of Article 16(1) of the same Regulation that are holding differing specific assets in the corresponding asset rows; shall be reduced, where applicable, by the amount of deposits defined in Article 16 placed at the central credit institution as referred to in Article 27(3) of the same Regulation. When referring to Article 8(5) of Delegated Regulation (EU) 2015/61, credit institutions shall take into account the net cash flow, either outflow or inflow, that would arise if the hedge was to be closed out at the reporting reference date. Credit institutions shall not take into account potential future value changes in the asset. 020 Standard weight Column 020 contains weights reflecting the amount obtained after the application of the respective haircuts specified in Title II of Delegated Regulation (EU) 2015/61. Weights are intended to reflect the reduction in value of the liquid assets after applying the appropriate haircuts. 030 Applicable weight Credit institutions shall report in Column 030 the applicable weight applied to liquid assets set out in Title II of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,00 for an applicable weight of 100 per cent, or 0,50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. The figure reported in Column 030 shall not exceed the figure in Column 020. 040 Value in accordance with Article 9 Credit institutions shall report in Column 040 the value of the liquid asset determined in accordance with Article 9 of Delegated Regulation (EU) 2015/61, which shall be the amount/market value, taking into account net liquidity outflows and inflows due to early close-out of hedges, multiplied by the applicable weight.

1.2.5.2. Instructions concerning specific rows RowLegal references and instructions010

1. TOTAL UNADJUSTED LIQUID ASSETS Title II of Delegated Regulation (EU) 2015/61 Credit Institutions shall report the total amount / market value of their Liquid assets in c010. Credit Institutions shall report the total value calculated in accordance with Article 9 of their Liquid assets in c040. 020 1.1. Total unadjusted level 1 assets Articles 10, 15, 16 and 19 of Delegated Regulation (EU) 2015/61 Assets reported in this section shall have been explicitly identified as or treated as Level 1 assets in accordance with Delegated Regulation (EU) 2015/61. Credit Institutions shall report the total amount / market value of their Level 1 Liquid assets in c010. Credit Institutions shall report the total value calculated in accordance with Article 9 of their Level 1 Liquid assets in c040. 030 1.1.1. Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds Articles 10, 15, 16 and 19 of Delegated Regulation (EU) 2015/61 Assets reported in this subsection shall have been explicitly identified as or treated as Level 1 assets in accordance with Delegated Regulation (EU) 2015/61. Assets and underlying assets that qualify as extremely high quality covered bonds as referred to in point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 shall not be reported in this subsection. Credit institutions shall report in Column 010 the sum of total market value / amount of Level 1 assets, excluding extremely high quality covered bonds, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61. Credit institutions shall report in Column 040 the sum of total weighted amount of Level 1 assets, excluding extremely high quality covered bonds, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61. 040 1.1.1.1. Coins and banknotes Point (a) of Article 10(1) of Delegated Regulation (EU) 2015/61 Total amount of cash arising from coins and banknotes. 050 1.1.1.2. Withdrawable central bank reserves Point (iii) of point (b) of Articles 10(1) of Delegated Regulation (EU) 2015/61 Total amount of reserves, withdrawable at any time during periods of stress, held by the credit institution in the ECB, in a Member State’s central bank or in a third country’s central bank, provided that exposures to the third country’s central bank or its central government are assigned a credit assessment by a nominated ECAI (external credit assessment institution) which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013. Eligible withdrawable amount shall be specified by an agreement between the competent authority of the credit institution and the central bank in which the reserves are held or in the applicable rules of the third country as referred to in point (iii) of point (b) of Article 10(1) of Delegated Regulation (EU) 2015/61. 060 1.1.1.3. Central bank assets

Points (i) and (ii) of point (b) of Article 10(1) of Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by the ECB, a Member State’s central bank or a third country’s central bank, provided that exposures to the third country’s central bank or its central government are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013. 070 1.1.1.4. Central government assets Points (i) and (ii) of point (c) of Article 10(1) of Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by the central government of a Member State or the central government of a third country, provided that those assets are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013. Assets issued by credit institutions which benefit from a guarantee from the central government of a Member State in accordance with Article 35 of Delegated Regulation (EU) 2015/61 shall be reported in this row. Assets issued by Member State-sponsored impaired assets management agencies as referred to in Article 36 of Delegated Regulation (EU) 2015/61 shall be reported in this row. 080 1.1.1.5. Regional government/local authorities assets Points (iii) and (iv) of point (c) of Article 10(1) of Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by regional governments or local authorities in a Member State, provided that they are treated as exposures to the central government of the Member State in accordance with Article 115(2) of Regulation (EU) No 575/2013. Assets representing claims on or guaranteed by regional governments or local authorities in a third country, being assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013 and provided they are treated as exposures to the central government of the third country in accordance with Article 115(4) of Regulation (EU) No 575/2013. Assets issued by credit institutions which benefit from a guarantee from a regional government or a local authority in a Member State in accordance with Article 35 of Delegated Regulation (EU) 2015/61 shall be reported in this row. 090 1.1.1.6. Public Sector Entity assets Points (v) and (vi) of point (c) of Article 10(1) Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by public sector entities in a Member State or a third country, provided that those assets are treated as exposures to the central government, regional governments or local authorities of this Member State or third country in accordance with Article 116(4) of Regulation (EU) No 575/2013. Any exposures to central government of a third country referred to in a preceding paragraph shall be assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013.

Any exposures to regional government or local authority of a third country referred to in this subsection shall be treated as exposures to the central government of the third country in accordance with Article 115(4) of Regulation (EU) No 575/2013. 100 1.1.1.7. Recognisable domestic and foreign currency central government and central bank assets Point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by the central government, or the central bank and reserves held in a central bank under the conditions of point (ii) of point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61, of a third country which is not assigned a credit assessment by a nominated ECAI of at least credit quality step 1, provided that the credit institution recognises such assets in aggregate as Level 1 up to the amount of its stressed net liquidity outflows incurred in the same currency. Assets representing claims on or guaranteed by the central government, or the central bank and reserves held in a central bank under the conditions of point (ii) of point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61, of a third country which is not assigned a credit assessment by a nominated ECAI of at least credit quality step 1, and those assets are not denominated in the domestic currency of that third country, provided that the credit institution recognises the assets as Level 1 up to the amount of its stressed net liquidity outflows in that foreign currency corresponding to its operations in the jurisdiction where the liquidity risk is being taken. 110 1.1.1.8. Credit institution (protected by Member State government, promotional lender) assets Points (i) and (ii) of point (e) of Article 10(1) of Delegated Regulation (EU) 2015/61 Assets issued by credit institutions incorporated or established by the central government, regional government or local authority of a Member State that is under the legal obligation to protect the economic basis of the credit institution and maintain its financial viability. Assets issued by promotional lender in accordance with point (ii) of point (e) of Article 10(1) of Delegated Regulation (EU) 2015/61. Any exposures to regional government or local authority mentioned above shall be treated as exposures to the central government of the Member State in accordance with Article 115(2) of Regulation (EU) No 575/2013. 120 1.1.1.9. Multilateral development bank and international organisations assets Point (g) of Article 10(1) of Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by the multilateral development banks and the international organisations as referred to in Article 117(2) and Article 118 of Regulation (EU) No 575/2013. 130 1.1.1.10. Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure Point (a) of Article 15(2) of Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to coins, banknotes, and exposures to the ECB, a Member State’s or a third country’s central bank, provided that exposures to the third country’s central bank or its central government are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013.

140 1.1.1.11. Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely high quality covered bonds Point (b) of Article 15(2) of Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to assets that do qualify as Level 1 assets, except coins, banknotes, exposures to the ECB, to a Member State’s or to a third country’s central bank, and extremely high quality covered bonds as specified in point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61. 150 1.1.1.12. Alternative Liquidity Approaches: Central bank credit facility Point (b) of Article 19(1) of Delegated Regulation (EU) 2015/61 Undrawn amount of credit facilities from the ECB, the central bank of a Member State or third country provided that the facility complies with the requirements laid down in point (i) to (iii) of point (b) of Article 19(1) of Delegated Regulation (EU) 2015/61. 160 1.1.1.13. Central credit institutions: Level 1 assets excluding extremely high quality covered bonds which are considered liquid assets for the depositing credit institution

Article 27(3) of Delegated Regulation (EU) 2015/61 According to Article 27(3) of Delegated Regulation (EU) 2015/61, liquid assets are to be identified which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. Those liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level. Central institutions, when reporting those assets, shall ensure that the reported amount of those liquid assets after haircut do not exceed the outflow from the corresponding deposits. Assets referred to in this row shall be level 1 assets excluding extremely high quality covered bonds. 170 1.1.1.14. Alternative Liquidity Approaches: Level 2A assets recognised as Level 1 Point (c) of Article 19(1) of Delegated Regulation (EU) 2015/61 Where there is a deficit of level 1 assets, credit institutions shall report the amount of Level 2A assets they are recognising as Level 1 and not reporting as Level 2A in accordance with point (c) of Article 19(1) of Delegated Regulation (EU) 2015/61. Those assets shall not be reported in the Level 2A assets section. 180 1.1.2. Total unadjusted Level 1 extremely high quality covered bonds Articles 10, 15 and 16 of Delegated Regulation (EU) 2015/61 Assets reported in this subsection have been explicitly identified as or treated as Level 1 assets in accordance with Delegated Regulation (EU) 2015/61 and are, or whose underlying assets do qualify as, extremely high quality covered bonds as referred to in point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61. Credit institutions shall report in column 010 the sum of total market value / amount of Level 1 extremely high quality covered bonds, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61. Credit institutions shall report in column 040 the sum of total weighted amount of Level 1 extremely high quality covered bonds, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61. 190 1.1.2.1. Extremely high quality covered bonds Point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 Assets representing exposures in the form of extremely high quality covered bonds which comply with point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61. 200 1.1.2.2. Qualifying CIU shares/units: underlying is extremely high quality covered bonds Point (c) of Article 15(2) of Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to assets that do qualify as extremely high quality covered bonds as specified in point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61. 210 1.1.2.3. Central credit institutions: Level 1 extremely high quality covered bonds which are considered liquid assets for the depositing credit institution

Article 27(3) of Delegated Regulation (EU) 2015/61 According to Article 27(3) of Delegated Regulation (EU) 2015/61, liquid assets are to be identified which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. Those liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the calculations of the composition of the remaining liquidity buffer under Article 17 of Delegated Regulation (EU) 2015/61for the central institution at individual level. Central institutions, when reporting those assets, shall ensure that the reported amount of those liquid assets after haircut does not exceed the outflow from the corresponding deposits. Assets referred to in this row are level 1 extremely high quality covered bonds. 220 1.2. Total unadjusted level 2 assets Articles 11 to 16 and Article 19 of Delegated Regulation (EU) 2015/61 Assets reported in this section have been explicitly identified as, or treated similarly to, either Level 2A or Level 2B assets in accordance with Delegated Regulation (EU) 2015/61. Credit Institutions shall report the total amount / market value of their Level 2 Liquid assets in c010. Credit Institutions shall report the total value calculated in accordance with according to Article 9 of their Level 2 Liquid assets in c040. 230 1.2.1. Total unadjusted LEVEL 2A assets Articles 11, 15 and 19 of Delegated Regulation (EU) 2015/61 Assets reported in this sub-section have been explicitly identified as or treated as Level 2A assets in accordance with Delegated Regulation (EU) 2015/61. Credit institutions shall report in Column 010 the sum of total market / value amount of Level 2A assets, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61. Credit institutions shall report in Column 040 the sum of total weighted amount of Level 2A assets, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61. 240 1.2.1.1. Regional government/local authorities or Public Sector Entities assets (Member State, RW20 %) Point (a) of Article 11(1) of Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by regional governments, local authorities or public sector entities in a Member State where exposures are assigned a risk weight of 20 %. 250 1.2.1.2. Central bank or central/regional government or local authorities or Public Sector Entities assets (Third Country, RW20 %) Point (b) of Article 11(1) of Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided those assets are assigned a 20 % risk weight. 260 1.2.1.3. High quality covered bonds (CQS2) Point (c) of Article 11(1) of Delegated Regulation (EU) 2015/61

Assets representing exposures in the form of high quality covered bonds which comply with point (c) of Article 11(1) of Delegated Regulation (EU) 2015/61 provided that those assets are assigned a credit assessment by a nominated ECAI which is at least credit quality step 2 in accordance with Article 129(4) of Regulation (EU) No 575/2013. 270 1.2.1.4. High quality covered bonds (Third Country, CQS1) Point (d) of Article 11(1) of Delegated Regulation (EU) 2015/61 Assets representing exposures in the form of covered bonds issued by credit institutions in third countries which comply with point (d) of Article 11(1) of Delegated Regulation (EU) 2015/61 provided that those assets are assigned a credit assessment by a nominated ECAI which is credit quality step 1 in accordance with Article 129(4) of Regulation (EU) No 575/2013. 280 1.2.1.5. Corporate debt securities (CQS1) Point (e) of Article 11(1) of Delegated Regulation (EU) 2015/61 Corporate debt securities which comply with point (e) of Article 11(1) of Delegated Regulation (EU) 2015/61. 290 1.2.1.6. Qualifying CIU shares/units: underlying is Level 2A assets Point (d) Article 15(2) of Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2A assets as specified in Article 11 of Delegated Regulation (EU) 2015/61. 300 1.2.1.7. Central credit institutions: Level 2A assets which are considered liquid assets for the depositing credit institution

Article 27(3) of Delegated Regulation (EU) 2015/61 According to Article 27(3) of Delegated Regulation (EU) 2015/61, liquid assets are to be identified which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. Those liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 of Delegated Regulation (EU) 2015/61 for the central institution at individual level. Central institutions, when reporting those assets, shall ensure that the reported amount of those liquid assets after haircut does not exceed the outflow from the corresponding deposits. Assets referred to in this row are level 2A assets. 310 1.2.2. Total unadjusted LEVEL 2B assets Articles 12 to 16 and Article 19 of Delegated Regulation (EU) 2015/61 Assets reported in this subsection have been explicitly identified as Level 2B assets in accordance with Delegated Regulation (EU) 2015/61. Credit institutions shall report in Column 010 the sum of total market value / amount of Level 2B assets, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61. Credit institutions shall report in Column 040 the sum of total weighted amount of Level 2B assets, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61. 320 1.2.2.1. Asset-backed securities (residential, CQS1) Point (a) of Article 12(1) and points (i) and (ii) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61 Exposures in the form of asset-backed securities which comply with the requirements of Article 13 of Delegated Regulation (EU) 2015/61, provided that they are backed by residential loans secured by first ranking mortgage or fully guaranteed residential loans in accordance with points (i) and (ii) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61. Assets which are subject to the transitional provision specified in Article 37 of Delegated Regulation (EU) 2015/61 shall be reported in this row. 330 1.2.2.2. Asset-backed securities (auto, CQS1) Point (a) of Article 12(1) and point (iv) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61 Exposures in the form of asset-backed securities which comply with Article 13 of Delegated Regulation (EU) 2015/61, provided that they are backed by auto loans and leases in accordance with point (iv) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61. 340 1.2.2.3. High quality covered bonds (RW35 %) Point (e) of Article 12(1) of Delegated Regulation (EU) 2015/61 Assets representing exposures in the form of covered bonds issued by credit institutions which comply with point (e) of Article 12(1) of Delegated Regulation (EU) 2015/61, provided that the pool of underlying assets consist exclusively of exposures which qualify for a 35 % or lower risk weight under Article 125 of Regulation (EU) No 575/2013.

350 1.2.2.4. Asset-backed securities (commercial or individuals, Member State, CQS1) Point (a) of Article 12(1) and points (iii) and (v) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61 Exposures in the form of asset-backed securities which comply with the requirements of Article 13 of Delegated Regulation (EU) 2015/61, provided that they are backed by assets as referred to in points (iii) and (v) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61. Note that for the purpose of point(iii) of point (g) of Article 13(2), at least 80 % of the borrowers in the pool shall be SMEs at the time of issuance of the securitisation. 360 1.2.2.5. Corporate debt securities (CQS2/3) Point (b) of Article 12(1) of Delegated Regulation (EU) 2015/61 Corporate debt securities which comply with point (b) of Article 12(1) of Delegated Regulation (EU) 2015/61 370 1.2.2.6. Corporate debt securities — non-interest bearing assets (held by credit institutions for religious reasons) (CQS1/2/3)

Article 12(3) of Delegated Regulation (EU) 2015/61 A competent authority may allow credit institutions which, according to their statutes of incorporation, are unable to hold interest bearing assets for reasons of religious observance, to derogate from points (ii) and (iii) of point (b) of Article 12(1) of Delegated Regulation (EU) 2015/61, provided that there is evidence of insufficient availability of non-interest bearing assets meeting the requirements laid down in those points and that the non-interest bearing assets in question are adequately liquid in private markets. Those credit institutions shall report corporate debt securities containing non-interest bearing assets as long as they meet the requirements of point (i) of point (b) of Article 12(1) of Delegated Regulation (EU) 2015/61 and have received proper derogation from their competent authority. 380 1.2.2.7. Shares (major stock index) Point (c) of Article 12(1) of Delegated Regulation (EU) 2015/61 Shares, which comply with point (c) of Article 12(1) of Delegated Regulation (EU) 2015/61 and are denominated in the currency of the credit institution’s home Member State. Credit institutions shall also report shares complying with point (c) of Article 12(1) and denominated in a different currency, provided that they are counted as level 2B assets only up to the amount to cover the liquidity outflows in that currency or in the jurisdiction where the liquidity risk is taken. 390 1.2.2.8. Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5) Point (f) of Article 12(1) of Delegated Regulation (EU) 2015/61 For credit institutions which, according to their statutes of incorporation, are unable to hold interest bearing assets for reasons of religious observance, non-interest bearing assets constituting a claim on or guaranteed by central banks or by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided that those assets have a credit assessment by a nominated ECAI of at least credit quality step 5 in accordance with Article 114 of Regulation (EU) No 575/2013, or the equivalent credit-quality step in the event of a short-term credit assessment. 400 1.2.2.9. Restricted-use central bank committed liquidity facilities Point (d) of Article 12(1) and Article 14 of Delegated Regulation (EU) 2015/61 Undrawn amount of restricted-use committed liquidity facilities provided by central banks which comply with Article 14 of Delegated Regulation (EU) 2015/61. 410 1.2.2.10. Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1) Point (e) of Article 15(2) of Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in points (i), (ii) and (iv) of point (g) of Article 13(2) of Delegated Regulation (EC) No 2015/61. 420 1.2.2.11. Qualifying CIU shares/units: underlying is High quality covered bonds (RW35 %)

Point (f) of Article 15(2) of Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in point (e) of Article 12(1) of Delegated Regulation (EU) 2015/61. 430 1.2.2.12. Qualifying CIU shares/units: underlying is asset-backed securities (commercial or individuals, Member State, CQS1) Point (g) of Article 15(2) of Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in points (iii) and (v) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61. Note that for the purpose of points (iii) of point (g) Article 13(2), at least 80 % of the borrowers in the pool shall be SMEs at the time of issuance of the securitisation. 440 1.2.2.13. Qualifying CIU shares/units: underlying is corporate debt securities (CQS2/3), shares (major stock index) or non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5) Point (h) of Article 15(2) of Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to corporate debt securities that comply with point (b) of Article 12(1) of Delegated Regulation (EU) 2015/61, shares that comply with point (c) of Article 12(1) of the same Regulation or non-interest bearing assets that comply with point (f) of Article 12(1) of the same Regulation. 450 1.2.2.14. Deposits by network member with central institution (no obligated investment) Point (b) of Article 16(1) of Delegated Regulation (EU) 2015/61 Minimum deposit that the credit institution maintains with the central credit institution, provided that it is part of an institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013, a network eligible for the waiver provided in Article 10 of the same Regulation or a cooperative network in a Member State governed by law or contract. Credit institutions shall ensure that the central institution is under no legal or contractual obligation to hold or invest the deposits in liquid assets of specified level or category. 460 1.2.2.15. Liquidity funding available to network member from central institution (non-specified collateralisation)

Article 27(3) of Delegated Regulation (EU) 2015/61 In accordance with Article 27(3) of Delegated Regulation (EU) 2015/61, it is necessary to identify liquid assets which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. These liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level. Central institutions, when reporting those assets, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits. Assets referred to in this row are level 2B assets. MEMORANDUM ITEMS485 2. Deposits by network member with central institution (obligated investment) Point (a) of Article 16(1) of Delegated Regulation (EU) 2015/61. Credit institutions shall report total amount of assets reported in the above sections as per the requirements in point (a) of Article 16(1) of Delegated Regulation (EU) 2015/61. 580 3. Level 1/2A/2B assets excluded due to currency reasons Articles 8(6), point (d) of Article 10(1) and point (c) of Article 12(1) of Delegated Regulation (EU) 2015/61 Institution shall report the portion of Level 1, Level 2A and Level 2B assets referred to in Articles 10 to 16 which are not recognisable by institution in accordance with Article 8(6), point (d) of Article 10(1) and point (c) of Article 12(1). 590 4. Level 1/2A/2B assets excluded for operational reasons except for currency reasons

Article 8 of Delegated Regulation (EU) 2015/61 Credit institutions shall report assets in compliance with Article 7 of Delegated Regulation (EU) 2015/61 but that do not meet the requirements specified in Article 8 of Delegated Regulation (EU) 2015/61, provided that they have not been reported in row 580 for currency reasons. REPORTING ON LIQUIDITY (PART 2 OUTFLOWS)

1. Outflows 1.1. General remarks
2. This is a summary template which contains information about liquidity outflows measured over the next 30 days, for the purpose of reporting the liquidity coverage requirement as specified in Delegated Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are coloured grey.
3. Credit institutions shall report the template in the corresponding currencies in accordance with Article 415(2) of Regulation (EU) 575/2013.
4. Some memorandum items are included in the associated template to these instructions. While not strictly necessary for the calculation of the ratio itself, they are required to be completed. Those items provide necessary information to allow the competent authorities complete an adequate assessment of credit institutions’ compliance with the liquidity requirements. In some cases, they represent a more granular breakdown of the items included in the main sections of the templates while in other cases they reflect additional liquidity resources credit institutions may have access to.
5. In accordance with Article 22(1) of Delegated Regulation (EU) 2015/61, liquidity outflows shall: i. include the categories referred to in Article 22(2) of Delegated Regulation (EU) 2015/61 ii. be calculated by multiplying the outstanding balances of various categories of liabilities and off-balance sheet commitments by the rates at which they are expected to run off or be drawn down as indicated in Delegated Regulation (EU) 2015/61.
6. Delegated Regulation (EU) 2015/61 only refers to rates and haircuts, and the word weight just refers to these. In these instructions the word weighted is used as general term for indicating the amount obtained after the application of the respective haircuts, rates and any other relevant additional instructions (in the case of e.g. secured lending and funding).
7. Outflows within a group or an institutional protection scheme (except for outflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a preferential outflow rate and outflows from operational deposits maintained in the context of an institutional Protection Scheme or a cooperative network) shall be reported in the relevant categories. Those outflows shall also be separately reported as memorandum items.
8. The liquidity outflows shall be reported only once in the template unless additional outflows in accordance with Article 30 of Delegated Regulation (EU) 2015/61 are applicable or where the item is an of which item or a memorandum item.

1. In the case of separate reporting as referred to in Article 415(2) of Regulation (EU) 575/2013, the following shall always apply: only items and flows denominated in that currency shall be reported; in case of currency mismatch between legs of a transaction, only the leg in that currency shall be reported; where Delegated Regulation (EU) 2015/61 allows netting, it may only be applied to flows in that currency; where a flow has multicurrency optionality, the credit institution shall make an assessment of the currency in which the flow is likely to occur and shall report the item only in that separate currency.
2. The standard weights in column 040 of template C 73.00 of Annex XXIV are those specified in Delegated Regulation (EU) 2015/61 by default and are provided here for information.
3. The template contains information about collateralised liquidity flows, referred to as secured lending and capital-market driven transactions in Delegated Regulation (EU) 2015/61, and for the purpose of calculating LCR as defined in that Regulation. Where those transactions are made against a collateral pool, the identification of the specific assets pledged for the purposes of reporting in this template will be made, according to the liquid assets categories specified in Title II, Chapter 2 of Delegated Regulation (EU) 2015/61, starting from the least liquid assets. Simultaneously, in case of transactions with different residual maturities made against a collateral pool, less liquid assets are assigned to the transactions with the longest residual maturities first.
4. A separate template is provided for collateral swaps, C 75.01 of Annex XXIV. Collateral swaps, which are collateral-versus-collateral transactions shall not be reported on the outflow template C 73.00 of Annex XXIV, which only covers cash-versus-collateral transactions. 1.2. Specific remarks regarding settlement and forward starting transactions
5. Credit institutions shall report outflows stemming from forward starting repos, reverse repos and collateral swaps that start within the 30-day horizon and mature beyond the 30-day horizon where the initial leg produces an outflow. In the case of a reverse repo, the amount to be lent to the counterparty shall be considered as an outflow and reported in item 1.1.8.6. net of the market value of the asset to be received as collateral and after the application of the related LCR haircut if the asset qualifies as liquid asset. If the amount to be lent is lower than the market value of the asset (after LCR haircut) to be received as collateral, the difference shall be reported as an inflow. If the collateral to be received does not qualify as liquid asset, the outflow shall be reported in full. In the case of a repo, where the market value of the asset to be lent as collateral after the application of the related LCR haircut (if the asset qualifies as liquid asset) is larger than the cash amount to be received, the difference is to be reported as an outflow in the above mentioned row. If the amount to be received is larger than the market value of the asset (after LCR haircut) to be lent as collateral, the difference shall be reported as an inflow. For collateral swaps, where the net effect of the initial swap of liquid assets (taking into account LCR haircuts) gives rise to an outflow this outflow shall be reported in the above mentioned row.

Forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR’s 30-day horizon do not have any impact on a bank’s LCR and can be ignored. 13. Decision tree for sections 1 of C 73.00 of Annex XXIV, the decision tree is without prejudice to the memorandum items reporting. The decision tree is part of the instructions to specify prioritization assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient, credit institutions shall always comply with the rest of the instructions. For the sake of simplicity, the decision tree ignores totals and subtotals; this however does not mean that they shall not be reported as well. DA refers to Delegated Regulation (EU) 2015/61. 9Deposit in accordance with Article 25(2) of DA?YesAllocate into one relevant item of ID 1.1.1.3.No# 1010Deposit in accordance with Article 24(4) of DA?YesID 1.1.1.5.No# 1111Deposit in accordance with Article 24(1) of DA?YesID 1.1.1.4.NoID 1.1.1.7.12Liability that become due, can be called for pay- out by the issuer or by the provider of the funding or entail an expectation by the provider of the funding that the credit institution would repay the liability during the next 30 calendar days?Yes# 13No# 3013Liability resulting from the institution’s own operating expenses?YesID 1.1.8.1.No# 1414Liability in form of bond sold exclusively in the retail market and held in a retail account in accordance with Article 28(6) of DA?YesFollow path for retail deposits (ie. answer yes for # 5 and treat accordingly)No# 1515Liability in form of debt security?YesID 1.1.8.2.No# 1616Deposit received as collateral?YesAllocate across relevant items of ID 1.1.5.No# 1717Deposit arising out of a corresponding banking or from the prime brokerage?YesID1.1.4.1.No# 1818Operational deposit in accordance with Article 27 of DA?Yes# 19No# 2419Maintained in the context of IPS or a cooperative network?Yes# 20No# 2220Treated as liquid assets for the depositing credit institution?YesID 1.1.2.2.2.No# 2121Maintained to obtain cash clearing and central credit institution services within a network?YesID 1.1.2.4.NoID 1.1.2.2.1.22Maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship?YesAllocate into one relevant item of ID 1.1.2.1.No# 23 23Maintained in the context of an established operational relationship (other) with non-financial customers?YesID 1.1.2.3.No# 2424Excess operational deposits?YesAllocate into one relevant item of ID 1.1.3.No# 2525Other deposit?Yes# 26No# 2726Deposits by financial customers?YesID 1.1.4.2.NoAllocate into one relevant item of ID 1.1.4.3.27Liability from secured lending and capital market driven transaction with the exception of derivatives and collateral swaps?YesAllocate into one relevant item of ID 1.2.No# 2828Liability from collateral swaps?YesAllocate into one relevant item of C75.01 and ID 1.3. where applicable.No# 2929Liability resulting in an outflow from derivatives in accordance with Article 30(4) of DA?YesID 1.1.5.5.No# 3030Any other liability that becomes due in the next 30 days?YesID 1.1.8.3No#3131Contractual commitments to extend funding to non-financial customers that is due in the next 30 days in excess of inflows from those customers?YesOne of the following IDs: 1.1.8.4.1 to 1.1.8.4.4No#3232Other outflows that are due in the next 30 days not mentioned above?YesID 1.1.8.6No#3333Undrawn amount that can be drawn from committed credit and liquidity facility in accordance with Article 31 of DA?Yes#34No# 4234Committed credit facility?Yes# 35No# 3735Within IPS or cooperative network treated as liquid asset by the depositing institution?YesID 1.1.6.1.6.No# 3636Within a group or an IPS subject to preferential treatment?YesID 1.1.6.1.5.NoAllocate into one relevant remaining item of ID 1.1.6.1.

37Committed liquidity facility?Yes#38n/an/a38Within IPS or cooperative network treated as liquid asset by the depositing institution?YesID 1.1.6.2.7.No# 3939Within a group or an IPS subject to preferential treatment?YesID 1.1.6.2.6.No# 4040To SSPEs?YesAllocate into one relevant item of ID 1.1.6.2.4.No#4141To personal investment companies?YesID 1.1.6.2.3.NoAllocate into one relevant remaining item of ID 1.1.6.2.42Other product or service in accordance with Article 23 of DA?Yes# 43NoDo not report43Trade finance off balance sheet related product?YesID1.1.7.8.No# 4444Undrawn loans and advances to wholesale counterparties?YesID 1.1.7.2.No# 4545Mortgages that have been agreed but not yet drawn downYesID 1.1.7.3.No# 4646Planned outflow related to renewal or extension of new retail or wholesale loans?YesID 1.1.7.6.No# 4747Credit cards?YesID 1.1.7.4.No# 4848Overdrafts?YesID 1.1.7.5.No# 4949Derivatives payable?YesID1.1.7.7.No# 5050Other off balance sheet and contingent funding obligation?YesID1.1.7.1.NoID 1.1.7.9. 51Debt security already reported in item 1.1.8.2 of C 73.00?YesDo not reportNo# 5252Liquidity requirement for derivatives in accordance with Article 30.4 of DA already considered in question # 29?YesDo not reportNoAllocate across relevant items of ID 1.1.5. 1.3. Instructions concerning specific columns ColumnLegal references and instructions010 Amount 1.1. Unsecured transactions/deposits specific instructions: Credit institutions shall report here the outstanding balance of various categories of liabilities and off-balance sheet commitments as specified in Articles 22 to 31 of Delegated Regulation (EU) 2015/61. Subject to prior approval of the competent authority within each category of outflows, the amount of each item reported in Column 010 of template C 73.00 of Annex XXIV shall be netted by subtracting the relevant amount of interdependent inflow in accordance with Article 26. 1.2. Secured lending and capital market-driven transactions specific instructions: Credit institutions shall report here the outstanding balance of the liabilities which represent the cash leg of the secured transaction in accordance with Article 22(2) of Delegated Regulation (EU) 2015/61,. 020 Market value of collateral extended Secured lending and capital market-driven transactions specific instructions: Credit institutions shall report here the market value of extended collateral which is calculated as the current market value gross of haircut and net of flows resulting from unwinding associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61) and subject to the following conditions: Where a credit institution may only recognise part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognizable part shall be reported within the rows on Level 1, Level 2A and Level 2B asssets in accordance with point (ii) of point (c) of Article 12(1) and point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61. Where the particular asset is used as collateral but in an amount which is surplus to the portion which can be recognised within liquid assets, the surplus amount shall be reported in the non-liquid section;

Level 2A assets shall be reported in the corresponding L2A asset row, even if the Alternative Liquidity Approach is being followed (i.e. do not move L2A to L1 in the secured transaction reporting). 030 Value of collateral extended in accordance with Article 9 Secured lending and capital market-driven transactions specific instructions: Credit institutions shall report here the value of extended collateral in accordance with Article 9 of Delegated Regulation (EU) 2015/61. This is calculated by multiplying Column 020 of template C 73.00 of Annex XXIV by the applicable weight/haircut from template C 72.00 of Annex XXIV corresponding to asset type. Column 030 of template C 73.00 of Annex XXIV is used in the calculation of the adjusted amount of liquid assets in template C 76.00 of Annex XXIV. 040 Standard Weight Articles 24 to 31a of Delegated Regulation (EU) 2015/61 The standard weights in Column 040 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only. 050 Applicable Weight Both unsecured and secured: Credit institutions shall report here applicable weights. These weights are those specified in Articles 22 to 31a of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,00 for an applicable weight of 100 per cent, or 0,50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. 060 Outflow Both unsecured and secured: Credit institutions shall report here the outflows. Those outflows are calculated by multiplying Column 010 C 73.00 of Annex XXIV by Column 050 C 73.00 of Annex XXIV. 1.4. Instructions concerning specific rows RowLegal references and instructions010

1. OUTFLOWS Chapter 2 of Title III of Delegated Regulation (EU) 2015/61 Credit institutions shall report here on outflows in accordance with Chapter 2 of Title III of Delegated Regulation (EU) 2015/61. 020 1.1. Outflows from unsecured transactions/deposits Articles 20 to 31a of Delegated Regulation (EU) 2015/61 Credit institutions shall report here on outflows in accordance with Articles 21 to 31a of Delegated Regulation (EU) 2015/61, with the exception of outflows reported in accordance with Article 28(3) an (4) of that Delegated Regulation. 030 1.1.1. Retail deposits Articles 24 and 25 of Delegated Regulation (EU) 2015/61 Credit institutions shall report here on retail deposits as defined in Article 411 (2) of Regulation (EU) 575/2013. Credit institutions shall also report within the appropriate retail deposit category the amount of the notes, bonds and other securities issued which are sold exclusively in the retail market and held in a retail account, as referred to in Article 28(6) of Delegated Regulation (EU) 2015/61. Credit institutions will consider for this category of liability the applicable outflow rates provided for by Delegated Regulation (EU) 2015/61 for the different categories of retail deposits. Accordingly, credit institutions shall report as applicable weigh the average of the relevant applicable weights for all these deposits.

Article 25(4) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here deposits with a residual maturity of less than 30 days where pay-out has been agreed. 050 1.1.1.3. deposits subject to higher outflows Articles 25(2) and (3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here the full balance of the deposits subject to higher outflow rates in accordance with Article 25(2) and (3) of Delegated Regulation (EU) 2015/61. Those retail deposits where the assessment under Article 25(2) of Delegated Regulation (EU) 2015/61 for their categorization has not been carried out or is not completed shall also be reported here. 060 1.1.1.3.1. Category 1

Article 25(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the whole outstanding balance of every retail deposit which fulfils the criteria in point (a) or two of the criteria in points (b) to (e) of Article 25(2) of Delegated Regulation (EU) 2015/61, unless these deposits have been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Delegated Regulation (EU) 2015/61 in which case they shall be reported within this latter category. Credit institutions shall report as applicable weight the average of the rates, either those standard rates envisaged by default in point (a) of Article 25(3) of Delegated Regulation (EU) 2015/61 or higher ones if applied by a competent authority, which have been effectively applied on the full amount of every deposit referred to in the preceding paragraph and weighted by the cited corresponding amounts. 070 1.1.1.3.2. Category 2

Article 25(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the whole outstanding balance of every retail deposit which fulfils the criteria in point (a) of Article 25(2) of Delegated Regulation (EU) 2015/61 and at least another criterion referred to in Article 25(2) or three or more criteria of Article 25(2) unless these deposits have been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Delegated Regulation (EU) 2015/61, in which case they shall be reported within this latter category. Those retail deposits where the assessment under Article 25(2) for their categorization has not been carried out or is not completed shall also be reported here. Credit institutions shall report as applicable weight the average of the rates, either those standard rates envisaged by default in point (b) of Article 25(3) of Delegated Regulation (EU) 2015/61, or higher ones if applied by a competent authority, which have been applied on the full amount of every deposit referred to in the preceding paragraphs and weighted by the cited corresponding amounts. 080 1.1.1.4. stable deposits

Article 24 of Delegated Regulation (EU) 2015/61 Credit institutions shall report the part of the amounts of retail deposits covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Article 24(2) and (3) of Delegated Regulation (EU) 2015/61 respectively and where: Those deposits do not fulfil the criteria for a higher outflow rate laid down in Article 25(2), (3) and (5) of Delegated Regulation (EU) 2015/61, in which case they shall be reported as deposits subject to higher outflows; or Those deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Delegated Regulation (EU) 2015/61, in which case they shall be reported within this category; The derogation specified in Article 24(4) of Delegated Regulation (EU) 2015/61 is not applicable. 090 1.1.1.5. Derogated stable deposits

Article 24(4) and (6) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the part of the amounts of retail deposits which is covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU up to a maximum level of EUR 100000 and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Article 24(2) and (3) of Delegated Regulation (EU) 2015/61 respectively and where: Those deposits do not fulfil the criteria for a higher outflow rate laid down in Article 25(2), (3) and (5) of Delegated Regulation (EU) 2015/61 in which case they shall be reported as deposits subject to higher outflows; or Those deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Delegated Regulation (EU) 2015/61 in which case they shall be reported within this category; The derogation envisaged in Article 24(4) of Delegated Regulation (EU) 2015/61 is applicable. 100 1.1.1.6. deposits in third countries where a higher outflow is applied

Article 25(1) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of other retail deposits than those captured in the preceding items. 120 1.1.2. Operational deposits Articles 27 of Delegated Regulation (EU) 2015/61 Credit institutions shall report here the part of the operational deposits determined in accordance with Article 27 of Delegated Regulation (EU) 2015/61, which are necessary for the provision of operational services. Deposits arising out of a correspondent banking relationship or from the provision of prime brokerage services shall be considered non-operational deposits as established in Article 27(5) of Delegated Regulation (EU) 2015/61. The part of the operational deposits in excess of the amount necessary for the provision of operational services shall not be reported here but shall be reported under id 1.1.3. 130 1.1.2.1. maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship Point (a) of Article 27(1), Article 27(2) and (4) of Delegated Regulation (EU) 2015/61 Credit institutions shall report on deposits maintained by the depositor in order to obtain clearing, custody, cash management or other comparable services in the context of an established relationship, as referred to in point (a) of Article 27(1) of Delegated Regulation (EU) 2015/61, which are critically important to the depositor as referred to in Article 27(4) of Delegated Regulation (EU) 2015/61; funds in excess of those required for the provision of operational services shall be treated as non-operational deposits as referred to in the last sentence of Article 27(4) of Delegated Regulation (EU) 2015/61. Only deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely, as referred in the second sentence of Article 27(4) of Delegated Regulation (EU) 2015/61 shall be reported. Credit institutions shall report separately, , the amount of those deposits covered and not covered by a Deposit Guarantee Scheme or third country equivalent deposit guarantee scheme that are referred to in Article 27(2) of Delegated Regulation (EU) 2015/61, as specified in the following items of the instructions. 140 1.1.2.1.1. covered by DGS (Deposit Guarantee Scheme) Point (a) of Article 27(1), Article 27(2) and (4) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the portion of the outstanding balance of operational deposits maintained in the context of an established operational relationship that fulfils the criteria set out in point (a) of Article 27(1) and Article 27(4) of Delegated Regulation (EU) 2015/61 and which is covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC, or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country. 150 1.1.2.1.2. not covered by DGS Point (a) of Article 27(1), Article 27(2) and (4) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the portion of the outstanding balance of operational deposits in the context of an established operational relationship that fulfils the criteria set out in point (a) of Article 27(1) and Article 27(4) of Delegated Regulation (EU) 2015/61 and which is not covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC, or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country. 160 1.1.2.2. maintained in the context of IPS (Institutional Protection Scheme) or a cooperative network Point (b) of Article 27(1) and Article 27(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here on deposits maintained in the context of a common task sharing within an institutional protection scheme meeting the requirements of Article 113(7) of Regulation (EU) No 575/2013 or within a group of cooperative credit institutions permanently affiliated to a central body meeting the requirements of Article 113(6) of the same Regulation, or as a legal or contractually established minimum deposit by another credit institution that is a Member of the same institutional protection scheme or cooperative network, as set out in point (b) of Article 27(1) of Delegated Regulation (EU) 2015/61. Credit institutions shall report those deposits into different rows depending on whether they are treated as liquid assets by the depositing credit institution or not, in accordance with Article 27(3) of Delegated Regulation (EU) 2015/61. 170 1.1.2.2.1. not treated as liquid assets for the depositing institution Point (b) of Article 27(1) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of deposits maintained in the context of a cooperative network or an institutional protection scheme in accordance with the criteria set out in point (b) Article 27(1) of Delegated Regulation (EU) 2015/61, provided those deposits are not recognised as liquid assets for the depositing credit institution. 180 1.1.2.2.2. treated as liquid assets for the depositing credit institution Point (b) Article 27(1) and Article 27(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report deposits from credit institutions placed at the central credit institution that are considered as liquid assets for the depositing credit institution in accordance with Article 16 of Delegated Regulation (EU) 2015/61. Credit institutions shall report the amount of these deposits up to the amount of the correspondent liquid assets after haircut, as set out in Article 27(3) of Delegated Regulation (EU) 2015/61. 190 1.1.2.3. maintained in the context of an established operational relationship (other) with non-financial customers Point (c) of Article 27(1), Article 27(4) and (6) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of deposits maintained by a non-financial customer in the context of an established operational relationship other than that mentioned in point (a) of Article 27(1) of Delegated Regulation (EU) 2015/61 and subject to the requirements set out in Article 27(6) of Delegated Regulation (EU) 2015/61.

Only those deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely, as referred to in Article 27(4) of Delegated Regulation (EU) 2015/61, shall be reported. 200 1.1.2.4. maintained to obtain cash clearing and central credit institution services within a network Point (d) Article 27(1) and Article 27(4) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of deposits maintained by the depositor to obtain cash clearing and central institution services and where the credit institution belongs to one of a network or schemes referred to in Article 16 of Delegated Regulation (EU) 2015/61, as set out in point (d) of Article 27(1) of Delegated Regulation (EU) 2015/61. Those cash clearing and central credit institution services only cover such services to the extent that they are rendered in the context of an established relationship which is critically important to the depositor as referred to in the first sentence of Article 27(4) of Delegated Regulation (EU) 2015/61; funds in excess of those required for the provision of operational services shall be treated as non-operational deposits as referred to in the last sentence of Article 27(4) of Delegated Regulation (EU) 2015/61). Only those deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely, as referred to in Article 27(4) of Delegated Regulation (EU) 2015/61, shall be reported. 203 1.1.3. Excess operational deposits

Article 27(4) and 28(1) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the part of the operational deposits from customers other than financial customers, and excluding retail deposits, in excess of those required for the provision of the operational services as referred to in the last sentence of Article 27(4) of Delegated Regulation (EU) 2015/61. These excess operational deposits shall be reported in two different rows depending on whether or not the entire amount of the excess operational deposit is covered (by a Deposit Guarantee Scheme or third country equivalent Deposit Guarantee Scheme). 206 1.1.3.2.1. covered by DGS Articles 27(4) and 28(1) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the entire amount of the outstanding balance of these excess operational deposits maintained by other customers if that entire amount is covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/48/EC or an equivalent Deposit Guarantee Scheme in a third country as referred to in Article 28(1) of Delegated Regulation (EU) 2015/61. 207 1.1.3.2.2. not covered by DGS

Article 27(4) and 28(1) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the entire amount of the outstanding balance of these excess operational deposits maintained by other customers if that entire amount is not covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/48/EC or an equivalent Deposit Guarantee Scheme in a third country, as referred to in Article 28(1) of Delegated Regulation (EU) 2015/61. 210 1.1.4. Non-operational deposits Articles 27(5), 28(1) and 31(9) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here on unsecured deposits referred to in Article 28(1) of Delegated Regulation (EU) 2015/61 and those arising out of a correspondent banking or from the provision of prime brokerage services, as referred to in Article 27(5) of Delegated Regulation (EU) 2015/61. Credit institutions shall report separately, with the exception of the liabilities arising out of correspondent banking relationship or from the provision of prime brokerage services, as referred to in Article 27(5) of Delegated Regulation (EU) 2015/61, the non-operational deposits covered and not covered by a Deposit Guarantee Scheme or third country equivalent deposit guarantee scheme, as specified in the following items of the instructions. The part of operational deposits in excess of those required for the provision of operational services shall not be reported here but shall be reported under id 1.1.3. 220 1.1.4.1. correspondent banking and provisions of prime brokerage deposits

Article 28(1) of Delegated Regulation (EU) 2015/61 Credit institutions shall report on deposits maintained by other customers (other than financial customers and customers considered for the retail deposits) as referred to in Article 28(1) of Delegated Regulation (EU) 2015/61, to the extent those deposits are not considered operational deposits in accordance with Article 27 of Delegated Regulation (EU) 2015/61. Those deposits shall be reported in two different rows depending on whether or not the entire amount of the deposit is covered (by a Deposit Guarantee Scheme or third country equivalent Deposit Guarantee Scheme). 250 1.1.4.3.1. covered by DGS

Article 30 of Delegated Regulation (EU) 2015/61 Credit institutions shall report here additional outflows as referred to in Article 30 of Delegated Regulation (EU) 2015/61. Deposits received as collateral, as referred in Article 30(7) of Delegated Regulation (EU) 2015/61, shall not be considered liabilities for the purposes of Article 24, 25, 27 or 31a of Delegated Regulation (EU) 2015/61, but shall be subject to Article 30(1) to (6) of Delegated Regulation (EU) 2015/61, where applicable. 280 1.1.5.1. collateral other than Level 1 assets posted for derivatives

Article 30(2) of Delegated Regulation (EU) 2015/61 Credit institutions shall report total amount of additional outflows they have calculated and notified to the competent authorities in accordance with Article 30(2) of Delegated Regulation (EU) 2015/61. If an amount subject to outflow due to deterioration of own credit quality has been reported elsewhere in a row with less than 100 % weight, then an amount shall also be reported in Row 300 such that the sum of the outflows is 100 % outflow in total for the transaction. 310 1.1.5.4. impact of an adverse market scenario on derivatives transactions

Article 30(4) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of outflows expected over 30 calendar days from contracts listed in Annex II of Regulation (EU) No 575/2013 and from credit derivatives calculated in accordance with Article 21 of Delegated Regulation (EU) 2015/61. For the cases of reporting in a separate currency, in accordance with Article 415(2) of Regulation (EU) No 575/2013, only, credit institutions shall report outflows which occur only in the respective significant currency. Netting by counterparty may only be applied to flows in that currency, for instance Counterparty A: EUR+10 and Counterparty A: EUR-20 shall be reported as EUR10 outflow. No netting shall be made across counterparties, for instance Counterparty A: EUR- 10, Counterparty B: EUR+40 shall be reported as EUR10 outflow on C73.00 (and EUR40 inflow on C74.00). 350 1.1.5.6. short positions

Article 30(5) of Delegated Regulation (EU) 2015/61 If the credit institution has a short position that is covered by an unsecured security borrowing, the credit institution shall add an additional outflow corresponding to 100% of the market value of the securities or other assets sold short unless the terms upon which the credit institution has borrowed them require their return only after 30 calendar days. If the short position is covered by a collateralised securities financing transaction, the credit institution shall assume the short positon will be maintained throughout the 30 calendar day period and received a 0% outflow. 360 1.1.5.6.1. covered by collateralised SFT (securities financing transactions)

Article 30(5) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of securities or other assets sold short other than those covered by collateralised securities financing transactions and to be delivered within 30 calendar days unless the credit institution has borrowed them at terms requiring their return only after the 30 calendar day period. 380 1.1.5.7. callable excess collateral Point (a) of Article 30(6) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of excess collateral that the institution holds and that can be contractually called at any times by the counterparty. 390 1.1.5.8. due collateral Point (b) of Article 30(6) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of collateral that is due to be posted to counterparty within the 30 calendar day period. 400 1.1.5.9. liquid asset collateral exchangeable for non liquid assets Point (c) of Article 30(6) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of collateral that qualifies as liquid assets for the purpose of Title II that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purpose of Title II without the consent of the institution. 410 1.1.5.10. loss of funding on structured financing activities

Article 30(8) to 30(10) of Delegated Regulation (EU) 2015/61 Credit institutions shall assume 100 % outflow for loss of funding on asset backed securities, covered bonds and other structured financing instruments maturing within the 30 calendar day period issued by the credit institution or by sponsored conduits or SPVs. Credit institutions that are providers of liquidity facilities associated with financing programs reported here do not need to double count the maturing financing instrument and the liquidity facility for consolidated programs. 420 1.1.5.10.1. structured financing instruments

Article 30(9) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the maturing amount of liabilities from asset- backed commercial papers, conduits, securities investment vehicles and other such financing facilities, in so far they do not enter into the scope of definition of the instruments defined in item 1.1.5.10.1., or the amount of assets that could potentially be returned or the liquidity required in the scope of those instruments. All funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities maturing or returnable within 30 days. Credit institutions having structured financing facilities that include the issuance of short-term debt instruments, such as asset backed commercial paper, shall report the potential liquidity outflows from these structures. These include, but are not limited to, (i) the inability to refinance maturing debt, and (ii) the existence of derivatives or derivative-like components contractually written into the documentation associated with the structure that would allow the return of assets in a financing arrangement, or that require the original asset transferor to provide liquidity, effectively ending the financing arrangement (liquidity puts) within the 30-day period. Where the structured financing activities are conducted through a special purpose entity (such as a special purpose vehicle, conduit or SIV), the credit institution shall, in determining the HQLA requirements, look through to the maturity of the debt instruments issued by the entity and any embedded options in financing arrangements that may potentially trigger the return of assets or the need for liquidity, irrespective of whether or not the SPV is consolidated. 450 1.1.5.11. internal netting of client’s positions

Article 31 of Delegated Regulation (EU) 2015/61 Credit institutions shall report here on outflows as defined in Article 31 of Delegated Regulation (EU) 2015/61. Credit institutions shall also report here on committed facilities in accordance with Article 29 of Delegated Regulation (EU) 2015/61. Maximum amount that could be drawn shall be assessed in accordance with Article 31(2) of Delegated Regulation (EU) 2015/61. 470 1.1.6.1. credit facilities Credit institutions shall report here on committed credit facilities as defined in Article 31(1) of Delegated Regulation (EU) 2015/61. 480 1.1.6.1.1. to retail customers

Article 31(4) of Delegated Regulation (EU) 2015/61. Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities to customers that are neither financial customers in accordance with Article 411 (1) of Regulation (EU) 575/2013 nor retail customers in accordance with Article 411 (2) of Regulation (EU) 575/2013 and which have not been provided for the purpose of replacing funding of the client in situations where the client is unable to obtain funding requirements in the financial markets. 500 1.1.6.1.3. to credit institutions Credit institutions shall report here on committed credit facilities provided to credit institutions. 510 1.1.6.1.3.1. for funding promotional loans of retail customers

Article 31(9) of Delegated Regulation (EU) 2015/61. Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers in accordance with Article 411 (2) of Regulation (EU) 575/2013. Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item. 520 1.1.6.1.3.2. for funding promotional loans of non-financial customers

Article 31(9) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers who are neither financial customers in accordance with Article 411 (1) of Regulation (EU) 575/2013 nor retail customers in accordance with Article 411 (2) of Regulation (EU) 575/2013. Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item. 530 1.1.6.1.3.3. other Point (a) of Article 31(8) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to credit institutions other than those reported above. 540 1.1.6.1.4. to regulated financial institutions other than credit institutions Point (a) of Article 31(8) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to regulated financial institutions other than credit institutions. 550 1.1.6.1.5. within a group or an IPS if subject to preferential treatment

Article 31(7) of Delegated Regulation (EU) 2015/61 Central institutions of a scheme or network referred to in Article 16 shall report the maximum amount that could be drawn from undrawn committed credit facilities to member credit institution where such member credit institution treat the facility as a liquid asset in accordance with Article 16(2). 570 1.1.6.1.7. to other financial customers Point (c) of Article 31(8) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities other than those reported above to other financial customers. 580 1.1.6.2. liquidity facilities

Article 31(5) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amounts that could be drawn from undrawn committed liquidity facilities provided to private investment companies. 620 1.1.6.2.4. to SSPEs (securitization special purpose vehicle) Credit institutions shall report here on committed liquidity facilities provided to SSPEs. 630 1.1.6.2.4.1. to purchase assets other than securities from non-financial customers

Article 31(6) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount of undrawn committed liquidity facilities provided to an SSPE for the purpose of enabling such SSPE to purchase assets, other than securities from clients that are not financial customers, to the extent that it exceeds the amount of as sets currently purchased from clients and where the maximum amount that can be drawn is contractually limited to the amount of assets currently purchased. 640 1.1.6.2.4.2. other Point (b) of Article 31(8) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities provided to SSPEs for other than above mentioned reasons. This includes arrangements under which the institution is required to buy or swap assets from an SSPE. 650 1.1.6.2.5. to credit institutions Credit institutions shall report here on committed liquidity facilities provided to credit institutions. 660 1.1.5.2.5.1. for funding promotional loans of retail customers

Article 31(9) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers in accordance with Article 411 (2) of Regulation (EU) 575/2013. Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item. 670 1.1.6.2.5.2. for funding promotional loans of non-financial customers

Article 31(9) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers who are neither financial customers in accordance with Article 411 (1) of Regulation (EU) 575/2013 nor retail customers in accordance with Article 411 (2) of Regulation (EU) 575/2013. Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item. 680 1.1.6.2.5.3. other Point (a) of Article 31(8) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn of undrawn committed liquidity facilities provided to credit institutions not mentioned above. 690 1.1.6.2.6. within a group or an IPS if subject to preferential treatment

Article 31(7) of Delegated Regulation (EU) 2015/61 Central institutions of a scheme or network referred to in Article 16 shall report the maximum amount that could be drawn from undrawn committed liquidity facilities to member credit institution where such member credit institution treat the facility as a liquid asset in accordance with Article 16(2). 710 1.1.6.2.8. to other financial customers Point (c) of Article 31(8) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities other than those reported above to other financial customers. 720 1.1.7. Other products and services

Article 23(2) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here on those products or services referred to in Article 23(1) of Delegated Regulation (EU) 2015/61. The amount to be reported shall be the maximum amount that could be drawn from the products or services referred to in Article 23(1) of Delegated Regulation (EU) 2015/61. The applicable weight to be reported shall be the weight as determined by the competent authorities in accordance with the procedure set out in Article 23(2) of Delegated Regulation (EU) 2015/61. 731 1.1.7.1. Uncommitted funding facilities

Article 23 of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of derivatives payables, other than the contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives, referred to in Article 23(1) of Delegated Regulation (EU) 2015/61. 860 1.1.7.8. trade finance off-balance sheet related products Credit institutions shall report the amount of the products or services related to trade finance off-balance sheet related products referred to in Article 23(1) of Delegated Regulation (EU) 2015/61. 870 1.1.7.9. others

Article 28(2) and (6) and Article 31a of Delegated Regulation (EU) 2015/61 Credit institutions shall report outflows from other liabilities and due commitments as provided in Article 28(2) and (6) and Article 31a of Delegated Regulation (EU) 2015/61. This item shall also include, where necessary, additional balances required to be kept in central bank reserves where agreed between the relevant competent authority and the ECB or the central bank in accordance with point (iii) of point (b) of Article 10(1) of Delegated Regulation (EU) 2015/61. 890 1.1.8.1. liabilities resulting from operating expenses

Article 31a(2) of Delegated Regulation (EU) 2015/61. Credit institutions shall report here the difference between the contractual commitments to extend funding to non-financial customers and the amount of inflows from such customers referred to in point (a) of Article 32(3) when the former exceeds the latter. 913 1.1.8.4.1. excess of funding to retail customers Credit institutions shall report here the difference between the contractual commitments to extend funding to retail customers and the amount of inflows from such customers referred to in point (a) of Article 32(3) when the former exceeds the latter. 914 1.1.8.4.2. excess of funding to non-financial corporates Credit institutions shall report here the difference between the contractual commitments to extend funding to non-financial corporates customers and the amount of inflows from such customers referred to in point (a) of Article 32(3) when the former exceeds the latter. 915 1.1.8.4.3. excess of funding to sovereigns, MLDBs (multilateral development banks) and PSEs (public sector entities) Credit institutions shall report here the difference between the contractual commitments to extend funding to sovereigns, multilateral development banks and public sector entities and the amount of inflows from such customers referred to in point (a) Article 32(3) when the former exceeds the latter. 916 1.1.8.4.4. excess of funding to other legal entities Credit institutions shall report here the difference between the contractual commitments to extend funding to other legal entities and the amount of inflows from such customers referred to in point (a) of Article 32(3) when the former exceeds the latter. 917 1.1.8.5. Assets borrowed on an unsecured basis

Article 28(7) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here assets borrowed on an unsecured basis and maturing within the 30 days. These assets shall be assumed to run off in full, leading to a 100 % outflow. Credit institutions shall report the market value of assets borrowed on an unsecured basis and maturing within the 30 days period where the credit institution does not own the securities and they do not form part of institutions liquidity buffer. 918 1.1.8.6. Others

Article 31a(1) of Delegated Regulation (EU) 2015/61. Credit institutions shall report the amount of the outstanding balance of any liabilities that come due in the next 30 calendar days other than those referred to in Articles 24 to 31 of Delegated Regulation (EU) 2015/61. This row shall only include any other outflows from unsecured transactions. Secured transactions shall be reported under ID 1.2. on Outflows from secured lending and capital market-driven transactions and under ID 1.3. on Total outflows from collateral swaps. 920 1.2. Outflows from secured lending and capital market-driven transactions

Article 28(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013. Collateral swap transactions (which cover collateral-versus- collateral transactions) shall be reported in template C 75.01 of Annex XXIV. 930 1.2.1. Counterparty is central bank Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank. 940 1.2.1.1. level 1 excl. EHQ Covered Bonds collateral Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 1 asset excluding extremely high quality covered bonds and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid asset. 945 1.2.1.1.1. of which collateral extended meets operational requirements Transactions in item 1.2.1.1 where the collateral, but for being used as collateral for those transactions, would qualify with Article 8 of Delegated Regulation (EU) 2015/61as liquid asset. 950 1.2.1.2. level 1 EHQ Covered Bonds collateral Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 1 asset which is extremely high quality covered bonds and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61as liquid asset. 955 1.2.1.2.1. of which collateral extended meets operational requirements Transactions in item 1.2.1.2 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 960 1.2.1.3. level 2A collateral Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2A asset and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 11 of Delegated Regulation (EU) 2015/61 as liquid asset. 965 1.2.1.3.1. of which collateral extended meets operational requirements

Transactions in item 1.2.1.3 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 970 1.2.1.4. level 2B asset-backed securities (residential or automobile, CQS1) collateral Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B asset backed securities which are residential or automobile backed and of credit quality step 1 and which comply with the conditions laid down in points (i),(ii) or (iv) of point (b) of Article 13(2 )and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid asset. 975 1.2.1.4.1. of which collateral extended meets operational requirements Transactions in item 1.2.1.4 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 980 1.2.1.5. level 2B covered bonds Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B high quality covered bonds which comply with the conditions laid down in point (e) of Article 12(1)(e) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid asset. 985 1.2.1.5.1. of which collateral extended meets operational requirements Transactions in item 1.2.1.5 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 990 1.2.1.6. level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B asset backed securities which are backed by commercial loans, leases and credit facilities to undertakings or loans and credit facilities to individuals of a Member State and of credit quality step 1 and which comply with the conditions laid down points (iii) or (v) of point (g) in Article 13(2)(g) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid asset.

995 1.2.1.6.1. of which collateral extended meets operational requirements Transactions in item 1.2.1.6 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 1000 1.2.1.7. other Level 2B assets collateral Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B asset not captured above and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid asset. 1005 1.2.1.7.1. of which collateral extended meets operational requirements Transactions in item 1.2.1.7 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 1010 1.2.1.8. non-liquid assets collateral Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is non- liquid assets. 1020 1.2.2. Counterparty is non-central bank Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank. 1030 1.2.2.1. level 1 excl. EHQ Covered Bonds collateral Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61. Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 1 assets excluding extremely high quality covered bonds and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid asset. 1035 1.2.2.1.1. of which collateral extended meets operational requirements Transactions in item 1.2.2.1 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 1040 1.2.2.2. level 1 EHQ Covered Bonds collateral Point (b) of Article 28(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 1 asset which is extremely high quality covered bonds and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid asset.

1045 1.2.2.2.1. of which collateral extended meets operational requirements Transactions in item 1.2.2.2 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 1050 1.2.2.3. level 2A collateral Point (c) of Article 28(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2A collateral and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 11 of Delegated Regulation (EU) 2015/61 as liquid asset. 1055 1.2.2.3.1. of which collateral extended meets operational requirements Transactions in item 1.2.2.3 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 1060 1.2.2.4. level 2B asset-backed securities (residential or automobile, CQS1) collateral Point (d) of Article 28(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B asset backed securities which are residential or automobile backed and of credit quality step 1 and which comply with the conditions laid down in points (i), (ii) or (iv) of point (g) of Article 13(2) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid asset. 1065 1.2.2.4.1. of which collateral extended meets operational requirements Transactions in item 1.2.2.4 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 1070 1.2.2.5. level 2B covered bonds Point (e) of Article 28(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B high quality covered bonds which comply with the conditions laid down in point (e) of Article 12(1) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid asset. 1075 1.2.2.5.1. of which collateral extended meets operational requirements Transactions in item 1.2.2.5 those where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1080 1.2.2.6. level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral Point (f) of Article 28(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B asset backed securities which are backed by commercial loans, leases and credit facilities to undertakings or loans and credit facilities to individuals of a Member State and of credit quality step 1 and which comply with the conditions laid down in points (iii) or (v) of point (f) of Article 13(2) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61as liquid asset.. 1085 1.2.2.6.1. of which collateral extended meets operational requirements Transactions in item 1.2.2.6 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 1090 1.2.2.7. other Level 2B assets collateral Point (g) of Article 28(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B collateral not captured above and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61as liquid asset. 1095 1.2.2.7.1. of which collateral extended meets operational requirements Transactions in item 1.2.2.7 those where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 1100 1.2.2.8. non-liquid assets collateral Point (h) of Article 28(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is non liquid assets collateral. 1130 1.3. Total outflows from collateral swaps The sum of outflows from C75.01 of Annex XXIV Column 0070 shall be reported in Column 060. MEMORANDUM ITEMS1170 2. Liquidity outflows to be netted by interdependent inflows

Article 26 of Delegated Regulation (EU) 2015/61 Credit institutions shall report in column 010 the amount of the outstanding balance of all liabilities and off- balance sheet commitments, whose liquidity outflows have been netted by the interdependent inflows in accordance with Article 26 of Delegated Regulation (EU) 2015/61. Credit institutions shall report in column 060 the outflows that have been netted by the interdependent inflows in accordance with Article 26 of Delegated Regulation (EU) 2015/61. 3. Operational deposits maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship Credit institutions shall report here on operational deposits referred to in item 1.1.2.1. broken down by the following counterparties: Credit institutions; financial customers other than credit institutions; sovereigns, central banks, multilateral development banks and public sector entities; other customers. 1180 3.1. provided by credit institutions Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by credit institutions. 1190 3.2. provided by financial customers other than credit institutions Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by financial customers other than credit institutions. 1200 3.3. provided by sovereigns, central banks, MDBs and PSEs Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by sovereigns, central banks, multilateral development banks and public sector entities. 1210 3.4. provided by other customers Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by other customers (other than those mentioned above and customers considered for the retail deposits). 4. Intra group or IPS outflows Credit institutions shall report here all transactions reported in item 1 where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013. 1290 4.1. of which: to financial customer Credit institutions shall report total amount reported in item 1.1. to financial customers within the scope of item 4. 1300 4.2. of which: to non-financial customers Credit institutions shall report total amount reported in item 1.1. to non-financial customers within the scope of item 4. 1310 4.3. of which: secured Credit institutions shall report total amount of secured transactions reported in item 1.2. within the scope of item 4.

1320 4.4. of which: credit facilities without preferential treatment Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities reported in item 1.1.6.1. to entities within the scope of item 4 for which they have not received permission to apply a lower outflow rate in accordance with Article 29 of Delegated Regulation (EU) 2015/61. 1330 4.5. of which: liquidity facilities without preferential treatment Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities reported in item 1.1.6.2. to entities within the scope of item 4 for which they have not received permission to apply a lower outflow rate in accordance with Article 29 of Delegated Regulation (EU) 2015/61. 1340 4.6. of which: operational deposits Credit institutions shall report the amount of deposits referred to in item 1.1.2. to entities within the scope of item 4. 1345 4.7. of which: excess operational deposits Credit institutions shall report the amount of funds from operational deposits held in excess referred to in item 1.1.3. to entities within the scope of item 4. 1350 4.8. of which: non-operational deposits Credit institutions shall report the amount of the outstanding balance of the deposits referred to in item 1.1.4. from entities within the scope of item 4. 1360 4.9. of which: liabilities in the form of debt securities if not treated as retail deposits Credit institutions shall report the amount of the outstanding balance of debt securities reported in item 1.1.8.2. which are held by entities within the scope of item 4. 1370 5. FX outflows This item shall only be reported in case of reporting in currencies subject to separate reporting. For the cases of reporting in a separate currency, in accordance with Article 415(2) of Regulation (EU) No 575/2013, only, credit institutions shall report the portion of outflows from derivatives (reported in item 1.1.5.5.) which relate to FX principal flows in the respective significant currency from cross-currency swaps, FX spot and forward transactions maturing within the 30 day period. Netting by counterparty may only be applied to flows in that currency, for instance Counterparty A: EUR+10 and Counterparty A: EUR-20 shall be reported as EUR10 outflow. No netting shall be made across counterparties, for instance Counterparty A: EUR-10, Counterparty B: EUR+40 shall be reported as EUR10 outflow on C73.00 (and EUR40 inflow on C74.00). 6. Secured funding waived from Article 17(2) and (3) Credit institutions shall report here secured funding transactions with a residual maturity up to 30 days where the counterparty is a central bank and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4). 1400 6.1. of which: secured by L1 excl. EHQCB Credit institutions shall report here secured funding transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral extended is Level 1 collateral excluding extremely high quality covered bonds and but for being used as collateral would meet the requirements laid down in Articles 7 and 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

1410 6.2. of which: secured by L1 EHQCB Credit institutions shall report here secured funding transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral extended is Level 1 collateral which is extremely high quality covered bonds and but for being used as collateral would meet the requirements laid down in Articles 7 and 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4). 1420 6.3. of which: secured by L2A Credit institutions shall report here secured funding transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral extended is Level 2A collateral and but for being used as collateral would meet the requirements laid down in Articles 7 and 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4). 1430 6.4. of which: secured by L2B Credit institutions shall report here secured funding transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral extended is Level 2B collateral and but for being used as collateral would meet the requirements laid down in Articles 7 and 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4). 1440 6.5. of which: secured by non-liquid assets Credit institutions shall report here secured funding transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral extended is a non-liquid collateral and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4). REPORTING ON LIQUIDITY (PART 3: INFLOWS)

1. Inflows 1.1. General remarks
2. This is a summary template which contains information about liquidity inflows measured over the next 30 days, for the purpose of reporting the liquidity coverage requirement as specified in Delegated Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are coloured in grey.
3. Credit institutions shall submit the template in the corresponding currencies in accordance with Article 415(2) of Regulation (EU) 575/2013 .
4. In accordance with Article 32 of Delegated Regulation (EU) 2015/61, liquidity inflows shall: i. comprise only contractual inflows from exposures that are not past due and for which the credit institution has no reason to expect non-performance within the 30-day time horizon. ii. be calculated by multiplying the outstanding balances of various categories of contractual receivables by the rates specified in Delegated Regulation (EU) 2015/61.
5. Inflows within a group or an institutional protection scheme (except for inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a preferential inflow rate) shall be assigned to the relevant categories. Unweighted amounts shall additionally be reported as memorandum items under section 3 of the template (rows 460-510).

1. In accordance with Article 32(6) of Delegated Regulation (EU) 2015/61, credit institutions shall not report inflows from any of the liquid assets reported in accordance with Title II of that Regulation other than payments due on the assets that are not reflected in the market value of the asset.
2. Inflows which are to be received in third countries where there are transfer restrictions or which are denominated in non-convertible currencies shall be reported in the relevant rows of sections 1.1., 1.2. or 1.3. The inflows shall be reported in full, regardless of the amount of outflows in the third country or currency.
3. Monies due from securities issued by the credit institution itself or by a SSPE with which the credit institution has close links shall be taken into account on a net basis with an inflow rate applied on the basis of the inflow rate applicable to the underlying assets pursuant to point (h) of Article 32(3) of Delegated Regulation (EU) 2015/61.
4. In accordance with Article 32(7) of Delegated Regulation (EU) 2015/61, credit institutions shall not report inflows from any new obligations entered into. This refers to contractual commitments which have not been contractually established at the reporting date, but will or may be entered into within the 30 day horizon.
5. In the case of a separate reporting in accordance with Article 415(2) of Regulation (EU) 575/2013, the reported balances shall comprise only those which are denominated in the relevant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the relevant currency template. For instance, in case of FX derivatives, credit institutions may only net inflows and outflows in accordance with Article 21 of Delegated Regulation (EU) 2015/61 where they are denominated in the same currency.
6. The Column structure of this template is built to accommodate the different caps on inflows applicable pursuant to Article 33 of Delegated Regulation (EU) 2015/61. In this regard, the template is based on three sets of Columns, one set for each cap treatment (75 % cap, 90 % cap, and exempted from the cap). Credit institutions reporting on a consolidated basis may use more than one such set of Columns if different entities under the same consolidation qualify for different cap treatments.
7. In accordance with point (c) of Article 2(3) of Delegated Regulation (EU) 2015/61 regarding consolidation, liquidity inflows in a subsidiary undertaking in a third country which are subject under the national law of that third country to lower rates than those specified in Title III of the regulation shall be subject to consolidation in accordance with the lower rates specified in the national law of the third country.
8. Delegated Regulation (EU) 2015/61 only refers to rates and haircuts, and the word weight in the template just refers to these in the appropriate context. The word weighted in this Annex shall be understood as a general term for indicating the amount calculated after the application of the respective haircuts, rates and any other relevant additional instructions (e.g. in the case of secured lending and funding).

1. Some memorandum items are included in the associated templates to these instructions. Among others, these items provide necessary information to allow the competent authority to complete an adequate assessment of credit institutions’ compliance with the liquidity requirements. 1.2. Specific remarks regarding secured lending and capital market-driven transactions
2. The template categories collateralizsed flows by the quality of the underlying asset or HQLA eligibility. A separate template is provided for collateral swaps — C 75.01 of ANNEX XXIV. Collateral swaps, which are collateral-versus-collateral transactions shall not be reported on the inflow template (C 74.00 of ANNEX XXIV) which only covers cash-versus-collateral transactions.
3. Where secured lending and capital market-driven transactions are secured by shares or units in CIUs, these transactions shall be reported as if they would be collateralised by the assets underlying the CIU. For instance, in case a secured lending transaction is collateralised by shares or units in a CIU that exclusively invests into Level 2A assets, the secured lending transaction shall be reported as if directly collateralised by Level 2A collateral. The potentially higher inflow rate for secured lending transactions backed by shares or units in CIUs shall be reflected in the relevant inflow rate to be reported.
4. In the case of a separate reporting in accordance with Article 415(2) of Regulation (EU) 575/2013 , the reported balances shall comprise only those which are denominated in the relevant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the relevant currency template. Hence a reverse repo transaction can result in a negative inflow. Reverse repo transactions reported in the same item shall be summed (positives and negatives). If the total is positive then this shall be reported on the inflow template. If the total is negative then this shall be reported on the outflow template. This approach shall be followed vice-versa for repos.
5. For the calculation of inflows, secured lending and capital market-driven transactions shall be reported irrespective of whether the underlying collateral received meets the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61. Furthermore, in order to allow for the calculation of the adjusted stock of liquid assets in accordance with Article 17(2) of Delegated Regulation (EU) 2015/61, credit institutions shall also report separately those transactions where the underlying collateral received additionally meets the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61.
6. Where a credit institution may only recognise part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognisable part shall be reported within the rows on Level 1, Level 2A and Level 2B assets in accordance with point (ii) of point (c) of Article 12(1) and point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61. Where the particular asset is used as collateral but for an amount which is surplus to the portion which can be recognised as liquid assets, the surplus amount shall be reported in the non-liquid section. Level 2A assets shall be reported in the corresponding Level 2A asset row, even if the Alternative Liquidity Approach under Article 19 of Delegated Regulation (EU) 2015/61 is being followed.

1.3. Specific remarks regarding settlement and forward starting transactions 19. Credit institutions shall report inflows stemming from forward starting repos that start within the 30 day horizon and mature beyond the 30 day horizon. The inflow to be received shall be reported in {C 74.00; r260} (other inflows), net of the market value of the asset to be delivered to the counterparty after the application of the related LCR haircut. If the asset is not a liquid asset, the inflow to be received shall be reported in full. The asset to be pledged as collateral shall be reported in C 72.00 if the institution holds the asset in its book at the reference date and it fulfils the related conditions. 20. Credit institutions shall report inflows stemming from forward starting repos, reverse repos and collateral swaps that start within the 30 day horizon and mature beyond the 30 day horizon where the initial leg produces an inflow. In the case of a repo, the inflow to be received shall be reported in {C 74.00; r260} (other inflows), net of the market value of the asset to be delivered to the counterparty after the application of the related LCR haircut. If the amount to be received is lower than the market value of the asset (after LCR haircut) to be lent as collateral, the difference shall be reported as an outflow in C.73.00. If the asset is not a liquid asset, the inflow to be received shall be reported in full. The asset to be pledged as collateral shall be reported in C 72.00 where the institution holds the asset in its book at the reference date and it fulfils the related conditions. In the case of a reverse repo, where the market value of the asset to be received as collateral after the application of the related LCR haircut (if the asset qualifies as liquid asset) is larger than the cash amount to be lent, the difference is to be reported as an inflow in {C 74.00; r260} (other inflows). For collateral swaps, where the net effect of the initial swap of assets (taking into account LCR haircuts) gives rise to an inflow this inflow shall be reported {C 74.00; r260} (other inflows). 21. Forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR’s 30 day horizon do not have any impact on a bank’s LCR and can be ignored. 1.4. Decision tree on LCR inflows in accordance with Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 22. The decision tree is without prejudice to the reporting of the memorandum items. The decision tree is part of the instructions to specify prioritisation assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient — credit institutions shall comply with the rest of the instructions at all times. 23. For the sake of simplicity, the decision tree ignores totals and subtotals; this however does not necessarily imply that they shall not also be reported. 1.4.1. Decision tree on rows in template C 74.00 of ANNEX XXIV

Collateral swap transactions additionally need to be reported in template C 75.01 of ANNEX XXIV. Inflow meeting the operational criteria as specified in Article 32, such as: Exposure is not past due (Article 32(1)) Credit institution has no reason to expect non-performance within 30 calendar days (Article 32(1)) Credit institutions shall not take into account inflows from any new obligation entered into (Article 32(7)) No inflows shall be reported in case inflows are already netted against outflows (Article 26) Credit institutions shall not take into account any inflows from any of the liquid assets referred to in Title II other than payments due on the assets that are not reflected in the market value of the asset (Article 32(6)) NoNo ReportingYes# 22Forward starting transactionYes# 3No# 53Forward transaction entered into subsequent to the reporting date;YesNo ReportingNo# 44Forward transaction that start within the 30 day horizon and mature after the 30-day horizon where the initial leg produces a net inflowYesRow 260, ID 1.1.11.NoNo Reporting5Inflows within a group or an institutional protection schemeYes# 6No# 76Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a higher inflow rate (Article 34)YesRow 250, ID 1.1.10.No# 77Inflows from secured lending and capital markets-driven transactions with the exception of derivatives (Article 32(3)(b)-(c);(e)-(f))Yes# 23No# 8 8Monies due from securities maturing within 30 calendar days (Article 32(2)(c))YesRow 190, ID 1.1.5.No# 99Monies due from trade financing transactions with a residual maturity of no more than 30 days (Article 32(2)(b))YesRow 180, ID 1.1.4.No# 1010Loans with an undefined contractual end date (Article 32(3)(i))Yes# 11No# 1211Interest and minimum payments from loans with an undefined contractual end date that are contractually due and that are subject to an actual cash inflow within the next 30 daysYes# 12NoRow 200, ID 1.1.6.12Monies due from positions in major index equity instruments provided that there is no double counting with liquid assets (Article 32(2)(d))YesRow 210, ID 1.1.7.No# 1313Inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets (Article 32(4))YesRow 230, ID 1.1.8.No# 1414Derivatives cash inflows net by counterparty and collateral (Article 32(5))YesRow 240, ID 1.1.9.No# 1515Inflows related to outflows in accordance with promotional loan commitments referred to in Article 31(9) (Article 32(3)(a))YesRow 170, ID 1.1.3.No# 1616Monies due from central banks and financial customers with a residual maturity of no more than 30 days (Article 32(2)(a))Yes# 20No# 1717Monies due from non-financial customers (except for central banks) not corresponding to principal repayment (Article 32(2))YesRow 040, ID 1.1.1.1.No# 1818Other monies due from non-financial customers (except for central banks) (Article 32(3)(a))Yes# 19NoRow 260, ID 1.1.11.19Other monies due from non-financial customers (except for central banks) (Article 32(3)(a))# 19.1Retail customersYesRow 060, ID 1.1.1.2.1.No# 19.2# 19.2Non-financial corporatesYesRow 070, ID 1.1.1.2.2.No# 19.3# 19.3Sovereigns, MDBs and PSEsYesRow 080, ID 1.1.1.2.3.NoRow 090, ID 1.1.1.2.4.20Inflows from financial customers being classified as operational deposits (Article 32(3)(d))Yes# 21No# 22

21Credit institution is able to establish a corresponding symmetrical inflow rate (Article 32(3)(d))YesRow 120, ID 1.1.2.1.1.NoRow 130, ID 1.1.2.1.2.22Monies due from central banks (Article 32(2)(a))YesRow 150, ID 1.1.2.2.1.NoRow 160, ID 1.1.2.2.2.23Collateral Swap Transaction (Article 32(3)(e))YesRow 410, ID 1.3No# 2424Transaction is conducted with a central bankYes#25No# 3125Collateral is generally eligible as a liquid asset (irrespective or not whether it is re-used in another transaction and irrespective of whether the asset meets the operational requirement under Article 8)Yes# 26No# 3026Collateral is used to cover short positionsYesRow 297, ID 1.2.1.2No# 2727Collateral received meets the operational requirements under Article 8Yes# 28No# 2928Secured funding transaction secured by (Article 32(3)(b)):# 28.1Level 1 collateral excluding extremely high quality covered bondsYes Row 269, ID 1.2.1.1.1 + Row 271, ID 1.2.1.1.1.1 No# 28.2# 28.2Level 1 collateral which is extremely high quality covered bondsYes Row 273, ID 1.2.1.1.2 + Row 275, ID 1.2.1.1.2.1 No# 28.3# 28.3Level 2A collateralYes Row 277, ID 1.2.1.1.3 + Row 279, ID 1.2.1.1.3.1 No# 28.4# 28.4Level 2B asset backed securities (residential or auto) collateralYes Row 281, ID 1.2.1.1.4 + Row 283, ID 1.2.1.1.4.1 No# 28.5# 28.5Level 2B high quality covered bonds collateralYes Row 285, ID 1.2.1.1.5 + Row 287, ID 1.2.1.1.5.1 No# 28.6# 28.6Level 2B asset backed securities (commercial or individuals) collateralYes Row 289, ID 1.2.1.1.6 + Row 291, ID 1.2.1.1.6.1 No Row 293, ID 1.2.1.1.7 + Row 295, ID 1.2.1.1.7.1 29Secured funding transaction secured by (Article 32(3)(b)):# 29.1Level 1 collateral excluding extremely high quality covered bondsYesRow 269, ID 1.2.1.1.1No# 29.2# 29.2Level 1 collateral which is extremely high quality covered bondsYesRow 273, ID 1.2.1.1.2No# 29.3# 29.3Level 2A collateralYesRow 277, ID 1.2.1.1.3No# 29.4# 29.4Level 2B asset backed securities (residential or auto) collateralYesRow 281, ID 1.2.1.1.4No# 29.5# 29.5Level 2B high quality covered bonds collateralYesRow 285, ID 1.2.1.1.5No# 29.6# 29.6Level 2B asset backed securities (commercial or individuals) collateralYesRow 289, ID 1.2.1.1.6NoRow 293, ID 1.2.1.1.730Collateral that does not qualify as a liquid asset (Article 32(3)(b)) and is non-liquid equityYesRow 301, ID 1.2.1.3.1NoRow 303, ID 1.2.1.3.231Collateral is generally eligible as a liquid asset (irrespective or not whether it is re-used in another transaction and irrespective of whether the asset meets the operational requirement under Article 8)Yes# 32No# 3632Collateral is used to cover short positionsYesRow 337, ID 1.2.2.2No# 3333Collateral received meets the operational requirements under Article 8Yes# 34No# 3534Secured funding transaction secured by (Article 32(3)(b))# 34.1Level 1 collateral excluding extremely high quality covered bondsYes Row 309, ID 1.2.2.1.1 + Row 311, ID 1.2.2.1.1.1 No# 34.2# 34.2Level 1 collateral which is extremely high quality covered bondsYes

Row 313, ID 1.2.2.1.2 + Row 315, ID 1.2.2.1.2.1 No# 34.3# 34.3Level 2A collateralYes Row 317, ID 1.2.2.1.3 + Row 319, ID 1.2.2.1.3.1 No# 34.4# 34.4Level 2B asset backed securities (residential or auto) collateralYes Row 321, ID 1.2.2.1.4 + Row 323, ID 1.2.2.1.4.1 No# 34.5# 34.5Level 2B high quality covered bonds collateralYes Row 325, ID 1.2.2.1.5 + Row 327, ID 1.2.2.1.5.1 No# 34.6# 34.6Level 2B asset backed securities (commercial or individuals) collateralYes Row 329, ID 1.2.2.1.6 + Row 331, ID 1.2.2.1.6.1 No Row 333, ID 1.2.2.1.7 + Row 335, ID 1.2.2.1.7.1 35Secured funding transaction secured by (Article 32(3)(b))# 35.1Level 1 collateral excluding extremely high quality covered bondsYesRow 309, ID 1.2.2.1.1No# 35.2# 35.2Level 1 collateral which is extremely high quality covered bondsYesRow 313, ID 1.2.2.1.2No# 35.3# 35.3Level 2A collateralYesRow 317, ID 1.2.2.1.3No# 35.4# 35.4Level 2B asset backed securities (residential or auto) collateralYesRow 321, ID 1.2.2.1.4No# 35.5# 35.5Level 2B high quality covered bonds collateralYesRow 325, ID 1.2.2.1.5No# 35.6# 35.6Level 2B asset backed securities (commercial or individuals) collateralYesRow 329, ID 1.2.2.1.6NoRow 333, ID 1.2.2.1.736Collateral that does not qualify as a liquid asset (Article 32(3)(b))# 36.1margin loans: collateral is non-liquidYesRow 341, ID 1.2.2.3.1.No# 36.2# 36.2collateral is non-liquid equityYesRow 343, ID 1.2.2.3.2.NoRow 345, ID 1.2.2.3.3. 1.4.2. Decision tree on columns in template C 74.00 of ANNEX XXIV 6Inflow subject to the 75 % cap on inflows (Article 33(1))Yes# 7No# 87Inflow subject to the 75 % cap on inflows (Article 33(1))#7.1Monies due/maximum amount that can be drawnColumn 010# 7.2Applicable WeightColumn 080# 7.3InflowColumn 1408Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5))Yes# 9No# 109Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5))# 9.1Monies due/maximum amount that can be drawnColumn 020# 9.2Applicable WeightColumn 090# 9.3InflowColumn 15010Inflows that are fully exempted from the cap on inflows (Article 33(2)-(3))# 10.1Monies due/maximum amount that can be drawnColumn 030# 10.2Applicable WeightColumn 100# 10.3InflowColumn 16011Secured funding transaction where the collateral is generally eligible as a liquid asset (irrespective or not whether it is re-used in another transaction and irrespective of whether the asset meets the operational requirement under Article 8)Yes# 12No# 312Partial exemption from the cap on inflows (Article 33(2)-(5))Yes# 13No# 1513Partial exemption from the cap on inflows (Article 33(2)-(5))# 13.1Part of inflows exempted from the cap on inflows# 14# 13.2Part of inflows not exempted from the cap on inflows# 1614Part of the inflows exempted from the 75 % cap on inflows subject to 90 % cap on inflows (Article 33(4) and Article 33(5))Yes# 18No# 1915Inflow subject to the 75 % cap on inflows (Article 33(1))Yes# 16No# 1716Inflow subject to the 75 % cap on inflows (Article 33(1))# 16.1Monies dueColumn 010# 16.2Market value of collateral receivedColumn 040# 16.3Applicable WeightColumn 080# 16.4

Value of collateral received in accordance with Article 9 [only if the collateral received meets the operational requirements] Column 110# 16.5InflowColumn 140 17Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5))Yes# 18No# 1918Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5))# 18.1Monies dueColumn 020# 18.2Market value of collateral receivedColumn 050# 18.3Applicable WeightColumn 090# 18.4 Value of collateral received in accordance with Article 9 [only if the collateral received meets the operational requirements] Column 120# 18.5InflowColumn 15019Inflows that are fully exempted from the cap on inflows (Article 33(2)-(3))# 19.1Monies dueColumn 030# 19.2Market value of collateral receivedColumn 060# 19.3Applicable WeightColumn 100# 19.4 Value of collateral received in accordance with Article 9 [only if the collateral received meets the operational requirements] Column 130# 19.5InflowColumn 160 1.5. Inflows sub template 1.5.1. Instructions concerning specific columns ColumnLegal references and instructions010 Amount — Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}-{297}, {301}-{303}, {309-337}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 010 the total amount of assets/monies due/maximum amounts that can be drawn that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61 and following the relevant instructions included here. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010. 020 Amount — Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}-{297}, {301}-{303}, {309-337}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 020 the total amount of assets/monies due/maximum amounts that can be drawn that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61 and following the relevant instructions included here. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010. 030 Amount – Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}-{297}, {301}-{303}, {309-337}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 030 the total amount of assets/monies due/maximum amounts that can be drawn that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61 and following the relevant instructions included here. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010. 040 Market value of collateral received — Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {269}-{295}, {309-335} and for row {490}, credit institutions shall report in Column 040 the market value of collateral received in secured lending and capital market-driven transactions that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040. 050 Market value of collateral received — Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {269}-{295}, {309-335} and for row {490}, credit institutions shall report in Column 050 the market value of collateral received in secured lending and capital market-driven transactions that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040. 060 Market value of collateral received — Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {269}-{295}, {309-335} and for row {490}, credit institutions shall report in Column 060 the market value of collateral received in secured lending and capital market-driven transactions that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040. 070 Standard Weight

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 The Applicable Weight is the one specified in Articles 32 to 34 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,00 for an applicable weight of 100 per cent, or 0,50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470} –{510}, credit institutions shall report in Column 080 the average weight applied to assets/monies due/maximum amounts that can be drawn that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61. 090 Applicable Weight- Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 The Applicable Weight are those specified in Articles 32 to 34 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,00 for an applicable weight of 100 per cent, or 0,50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470} –{510}, credit institutions shall report in Column 090 the average weight applied to assets/monies due/maximum amounts that can be drawn that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61. 100 Applicable Weight — Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 The Applicable Weight are those specified in Articles 32 to 34 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,00 for an applicable weight of 100 per cent, or 0,50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470} –{510}, credit institutions shall report in Column 100 the average weight applied to assets/monies due/maximum amounts that can be drawn that are exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61. 110 Value of collateral received in accordance with Article 9 — Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {271}, {275}, {279}, {283}, {287}, {291}, {295}, {311}, {315}, {319}, {323}, {327}, {331} and {335}, credit institutions shall report in Column 110 the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110. 120 Value of collateral received in accordance with Article 9 — Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {271}, {275}, {279}, {283}, {287}, {291}, {295}, {311}, {315}, {319}, {323}, {327}, {331} and {335}, credit institutions shall report in Column 120 the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110. 130 Value of collateral received in accordance with Article 9 — Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {271}, {275}, {279}, {283}, {287}, {291}, {295}, {311}, {315}, {319}, {323}, {327}, {331} and {335}, credit institutions shall report in Column 130 the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110. 140 Inflow — Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 010 with the relevant weight from Column 080. For row {170}, credit institutions shall report in Column 140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity. 150 Inflow — Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 020 with the relevant weight from Column 090.For row {170}, credit institutions shall report in Column 150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity. 160 Inflow — Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 160 total inflows that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 030 with the relevant weight from Column 100. For row {170}, credit institutions shall report in Column 160 total inflows that fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity. 1.5.2. Instructions concerning specific rows RowLegal references and instructions010

1. TOTAL INFLOWS

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 010 of C 74.00 of ANNEX XXIV for each Column 010, 020 and 030 the total amount of assets/monies due/maximum amount that can be drawn as the sum of assets/monies due/maximum amount than can be drawn from unsecured transactions/deposits and secured lending and capital market-driven transactions; for Column 140 total inflows as the sum of inflows from unsecured transactions/deposits, secured lending and capital market-driven transactions and collateral swap transactions less the difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies; and for Column 150 and 160 total inflows as the sum of inflows from unsecured transactions/deposits, secured lending and capital market-driven transactions and collateral swap transactions less the difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies and less the excess of inflows from a related specialised credit institution referred to in point (e) of Article 2(3) and Article 33(6) of Delegated Regulation (EU) 2015/61. 020 1.1. Inflows from unsecured transactions/deposits Articles 32, 33 and 34 of Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 020 of C 74.00 of ANNEX XXIV for each Column 010, 020 and 030 the total amount of assets/monies due/maximum amount that can be drawn from unsecured transactions/deposits; and for each Column 140, 150 and 160 total inflows from unsecured transactions/deposits. 030 1.1.1. monies due from non-financial customers (except for central banks) Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 030 of C 74.00 of ANNEX XXIV for each Column 010, 020 and 030 the total amount of monies due from non-financial customers (except for central banks) (monies due from non-financial customers not corresponding to principal repayments as well as any other monies due from non-financial customers) and for each Column 140, 150 and 160 total inflows from non-financial customers (except for central banks) (inflows from non-financial customers not corresponding to principal repayments as well as any other inflows from non-financial customers). Non-financial customers shall include, but not be limited to, natural persons, SMEs, corporates, sovereigns, multilateral development banks and public sector entities in accordance with Article 31a of Delegated Regulation (EU) 2015/61. Monies due from secured lending and capital market driven transactions with a non-financial customer that are collateralised by liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61, where these transactions are specified in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013, shall be reported in section 1.2. and shall not be reported in section 1.1.1. Monies due from such transactions that are collateralised by transferable securities that do not qualify as liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61 shall be reported in section 1.2. and shall not be reported in section 1.1.1. Monies due from such transactions with non-financial customers that are collateralised by non-transferable assets that do not qualify as liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61 shall be reported in the relevant row of section 1.1.1.

Monies due from central banks shall be reported in section 1.1.2. and shall not be reported here. Monies due from trade finance transactions with a residual maturity of no more than 30 days shall be reported in section 1.1.4. and shall not be reported here. Monies due from securities maturing within 30 calendar days shall be reported in section 1.1.5. and shall not be reported here. 040 1.1.1.1. monies due from non-financial customers (except for central banks) not corresponding to principal repayment Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 Monies due from non-financial customers (except for central banks) with a residual maturity of no more than 30 cays not corresponding to principal repayment. These inflows include interest and fees due from non-financial customers (except for central banks).Monies due from central banks not corresponding to principal repayment shall be reported in section 1.1.2. and shall not be reported here. 050 1.1.1.2. other monies due from non-financial customers (except for central banks) Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 050 of C 74.00 of ANNEX XXIV for each Column 010, 020 and 030 the total amount of other monies due from non-financial customers (except for central banks) as the sum of monies due from non-financial customers by counterparty and for each Column 140, 150 and 160 total other inflows from non-financial customers (except for central banks) as the sum of other inflows from non-financial customers by counterparty. Monies due from non-financial customers (except for central banks) not corresponding to principal repayment shall be reported in section 1.1.1.1. and shall not be reported here. Other monies due from central banks shall be reported in section 1.1.2. and shall not be reported here. Inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61 shall be reported in section 1.1.3. and shall not be reported here. 060 1.1.1.2.1. monies due from retail customers Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 Monies due from retail customers with a residual maturity of no more than 30 days. 070 1.1.1.2.2. monies due from non-financial corporates Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 Monies due from non-financial corporates with a residual maturity of no more than 30 days. 080 1.1.1.2.3. monies due from sovereigns, multilateral development banks and public sector entities Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 Monies due from sovereigns, multilateral development banks and public sector entities with a residual maturity of no more than 30 days. 090 1.1.1.2.4. monies due from other legal entities Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 Monies due from other legal entities not included anywhere above with a residual maturity of no more than 30 days.

100 1.1.2. monies due from central banks and financial customers Point (a) of Article 32(2) and point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 100 of C 74.00 of ANNEX XXIV for each Column 010, 020 and 030 the total amount of monies due from central banks and financial customers (operational as well as non-operational deposits); and for each Column 140, 150 and 160 total inflows from central banks and financial customers (operational as well as non-operational deposits). Credit institutions shall report here monies due with a residual maturity of no more than 30 days from central banks and financial customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon. Monies due from central banks and financial customers not corresponding to principal repayment shall be reported in the relevant section. Deposits at the central institution referred to in Article 27(3) of Delegated Regulation (EU) 2015/61 shall not be reported as an inflow. Monies due from trade finance transactions with a residual maturity of no more than 30 days shall be reported in section 1.1.4. and shall not be reported here. Monies due from securities maturing within 30 calendar days shall be reported in section 1.1.5. and shall not be reported here. 110 1.1.2.1. monies due from financial customers being classified as operational deposits Point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 110 of C 74.00 of ANNEX XXIV for each Column 010, 020 and 030 the total amount of monies due from financial customers being classified as operational deposits (disregarding whether the credit institution is able to establish a corresponding symmetrical inflow rate or not); and for each Column 140, 150 and 160 total inflows from financial customers being classified as operational deposits (disregarding whether the credit institution is able to establish a corresponding symmetrical inflow rate or not). Credit institutions shall report here monies due from financial customers in order, for the credit institution, to obtain clearing, custody or cash management services in accordance with Article 27 of Delegated Regulation (EU) 2015/61. 120 1.1.2.1.1. monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate Point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61 Monies due from financial customers with a residual maturity of no more than 30 days in order, for the credit institution, to obtain clearing, custody or cash management services in accordance with Article 27 of Delegated Regulation (EU) 2015/61 where the credit institution is able to establish a corresponding symmetrical inflow rate. 130 1.1.2.1.2. monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate

Point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61 Monies due from financial customers with a residual maturity of no more than 30 days in order, for the credit institution, to obtain clearing, custody or cash management services in accordance with Article 27 of Delegated Regulation (EU) 2015/61 where the credit institution is not able to establish a corresponding symmetrical inflow rate. For these items, a 5 % inflow rate shall be applied. 140 1.1.2.2. monies due from central banks and financial customers not being classified as operational deposits Point (a) of Article 32(2) of Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 140 of C 74.00 of ANNEX XXIV for each Column 010, 020 and 030 the total amount of monies due from central banks and financial customers not being classified as operational deposits and for each Column 140, 150 and 160 total inflows from central banks and financial customers not being classified as operational deposits. Credit institutions shall report here monies due from central banks and financial customers which do not qualify for the treatment as operational deposits as specified in point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61. 150 1.1.2.2.1. monies due from central banks Point (a) of Article 32(2) of Delegated Regulation (EU) 2015/61 Monies due from central banks with a residual maturity of no more than 30 days in accordance with point (a) of Article 32(2) of Delegated Regulation (EU) 2015/61. 160 1.1.2.2.2. monies due from financial customers Point (a) of Article 32(2) of Delegated Regulation (EU) 2015/61 Monies due from financial customers with a residual maturity of no more than 30 days which do not qualify for the treatment as operational deposits as specified in point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61. Inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61 shall be reported in section 1.1.3. and shall not be reported here. 170 1.1.3. inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61 Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 Inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61. 180 1.1.4. monies due from trade financing transactions Point (b) of Article 32(2) of Delegated Regulation (EU) 2015/61 Monies due from trade financing transactions with a residual maturity of no more than 30 days in accordance with point (b) of Article 32(2) of Delegated Regulation (EU) 2015/61. 190 1.1.5. monies due from securities maturing within 30 days Point (c) of Article 32(2) of Delegated Regulation (EU) 2015/61 Monies due from securities maturing within 30 calendar days in accordance with point (c) of Article 32(2) of Delegated Regulation (EU) 2015/61.

201 1.1.6. loans with an undefined contractual end date Point (i) of Article 32(3) of Delegated Regulation (EU) 2015/61 Loans with an undefined contractual end date in accordance with point (i) of Article 32(3) of Delegated Regulation (EU) 2015/61. The credit institution shall only consider those loans where the contract allows the credit institution to withdraw or to request payment within 30 calendar days. Interest and minimum payments to be debited against the client account within 30 calendar days shall be included in the amount reported. Interest and minimum payments from loans with an undefined contractual end date that are contractually due and give rise to an actual cash inflow within the next 30 calendar days shall be considered as monies due and shall be reported in the relevant row, following the treatment prescribed by Article 32 for monies due. Credit institutions shall not report other interest that accrues, but that is neither debited against the client account nor giving rise to an actual cash inflow over the next 30 calendar days. 210 1.1.7. monies due from positions in major index equity instruments provided that there is no double counting with liquid assets Point (d) of Article 32(2) of Delegated Regulation (EU) 2015/61 Monies due from positions in major index equity instruments provided that there is no double counting with liquid assets in accordance with point (d) of Article 32(2) of Delegated Regulation (EU) 2015/61. Position shall include monies contractually due within 30 calendar days, such as cash dividends from those major indexes and cash due from those equity instruments sold but not yet settled, if they are not recognised as liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61. 230 1.1.8. inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets

Article 32(5) in conjunction with Article 21 of Delegated Regulation (EU) 2015/61 The net amount of receivables expected over 30 calendar days period from the contracts listed in Annex II of Regulation (EU) No 575/2013 and from credit derivatives. Credit institutions shall calculate inflows expected over 30 calendar days on a net basis by counterparty subject to the existence of bilateral netting agreements in accordance with Article 295 of Regulation (EU) No 575/2013. Net basis shall mean also net of collateral received provided that it qualifies as a liquid asset under Title II of Delegated Regulation (EU) 2015/61. Cash outflows and inflows arising from foreign currency derivative or credit derivative transactions that involve a full exchange of principal amounts on a simultaneous basis (or within the same day) shall be calculated on a net basis, even where those transactions are not covered by a bilateral netting agreement. In the case of a separate reporting in accordance with Article 415(2) of Regulation (EU) 575/2013, derivative or credit derivative transactions shall be separated into each respective currency. Netting by counterparty may only be applied to flows in that currency. 250 1.1.10. inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate

Article 32(2) of Delegated Regulation (EU) 2015/61 All other inflows in accordance with Article 32(2) of Delegated Regulation (EU) 2015/61 not reported anywhere else in the template. 263 1.2. Inflows from secured lending and capital market-driven transactions Points (b), (c) and (f) of Article 32(3)of Delegated Regulation (EU) 2015/61 refer to inflows resulting from secured lending and capital market-driven transactions with a residual maturity of no more than 30 days. Credit institutions shall report in row 263 of C 74.00 of ANNEX XXIV for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions; and for each Column 140, 150 and 160 total inflows from secured lending and capital market driven transactions. Collateral swap transactions maturing within 30 calendar days shall be reported in template C 75.01 of Annex XXIV and shall not be reported here. 265 1.2.1. counterparty is central bank Credit institutions shall report here inflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 with a residual maturity of no more than 30 days where the counterparty is a central bank. Credit institutions shall report in row 265 of C 74.00 of ANNEX XXIV for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions where the counterparty is a central bank; and for each Column 140, 150 and 160 total inflows from secured lending and capital market driven transactions where the counterparty is a central bank. 267 1.2.1.1. collateral that qualifies as a liquid asset Credit institutions shall report in row 267 of C 74.00 of ANNEX XXIV for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by liquid assets; and for each Column 140, 150 and 160 total inflows from secured lending and capital market driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by liquid assets. Credit institutions shall report secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by liquid assets, whether or not they are re-used in another transaction and irrespective of whether the liquid assets received meet the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 269 1.2.1.1.1. Level 1 collateral excluding extremely high quality covered bonds Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 1 asset referred to in Article 10 with the exception of extremely high quality covered bonds referred to in point (f) of Article 10(1).

271 1.2.1.1.1.1. of which collateral received meets operational requirements Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Of the transactions in item 1.2.1.1.1, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 273 1.2.1.1.2. Level 1 collateral which is extremely high quality covered bonds Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid assets of the category referred to in point (f) of Article 10(1). 275 1.2.1.1.2.1. of which collateral received meets operational requirements Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Of the transactions in item 1.2.1.1.2, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 277 1.2.1.1.3. Level 2A collateral Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 11 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2A asset referred to in Article 11. 279 1.2.1.1.3.1. of which collateral received meets operational requirements Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Of the transactions in item 1.2.1.1.3, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 281 1.2.1.1.4. Level 2B asset backed securities (residential or auto) collateral Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (i), (ii) or (iv) of point (g) of Article 13(2). 283 1.2.1.1.4.1. of which collateral received meets operational requirements Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Of the transactions in item 1.2.1.1.4, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 285

1.2.1.1.5. Level 2B high quality covered bonds collateral Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid assets of the category of level 2B asset referred to in point (e) of Article 12(1). 287 1.2.1.1.5.1. of which collateral received meets operational requirements Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Of the transactions in item 1.2.1.1.5, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 289 1.2.1.1.6. Level 2B asset backed securities (commercial or individuals) collateral Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (iii) or (v) of point (g) of Article 13(2). 291 1.2.1.1.6.1. of which collateral received meets operational requirements Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Of the transactions in item 1.2.1.1.6, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 293 1.2.1.1.7. Level 2B collateral not already captured in section 1.2.1.1.4., 1.2.1.1.5. or 1.2.1.1.6. Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (b), (c) or (f) of Article 12(1). 295 1.2.1.1.7.1. of which collateral received meets operational requirements Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Of the transactions in item 1.2.1.1.7, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 297 1.2.1.2. collateral is used to cover a short position Point (b) of Article 32(3)of Delegated Regulation (EU) 2015/61 Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets which are used to cover a short position in accordance with the second sentence of Article 30(5). Where collateral of any type is used to cover a short, this shall be reported here and not in any of the lines above. There shall be no double-counting.

299 1.2.1.3. collateral that does not qualify as a liquid asset Credit institutions shall report in row 299 of C 74.00 of ANNEX XXIV secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the collateral does not qualify as a liquid asset. Credit institutions shall report for each Column 010, 020 and 030 the total amount of monies due from those transactions as the sum of monies due from secured lending and capital market-driven transactions where the collateral is non-liquid equity and secured lending and capital market-driven transactions backed by any other non-liquid collateral; and for each Column 140, 150 and 160 total inflows from those transactions as the sum of inflows from secured lending and capital market-driven transactions where the collateral is non-liquid equity and secured lending and capital market-driven transactions backed by any other non-liquid collateral. 301 1.2.1.3.1. collateral is non-liquid equity Point (b) of Article 32(3)of Delegated Regulation (EU) 2015/61 Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised non-liquid equity. 303 1.2.1.3.2. all other non-liquid collateral Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by non-liquid assets not already captured in section 1.2.1.3.1. 305 1.2.2. counterparty is non-central bank Credit institutions shall report here inflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 with a residual maturity of no more than 30 days where the counterparty is not a central bank. Credit institutions shall report in row 305 of C 74.00 of ANNEX XXIV for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions where the counterparty is not a central bank; and for each Column 140, 150 and 160 total inflows from secured lending and capital market driven transactions where the counterparty is not a central bank. 307 1.2.2.1. collateral that qualifies as a liquid asset Credit institutions shall report in row 307 of C 74.00 of ANNEX XXIV for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by liquid assets; and for each Column 140, 150 and 160 total inflows from secured lending and capital market driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by liquid assets.

Credit institutions shall report secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by liquid assets, whether or not they are re-used in another transaction and irrespective of whether the liquid assets received meet the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 309 1.2.2.1.1. Level 1 collateral excluding extremely high quality covered bonds Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 1 asset referred to in Article 10 with the exception of extremely high quality covered bonds referred to in point (f) of Article 10(1). 311 1.2.2.1.1.1. of which collateral received meets operational requirements Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Of the transactions in item 1.2.2.1.1, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 313 1.2.2.1.2. Level 1 collateral which is extremely high quality covered bonds Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid assets of the category referred to in point (f) of Article 10(1). 315 1.2.2.1.2.1. of which collateral received meets operational requirements Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Of the transactions in item 1.2.2.1.2, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 317 1.2.2.1.3. Level 2A collateral Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 11 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2A asset referred to in Article 11. 319 1.2.2.1.3.1. of which collateral received meets operational requirements Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.3, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 321 1.2.2.1.4. Level 2B asset backed securities (residential or auto) collateral Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (i), (ii) or (iv) of point (g) of Article 13(2). 323 1.2.2.1.4.1. of which collateral received meets operational requirements Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Of the transactions in item 1.2.2.1.4, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 325 1.2.2.1.5. Level 2B high quality covered bonds collateral Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid assets of the category of level 2B asset referred to in point (e) of Article 12(1). 327 1.2.2.1.5.1. of which collateral received meets operational requirements Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Of the transactions in item 1.2.2.1.5, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 329 1.2.2.1.6. Level 2B asset backed securities (commercial or individuals) collateral Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (iii) or (v) of point (g) of Article 13(2). 331 1.2.1.1.6.1. of which collateral received meets operational requirements Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Of the transactions in item 1.2.2.1.6, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 333 1.2.2.1.7. Level 2B collateral not already captured in section 1.2.2.1.4., 1.2.2.1.5. or 1.2.2.1.6.

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (b), (c) or (f) of Article 12(1). 335 1.2.2.1.7.1. of which collateral received meets operational requirements Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Of the transactions in item 1.2.2.1.7, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 337 1.2.2.2. collateral is used to cover a short position Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets which are used to cover a short position in accordance with the second sentence of Article 30(5). Where collateral of any type is used to cover a short, this shall be reported here and not in any of the lines above. There shall be no double-counting. 339 1.2.2.3. collateral that does not qualify as a liquid asset Credit institutions shall report in row 339 of C 74.00 of ANNEX XXIV secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the collateral does not qualify as a liquid asset. Credit institutions shall report for each Column 010, 020 and 030 the total amount of monies due from those transactions as the sum of monies due from margin loans where the collateral is non-liquid, secured lending and capital market-driven transactions where the collateral is non-liquid equity and secured lending and capital market-driven transactions backed by any other non-liquid collateral; and for each Column 140, 150 and 160 total inflows from those transactions as the sum of inflows from margin loans where the collateral is non-liquid, secured lending and capital market-driven transactions where the collateral is non-liquid equity and secured lending and capital market-driven transactions backed by any other non-liquid collateral. 341 1.2.2.3.1. margin loans: collateral is non-liquid Point (c) of Article 32(3) of Delegated Regulation (EU) 2015/61 Margin loans made against non-liquid assets with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the assets received are not used to cover short positions as outlined in Point (c) of Article 32(3) of Delegated Regulation (EU) 2015/61. 343 1.2.2.3.2. collateral is non-liquid equity Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised non-liquid equity. 345 1.2.2.3.3. all other non-liquid collateral Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by non-liquid assets not already captured in section 1.2.2.3.1 or 1.2.2.3.2. 410 1.3. Total inflows from collateral swaps Credit institutions shall report here the sum of total inflows from collateral swaps as calculated in template C 75.01 of ANNEX XXIV. 420 1.4. (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)

Article 32(8) of Delegated Regulation (EU) 2015/61 Institutions shall report in the relevant Column 140, 150 and 160 the sum of total weighted inflows from third countries where there are transfer restrictions or which are denominated in non-convertible currencies less the sum of total weighted outflows to third countries where there are transfer restrictions or which are denominated in non-convertible currencies as reported in C 73.00 of ANNEX XXIV. In case this amount is negative, institutions shall report 0. 430 1.5. (Excess inflows from a related specialised credit institution) Point (e) of Article 2(3) and Article 33(6) of Delegated Regulation (EU) 2015/61 Credit institutions reporting on a consolidated basis shall report in the relevant column 140, 150 or 160, the amount of the inflows arising from a related specialised credit institution referred to in Article 33(3) and (4) of Delegated Regulation (EU) 2015/61 that are in excess of the amount of outflows arising from the same undertaking. MEMORANDUM ITEMS450 2. FX inflows This memorandum item shall only be reported in case of a separate reporting of the reporting currency or of a currency other than the reporting currency in accordance with Article 415(2) of Regulation (EU) 575/2013. Credit institutions shall report the portion of inflows from derivatives (reported in section 1.1.9.) which relate to FX principal flows in the respective currency from cross-currency swaps, FX spot and forward transactions maturing within the 30 day period. Netting by counterparty may only be applied to flows in that currency. 460 3. Inflows within a group or an institutional protection scheme Credit institutions shall report here as memorandum items all transactions reported in section 1 (excluding section 1.1.10.) where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013. Credit institutions shall report in row 460 of C 74.00 of ANNEX XXIV for each Column 010, 020 and 030 the total amount of monies due/maximum amount that can be drawn within a group or an institutional protection scheme as the sum of monies due/maximum amount that can be drawn within a group or an institutional protection scheme by type of transaction and counterparty; and for each Column 140, 150 and 160 total inflows within group or an institutional protection scheme as the sum of inflows within a group or an institutional protection scheme by type of transaction and counterparty. 470 3.1. Monies due from non-financial customers (except for central banks) Credit institutions shall report here all monies due from non-financial customers reported in section 1.1.1. where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central credit institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

480 3.2. Monies due from financial customers Credit institutions shall report here all monies due from financial customers reported in section 1.1.2. where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013. 490 3.3. Secured transactions Credit institutions shall report here all monies due from secured lending and capital market driven transaction as well as the total market value of received collateral reported in section 1.2., where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013. 500 3.4. Monies due from maturing securities within 30 days Credit institutions shall report here all monies due from maturing securities within 30 days reported in section 1.1.5. where the issuer is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013. 510 3.5. Any other inflows within a group or an institutional protection scheme Credit institutions shall report here any other inflows within a group or an institutional protection scheme reported in section 1.1.3. to 1.1.11. (excluding section 1.1.5. and 1.1.10.) where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013. 4. Secured lending waived from Article 17(2) and (3) Credit institutions shall report here secured lending transactions with a residual maturity up to 30 days where the counterparty is a central bank and where the relevant transactions are exempted from the application Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

530 4.1. of which: secured by L1 excl. EHQCB Credit institutions shall report here secured lending transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral received is Level 1 collateral excluding extremely high quality covered bonds and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4). 540 4.2. of which: secured by L1 EHQCB Credit institutions shall report here secured lending transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral received is Level 1 collateral which is extremely high quality covered bonds and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4). 550 4.3. of which: secured by L2A Credit institutions shall report here secured lending transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral received is Level 2A collateral and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4). 560 4.4. of which: secured by L2B Credit institutions shall report here secured lending transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral received is Level 2B collateral and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4). 570 4.5. of which: secured by non-liquid assets Credit institutions shall report here secured lending transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral received is a non-liquid collateral and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4). REPORTING ON LIQUIDITY (PART 4: COLLATERAL SWAPS)

1. Collateral swaps 1.1. General remarks
2. Any transaction maturing within the next 30 calendar days in which non-cash assets are swapped for other non-cash assets, shall be reported in this template. Items which do not need to be completed by institutions are coloured grey.
3. Collateral swap transactions that mature within the next 30 calendar days shall lead to an outflow if the asset borrowed is subject to a lower haircut under Chapter 2 of Delegated Regulation (EU) 2015/61 than the asset lent. The outflow shall be calculated by multiplying the market value of the asset borrowed by the difference between the outflow rate applicable to the asset lent and the outflow rate applicable to the asset borrowed in secured funding transactions maturing within the next 30 calendar days. In the case that the counterparty is the credit institution’s domestic central bank, the outflow rate to be applied to the market value of the asset borrowed shall be 0%. The meaning of the credit institution’s domestic central bank follows the definition provided under Article 28(8) of Delegated Regulation (EU) 2015/61.

1. Collateral swaps that mature within the next 30 calendar days shall lead to an inflow where, under Chapter 2 of Delegated Regulation (EU) 2015/61, the asset lent is subject to a lower haircut than the asset borrowed. The inflow shall be calculated by multiplying the market value of the asset lent by the difference between the inflow rate applicable to the asset borrowed and the inflow rate applicable to the asset lent in secured lending transactions maturing within the next 30 calendar days. If the collateral obtained is used to cover short positions that can be extended beyond 30 calendar days no inflow shall be recognised.
2. For liquid assets the liquidity value is calculated in accordance with Article 9 of Delegated Regulation (EU) 2015/61.
3. Each collateral swap transaction shall be assessed individually and the flow reported as either an outflow or an inflow (per transaction) in the corresponding row. If one trade contains multiple categories of collateral type (e.g. a basket of collateral) then for reporting it shall be split into parts corresponding with the template rows and assessed in parts. In the context of swap transactions of collateral baskets or pools that are maturing within the next 30 calendar days, non-cash assets lent shall be assigned individually to non-cash assets borrowed, in accordance with the liquid assets categories as defined in Title II, Chapter 2 of Delegated Regulation (EU) 2015/61, starting from the least liquid combination (i.e. non-liquid non-cash assets lent, non-liquid non-cash assets borrowed). Any excess collateral within one combination is moved to the higher category, so that up to the most liquid combination, the relevant combinations are fully matched. Any overall excess collateral is then captured in the most liquid combination.
4. Collateral swap transactions involving shares or units in CIUs shall be reported as if the transactions would involve the assets underlying the CIU. The different haircuts applied to shares or units in CIUs shall be reflected in the relevant outflow or inflow rate to be reported.
5. Credit institutions shall report the template in the corresponding currencies in accordance with Article 415 (2) of Regulation (EU) 575/2013. In this case, the reported balances shall comprise only those which are denominated in the relevant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the relevant currency template, with corresponding impact on the excess liquidity value. 1.2. Specific remarks
6. For the calculation of inflows or outflows, collateral swap transactions shall be reported irrespective of whether the underlying collateral involved meets, or would meet if not already being used to secure this transaction, the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61. Furthermore, in order to allow for the calculation of the adjusted stock of liquid assets in accordance with Article 17(2) of Delegated Regulation (EU) 2015/61, credit institutions shall also report separately those transactions where at least one collateral leg meets the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61.

1. Where an institution may only recognise part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognizable part shall be reported within rows on the Level 1, Level 2A and Level 2B assets in accordance with point (ii) of point (c) of Article 12(1) and point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61. Where the particular asset is used as collateral but in an amount which is surplus to the portion which can be recognised within liquid assets, the surplus amount shall be reported in the non-liquid section.
2. Collateral Swaps involving Level 2A assets shall be reported in the corresponding L2A asset row, even if the Alternative Liquidity Approach is being followed (i.e. do not move L2A to L1 in the collateral swaps reporting). 1.3. Collateral swaps sub template 1.3.1. Instructions concerning specific columns ColumnLegal references and instructions0010 Market value of collateral lent The market value of the collateral lent shall be reported in Column 0010. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61. 0020 Liquidity value of collateral lent The liquidity value of the collateral lent shall be reported in Column 0020. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut. 0030 Market value of collateral borrowed The market value of the collateral borrowed shall be reported in Column 0030. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61. 0040 Liquidity value of collateral borrowed The liquidity value of the collateral borrowed shall be reported in Column 0040. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut. 0050 Standard weight Articles 28 and 32 of Delegated Regulation (EU) 2015/61, The standard weights in column 0050 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only. 0060 Applicable weight Articles 28 and 32 of Delegated Regulation (EU) 2015/61, The applicable weights are those specified in Articles 28 and 32 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,00 for an applicable weight of 100 per cent, or 0,50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. 0070 Outflows Credit institutions shall report here the outflows. This is calculated by multiplying column 0060 by column 0030, both from C75.01 of Annex XXIV 0080 Inflows subject to the 75 % cap on inflows Credit institutions shall report here the inflows of transactions subject to the 75% cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV.

0090 Inflows subject to the 90 % cap on inflows Credit institutions shall report here the inflows of transactions subject to the 90% cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV. 0100 Inflows exempted from the cap on inflows Credit institutions shall report here the inflows of transactions exempt from the cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV. 1.3.2. Instructions concerning specific rows RowLegal references and instructions0010

1. TOTAL COLLATERAL SWAPS (counterparty is central bank) Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps. 0020 1.1. Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each relevant column, the total values of collateral swaps for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent. 0030 1.1.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 0040 1.1.1.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.1.1., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0050 1.1.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed). 0060 1.1.2.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.1.2., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0070 1.1.3. Level 2A assets Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2A assets (borrowed). 0080 1.1.3.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.1.3., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0090 1.1.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 0100 1.1.4.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.1.4., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0110 1.1.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B high quality covered bonds (borrowed). 0120 1.1.5.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.1.5., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0130 1.1.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 0140 1.1.6.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.1.6., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0150 1.1.7. Other Level 2B Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Other Level 2B (borrowed). 0160 1.1.7.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.1.7., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0170 1.1.8. Non-liquid assets Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Non-liquid assets (borrowed).

0180 1.1.8.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.1.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 0190 1.2. Totals for transactions in which Level 1 extremely high quality covered bonds are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 1 extremely high quality covered bonds are lent. 0200 1.2.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 0210 1.2.1.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.2.1., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0220 1.2.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed). 0230 1.2.2.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.2.2., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0240 1.2.3. Level 2A assets Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2A assets (borrowed). 0250 1.2.3.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.2.3., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0260 1.2.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 0270 1.2.4.1.

Of which collateral swapped meets operational requirements Of the transactions in item 1.2.4., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0280 1.2.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed). 0290 1.2.5.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.2.5., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0300 1.2.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 0310 1.2.6.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.2.6., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0320 1.2.7. Other Level 2B Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Other Level 2B (borrowed). 0330 1.2.7.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.2.7., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0340 1.2.8. Non-liquid assets Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Non-liquid assets (borrowed). 0350 1.2.8.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.2.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0360 1.3. Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2A assets are lent. 0370 1.3.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 0380 1.3.1.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.3.1., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0390 1.3.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 extremely high quality covered bonds (borrowed). 0400 1.3.2.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.3.2., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0410 1.3.3. Level 2A assets Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2A assets (borrowed). 0420 1.3.3.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.3.3., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0430 1.3.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 0440 1.3.4.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.3.4., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0450 1.3.5. Level 2B high quality covered bonds

Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B high quality covered bonds (borrowed). 0460 1.3.5.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.3.5., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0470 1.3.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 0480 1.3.6.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.3.6., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0490 1.3.7. Other Level 2B Such transactions in which the institution has swapped Level 2A assets (lent) for Other Level 2B (borrowed). 0500 1.3.7.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.3.7., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0510 1.3.8. Non-liquid assets Such transactions in which the institution has swapped Level 2A assets (lent) for Non-liquid assets (borrowed). 0520 1.3.8.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.3.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 0530 1.4. Totals for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are lent. 0540 1.4.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

0550 1.4.1.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.4.1., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0560 1.4.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed). 0570 1.4.2.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.4.2., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0580 1.4.3. Level 2A assets Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2A assets (borrowed). 0590 1.4.3.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.4.3., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0600 1.4.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 0610 1.4.4.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.4.4., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0620 1.4.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B high quality covered bonds (borrowed). 0630 1.4.5.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.4.5., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0640 1.4.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 0650 1.4.6.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.4.6., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0660 1.4.7. Other Level 2B Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Other Level 2B (borrowed). 0670 1.4.7.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.4.7., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0680 1.4.8. Non-liquid assets Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Non-liquid assets (borrowed). 0690 1.4.8.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.4.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 0700 1.5. Totals for transactions in which Level 2B high quality covered bonds are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B high quality covered bonds are lent. 0710 1.5.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 0720 1.5.1.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.5.1., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0730 1.5.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed). 0740 1.5.2.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.5.2., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0750 1.5.3. Level 2A assets Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2A assets (borrowed). 0760 1.5.3.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.5.3., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0770 1.5.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 0780 1.5.4.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.5.4., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0790 1.5.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed). 0800 1.5.5.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.5.5., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0810 1.5.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

0820 1.5.6.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.5.6., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0830 1.5.7. Other Level 2B Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Other Level 2B (borrowed). 0840 1.5.7.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.5.7., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0850 1.5.8. Non-liquid assets Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Non-liquid assets (borrowed). 0860 1.5.8.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.5.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 0870 1.6. Totals for transactions in which Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) are lent. 0880 1.6.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 0890 1.6.1.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.6.1., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0900 1.6.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed).

0910 1.6.2.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.6.2., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0920 1.6.3. Level 2A assets Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2A assets (borrowed). 0930 1.6.3.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.6.3., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0940 1.6.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 0950 1.6.4.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.6.4., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0960 1.6.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B high quality covered bonds (borrowed). 0970 1.6.5.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.6.5., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 0980 1.6.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 0990 1.6.6.1. Of which collateral swapped meets operational requirements

Of the transactions in item 1.6.6., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1000 1.6.7. Other Level 2B Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Other Level 2B (borrowed). 1010 1.6.7.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.6.7., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1020 1.6.8. Non-liquid assets Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Non-liquid assets (borrowed). 1030 1.6.8.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.6.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 1040 1.7. Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Other Level 2B assets are lent. 1050 1.7.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 1060 1.7.1.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.7.1., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1070 1.7.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 extremely high quality covered bonds (borrowed). 1080 1.7.2.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.7.2., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1090 1.7.3. Level 2A assets Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2A assets (borrowed). 1100 1.7.3.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.7.3., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1110 1.7.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 1120 1.7.4.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.7.4., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1130 1.7.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B high quality covered bonds (borrowed). 1140 1.7.5.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.7.5., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1150 1.7.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 1160 1.7.6.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.7.6., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1170 1.7.7. Other Level 2B Such transactions in which the institution has swapped Other Level 2B (lent) for Other Level 2B (borrowed). 1180 1.7.7.1. Of which collateral swapped meets operational requirements

Of the transactions in item 1.7.7., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1190 1.7.8. Non-liquid assets Such transactions in which the institution has swapped Other Level 2B (lent) for Non-liquid assets (borrowed). 1200 1.7.8.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.7.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 1210 1.8. Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Non-liquid assets are lent. 1220 1.8.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 1230 1.8.1.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.8.1., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1240 1.8.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 extremely high quality covered bonds (borrowed). 1250 1.8.2.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.8.2., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1260 1.8.3. Level 2A assets Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2A assets (borrowed). 1270 1.8.3.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.8.3., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1280 1.8.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 1290 1.8.4.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.8.4., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1300 1.8.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B high quality covered bonds (borrowed). 1310 1.8.5.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.8.5., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1320 1.8.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 1330 1.8.6.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.8.6., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1340 1.8.7. Other Level 2B Such transactions in which the institution has swapped Non-liquid assets (lent) for Other Level 2B (borrowed). 1350 1.8.7.1. Of which collateral swapped meets operational requirements Of the transactions in item 1.8.7., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1360 1.8.8. Non-liquid assets Such transactions in which the institution has swapped Non-liquid assets (lent) for Non-liquid assets (borrowed). 1370 2. TOTAL COLLATERAL SWAPS (counterparty is non-central bank) Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps. 1380 2.1. Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each relevant column, the total values of collateral swaps for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent. 1390 2.1.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 1400 2.1.1.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.1.1., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1410 2.1.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed).

1420 2.1.2.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.1.2., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1430 2.1.3. Level 2A assets Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2A assets (borrowed). 1440 2.1.3.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.1.3., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1450 2.1.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 1460 2.1.4.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.1.4., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1470 2.1.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B high quality covered bonds (borrowed). 1480 2.1.5.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.1.5., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1490 2.1.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 1500 2.1.6.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.1.6., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1510 2.1.7. Other Level 2B Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Other Level 2B (borrowed). 1520 2.1.7.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.1.7., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1530 2.1.8. Non-liquid assets Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Non-liquid assets (borrowed). 1540 2.1.8.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.1.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 1550 2.2. Totals for transactions in which Level 1 extremely high quality covered bonds are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 1 extremely high quality covered bonds are lent. 1560 2.2.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 1570 2.2.1.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.2.1., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1580 2.2.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed). 1590 2.2.2.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.2.2., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1600 2.2.3. Level 2A assets Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2A assets (borrowed). 1610 2.2.3.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.2.3., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1620 2.2.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 1630 2.2.4.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.2.4., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1640 2.2.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed). 1650 2.2.5.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.2.5., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1660 2.2.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 1670 2.2.6.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.2.6., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1680 2.2.7. Other Level 2B Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Other Level 2B (borrowed). 1690 2.2.7.1. Of which collateral swapped meets operational requirements

Of the transactions in item 2.2.7., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1700 2.2.8. Non-liquid assets Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Non-liquid assets (borrowed). 1710 2.2.8.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.2.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 1720 2.3. Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2A assets are lent. 1730 2.3.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 1740 2.3.1.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.3.1., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1750 2.3.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 extremely high quality covered bonds (borrowed). 1760 2.3.2.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.3.2., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1770 2.3.3. Level 2A assets Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2A assets (borrowed). 1780 2.3.3.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.3.3., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1790 2.3.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 1800 2.3.4.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.3.4., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1810 2.3.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B high quality covered bonds (borrowed). 1820 2.3.5.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.3.5., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1830 2.3.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 1840 2.3.6.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.3.6., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1850 2.3.7. Other Level 2B Such transactions in which the institution has swapped Level 2A assets (lent) for Other Level 2B (borrowed). 1860 2.3.7.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.3.7., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1870 2.3.8. Non-liquid assets Such transactions in which the institution has swapped Level 2A assets (lent) for Non-liquid assets (borrowed). 1880 2.3.8.1. Of which collateral swapped meets operational requirements

Of the transactions in item 2.3.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 1890 2.4. Totals for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are lent. 1900 2.4.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 1910 2.4.1.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.4.1., credit institutions shall report the leg of the collateral lent , but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1920 2.4.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed). 1930 2.4.2.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.4.2., credit institutions shall report the leg of the collateral lent , but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1940 2.4.3. Level 2A assets Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2A assets (borrowed). 1950 2.4.3.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.4.3., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1960 2.4.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

1970 2.4.4.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.4.4., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 1980 2.4.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B high quality covered bonds (borrowed). 1990 2.4.5.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.4.5., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2000 2.4.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 2010 2.4.6.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.4.6., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2020 2.4.7. Other Level 2B Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Other Level 2B (borrowed). 2030 2.4.7.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.4.7., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2040 2.4.8. Non-liquid assets Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Non-liquid assets (borrowed). 2050 2.4.8.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.4.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

2060 2.5. Totals for transactions in which Level 2B high quality covered bonds are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B high quality covered bonds are lent. 2070 2.5.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 2080 2.5.1.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.5.1., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2090 2.5.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed). 2100 2.5.2.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.5.2., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2110 2.5.3. Level 2A assets Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2A assets (borrowed). 2120 2.5.3.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.5.3., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2130 2.5.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 2140 2.5.4.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.5.4., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2150 2.5.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed). 2160 2.5.5.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.5.5., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2170 2.5.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 2180 2.5.6.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.5.6., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2190 2.5.7. Other Level 2B Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Other Level 2B (borrowed). 2200 2.5.7.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.5.7., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2210 2.5.8. Non-liquid assets Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Non-liquid assets (borrowed). 2220 2.5.8.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.5.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 2230 2.6. Totals for transactions in which Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) are lent. 2240 2.6.1.

Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 2250 2.6.1.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.6.1., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2260 2.6.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed). 2270 2.6.2.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.6.2., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2280 2.6.3. Level 2A assets Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2A assets (borrowed). 2290 2.6.3.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.6.3., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2300 2.6.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 2310 2.6.4.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.6.4., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2320 2.6.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B high quality covered bonds (borrowed).

2330 2.6.5.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.6.5., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2340 2.6.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 2350 2.6.6.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.6.6., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2360 2.6.7. Other Level 2B Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Other Level 2B (borrowed). 2370 2.6.7.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.6.7., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2380 2.6.8. Non-liquid assets Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Non-liquid assets (borrowed). 2390 2.6.8.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.6.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 2400 2.7. Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Other Level 2B assets are lent. 2410 2.7.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 2420

2.7.1.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.7.1., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2430 2.7.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 extremely high quality covered bonds (borrowed). 2440 2.7.2.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.7.2., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2450 2.7.3. Level 2A assets Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2A assets (borrowed). 2460 2.7.3.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.7.3., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2470 2.7.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 2480 2.7.4.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.7.4., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2490 2.7.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B high quality covered bonds (borrowed). 2500 2.7.5.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.7.5., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2510 2.7.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 2520 2.7.6.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.7.6., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2530 2.7.7. Other Level 2B Such transactions in which the institution has swapped Other Level 2B (lent) for Other Level 2B (borrowed). 2540 2.7.7.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.7.7., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2550 2.7.8. Non-liquid assets Such transactions in which the institution has swapped Other Level 2B (lent) for Non-liquid assets (borrowed). 2560 2.7.8.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.7.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset. 2570 2.8. Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Non-liquid assets are lent. 2580 2.8.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 2590 2.8.1.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.8.1., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2600 2.8.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 extremely high quality covered bonds (borrowed). 2610 2.8.2.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.8.2., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2620 2.8.3. Level 2A assets Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2A assets (borrowed). 2630 2.8.3.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.8.3., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2640 2.8.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 2650 2.8.4.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.8.4., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2660 2.8.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B high quality covered bonds (borrowed). 2670 2.8.5.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.8.5., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2680 2.8.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 2690 2.8.6.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.8.6., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2700 2.8.7. Other Level 2B Such transactions in which the institution has swapped Non-liquid assets (lent) for Other Level 2B (borrowed). 2710 2.8.7.1. Of which collateral swapped meets operational requirements Of the transactions in item 2.8.7., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61. 2720 2.8.8. Non-liquid assets Such transactions in which the institution has swapped Non-liquid assets (lent) for Non-liquid assets (borrowed). MEMORANDUM ITEMS2730 3. Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions Institutions shall report here the total collateral swaps (all counterparties) reported in the above lines where borrowed collateral has been used to cover short positions where a 0 % outflow rate has been applied. 2740 4. Total collateral swaps with intragroup counterparties Institutions shall report here the total collateral swaps reported in the above lines that are with intragroup counterparties.

1. Collateral swaps waived from Article 17(2) and (3) Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4). 2750 5.1. of which: collateral borrowed is L1 excl. EHQCB Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral borrowed is Level 1 collateral excluding extremely high quality covered bonds and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4). 2760 5.2. of which: collateral borrowed is L1 EHQCB Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral borrowed is Level 1 collateral which is extremely high quality covered bonds and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4). 2770 5.3. of which: collateral borrowed is L2A Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral borrowed is Level 2A collateral and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4). 2780 5.4. of which: collateral borrowed is L2B Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral borrowed is Level 2B collateral and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4). 2790 5.5. of which: collateral lent is L1 excl. EHQCB Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral lent is Level 1 collateral excluding extremely high quality covered bonds and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

2800 5.6. of which: collateral lent is L1 EHQCB Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral lent is Level 1 collateral which is extremely high quality covered bonds and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4). 2810 5.7. of which: collateral lent is L2A Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral lent is Level 2A collateral and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4). 2820 5.8. of which: collateral lent is L2B Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral lent is Level 2B collateral and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4). REPORTING ON LIQUIDITY (PART 5: CALCULATIONS)

1. Calculations 1.1. General remarks
2. This is a summary template which contains information about calculations for the purpose of reporting the liquidity coverage requirement as specified in Delegated Regulation (EU) 2015/61. Items which do not need to be completed by institutions are coloured grey. 1.2. Specific remarks
3. Cell references are given in the format: template; row; column. For example, {C 72.00; r130; c040} refers to Liquid Assets template; row 130; column 040. 1.3. Calculations sub template – Instructions concerning specific rows RowLegal references and instructions CALCULATIONS Numerator, Denominator, Ratio

Article 4 of Delegated Regulation (EU) 2015/61 The Liquidity Coverage Ratio numerator, denominator and ratio. Enter all below data into column 010 of given row. 010

1. Liquidity Buffer Report figure from {C 76.00; r290; c010}. 020
2. Net Liquidity Outflow Report figure from {C 76.00; r370; c010}. 030
3. Liquidity Coverage Ratio (%) Report the liquidity coverage ratio calculated as specified in Article 4(1) of Delegated Regulation (EU) 2015/61. The liquidity coverage ratio shall be equal to the ratio of a credit institution’s liquidity buffer to its net liquidity outflows over a 30 calendar day stress period and shall be expressed as a percentage. If {C 76.00; r020; c010} is zero (causing a ratio of infinity) then report the value 999999. Numerator calculations

Article 17 and ANNEX I of Delegated Regulation (EU) 2015/61 Formula for the calculation of the Liquidity Buffer. Enter all below data into column 010 of given row. 040 4. L1 excl. EHQCB liquidity buffer (value in accordance with Article 9): unadjusted Report figure from {C 72.00; r030; c040}. 050 5. L1 excl. EHQCB collateral 30 day outflows Report outflows of Level 1 (excluding extremely high quality covered bonds) liquid securities upon the unwind of any secured funding, secured lending or collateral swap transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. 060 6. L1 excl. EHQCB collateral 30 day inflows Report inflows of Level 1 (excluding extremely high quality covered bonds) liquid securities upon the unwind of any secured funding, secured lending, or collateral swap transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. 070 7. Secured cash outflows Report outflows of cash (a Level 1 asset) upon the unwind of any secured funding or secured lending transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. 080 8. Secured cash inflows Report inflows of cash (a Level 1 asset) upon the unwind of any secured funding or secured lending transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. 091 9. L1 excl. EHQCB adjusted amount This is referred to in subparagraph (a) of Annex I (3) Report the adjusted non-covered bond level 1 asset amount before cap application. The adjusted amount takes into account the unwind of secured funding, secured lending or collateral swap transactions, that mature within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. 100 10. L1 EHQCB value in accordance with Article 9: unadjusted Report figure from {C 72.00; r180; c040}. 110 11. L1 EHQCB collateral 30 day outflows Report outflows of Level 1 extremely high quality covered bonds upon the unwind of any secured funding, secured lending or collateral swap transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. 120 12. L1 EHQCB collateral 30 day inflows Report inflows of Level 1 extremely high quality covered bonds upon the unwind of any secured funding, secured lending, or collateral swap transaction that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. 131 13. L1 EHQCB adjusted amount This is referred to by subparagraph (b) of Annex I (3) Report the adjusted covered bond level 1 asset amount before cap application.

The adjusted amount takes into account the unwind of secured funding, secured lending, or collateral swap transactions that mature within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. 160 14. L2A value in accordance with Article 9: unadjusted Report figure from {C 72.00; r230; c040}. 170 15. L2A collateral 30 day outflows Report outflows of Level 2A liquid securities upon the unwind of any secured funding, secured lending or collateral swap transaction, that matures within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. 180 16. L2A collateral 30 day inflows Report inflows of Level 2A liquid securities upon the unwind of any secured funding, secured lending, or collateral swap transaction that matures within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. 191 17. L2A adjusted amount This is referred to by subparagraph (c) in Annex I (3) Report the adjusted level 2A asset amount before cap application. The adjusted amount takes into account the unwind of secured funding, secured lending or collateral swap transactions, that mature within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. 220 18. L2B value in accordance with Article 9: unadjusted Report figure from {C 72.00; r310; c040}. 230 19. L2B collateral 30 day outflows Report outflows of Level 2B liquid securities upon the unwind of any secured funding, secured lending, or collateral swap transaction that matures within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. 240 20. L2B collateral 30 day inflows Report inflows of Level 2B liquid securities upon the unwind of any secured funding, secured lending or collateral swap transaction, that matures within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. 251 21. L2B adjusted amount This is referred to by subparagraph (d) in Annex I (3) Report the adjusted level 2B asset amount before cap application. The adjusted amount takes into account the unwind of secured funding, secured lending or collateral swap transactions, that mature within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. 280 22. Excess liquid asset amount Annex I(4) Report the excess liquid assets amount: this amount shall be equal to: (a) the adjusted non-covered bond level 1 asset amount; plus (b) the adjusted level 1 covered bond amount; plus (c) the adjusted level 2A asset amount; plus (d) the adjusted level 2B asset amount; minus the lesser of: (e) the sum of (a),(b),(c) and (d); (f) 100/30 times (a);

(g) 100/60 times the sum of (a) and (b); (h) 100/85 times the sum of (a), (b) and (c). 290 23. LIQUIDITY BUFFER Annex I (2) Report the liquidity buffer which shall be equal to: (a) the level 1 asset amount; plus (b) the level 2A asset amount; plus (c) the level 2B asset amount; minus the lesser of: (d) the sum of (a), (b), and (c); or (e) the excess liquid assets amount. Denominator calculations ANNEX II of Delegated Regulation (EU) 2015/61 Formula for the calculation of the net liquidity outflow Where, NLONet liquidity outflowTOTotal outflowsTITotal inflowsFEIFully exempted inflowsIHCInflows subject to higher cap of 90 % outflowsICInflows subject to cap of 75 % of outflows Enter all below data in to column 010 of given row 300 24. Total Outflows TO = from Outflow sheet Report figure from {C 73.00; r010; c060}. 310 25. Fully Exempt Inflows FEI = from Inflows sheet Report figure from {C 74.00; r010; c160}. 320 26. Inflows Subject to 90 % Cap IHC = from Inflows sheet Report figure from {C 74.00; r010; c150}. 330 27. Inflows Subject to 75 % Cap IC = from Inflows sheet Report figure from {C 74.00; r010; c140}. 340 28. Reduction for Fully Exempt Inflows Report the following part of the NLO calculation: = MIN (FEI, TO). 350 29. Reduction for Inflows Subject to 90 % Cap Report the following part of the NLO calculation: = MIN (IHC, 0.9MAX(TO-FEI, 0)). 360 30. Reduction for Inflows Subject to 75 % Cap Report the following part of the NLO calculation: = MIN (IC, 0.75MAX(TO-FEI-IHC/0.9, 0)). 370 31. NET LIQUIDITY OUTFLOW Report the net liquidity outflow which equals total outflows less the reduction for fully exempt inflows less the reduction for inflows subject to the 90 % cap less the reduction for inflows subject to the 75 % cap. NLO = TO — MIN(FEI, TO) - MIN(IHC, 0.9MAX(TO-FEI, 0)) - MIN(IC, 0.75MAX(T0-FEI-IHC/0.9,0)) Pillar 2380 32. PILLAR 2 REQUIREMENT as set out in Article 105 CRD Report the Pillar 2 requirement. REPORTING ON LIQUIDITY (PART 6: PERIMETER OF CONSOLIDATION)

1. Perimeter of consolidation 1.1. General remarks
2. This is a template that, for the only purposes of LCR at a consolidated level, identifies the entities to which the information reported in templates C 72.00, C 73.00, C 74.00, C 75.01 and C 76.00 refers. This template identifies all the entities that form part of the perimeter of consolidation of the LCR in accordance with Articles 8 and 10, Article 11(3) and (5) of Regulation (EU) 575/2013, as applicable. This template shall have as many rows as entities are in the perimeter of consolidation. 1.2. Instructions concerning specific columns ColumnLegal references and instructions0005 Parent or subsidiary Parent will be reported in the case the entity in the row is: the EU parent institution, EU parent financial holding company or EU parent mixed financial holding company as envisaged in Article 11(3) of Regulation (EU) 575/2013; the parent institution or subsidiary institution that need to comply with the LCR on a consolidated basis or in a sub-consolidated basis, respectively, in the context of a single liquidity subgroup as per Article 8 of Regulation (EU) 575/2013;

the relevant institution required to comply with the LCR on a sub-consolidated basis as per Article 11(5) of Regulation (EU) 575/2013; the EU central institution. Subsidiary will be reported in the rest of the rows. 010 Name The name of each entity in the perimeter of consolidation shall be reported in Column 010. 020 Code This code is a row identifier and shall be unique for each row in the table. Code assigned to the entity within the scope of consolidation. 030 LEI code The Legal Entity Identifier code of each entity in the perimeter of consolidation shall be reported in Column 020. Where a Legal Entity Identification code (LEI code) exists for a given entity, it shall be used to identify that entity. 040 Country code ISO code 3166-1-alpha-2 of the country of incorporation of each entity in the perimeter of consolidation shall be reported in Column 030. 050 Type of entity Entities reported in column 010 shall be assigned an entity type corresponding to its legal form as per the following list: Credit institution Investment firm Otherx