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Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014Text with EEA relevance

Den Europæiske UnionForordning2021

European Union

Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (Text with EEA relevance) 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 the first subparagraph of Article 415(3), the first subparagraph of Article 415(3a), the first subparagraph of Article 430(7) and the second subparagraph of Article 430(9) thereof, Whereas: (1) Without prejudice to the powers of competent authorities under Article 104(1), point (j), of 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). Commission Implementing Regulation (EU) No 680/2014 Commission 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 (OJ L 191, 28.6.2014, p. 1). lays down, on the basis of Article 430 of Regulation (EU) No 575/2013, a coherent reporting framework. Implementing Regulation (EU) No 680/2014 has been amended several times following the amendments of Regulation (EU) No 575/2013 adopted to introduce, further develop or adapt prudential elements. (2) The provisions in this Regulation are closely linked, since they deal with institutions’ reporting requirements. To ensure coherence between those provisions, which should enter into force at the same time, and to facilitate a comprehensive view and compact access to them by persons subject to those obligations, it is desirable to include all related implementing technical standards required by Regulation (EU) No 575/2013 in a single Regulation. (3) Taking into account the international standards of the Basel Committee on Banking Supervision, Regulation (EU) 2019/876 of the European Parliament and of the Council Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012 (OJ L 150, 7.6.2019, p. 1).

amended Regulation (EU) No 575/2013 in a number of aspects, such as the leverage ratio, the net stable funding requirement, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, and reporting and disclosure requirements. The reporting framework laid down in Implementing Regulation (EU) No 680/2014 should therefore be revised and the set of templates for the collection of information for supervisory reporting purposes should be updated. (4) Regulation (EU) 2019/876 introduced in Regulation (EU) No 575/2013 a Tier 1 capital leverage ratio requirement calibrated at 3 %, a range of adjustments to the calculation of leverage ratio exposure, and a leverage ratio buffer requirement for institutions identified as global systemically important institutions (G-SIIs) in accordance with Directive 2013/36/EU. The leverage ratio reporting should therefore be updated to reflect those requirements and adjustments in the exposure calculation. (5) Regulation (EU) 2019/876 introduced in Regulation (EU) No 575/2013 net stable funding ratio (NSFR) reporting requirements, including simplified requirements. It is therefore necessary to lay down a new set of reporting templates and instructions. (6) Regulation (EU) 2019/876 introduced in Regulation (EU) No 575/2013 a new supporting factor to be applied to infrastructure projects’ exposures and updated approaches to calculating risk-weighted exposure amounts for collective investment undertakings. It is therefore necessary to lay down, also in accordance with the disclosures framework, new templates and instructions for reporting on credit risk and update the current instructions. (7) Regulation (EU) 2019/876 replaced in Regulation (EU) No 575/2013 the standardised approach with a more risk sensitive standardised approach for counterparty credit risk (SA-CCR) and a simplified version (the simplified SA-CCR) for institutions that meet predefined eligibility criteria. The original exposure method, though revised, remains available for institutions meeting predefined criteria. It is therefore necessary to add new templates and instructions for reporting on counterparty credit risk and update the current instructions. (8) Regulation (EU) 2019/876 replaced in Regulation (EU) No 575/2013 the references to eligible capital in the calculation of large exposures with references to Tier 1 capital and introduced another threshold for reporting of large exposures on a consolidated basis. The large exposures reporting should therefore be updated. (9) Regulation (EU) 2019/630 of the European Parliament and of the Council Regulation (EU) 2019/630 of the European Parliament and of the Council of 17 April 2019 amending Regulation (EU) No 575/2013 as regards minimum loss coverage for non-performing exposures (OJ L 111, 25.4.2019, p. 4). introduced in Regulation (EU) No 575/2013 a prudential backstop for non-performing exposures (NPEs) imposing a deduction from institutions’ own funds where NPEs are not sufficiently covered by provisions or other adjustments, following a predefined calendar to build up a full coverage over time. That prudential backstop is based on the definitions of non-performing exposure and forbearance measures laid down in Implementing Regulation (EU) No 680/2014. It is therefore necessary to amend templates and instructions to ensure that there is a single definition of non-performing exposure and forbearance measures for both reporting and prudential backstop purposes. New templates are also necessary for the collection of information for the backstop calculation.

(10) Regulation (EU) 2019/2033 of the European Parliament and of the Council Regulation (EU) 2019/2033 of the European Parliament and of the Council of 27 November 2019 on the prudential requirements of investment firms and amending Regulations (EU) No 1093/2010, (EU) No 575/2013, (EU) No 600/2014 and (EU) No 806/2014 (OJ L 314, 5.12.2019, p. 1). repeals with effect from 26 June 2026 Chapter 1 of Title I of Part Three, Section 2 (Articles 95 to 98), of Regulation (EU) No 575/2013. For this reason, provisions on reporting for groups that consist only of investment firms subject to Articles 95 and 96 of Regulation (EU) No 575/2013 on an individual basis or a consolidated basis should cease to apply on 26 June 2026. (11) In view of the scope of those amendments and for the sake of clarity, it is appropriate to repeal Implementing Regulation (EU) No 680/2014 and replace it with this Regulation. (12) Regulation (EU) 2020/873 of the European Parliament and of the Council Regulation (EU) 2020/873 of the European Parliament and of the Council of 24 June 2020 amending Regulations (EU) No 575/2013 and (EU) 2019/876 as regards certain adjustments in response to the COVID-19 pandemic (OJ L 204, 26.6.2020, p. 4). is part of a series of measures to mitigate the impact of the COVID-19 pandemic on institutions across the Union. That Regulation introduced certain amendments to Regulations (EU) No 575/2013 and (EU) 2019/876 that have an impact on supervisory reporting. Those amendments should therefore be reflected in the reporting framework. (13) Institutions should start supervisory reporting for the end of second quarter of 2021. However, reporting for the leverage ratio buffer should start from January 2023 as the application of the leverage buffer requirements was postponed to January 2023 by Regulation (EU) 2020/873. (14) This Regulation is based on the draft implementing technical standards submitted to the Commission by the European Banking Authority (EBA). (15) The 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 advice 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). , with the exception of the provisions reflecting the amendments of Regulation (EU) No 575/2013 by Regulation (EU) 2020/873. The EBA decided that it would have been highly disproportionate to carry out public consultations or a cost-benefit analysis on those provisions as they concern very few rows in reporting templates on solvency and leverage and are not likely to materially affect the costs of reporting. In addition, such public consultation or a cost-benefit analysis would prevent supervisors from the timely collection of relevant data in a coherent and regular manner.

(16) To provide institutions with sufficient time to prepare for reporting in accordance with this Regulation, it should enter into force on the day following the date of its publication in the Official Journal of the European Union, HAS ADOPTED THIS REGULATION:

Article 1

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

Article 2

Reporting reference dates

  1. Institutions shall submit information to competent authorities as this information stands on the following reporting reference dates: (a) monthly reporting: on the last day of each month; (b) quarterly reporting: 31 March, 30 June, 30 September and 31 December; (c) semi-annual reporting: 30 June and 31 December; (d) annual reporting: 31 December.
  2. Information submitted pursuant to the templates set out in Annexes III and IV, in accordance with the instructions in Annex V and referring to a certain period, shall be reported cumulatively from the first day of the accounting year to the reference date.
  3. Where institutions are permitted by national laws to report their financial information based on their accounting year-end, which deviates from the calendar year, reporting reference dates may be adjusted accordingly, so that reporting of financial information and of information for the purposes of identifying global systemically important institutions (G-SIIs) and assigning G-SII buffer rates is done every three, six or 12 months from their accounting year-end, respectively.

Article 3

Reporting remittance dates

  1. Institutions shall submit information to competent authorities by close of business on the following remittance dates: (a) monthly reporting: 15th calendar day after the reporting reference date; (b) quarterly reporting: 12 May, 11 August, 11 November and 11 February; (c) semi-annual reporting: 11 August and 11 February; (d) annual reporting: 11 February.
  2. If the remittance day is a public holiday in the Member State of the competent authority to which the report is to be provided, or a Saturday or a Sunday, data shall be submitted on the following working day.
  3. Where institutions report their financial information or the information for the purposes of identifying G-SIIs and assigning G-SII buffer rates using adjusted reporting reference dates based on their accounting year-end as set out in paragraph 3 of Article 2, the remittance dates may also be adjusted accordingly so that the same remittance period from the adjusted reporting reference date is maintained.
  4. Institutions may submit unaudited figures. Where audited figures deviate from submitted unaudited figures, the revised, audited figures shall be submitted without undue delay. Unaudited figures are figures that have not received an external auditor’s opinion whereas audited figures are figures audited by an external auditor expressing an audit opinion.
  1. Other corrections to the submitted reports shall also be submitted to the competent authorities without undue delay.

Article 4

Reporting thresholds – entry and exit criteria

  1. Institutions that meet the conditions set out in in Article 4(1), point (145), of Regulation (EU) No 575/2013 shall start reporting information as small and non-complex institutions on the first reporting reference date after those conditions have been met. Where institutions no longer meet those conditions, they shall stop reporting the information on the first reporting reference date thereafter.
  2. Institutions that meet the conditions set out in Article 4(1), point (146), of Regulation (EU) No 575/2013 shall start reporting information as large institutions, on the first reporting reference date after those conditions have been met. Where institutions no longer meet those conditions, they shall stop reporting the information on the first reporting reference date thereafter.
  3. Institutions shall start reporting information subject to the thresholds set out in this Regulation on the next reporting reference date after those thresholds have been exceeded on two consecutive reporting reference dates. Institutions may stop reporting information subject to the thresholds set out in this Regulation on the next reporting reference date where they have fallen below the relevant thresholds on three consecutive reporting reference dates.

Article 5

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

  1. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit information referred to in this Article with a quarterly frequency.
  2. Institutions shall submit information on own funds and own funds requirements as specified in Annex I, templates 1 to 5, in accordance with the instructions in Annex II, Part II, point 1.
  3. Institutions shall submit information on credit risk and counterparty credit risk exposures treated under the standardised approach as specified in Annex I, template 7, in accordance with the instructions in Annex II, Part II, point 3.2.
  4. Institutions shall submit information on credit risk and counterparty credit risk exposures treated under the internal ratings-based approach as specified in Annex I, templates 8.1 and 8.2, in accordance with the instructions in Annex II, Part II, point 3.3.
  5. Institutions shall submit information on the geographical distribution of exposures by country, as well as aggregated exposures at a total level, as specified in Annex I, template 9, in accordance with the instructions in Annex II, Part II, point 3.4. Institutions shall submit information specified in templates 9.1 and 9.2, and in particular information on the geographical distribution of exposures by country, where non-domestic original exposures in all non-domestic countries in all exposure classes, as reported in accordance with Annex I, template 4, row 0850, are equal to or higher than 10 % of total domestic and non-domestic original exposures as reported in accordance with Annex I, template 4, row 0860. Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is established.

The entry and exit criteria set out in Article 4 shall apply. 6. Institutions shall submit information on counterparty credit risk as specified in Annex I, templates 34.01 to 34.05 and 34.08 to 34.10, in accordance with the instructions in Annex II, Part II, point 3.9. 7. Institutions applying the standardised approach or the internal model method for the calculation of counterparty credit risk exposures in accordance with Part Three, Title II, Chapter 6, Sections 3 and 6, of Regulation (EU) No 575/2013 shall submit information on counterparty credit risk as specified in Annex I, template 34.06, in accordance with the instructions in Annex II, Part II, point 3.9.7. 8. Institutions shall submit information on equity exposures treated under the internal ratings-based approach as specified in Annex I, template 10, in accordance with the instructions in Annex II, Part II, point 3.5. 9. Institutions shall submit information on settlement risk as specified in Annex I, template 11, in accordance with the instructions in Annex II, Part II, point 3.6. 10. Institutions shall submit information on securitisation exposures as specified in Annex I, template 13.01, in accordance with the instructions in Annex II, Part II, point 3.7. 11. Institutions shall submit information on own funds requirements and losses relating to operational risk as specified in Annex I, template 16, in accordance with the instructions in Annex II, Part II, point 4.1. 12. Institutions shall submit information on own funds requirements relating to market risk as specified in Annex I, templates 18 to 24, in accordance with the instructions in Annex II, Part II, points 5.1 to 5.7. 13. Institutions shall submit information on own funds requirements relating to credit valuation adjustment risk as specified in Annex I, template 25, in accordance with the instructions in Annex II, Part II, point 5.8. 14. Institutions shall submit information on prudent valuation as specified in Annex I, template 32, in accordance with the instructions in Annex II, Part II, point 6, as follows: (a) all institutions shall submit the information specified in Annex I, template 32.1, in accordance with the instructions in Annex II, Part II, point 6; (b) institutions that apply the core approach in accordance with Commission Delegated Regulation (EU) 2016/101 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). shall, in addition to information referred in point (a) of this paragraph, report the information specified in Annex I, template 32.2, in accordance with the instructions in Annex II, Part II, point 6; (c) institutions that apply the core approach in accordance with Commission Delegated Regulation (EU) 2016/101 and which exceed the threshold referred to in Article 4(1) of that Regulation shall, in addition to information referred in points (a) and (b) of this paragraph, report the information specified in Annex I, templates 32.3 and 32.4, in accordance with the instructions in Annex II, Part II, point 6.

For the purposes of this paragraph, the entry and exit criteria set out in Article 4 shall not apply. 15. Institutions shall submit information on the prudential backstop for non-performing exposures (NPEs) as specified in Annex I, templates 35.01, 35.02 and 35.03, in accordance with the instructions in Annex II, Part II, point 8.

Article 6

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

  1. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit information referred to in this Article with a semi-annual frequency.
  2. Institutions shall submit information on all securitisation exposures as specified in Annex I, templates 14 and 14.01, in accordance with the instructions in Annex II, Part II, point 3.8; except where they are part of a group in the same country in which they are subject to own funds requirements.
  3. Institutions shall submit information on sovereign exposures as follows: (a) where the aggregate carrying amount of financial assets from the counterparty sector General governments is equal to or higher than 1 % of the sum of total carrying amount for Debt securities and Loans and advances institutions shall submit the information as specified in Annex I, template 33, in accordance with the instructions in Annex II, Part II, point 7, and shall follow the instructions in Annex V regarding template 4 in Annex III or Annex IV, as applicable, to calculate the relevant values; (b) where the value reported for domestic exposures of non-derivative financial assets as defined in row 0010, column 0010 in Annex I, template 33 is less than 90 % of the value reported for domestic and non-domestic exposures for the same data point institutions that meet the condition referred to in point (a) shall submit the information as specified in Annex I, template 33, in accordance with the instructions in Annex II, Part II, point 7, with a full country breakdown; (c) institutions that meet the conditions referred to in point (a) and do not meet the condition referred in point (b) shall submit the information specified in template 33, in accordance with the instructions in Annex II, Part II, point 7, with exposures aggregated at: (i) total level; and (ii) domestic level. The entry and exit criteria of Article 4(3) shall apply.
  4. Information on material losses regarding operational risk shall be reported as follows: (a) institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 4, of Regulation (EU) No 575/2013 shall report that information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2; (b) large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 3, of Regulation (EU) No 575/2013 shall report that information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2;

(c) institutions other than large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 3, of Regulation (EU) No 575/2013 shall report, in accordance with the instructions in Annex II, Part II, point 4.2, the following information: (i) the information as specified in Annex I, template 17.01, column 0080 for the following rows: number of events (new events) (row 0910), gross loss amount (new events) (row 0920), number of events subject to loss adjustments (row 0930), loss adjustments relating to previous reporting periods (row 0940), maximum single loss (row 0950), sum of the five largest losses (row 0960), total direct loss recovery (except insurance and other risk transfer mechanisms) (row 0970), total recoveries from insurance and other risk transfer mechanisms (row 0980); (ii) the information as specified in Annex I, template 17.02. (d) the institutions referred to in point (c) may report the complete set of information specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2; (e) large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 2, of Regulation (EU) No 575/2013 shall report the information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2; (f) institutions other than large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 2, of Regulation (EU) No 575/2013 may report the information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2. The entry and exit criteria of Article 4(3) shall apply. 5. Institutions applying the simplified standardised approach or the original exposure method for the calculation of counterparty credit risk exposures in accordance with Part Three, Title II, Chapter 6, Sections 4 and 5 Regulation (EU) No 575/2013 shall submit the information on counterparty credit risk as specified in Annex I, template 34.06, in accordance with the instructions in Annex II, Part II, point 3.9.7.

Article 7

Reporting on own funds and own funds requirements on a consolidated basis In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in: (a) Articles 5 and 6 of this Implementing Regulation on a consolidated basis with the frequency specified therein; and (b) template 6 of Annex I, in accordance with the instructions provided in Annex II, Part II, point 2 regarding entities included in the scope of consolidation, with a semi-annual frequency.

Article 8

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

  1. Institutions subject to a requirement to disclose the information referred to in Article 438, points (e) or (h), or Article 452, points (b), (g) or (h), of Regulation (EU) No 575/2013 with the frequency set out in Article 433a or Article 433c, as applicable, on an individual basis in accordance with Article 6 or on a consolidated basis in accordance with Article 13, as applicable, of that Regulation, shall submit the information on credit risk and counterparty credit risk, as specified in Annex I, templates 8.3, 8.4, 8.5, 8.5.1, 8.6, 8.7 and 34.11, to this Regulation, with the same frequency and on the same basis, following the instructions in Annex II, Part II, points 3.3 and 3.9.12, to this Regulation.
  2. Institutions subject to a requirement to disclose the information referred to in point (l) of Article 439 of Regulation (EU) No 575/2013 with the frequency set out in Article 433a or Article 433c, as applicable, on an individual basis in accordance with Article 6 or on a consolidated basis in accordance with Article 13, as applicable, of that Regulation, shall submit the information on counterparty credit risk, as specified in Annex I, template 34.07, to this Regulation, with the same frequency and on the same basis, following the instructions in Annex II, Part II, point 3.9.8, to this Regulation.

Article 9

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

  1. Investment firms that apply the transitional provisions of Article 57(3) of Regulation (EU) 2019/2033 shall submit information as set out in this Article.
  2. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, with the exception of information on the leverage ratio, investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 95 of Regulation (EU) No 575/2013 shall submit the information specified in Annex I, templates 1 to 5, in accordance with the instructions in Annex II, Part II, point 1, with a quarterly frequency.
  3. In order to report information on own funds and own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 96 of Regulation (EU) No 575/2013 shall submit the information referred to in Article 5, paragraphs (1) to (5) and paragraphs (8) to (13), and Article 6(2) of this Regulation with the frequency laid down in those Articles.

Article 10

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

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

Article 11

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

  1. In order to report financial information on a consolidated basis in accordance with Article 430(3) or (4) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex III on a consolidated basis, in accordance with the instructions in Annex V.
  2. The information referred to in paragraph 1 shall be submitted as follows: (a) the information specified in Annex III, Part 1, with a quarterly frequency; (b) the information specified in Annex III, Part 3, with a semi-annual frequency; (c) the information specified in Annex III, Part 4, with the exception of the information specified in template 47, with an annual frequency; (d) the information specified in Annex III, Part 2, template 20, with a quarterly frequency where the institution exceeds the threshold laid down in Article 5(5), the second subparagraph;

(e) the information specified in Annex III, Part 2, template 21, with a quarterly frequency where tangible assets subject to operating leases are equal to or higher than 10 % of total tangible assets as reported in accordance with Annex III, Part 1,template 1.1; (f) the information specified in Annex III, Part 2, template 22, with a quarterly frequency where net fee and commission income is equal to or higher than 10 % of the sum of net fee and commission income and net interest income as reported in accordance with Annex III, Part 1, template 2; (g) the information specified in Annex III, Part 2, templates 23 to 26, with a quarterly frequency where both of the following conditions are fulfilled: (i) the institution is not a small and non-complex institution; (ii) the ratio between the institution’s gross carrying amount of loans and advances that fall under Article 47a(3) of Regulation (EU) No 575/2013 and the total gross carrying amount of loans and advances that fall under Article 47a(1) of that Regulation is equal to or higher than 5 %; (h) the information specified in Annex III, Part 4, template 47, with an annual frequency where both of the conditions set out in point (g) of this paragraph are fulfilled. For the purpose of point (g)(ii), the ratio shall not include loans and advances classified as held for sale, cash balances at central banks and other demand deposits in either the denominator or the numerator. For the purposes of points (d) to (h) of this paragraph, the entry and exit criteria referred to in Article 4(3) shall apply.

Article 12

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

  1. Where a competent authority has extended the reporting requirements on financial information to institutions established in a Member State in accordance with Article 430(9) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex IV to this Regulation on a consolidated basis, in accordance with the instructions in Annex V to this Regulation.
  2. The information referred to in paragraph 1 shall be submitted as follows: (a) the information specified in Annex IV, Part 1, with a quarterly frequency; (b) the information specified in Annex IV, Part 3, with a semi-annual frequency; (c) the information specified in Annex IV, Part 4, with the exception of the information specified in template 47, with an annual frequency; (d) the information specified in Annex IV, Part 2, template 20, with a quarterly frequency where the institution exceeds the threshold laid down in Article 5(5), the second subparagraph; (e) the information specified in Annex IV, Part 2, template 21, with a quarterly frequency where tangible assets subject to operating leases are equal to or higher than 10 % of total tangible assets as reported in accordance with Annex IV, Part 1, template 1.1; (f) the information specified in Annex IV, Part 2, template 22, with a quarterly frequency where net fee and commission income is equal to or higher than 10 % of the sum of net fee and commission income and net interest income as reported in accordance with Annex IV, Part 1, template 2;

(g) the information specified in Annex IV, Part 2, templates 23 to 26, with a quarterly frequency where both of the following conditions are fulfilled: (i) the institution is not a small and non-complex; (ii) the institution’s ratio as specified in Article 11(2), point (g)(ii) is equal to or higher than 5 %; (h) the information specified in Annex IV, Part 4, template 47, with an annual frequency where both of the conditions set out in point (g) of this paragraph are fulfilled. For the purposes of points (d) to (h) of this paragraph, the entry and exit criteria referred to in Article 4(3) shall apply.

Article 13

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

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

Article 14

Reporting on large exposures on an individual and a consolidated basis

  1. In order to report information on large exposures to clients and groups of connected clients in accordance with Article 394 of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information as specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.
  2. In order to report information on the 20 largest exposures to clients or groups of connected clients in accordance with Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions subject to Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013 shall submit the information specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.
  3. In order to report information on exposures of a value greater than or equal to EUR 300 million but less than 10 % of the institution’s Tier 1 capital in accordance with Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.
  4. In order to report information on the 10 largest exposures to institutions on a consolidated basis, and on the 10 largest exposures to shadow banking entities that carry out banking activities outside the regulated framework on a consolidated basis, in accordance with Article 394(2) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.

Article 15

Reporting on leverage ratio on an individual and a consolidated basis

  1. In order to report information on the leverage ratio in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information as specified in Annex X, in accordance with the instructions in Annex XI, with a quarterly frequency. Only large institutions shall submit template 48.00 of Annex X.
  2. The information specified in Annex X, template 40.00, cell {r0410;c0010} shall be reported only by: (a) large institutions that either are G-SIIs or have issued securities that are admitted to trading on a regulated market with a semi-annual frequency; (b) large institutions other than G-SIIs that are not listed institutions with an annual frequency; (c) institutions other than large institutions and small and non-complex institutions that have issued securities that are admitted to trading on a regulated market with an annual frequency.
  3. Institutions shall calculate the leverage ratio at the reporting reference date in accordance with Article 429 of Regulation (EU) No 575/2013.
  4. Institutions shall report the information referred to in Annex XI, Part II, point 13, where at least one of the following conditions is met: (a) the derivatives share referred to in Annex XI, Part II, point 5, is more than 1,5 %; (b) the derivatives share referred to in Annex XI, Part II, point 5, exceeds 2 %. If an institution meets only the point (a) condition, the entry and exit criteria of Article 4(3) shall apply. If an institution meets both the point (a) and point (b) conditions, it shall start reporting that information for the reference date following the reporting reference date on which it exceeded the threshold.
  5. Institutions for which the total notional value of derivatives as defined in Annex XI, Part II, point 8, exceeds EUR 10000 million shall report the information referred to in Annex XI, Part II, point 13, even if their derivatives share does not fulfil the conditions set out in paragraph 4 of this Article. For the purposes of this paragraph, the entry criteria of Article 4(3) shall not apply. Institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.
  6. Institutions are required to report the information referred to in Annex XI, Part II, point 14, where at least one of the following conditions is met: (a) the credit derivatives volume referred to in Annex XI, Part II, point 9, is more than EUR 300 million; (b) the credit derivatives volume referred to in Annex XI, Part II, point 9, exceeds EUR 500 million. If an institution meets only the point (a) condition, the entry and exit criteria of Article 4(3) shall apply. If an institution meets both the point (a) and point (b) conditions, it shall start reporting that information for the reference date following the reporting reference date on which it exceeded the threshold.

Article 16

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

  1. In order to report information on the liquidity coverage requirement in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XXIV to this Regulation, in accordance with the instructions in Annex XXV to this Regulation, with a monthly frequency;
  2. The information set out in Annex XXIV shall take into account the information submitted for the reference date and the information on the cash-flows of the institution over the following 30 calendar days.

Article 17

Reporting on stable funding on an individual and a consolidated basis In order to report information on stable funding in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XII, in accordance with the instructions in Annex XIII, with a quarterly frequency as follows: (a) small and non-complex institutions that have chosen to calculate their net stable funding ratio (NSFR) using the methodology set out in Part Six, Title IV, Chapters 6 and 7 of Regulation (EU) No 575/2013, with the prior permission of their competent authority in accordance with Article 428ai of that Regulation, shall submit templates 82 and 83 of Annex XII to this Regulation, in accordance with the instructions in Annex XIII to this Regulation; (b) institutions other than those referred to in point (a) shall submit templates 80 and 81 of Annex XII, in accordance with the instructions in Annex XIII; (c) all institutions shall submit template 84 of Annex XII, in accordance with the instructions in Annex XIII.

Article 18

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

  1. In order to report information on additional liquidity monitoring metrics in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit all of the following information with a monthly frequency: (a) the information specified in Annex XVIII in accordance with the instructions in Annex XIX; (b) the information specified in Annex XX in accordance with the instructions in Annex XXI; (c) the information specified in Annex XXII in accordance with the instructions in Annex XXIII.
  2. By way of derogation from paragraph 1, an institution that meets all the conditions set out in Article 4(1), point (145), of Regulation (EU) No 575/2013 may report the information on additional liquidity monitoring metrics with a quarterly frequency.

Article 19

Reporting on asset encumbrance on an individual and a consolidated basis

  1. In order to report information on asset encumbrance in accordance with Article 430(1), point (g), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XVI to this Regulation, in accordance with the instructions set out in Annex XVII to this Regulation.
  1. The information referred to in paragraph 1 shall be submitted as follows: (a) the information specified in Annex XVI, Parts A, B and D, with a quarterly frequency; (b) the information specified in Annex XVI, Part C, with an annual frequency; (c) the information specified in Annex XVI, Part E, with a semi-annual frequency.
  2. Institutions shall not be required to report the information specified in Annex XVI, Parts B, C and E, where both of the following conditions are met: (a) the institution is not considered a large institution; (b) the asset encumbrance level of the institution, as calculated in accordance with Annex XVII, point 1.6, sub-point 9, is below 15 %. The entry and exit criteria of Article 4(3) shall apply.
  3. Institutions shall report the information specified in Annex XVI, Part D, only where they issue bonds referred to in Article 52(4), the first subparagraph, of Directive 2009/65/EC of the European Parliament and of the Council 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). . The entry and exit criteria of Article 4(3) shall apply.

Article 20

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

  1. In order to report supplementary information for the purposes of identifying G-SIIs and assigning G-SII buffer rates under Article 131 of Directive 2013/36/EU, EU parent institutions, EU parent financial holdings and EU parent mixed financial holdings shall submit the information as specified in Annex XXVI, in accordance with the instructions in Annex XXVII, on a consolidated basis with a quarterly frequency.
  2. EU parent institutions, EU parent financial holdings and EU parent mixed financial holdings shall only submit the information referred to in paragraph 1, where both of the following conditions are met: (a) the total exposure measure of the group, including insurance subsidiaries, is equal to or exceeds EUR 125000 million; (b) the EU parent or any of its subsidiaries or any branch operated by the parent or by a subsidiary is located in a participating Member State as referred to in Article 4 of Regulation (EU) No 806/2014 of the European Parliament and of the Council Regulation (EU) No 806/2014 of the European Parliament and of the Council of 15 July 2014 establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund and amending Regulation (EU) No 1093/2010 (OJ L 225, 30.7.2014, p. 1). .
  3. By way of derogation from Article 3(1), point (b), the information referred to in paragraph 1 of this Article shall be submitted by close of business on the following remittance dates: 1 July, 1 October, 2 January and 1 April.
  1. By way of derogation from Article 4, the following shall apply with regard to the threshold specified in paragraph 2, point (a), of this Article: (a) the EU parent institution, EU parent financial holding or EU parent mixed financial holding shall immediately start reporting the information in accordance with this Article where its leverage ratio exposure measure exceeds the specified threshold as of the end of the accounting year, and shall report this information at least for the end of that accounting year and the subsequent three quarterly reference dates; (b) the EU parent institution, EU parent financial holding or EU parent mixed financial holding shall immediately stop reporting the information in accordance with this Article where its leverage ratio exposure measure falls below the specified threshold as of the end of their accounting year.

Article 21

Data exchange formats and information accompanying submissions

  1. Institutions shall submit the information in the data exchange formats and representations specified by the competent authorities and respecting the data point definition of the data point model referred to in Annex XIV and the validation formulae referred to in Annex XV as well as the following specifications: (a) information that is not required or not applicable shall not be included in a data submission; (b) numerical values shall be submitted as follows: (i) data points with the data type Monetary shall be reported using a minimum precision equivalent to thousands of units; (ii) data points with the data type Percentage shall be expressed as per unit with a minimum precision equivalent to four decimals; (iii) data points with the data type Integer shall be reported using no decimals and a precision equivalent to units; (c) institutions and insurance undertakings shall be identified solely by their Legal Entity Identifier (LEI); (d) legal entities and counterparties other than institutions and insurance undertakings shall be identified by their LEI where available.
  2. Institutions shall accompany the submitted data by the following information: (a) reporting reference date and reference period; (b) reporting currency; (c) accounting standard; (d) Legal Entity Identifier (LEI) of the reporting institution; (e) scope of consolidation.

Article 22

Repeal of Implementing Regulation (EU) No 680/2014 Implementing Regulation (EU) No 680/2014 is repealed. References to the repealed Regulation shall be construed as references to this Regulation.

Article 23

Entry into force and application This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union. It shall apply from 28 June 2021. Notwithstanding the second paragraph of this Article, reporting on leverage ratio buffer requirement for institutions identified as G-SIIs provided for in template 47 of Annex X shall apply from 1 January 2023. Articles 9 and 10 shall cease to apply on 26 June 2026. This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 17 December 2020. For the Commission The President Ursula VON DER LEYEN

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 ITEMSCA4TRANSITIONAL 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 28.3C 08.03CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGESCR IRB 3 8.4C 08.04CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTSCR IRB 48.5C 08.05CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PDCR IRB 58.5.1C 08.05.1CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD ACCORDING TO POINT (f) OF ARTICLE 180(1) (CR IRB 5)8.6C 08.06CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACHCR IRB 68.7C 08.07CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA APPROACHESCR IRB 7GEOGRAPHICAL BREAKDOWNCR GB9.1C 09.01Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures)CR GB 19.2C 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 2 COUNTERPARTY CREDIT RISKCCR34.01C 34.01COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESSCCR 134.02C 34.02COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACHCCR 234.03C 34.03COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR or SIMPLIFIED SA-CCRCCR 334.04C 34.04COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE THE ORIGINAL EXPOSURE METHOD (OEM)CCR 434.05C 34.05COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM)CCR 534.06C 34.06COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIESCCR 634.07C 34.07COUNTERPARTY CREDIT RISK: IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALECCR 734.08C 34.08COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURESCCR 834.09C 34.09COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURESCCR 934.10C 34.10COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPsCCR 1034.11C 34.11COUNTERPARTY CREDIT RISK: RWEA FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMMCCR 11OPERATIONAL RISKOPR16C 16.00OPERATIONAL RISKOPROPERATIONAL RISK: LOSSES AND RECOVERIES17.1C 17.01OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND 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 SEC

20C 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 FX23C 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 COUNTERPARTYGOVNPE LOSS COVERAGENPE LC35.1C 35.01NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURESNPE LC135.2C 35.02NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF THE CRRNPE LC235.3C 35.03NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF THE CRRNPE LC3 C 01.00 - OWN FUNDS (CA1) RowsIDItemAmount00101OWN FUNDS00151.1TIER 1 CAPITAL00201.1.1COMMON EQUITY TIER 1 CAPITAL00301.1.1.1Capital instruments eligible as CET1 Capital00401.1.1.1.1Fully paid up capital instruments00451.1.1.1.1Of which: Capital instruments subscribed by public authorities in emergency situations00501.1.1.1.2Memorandum item: Capital instruments not eligible00601.1.1.1.3Share premium00701.1.1.1.4(-) Own CET1 instruments00801.1.1.1.4.1(-) Direct holdings of CET1 instruments00901.1.1.1.4.2(-) Indirect holdings of CET1 instruments00911.1.1.1.4.3(-) Synthetic holdings of CET1 instruments00921.1.1.1.5(-) Actual or contingent obligations to purchase own CET1 instruments01301.1.1.2Retained earnings01401.1.1.2.1Previous years retained earnings01501.1.1.2.2Profit or loss eligible01601.1.1.2.2.1Profit or loss attributable to owners of the parent01701.1.1.2.2.2(-) Part of interim or year-end profit not eligible01801.1.1.3Accumulated other comprehensive income02001.1.1.4Other reserves02101.1.1.5Funds for general banking risk02201.1.1.6Transitional adjustments due to grandfathered CET1 Capital instruments02301.1.1.7Minority interest given recognition in CET1 capital02401.1.1.8Transitional adjustments due to additional minority interests02501.1.1.9Adjustments to CET1 due to prudential filters02601.1.1.9.1(-) Increases in equity resulting from securitised assets 02701.1.1.9.2Cash flow hedge reserve02801.1.1.9.3Cumulative gains and losses due to changes in own credit risk on fair valued liabilities02851.1.1.9.4Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities02901.1.1.9.5(-) Value adjustments due to the requirements for prudent valuation03001.1.1.10(-) Goodwill03101.1.1.10.1(-) Goodwill accounted for as intangible asset03201.1.1.10.2(-) Goodwill included in the valuation of significant investments03301.1.1.10.3Deferred tax liabilities associated to goodwill03351.1.1.10.4Accounting revaluation of subsidiaries' goodwill derived from the consolidation of subsidiaries attributable to third persons03401.1.1.11(-) Other intangible assets03501.1.1.11.1(-) Other intangible assets before deduction of deferred tax liabilities03601.1.1.11.2Deferred tax liabilities associated to other intangible assets03651.1.1.11.3Accounting revaluation of subsidiaries' other intangible assets derived from the consolidation of subsidiaries attributable to third persons03701.1.1.12(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities03801.1.1.13(-) IRB shortfall of credit risk adjustments to expected losses03901.1.1.14(-) Defined benefit pension fund assets04001.1.1.14.1(-) Defined benefit pension fund assets04101.1.1.14.2Deferred tax liabilities associated to defined benefit pension fund assets04201.1.1.14.3Defined benefit pension fund assets which the institution has an unrestricted ability to use04301.1.1.15(-) Reciprocal cross holdings in CET1 Capital04401.1.1.16(-) Excess of deduction from AT1 items over AT1 Capital04501.1.1.17(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1250 % risk weight04601.1.1.18(-) Securitisation positions which can alternatively be subject to a 1250 % risk weight04701.1.1.19(-) Free deliveries which can alternatively be subject to a 1250 % risk weight04711.1.1.20(-) 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 weight04721.1.1.21(-) Equity exposures under an internal models approach which can alternatively be subject to a 1250 % risk weight

04801.1.1.22(-) CET1 instruments of financial sector entites where the institution does not have a significant investment04901.1.1.23(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences05001.1.1.24(-) CET1 instruments of financial sector entities where the institution has a significant investment05101.1.1.25(-) Amount exceeding the 17.65 % threshold05111.1.1.25.1(-) Amount exceeding the 17.65 % threshold related to CET1 instruments of financial sector entities where the institution has a significant investment05121.1.1.25.2(-) Amount exceeding the 17.65 % threshold related to deferred tax assets arising from temporary differences05131.1.1.25A(-) Insufficient coverage for non-performing exposures05141.1.1.25B(-) Minimum value commitment shortfalls05151.1.1.25C(-) Other foreseeable tax charges05201.1.1.26Other transitional adjustments to CET1 Capital05241.1.1.27(-) Additional deductions of CET1 Capital due to Article 3 CRR05291.1.1.28CET1 capital elements or deductions - other05301.1.2ADDITIONAL TIER 1 CAPITAL05401.1.2.1Capital instruments eligible as AT1 Capital05511.1.2.1.1Fully paid up, directly issued capital instruments05601.1.2.1.2Memorandum item: Capital instruments not eligible05711.1.2.1.3Share premium05801.1.2.1.4(-) Own AT1 instruments05901.1.2.1.4.1(-) Direct holdings of AT1 instruments06201.1.2.1.4.2(-) Indirect holdings of AT1 instruments06211.1.2.1.4.3(-) Synthetic holdings of AT1 instruments06221.1.2.1.5(-) Actual or contingent obligations to purchase own AT1 instruments06601.1.2.2Transitional adjustments due to grandfathered AT1 Capital instruments06701.1.2.3Instruments issued by subsidiaries that are given recognition in AT1 Capital06801.1.2.4Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries06901.1.2.5(-) Reciprocal cross holdings in AT1 Capital07001.1.2.6(-) AT1 instruments of financial sector entities where the institution does not have a significant investment 07101.1.2.7(-) AT1 instruments of financial sector entities where the institution has a significant investment07201.1.2.8(-) Excess of deduction from T2 items over T2 Capital07301.1.2.9Other transitional adjustments to AT1 Capital07401.1.2.10Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)07441.1.2.11(-) Additional deductions of AT1 Capital due to Article 3 CRR07481.1.2.12AT1 capital elements or deductions - other07501.2TIER 2 CAPITAL07601.2.1Capital instruments eligible as T2 Capital07711.2.1.1Fully paid up, directly issued capital instruments07801.2.1.2Memorandum item: Capital instruments not eligible07911.2.1.3Share premium08001.2.1.4(-) Own T2 instruments08101.2.1.4.1(-) Direct holdings of T2 instruments08401.2.1.4.2(-) Indirect holdings of T2 instruments08411.2.1.4.3(-) Synthetic holdings of T2 instruments08421.2.1.5(-) Actual or contingent obligations to purchase own T2 instruments08801.2.2Transitional adjustments due to grandfathered T2 Capital instruments08901.2.3Instruments issued by subsidiaries that are given recognition in T2 Capital09001.2.4Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries09101.2.5IRB Excess of provisions over expected losses eligible09201.2.6SA General credit risk adjustments09301.2.7(-) Reciprocal cross holdings in T2 Capital09401.2.8(-) T2 instruments of financial sector entities where the institution does not have a significant investment09501.2.9(-) T2 instruments of financial sector entities where the institution has a significant investment09551.2.9A(-) Excess of deductions from eligible liabilities over eligible liabilities09601.2.10Other transitional adjustments to T2 Capital09701.2.11Excess of deduction from T2 items over T2 Capital (deducted in AT1)09741.2.12(-) Additional deductions of T2 Capital due to Article 3 CRR09781.2.13T2 capital elements or deductions - other

C 02.00 - OWN FUNDS REQUIREMENTS (CA2) RowsItemLabelAmount00101TOTAL RISK EXPOSURE AMOUNT00201Of which: Investment firms under Article 95 paragraph 2 and Article 98 CRR00301Of which: Investment firms under Article 96 paragraph 2 and Article 97 CRR00401.1RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES00501.1.1Standardised approach (SA)00511.1.1Of which: Additional stricter prudential requirements based on Article 124 CRR00601.1.1.1SA exposure classes excluding securitisation positions00701.1.1.1.01Central governments or central banks00801.1.1.1.02Regional governments or local authorities00901.1.1.1.03Public sector entities01001.1.1.1.04Multilateral Development Banks01101.1.1.1.05International Organisations01201.1.1.1.06Institutions01301.1.1.1.07Corporates01401.1.1.1.08Retail01501.1.1.1.09Secured by mortgages on immovable property01601.1.1.1.10Exposures in default01701.1.1.1.11Items associated with particular high risk01801.1.1.1.12Covered bonds01901.1.1.1.13Claims on institutions and corporates with a short-term credit assessment02001.1.1.1.14Collective investments undertakings (CIU)02101.1.1.1.15Equity02111.1.1.1.16Other items02401.1.2Internal ratings based Approach (IRB)02411.1.2Of which: Additional stricter prudential requirements based on Article 164 CRR02421.1.2Of which: Additional stricter prudential requirements based on Article 124 CRR02501.1.2.1IRB approaches when neither own estimates of LGD nor Conversion Factors are used 02601.1.2.1.01Central governments and central banks02701.1.2.1.02Institutions02801.1.2.1.03Corporates - SME02901.1.2.1.04Corporates - Specialised Lending03001.1.2.1.05Corporates - Other03101.1.2.2IRB approaches when own estimates of LGD and/or Conversion Factors are used03201.1.2.2.01Central governments and central banks03301.1.2.2.02Institutions03401.1.2.2.03Corporates - SME03501.1.2.2.04Corporates - Specialised Lending03601.1.2.2.05Corporates - Other03701.1.2.2.06Retail - Secured by real estate SME03801.1.2.2.07Retail - Secured by real estate non-SME03901.1.2.2.08Retail - Qualifying revolving04001.1.2.2.09Retail - Other SME04101.1.2.2.10Retail - Other non-SME04201.1.2.3Equity IRB04501.1.2.5Other non credit-obligation assets04601.1.3Risk exposure amount for contributions to the default fund of a CCP04701.1.4Securitisation positions04901.2TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY05001.2.1Settlement/delivery risk in the non-Trading book05101.2.2Settlement/delivery risk in the Trading book05201.3TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS05301.3.1Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)05401.3.1.1Traded debt instruments05501.3.1.2Equity05551.3.1.3Particular approach for position risk in CIUs05561.3.1.3Memo item: CIUs exclusively invested in traded debt instruments 05571.3.1.3Memo item: CIUs invested exclusively in equity instruments or in mixed instruments05601.3.1.4Foreign Exchange05701.3.1.5Commodities05801.3.2Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)05901.4TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )06001.4.1OpR Basic indicator approach (BIA)06101.4.2OpR Standardised (STA) / Alternative Standardised (ASA) approaches06201.4.3OpR Advanced measurement approaches (AMA)06301.5ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS06401.6TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT06501.6.1Advanced method06601.6.2Standardised method06701.6.3Based on OEM06801.7TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK06901.8OTHER RISK EXPOSURE AMOUNTS07101.8.2Of which: Additional stricter prudential requirements based on Article 458 CRR07201.8.2Of which: requirements for large exposures07301.8.2Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property07401.8.2Of which: due to intra financial sector exposures07501.8.3Of which: Additional stricter prudential requirements based on Article 459 CRR07601.8.4Of which: Additional risk exposure amount due to Article 3 CRR

C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3) RowsIDItemAmount00101CET1 Capital ratio00202Surplus(+)/Deficit(-) of CET1 capital00303T1 Capital ratio00404Surplus(+)/Deficit(-) of T1 capital00505Total capital ratio00606Surplus(+)/Deficit(-) of total capitalMemorandum Items: Total SREP Capital Requirement (TSCR), Overall Capital Requirement (OCR) and Pillar 2 Guidance (P2G)013013Total SREP capital requirement (TSCR) ratio014013TSCR: to be made up of CET1 capital015013TSCR: to be made up of Tier 1 capital016014Overall capital requirement (OCR) ratio017014OCR: to be made up of CET1 capital018014OCR: to be made up of Tier 1 capital019015OCR and Pillar 2 Guidance (P2G)020015OCR and P2G: to be made up of CET1 capital021015OCR and P2G: to be made up of Tier 1 capital022016Surplus(+)/Deficit(-) of CET1 capital considering the requirements of Article 92 CRR and 104a CRDMemorandum Items: Capital ratios without application of the transitional provisions on IFRS 9030020CET1 Capital ratio without application of the transitional provisions on IFRS 9031021T1 Capital ratio without application of the transitional provisions on IFRS 9032022Total capital ratio without application of the transitional provisions on IFRS 9 C 04.00 - MEMORANDUM ITEMS (CA4) RowIDItemColumnDeferred tax assest and liabilities001000101Total deferred tax assets00201.1Deferred tax assets that do not rely on future profitability00301.2Deferred tax assets that rely on future profitability and do not arise from temporary differences00401.3Deferred tax assets that rely on future profitability and arise from temporary differences00502Total deferred tax liabilities00602.1Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability00702.2Deferred tax liabilities deductible from deferred tax assets that rely on future profitability00802.2.1Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences00902.2.2Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences00932ATax overpayments and tax loss carry backs00962BDeferred Tax Assets subject to a risk weight of 250%00972CDeferred Tax Assets subject to a risk weight of 0%Exception from deductions from CET109012WException from deduction of intangible assets from CET1Accounting classification of AT1 instruments09052YCapital instruments and the related share premium accounts classified as equity under applicable accounting standards09062ZCapital instruments and the related share premium accounts classified as liabilities under applicable accounting standardsCredit risk adjustments and expected losses01003IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures01103.1Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount01203.1.1General credit risk adjustments01303.1.2Specific credit risk adjustments

01313.1.3Additional value adjustments and other own funds reductions01403.2Total expected losses eligible01454IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures01504.1Specific credit risk adjustments and positions treated similarily01554.2Total expected losses eligible01605Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T201706Total gross provisions eligible for inclusion in T2 capital01807Risk weighted exposure amounts for calculating the cap to the provision eligible as T2Thresholds for Common Equity Tier 1 deductions01908Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment0200910% CET1 threshold02101017.65% CET1 threshold022511Eligible capital for the purposes of qualifying holdings outside the financial sectorInvestments in the capital of financial sector entities where the institution does not have a significant investment023012Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions024012.1Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment025012.1.1Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment026012.1.2(-) Permitted offsetting short positions in relation to the direct gross holdings included above027012.2Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment028012.2.1Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment029012.2.2(-) Permitted offsetting short positions in relation to the indirect gross holdings included above029112.3Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 029212.3.1Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment029312.3.2(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above030013Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions031013.1Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment032013.1.1Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment033013.1.2(-) Permitted offsetting short positions in relation to the direct gross holdings included above034013.2Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment035013.2.1Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment036013.2.2(-) Permitted offsetting short positions in relation to the indirect gross holdings included above036113.3Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment036213.3.1Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment036313.3.2(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above037014Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions038014.1Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment039014.1.1Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment040014.1.2(-) Permitted offsetting short positions in relation to the direct gross holdings included above041014.2Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment042014.2.1Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment043014.2.2(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

043114.3Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment043214.3.1Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment043314.3.2(-) 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 investment044015Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions045015.1Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment046015.1.1Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment047015.1.2(-) Permitted offsetting short positions in relation to the direct gross holdings included above048015.2Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment049015.2.1Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment050015.2.2(-) Permitted offsetting short positions in relation to the indirect gross holdings included above050115.3Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment050215.3.1Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment050315.3.2(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above050415AInvestments in CET1 capital of financial sector entities where the institution has a significant investment - subject to a risk weight of 250%051016Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions052016.1Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment053016.1.1Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment054016.1.2(-) Permitted offsetting short positions in relation to the direct gross holdings included above055016.2Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment 056016.2.1Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment057016.2.2(-) Permitted offsetting short positions in relation to the indirect gross holdings included above057116.3Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment057216.3.1Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment057316.3.2(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above058017Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions059017.1Direct holdings of T2 capital of financial sector entities where the institution has a significant investment060017.1.1Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment061017.1.2(-) Permitted offsetting short positions in relation to the direct gross holdings included above062017.2Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment063017.2.1Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment064017.2.2(-) Permitted offsetting short positions in relation to the indirect gross holdings included above064117.3Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment064217.3.1Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment064317.3.2(-) 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:065018Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital066019Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital067020Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capitalTemporary waiver from deduction from own funds068021Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

069022Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived070023Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived071024Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived072025Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived073026Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waivedCapital buffers074027Combined buffer requirement0750Capital conservation buffer0760Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State0770Institution specific countercyclical capital buffer0780Systemic risk buffer0800Global Systemically Important Institution buffer0810Other Systemically Important Institution bufferPillar II requirements082028Own funds requirements related to Pillar II adjustmentsAdditional information for investment firms083029Initial capital084030Own funds based on Fixed OverheadsAdditional information for calculation of reporting thresholds085031Non-domestic original exposures086032Total original exposures C 05.01 - TRANSITIONAL PROVISIONS (CA5.1) Adjustments to CET1Adjustments to AT1Adjustments to T2Adjustments included in RWAsMemorandum itemsApplicable percentageEligible amount without transitional provisionsCodeIDItem00100020003000400050006000101TOTAL ADJUSTMENTS00201.1GRANDFATHERED INSTRUMENTSlink to {CA1;r0220}link to {CA1;r0660}link to {CA1;r0880}00601.1.2Instruments not constituting state aid00611.1.3Instruments issued through special purpose vehicles00621.1.4Instruments issued before 27 June 2019 that do not meet the eligibility criteria related to write-down and conversion powers pursuant to Article 59 BRRD or are subject to set-off or netting arrangements00631.1.4.1of which: Instruments without legally or contractually mandatory write-down or conversion upon exercise of Article 59 BRRD powers00641.1.4.2of which: Instruments governed by third-country law without effective and enforceable exercise of Article 59 BRRD powers00651.1.4.3of which: Instruments subject to set-off or netting arrangements 00701.2MINORITY INTERESTS AND EQUIVALENTSlink to {CA1;r0240}link to {CA1;r0680}link to {CA1;r0900}00801.2.1Capital instruments and items that do not qualify as minority interests00901.2.2Transitional recognition in consolidated own funds of minority interests00911.2.3Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital00921.2.4Transitional recognition in consolidated own funds of qualifying Tier 2 capital01001.3OTHER TRANSITIONAL ADJUSTMENTSlink to {CA1;r0520}link to {CA1;r0730}link to {CA1;r0960}01111.3.1.6Unrealised gains and losses from certain debt exposures to central governments, regional governments, local authorities and PSEs01121.3.1.6.1of which: amount A01401.3.2Deductions01701.3.2.3Deferred tax assets that rely on future profitability and do not arise from temporary differences

03801.3.2.9Deferred 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 investment03851.3.2.9aDeferred tax assets that are dependent on future profitability and arise from temporary differences04251.3.2.11Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items04301.3.3Additional filters and deductions04401.3.4Adjustments due to IFRS 9 transitional arrangements04411.3.4.1Memorandum item: ECL impact of the static component04421.3.4.2Memorandum item: ECL impact of the dynamic component for the period 1.1.2018 – 31.12.201904431.3.4.3Memorandum item: ECL impact of the dynamic component for the period starting on 1.1.2020 C 05.02 - GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) Amount of instruments plus related share premiumBase for calculating the limitApplicable percentageLimit(-) Amount that exceeds the limits for grandfatheringTotal grandfathered amountCodeIDItem00100020003000400050006000101.Instruments that qualified for point (a) of Article 57 of 2006/48/EClink to {CA5.1;r060;c010)00202.Instruments that qualified for point (ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489 CRRlink to {CA5.1;r060;c020)00302.1Total instruments without a call or an incentive to redeem00402.2.Grandfathered instruments with a call and incentive to redeem00502.2.1Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 CRR after the date of effective maturity00602.2.2Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 CRR after the date of effective maturity00702.2.3Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 CRR after the date of effective maturity 00802.3Excess on the limit of CET1 grandfathered instruments00903Items that qualified for points (e), (f), (g) or (h) of Article 57 of 2006/48/EC, subject to the limit of Article 490 CRRlink to {CA5.1;r060;c030)01003.1Total items without an incentive to redeem01103.2Grandfathered items with an incentive to redeem01203.2.1Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 CRR after the date of effective maturity01303.2.2Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 CRR after the date of effective maturity01403.2.3Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 CRR after the date of effective maturity01503.3Excess 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 CAPITAL025002600270028002900300031003200330034003500360037003800390040004100420043004400450047004800010TOTAL 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 BUFFERSNAMECODETYPE OF CODENATIONAL CODEINSTITUTION OR EQUIVALENT (YES/NO)TYPE OF ENTITYSCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP)COUNTRY CODESHARE OF HOLDING (%)OWN FUNDSTOTAL RISK EXPOSURE AMOUNTQUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDSCONSOLIDATED OWN FUNDSCOMBINED BUFFER REQUIREMENTTOTAL RISK EXPOSURE AMOUNTCREDIT; 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 CAPITALMEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILLOF 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 CAPITALMINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITALQUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL 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 CAPITAL00110021002600270030003500400050006000700080009001000110012001300140015001600170018001900200021002200230024002500260027002800290030003100320033003400350036003700380039004000410042004300440045004700480

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 SUPPORTING FACTORS(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTORRISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORSUNFUNDED 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 ADJUSTMENTSOF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK EXCLUDING EXPOSURES CLEARED THROUGH A CCP0010003000400050006000700080009001000110012001300140015001600170018001900200021002110215021602170220023002400010TOTAL EXPOSURESCell linked to CA0015of which: Defaulted exposures0020of which: SME0030of which: Exposures subject to SME-supporting factor0035of which: Exposures subject to the Infrastructure supporting factor0040of which: Secured by mortgages on immovable property - Residential property0050of which: Exposures under the permanent partial use of the standardised approach 0060of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementationBREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:0070On balance sheet exposures subject to credit risk0080Off balance sheet exposures subject to credit riskExposures / Transactions subject to counterparty credit risk0090Securities Financing Transactions netting sets0100of which: centrally cleared through a QCCP0110Derivatives & Long Settlement Transactions netting sets0120of which: centrally cleared through a QCCP 0130From Contractual Cross Product netting setsBREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:01400 %01502 %01604 %017010 %018020 %019035 %020050 %021070 %022075 %0230100 %0240150 %0250250 % 0260370 %02701250 %0280Other risk weightsBREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU):0281Look-through approach0282Mandate-based approach0283Fall-back approachMEMORANDUM ITEMS0290Exposures secured by mortgages on commercial immovable property0300Exposures in default subject to a risk weight of 100 %0310Exposures secured by mortgages on residential property0320Exposures 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 SCALEORIGINAL 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 SUPPORTING FACTORS(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTORRISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORSMEMORANDUM 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 OBLIGORSPRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES(-) GUARANTEES(-) CREDIT DERIVATIVES(-) TOTAL 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 ENTITIESCASH ON DEPOSITLIFE INSURANCE POLICIESINSTRUMENTS HELD BY A THIRD PARTYREAL ESTATEOTHER PHYSICAL COLLATERALRECEIVABLES00100020003000400050006000700080009001000110012001300140015001600170017101720173018001900200021002200230024002500255025602570260027002800290030003100010TOTAL EXPOSURESCell linked to CA0015of which: Exposures subject to SME-supporting factor0016of which: Exposures subject to the Infrastructure supporting factorBREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:0020On balance sheet items subject to credit risk0030Off balance sheet items subject to credit riskExposures / Transactions subject to counterparty credit risk 0040Securities Financing Transactions netting sets0050Derivatives & Long Settlement Transactions netting sets0060From Contractual Cross Product netting sets0070EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL0080SPECIALIZED LENDING SLOTTING APPROACH: TOTAL0160ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE0170EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS0180DILUTION 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 SCALEORIGINAL 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 SUPPORTING FACTORS(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTORRISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORSMEMORANDUM 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 OBLIGORSPRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES(-) GUARANTEES(-) CREDIT DERIVATIVES(-) TOTAL 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 ENTITIESCASH ON DEPOSITLIFE INSURANCE POLICIESINSTRUMENTS HELD BY A THIRD PARTYREAL ESTATEOTHER PHYSICAL COLLATERALRECEIVABLES00050010002000300040005000600070008000900100011001200130014001500160017001710172017301800190020002100220023002400250025502560257026002700280029003000310 C 08.03 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGES (CR IRB 3) IRB Exposure class: Own estimates of LGD and/or conversion factors: PD RANGEON-BALANCE SHEET EXPOSURESOFF-BALANCE-SHEET EXPOSURES PRE-CONVERSION FACTORSEXPOSURE WEIGHTED AVERAGE CONVERSION FACTORSEXPOSURE VALUE POST CONVERSION FACTORS AND POST CRMEXPOSURE WEIGHTED AVERAGE PD (%)NUMBER OF OBLIGORSEXPOSURE WEIGHTED AVERAGE LGD (%)EXPOSURE WEIGHTED AVERAGE MATURITY (YEARS)RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORSEXPECTED LOSS AMOUNTVALUE ADJUST-MENTS AND PROVISIONS0010002000300040005000600070008000900100011000100.00 to <0.1500200.00 to <0.1000300.10 to <0.1500400.15 to <0.2500500.25 to <0.5000600.50 to <0.7500700.75 to <2.500800.75 to <1.7500901.75 to <2.5

01002.5 to <1001102.5 to <501205 to <10013010 to <100014010 to <20015020 to <30016030 to <1000170100 (Default) C 08.04 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS (CR IRB 4) RISK WEIGHTED EXPOSURE AMOUNT00100010RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD0020ASSET SIZE (+/-)0030ASSET QUALITY (+/-)0040MODEL UPDATES (+/-)0050METHODOLOGY AND POLICY (+/-)0060ACQUISITIONS AND DISPOSALS (+/-)0070FOREIGN EXCHANGE MOVEMENTS (+/-)0080OTHER (+/-)0090RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD C 08.05 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD (CR IRB 5) IRB Exposure class: Own estimates of LGD and/or conversion factors: PD RANGEARITHMETIC AVERAGE PD (%)NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAROBSERVED AVERAGE DEFAULT RATE (%)AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%)OF WHICH: DEFAULTED DURING THE YEAR0010002000300040005000100.00 to <0.1500200.00 to <0.1000300.10 to <0.1500400.15 to <0.2500500.25 to <0.5000600.50 to <0.7500700.75 to <2.500800.75 to <1.7500901.75 to <2.501002.5 to <1001102.5 to <501205 to <10013010 to <100014010 to <20015020 to <30016030 to <1000170100 (Default) C 08.05.1 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD ACCORDING TO POINT (f) OF ARTICLE 180(1) (CR IRB 5) IRB Exposure class: Own estimates of LGD and/or conversion factors: PD RANGEEXTERNAL RATING EQUIVALENTARITHMETIC AVERAGE PD (%)NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAROBSERVED AVERAGE DEFAULT RATE (%)AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%)OF WHICH: DEFAULTED DURING THE YEAR0005000600100020003000400050 C 08.06 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6) Type of specialised lending: ORIGINAL EXPOSURE PRE CONVERSION FACTORSEXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORSEXPOSURE VALUERISK WEIGHTRISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORSMEMORANDUM ITEMS:EXPECTED LOSS AMOUNT(-) VALUE ADJUSTMENTS AND PROVISIONSOF WHICH: OFF BALANCE SHEET ITEMSOF WHICH: OFF BALANCE SHEET ITEMSOF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK00100020003000400050006000700080009001000010CATEGORY 1LESS THAN 2.5 YEARS50 %0020EQUAL TO OR MORE THAN 2.5 YEARS70 %0030CATEGORY 2LESS THAN 2.5 YEARS70 %0040EQUAL TO OR MORE THAN 2.5 YEARS90 %0050CATEGORY 3LESS THAN 2.5 YEARS115 %0060EQUAL TO OR MORE THAN 2.5 YEARS115 %0070CATEGORY 4LESS THAN 2.5 YEARS250 %0080EQUAL TO OR MORE THAN 2.5 YEARS250 % 0090CATEGORY 5LESS THAN 2.5 YEARS—0100EQUAL TO OR MORE THAN 2.5 YEARS—0110TOTALLESS THAN 2.5 YEARS0120EQUAL TO OR MORE THAN 2.5 YEARS C 08.07 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA APPROACHES (CR IRB 7) TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRRTOTAL EXPOSURE VALUE SUBJECT TO SA AND IRBPERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO PERMANENT PARTIAL USE OF SA (%)PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO A ROLL-OUT PLAN (%)PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO IRB APPROACH (%)001000200030004000500010CENTRAL GOVERNMENTS OR CENTRAL BANKS0020OF WHICH: REGIONAL GOVERNMENTS OR LOCAL AUTHORITIES0030OF WHICH: PUBLIC SECTOR ENTITIES0040INSTITUTIONS0050CORPORATES0060OF WHICH: CORPORATES - SPECIALISED LENDING, EXCLUDING SLOTTING APPROACH0070OF WHICH: CORPORATES - SPECIALISED LENDING, INCLUDING SLOTTING APPROACH0080OF WHICH: CORPORATES - SMES0090RETAIL0100OF WHICH RETAIL – SECURED BY REAL ESTATE SMES

0110OF WHICH RETAIL – SECURED BY REAL ESTATE NON-SMES0120OF WHICH RETAIL – QUALIFYING REVOLVING0130OF WHICH RETAIL – OTHER SMES0140OF WHICH RETAIL – OTHER NON-SMES0150EQUITY0160OTHER NON-CREDIT OBLIGATION ASSETS0170TOTAL 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 offsAdditional value adjustments and other own funds reductionsCredit risk adjustments/write-offs for observed new defaultsEXPOSURE VALUERISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTORRISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORSDefaulted exposures00100020004000500055006000610070007500800081008200900010Central governments or central banks0020Regional governments or local authorities0030Public sector entities0040Multilateral Development Banks0050International Organisations0060Institutions0070Corporates0075of which: SME0080Retail0085of which: SME0090Secured by mortgages on immovable property0095of which: SME 0100Exposures in default0110Items associated with particularly high risk0120Covered bonds0130Claims on institutions and corporates with a short-term credit assessment0140Collective investments undertakings (CIU)0141Look-through approach0142Mandate-based approach0143Fall-back approach0150Equity exposures0160Other exposures0170Total 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 SUPPORTING FACTORS(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTORRISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORSEXPECTED LOSS AMOUNTOf which: defaultedOf which: defaultedOf which: defaulted001000300040005000550060007000800090010001050110012001210122012501300010Central governments or central banks0020Institutions0030Corporates0042Of Which: Specialised Lending (excl. SL under the slotting approach)0045Of Which: Specialised Lending under the slotting approach0050Of Which: SME0060Retail0070Secured by immovable property0080SME0090Non-SME 0100Qualifying Revolving0110Other Retail0120SME0130Non-SME0140Equity0150Total 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 information001000200030Relevant credit exposures - Credit Risk0010Exposure value under the Standardised Approach0020Exposure value under the IRB ApproachRelevant credit exposures – Market risk0030Sum of long and short positions of trading book exposures for standardised approaches0040Value of trading book exposures for internal modelsRelevant credit exposures – Securitisation0055Exposure value of securitisation positions in the banking bookOwn funds requirements and weights0070Total own funds requirements for CCB0080Own funds requirements for relevant credit exposures – Credit risk0090Own funds requirements for relevant credit exposures – Market risk0100Own funds requirements for relevant credit exposures – Securitisation positions in the banking book0110Own funds requirements weightsCountercyclical capital buffer rates0120Countercyclical capital buffer rate set by the Designated Authority0130Countercyclical capital buffer rate applicable for the country of the institution

0140Institution-specific countercyclical capital buffer rateUse of 2 % threshold0150Use of 2 % threshold for general credit exposure0160Use of 2 % threshold for trading book exposure C 10.01 - CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1) INTERNAL RATING SCALEORIGINAL EXPOSURE PRE CONVERSION FACTORSCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSUREEXPOSURE VALUE EXPOSURE WEIGHTED AVERAGE LGD (%) RISK WEIGHTED EXPOSURE AMOUNTMEMORANDUM ITEM:UNFUNDED CREDIT PROTECTIONSUBSTITUTION OF THE EXPOSURE DUE TO CRMOF WHICH: OFF BALANCE SHEET ITEMSEXPECTED LOSS AMOUNT PD ASSIGNED TO THE OBLIGOR GRADE (%) (-) GUARANTEES(-) CREDIT DERIVATIVES(-) TOTAL OUTFLOWS00100020003000400050006000610070008000900010TOTAL IRB EQUITY EXPOSURESCell linked to CA0020PD/LGD APRROACH: TOTAL0050SIMPLE RISK WEIGHT APPROACH: TOTAL0060BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:0070RISK WEIGHT: 190 %0080290 %0090370 %0100INTERNAL MODELS APPROACH0110EQUITY 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 SCALEORIGINAL 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 OUTFLOWS0005001000200030004000500060007000800090 C 11.00 - SETTLEMENT/DELIVERY RISK (CR SETT) UNSETTLED TRANSACTIONS AT SETTLEMENT PRICEPRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONSOWN FUNDS REQUIREMENTSTOTAL SETTLEMENT RISK EXPOSURE AMOUNT00100020003000400010Total unsettled transactions in the Non-trading BookCell linked to CA0020Transactions unsettled up to 4 days (Factor 0%)0030Transactions unsettled between 5 and 15 days (Factor 8%)0040Transactions unsettled between 16 and 30 days (Factor 50%)0050Transactions unsettled between 31 and 45 days (Factor 75%)0060Transactions unsettled for 46 days or more (Factor 100%)0070Total unsettled transactions in the Trading BookCell linked to CA0080Transactions unsettled up to 4 days (Factor 0%)0090Transactions unsettled between 5 and 15 days (Factor 8%)0100Transactions unsettled between 16 and 30 days (Factor 50%)0110Transactions unsettled between 31 and 45 days (Factor 75%)0120Transactions 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 CA0020SECURITISATIONS0030QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0040STS EXPOSURES0050SENIOR POSITION IN SMEs SECURITISATIONS0060NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0070RE-SECURITISATIONS0080ORIGINATOR: TOTAL EXPOSURES0090SECURITISATIONS: ON-BALANCE SHEET ITEMS0100QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0110OF WHICH: SENIOR EXPOSURES0120NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0130OF WHICH: SENIOR EXPOSURES0140SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES0150QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0160OF WHICH: SENIOR EXPOSURES0170NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0180OF WHICH: SENIOR EXPOSURES0190RE-SECURITISATIONS0200INVESTOR: TOTAL EXPOSURES0210SECURITISATIONS: ON-BALANCE SHEET ITEMS0220QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0230OF WHICH: SENIOR EXPOSURES

0240NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0250OF WHICH: SENIOR EXPOSURES0260SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES0270QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0280OF WHICH: SENIOR EXPOSURES0290NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0300OF WHICH: SENIOR EXPOSURES0310RE-SECURITISATIONS0320SPONSOR: TOTAL EXPOSURES0330SECURITISATIONS: ON-BALANCE SHEET ITEMS 0340QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0350OF WHICH: SENIOR EXPOSURES0360NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0370OF WHICH: SENIOR EXPOSURES0380SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES0390QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0400OF WHICH: SENIOR EXPOSURES0410NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0420OF WHICH: SENIOR EXPOSURES0430RE-SECURITISATIONS0440BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: Short term 0450CQS 10460CQS 20470CQS 30480ALL OTHER CQS AND UNRATED0490BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: Long term0500CQS 10510CQS 20520CQS 30530CQS 40540CQS 50550CQS 60560CQS 70570CQS 8 0580CQS 90590CQS 100600CQS 110610CQS 120620CQS 130630CQS 140640CQS 150650CQS 160660CQS 170670ALL OTHER CQS AND UNRATED C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details) INTERNAL CODEIDENTIFIER OF THE SECURITISATIONINTRA-GROUP, PRIVATE OR PUBLIC SECURITISA-TION? 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 (yyyy-mm-dd) DATE OF LATEST ISSUANCE (yyyy-mm-dd) TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATETOTAL AMOUNT INSTITUTION'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 (%)CQS0010002000210110003000400051006000610070007504460080009001000120012101300140015001600171018001810190020102020203020402100221022202230225023002310232024002410242025002510252026002700280029002910300030203030304

C 14.01 - DETAILED INFORMATION ON SECURITISATIONS BY APPROACH (SEC Details Approach) Approach: INTERNAL 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 / INSTRUMENTLONGSHORT0010002003100320033003400350035103600361037003800390040004110420043004310432044004470448045004600470 C 34.01 COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESS (CCR 1) MONTH 1MONTH 2MONTH 3QUALITATIVE INFORMATIONLONG DERIVATIVE POSITIONSSHORT DERIVATIVE POSITIONSTOTALLONG DERIVATIVE POSITIONSSHORT DERIVATIVE POSITIONSTOTALLONG DERIVATIVE POSITIONSSHORT DERIVATIVE POSITIONSTOTAL00100020003000400050006000700080009001000010Size of the derivative business0020On- and off-balance sheet derivatives0030(-) Credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures0040Total assets0050Percentage of total assetsDEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) CRR0060Are the conditions of Article 273a (4) CRR met, including the approval from the competent authority?0070Method for calculating exposure values at consolidated level C 34.02 COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACH (CCR 2) Exposures APPROACHNUMBER OF COUNTERPARTIESNUMBER OF TRANSACTIONS NOTIONAL AMOUNTS CURRENT MARKET VALUE (CMV), POSITIVECURRENT MARKET VALUE (CMV), NEGATIVEVARIATION MARGIN (VM), RECEIVEDVARIATION MARGIN (VM), POSTEDNET INDEPENDENT COLLATERAL AMOUNT (NICA), RECEIVEDNET INDEPENDENT COLLATERAL AMOUNT (NICA), POSTEDREPLACE-MENT COST (RC)POTENTIAL FUTURE EXPOSURE (PFE)CURRENT EXPOSUREEEPEALPHA USED FOR COMPUTING REGULATORY EXPOSURE VALUE EXPOSURE VALUE PRE-CRM EXPOSURE VALUE POST-CRMEXPOSURE VALUERISK WEIGHTED EXPOSURE AMOUNTSPositions treated with the CR Standardised ApproachPositions treated with the CR IRB ApproachPositions treated with the CR Standardised ApproachPositions treated with the CR IRB Approach00100020003000400050006000700080009001000110012001300140015001600170018001900200021002200010ORIGINAL EXPOSURE METHOD (FOR DERIVATIVES)1,40020SIMPLIFIED SA-CCR (FOR DERIVATIVES)1,40030SA-CCR (FOR DERIVATIVES)1,40040IMM (FOR DERIVATIVES AND SFTS)0050Securities financing transactions netting sets0060Derivatives and long settlement transactions netting sets0070From contractual cross-product netting sets0080FINANCIAL COLLATERAL SIMPLE METHOD (FOR SFTS)0090FINANCIAL COLLATERAL COMPREHENSIVE METHOD (FOR SFTS)0100VAR FOR SFTS0110TOTAL0120of which: SWWR positions0130Margined business0140Unmargined business

C 34.03 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR or SIMPLIFIED SA-CCR (CCR 3) CCR approach RISK CATEGORIESCURRENCYSECOND CURRENCY IN PAIRNUMBER OF TRANSACTIONSNOTIONAL AMOUNTSCURRENT MARKET VALUE (CMV), POSITIVECURRENT MARKET VALUE (CMV), NEGATIVEADD-ON00100020003000400050006000700010TOTAL0020of which: Mapped to 2 risk categories0030of which: Mapped to 3 risk categories0040of which: Mapped to more than 3 risk categories0050INTEREST RATE RISK0060of which: Mapped exclusively to Interest rate risk category0070of which: Largest currency0080of which: 2nd largest currency0090of which: 3rd largest currency0100of which: 4th largest currency0110of which: 5th largest currency 0120FOREIGN EXCHANGE RISK0130of which: Mapped exclusively to Foreign Exchange risk category0140of which: Largest currency pair0150of which: 2nd largest currency pair0160of which: 3rd largest currency pair0170of which: 4th largest currency pair0180of which: 5th largest currency pair0190CREDIT RISK0200of which: Mapped exclusively to Credit risk category0210Single-name transactions0220Multi-names transactions0230EQUITY RISK0240of which: Mapped exclusively to Equity risk category0250Single-name transactions0260Multi-names transactions 0270COMMODITY RISK0280of which: Mapped exclusively to Commodity risk category0290Energy0300Metals0310Agricultural goods0320Climatic conditions0330Other commodities0340OTHER RISKS C 34.04 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE ORIGINAL EXPOSURE METHOD (OEM) (CCR 4) RISK CATEGORIESNUMBER OF TRANSACTIONSNOTIONAL AMOUNTSCURRENT MARKET VALUE (CMV), POSITIVECURRENT MARKET VALUE (CMV), NEGATIVEPOTENTIAL FUTURE EXPOSURE (PFE)001000200030004000500010TOTAL0020INTEREST RATE RISK0030FOREIGN EXCHANGE RISK0040CREDIT RISK0050EQUITY RISK0060COMMODITY RISK0070of which: electricity C 34.05 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM) (CCR 5) INSTRUMENTSMARGINEDUNMARGINEDEXPOSURE VALUENUMBER OF TRANSACTIONSNOTIONAL AMOUNTSCURRENT MARKET VALUE (CMV), POSITIVECURRENT MARKET VALUE (CMV), NEGATIVECURRENT EXPOSUREEEPEStress EEPEEXPOSURE VALUENUMBER OF TRANSACTIONSNOTIONAL AMOUNTSCURRENT MARKET VALUE (CMV), POSITIVECURRENT MARKET VALUE (CMV), NEGATIVECURRENT EXPOSUREEEPEStress EEPEEXPOSURE VALUE001000200030004000500060007000800090010001100120013001400150016001700010TOTAL0020of which: SWWR positions0030Netting sets treated with the CR Standardised Approach0040Netting sets treated with the CR IRB Approach0050OTC DERIVATIVESINTEREST RATE0060FOREIGN EXCHANGE0070CREDIT0080EQUITY0090COMMODITY0100OTHER0110TOTAL0120EXCHANGE TRADED DERIVATIVESINTEREST RATE0130FOREIGN EXCHANGE0140CREDIT0150EQUITY0160COMMODITY0170OTHER0180TOTAL 0190SECURITIES FINANCING TRANSACTIONSBOND UNDERLYING0200EQUITY UNDERLYING0210OTHER UNDERLYING0220TOTAL0230CONTRACTUAL CROSS-PRODUCT NETTING SETS C 34.06 COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIES (CCR 6) NAMECODETYPE OF CODENATIONAL CODESECTOR OF THE COUN-TERPARTYCOUNTERPARTY TYPERESIDENCY OF THE COUNTERPARTYNUMBER OF TRANSACTIONSNOTIONAL AMOUNTSCURRENT MARKET VALUE (CMV), POSITIVECURRENT MARKET VALUE (CMV), NEGATIVEEXPOSURE VALUE POST-CRMEXPOSURE VALUERISK WEIGHTED EXPOSURE AMOUNTS00100020003000350040005000600070008000900100011001200130

C 34.07 COUNTERPARTY CREDIT RISK: IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE (CCR 7) IRB Exposure class Own estimates of LGD and/or conversion factors: PD scaleExposure valueExposure weighted average PD (%)Number of obligorsExposure weighted average LGD (%)Exposure weighted average maturity (years)Risk weighted exposure amountsDensity of risk weighted exposure amounts001000200030004000500060007000100.00 to <0.1500200.00 to <0.1000300.10 to <0.1500400.15 to <0.2500500.25 to <0.5000600.50 to <0.7500700.75 to <2.5000800.75 to <1.7500901.75 to <2.501002.50 to <10.0001102.50 to <5.00 01205.00 to <10.00013010.00 to <100.00014010.00 to <20.00015020.00 to <30.00016030.00 to <100.000170100.00 (Default)0180Total C 34.08 COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURES (CCR 8) Collateral typeCollateral used in derivative transactionsCollateral used in SFTsFair value of collateral receivedFair value of posted collateralFair value of collateral receivedFair value of posted collateralSegregatedUnsegregatedSegregatedUnsegregatedSegregatedUnsegregatedSegregatedUnsegregatedInitial marginVariation marginInitial marginVariation marginInitial marginVariation marginInitial marginVariation marginInitial marginVariation marginInitial marginVariation marginSFT securityInitial marginVariation marginInitial marginVariation marginSFT security0010002000300040005000600070008000900100011001200130014001500160017001800010Cash – domestic currency0020Cash – other currencies0030Domestic sovereign debt0040Other sovereign debt0050Government agency debt0060Corporate bonds0070Equity securities0080Other collateral0090Total C 34.09 COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURES (CCR 9) Product typeNOTIONAL AMOUNTSFAIR VALUESPROTECTION BOUGHTPROTECTION SOLDPROTECTION BOUGHTPROTECTION SOLD00100020003000400010Single-name credit default swaps0020Index credit default swaps0030Total return swaps0040Credit options0050Other credit derivatives0060TotalFAIR VALUE BREAKDOWN0070Positive fair value (asset)0080Negative fair value (liability) C 34.10 COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPs (CCR 10) EXPOSURE VALUERISK WEIGHTED EXPOSURE AMOUNTS001000200010Exposures to QCCPs (total)0020Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which0030 (i) OTC derivatives 0040 (ii) Exchange-traded derivatives 0050 (iii) SFTs 0060 (iv) Netting sets where cross-product netting has been approved 0070Segregated initial margin0080Non-segregated initial margin0090Prefunded default fund contributions0100Unfunded default fund contributions0110Exposures to non-QCCPs (total)0120Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which0130 (i) OTC derivatives 0140 (ii) Exchange-traded derivatives 0150 (iii) SFTs 0160 (iv) Netting sets where cross-product netting has been approved 0170Segregated initial margin0180Non-segregated initial margin0190Prefunded default fund contributions0200Unfunded default fund contributions

C 34.11 COUNTERPARTY CREDIT RISK: RWEA FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM (CCR 11) RISK WEIGHTED EXPOSURE AMOUNTSQUARTERLY FLOWSANNUAL FLOWS001000200010Risk Weighted Exposure Amounts as at the end of the previous reporting period0020Asset size0030Credit quality of counterparties0040Model updates (IMM only)0050Methodology and policy (IMM only)0060Acquisitions and disposals0070Foreign exchange movements0080Other0090Risk Weighted Exposure Amounts as at the end of the current reporting period C 16.00 - OPERATIONAL RISK (OPR) BANKING ACTIVITIESRELEVANT INDICATORLOANS 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)00100020003000400050006000700071008000900100011001200010

  1. BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) Cell linked to CA20020
  2. BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES Cell linked to CA2SUBJECT TO TSA:0030CORPORATE FINANCE (CF)0040TRADING AND SALES (TS)0050RETAIL BROKERAGE (RBr)0060COMMERCIAL BANKING (CB)0070RETAIL BANKING (RB)0080PAYMENT AND SETTLEMENT (PS)0090AGENCY SERVICES (AS) 0100ASSET MANAGEMENT (AM)SUBJECT TO ASA:0110COMMERCIAL BANKING (CB)0120RETAIL BANKING (RB)0130
  3. BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA Cell linked to CA2 C 17.01 - OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1) MAPPING OF LOSSES TO BUSINESS LINESEVENT TYPESTOTAL 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 events (new events)0020Gross loss amount (new events)0030Number of 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 events (new events)0120Gross loss amount (new events)0130Number of 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 events (new events)0220Gross loss amount (new events)0230Number of 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 events)0320Gross loss amount (new events)0330Number of 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 events (new events)0420Gross loss amount (new events)0430Number of 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 events (new events)0520Gross loss amount (new events)0530Number of 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 events (new events)0620Gross loss amount (new events)0630Number of 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 events (new events)0720Gross loss amount (new events)0730Number of 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 events (new events)0820Gross loss amount (new events)0830Number of 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 events (new 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 events). Of which:0921related to losses ≥ 10000 and < 200000922related to losses ≥ 20000 and < 100000 0923related to losses ≥ 100000 and < 10000000924related to losses ≥ 10000000930Number of events subject to loss adjustments. Of which:0935of which: number of events with a positive loss adjustment0936of which: number of 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 discoveryEvent TypeGross lossGross loss net of direct recoveriesGROSS LOSS BY BUSINESS LINELegal Entity nameCodeType of codeBusiness 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]Rows001000200030004000500060007000800090010001100120013001400150016001700180018501900200… 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 CHARGELONGSHORTLONGSHORT00100020003000400050006000700010TRADED DEBT INSTRUMENTS IN TRADING BOOKCell linked to CA20011General risk0012Derivatives0013Other assets and liabilities0020Maturity-based approach0030Zone 100400 ≤ 1 month0050> 1 ≤ 3 months0060> 3 ≤ 6 months0070> 6 ≤ 12 months 0080Zone 20090> 1 ≤ 2 (1,9 for cupon of less than 3%) years0100> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years0110> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years0120Zone 30130> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3%) years0140> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years0150> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years0160> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years0170> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years0180> 20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years0190(> 12,0 ≤ 20,0 for cupon of less than 3%) years0200(> 20 for cupon of less than 3%) years 0210Duration-based approach0220Zone 10230Zone 20240Zone 30250Specific risk0251Own funds requirement for non-securitisation debt instruments0260Debt securities under the first category in Table 10270Debt securities under the second category in Table 10280With residual term ≤ 6 months0290With a residual term > 6 months and ≤ 24 months0300With a residual term > 24 months0310Debt securities under the third category in Table 10320Debt securities under the fourth category in Table 1 0321Rated nth-to default credit derivatives0325Own funds requirement for securitisation instruments0330Own funds requirement for the correlation trading portfolio0350Additional requirements for options (non-delta risks)0360Simplified method0370Delta plus approach - additional requirements for gamma risk0380Delta plus approach - additional requirements for vega risk0385Delta plus approach - non-continuous options and warrants0390Scenario 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) ACCORDING TO RISK WEIGHTSBREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTSBREAKDOWN OF THE NET POSITION ACCORDING TO 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 POSITIONS0010002000300040005000600061006200630064006500660071007200730074007500760077007800790081008200830085008600870088008900910092009300940095009600970098009901010102010301040402040304040405040605300540057006010010TOTAL EXPOSURESCell linked to MKR SA TDI {325:060}0020Of which: RE-SECURITISATIONS0030ORIGINATOR: TOTAL EXPOSURES0040SECURITISATIONS0041OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0050RE-SECURITISATIONS0060INVESTOR: TOTAL EXPOSURES0070SECURITISATIONS0071OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0080RE-SECURITISATIONS0090SPONSOR: TOTAL EXPOSURES0100SECURITISATIONS0101OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0110RE-SECURITISATIONS

C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) ALL POSITIONS(-) POSITIONS DEDUCTED FROM OWN FUNDSNET POSITIONSBREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTSBREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTSBREAKDOWN OF THE NET POSITION ACCORDING TO 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 POSITIONS001000200030004000500060007100720073007400750076007700780079008100820086008700880089009100920093009400950096009704020403040404050406041004200430044004500010TOTAL EXPOSURESCell linked to MKR SA TDI {330:060}SECURITISATION POSITIONS:0020ORIGINATOR: TOTAL EXPOSURES0030SECURITISATIONS0040OTHER CTP POSITIONS0050INVESTOR: TOTAL EXPOSURES0060SECURITISATIONS0070OTHER CTP POSITIONS0080SPONSOR: TOTAL EXPOSURES0090SECURITISATIONS0100OTHER CTP POSITIONSN-TH-TO-DEFAULT CREDIT DERIVATIVES:0110N-TH-TO-DEFAULT CREDIT DERIVATIVES0120OTHER 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 CHARGELONGSHORTLONGSHORT00100020003000400050006000700010EQUITIES IN TRADING BOOKCell linked to CA0020General risk0021Derivatives0022Other assets and liabilities0030Exchange traded stock-index futures broadly diversified subject to particular approach0040Other equities than exchange traded stock-index futures broadly diversified0050Specific risk0090Additional requirements for options (non-delta risks)0100Simplified method0110Delta plus approach - additional requirements for gamma risk0120Delta plus approach - additional requirements for vega risk 0125Delta plus approach - non-continuous options and warrants0130Scenario matrix approach C 22.00 - MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) ALL POSITIONSNET POSITIONSPOSITIONS 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 AMOUNTLONGSHORTLONGSHORTLONGSHORTMATCHED0020003000400050006000700080009001000010TOTAL POSITIONSCell linked to CA0020Currencies closely correlated0025of which: reporting currency0030All other currencies (including CIUs treated as different currencies)0040Gold0050Additional requirements for options (non-delta risks)0060Simplified method0070Delta plus approach - additional requirements for gamma risk0080Delta plus approach - additional requirements for vega risk

0085Delta plus approach - non-continuous options and warrants0090Scenario matrix approachBREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES0100Other assets and liabilities other than off-balance sheet items and derivatives0110Off-balance sheet items0120DerivativesMemorandum items: CURRENCY POSITIONS0130Euro0140Lek0150Argentine Peso0160Australian Dollar0170Brazilian Real 0180Bulgarian Lev0190Canadian Dollar0200Czech Koruna0210Danish Krone0220Egyptian Pound0230Pound Sterling0240Forint0250Yen0270Lithuanian Litas0280Denar0290Mexican Peso0300Zloty 0310Rumanian Leu0320Russian Ruble0330Serbian Dinar0340Swedish Krona0350Swiss Franc0360Turkish Lira0370Hryvnia0380US Dollar0390Iceland Krona0400Norwegian Krone 0410Hong Kong Dollar0420New Taiwan Dollar0430New Zealand Dollar0440Singapore Dollar0450Won0460Yuan Renminbi0470Other0480Croatian Kuna C 23.00 - MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) ALL POSITIONSNET POSITIONSPOSITIONS SUBJECT TO CAPITAL CHARGEOWN FUNDS REQUIREMENTSTOTAL RISK EXPOSURE AMOUNTLONGSHORTLONGSHORT00100020003000400050006000700010TOTAL POSITIONS IN COMMODITIESCell linked to CA0020Precious metals (except gold)0030Base metals0040Agricultural products (softs)0050Others0060Of which energy products (oil, gas)0070Maturity ladder approach0080Extended maturity ladder approach0090Simplified approach: All positions 0100Additional requirements for options (non-delta risks)0110Simplified method0120Delta plus approach - additional requirements for gamma risk0130Delta plus approach - additional requirements for vega risk0135Delta plus approach - non-continuous options and warrants0140Scenario matrix approach C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM) VaRSTRESSED VaRINCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGEALL PRICE RISKS CAPITAL CHARGE FOR CTPOWN FUNDS REQUIREMENTSTOTAL RISK EXPOSURE AMOUNTNumber Of Overshootings During Previous 250 Working DaysVaR 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 MEASURE00300040005000600070008000900100011001200130014001500160017001800010TOTAL POSITIONSCell linked to CAMemorandum items: BREAKDOWN OF MARKET RISK0020Traded debt instruments0030TDI - General risk0040TDI - Specific Risk0050Equities0060Equities - General risk0070Equities - Specific Risk0080Foreign Exchange risk0090Commodities risk0100Total amount for general risk0110Total amount for specific risk C 25.00 - CREDIT VALUE ADJUSTMENT RISK (CVA) EXPOSURE VALUEVaRSTRESSED VaROWN FUNDS REQUIREMENTSTOTAL RISK EXPOSURE AMOUNTMEMORANDUM ITEMSCVA RISK HEDGE NOTIONALSof which: OTC Derivativesof which: SFTMULTIPLICATION 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 CDS001000200030004000500060007000800090010001100120013001400010CVA risk totalLink to {CA2;r640;c010}0020According to Advanced methodLink to {CA2;r650;c010}0030According to Standardised methodLink to {CA2;r660;c010}0040Based 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 ART. 4(1) THRESHOLDOF WHICH: TRADING BOOKEXACTLY MATCHINGHEDGE ACCOUNTINGPRUDENTIAL FILTERSOTHERCOMMENTS FOR OTHEROF WHICH: TRADING BOOK00100020003000400050006000700080009000101TOTAL 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 ASSETS 01101.1.9DERIVATIVES - HEDGE ACCOUNTING01201.1.10FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK01301.1.11ÍNVESTMENTS 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 - 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) 2016/101

00901.1.1.1INTEREST RATES01001.1.1.2FOREIGN EXCHANGE01101.1.1.3CREDIT01201.1.1.4EQUITIES01301.1.1.5COMMODITIES01401.1.2(-) 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 2 01801.2PORTFOLIOS 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&LOF WHICH: USING THE EXPERT BASED APPROACHOF WHICH: AGGRE-GATED USING METHOD 2FAIR VALUED ASSETSFAIR VALUED LIABILITIESMODEL RISKEARLY TERMINATION0005001000200030004000500060007000800090010001100120013001400150 C 32.04 - Prudent Valuation: Concentrated Positions AVA (PRUVAL 4) RANKRISK CATEGORYPRODUCTUNDERLYINGCONCEN-TRATED POSITION SIZESIZE MEASUREMARKET VALUEPRUDENT EXIT PERIODCONCEN-TRATED POSITIONS AVACONCEN-TRATED 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 amount0010002000300040005000600070008000900100011001200130014001500160017001800190020002100220023002400250026002700280029003000010Total exposuresBREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:0020Exposures under the credit risk framework0030Standardised Approach0040Central governments0050Regional governments or local authorities0060Public sector entities0070International Organisations0075Other general government exposures subject to Standardised Approach0080IRB Approach0090Central governments0100Regional governments or local authorities [Central governments]0110Regional governments or local authorities [Institutions]0120Public sector entities [Central governments]

0130Public sector entities [Institutions]0140International Organisations [Central governments]0155Other general government exposures subject to IRB approach0160Exposures under the market risk frameworkBREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:0170[ 0 - 3M [0180[ 3M - 1Y [0190[ 1Y - 2Y [0200[ 2Y - 3Y [0210[3Y - 5Y [0220[5Y - 10Y [0230[10Y - more C 35.01 - NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1) Time passed since exposures classified as non-performingTotal<= 1 year 1 year <= 2 years 2 years <= 3 years 3 years <= 4 years 4 years <= 5 years 5 years <= 6 years 6 years <= 7 years 7 years <= 8 years 8 years <= 9 years 9 years001000200030004000500060007000800090010001100010Applicable amount of insufficient coverageMINIMUM COVERAGE REQUIREMENT0020Total minimum coverage requirement0030Unsecured part of NPEs0040Secured part of NPEs0050Exposure value0060Unsecured part of NPEs0070Secured part of NPEsAVAILABLE COVERAGE0080Total provisions and adjustments or deductions (capped)0090Total provisions and adjustments or deductions (uncapped)0100Specific credit risk adjustments 0110Additional valuation adjustments0120Other own funds reductions0130IRB shortfall0140Difference between the purchase price and the amount owed by the debtor0150Amounts written-off by the institution since the exposure was classified as non-performing C 35.02 - NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC2) Time passed since exposures classified as non-performingTotal<= 1 year 1 year <= 2 years 2 years <= 3 years 3 years <= 4 years 4 years <= 5 years 5 years <= 6 years 6 years <= 7 years 7 years <= 8 years 8 years <= 9 years 9 years001000200030004000500060007000800090010001100010TOTAL MINIMUM COVERAGE REQUIREMENT0020Unsecured part of NPEs0030Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider0040Part of NPEs secured by other funded or unfunded credit protection0050Part of NPEs guaranteed or insured by an official export credit agency0060EXPOSURE VALUE0070Unsecured part of NPEsFactor0,351111111 0080Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection providerFactor0,250,350,550,70,80,8510090Part of NPEs secured by other funded or unfunded credit protectionFactor0,250,350,550,81110100Part of NPEs guaranteed or insured by an official export credit agencyFactor111 C 35.03 - NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC3) Time passed since exposures classified as non-performingTOTAL<= 1 year 1 year <= 2 years 2 years <= 3 years 3 years <= 4 years 4 years <= 5 years 5 years <= 6 years 6 years <= 7 years 7 years <= 8 years 8 years <= 9 years 9 years001000200030004000500060007000800090010001100010TOTAL MINIMUM COVERAGE REQUIREMENT0020Unsecured part of NPEs0030Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider0040Part of NPEs secured by other funded or unfunded credit protection0050EXPOSURE VALUE0060

Unsecured part of NPEs First forbearance measure applied between 1 year and 2 years after classification as non-performing (>1 year; <=2 years) Factor0011111110070 Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider Breakdown by point in time of granting the first forbearance measure 0080> 2 and <= 3 years after classification as NPEFactor000,350,550,70,80,851 0090> 3 and <= 4 years after classification as NPEFactor0,250,250,550,70,80,8510100> 4 and <= 5 years after classification as NPEFactor0,350,350,70,80,8510110> 5 and <= 6 years after classification as NPEFactor0,550,550,80,8510120 Part of NPEs secured by other funded or unfunded credit protection Breakdown by point in time of granting the first forbearance measure 0130> 2 and <= 3 years after classification as NPEFactor000,350,550,81110140> 3 and <= 4 years after classification as NPEFactor0,250,250,550,81110150> 4 and <= 5 years after classification as NPEFactor0,350,350,81110160> 5 and <= 6 years after classification as NPEFactor0,550,55111

Annex

ANNEX II INSTRUCTIONS FOR REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS Table of Contents PART I: GENERAL INSTRUCTIONS 258

  1. STRUCTURE AND CONVENTIONS 258 1.1. STRUCTURE 258 1.2. NUMBERING CONVENTION 258 1.3. SIGN CONVENTION 258 1.4. ABBREVIATIONS 259 PART II: TEMPLATE RELATED INSTRUCTIONS 259
  2. CAPITAL ADEQUACY OVERVIEW (CA) 259 1.1. GENERAL REMARKS 259 1.2. C 01.00 – OWN FUNDS (CA1) 260 1.2.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 260 1.3. C 02.00 – OWN FUNDS REQUIREMENTS (CA2) 273 1.3.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 273 1.4. C 03.00 – CAPITAL RATIOS AND CAPITAL LEVELS (CA3) 279 1.4.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 279 1.5. C 04.00 – MEMORANDUM ITEMS (CA4) 282 1.5.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 282 1.6. TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA5) 296 1.6.1. GENERAL REMARKS 296 1.6.2. C 05.01 – TRANSITIONAL PROVISIONS (CA5.1) 297 1.6.2.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 297 1.6.3. C 05.02 – GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) 301 1.6.3.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 301
  3. GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) 303 2.1. GENERAL REMARKS 303 2.2. DETAILED GROUP SOLVENCY INFORMATION 303 2.3. INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY 303 2.4. C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL) 304 2.5. C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) 304
  4. CREDIT RISK TEMPLATES 312 3.1. GENERAL REMARKS 312 3.1.1. REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT 312 3.1.2. REPORTING OF COUNTERPARTY CREDIT RISK 312 3.2. C 07.00 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA) 312 3.2.1. GENERAL REMARKS 312 3.2.2. SCOPE OF THE CR SA TEMPLATE 312 3.2.3. ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH

314 3.2.4. CLARIFICATIONS ON THE SCOPE OF SOME SPECIFIC EXPOSURE CLASSES REFERRED TO IN ARTICLE 112 CRR 317 3.2.4.1. EXPOSURE CLASS INSTITUTIONS 317 3.2.4.2. EXPOSURE CLASS COVERED BONDS 317 3.2.4.3. EXPOSURE CLASS COLLECTIVE INVESTMENT UNDERTAKINGS 318 3.2.5. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 318 3.3. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB) 326 3.3.1. SCOPE OF THE CR IRB TEMPLATE 326 3.3.2. BREAKDOWN OF THE CR IRB TEMPLATE 327 3.3.3. C 08.01 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1) 328 3.3.3.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 328 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) 337 3.3.1. C 08.03 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (BREAKDOWN BY PD RANGES (CR IRB 3)) 337 3.3.1.1. GENERAL REMARKS 337 3.3.1.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 337 3.3.2. C 08.04 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (RWEA FLOW STATEMENTS (CR IRB 4)) 339 3.3.2.1. GENERAL REMARKS 339 3.3.2.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 340 3.3.3. C 08.05 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (BACK-TESTING OF PD (CR IRB 5)) 341 3.3.3.1. GENERAL REMARKS 341 3.3.3.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 341 3.3.4. C 08.05.1 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD (CR IRB 5B) 342 3.3.4.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 342 3.3.5. C 08.06 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6)) 343 3.3.5.1. GENERAL REMARKS 343 3.3.5.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 343 3.3.6. C 08.07 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (SCOPE OF USE OF IRB AND SA APPROACHES (CR IRB 7)) 344 3.3.6.1. GENERAL REMARKS 344 3.3.6.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 344 3.4. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN 345 3.4.1. C 09.01 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1) 346 3.4.1.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 346 3.4.2. C 09.02 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2) 349 3.4.2.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 349 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) 352 3.4.3.1. GENERAL REMARKS 352 3.4.3.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 352 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) 356 3.5.1. GENERAL REMARKS 356 3.5.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS (APPLICABLE TO BOTH CR EQU IRB 1 AND CR EQU IRB 2)

357 3.6. C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT) 359 3.6.1. GENERAL REMARKS 359 3.6.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 360 3.7. C 13.01 – CREDIT RISK – SECURITISATIONS (CR SEC) 362 3.7.1. GENERAL REMARKS 362 3.7.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 362 3.8. DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) 371 3.8.1. SCOPE OF THE SEC DETAILS TEMPLATE 371 3.8.2. BREAKDOWN OF THE SEC DETAILS TEMPLATE 371 3.8.3. C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) 372 3.8.4. C 14.01 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS 2) 383 3.9. COUNTERPARTY CREDIT RISK 385 3.9.1. SCOPE OF THE COUNTERPARTY CREDIT RISK TEMPLATES 385 3.9.2. C 34.01 – SIZE OF THE DERIVATIVE BUSINESS 386 3.9.2.1. GENERAL REMARKS 386 3.9.2.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 386 3.9.3. C 34.02 – CCR EXPOSURES BY APPROACH 387 3.9.3.1. GENERAL REMARKS 387 3.9.3.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 387 3.9.4. C 34.03 – CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR AND SIMPLIFIED SA-CCR 393 3.9.4.1. GENERAL REMARKS 393 3.9.4.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 393 3.9.5. C 34.04 – CCR EXPOSURES TREATED WITH THE ORIGINAL EXPOSURE METHOD (OEM) 395 3.9.5.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 395 3.9.6. C 34.05 – CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM) 396 3.9.6.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 396 3.9.7. C 34.06 – TOP TWENTY COUNTERPARTIES 397 3.9.7.1. GENERAL REMARKS 397 3.9.7.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 397 3.9.8. C 34.07 – IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE 399 3.9.8.1. GENERAL REMARKS 399 3.9.8.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 399 3.9.9. C 34.08 – COMPOSITION OF COLLATERAL FOR CCR EXPOSURES 401 3.9.9.1. GENERAL REMARKS 401 3.9.9.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 401 3.9.10. C 34.09 – CREDIT DERIVATIVES EXPOSURES 402 3.9.10.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 402 3.9.11. C 34.10 – EXPOSURES TO CCPS 403 3.9.11.1. GENERAL REMARKS 403 3.9.11.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 403 3.9.12. C 34.11 – RISK WEIGHTED EXPOSURE AMOUNTS (RWEA) FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM 404 3.9.12.1. GENERAL REMARKS 404 3.9.12.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 404 4. OPERATIONAL RISK TEMPLATES 405 4.1. C 16.00 – OPERATIONAL RISK (OPR) 405 4.1.1. GENERAL REMARKS 405 4.1.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 406 4.2. OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS) 408 4.2.1. GENERAL REMARKS 408 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) 409 4.2.2.1. GENERAL REMARKS 409 4.2.2.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 410 4.2.3. C 17.02: OPERATIONAL RISK: DETAILED INFORMATION ON THE LARGEST LOSS EVENTS IN THE LAST YEAR (OPR DETAILS 2) 415 4.2.3.1. GENERAL REMARKS 415 4.2.3.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 416 5. MARKET RISK TEMPLATES

417 5.1. C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) 417 5.1.1. GENERAL REMARKS 417 5.1.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 418 5.2. C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) 419 5.2.1. GENERAL REMARKS 420 5.2.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 420 5.3. C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) 421 5.3.1. GENERAL REMARKS 422 5.3.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 422 5.4. C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) 424 5.4.1. GENERAL REMARKS 424 5.4.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 424 5.5. C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) 426 5.5.1. GENERAL REMARKS 426 5.5.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 426 5.6. C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) 428 5.6.1. GENERAL REMARKS 428 5.6.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 428 5.7. C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM) 429 5.7.1. GENERAL REMARKS 429 5.7.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 429 5.8. C 25.00 – CREDIT VALUATION ADJUSTMENT RISK (CVA) 432 5.8.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 432 6. PRUDENT VALUATION (PRUVAL) 434 6.1. C 32.01 – PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1) 434 6.1.1. GENERAL REMARKS 434 6.1.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 435 6.2. C 32.02 – PRUDENT VALUATION: CORE APPROACH (PRUVAL 2) 439 6.2.1. GENERAL REMARKS 439 6.2.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 439 6.3. C 32.03 – PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3) 447 6.3.1. GENERAL REMARKS 447 6.3.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 448 6.4. C 32.04 – PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4) 450 6.4.1. GENERAL REMARKS 450 6.4.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 450 7. C 33.00 – EXPOSURES TO GENERAL GOVERNMENTS (GOV) 452 7.1. GENERAL REMARKS 452 7.2. SCOPE OF THE TEMPLATE ON EXPOSURES TO GENERAL GOVERNMENTS 453 7.3. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 453 8. NPE LOSS COVERAGE (NPE LC) 462 8.1. GENERAL REMARKS 462 8.2. C 35.01 – THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1) 463 8.2.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 463 8.3. C 35.02 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC2) 466 8.3.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 466 8.4. C 35.03 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC3) 467 8.4.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 467 PART I: GENERAL INSTRUCTIONS

  1. STRUCTURE AND CONVENTIONS 1.1. STRUCTURE
  2. Overall, the framework covers six topics: (a) capital adequacy, an overview of regulatory capital; total risk exposure amount; prudent valuation; NPE loss coverage;

(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; (f) general governments exposures 2. For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as validation rules are included in this part of this Implementing Regulation. 3. Institutions shall report only those templates that are relevant depending on the approach used for determining own funds requirements. 1.2. NUMBERING CONVENTION 4. The document follows the labelling convention set in 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. 5. The following general notation is followed in the instructions: {Template; Row; Column}. 6. In the case of validations inside a template, in which only data points of that template are used, notations do not refer to a template: {Row; Column}. 7. In the case of templates with only one column, only rows are referred to. {Template; Row} 8. An asterisk sign is used to express that the validation is done for the rows or columns specified before. 1.3. SIGN CONVENTION 9. Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure is expected to be reported for that item. 1.4. ABBREVIATIONS 10. 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, 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 and Directive 2014/59/EU of the European Parliament and of the Council Directive 2014/59/EU of the European Parliament and of the Council of 15 May 2014 establishing a framework for the recovery and resolution of credit institutions and investment firms and amending Council Directive 82/891/EEC, and Directives 2001/24/EC, 2002/47/EC, 2004/25/EC, 2005/56/EC, 2007/36/EC, 2011/35/EU, 2012/30/EU and 2013/36/EU, and Regulations (EU) No 1093/2010 and (EU) No 648/2012, of the European Parliament and of the Council (OJ L 173, 12.6.2014, p. 190–348) is reffered to as BRRD. PART II: TEMPLATE RELATED INSTRUCTIONS

  1. CAPITAL ADEQUACY OVERVIEW (CA) 1.1. GENERAL REMARKS
  2. The 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) Template CA1 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) Template CA2 summarises the total risk exposures amounts as defined in Article 92(3) CRR; (c) Template CA3 contains the ratios for which CRR states a minimum level, Pillar 2 ratios and some other related data; (d) Template CA4 contains memorandums items needed, among others, for calculating items in CA1 as well as information with regard to CRD capital buffers; (e) Template CA5 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.
  3. 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.
  4. 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).
  5. 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. 15. The treatment of Pillar II requirements can be different within the Union (Article 104a(1) 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) 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. It mainly focuses on the target ratios themselves. There is no 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 104a(1) 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). RowLegal references and instructions0010

  1. Own funds Point (118) of Article 4(1) and Article 72 CRR The own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital. 0015 1.1. Tier 1 capital
§ Article 25

Article 25 CRR The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital 0020 1.1.1. Common Equity Tier 1 capital

§ Article 50

Article 50 CRR 0030 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 0040 1.1.1.1.1. Fully 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. 0045 1.1.1.1.1 Of which: Capital instruments subscribed by public authorities in emergency situations

§ Article 31

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. 0050 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 0060 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 Fully paid up capital instruments. 0070 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. 0080 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. 0090 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 0091 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 0092 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. 0130 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 0140 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. 0150 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

Article 26(2) CRR allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met. On the other hand, losses shall be deducted from CET1, as stated in point (a) of Article 36(1) CRR. 0160 1.1.1.2.2.1. Profit or loss attributable to owners of the parent

§ Article 26

Article 26(2) and point (a) of Article 36(1) CRR The amount to be reported shall be the profit or loss reported in the accounting income statement. 0170 1.1.1.2.2.2. (-) Part of interim or year-end profit not eligible

§ Article 26

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. 0180 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. 0200 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. 0210 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. 0220 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. 0230 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. 0240 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. 0250 1.1.1.9. Adjustments to CET1 due to prudential filters Articles 32 to 35 CRR 0260 1.1.1.9.1. (-) Increases in equity resulting from securitised assets

§ Article 32

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. 0270 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. 0280 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. 0285 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. 0290 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 0300 1.1.1.10. (-) Goodwill Point (113) of Article 4(1), point (b) of Article 36(1) and Article 37 CRR 0310 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. 0320 1.1.1.10.2. (-) Goodwill included in the valuation of significant investments Point (b) of Article 37 and Article 43 CRR 0330 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. 0335 1.1.1.10.4. Accounting revaluation of subsidiaries’ goodwill derived from the consolidation of subsidiaries attributable to third persons Point (c) of Article 37 CRR The amount of the accounting revaluation of the subsidiaries’ goodwill derived from the consolidation of subsidiaries attributable to persons other than the undertakings included in the consolidation pursuant to Chapter 2 of Title II of Part One.

§ Article 32

0340 1.1.1.11. (-) Other intangible assets Point (115) of Article 4(1), point (b) of Article 36(1) and point (a) and (c) 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. 0350 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. 0360 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. 0365 1.1.1.11.3. Accounting revaluation of subsidiaries’ other intangible assets derived from the consolidation of subsidiaries attributable to third persons Point (c) of Article 37 CRR The amount of the accounting revaluation of the subsidiaries’ intangibles assets other than goodwill derived from the consolidation of subsidiaries attributable to persons other than the undertakings included in the consolidation pursuant to Chapter 2 of Title II of Part One. 0370 1.1.1.12. (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities Point (c) of Article 36(1) and Article 38 CRR 0380 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). 0390 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 0400 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). 0410 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.

§ Article 32

0420 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. 0430 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. 0440 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. 0450 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 %. 0460 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. 0470 1.1.1.19. (-) Free deliveries which can alternatively be subject to a 1250 % 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. 0471 1.1.1.20. (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB Approach, and can alternatively be subject to a 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 %.

§ Article 32

0472 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 %. 0480 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). 0490 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. 0500 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). 0510 1.1.1.25. (-) Amount exceeding the 17,65 % threshold

§ Article 48

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. 05111.1.1.25.1. (-) Amount exceeding the 17,65 % threshold related to CET1 instruments of financial sector entities where the institution has a significant investment05121.1.1.25.2. (-) Amount exceeding the 17,65 % threshold related to deferred tax assets arising from temporary differences0513 1.1.1.25 A (-) Insufficient coverage for non-performing exposures Point (m) of Article 36(1) and Article 47c CRR 0514 1.1.1.25B (-) Minimum value commitment shortfalls Point (n) of Article 36(1) and Article 132c(2) CRR 0515 1.1.1.25C (-) Other foreseeable tax charges Point (l) of Article 36(1) CRR Tax charges relating to CET1 items foreseeable at the moment of the calculation other than tax charges that have been considered already in any of the other rows reflecting CET1 items by reducing the amount of the CET1 item in question. 0520 1.1.1.26. Other transitional adjustments to CET1 Capital Articles 469 to 478 and 481 CRR Adjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5. 0524 1.1.1.27. (-) Additional deductions of CET1 Capital due to Article 3 CRR

§ Article 3

Article 3 CRR 0529 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). 0530 1.1.2. ADDITIONAL TIER 1 CAPITAL

§ Article 61

Article 61 CRR 0540 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 0551 1.1.2.1.1. Fully paid up, directly issued 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 0560 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 0571 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 fully paid up and directly issued capital instruments. 0580 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. 0590 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. 0620 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 0621 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 0622 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. 0660 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. 0670 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.

§ Article 61

Qualifying AT1 capital issued by a special purpose entity (Article 83 CRR) shall be included. 0680 1.1.2.4. Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries

§ Article 480

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. 0690 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. 0700 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. 0710 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 0720 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). 0730 1.1.2.9. Other transitional adjustments to AT1 Capital Articles 472, 473a, 474, 475, 478 and 481 CRR Adjustments due to transitional provisions. The amount to be reported is directly obtained from CA5. 0740 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. 0744 1.1.2.11. (-) Additional deductions of AT1 Capital due to Article 3 CRR

§ Article 3

Article 3 CRR 0748 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). 0750 1.2. TIER 2 CAPITAL

§ Article 71

Article 71 CRR 0760 1.2.1. Capital instruments eligible as T2 Capital Point (a) of Article 62, Articles 63 to 65, point (a) of Article 66 and Article 67 CRR 0771 1.2.1.1. Fully paid up, directly issued capital instruments 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. The capital instruments may consist of equity or liabilities, including subordinated loans that fulfil the eligibility criteria. 0780 1.2.1.2 () Memorandum item: Capital instruments 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. The capital instruments may consist of equity or liabilities, including subordinated loans. 0791 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 fully paid up and directly issued capital instruments. 0800 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. 0810 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. 0840 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 0841 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 0842 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. 0880 1.2.2. Transitional adjustments due to grandfathered T2 Capital instruments 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. 0890 1.2.3. Instruments issued by subsidiaries that are given recognition in T2 Capital

§ Article 71

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. 0900 1.2.4. Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries

§ Article 480

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. 0910 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. 0920 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. 0930 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. 0940 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. 0950 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. 0955 1.2.9 A (-) Excess of deductions from eligible liabilities over eligible liabilities

§ Article 66

Article 66 (e) CRR. 0960 1.2.10. Other transitional adjustments to T2 Capital Articles 472, 473a, 476, 477, 478 and 481 CRR Adjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5. 0970 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. 0974 1.2.12. (-) Additional deductions of T2 Capital due to Article 3 CRR

§ Article 3

Article 3 CRR 0978 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 instructions0010

  1. TOTAL RISK EXPOSURE AMOUNT
§ Article 92

Article 92(3) and Articles 95, 96 and 98 CRR 0020 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 0030 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 0040 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 0050 1.1.1. Standardised Approach (SA) CR SA and SEC SA templates at the level of total exposures 0051 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. 0060 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. 0070 1.1.1.1.01. Central governments or central banks See CR SA template 0080 1.1.1.1.02. Regional governments or local authorities See CR SA template 0090 1.1.1.1.03. Public sector entities See CR SA template 0100 1.1.1.1.04. Multilateral Development Banks See CR SA template 0110 1.1.1.1.05. International Organisations See CR SA template 0120 1.1.1.1.06. Institutions See CR SA template 0130 1.1.1.1.07. Corporates See CR SA template 0140 1.1.1.1.08. Retail See CR SA template 0150 1.1.1.1.09. Secured by mortgages on immovable property See CR SA template 0160 1.1.1.1.10. Exposures in default See CR SA template 0170 1.1.1.1.11. Items associated with particular high risk See CR SA template 0180 1.1.1.1.12. Covered bonds See CR SA template 0190 1.1.1.1.13. Claims on institutions and corporate with a short-term credit assessment See CR SA template 0200 1.1.1.1.14. Collective investments undertakings (CIU) See CR SA template 0210 1.1.1.1.15. Equity See CR SA template 0211 1.1.1.1.16. Other items See CR SA template 02401.1.2. Internal ratings based Approach (IRB)0241 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. 0242 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.

§ Article 92

0250 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) 0260 1.1.2.1.01. Central governments and central banks See CR IRB template 0270 1.1.2.1.02. Institutions See CR IRB template 0280 1.1.2.1.03. Corporates – SME See CR IRB template 0290 1.1.2.1.04. Corporates – Specialised Lending See CR IRB template 0300 1.1.2.1.05. Corporates – Other See CR IRB template 0310 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) 0320 1.1.2.2.01. Central governments and central banks See CR IRB template 0330 1.1.2.2.02. Institutions See CR IRB template 0340 1.1.2.2.03. Corporates – SME See CR IRB template 0350 1.1.2.2.04. Corporates – Specialised Lending See CR IRB template 0360 1.1.2.2.05. Corporates – Other See CR IRB template 0370 1.1.2.2.06. Retail – secure by real estate SME See CR IRB template 0380 1.1.2.2.07. Retail – secure by real estate non-SME See CR IRB template 0390 1.1.2.2.08. Retail – Qualifying revolving See CR IRB template 0400 1.1.2.2.09. Retail – Other SME See CR IRB template 0410 1.1.2.2.10. Retail – Other non-SME See CR IRB template 0420 1.1.2.3. Equity IRB See CR EQU IRB template 0450 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. 0460 1.1.3. Risk exposure amount for contributions to the default fund of a CCP Articles 307, 308 and 309 CRR 0470 1.1.4 Securitisation positions See CR SEC template 0490 1.2. TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY Point (c)(ii) of Article 92(3) and point (b) of Article 92(4) CRR 0500 1.2.1. Settlement/delivery risk in the non-Trading book See CR SETT template 0510 1.2.2. Settlement/delivery risk in the Trading book See CR SETT template 0520 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 05301.3.1. Risk exposure amount for position, foreign exchange and commodities risks under Standardised Approaches (SA) 0540 1.3.1.1. Traded debt instruments MKR SA TDI template at the level of total currencies. 0550 1.3.1.2. Equity MKR SA EQU template at the level of total national markets. 0555 1.3.1.3. Particular approach for position risk in CIUs

§ Article 348

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. 0556 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. 0557 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. 0560 1.3.1.4. Foreign Exchange See MKR SA FX template 0570 1.3.1.5. Commodities See MKR SA COM template 0580 1.3.2. Risk exposure amount for positions, foreign exchange and commodity risks under internal models (IM) See MKR IM template 0590 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. 0600 1.4.1. OpR Basic Indicator approach (BIA) See OPR template 0610 1.4.2. OpR Standardised (TSA)/Alternative Standardised (ASA) approaches See OPR template 0620 1.4.3. OpR Advanced measurement approaches (AMA) See OPR template 0630 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.

§ Article 348

0640 1.6. TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT Point (d) of Article 92(3) CRR See CVA template. 0650 1.6.1. Advanced method Own funds requirements for credit valuation adjustment risk in accordance with Article 383 CRR. See CVA template. 0660 1.6.2. Standardised method Own funds requirements for credit valuation adjustment risk in accordance with Article 384 CRR. See CVA template. 0670 1.6.3. Based on OEM Own funds requirements for credit valuation adjustment risk in accordance with Article 385 CRR. See CVA template. 0680 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 0690 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. 0710 1.8.2. Of which: Additional stricter prudential requirements based on Article 458 CRR

§ Article 458

Article 458 CRR 0720 1.8.2 Of which: requirements for large exposures

§ Article 458

Article 458 CRR 0730 1.8.2 Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property

§ Article 458

Article 458 CRR 0740 1.8.2 Of which: due to intra financial sector exposures

§ Article 458

Article 458 CRR 0750 1.8.3. Of which: Additional stricter prudential requirements based on Article 459 CRR

§ Article 459

Article 459 CRR 0760 1.8.4. Of which: Additional risk exposure amount due to Article 3 CRR

§ Article 3

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 Rows0010 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. 0020 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. 0030 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. 0040 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. 0050 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. 0060 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. 0130 13 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) as referred to in point (a) of Article 104(1) CRD, presented as ratio. They shall be 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 7.4 and 7.5 of the EBA SREP GL. Where no additional own funds requirements were communicated by the competent authority, only point (i) shall be reported. 0140 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 0130, 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.

§ Article 3

0150 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 0130, 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. 0160 14 Overall capital requirement (OCR) ratio The sum of (i) and (ii) as follows: (i) the TSCR ratio referred to in row 0130; (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 7.5 of the EBA SREP GL. Where no buffer requirement is applicable, only point (i) shall be reported. 0170 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 0140; (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. 0180 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 0150; (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. 0190 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 guidance on additional own funds communicated by the competent authority (Pillar 2 Guidance – P2G) as referred to in Article 104b(3) CRD, presented as ratio. They shall be defined in accordance with section 7.7.1 of 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. 0200 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 0170; (ii) where applicable, the part of P2G, referred to in point (ii) in row 0190, 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. 0210 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 0180; (ii) where applicable, the part of P2G, referred to in point (ii) in row 0190, 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.

§ Article 3

Where no P2G is communicated by the competent authority, only point (i) shall be reported. 0220 Surplus(+)/Deficit(-) of CET1 capital considering the requirements of Article 92 CRR and 104a CRD This item shows, in absolute figures, the amount of CET1 capital surplus or defi-cit relating to the requirements set in point (a) of Article 92(1) CRR (4,5 %) and Article 104a CRD, to the extent that the requirement of Article 104a CRD has to be met with CET1 capital. Where an institution has to use its CET1 to meet its requirements of Article 92(1) point (b) and/or (c) CRR and/or Article 104a CRD beyond the extent to which the latter has to be met with CET1 capital, the reported surplus or deficit shall take this into account. This amount reflects the CET1 capital available to meet the combined buffer requirement and other requirements. 0300 CET1 Capital ratio without application of the transitional provisions on IFRS 9 Point (a) of Article 92(2) CRR, Article 473a(8) CRR 0310 T1 Capital ratio without application of the transitional provisions on IFRS 9 Point (b) of Article 92(2) CRR, Article 473a(8) CRR 0320 Total capital ratio without application of the transitional provisions on IFRS 9 Point (c) of Article 92(2) CRR, Article 473a(8) CRR 1.5. C 04.00 – MEMORANDUM ITEMS (CA4) 1.5.1. Instructions concerning specific positions Rows0010

  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. 0020 1.1. Deferred tax assets that do not rely on future profitability
§ Article 39

Article 39(2) CRR Deferred tax assets that were created before 23 November 2016 and do not rely on future profitability, and thus are subject to the application of a risk weight. 0030 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). 0040 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. 0050 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. 0060 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. 0070 2.2. Deferred tax liabilities deductible from deferred tax assets that rely on future profitability

§ Article 38

Article 38 CRR 0080 2.2.1. Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences 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 0090 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 0093 2A Tax overpayments and tax loss carry backs

§ Article 39

Article 39(1) CRR The amount of tax overpayments and tax loss carry backs which is not deducted from own funds in accordance with Article 39(1) CRR; the amount reported shall be the amount before the application of risk weights. 0096 2B Deferred Tax Assets subject to a risk weight of 250 %

§ Article 48

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, Article 478(2) and point (a) of Article 473a(7) CRR. The amount reported shall be the amount of DTAs before the application of the risk weight. 0097 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), Article 470 CRR, Article 478(2) and point a of Article 473a(7) 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. 0901 2W Exception from deduction of intangible assets from CET1 Point (b) of Article 36(1) CRR Institutions shall report the amount of prudently valued software assets exempted from the deduction. 0905 2Y AT1 Capital instruments and the related share premium accounts classified as equity under applicable accounting standards The amount of AT1 instruments including their related share premium accounts that are classified as equity under the applicable accounting standard 0906 2Z AT1 Capital instruments and the related share premium accounts classified as liabilities under applicable accounting standards The amount of AT1 instruments including their related share premium accounts that are classified as liabilities under the applicable accounting standard 0100 3. IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures 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. 0110 3.1. Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount

§ Article 159

Article 159 CRR This item shall only be reported by IRB institutions. 0120 3.1.1. General credit risk adjustments

§ Article 159

Article 159 CRR This item shall only be reported by IRB institutions. 0130 3.1.2. Specific credit risk adjustments

§ Article 159

Article 159 CRR This item shall only be reported by IRB institutions. 0131 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. 0140 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. 0145 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. 0150 4.1. Specific credit risk adjustments and positions treated similarly

§ Article 159

Article 159 CRR This item shall only be reported by IRB institutions. 0155 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. 0160 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. 0170 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. 0180 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. 0190 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 %. 0200 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 %. 0210 10. 17,65 % CET1 threshold

§ Article 48

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. 0225 11. Eligible capital for the purposes of qualifying holdings outside the financial sector Point (a) of point (71) of Article 4(1) CRR 0230 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 0240 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 0250 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 0260 12.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

§ Article 45

Article 45 CRR Point a of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0270 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 0280 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 0290 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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0291 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 0292 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 0293 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. Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0300 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 0310 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 0320 13.1.1. Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

§ Article 58

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 0330 13.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

§ Article 59

Article 59 CRR Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0340 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 0350 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. 0360 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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0361 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 0362 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 0363 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. Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0370 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 0380 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 0390 14.1.1. Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

§ Article 68

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 0400 14.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

§ Article 69

Article 69 CRR Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0410 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 0420 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 0430 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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0431 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 0432 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 0433 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. Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0440 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 0450 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 0460 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;

§ Article 69

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 0470 15.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

§ Article 45

Article 45 CRR Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0480 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 0490 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. 0500 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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0501 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 0502 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 0503 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. Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0504 Investments in CET1 capital of financial sector entities where the institution has a significant investment – subject to a risk weight of 250 %

§ Article 48

Article 48(4) CRR The amount of significant investments in CET1 capital of financial sector entities 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. The amount reported shall be the amount of significant investments before the application of the risk weight. 0510 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 0520 16.1. Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 58 and 59 CRR 0530 16.1.1. Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

§ Article 58

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. 0540 16.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

§ Article 59

Article 59 CRR Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0550 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 0560 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. 0570 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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0571 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 0572 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 0573 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. Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0580 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 0590 17.1. Direct holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 68 and 69 CRR 0600 17.1.1. Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment

§ Article 68

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 0610 17.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

§ Article 69

Article 69 CRR Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0620 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 0630 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 0640 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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0641 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 0642 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 0643 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. Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0650 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 0660 19. Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution’s AT1 capital

§ Article 60

Article 60(4) CRR 0670 20. Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution’s T2 capital

§ Article 70

Article 70(4) CRR 0680 21. Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

§ Article 79

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. 0690 22. Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

§ Article 79

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. 0700 23. Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

§ Article 79

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. 0710 24. Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

§ Article 79

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. 0720 25. Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

§ Article 79

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 14.1. 0730 26. Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

§ Article 79

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. 0740 27. Combined buffer requirement Point (6) of Article 128 CRD 0750 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. 0760 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. 0770 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. 0780 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. 0800 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. 0810 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. 0820 28. Own funds requirements related to Pillar II adjustments

§ Article 104a

Article 104a(1) 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. 0830 29. Initial capital Articles 12 and 28 to 31 CRD and Article 93 CRR 0840 30. Own funds based on Fixed Overheads Point (b) of Article 96(2), Article 97 and point (a) of Article 98(1) CRR 0850 31. Non-domestic original exposures Information necessary to calculate the threshold for reporting of the CR GB template in accordance with Article 5(5) 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. 0860 32. Total original exposures Information necessary to calculate the threshold for reporting of the CR GB template in accordance with Article 5(5) 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. 1.6. TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA5) 1.6.1. General remarks 16. CA5 summarises the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491, 494a and 494b CRR. 17. CA5 is structured as follows: (a) Template CA5.1 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. 18. 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 0050 and the eligible amount without the recognition of transitional provisions in column 0060. 19. Institutions shall only report elements in CA5 during the period where transitional provisions laid down in Part Ten CRR apply. 20. 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)

§ Article 104a
  1. Institutions shall report in CA5.1 template the transitional provisions to own funds components as laid down in Articles 465 to 491, 494a and 494b CRR, compared to applying the final provisions laid down in Title II of Part Two CRR.
  2. Institutions shall report in rows 0060 to 0065 information about the transitional provisions of grandfathered instruments. The figures to be reported in row 0060 of CA5.1 reflect the transitional provisions included in the CRR in the version applicable until 26 June 2019 and can be derived from the respective sections of CA5.2. Rows 0061 to 0065 capture the effect of the transitional provisions of Articles 494a and 494b CRR.
  3. Institutions shall report in rows 0070 to 0092 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).
  4. In rows 0100 onwards institutions shall report information about the effect of the transitional provisions regarding unrealised gains and losses, deductions, additional filters and deductions and IFRS 9.
  5. 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 Columns0010Adjustments to CET10020Adjustments to AT10030Adjustments to T20040 Adjustments included in RWAs Column 0040 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 0010 to 0030 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 0040 of CA5.1. As a consequence, those amounts shall be memorandum items only. 0050Applicable percentage 0060 Eligible amount without transitional provisions This column includes the amount of each instrument prior the application of transitional provisions, i.e. the basis amount relevant to calculate the adjustments.
§ Article 104a

Rows0010

  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 0020 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. 0060 1.1.2. Instruments not constituting state aid The amounts to be reported shall be obtained from column 060 of CA5.2 template 0061 1.1.3. Instruments issued through special purpose vehicles
§ Article 494a

Article 494a CRR 0062 1.1.4. Instruments issued before 27 June 2019 that do not meet the eligibility criteria related to write-down and conversion powers pursuant to Article 59 BRRD or are subject to set-off or netting arrangements

§ Article 494b

Article 494b CRR Institutions shall report the amount of instruments within the scope of Article 494b CRR that do not meet one or several eligibility criteria of points (p), (q) and (r) of Article 52(1) CRR or points (n), (o) and (p) of Article 63 CRR, as applicable. In case of Tier 2 instruments eligible in accordance with Article 494b(2) CRR, the amortisation provisions of Article 64 CRR shall be observed. 0063 1.1.4.1 of which: Instruments without legally or contractually mandatory write-down or conversion upon exercise of Article 59 BRRD powers

§ Article 494b

Article 494b, point (p) of Article 52(1) and point (n) of Article 63 CRR Institutions shall report the amount of instruments within the scope of Article 494b CRR that do not meet the eligibility criteria of point (p) of Article 52(1) or point (n) of Article 63 CRR, as applicable. This shall also include instruments that additionally do not meet the eligibility criteria of points (q) or (r) of Article 52(1) CRR or points (o) or (p) of Article 63 CRR, as applicable. 0064 1.1.4.2 of which: Instruments governed by third-country law without effective and enforceable exercise of Article 59 BRRD powers

§ Article 494b

Article 494b, point (q) of Article 52(1) and point (o) of Article 63 CRR Institutions shall report the amount of instruments within the scope of Article 494b CRR that do not meet the eligibility criteria of point (q) of Article 52(1) or point (o) of Article 63 CRR, as applicable. This shall include also instruments that additionally do not meet the eligibility criteria of points (p) or (r) of Article 52(1) CRR or points (n) or (p) of Article 63 CRR, as applicable. 0065 1.1.4.3 of which: Instruments subject to set-off or netting arrangements

§ Article 494b

Article 494b, point (r) of Article 52(1) and point (p) of Article 63 CRR Institutions shall report the amount of instruments within the scope of Article 494b CRR that do not meet the eligibility criteria of point (r) of Article 52(1) CRR or point (p) of Article 63 CRR, as applicable. This shall also include instruments that additionally do not meet the eligibility criteria of point (p) or (q) of Article 52(1) CRR or points (n) or (o) of Article 63 CRR, as applicable. 0070 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. 0080 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. 0090 1.2.2. Transitional recognition in consolidated own funds of minority interests Articles 84 and 480 CRR The amount to be reported in column 0060 of this row shall be the eligible amount without transitional provisions. 0091 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 0060 of this row shall be the eligible amount without transitional provisions. 0092 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 0060 of this row shall be the eligible amount without transitional provisions. 0100 1.3. Other transitional adjustments Articles 468 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. 0111 1.3.1.6. Unrealised gains and losses from certain debt exposures to central governments, regional governments, local authorities and PSEs

§ Article 468

Article 468 CRR 0112 1.3.1.6.1. of which: amount A The amount A, as calculated in accordance with the formula referred to in Article 468(1) CRR 0140 1.3.2. Deductions

§ Article 36

Article 36(1) and Articles 469 to 478 CRR This row reflects the overall effect of transitional provisions on deductions. 0170 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 0060 of this row: Total amount in accordance with Article 469(1) CRR. 0380 1.3.2.9. Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment Paragraphs 2 and 3 of Article 470 CRR The amount to be reported in column 0060 of this row: Article 470(1) CRR 0385 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. 0425 1.3.2.11. Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items

§ Article 471

Article 471 CRR 0430 1.3.3. Additional filters and deductions

§ Article 481

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. 0440 1.3.4. Adjustments due to IFRS 9 transitional arrangements

§ Article 473a

Article 473a CRR Institutions shall report information in relation with the transitional arrangements due to IFRS 9 in accordance with the applicable legal provisions. 0441 Memorandum item: ECL impact of the static component The sum of A2,SA and A2, IRB as referred to in Article 473a(1) CRR In case of A2, IRB the amount reported is the amount net of expected lossess as required by point (a) of Article 473a(5) CRR. 0442 Memorandum item: ECL impact of the dynamic component for the period 01/01/2018 – 31/12/2019 The sum of AoldSA and AoldIRB as referred to in Article 473a(1) CRR 0443 Memorandum item: ECL impact of the dynamic component for the period starting on 01/01/2020 The sum of A4,SA and A4, IRB as referred to in Article 473a(1) CRR In case of A4, IRB the amount reported is the amount net of expected losses as required by points (b) and (c) of Article 473a(5) CRR. 1.6.3. C 05.02 – GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) 26. 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 Columns0010 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. 0020 Base for calculating the limit Paragraphs 2, 3 and 4 of Article 486 CRR 0030 Applicable percentage

§ Article 486

Article 486(5) CRR 0040 Limit Paragraphs 2 to 5 of Article 486 CRR 0050 (-) Amount that exceeds the limits for grandfathering Paragraphs 2 to 5 of Article 486 CRR 0060 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. Rows0010

  1. Instruments that qualified for point (a) of Article 57 of 2006/48/EC
§ Article 484

Article 484(3) CRR The amount to be reported shall include the related share premium accounts. 0020 2. Instruments that qualified for point (ca) of Article 57 and Article 154(8) and (9) of Directive 2006/48/EC, subject to the limit of Article 489 CRR

§ Article 484

Article 484(4) CRR 0030 2.1. Total instruments without a call or an incentive to redeem

§ Article 484

Article 484(4) and Article 489 CRR The amount to be reported shall include the related share premium accounts. 0040 2.2. Grandfathered instruments with a call and incentive to redeem

§ Article 489

Article 489 CRR 0050 2.2.1. Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 CRR after the date of effective maturity

§ Article 489

Article 489(3) and point (a) of Article 491 CRR The amount to be reported shall include the related share premium accounts. 0060 2.2.2. Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 CRR after the date of effective maturity

§ Article 489

Article 489(5) and point (a) of Article 491 CRR The amount to be reported shall include the related share premium accounts. 0070 2.2.3. Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 CRR after the date of effective maturity

§ Article 489

Article 489(6) and point (c) of Article 491 CRR The amount to be reported shall include the related share premium accounts 0080 2.3. Excess on the limit of CET1 grandfathered instruments

§ Article 487

Article 487(1) CRR The excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments. 0090 3. Items that qualified for points (e), (f), (g) or (h) of Article 57 of Directive 2006/48/EC, subject to the limit of Article 490 CRR

§ Article 484

Article 484(5) CRR 0100 3.1. Total items without an incentive to redeem

§ Article 490

Article 490 CRR 0110 3.2. Grandfathered items with an incentive to redeem

§ Article 490

Article 490 CRR 0120 3.2.1. Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 CRR after the date of effective maturity

§ Article 490

Article 490(3) and point (a) of Article 491 CRR The amount to be reported shall include the related share premium accounts. 0130 3.2.2. Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 CRR after the date of effective maturity

§ Article 490

Article 490(5) and point (a) of Article 491 CRR The amount to be reported shall include the related share premium accounts. 0140 3.2.3. Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 CRR after the date of effective maturity

§ Article 490

Article 490(6) and point (c) of Article 491 CRR The amount to be reported shall include the related share premium accounts. 0150 3.3. Excess on the limit of AT1 grandfathered instruments

§ Article 487

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 27. 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; 28. Institutions that obtained a waiver in accordance with Article 7 CRR shall only report the columns 0010 to 0060 and 0250 to 0400. 29. 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 30. The second part of template C 06.02 (detailed group solvency information) in columns 0070 to 0210 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. 31. 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 32. 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 0250 to 0400, 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. 33. The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds. 34. 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. 35. 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.

§ Article 487
  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) ColumnsInstructions0250-0400 ENTITIES WITHIN SCOPE OF CONSOLIDATION See instructions for C 06.02 0410-0480 CAPITAL BUFFERS See instructions for C 06.02 RowsInstructions0010 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) ColumnsInstructions0010-0060 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. 0011 NAME Name of the entity within the scope of consolidation. 0021 CODE The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value. 0026 TYPE OF CODE The institutions shall identify the type of code reported in column 0021 as a LEI code or Non-LEI code. The type of code shall always be reported. 0027 NATIONAL CODE Institutions may additionally report the national code when they report LEI code as identifier in the Code column. 0030 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.
§ Article 487

0035 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 point (26) of Article 4(1) 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. 0040 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. 0050 COUNTRY CODE Institutions shall report the two-letter country code referred to in ISO 3166-2. 0060 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. 0070-0240 INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT The section of detailed information (i.e. columns 0070 to 0240) 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 0030). 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.

§ Article 487

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 0100 of this template. 0070 TOTAL RISK EXPOSURE AMOUNT The sum of the columns 0080 to 0110 shall be reported. 0080 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 0040 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 0490 TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS of template CA2. 0090 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 0520 TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS of template CA2. 0100 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 0590 TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR) of the template CA2. Fixed overheads shall be included in this column including the row 0630 ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS of template CA2. 0110 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 0640, 0680 and 0690 of template CA2. 0120-0240 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. 0120 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 0010 OWN FUNDS of the template CA1. 0130 OF WHICH: QUALIFYING OWN FUNDS

§ Article 82

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. 0140 RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES Point (b) of Article 87(1)CRR 0150 TOTAL TIER 1 CAPITAL

§ Article 25

Article 25 CRR 0160 OF WHICH: QUALIFYING TIER 1 CAPITAL

§ Article 82

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. 0170 RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS Point (b) of Article 85(1) CRR 0180 COMMON EQUITY TIER 1 CAPITAL

§ Article 50

Article 50 CRR 0190 OF WHICH: MINORITY INTERESTS

§ Article 81

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. 0200 RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES Point (b) of Article 84(1) CRR 0210 ADDITIONAL TIER 1 CAPITAL

§ Article 61

Article 61 CRR 0220 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. 0230 TIER 2 CAPITAL

§ Article 71

Article 71 CRR 0240 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 reference date. 0250-0400INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP0250-0290 CONTRIBUTION TO RISKS The information reported in the following columns shall be in accordance with the solvency rules applicable to the reporting institution. 0250 TOTAL RISK EXPOSURE AMOUNT The sum of the columns 0260 to 0290 shall be reported. 0260 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. 0270 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 0520 TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS of the consolidated report. 0280 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. 0290 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. 0300-0400 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 0300 to 0350 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 0360 to 0400 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 71

The information reported in the following columns shall be in accordance with the solvency rules applicable to the reporting institution. 0300-0350 QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS The amount to be reported as QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS shall be the amount as derived from Title II of Part Two CRR, excluding any fund brought in by other group entities. 0300 QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

§ Article 87

Article 87 CRR 0310 QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

§ Article 85

Article 85 CRR 0320 MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

§ Article 84

Article 84 CRR The amount to be reported shall the amount of minority interests of a subsidiary that is included in consolidated CET1 in accordance with the CRR. 0330 QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

§ Article 86

Article 86 CRR The amount to be reported shall the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 in accordance with the CRR. 0340 QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

§ Article 88

Article 88 CRR The amount to be reported shall the amount of qualifying own funds of a subsidiary that is included in consolidated T2 in accordance with the CRR. 0350MEMORANDUM ITEM: GOODWILL (-)/(+) NEGATIVE GOODWILL0360-0400 CONSOLIDATED OWN FUNDS

§ Article 18

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. 0360CONSOLIDATED OWN FUNDS0370OF WHICH: COMMON EQUITY TIER 10380OF WHICH: ADDITIONAL TIER 10390 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. 0400 OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL Goodwill or negative goodwill of the reporting entity on the subsidiary shall be reported here. 0410-0480 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. 0410 COMBINED BUFFER REQUIREMENT Point (6) of Article 128 CRD 0420 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. 0430 INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER Point (2) of Article 128, Article 130 and Articles 135 to 140 CRD The concrete amount of the countercyclical buffer shall be reported in this cell. 0440 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 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 in this cell. 0450 SYSTEMIC RISK BUFFER Point (5) of Article 128, Articles 133 and 134 CRD The amount of the systemic risk buffer shall be reported in this cell. 0470 GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER Point (3) of Article 128 and Article 131 CRD The amount of the Global Systemically Important Institution buffer shall be reported in this cell. 0480 OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER Point (4) of Article 128 and Article 131 CRD The amount of the Other Systemically Important Institution buffer shall be reported in this cell. 3. CREDIT RISK TEMPLATES 3.1. GENERAL REMARKS 39. 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 Article 5(5) of this Implementing Regulation is exceeded.

§ Article 18

3.1.1. Reporting of CRM techniques with substitution effect 40. Exposures to obligors (immediate counterparties) and guarantors which are assigned to the same exposure class shall be reported as an inflow as well as an outflow to the same exposure class. 41. The exposure type shall not change because of unfunded credit protection. 42. 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 guarantor. However, the type of the exposure shall not change due to the change of the exposure class. 43. 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 44. 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 45. 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 46. 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. 47. 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. 48. 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. 49. 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 Chapters 4 and 6 (Counterparty credit risk) of Title II of Part Three CRR in the banking book; (b) Counterparty credit risk in accordance with Chapters 4 and 6 (Counterparty credit risk) of Title II of Part Three CRR in the trading book;

§ Article 18

(c) Settlement risk arising from free deliveries in accordance with Article 379 CRR in respect of all the business activities. 50. 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 referred to in point (b) of Article 92(3) CRR 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. 51. In addition, CR SA includes memorandum items in rows 0290 to 0320 to collect further information about exposures secured by mortgages on immovable property and exposures in default. 52. 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). 53. 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. 54. 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. 55. 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 0320 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 0320 of exposure class institutions. 3.2.3. Assignment of exposures to exposure classes under the Standardised approach

§ Article 18
  1. 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.
  2. 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.
  3. 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).
  4. 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.
  5. 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.
§ Article 18
  1. 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.
  2. With this background the assessment ranking in the decision tree mentioned below shall follow the following order:
  3. Securitisation positions;
  4. Items associated with particular high risk;
  5. Equity exposures
  6. Exposures in default;
  7. Exposures in the form of units or shares in collective investment undertakings (CIU)/Exposures in the form of covered bonds (disjoint exposure classes);
  8. Exposures secured by mortgages on immovable property;
  9. Other items;
  10. Exposures to institutions and corporates with a short-term credit assessment;
  11. 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.
  12. In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach or the mandate-based approach (points (1) and (2) of Article 132a CRR) is used, the underlying individual (in the case of the look through approach) and individual group of (in the case of the mandate-based approach) exposures shall be considered and classified into their corresponding risk weight line according to their treatment. However, 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).
  13. 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.
  14. 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
§ Article 18

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 66. Intra-group exposures referred to in paragraphs 6 and 7 of Article 113 CRR shall be reported as follows: 67. 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. 68. 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).

§ Article 18

. Therefore intra-group exposures shall be reported in the corresponding exposure class. 3.2.4.2. Exposure Class Covered Bonds 69. SA exposures shall be assigned to the exposure class covered bonds as follows: 70. 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 71. Where the possibility referred to in Article 132a(2) 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 Columns0010 ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Exposure value calculated in accordance with Article 111 CRR without taking into account value adjustments and provisions, deductions, 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 counterparty credit risk (Chapter 4 or Chapter 6 of Title II of Part Three CRR) the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk (see instructions to column 0210).
  2. Exposure values for leases shall be subject to Article 134(7) CRR. In particular, the residual value shall be included at its accounting value (i.e. the discounted estimated residual value at the end of the lease term).
  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. Where institutions make use of the derogation of Article 473a(7a) CRR, they shall report the amount ABSA that is risk weighted at 100 % in the exposure class other items in this column. 0030 (-) Value adjustments and provisions associated with the original exposure
§ Article 24

Article 24 and 111 CRR Value adjustments and provisions for credit losses (credit risk adjustments in accordance with Article 110) made in accordance with the accounting framework to which the reporting entity is subject, as well as prudential value adjustments (additional value adjustments in accordance with Article 34 and 105, amounts deducted in accordance with point (m) Article 36(1) and other own funds reductions related to the asset item). 0040 Exposure net of value adjustments and provisions Sum of columns 0010 and 0030 0050 – 0100 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. 0050 – 0060 Unfunded credit protection: adjusted values (GA)

§ Article 235

Article 235 CRR

§ Article 239

Article 239(3) CRR contains the formula for the calculation of the adjusted value GA of an unfunded credit protection. 0050 Guarantees

§ Article 203

Article 203 CRR Unfunded Credit Protection as defined in point (59) of Article 4(1) CRR which does not include Credit Derivatives. 0060 Credit derivatives

§ Article 204

Article 204 CRR 0070 – 0080 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. 0070 Financial collateral: simple method Paragraphs 1 and 2 of Article 222 CRR. 0080 Other funded credit protection

§ Article 232

Article 232 CRR. 0090 – 0100 SUBSTITUTION OF THE EXPOSURE DUE TO CRM

§ Article 222

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. 0110 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 0120-0140 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. 0120 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 0130 (-) Financial collateral adjusted value (Cvam)

§ Article 239

Article 239(2) CRR. For trading book operations, financial collateral and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included. The amount to be reported corresponds to Cvam = C(1-Hc-Hfx)(t-t)/(T-t). For a definition of C, Hc, Hfx, t, T and t see Sections 4 and 5 of Chapter 4 of Title II of Part Three CRR. 0140 (-) Of which: Volatility and maturity adjustments

§ Article 223

Article 223(1) CRR and Article 239(2) CRR. The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C[(1-Hc-Hfx)(t-t)/(T-t)-1], where the impact of volatility adjustment is (Cva-C) = C[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva) = C(1-Hc-Hfx)[(t-t)/(T-t)-1] 0150 Fully adjusted exposure value (E)

§ Article 220

Article 220(4), Article 223(2) to (5) and Article 228(1) CRR. 0160 – 0190 Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors

§ Article 111

Article 111(1) and point (56) of Article 4(1) CRR. See also Articles 222(3) and 228(1) CRR. The figures reported shall be the fully adjusted exposure values before application of the conversion factor. 0200 Exposure value

§ Article 111

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. Exposure values for leases are subject to Article 134(7) CRR. In particular, the residual value shall be included at its discounted residual value after taking into account value adjustments, all credit risk mitigants and credit conversion factors. Exposure values for CCR business shall be the same as reported in column 0210. 0210 Of which: Arising from Counterparty Credit Risk Exposure value for CCR business calculated in accordance with the methods laid down in Chapter 4 and Chapter 6 of Title II of Part Three CRR, which is the relevant amount for the calculation of risk weighted exposure amounts, i.e. having applied CRM techniques as applicable in accordance with Chapter 4 and Chapter 6 of Title II of Part Three CRR and considering the deduction of the incurred CVA loss as referred to in Article 273(6) CRR. The exposure value for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 CRR. For cases in which more than one CCR approach is used for a single counterparty, the incurred CVA loss, which is deducted at counterparty level, shall be assigned to the exposure value of the different netting sets in rows 0090 – 0130 reflecting the proportion of the exposure value post-CRM of the respective netting sets to the total exposure value post-CRM of the counterparty. For this purpose, the exposure value post-CRM as per the instructions to column 0160 of template C 34.02 shall be used. 0211 Of which: Arising from Counterparty Credit Risk excluding exposures cleared through a CCP Exposures reported in column 0210 excluding those arising from contracts and transactions listed in Article 301(1) CRR as long as they are outstanding with a central counterparty (CCP), including CCP-related transactions defined in point (2) of Article 300 CRR. 0215 Risk weighted exposure amount pre supporting factors Paragraphs 1 to 5 of Article 113 CRR, without taking into account the SME and infrastructure supporting factors laid down in Article 501 and Article 501a CRR The risk weighted exposure amount of the residual value of leasing assets shall be subject to sentence 5 of Article 134(7) and shall be calculated according to the formula 1/t 100 % residual value. In particular, residual value is undiscounted estimated residual value at the end of the lease term which is reassessed periodically to ensure continued appropriateness. 0216 (-) Adjustment to the risk-weighted exposure amount due to SME supporting factor Deduction of the difference of the risk-weighted exposure amounts for non-defaulted exposures to an SME (RWEA), which are calculated in accordance with Chapter 2 of Title II of Part Three CRR, as applicable and RWEA in accordance with point (1) of Article 501 CRR

§ Article 111

0217 (-) Adjustment to the risk-weighted exposure amount due to the infrastructure supporting factor Deduction of the difference of the risk weighted exposure amounts calculated in accordance with Title II of Part Three CRR and the adjusted RWEA for credit risk for exposures to entities that operate or finance physical structures or facilities, systems and networks that provide or support essential public services in accordance with Article 501a CRR. 0220 Risk weighted exposure amount after supporting factors Paragraphs 1 to 5 of Article 113 CRR, taking into account the SME and infrastructure supporting factors laid down in Article 501 and Article 501a CRR The risk weighted exposure amount of the residual value of leasing assets is subject to sentence 5 of Article 134(7) and shall be calculated according to the formula 1/t 100 % residual value. In particular, residual value is undiscounted estimated residual value at the end of the lease term which is reassessed periodically to ensure continued appropriateness. 0230 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 0240 Of which: with a credit assessment derived from central government Points (b) to d), (f), (g), (l) and (o) of Article 112 CRR RowsInstructions0010Total exposures0015 of which: Defaulted exposures in exposure classes items associated with a particular high risk and equity exposures

§ Article 127

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. 0020 of which: SME All exposures to SME shall be reported here. 0030 of which: Exposures subject to the SME supporting factor Only exposures which meet the requirements of Article 501 CRR shall be reported here. 0035 of which: Exposures subject to the infrastructure supporting factor Only exposures which meet the requirements of Article 501a CRR shall be reported here. 0040 of which: Secured by mortgages on immovable property – Residential property

§ Article 125

Article 125 CRR Only reported in exposure class Secured by mortgages on immovable property 0050 of which: Exposures under the permanent partial use of the Standardised approach Exposures to which the Standardised approach has been applied in accordance with Article 150(1) CRR 0060 of which: Exposures under the Standardised Approach with prior supervisory permission to carry out a sequential IRB implementation

§ Article 148

Article 148(1) CRR 0070-0130 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 referred to in point (b) of Article 92(3) CRR 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. 0070 On balance sheet exposures subject to credit risk Assets referred to in Article 24 CRR not included in any other category. Exposures that are subject to counterparty credit risk shall be reported in rows 0090-0130-, 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. 0080 Off balance sheet exposures subject to credit risk Off-balance sheet positions comprise the items listed in Annex I CRR. Exposures that are subject to counterparty credit risk shall be reported in rows 0090 – 0130 and therefore shall not be reported in this row. 0090-0130 Exposures/Transactions subject to counterparty credit risk Transactions subject to counterparty credit risk, i.e. derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions. 0090 Securities Financing Transactions netting sets Netting sets containing only SFTs, as defined in point (139) of Article 4(1) CRR. SFTs that are included in a contractual cross product netting set and therefore reported in row 0130 shall not be reported in this row. 0100 Of which: centrally cleared through a QCCP Contracts and transactions listed in Article 301(1) CRR as long as they are outstanding with a qualifying central counterparty (QCCP) as defined in point (88) of Article 4(1) CRR, including QCCP-related transactions, for which the risk weighted exposure amounts are calculated in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR. QCCP-related transaction has the same meaning as CCP-related transaction in Article 300(2) CRR, when the CCP is a QCCP. 0110 Derivatives and Long Settlement Transactions netting sets Netting sets containing only derivatives listed in Annex II CRR and long settlement transactions as defined in Article 272(2) CRR. Derivatives and Long Settlement Transactions that are included in a contractual Cross Product Netting set and therefore reported in row 0130, shall not be reported in this row.

§ Article 148

0120 Of which: centrally cleared through a QCCP See instructions to row 0100. 0130 From Contractual Cross Product netting sets Netting sets containing transactions of different product categories (Article 272(11) CRR), i.e. derivatives and SFTs, for which a contractual cross product netting agreement as defined in Article 272(25) CRR exists. 0140-0280BREAKDOWN OF EXPOSURES BY RISK WEIGHTS01400 %0150 2 %

§ Article 306

Article 306(1) CRR 0160 4 %

§ Article 305

Article 305(3) CRR 017010 %018020 %019035 %020050 %0210 70 % Point (c) of Article 232(3) CRR. 022075 %0230100 %0240150 %0250 250 % Articles 133(2) and 48(4) CRR 0260 370 %

§ Article 471

Article 471 CRR 0270 1250 %

§ Article 133

Article 133(2) and Article 379 CRR 0280 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. 0281-0284 BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU) These rows shall only be reported for the exposure class Collective investments undertakings (CIU), in line with Articles 132, 132a, 132b and 132c CRR. 0281 Look-through approach

§ Article 132a

Article 132a(1) CRR. 0282 Mandate-based approach

§ Article 132a

Article 132a(2) CRR. 0283 Fall-back approach

§ Article 132

Article 132(2) CRR. 0290-0320 Memorandum Items For rows 0290 to 0320, see also the explanation of the purpose of the memorandum items in the general section of the CR SA. 0290 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. 0300 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. 0310 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. 0320 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 72. The scope of the CR IRB template covers: 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. 73. 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 CRR (IRB approach). 74. 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. Items i) and iii) do not apply to template CR IRB 7.

§ Article 132
  1. In order to clarify whether the institution uses its own estimates for LGD and/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). This includes all retail portfolios. 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
  2. The CR IRB consists of seven templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate risk weighted 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 (exposures reported under row 0070 of CR IRB 1). CR IRB 3 provides all relevant parameters used for the calculation of credit risk capital requirements for IRB models. CR IRB 4 presents a flow statement explaining changes in risk weighted exposure amounts determined under the IRB approach for credit risk. CR IRB 5 provides information on the results of backtesting of PDs for the models reported. CR IRB 6 provides all relevant parameters used for the calculation of credit risk capital requirements under the slotting criteria for specialised lending. CR IRB 7 provides an overview of percentage of exposure value subject to SA or IRB approaches for each relevant exposure class. The templates CR IRB 1, CR IRB 2, CR IRB 3 and CR IRB 5 shall be reported separately for the following exposure and sub-exposure classes:
  3. Total (The Total template must be reported for the Foundation IRB approach and, separately for the Advanced IRB approach.)
  4. Central banks and central governments (point (a) of Article 147(2) CRR)
  5. Institutions (point (b) of Article 147(2) CRR) 4.1) Corporate – SME (point (c) of Article 147(2) CRR). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes. 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). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes. 5.2) Retail – Secured by immovable property non-SME
§ Article 132

(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). Under 5.1 and 5.2, retail exposures secured by immovable property shall be considered any retail exposures secured by immovable property recognised as collateral, regardless of the ratio of the value of collateral to the exposure or of the purpose of the loan. 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). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes. 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 ColumnsInstructions0010 INTERNAL RATING SCALE/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 0110) 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 scale 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 scale or is able to report in accordance with an internal master scale, that scale shall be used. Otherwise, the different rating scales shall be merged and ordered in accordance with the following criteria: Obligor grades of the different rating scales 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. The same applies for continuous rating scales: a reduced number of grades to be reported shall 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.

§ Article 132

The last rating grade or grades shall be dedicated for defaulted exposures with PD of 100 %. For the purposes of weighting the average PD, the exposure value reported in column 110 shall be used. The exposure weighted average PD shall be computed taking into account all exposures reported in a given row. In the row where only defaulted exposures are reported the average PD shall be of 100 %. 0020 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. For derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to counterparty credit risk (Chapter 4 or Chapter 6 of Title II of Part Three CRR), the original exposure shall correspond to the exposure value arising from counterparty credit risk (see instructions to column 0130). 0030 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 points (4) and (5) of Article 142(1) CRR subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR. 0040-0080 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. 0040-0050 UNFUNDED CREDIT PROTECTION Unfunded credit protection as defined in point (59) of Article 4(1) CRR. Unfunded credit protection 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. 0040 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 (except for paragraph 3), the relevant value used in the internal model shall be reported. Guarantees shall be reported in column 0040 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 0150. Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 0220. 0050 CREDIT DERIVATIVES: Where own estimates of LGD are not used, the Adjusted Value (GA) as defined in Article 236(3) CRR shall be provided.

§ Article 132

Where own estimates of LGD are used in accordance with paragraph 3 of 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 0160. Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 0220. 0060 OTHER FUNDED CREDIT PROTECTION Collateral that has an effect on the PD of the exposure shall be capped at the value of the original exposure pre conversion factors. Where own estimates of LGD are not used, Article 232(1) CRR applies. Where own estimates of LGD are used, those credit risk mitigation techniques that have effects on PD shall be reported. The relevant nominal or market value shall be reported. Where an adjustment is made in the LGD, that amount shall be reported in column 170. 0070-0080 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 guarantor’s exposure class and, where relevant, obligor grade or pool. That amount shall be considered as an inflow into the guarantor’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. These columns shall only be used where institutions have obtained permission from their competent authority to treat these secured exposures under the permanent partial use of the Standardised approach in accordance with Article 150 CRR or to classify the exposures to exposure classes in accordance with the characteristic of the guarantor. 0090 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. 0100, 0120 Of which: Off Balance Sheet Items See CR-SA instructions 0110 EXPOSURE VALUE The exposure values 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, credit conversion factors and percentages in accordance with paragraphs 8, 9 and 10 of Article 166 CRR are applied, irrespective of the approach chosen by the institution. Exposure values for CCR business shall be the same as reported in column 0130. 0130 Of which: Arising from counterparty Credit Risk See the corresponding CR SA instructions in column 0210. 0140 OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the exposure value for all exposures to entities referred to in points (4) and (5) of Article 142(1) CRR subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR.

§ Article 132

0150-0210 CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT CRM techniques that have an impact on LGD estimates 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 and 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. 0150 GUARANTEES See instructions to column 0040. 0160 CREDIT DERIVATIVES See instructions to column 0050. 0170 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. 0171 CASH ON DEPOSIT Point (a) of Article 200 CRR Cash on deposit with, or cash assimilated instruments held by third party institution in a non-custodial arrangement and pledged to the lending institution. The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure. 0172 LIFE INSURANCE POLICIES Point (b) of Article 200 CRR The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure. 0173 INSTRUMENTS HELD BY A THIRD PARTY Point (c) of Article 200 CRR This includes instruments issued by a third party institution, which will be repurchased by that institution on request. The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure. This column shall exclude those exposures covered by instruments held by a third party where, in accordance with Article 232(4) CRR, institutions treat instruments repurchased on request that are eligible under point (c) of Article 200 CRR as a guarantee by the issuing institution. 0180 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, for eligible financial collateral in accordance with Article 197 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.

§ Article 132

0190-0210 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. 0190 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. 0200 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. 0210 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. 0220 SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION Guarantees and credit derivatives covering exposures subject to the double default treatment in accordance with Article 153(3) CRR and taking into account Article 202 and Article 217(1) CRR. The values to be reported shall not exceed the value of the corresponding exposures. 0230 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 0110 shall be used for the calculation of the exposure-weighted averages. All effects shall be considered (so the effects of the floor applicable to exposures secured by immovable property in accordance with Article 164(4) CRR 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 0110.

§ Article 132

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 scale approved by the respective competent authority. Data shall not be reported for specialised lending exposures referred to in Article 153(5) CRR. Where PD is estimated for specialised lending exposures, data shall be reported based on own estimates of LGDs or regulatory LGDs. Exposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 0230, but only be included in the calculation of column 0240. 0240 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 point (4) of Article 142(1) CRR and to unregulated financial sector entities as defined in point (5) of Article 142(1) CRR subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR 0250 EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) The value reported shall be determined in accordance with Article 162 CRR. The exposure value (column 0110) 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. 0255 RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS For central governments and central banks, corporate and institutions, see paragraphs 1, 2, 3 and 4 of Article 153 CRR; For retail, see Article 154(1) CRR The SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR shall not be taken into account. 0256 (-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR Deduction of the difference of the risk-weighted exposure amounts for non-defaulted exposures to an SME (RWEA), which are calculated in accordance with Chapter 3 of Title II of Part Three CRR, as applicable and RWEA in accordance with Article 501 CRR. 0257 (-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR Deduction of the difference of the risk weighted exposure amounts calculated in accordance with Title II of Part Three CRR and the adjusted RWEA for credit risk for exposures to entities that operate or finance physical structures or facilities, systems and networks that provide or support essential public services in accordance with Article 501a CRR 0260 RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

§ Article 132

For central governments and central banks, corporate and institutions, see paragraphs 1, 2, 3 and 4 of Article 153 CRR. For retail, see Article 154(1) CRR. The SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR shall be taken into account. 0270 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 point (4) of Article 142(1) CRR and to unregulated financial sector entities as defined in point (5) of Article 142(1) CRR, subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR. 0280 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. For defaulted exposures, see point (h) of Article 181(1) CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating scale approved by the respective competent authority. 0290 (-) 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. 0300 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 scales, 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). 0310 PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT Institutions shall report hypothetical risk weighted exposure amount to be calculated as the RWEA without the recognition of the eligible credit derivative as a CRM technique as specified in Article 204 CRR. The amounts shall be presented in the exposure classes relevant for the exposures to the original obligor. RowsInstructions0010TOTAL EXPOSURES0015 of which: Exposures subject to the SME supporting factor Only exposures which meet the requirements of Article 501 CRR shall be reported here.

§ Article 132

0016 of which: Exposures subject to the infrastructure supporting factor Only exposures which meet the requirements of Article 501a CRR shall be reported here. 0020-0060BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:0020 On balance sheet items subject to credit risk Assets referred to in Article 24 CRR shall not be included in any other category. Exposures that are subject to counterparty credit risk shall be reported in rows 0040-0060 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. 0030 Off balance sheet items subject to credit risk Off-balance sheet items shall comprise items in accordance with Article 166(8) CRR, as well as those items that are listed in Annex I CRR. Exposures that are subject to counterparty credit risk shall be reported in rows 0040-0060 and, therefore, shall not be in this row. 0040-0060 Exposures/Transactions subject to counterparty credit risk See the corresponding CR SA instructions in rows 0090-0130. 0040 Securities Financing Transactions netting sets See the corresponding CR SA instructions in row 0090. 0050 Derivatives and Long Settlement Transactions netting sets See the corresponding CR SA instructions in row 0110. 0060 From Contractual Cross Product netting sets See the corresponding CR SA instructions in row 0130. 0070 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 0180. 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 supervisory master scale is not used. Instead, institutions shall determine the scale to be used themselves. 0080 SPECIALISED LENDING SLOTTING APPROACH: TOTAL

§ Article 153

Article 153(5) CRR. This shall only apply to the exposure classe corporate – specialised lending. 0160 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. This alternative is available only for institutions using Foundation-IRB approach. 0170 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. 0180 DILUTION RISK: TOTAL PURCHASED RECEIVABLES See point (53) of Article 4(1) CRR for a definition of dilution risk. For calculation of risk weighted exposure amounts for dilution risk see Article 157 CRR. Dilution risk shall be reported for corporate and retail purchased receivables. 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) ColumnInstructions0005 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. The first grade (or pool) to be reported is the best, then the second-best and so on. The last reported grade or grades (or pool) shall be that of exposures in default. 0010-0300Instructions for each of these columns are the same as for the corresponding numbered columns in CR IRB 1 template.RowInstructions0010-0001 – 0010-NNNNValues reported in these rows must be filled in in the order corresponding to 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 shall not be reported in this template. 3.3.1. C 08.03 – Credit risk and free deliveries: IRB approach to Capital Requirements (breakdown by PD ranges (CR IRB 3)) 3.3.1.1. General remarks 77. Institutions shall report the information included in this template in application of points (i) to (v) of Article 452(g) CRR, in order to provide information on the main parameters used for the calculation of capital requirements for IRB approach. Information reported in this template shall not include data on specialised lending referred to in article 153(5) CRR, which is included in template C 08.06. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR). 3.3.1.2. Instructions concerning specific positions

§ Article 153

ColumnsInstructions0010 ON-BALANCE SHEET EXPOSURES Exposure value calculated in accordance with Article 166(1) to (7) CRR without taking into account any credit risk adjustments 0020 OFF-BALANCE SHEET EXPOSURES PRE-CONVERSION FACTORS Exposure value in accordance with paragraphs (1) to (7) of Article 166 CRR, without taking into account any credit risk adjustments and any conversion factors, neither own estimates nor conversion factors specified in Article 166(8) CRR, or any percentages specified in Article 166(10) CRR Off balance sheet exposures shall comprise all committed but undrawn amounts and all off-balance sheet items, as listed in Annex I CRR. 0030 EXPOSURE WEIGHTED AVERAGE CONVERSION FACTORS For all exposures included in each bucket of the fixed PD range, the average conversion factor used by institutions in their calculation of risk-weighted exposure amounts, weighted by the off-balance sheet exposure pre-CCF as reported in column 0020 0040 EXPOSURE VALUE POST CONVERSION FACTORS AND POST CRM Exposure value in accordance with Article 166 CRR This column shall include the sum of exposure value of on-balance sheet exposures and off-balance sheet exposures post conversion factors in accordance with paragraphs (8) to (10) of Article 166 CRR and after CRM techniques. 0050 EXPOSURE WEIGHTED AVERAGE PD (%) For all exposures included in each bucket of the fixed PD range, the average PD estimate of each obligor, weighted by the exposure value post-CCF and CRM as reported in column 0040 0060 NUMBER OF OBLIGORS The number of legal entities or obligors allocated to each bucket of the fixed PD range The number of obligors shall be counted in accordance with the instructions in column 0300 of template C 08.01. Joint obligors shall be treated the same as for the purpose of PD calibration. 0070 EXPOSURE WEIGHTED AVERAGE LGD (%) For all exposures included in each bucket of the fixed PD range, the average of the LGD estimates for each exposure, weighted by the exposure value post-CCF and post-CRM as reported in column 0040 The LGD reported shall correspond to the final LGD estimate used in the calculation of risk weighted amounts obtained after considering any CRM effects and downturn conditions where relevant. For retail exposures secured by immovable properties the LGD reported shall take into account the floors specified in Article 164(4) CRR. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected in accordance with Article 161(4) CRR. For defaulted exposures under A-IRB approach, provisions laid down in point (h) of Article 181(1) CRR shall be considered. The LGD reported shall correspond to the estimate of LGD in-default in accordance with the applicable estimation methodologies. 0080 EXPOSURE-WEIGHTED AVERAGE MATURITY (YEARS) For all exposures included in each bucket of the fixed PD range, the average maturity of each exposure, weighted by the exposure value post-CCF as reported in column 0040

§ Article 153

The maturity value reported shall be determined in accordance with Article 162 CRR. The average maturity shall be reported in years. 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 in accordance with Chapter 3 of Title II of Part Three CRR. This means that this column shall not be filled in for the exposure class retail. 0090 RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS For exposures to central governments and central banks, institutions and corporates, the risk weighted exposure amount calculated in accordance with paragraphs (1) to (4) of Article 153; for retail exposures, the risk weighted exposure amount calculated in accordance with Article 154 CRR The SME and infrastructure supporting factors laid down in Articles 501 and Article 501a CRR shall be taken into account. 0100 EXPECTED LOSS AMOUNT The expected loss amount calculated in accordance with Article 158 CRR The expected loss amount to be reported shall be based on the actual risk parameters used in the internal rating scale approved by the respective competent authority. 0110 VALUE ADJUSTMENTS AND PROVISIONS Specific and general credit risk adjustments in accordance with the Commission Delegated Regulation (EU) No 183/2014, additional value adjustments in accordance with Articles 34 and 110 CRR, as well as other own funds reductions related to the exposures allocated to each bucket on the fixed PD range These value adjustments and provisions shall be those considered for the implementation of Article 159 CRR. General provisions shall be reported by assigning the amount pro rata – in accordance with the expected loss of different obligor grades. RowsInstructionsPD RANGEExposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution effects due to CRM). Institutions shall map exposure by exposure to the PD range provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %. 3.3.2. C 08.04 – Credit risk and free deliveries: IRB approach to Capital Requirements (RWEA flow statements (CR IRB 4)) 3.3.2.1. General remarks 78. Institutions shall report the information included in this template in application of point (h) of Article 438 CRR. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR). 79. Institutions shall report the flows of RWEA as the changes between the risk-weighted exposure amounts at the reference date and the risk-weighted exposure amounts at the prior reference date. In the case of quarterly reporting, end-of-quarter prior to the quarter of the reporting reference date shall be reported. 3.3.2.2. Instructions concerning specific positions ColumnInstructions0010 RISK WEIGHTED EXPOSURE AMOUNT Total risk weighted exposure amount for credit risk calculated under the IRB approach, taking into account supporting factors in accordance with Article 501 and 501a CRR.

§ Article 153

RowsInstructions0010 RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD Risk weighted exposure amount at the end of the previous reporting period after the application of the SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR 0020 ASSET SIZE (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to asset size, i.e. organic changes in book size and composition (including the origination of new businesses and maturing loans) but excluding changes in book size due to acquisitions and disposal of entities Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount. 0030 ASSET QUALITY (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to asset quality, i.e. changes in the assessed quality of the institution’s assets due to changes in borrower risk, such as rating grade migration or similar effects Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount. 0040 MODEL UPDATES (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to model updates, i.e changes due to implementation of new models, changes in the models, changes in model scope, or any other changes intended to address model weaknesses Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount. 0050 METHODOLOGY AND POLICY (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to methodology and policy i.e. changes due to methodological changes in calculations driven by regulatory policy changes, including both revisions to existing regulations and new regulations, excluding changes in models, which are included in row 0040 Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount. 0060 ACQUISITIONS AND DISPOSALS (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to acquisitions and disposals, i.e. changes in book sizes due to acquisitions and disposal of entities Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount. 0070 FOREIGN EXCHANGE MOVEMENTS (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to foreign exchange movements, i.e. changes arising from foreign currency translation movements

regnskab
§ Article 153

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount. 0080 OTHER (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to other drivers This category shall be used to capture changes that cannot be attributed to any other category. Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount. 0090 RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD Risk weighted exposure amount in the reporting period after the application of the SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR 3.3.3. C 08.05 – Credit risk and free deliveries: IRB approach to Capital Requirements (Back-testing of PD (CR IRB 5)) 3.3.3.1. General remarks 80. Institutions shall report the information included in this template in application of point (h) of Article 452 CRR. Institution shall consider the models used within each exposure class and they shall explain the percentage of risk weighted exposure amount of the relevant exposure class covered by the models for which back-testing results are reported here. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR). 3.3.3.2. Instructions concerning specific positions ColumnsInstructions0010 ARITHMETIC AVERAGE PD (%) Arithmetic average of PD at the beginning of the reporting period of the obligors that fall within the bucket of the fixed PD range and counted in column 0020 (average weighted by the number of obligors) 0020 NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR Number of obligors at the end of the previous year subject to reporting All obligors carrying a credit obligation at the relevant point in time shall be included. The number of obligors shall be counted in accordance with the instructions in column 0300 of template C 08.01. Joint obligors shall be treated the same as for the purpose of PD calibration. 0030 OF WHICH: DEFAULTED DURING THE YEAR Number of obligors which defaulted during the year (i.e. the observation period of the default rate calculation) Defaults shall be determined in accordance with Article 178 CRR. Each defaulted obligor is counted only once in the numerator and denominator of the one-year default rate calculation, even if the obligor defaulted more than once during the relevant one-year period. 0040 OBSERVED AVERAGE DEFAULT RATE (%) One-year default rate referred to in point (78) Article 4(1) CRR Institutions shall ensure: (a) that the denominator consists of the number of non-defaulted obligors with any credit obligation observed at the beginning of the one-year observation period (i.e. beginning of the year prior to the reporting reference date); in this context a credit obligation refers to both of the following: (i) any on-balance sheet item, including any amount of principal, interest and fees; (ii) any off-balance sheet items, including guarantees issued by the institution as a guarantor.

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(b) that the numerator includes all those obligors considered in the denominator that had at least one default event during the one-year observation period (year prior to the reporting reference date). Regarding the calculation of the number of obligors see column 0300 of template C 08.01. 0050 AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%) The simple average of the annual default rate of the five most recent years (obligors at the beginning of each year that are defaulted during that year/total obligors at the beginning of the year) is a minimum. The institution may use a longer historical period that is consistent with the institution’s actual risk management practices. RowsInstructionsPD RANGEExposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated at the beginning of the reporting period for each obligor assigned to this exposure class (without considering any substitution effects due to CRM). Institutions shall map exposure by exposure to the PD range provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %. 3.3.4. C 08.05.1 – Credit risk and free deliveries: IRB approach to Capital Requirements: Back-testing of PD (CR IRB 5B) 3.3.4.1. Instructions concerning specific positions 81. In addition to template C 08.05, institutions shall report information included in template C 08.05.1 in case that they apply point (f) of Article 180(1) CRR for PD estimation and only for PD estimates in accordance with the same Article. Instructions are the same than for template C 08.05, with the following exceptions: ColumnsInstructions0005 PD RANGE Institutions shall report the PD ranges in accordance with their internal grades that they map to the scale used by the external ECAI, instead of a fixed external PD range. 0006 EXTERNAL RATING EQUIVALENT Institutions shall report one column for each ECAI considered following point (f) of Article 180(1) CRR. Institutions shall include in these columns the external rating to which their internal PD ranges are mapped. 3.3.5. C 08.06 – Credit risk and free deliveries: IRB approach to Capital Requirements (Specialised lending slotting approach (CR IRB 6)) 3.3.5.1. General remarks 82. Institutions shall report the information included in this template in application of point (e) of Article 438 CRR. Institutions shall report information on the following types of specialised lending exposures referred to in Table 1 of Article 153(5): (a) Project finance (b) Income-producing real estate and high volatility commercial real estate (c) Object finance (d) Commodities finance 3.3.5.2. Instructions concerning specific positions ColumnsInstructions0010 ORIGINAL EXPOSURE PRE CONVERSION FACTORS See CR-IRB instructions. 0020 EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS See CR-IRB instructions. 0030, 0050 OF WHICH: OFF-BALANCE SHEET ITEMS See CR-SA instructions. 0040 EXPOSURE VALUE See CR-IRB instructions.

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0060 OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK See CR SA instructions. 0070 RISK WEIGHT

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Article 153(5) CRR This is a fixed column for information purposes. It shall not be altered. 0080 RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS See CR-IRB instructions. 0090 EXPECTED LOSS AMOUNT See CR-IRB instructions. 0100 (-) VALUE ADJUSTMENTS AND PROVISIONS See CR-IRB instructions. RowsInstructions0010-0120Exposures shall be allocated to the appropriate category and maturity in accordance with table 1 of Article 153(5) CRR. 3.3.6. C 08.07 – Credit risk and free deliveries: IRB approach to Capital Requirements (Scope of use of IRB and SA approaches (CR IRB 7)) 3.3.6.1. General remarks 83. For the purpose of this template, institutions calculating the risk-weighted exposure amounts under the IRB approach to credit risk shall allocate their exposures subject to Standardised approach laid down in Chapter 2 of Title II of Part Three CRR or to the IRB approach laid down in Chapter 3 of Title II of Part Three CRR, as well as the part of each exposure class subject to a roll-out plan. Institutions shall include the information in this template by exposure classes, in accordance with the breakdown of exposure classes included in the rows of the template. 84. Columns 0020 to 0040 should cover the full spectrum of exposures, so the sum of each row for those three columns should be 100 % of all exposure classes except of securitisation positions and deducted positions. 3.3.6.2. Instructions concerning specific positions ColumnsInstructions0010 TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR Institutions shall use the exposure value before CRM in accordance with Article 166 CRR. 0020 TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB Institutions shall use the exposure value before CRM in accordance with Article 429(4) CRR to report the total exposure value, including both the exposures under the standardized approach and the exposures under the IRB approach. 0030 PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO PERMANENT PARTIAL USE OF SA (%) Part of exposure for each exposure class subject to the Standardised approach (exposure subject to the Standardised approach before CRM over the total exposure in that exposure class in column 0020), respecting the scope of permission for permanent partial use of the Standardised approach received from a competent authority in accordance with Article 150 CRR. 0040 PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO A ROLL-OUT PLAN (%) Part of exposure for each exposure class subject to the sequential implementation of IRB approach pursuant to Article 148 CRR. This shall include: both exposures where institutions plan to apply IRB approach with or without their own estimation of LGD and conversion factors (F-IRB and A-IRB); immaterial equity exposures not included in columns 0020 or 0040; exposures already under F-IRB where an institution is planning to apply A-IRB in the future; specialised lending exposures under the supervisory slotting approach not included in column 0040. 0050 PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO IRB APPROACH (%)

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Part of exposure for each exposure class subject to the IRB approach (exposure subject to the IRB approach before CRM over the total exposure in that exposure class), respecting the scope of permission received from a competent authority to use the IRB Approach in accordance with Article 143 CRR. This shall include both exposures where institutions have the permission to use their own estimation of LGD and conversion factors or not (F-IRB and A-IRB), including supervisory slotting approach for specialised lending exposures and equity exposures under the simple risk weight approach, as well as those exposures reported in row 0170 of template C 08.01. RowsInstructionsEXPOSURE CLASSESInstitutions shall include the information in this template by exposure classes, in accordance with the breakdown of exposure classes included in the rows of the template. 3.4. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN 85. All institutions shall submit information aggregated at a total level. Additionally, institutions fulfilling the threshold set in Article 5(5) 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. 86. 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. 87. 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 Columns0010 ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Same definition as for column 0010 of CR SA template 0020 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.

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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. 0040 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. 0050 General credit risk adjustments Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 183/2014. 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. 0055 Specific credit risk adjustments Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 183/2014. 0060 Write-offs Write-offs as referred to in IFRS 9.5.4.4 and B5.4.9. 0061 Additional value adjustments and other own funds reductions In line with Article 111 CRR. 0070 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. 0075 Exposure value Same definition as for column 0200 of CR SA template 0080 RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS Same definition as for column 0215 of CR SA template 0081 (-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE SME SUPPORTING FACTOR Same definition as for column 0216 of CR SA template 0082 (-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR Same definition as for column 0217 of CR SA template 0090 RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS Same definition as for column 0220 of CR SA template Rows0010 Central governments or central banks Point (a) of Article 112 CRR 0020 Regional governments or local authorities Point (b) of Article 112 CRR 0030 Public sector entities Point (c) of Article 112 CRR 0040 Multilateral developments banks Point (d) of Article 112 CRR 0050 International organisations Point (e) of Article 112 CRR 0060 Institutions Point (f) of Article 112 CRR 0070 Corporates Point (g) of Article 112 CRR 0075 of which: SME Same definition as for row 0020 of CR SA template 0080 Retail Point (h) of Article 112 CRR 0085 of which: SME Same definition as for row 0020 of CR SA template 0090 Secured by mortgages on immovable property Point (i) of Article 112 CRR 0095 of which: SME Same definition as for row 0020 of CR SA template 0100 Exposures in default Point (j) of Article 112 CRR 0110 Items associated with particularly high risk Point (k) of Article 112 CRR 0120 Covered bonds Point (l) of Article 112 CRR

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0130 Claims on institutions and corporates with a short-term credit assessment Point (n) of Article 112 CRR 0140 Collective investments undertakings (CIU) Point (o) of Article 112 CRR Sum of rows 0141 to 0143 0141 Look-through approach Same definition as for row 0281 of CR SA template 0142 Mandate-based approach Same definition as for row 0282 of CR SA template 0143 Fall-back approach Same definition as for row 0283 of CR SA template 0150 Equity exposures Point (p) of Article 112 CRR 0160 Other exposures Point (q) of Article 112 CRR 0170Total 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 Columns0010 ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Same definition as for column 0020 of CR IRB template 0030 Of which defaulted Original exposure value for those exposures which have been classified as defaulted exposures in accordance with Article 178 CRR 0040 Observed new defaults for the period Original exposure value for those exposures, which have been classified as defaulted defaulted exposures in accordance with Article 178 CRR during the 3-month period since the last reporting reference date, shall be reported against the exposure class to which the obligor belongs. 0050 General credit risk adjustments Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 183/2014 0055 Specific credit risk adjustments Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 183/2014 0060 Write-offs Write-offs as referred to in IFRS 9.5.4.4 and B5.4.9 0070 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 0080 INTERNAL RATING SCALE/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) Same definition as for column 0010 of CR IRB template 0090 EXPOSURE WEIGHTED AVERAGE LGD (%) Same definition as for columns 0230 and 0240 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. For specialised lending exposures where the PD is estimated, the reported value should be either the estimated or the regulatory LGD. For specialised lending exposures referred to in Article 153(5) CRR, data cannot be reported as it is not available. 0100 Of which: defaulted Exposure weighted LGD for those exposures which have been classified as defaulted exposures in accordance with Article 178 CRR 0105 Exposure value Same definition as for column 0110 of CR IRB template 0110 RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS Same definition as for column 0255 of CR IRB template 0120 Of which defaulted Risk weighted exposure amount for those exposures which have been classified as defaulted exposures in accordance with Article 178(1) CRR

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0121 (-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR Same definition as for column 0256 of CR IRB template 0122 (-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR Same definition as for column 0257 of CR IRB template 0125 RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS Same definition as for column 0260 of CR IRB template 0130 EXPECTED LOSS AMOUNT Same definition as for column 0280 of CR IRB template Rows0010 Central banks and central governments Point (a) of Article 147(2) CRR 0020 Institutions Point (b) of Article 147(2) CRR 0030 Corporates All exposures to corporates as referred to in point (c) of Article 147(2) CRR 0042 Of which: Specialised lending (excl. SL subject under the slotting approach) Point (a) of Article 147(8) CRR Data shall not be reported for specialised lending exposures as referred to in Article 153(5) CRR. 0045 Of which: Specialised lending under the slotting approach Point (a) of Article 147(8) and Article 153(5) CRR 0050 Of which: SME Point (c) of Article 147(2) CRR Under the IRB approach, the reporting entities shall use their internal definition of SME, as applied in internal risk management processes. 0060 Retail All retail exposures as referred to in point (d) of Article 147(2) CRR 0070 Retail – Secured by immovable property Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate Retail exposures secured by immovable property will be considered any retail exposures secured by immovable property recognised as collateral, regardless of the ratio of the value of collateral to the exposure or of the purpose of the loan. 0080 SME Retail exposures as referred to in point (d) of Article 147(2) and Article 154(3) CRR which are secured by real estate 0090 non-SME Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate 0100 Retail – Qualifying revolving Retail exposures as referred to in point (d) of Article 147(2) in conjunction with Article 154(4) CRR 0110 Other Retail Other retail exposures as referred to in point (d) of Article 147(2) CRR which are not reported in rows 0070 – 0100 0120 SME Other retail exposures to SMEs as referred to in point (d) of Article 147(2) CRR 0130 non-SME Other retail exposures to individuals as referred to in point (d) of Article 147(2) CRR 0140 Equity Equity exposures as referred to in point (e) of Article 147(2) CRR 0150Total 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 88. 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).

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  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 Article 5(5) 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 Columns0010 Amount The value of the relevant credit exposures and their associated own-funds requirements determined in accordance with the instructions for the respective row. 0020Percentage0030 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. Rows0010-0020 Relevant credit exposures – Credit risk Relevant credit exposures as referred to in point (a) of Article 140(4) CRD. 0010 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 0055. 0020 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 0055. 0030-0040 Relevant credit exposures – Market risk Relevant credit exposures as referred to in point (b) of Article 140(4) CRD. 0030 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;
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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. 0040 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. 0055 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. 0070-0110Own funds requirements and weights0070 Total own funds requirements for CCB The sum of rows 0080, 0090 and 0100. 0080 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 0100. 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. 0090 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. 0100 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. 0110 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:

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  1. Numerator: The total own funds requirements that relate to the relevant credit exposures in the country in question [r0070; c0010; 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 [r0070; c0010; Total]. Information on the Own fund requirements weights shall not be reported for the Total of all countries. 0120-0140Countercyclical buffer rates0120 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. 0130 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. 0140 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 [r0120; c0020; country sheet], or [r0130; c0020; 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 [r0110; c0020; 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. 0150 – 0160Use of the 2 % threshold0150 Use of 2 % threshold for general credit exposure
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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. 0160 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 92. 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. 93. 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. 94. 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). 95. 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. 96. 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:

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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. 97. 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) Columns0005 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. 0010 INTERNAL RATING SCALE PD ASSIGNED TO THE OBLIGOR GRADE (%) Institutions applying the PD/LGD approach shall report in column 0010 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 scale 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 0060) shall be used for weighting purposes.

§ Article 153

0020 ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Institutions report in column 0020 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 0020 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. 0030-0040 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 0030 and 0040 the amount of unfunded credit protection under the form of guarantees (column 0030) or credit derivatives (column 0040) recognised in accordance with the methods set out in Chapter 4 of Title II of Part Three CRR. 0050 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 0050 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. 0060 EXPOSURE VALUE Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in column 0060 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). 0061 OF WHICH: OFF BALANCE SHEET ITEMS See CR-SA instructions 0070 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 0060) shall be used for the calculation of the exposure-weighted average LGD. Institutions shall take into account Article 165(2) CRR. 0080 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).

§ Article 153

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). 0090 MEMORANDUM ITEM: EXPECTED LOSS AMOUNT Institutions shall report in column 0090 the expected loss amount for equity exposures calculated in accordance with paragraphs 4, 7, 8 and 9 of Article 158 CRR. 98. 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 0020, PD/LGD APRROACH: TOTAL Institutions applying the PD/LGD approach (Article 155(3) CRR) shall report the required information in row 0020 of the CR EQU IRB 1 template. CR EQU IRB 1 – rows 0050- 0090 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 0050 to 0090. CR EQU IRB 1 – row 0100 INTERNAL MODELS APPROACH Institutions applying the Internal Models approach (Article 155(4) CRR) shall report the required information in row 0100. CR EQU IRB 1 – row 0110 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 0110. 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 scale 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 scale/master scale. In any other case, the different rating scales shall be merged and ordered in accordance with the following criteria: Obligor grades or pools of the different rating scales shall be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher.

§ Article 153

3.6. C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT) 3.6.1. General remarks 99. 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. 100. 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. 101. 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. 102. 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. 103. Institutions shall multiply that difference by the appropriate factor of Table 1 of Article 378 CRR to determine the corresponding own funds requirements. 104. 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. 105. 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 Columns0010 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. 0020 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. 0030 OWN FUNDS REQUIREMENTS Institutions shall report the own funds requirements calculated in accordance with Article 378 CRR.

§ Article 153

0040 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 0030 by 12.5 in order to obtain the settlement risk exposure amount. Rows0010 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 {r0010;c0010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions shall report in {r0010;c0020} the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions shall report in {r0010;c0030] the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the price difference reported in column 0020 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). 0020 to 0060 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 0020 to 0060 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. 0070 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 {r0070;c0010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions shall report in {r0070;c0020} the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions shall report in {r0070;c0030} the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the price difference reported in column 0020 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). 0080 to 0120 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 0080 to 0120 the information about settlement/delivery risk for trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR.

§ Article 153

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 106. 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. 107. 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. 108. 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).

§ Article 153

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

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

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.

§ Article 222

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

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

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 point (a) or (b) of Article 254(2) CRR. 0590 SEC-ERBA OPTION

§ Article 254

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

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 CRR in respect of the underlying exposures had they not been securitised.

§ Article 254

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. 109. 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. 110. 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.

§ Article 254

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.

§ Article 254

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. 3.8. DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) 3.8.1. Scope of the SEC DETAILS template 111. 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. 112. 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 0160. c. Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders). 113. 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. 114. 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 0010-0040; 0070-0110; 0160; 0190; 0290-0300; 0310-0470.

§ Article 254
  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. 3.8.2 Breakdown of the SEC DETAILS template
  2. 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.
  3. Securitisation positions in the trading book shall only be reported in columns 0005-0020, 0420, 0430, 0431, 0432, 0440 and 0450-0470. For columns 0420, 0430 and 0440, institutions shall take into account the RW corresponding to the own funds requirement of the net position. 3.8.3 C 14.00 – Detailed information on securitisations (SEC DETAILS) Columns0010 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. 0020 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. 0021 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. 0110 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. 0030 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.
§ Article 254

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. 0040 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. 0051 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. 0060 SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS? Articles 109, 244 and 245 CRR 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. This column shall summarise the solvency treatment of the securitisation scheme by the originator. It shall indicate 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.

§ Article 254

In the case of the securitisations of liabilities, originators shall not report this column. 0061 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 shall summariss 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. 0070 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 (63) of Article 4(1) CRR, the type of securitisation using the following abbreviations shall be reported: S for securitisation; R for re-securitisation. 0075 STS SECURITISATION

§ Article 18

Article 18 of Regulation (EU) 2017/2402 Institutions shall report one of the following abbreviations: Y – Yes; N – No. 0446 SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Articles 243 and 270 CRR Institutions shall report one of the following abbreviations: Y– Yes;N– No. 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. 0080-0100 RETENTION

§ Article 6

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 of that Regulation applicable on 31 December 2018. 0080 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. 0090 % 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 0080 (Type of retention applied). 0100 COMPLIANCE WITH THE RETENTION REQUIREMENT? Institutions shall report the following abbreviations: Y- Yes;N- No. This column shall not be reported where code E (exempted) is reported under column 0080 (Type of retention applied). 0120-0130 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 0120, 0121 and 0130. 0120 ORIGINATION DATE (yyyy-mm-dd) 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.

§ Article 6

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. 0121 DATE OF LATEST ISSUANCE (yyyy-mm-dd) The month and year of the date of the latest issuance of securities in the securitisation shall be reported in the following format: yyyy-mm-dd. 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. 0130 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. 0140-0225 SECURITISED EXPOSURES Columns 0140 to 0225 request information on several features of the securitised portfolio by the reporting entity. 0140 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. 0150 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 0140 in relative terms).

§ Article 6

This information shall be reported even where the reporting entity does not hold any positions in the securitisation. 0160 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. 0171 % 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. 0180 NUMBER OF EXPOSURES

§ Article 259

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. 0181 EXPOSURES IN DEFAULT W (%)

§ Article 261

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. 0190 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. 0201 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 0170). 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). 0202 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 0171). 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). 0203 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 0170). 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). 0204 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 in accordance with points (a) and (f) of Article 162(2) CRR, without applying the 5 year cap. 0210 (-) 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.

§ Article 261

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. 0221 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. 0222 % 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) 0223 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. 0225MEMORANDUM ITEMS0225 CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD

§ Article 110

Article 110 CRR 0230-0304 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. 0230-0252 ON-BALANCE SHEET ITEMS This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss). 0230-0232SENIOR0230 AMOUNT The amount of senior securitisation positions as defined in Article 242(6) CRR. 0231 ATTACHMENT POINT (%) The attachment point (%) as referred to in Article 256(1) CRR 0232 and 0252 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. 0240-0242MEZZANINE0240 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. 0241 NUMBER OF TRANCHES Number of mezzanine tranches. 0242 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. 0250-0252FIRST LOSS0250 AMOUNT The amount of first loss tranche as defined in Article 242(17) CRR 0251 DETACHMENT POINT (%) The detachment point (%) as referred to in Article 256(2) CRR 0260-0280 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. 0290-0300MATURITY0290 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. 0291 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;

§ Article 110

Other clean-up call option; Other type of call option. 0300 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. 0302-0304MEMORANDUM ITEMS0302 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. 0303 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. 0304 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. 3.8.4. C 14.01 – Detailed information on securitisations (SEC DETAILS 2) 118. The template SEC DETAILS 2 shall be reported separately for the following approaches: 1) SEC-IRBA; 2) SEC-SA; 3) SEC-ERBA; 4) 1250 %. Columns0010 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. 0020 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. 0310-0400 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. 0310-0330 ON-BALANCE SHEET ITEMS The same criteria of classification among tranches used for columns 0230, 0240 and 0250 shall be applied here. 0340-0361 OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among tranches used for columns 0260 to 0280 shall be applied here.

§ Article 110

0351 and 0361 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. 0370-0400 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 0340-0361). 0370 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. 0380 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. 0390 LIQUIDITY FACILITIES Liquidity facilities (LF) as defined in Article 242(3) CRR. 0400 OTHER Remaining off-balance sheet items. 0411 EXPOSURE VALUE This information is closely related to column 0180 in the CR SEC template. 0420 (-) 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. 0430 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 0570 of MKR SA SEC, or columns 0410 and 0420 (the relevant for the own funds requirement) of MKR SA CTP, respectively. 0431 (-) REDUCTION DUE TO RISK WEIGHT CAP

§ Article 267

Article 267 CRR 0432 (-) REDUCTION DUE TO OVERALL CAP

§ Article 268

Article 268 CRR 0440 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 0600 of MKR SA SEC, or column 0450 of MKR SA CTP, respectively. 0447-0448MEMORANDUM ITEMS0447 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. 0448 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. 0450-0470SECURITISATION POSITIONS – TRADING BOOK0450 CTP OR NON-CTP? Institutions shall report the following abbreviations: C – Correlation Trading Portfolio (CTP); N – Non-CTP 0460-0470 NET POSITIONS – LONG/SHORT See columns 0050/0060 of MKR SA SEC or MKR SA CTP, respectively. 3.9. COUNTERPARTY CREDIT RISK 3.9.1. Scope of the counterparty credit risk templates 119. The counterparty credit risk templates cover information on exposures subject to counterparty credit risk in application of Chapters 4 and 6 of Title II of Part Three CRR. 120. The templates exclude the own funds requirements for CVA risk (point (d) of Article 92(3) and Title VI of Part Three CRR), which are reported in the CVA risk template. 121. Counterparty credit risk exposures to central counterparties (Chapter 4 and Section 9 of Chapter 6 of Title II of Part Three CRR) should be included in the CCR figures, unless otherwise stated. However, default fund contributions calculated in accordance with Articles 307 to 310 CRR shall not be reported in the counterparty credit risk templates, with the exception of template C 34.10, in particular the corresponding rows. Generally, the risk weighted exposure amounts of default fund contributions are directly reported in template C 02.00 row 0460. 3.9.2. C 34.01 – Size of the derivative business 3.9.2.1. General remarks 122. In accordance with Article 273a CRR an institution may calculate the exposure value of its derivative positions in accordance with the method set out in Section 4 or 5 of Chapter 6 of Title II of Part Three CRR, provided that the size of its on- and off-balance-sheet derivative business is equal to or less than pre-defined thresholds, respectively. The corresponding assessment is to be carried out on a monthly basis using the data as of the last day of the month. This template provides the information on the compliance with those thresholds and, more generally, important information on the size of the derivative business.

§ Article 268
  1. Month 1, Month 2 and Month 3 refer to the first, second and last month, respectively, of the quarter that is being reported. Information shall be reported only for month-ends after the 28 June 2021. 3.9.2.2. Instructions concerning specific positions Columns0010,0040, 0070 LONG DERIVATIVE POSITIONS
§ Article 273a

Article 273a(3) CRR The sum of the absolute market values of long derivative positions on the last date of the month shall be reported. 0020,0050, 0080 SHORT DERIVATIVE POSITIONS

§ Article 273a

Article 273a(3) CRR The sum of the absolute market values of short derivative positions on the last date of the month shall be reported. 0030,0060, 0090 TOTAL Point (b) of Article 273a(3) CRR The sum of the absolute value of long derivative positions and the absolute value of short derivative positions. Rows0010 Size of the derivative business

§ Article 273a

Article 273a(3) CRR All on- and off-balance sheet derivatives shall be included, except credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures. 0020 On- and off-balance sheet derivatives Point (a) and (b) Article 273a(3) CRR The total market value of the on- and off-balance sheet derivative positions as of the last day of the month shall be reported. Where the market value of a position is not available on that date, institutions shall take a fair value for the position on that date; where the market value and fair value of a position are not available on that date, institutions shall take the most recent of the market value or fair value for that position. 0030 (-) Credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures Point (c) of Article 273a(3) CRR The total market value of the credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures. 0040 Total assets The total assets in accordance with the applicable accounting standards. For consolidated reporting the institution shall report the total assets following the prudential scope of consolidation in accordance with Section 2 of Chapter 2 of Title II of Part One CRR. 0050 Percentage of total assets Ratio to be calculated taking the size of the derivative business (row 0010) divided by total assets (row 0040). DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) CRR0060 Are the conditions of Article 273a(4) crr met, including the approval from the competent authority?

§ Article 273a

Article 273a(4) CRR Institutions that exceed the thresholds to use a simplified approach for counterparty credit risk but which are still using one of them on the basis of Article 273a(4) CRR, shall indicate (with Yes/No) whether they meet all the conditions of that article. This item shall be reported only by those institutions applying the derogation in accordance with Article 273a(4) CRR. 0070 Method for calculating exposure values at consolidated level

§ Article 273a

Article 273a(4) CRR The method for calculating the exposure values of derivative positions on consolidated basis which is also used on solo entity level in accordance with Article 273a(4) CRR: OEM: Original Exposure Method Simplified SA-CCR: Simplified standardised approach for counterparty credit risk This item shall be reported only by those institutions applying the derogation in accordance with Article 273a(4) CRR. 3.9.3. C 34.02 – CCR exposures by approach 3.9.3.1. General remarks 124. Institutions shall report the template separately for all CCR exposures and for all CCR exposures excluding exposures to central counterparties (CCPs) as defined for the purpose of template C 34.10. 3.9.3.2. Instructions concerning specific positions Columns0010 NUMBER OF COUNTERPARTIES Number of individual counterparties towards which the institution has CCR exposures. 0020 NUMBER OF TRANSACTIONS Number of transactions subject to counterparty credit risk at the reporting date. Note that for CCP business numbers should not comprise in or outflows but the overall positions in the CCR portfolio at the reporting date. Furthermore, a derivative instrument or SFT that is split into two or more legs (at least) for the sake of modelling shall still be considered as one single transaction. 0030 NOTIONAL AMOUNTS Sum of the notional amounts for derivatives and for SFTs before any netting and without any adjustments in accordance with Article 279b CRR. 0040 CURRENT MARKET VALUE (CMV), POSITIVE

§ Article 272

Article 272(12) CRR Sum of the current market values (CMV) of all the netting sets with positive CMV as defined in Article 272(12) CRR. 0050 CURRENT MARKET VALUE (CMV), NEGATIVE

§ Article 272

Article 272(12) CRR Sum of the absolute current market values (CMV) of all the netting sets with negative CMV as defined in Article 272(12) CRR. 0060 VARIATION MARGIN (VM), RECEIVED

§ Article 275

Article 275(2), 275(3) and 276 CRR Sum of the variation margin amounts (VM) of all the margin agreements for which the VM is received, computed in accordance with Article 276 CRR. 0070 VARIATION MARGIN (VM), POSTED

§ Article 275

Article 275(2), 275(3) and 276 CRR Sum of the variation margin amounts (VM) of all the margin agreements for which the VM is posted, computed in accordance with Article 276 CRR. 0080 NET INDEPENDENT COLLATERAL AMOUNT (NICA), RECEIVED

§ Article 272

Article 272(12a), 275(3) and 276 CRR Sum of the net independent collateral amounts (NICA) of all the margin agreements for which the NICA is received, computed in accordance with Article 276 CRR. 0090 NET INDEPENDENT COLLATERAL AMOUNT (NICA), POSTED

§ Article 272

Article 272(12a), 275(3) and 276 CRR Sum of the net independent collateral amounts (NICA) of all the margin agreements for which the NICA is posted, computed in accordance with Article 276 CRR. 0100 REPLACEMENT COST (RC) Articles 275, 281 and 282 CRR The replacement cost (RC) per netting set shall be calculated in accordance with:

§ Article 282

Article 282(3) CRR for the Original Exposure Method,

§ Article 281

Article 281 CRR for the Simplified SA-CCR,

§ Article 275

Article 275 CRR for the SA-CCR. The institution shall report the sum of the replacement costs of the netting sets in the respective row. 0110 POTENTIAL FUTURE EXPOSURE (PFE) Articles 278, 281 and 282 CRR The potential future exposure (PFE) per netting set shall be calculated in accordance with:

§ Article 282

Article 282(4) CRR for the Original Exposure Method,

§ Article 281

Article 281 CRR for the Simplified SA-CCR,

§ Article 278

Article 278 CRR for the SA-CCR. The institution shall report the sum of all potential future exposures of the netting sets in the respective row. 0120 CURRENT EXPOSURE

§ Article 272

Article 272(17) CRR The current exposure per netting set shall be the value as defined under Article 272(17) CRR. The institution shall report the sum of all current exposures of the netting sets in the respective row. 0130 EFFECTIVE EXPECTED POSITIVE EXPOSURE (EEPE) Articles 272(22) and 284(3) and 284(6) CRR The EEPE per netting set is defined in Article 272(22) CRR and shall be calculated in accordance with Article 284(6) CRR. The institution shall report the sum of all EEPEs applied for the determination of own funds requirements in accordance with Article 284(3) CRR, i.e. either the EEPE calculated using current market data, or the EEPE calculated using a stress calibration, whichever leads to a higher own funds requirement. 0140 ALPHA USED FOR COMPUTING REGULATORY EXPOSURE VALUE Articles 274(2), 282(2), 281(1), 284(4) and (9) CRR The value of α is fixed as 1.4 in the rows for OEM, Simplified SA-CCR and SA-CCR in accordance with Articles 282(2), 281(1) and 274(2) CRR. For IMM purposes, the value of α can either be the default of 1.4 or different when competent authorities require a higher α in accordance with Article 284(4) CRR or permit institutions to use their own estimates in accordance with Article 284(9) CRR. 0150 EXPOSURE VALUE PRE-CRM The exposure value pre-CRM for CCR netting sets shall be calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR taking into account the effect of netting, but disregarding any other credit risk mitigation techniques (e.g. margin collateral). In the case of SFTs the security leg shall not be considered in the determination of the exposure value pre-CRM when collateral is received and therefore shall not decrease the exposure value. On the contrary, the SFTs security leg shall be considered in the determination of the exposure value pre-CRM in the regular way when collateral is posted. Furthermore, collateralised business shall be handled as uncollateralised, i.e. no margining effects apply. The exposure value pre-CRM for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 CRR. The exposure value pre-CRM shall not consider the deduction of the incurred CVA loss in accordance with Article 273(6) CRR. The institution shall report the sum of all exposure values pre-CRM in the respective row. 0160 EXPOSURE VALUE POST-CRM The exposure value post-CRM for CCR netting sets shall be calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR, having applied CRM techniques as applicable in accordance with Chapters 4 and 6 of Title II of Part Three CRR. The exposure value post-CRM for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 CRR. The exposure value post-CRM shall not consider the deduction of the incurred CVA loss in accordance with Article 273(6) CRR. The institution shall report the sum of all exposure values post-CRM in the respective row.

§ Article 272

0170 EXPOSURE VALUE Exposure value for CCR netting sets calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR, which is the amount relevant for the calculation of risk weighted exposure amounts, i.e. having applied CRM techniques as applicable in accordance with Chapters 4 and 6 of Title II of Part Three CRR and considering the deduction of the incurred CVA loss in accordance with Article 273(6) CRR. The exposure value for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 CRR. For cases in which more than one CCR approach is used for a single counterparty, the incurred CVA loss, which is deducted at counterparty level, shall be assigned to the exposure value of the different netting sets in each CCR approach reflecting the proportion of the exposure value post-CRM of the respective netting sets to the total exposure value post-CRM of the counterparty. The institution shall report the sum of all exposure values in the respective row. 0180 Positions treated with the CR Standardised Approach Exposure value for CCR of positions that are treated with the standardised approach for credit risk in accordance with Chapter 2 of Title II of Part Three CRR. 0190 Positions treated with the CR IRB Approach Exposure value for CCR of positions that are treated with the IRB approach for credit risk in accordance with Chapter 3 of Title II of Part Three CRR. 0200 RISK WEIGHTED EXPOSURE AMOUNTS Risk weighted exposure amounts for CCR as defined in Article 92(3) and (4) CRR, calculated in accordance with the methods laid down in Chapters 2 and 3 of Title II of Part Three. The SME and infrastructure supporting factors laid down in Article 501 and in Article 501a CRR shall be taken into account. 0210 Positions treated with the CR Standardised Approach Risk weighted exposure amounts for CCR exposures that are treated with the standardised approach for credit risk in accordance with Chapter 2 of Title II of Part Three CRR. The amount corresponds to the amount that shall be included in column 0220 of template C 07.00 for CCR positions. 0220 Positions treated with the CR IRB Approach Risk weighted exposure amounts for CCR exposures that are treated with the IRB approach for credit risk in accordance with Chapter 3 of Title II of Part Three CRR. The amount corresponds to the amount that shall be included in column 0260 of template C 08.01 for CCR positions. Row0010 ORIGINAL EXPOSURE METHOD (FOR DERIVATIVES) Derivatives and long settlement transactions for which the institution calculates the exposure value in accordance with Section 5 of Chapter 6 of Title II of Part Three CRR. This simplified method for calculating the exposure value can only be used by institutions meeting the conditions laid down in Article 273a(2) or 273a(4) CRR. 0020 SIMPLIFIED STANDARDISED APPROACH FOR CCR (SIMPLIFIED SA-CCR FOR DERIVATIVES) Derivatives and long settlement transactions for which the institution calculates the exposure value in accordance with Section 4 Chapter 6 of Title II of Part Three CRR. This simplified standardised approach for calculating the exposure value can only be used by institutions meeting the conditions laid down in Article 273a(1) or 273a(4) CRR.

§ Article 272

0030 STANDARDISED APPROACH FOR CCR (SA-CCR FOR DERIVATIVES) Derivatives and long settlement transactions for which the institution calculates the exposure value in accordance with Section 3 Chapter 6 of Title II of Part Three CRR. 0040 IMM (FOR DERIVATIVES AND SFTS) Derivatives, long settlement transactions and SFTs for which the institution has been permitted to calculate the exposure value using the Internal Model Method (IMM) in accordance with Section 6 of Chapter 6 of Title II of Part Three CRR. 0050 Securities financing transactions netting sets Netting sets containing only SFTs as defined in Article 4(139) CRR, for which the institution has been permitted to determine the exposure value using the IMM. SFTs that are included in a contractual cross product netting set and therefore reported in row 0070, shall not be reported in this row. 0060 Derivatives and long settlement transactions netting sets Netting sets containing only derivative instruments listed in Annex II CRR and long settlement transactions as defined in Article 272(2) CRR, for which the institution has been permitted to determine the exposure value using the IMM. Derivatives and Long Settlement Transactions that are included in a contractual Cross Product Netting set and therefore reported in row 0070, shall not be reported in this row. 0070 From contractual cross-product netting sets

§ Article 272

Article 272(11) and (25) CRR Netting sets containing transactions of different product categories (Article 272(11) CRR), i.e. derivatives and SFTs, for which a contractual cross product netting agreement as defined in Article 272(25) CRR exists and for which the institution has been permitted to determine the exposure value using the IMM. 0080 FINANCIAL COLLATERAL SIMPLE METHOD (FOR SFTS)

§ Article 222

Article 222 CRR Repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions for which the institution has chosen to determine the exposure value in accordance with Article 222 CRR as opposed to Chapter 6 of Title II of Part Three CRR in accordance with Article 271(2) of the same regulation. 0090 FINANCIAL COLLATERAL COMPREHENSIVE METHOD (FOR SFTS)

§ Article 220

Article 220 and 223 CRR Repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions for which the institution has chosen to determine the exposure value in accordance with Article 223 CRR, as opposed to Chapter 6 of Title II of Part Three CRR in accordance with Article 271(2) of the same regulation. 0100 VAR FOR SFTS

§ Article 221

Article 221 CRR Repurchase transactions, securities or commodities lending or borrowing transactions or margin lending transactions, or other capital market-driven transactions other than derivative transactions for which, in accordance with Article 221 CRR and subject to the permission of the competent authority, the exposure value is calculated using an internal model approach that takes into account correlation effects between security positions subject to the master netting agreement, as well as the liquidity of the instruments concerned. 0110TOTAL0120 Of which: SWWR positions

§ Article 291

Article 291 CRR CCR exposures for which specific wrong way risk (SWWR) has been identified in accordance with Article 291 CRR. 0130 Margined business

§ Article 272

Article 272(7) CRR CCR exposures that are margined, i.e. netting sets subject to a margin agreement in accordance with Article 272(7) CRR. 0140 Unmargined business CCR exposures not covered in 0130. 3.9.4. C 34.03 – CCR exposures treated with standardised approaches: SA-CCR and Simplified SA-CCR 3.9.4.1. General remarks 125. The template shall be used separately for reporting the CCR exposures calculated with the SA-CCR or the Simplified SA-CCR, as applicable. 3.9.4.2. Instructions concerning specific positions Columns0010 CURRENCY For transactions mapped to the interest rate risk category, the currency of denomination of the transaction shall be reported. For transactions mapped to the foreign exchange risk category, the currency of denomination of one of the two legs of the transaction shall be reported. Institutions shall insert the currencies in the currency pair in alphabetical order, e.g. for US Dollar/Euro please fill this column with EUR and column 0020 with USD. Currency ISO codes shall be used. 0020 SECOND CURRENCY IN PAIR For transactions mapped to the foreign exchange risk category, the currency of denomination of the other leg of the transaction (with respect to the one considered in column 0010) shall be reported. Institutions shall insert the currencies in the currency pair in alphabetical order, e.g. for US Dollar/Euro please fill this column with USD and column 0010 with EUR. Currency ISO codes shall be used. 0030 NUMBER OF TRANSACTIONS See instructions to column 0020 in template C 34.02. 0040 NOTIONAL AMOUNTS See instructions to column 0030 in template C 34.02. 0050 CURRENT MARKET VALUE (CMV), POSITIVE Sum of the current market values (CMV) of all hedging sets with positive CMV in the respective risk category. The CMV on hedging set level shall be determined by netting positive and negative market values of the transactions within one hedging set gross of any collateral held or posted. 0060 CURRENT MARKET VALUE (CMV), NEGATIVE Sum of the absolute current market values (CMV) of all hedging sets with negative CMV in the respective risk category. The CMV on hedging set level shall be determined by netting positive and negative market values of the transactions within one hedging set gross of any collateral held or posted. 0070 ADD-ON

§ Article 280a

Article 280a to 280f and 281 (2) CRR The institution shall report the sum of all the add-ons in the respective hedging set/risk category. The add-on per risk category that is used to determine the potential future exposure of a netting set in accordance with Article 278(1) or point (f) of Article 281(2) CRR shall be calculated in accordance with Articles 280a to 280f CRR. For the Simplified SA-CCR the provisions set out in Article 281(2) CRR apply. Rows0050,0120, 0190, 0230, 0270, 0340 RISK CATEGORIES

§ Article 277

Article 277 and 277a CRR Transactions shall be classified according to the risk category they belong to in accordance with Article 277(1) to (4) CRR. The assignment to hedging sets according to the risk category shall be performed in accordance with Article 277a CRR. For the Simplified SA-CCR the provisions set out in Article 281(2) CRR apply. 0020-0040 Of which mapped to more than one risk category

§ Article 277

Article 277(3) CRR Derivative transactions with more than one material risk driver mapped to two (0020), three (0030) or more than three (0040) risk categories on the basis of the most material of the risk drivers in each risk category, in accordance with Article 277(3) CRR and the EBA RTS referred to in Article 277(5) CRR. 0070-0110 and 0140-0180 Largest currency and currency pair This classification shall be done on the basis of the CMV of the institution’s portfolio under the scope of the SA-CCR or the Simplified SA-CCR, as applicable, for transactions mapped to interest rate risk and foreign exchange risk category, respectively. For the purpose of the classification, the absolute value of the CMV of positions shall be summed. 0060,0130, 0200,0240, 0280 Exclusive mapping

§ Article 277

Article 277(1) and (2) CRR Derivative transactions mapped exclusively to one risk category in accordance with Article 277(1) and (2) CRR. Transactions that are mapped to different risk categories in accordance with Article 277(3) CRR shall be excluded. 0210, 0250 Single-name transactions Single-name transactions that are mapped to the credit risk and equity risk category, respectively. 0220, 0260 Multi-names transactions Multi-name transactions that are mapped to the credit risk and equity risk category, respectively. 0290-0330 Commodity risk category hedging sets Derivative transactions assigned to the commodity risk category hedging sets as listed in point (e) Article 277a(1) CRR. 3.9.5. C 34.04 – CCR exposures treated with the Original Exposure Method (OEM) 3.9.5.1. Instructions concerning specific positions Columns0010 – 0020Instructions for the columns 0010 and 0020 shall be those provided for template C 34.02.0030 CURRENT MARKET VALUE (CMV), POSITIVE Sum of the current market values (CMV) of all transactions with positive CMV in the respective risk category. 0040 CURRENT MARKET VALUE (CMV), NEGATIVE Sum of the absolute current market values (CMV) of all transactions with negative CMV in the respective risk category. 0050 POTENTIAL FUTURE EXPOSURE (PFE) The institution shall report the sum of PFEs for all the transactions belonging to the same risk category. Rows0020 – 0070 RISK CATEGORIES Derivative transactions mapped to the risk categories as listed in point (b) of Article 282(4) CRR 3.9.6. C 34.05 – CCR exposures treated with the Internal Model Method (IMM) 3.9.6.1. Instructions concerning specific positions Columns00010 – 0080 MARGINED See instructions to row 0130 in template C 34.02. 0090 – 0160 UNMARGINED See instructions to row 0140 in template C 34.02. 0010,0090 NUMBER OF TRANSACTIONS See instructions to column 0020 in template C 34.02. 0020,0100 NOTIONAL AMOUNTS See instructions to column 0030 in template C 34.02. 0030,0110 CURRENT MARKET VALUE (CMV), POSITIVE Sum of the current market values (CMV) of all transactions with positive CMV belonging to the same asset class. 0040,0120 CURRENT MARKET VALUE (CMV), NEGATIVE Sum of the absolute current market values (CMV) of all transactions with negative CMV belonging to the same asset class. 0050,0130 CURRENT EXPOSURE See instructions to column 0120 in template C 34.02. 0060,0140 EFFECTIVE EXPECTED POSITIVE EXPOSURE (EEPE) See instructions to column 0130 in template C 34.02. 0070,0150 STRESS EEPE

§ Article 284

Article 284(6) and Article 292(2) CRR The Stress EEPE is calculated in analogy to the EEPE (Article 284(6) CRR), but using a stress calibration in accordance with Article 292(2) CRR. 0080, 0160,0170 EXPOSURE VALUE See instructions to column 0170 in template C 34.02. RowExplanation0010 TOTAL

§ Article 283

Article 283 CRR The institution shall report the relevant information regarding derivatives, long settlement transactions and SFTs for which it has been permitted to determine the exposure value calculated using the Internal Model Method (IMM) in accordance with Article 283 CRR. 0020 Of which: SWWR positions See instructions to row 0120 in C 34.02. 0030 Netting sets treated with the CR Standardised Approach See instructions to column 0180 in C 34.02. 0040 Netting sets treated with the CR IRB Approach See instructions to column 0190 in C 34.02. 0050 – 0110 OTC DERIVATIVES The institution shall report the relevant information regarding netting sets containing only OTC derivatives or long settlement transactions for which it has been permitted to determine the exposure value using the IMM broken down by the different asset classes with respect to the underlying (interest rate, foreign exchange, credit, equity, commodity or other). 0120 – 0180 EXCHANGE TRADED DERIVATIVES The institution shall report the relevant information regarding netting sets containing only exchange traded derivatives or long settlement transactions for which it has been permitted to determine the exposure value using the IMM broken down by the different asset classes with respect to the underlying (interest rate, foreign exchange, credit, equity, commodity or other). 0190 – 0220 SECURITIES FINANCING TRANSACTIONS The institution shall report the relevant information regarding netting sets containing only SFTs for which it has been permitted to determine the exposure value using the IMM broken down by the type of underlying in the SFT security leg (bond, equity or other). 0230 CONTRACTUAL CROSS-PRODUCT NETTING SETS See instructions to row 0070 in C 34.02. 3.9.7. C 34.06 – Top twenty counterparties 3.9.7.1. General remarks 126. Institutions shall report information on the top 20 counterparties with whom they have the highest CCR exposures. The ranking shall be done using the CCR exposure values, as reported in column 0120 of this template, of all netting sets with the respective counterparties. Intra-group exposures or other exposures that give raise to counterparty credit risk but for which the institutions assign a risk weight of zero for the own funds requirements calculation, in accordance with Article 113(6) and 113(7) CRR, shall still be considered when determining the list of top 20 counterparties. 127. Institutions applying the standardised approach (SA-CCR) or the Internal Model Method (IMM) for the calculation of CCR exposures following Sections 3 and 6 of Chapter 6 of Title II of Part Three CRR shall report this template on a quarterly basis. Institutions applying the simplified standardised approach or the original exposure method (OEM) for the calculation of CCR exposures following Sections 4 and 5 of Chapter 6 of Title II of Part Three CRR shall report this template on a semi-annual basis. Instructions concerning specific positions. 3.9.7.2. Instructions concerning specific positions

§ Article 283

Columns0011 NAME Name of the counterparty 0020 CODE The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a non-LEI code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value. 0030 TYPE OF CODE The institution shall identify the type of code reported in column 0020 as a LEI code or National code. The type of code shall always be reported. 0035 NATIONAL CODE The institution may additionally report the national code when it reports LEI code as identifier in the Code column 0020. 0040 SECTOR OF THE COUNTERPARTY One sector shall be chosen for every counterparty on the basis of the following FINREP economic sector classes (see Part 3 Annex V to this Implementing Regulation): (i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) Investment firms as defined in point (2) of Article 4(1) CRR; (v) Other financial corporations (excluding investment firms); (vi) Non-financial corporations. 0050 COUNTERPARTY TYPE The institution shall indicate the counterparty type which can be: QCCP: when the counterparty is a qualified CCP; NON-QCCP: when the counterparty is a non-qualified CCP; No CCP: when the counterparty is not a CCP. 0060 RESIDENCY OF THE COUNTERPARTY The 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 Eurostat’s Balance of Payments Vademecum, as amended). 0070 NUMBER OF TRANSACTIONS See instructions to column 0020 in template C 34.02. 0080 NOTIONAL AMOUNTS See instructions to column 0030 in template C 34.02. 0090 CURRENT MARKET VALUE (CMV), positive See instructions to column 0040 in template C 34.02. The institution shall report the sum of netting sets with positive CMV if there are several netting sets for the same counterparty. 0100 CURRENT MARKET VALUE (CMV), negative See instructions to column 0040 in template C 34.02. The institution shall report the absolute sum of netting sets with negative CMV if there are several netting sets for the same counterparty. 0110 EXPOSURE VALUE POST-CRM See instructions to column 0160 in template C 34.02. The institution shall report the sum of netting set exposure values post-CRM if there are several netting sets for the same counterparty. 0120 EXPOSURE VALUE See instructions to column 0170 in template C 34.02. 0130 RISK WEIGHTED EXPOSURE AMOUNTS See instructions to column 0200 in template C 34.02. 3.9.8. C 34.07 – IRB approach – CCR exposures by exposure class and PD scale 3.9.8.1. General remarks 128. This template shall be reported by institutions using either the advanced or the foundation IRB approach to compute risk weighted exposure amounts for all or part of their CCR exposures in accordance with Article 107 CRR, irrespective of the CCR approach used to determine exposure values in accordance with Chapters 4 and 6 of Title II of Part Three CRR.

§ Article 283
  1. The template shall be reported separately for the total of all exposure classes as well as separately for each of the exposure classes listed in Article 147 CRR. This template excludes exposures cleared through a CCP.
  2. In order to clarify whether the institution uses its own estimates for LGD and/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) 3.9.8.2. Instructions concerning specific positions Columns0010 Exposure value Exposure value (see instructions to column 0170 in template C 34.02), broken down by the given PD scale 0020 Exposure weighted average PD (%) Average of individual obligor grade PDs weighted by their corresponding exposure value as defined for column 0010 0030 Number of obligors The number of legal entities or obligors allocated to each bucket of the fixed PD scale, which were separately rated, regardless of the number of different loans or exposures granted Where different exposures to the same obligor are separately rated, they shall be counted separately. Such situation may take place if separate exposures to the same obligor are assigned to different obligor grades in accordance with point (e) of Article 172(1) second sentence CRR. 0040 Exposure weighted average LGD (%) Average of obligor grade LGDs weighted by their corresponding exposure value as defined for column 0010 The LGD reported shall correspond to the final LGD estimate used in the calculation of risk weighted exposure amounts obtained after considering any CRM effects and downturn conditions as specified in Chapters 3 and 4 of Title II of Part Three CRR, where relevant. In particular, for institutions applying the IRB approach but not using their own estimates of LGD the risk mitigation effects of financial collateral are reflected in E, the fully adjusted value of the exposure, and then reflected in LGD in accordance with Article 228(2) CRR. If own estimates of LGD are applied, Article 175 and Article 181(1) and (2) CRR shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected in accordance with Article 161(4) CRR. For defaulted exposures under A-IRB Approach, provisions laid down in point (h) of Article 181(1) CRR shall be considered. The LGD reported shall correspond to the estimate of LGD in-default. 0050 Exposure weighted average maturity (years) Average of obligor maturities in years weighted by their corresponding exposure value as defined for column 0010 The maturity shall be determined in accordance with Article 162 CRR. 0060 Risk weighted exposure amounts Risk weighted exposure amounts, as defined in Article 92(3) and (4) CRR, for positions whose risk weights are estimated on the basis of the requirements laid down in Chapter 3 of Title II of Part Three CRR and for which the exposure value for CCR business is calculated in accordance with Chapters 4 and 6 of Title II of Part Three CRR
§ Article 283

The SME and infrastructure supporting factors laid down in Article 501 and Article 501a CRR shall be taken into account. 0070 Density of risk weighted exposure amounts Ratio of the total risk weighted exposure amounts (reported in column 0060) to the exposure value (reported in column 0010) Rows0010 – 0170 PD scale CCR exposures (determined at counterparty level) shall be allocated to the appropriate bucket of the fixed PD scale based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution due to the existence of a guarantee or a credit derivative). Institutions shall map exposure by exposure to the PD scale provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %. 3.9.9. C 34.08 – Composition of collateral for CCR exposures 3.9.9.1. General remarks 131. This template shall be filled with fair values of collateral (posted or received) used in CCR exposures related to derivative transactions, long settlement transaction or to SFTs, whether or not the transactions are cleared through a CCP and whether or not collateral is posted to a CCP. 3.9.9.2. Instructions concerning specific positions Columns0010 – 0080 Collateral used in derivative transactions Institutions shall report the collateral (including the initial margin and variation margin collateral) that is used in CCR exposures related to any derivative instrument listed in Annex II CRR or a long settlement transaction as defined in point (2) of Article 272 of the same regulation not qualifying as an SFT. 0090 – 0180 Collateral used in SFTs Institutions shall report the collateral (including the initial margin and variation margin collateral as well as the collateral appearing as security in the SFT) that is used in CCR exposures related to any SFT or a long settlement transaction not qualifying as a derivative. 0010, 0020, 0050, 0060, 0090, 0100, 0140, 0150 Segregated

§ Article 300

Article 300(1) CRR Institutions shall report the collateral that is held in a bankruptcy-remote manner as defined in Article 300(1) CRR, further broken down into collateral appearing in the form of initial or variation margin. 0030, 0040, 0070, 0080, 0110, 0120, 0130, 0160, 0170, 0180 Unsegregated

§ Article 300

Article 300(1) CRR Institutions shall report the collateral that is not held in a bankruptcy-remote manner as defined in Article 300(1) CRR, further broken down into initial margin, variation margin and the SFT security. 0010, 0030, 0050, 0070, 0090, 0110, 0140, 0160 Initial margin Point (140) of Article 4(1) CRR Institutions shall report the fair values of collateral received or posted as initial margin (defined in point (140) of Article 4(1) CRR). 0020, 0040, 0060, 0080, 0100, 0120, 0150, 0170 Variation margin Institutions shall report the fair values of collateral received or posted as variation margin. 0130, 0180 SFT security Institutions shall report the fair values of collateral appearing as security in SFTs (e.g. the security leg of the SFT that has been received for column 0130, or posted for column 0180). Rows0010 – 0080 Collateral type Breakdown by different collateral types 3.9.10. C 34.09 – Credit derivatives exposures 3.9.10.1. Instructions concerning specific positions Columns0010-0040 CREDIT DERIVATIVE PROTECTION Credit derivative protection bought or sold 0010, 0020 NOTIONAL AMOUNTS Sum of the notional derivative amounts before any netting, broken down by product type 0030, 0040 FAIR VALUES Sum of fair values broken down by protection bough and protection sold Rows0010 – 0050 Product type Breakdown of credit derivatives product types 0060 Total Sum of all product types 0070, 0080 Fair values Fair values broken down by product type as well as assets (positive fair values) and liabilities (negative fair values) 3.9.11. C 34.10 – Exposures to CCPs 3.9.11.1. General remarks 132. Institutions shall report the information on exposures to CCPs, i.e. to contracts and transactions listed in Article 301(1) CRR for as long as they are outstanding with a CCP and exposures from CCP-related transactions, in accordance with Article 300(2) CRR, for which the own funds requirements are calculated in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR. 3.9.11.2. Instructions concerning specific positions Columns0010 EXPOSURE VALUE Exposure value for transactions in the scope of Section 9 of Chapter 6 of Title II of Part Three CRR calculated in accordance with the relevant methods laid down in that Chapter and in particular in its section 9 The exposure value reported shall be the amount relevant for the own funds requirements calculation in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR, considering the requirements in Article 497 of that Regulation during the transitional period provided for in that article. An exposure can be a trade exposure, as defined in point (91) of Article 4(1) CRR. 0020 RISK WEIGHTED EXPOSURE AMOUNTS Risk weighted exposure amounts determined in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR, considering the requirements in Article 497 of that Regulation during the transitional period provided for by that Article Rows0010-0100 Qualifying CCP (QCCP) A qualifying central counterparty or QCCP as defined in point (88) of Article 4(1) CRR

§ Article 300

0070, 0080 0170, 0180 Initial margin See instructions for template C 34.08. For the purposes of this template, initial margin shall not include contributions to a CCP for mutualised loss-sharing arrangements (i.e. in cases where a CCP uses initial margin to mutualise losses among the clearing members, it shall be treated as a default fund exposure). 0090, 0190 Prefunded default fund contributions Articles 308 and 309 CRR; a default fund as defined in point (89) of Article 4(1) CRR; the contribution to the default fund of a CCP that is paid in by the institution 0100, 0200 Unfunded default fund contributions Articles 309 and 310 CRR; a default fund as defined in point (89) of Article 4(1) CRR Institutions shall report contributions that an institution acting as a clearing member has contractually committed to provide to a CCP after the CCP has depleted its default fund to cover the losses it incurred following the default of one or more of its clearing members. 0070, 0170 Segregated See instructions for template C 34.08. 0080,0180 Unsegregated See instructions for template C 34.08. 3.9.12. C 34.11 – Risk weighted exposure amounts (RWEA) flow statements of CCR exposures under the IMM 3.9.12.1. General remarks 133. Institutions using the IMM to compute risk weighted exposure amounts for all or part of their CCR exposures in accordance with Chapter 6 of Title II of Part Three CRR, irrespective of the credit risk approach used to determine the corresponding risk weights shall report this template with the flow statement explaining changes in risk weighted exposure amounts of derivatives and SFTs in the IMM scope differentiated by key drivers and based on reasonable estimations. 134. Institutions that shall report this template with quarterly frequency shall fill in only column 0010. Institutions that shall report this template with annually frequency shall fill in only column 0020. 135. This template excludes risk weighted exposure amounts for exposures to a central counterparty (Section 9 of Chapter 6 of Title II of Part Three CRR). 3.9.12.2. Instructions concerning specific positions Columns0010, 0020 RISK WEIGHTED EXPOSURE AMOUNTS Risk weighted exposure amounts, as defined in Article 92(3) and (4) CRR, for positions whose risk weights are estimated on the basis of the requirements laid down in Chapters 2 and 3 of Title II of Part Three CRR and for which the institution has been permitted to calculate the exposure value using the IMM in accordance with Section 6 of Chapter 6 of Title II of Part Three CRR The SME and infrastructure supporting factors laid down in Article 501 and Article 501a CRR shall be taken into account. Rows0010 Risk weighted exposure amounts as at the end of the previous reporting period Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the previous reporting period 0020 Asset size Risk weighted exposure amount changes (positive or negative) due to changes in book size and composition resulting from the usual business activity (including the origination of new businesses and maturing exposures) but excluding changes in book size due to acquisitions and disposal of entities

§ Article 300

0030 Credit quality of counterparties Risk weighted exposure amount changes (positive or negative) due to changes in the assessed quality of the institution’s counterparties as measured under the credit risk framework, whatever approach the institution uses. This row also includes potential Risk weighted exposure amount changes due to IRB models when the institution uses an IRB approach 0040 Model updates (IMM only) Risk weighted exposure amount changes (positive or negative) due to model implementation, changes in model scope, or any changes intended to address model weaknesses This row addresses only changes in the IMM model. 0050 Methodology and policy (IMM only) Risk weighted exposure amount changes (positive or negative) due to methodological changes in calculations driven by regulatory policy changes, such as new regulations (only in the IMM model) 0060 Acquisitions and disposals Risk weighted exposure amount changes (positive or negative) due to changes in book sizes due to acquisitions and disposal of entities 0070 Foreign exchange movements Risk weighted exposure amount changes (positive or negative) due to changes arising from foreign currency translation movements 0080 Other This category shall be used to capture Risk weighted exposure amount changes (positive or negative) that cannot be attributed to the above categories. 0090 Risk weighted exposure amounts as at the end of the current reporting period Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the current reporting period 4. OPERATIONAL RISK TEMPLATES 4.1. C 16.00 – OPERATIONAL RISK (OPR) 4.1.1. General Remarks 136. 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. 137. 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. 138. 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.

§ Article 300
  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 Columns0010-0030 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 0010 to 0030. 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 0030. Where it seems reasonable, the forward looking estimates shall be included in column 0020 (estimate of next year) and column 0010 (estimate of year +2). Furthermore, where there are no historical data on relevant indicator available, the institution may use forward-looking business estimates. 0040-0060 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. 0070 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 0070.
§ Article 300

0071 TOTAL OPERATIONAL RISK EXPOSURE AMOUNT

§ Article 92

Article 92(4) CRR Own funds requirements in column 0070 multiplied by 12.5. 0080 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. 0090-0120AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE0090 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). 0100 (-) 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. 0110 (-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION The diversification effect reported in this column 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. 0120 (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)

§ Article 92

The impact of insurance and other risk transfer mechanisms as referred to in Article 323 CRR shall be reported in this column. Rows0010 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). 0020 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. 0030-0100 SUBJECT TO TSA Where the TSA is used, the relevant indicator for each respective year shall be distributed in rows 0030 to 0100 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. 0110-0120 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 0030 to 0050 and 0080 to 0100 and in rows 0110 and 0120 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 0060 and 0070) as well as under the ASA rows 0110 and 0120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA). 0130 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 142. 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. 143. 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. 144. 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.

§ Article 92
  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. 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
  7. 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.
§ Article 92
  1. 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.
  2. 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).
  3. 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 0010 to 0070 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 0080, 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 0010 to 0070. The maximum single loss reported in column 0080 shall be the maximum single loss within a business line and identical to the maximum of the maximum single losses reported in columns 0010 to 0070, provided that the institution has identified the loss event types for all losses. For the sum of the five largest losses, in column 0080 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 0090 and 0100 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.
§ Article 92

Where the institution applies only one threshold for in each business line, only column 0090 shall be filled in. Where there are different thresholds applied within the same regulatory business line, the highest applicable threshold (column 0100) 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 0910-0980 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.

§ Article 92

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:

§ Article 92

(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 0080, 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.

§ Article 92

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 0080, 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 0946 instead of the amount of the negative loss adjustment itself.

§ Article 92

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 {r0950, c0080} may be higher than the amounts of Maximum single loss per business line reported in other rows of column 0080. 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)

§ Article 92

4.2.3.1. General Remarks 155. In template C 17.02, information on individual loss events shall be provided (one row per loss event). 156. 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. 157. 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 0010 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred. 0180 Code LEI code of the legal entity as reported in column 0021 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.

§ Article 92

0185 TYPE OF CODE The institutions shall identify the type of code reported in column 0180 as a LEI code. The type of code shall always be reported. 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 158. 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. 159. 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 160. This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the Standardised Approach (point (a) of Article 325(2) 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 {0325;0060} (securitisations) and {0330;0060} (CTP) respectively. 161. The template has to be filled out separately for the Total, plus a pre-defined list of following currencies: EUR, ALL, BGN, CZK, DKK, EGP, GBP, HRK, HUF, ISK, JPY, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies. 5.1.2. Instructions concerning specific positions

§ Article 92

Columns0010-0020 ALL POSITIONS (LONG AND SHORT)

§ Article 102

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. 0030-0040 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. 0050 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. 0060 OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Chapter 2 of Title IV of Part Three CRR. 0070 TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5. Rows0010-0350 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. 0011GENERAL RISK.0012 Derivatives Derivatives included in the calculation of interest rate risk of trading book positions, taking into account Articles 328 to 331 CRR, where applicable. 0013 Other assets and liabilities Instruments other than derivatives included in the calculation of interest rate risk of trading book positions. 0020-0200 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. 0210-0240 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. 0250 SPECIFIC RISK Sum of amounts reported in rows 0251, 0325 and 0330. 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. 0251-0321 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.

§ Article 102

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 0280-0300 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. 0325 Own funds requirement for securitisation instruments Total own funds requirements reported in column 0601 of template MKR SA SEC. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI. 0330 Own funds requirement for the correlation trading portfolio Total own funds requirements reported in column 0450 of template MKR SA CTP. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI. 0350-0390 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

§ Article 329

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 162. 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. 163. 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. 164. 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 0460 of CA1. 5.2.2. Instructions concerning specific positions Columns0010-0020 ALL POSITIONS (LONG AND SHORT)

§ Article 102

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. 0030-0040 (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR 0050-0060 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. 0061-0104 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. 0402-0406 BREAKDOWN OF THE NET POSITIONS BY APPROACHES

§ Article 254

Article 254 CRR 0402 SEC-IRBA

§ Article 259

Article 259 and 260 CRR 0403 SEC-SA

§ Article 261

Article 261 and 262 CRR 0404 SEC-ERBA

§ Article 263

Article 263 and 264 CRR 0405 INTERNAL ASSESSMENT APPROACH Articles 254 and 265 CRR and Article 266(5) CRR. 0406 OTHER (RW = 1250 %)

§ Article 254

Article 254(7) CRR 0530-0540 OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402

§ Article 270a

Article 270a CRR 0570 BEFORE CAP

§ Article 337

Article 337 CRR, without taking into account the discretion of Article 335 CRR which allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss. 0601 AFTER CAP/TOTAL OWN FUND REQUIREMENTS

§ Article 337

Article 337 CRR, taking into account the discretion of Article 335 CRR. Rows0010 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. 0040, 0070 and 0100 SECURITISATION POSITIONS Point (62) of Article 4(1) CRR. 0020, 0050, 0080 and 0110 RE-SECURITISATIONS POSITIONS Point (64) of Article 4(1) CRR 0041, 0071 and 0101 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. 0030-0050 ORIGINATOR Point (13) of Article 4(1) CRR 0060-0080 INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender. 0090-0110 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 165. 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. 166. 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. 167. The template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. Securitisation positions shall always be reported in rows 0030, 0060 or 0090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in row 0110. 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). 168. 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 0460 of CA1.

§ Article 337

5.3.2. Instructions concerning specific positions Columns0010-0020 ALL POSITIONS (LONG AND SHORT)

§ Article 102

Article 102 and Article 105(1) CRR in conjunction paragraphs (2) and (3) of Article 338 CRR (positions assigned to the Correlation Trading Portfolio) Regarding the distinction between long and short positions, also applicable to those gross positions, see Article 328(2) CRR. 0030-0040 (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

§ Article 253

Article 253 CRR 0050-0060 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. 0071-0097 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 0402-0406 BREAKDOWN OF THE NET POSITIONS BY APPROACHES

§ Article 254

Article 254 CRR 0402 SEC-IRBA Articles 259 and 260 CRR 0403 SEC-SA Articles 261 and 262 CRR 0404 SEC-ERBA Articles 263 and 264 CRR 0405 INTERNAL ASSESSMENT APPROACH Articles 254 and 265 and Article 266(5) CRR. 0406 OTHER (RW = 1250 %)

§ Article 254

Article 254(7) CRR 0410-0420 BEFORE CAP – WEIGHTED NET LONG/SHORT POSITIONS

§ Article 338

Article 338 CRR, without taking into account the discretion of Article 335 CRR 0430-0440 AFTER CAP – WEIGHTED NET LONG/SHORT POSITIONS

§ Article 338

Article 338 CRR, taking into account the discretion of Article 335 CRR 0450 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 0430) or (ii) the specific risk charge that would apply just to the net short positions (column 0440). Rows0010 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. 0020-0040 ORIGINATOR Point (13) of Article 4(1) CRR 0050-0070 INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender 0080-0100 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. 0030, 0060 and 0090 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. 0110 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. 0040, 0070, 0100 and 0120 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 169. 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. 170. 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 338

Commission Delegated Regulation (EU) No 525/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for the definition of market (OJ L 148, 20.5.2014, p. 15). ). 5.4.2. Instructions concerning specific positions Columns0010-0020 ALL POSITIONS (LONG AND SHORT)

§ Article 102

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. 0030-0040 NET POSITIONS (LONG AND SHORT) Articles 327, 329, 332, 341 and 345 CRR. 0050 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. 0060 OWN FUNDS REQUIREMENTS The own funds requirement in accordance with Chapter 2 of Title IV of Part Three CRR for any relevant position 0070 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 Rows0010-0130 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. 0020-0040 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 (rows 0021/0022 as well as rows 0030/0040) are a breakdown related to all positions subject to general risk. Rows 0021 and 0022 request information on the breakdown by instruments. Only the breakdown in rows 0030 and 0040 shall be used as a basis for the calculation of own funds requirements. 0021 Derivatives Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332 CRR, where applicable 0022 Other assets and liabilities Instruments other than derivatives included in the calculation of equity risk of trading book positions. 0030 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 0050. 0040 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 0050 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

§ Article 102

0090-0130 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 171. 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. 172. Rows 0100 to 0480 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 0130 to 0480 of the memorandum items of the template shall be filled out separately for all currencies of the Member States of the Union, the currencies GBP, 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 Columns0020-0030 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. 0040-0050 NET POSITIONS (LONG AND SHORT)

§ Article 352

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. 0060-0080 POSITIONS SUBJECT TO CAPITAL CHARGE The third sentence of Article 352(4) and Articles 353 and 354 CRR 0060-0070 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. 0080 POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED) Matched positions for closely correlated currencies. 0090 OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Chapter 3 of Title IV of Part Three CRR 0100 TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5. Rows0010 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). 0020 CURRENCIES CLOSELY CORRELATED Positions and their correspondent own funds requirements for closely correlated currencies as referred to in Article 354 CRR. 0025 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. 0030 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.
§ Article 352

0040 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 0050 – 0090 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. 0100-0120 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. 0100 Other assets and liabilities other than off-balance sheet items and derivatives Positions not included in row 0110 or 0120 shall be included here. 0110 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. 0120 Derivatives Positions valued in accordance with Article 352 CRR. 0130-0480 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, GBP, 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 173. 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 Columns0010-0020 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) 0030-0040 NET POSITIONS (LONG AND SHORT) As defined in Article 357(3) CRR 0050 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. 0060 OWN FUNDS REQUIREMENTS The own funds requirement calculated in accordance with Chapter 4 of Title IV of Part Three CRR for any relevant position 0070 TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5 Rows0010 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 0020-0060 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. 0070 MATURITY LADDER APPROACH Positions in commodities subject to the maturity ladder approach referred to in Article 359 CRR

§ Article 352

0080 EXTENDED MATURITY LADDER APPROACH Positions in commodities subject to the extended maturity ladder approach referred to in Article 361 CRR 0090 SIMPLIFIED APPROACH Positions in commodities subject to the simplified approach referred to in Article 360 CRR 0100-0140 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

§ Article 358

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 174. 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. 175. 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 Columns0030-0040 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. 0030 Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg) Point (a)(ii) of Article 364(1) and Article 365(1) CRR 0040 Previous day VaR (VaRt-1) Point (a)(i) of Article 364(1) and Article 365(1) CRR 0050-0060 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. 0050 Multiplication factor (ms) x Average of previous 60 working days (SVaRavg) Point (b)(ii) of Article 364(1) and Article 365(1) CRR 0060 Latest available (SVaRt-1) Point (b)(i) of Article 364(1) and Article 365(1) CRR 0070-0080 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. 0070 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 0080 Last Measure Point (b)(i) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR 0090-0110ALL PRICE RISKS CAPITAL CHARGE FOR CTP0090 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. 0100-0110 12 WEEKS AVERAGE MEASURE AND LAST MEASURE Point (b) of Article 364(3) CRR 0110 LAST MEASURE Point (a) of Article 364(3) CRR 0120 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

§ Article 358

0130 TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12.5 0140 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. Where institutions are permitted to exclude certain overshootings from the calculation of the addend in accordance with Article 500c CRR, the number of overshootings reported in this column shall be net of those excluded overshootings. 0150-0160 VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms) As referred to in Article 366 CRR The multiplication factors effectively applicable for the calculation of own funds requirements shall be reported; where applicable, after application of Article 500c CRR. 0170-0180 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. Rows0010 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 0030 to 0060 (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. 0020 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. 0030 TDI – GENERAL RISK General risk component as referred to in Article 362 CRR 0040 TDI – SPECIFIC RISK Specific risk component as referred to in Article 362 CRR 0050 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. 0060 EQUITIES – GENERAL RISK General risk component as referred to in Article 362 CRR 0070 EQUITIES – SPECIFIC RISK Specific risk component as referred to in Article 362 CRR 0080 FOREIGN EXCHANGE RISK Articles 363(1) and point (b) of Article 367(2) CRR 0090 COMMODITY RISK Articles 363(1) and point (d) of Article 367(2) CRR 0100 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) 0110 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)

§ Article 358

5.8. C 25.00 – CREDIT VALUATION ADJUSTMENT RISK (CVA) 5.8.1. Instructions concerning specific positions Columns0010 Exposure value

§ Article 271

Article 271 CRR in conjunction with Article 382 CRR. Total EAD from all transactions subject to CVA charge. 0020 Of which: OTC derivatives

§ Article 271

Article 271 CRR in conjunction with Article 382(1) CRR. The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set. 0030 Of which: SFT

§ Article 271

Article 271 CRR in conjunction with Article 382(2) CRR The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set. 0040 MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

§ Article 383

Article 383 CRR in conjunction with point (d) of Article 363(1) CRR. VaR calculation based on internal models for market risk 0050 PREVIOUS DAY (VaRt-1) See instructions for column 0040. 0060 MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) See instructions for column 0040 0070 LATEST AVAILABLE (SVaRt-1) See instructions for column 0040 0080 OWN FUNDS REQUIREMENTS Point (d) of Article 92(3) CRR. Own funds requirements for CVA Risk calculated via the chosen method. 0090 TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Own funds requirements multiplied by 12.5. Memorandum items0100 Number of counterparties

§ Article 382

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. 0110 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. 0120 INCURRED CVA Accounting provisions due to decreased credit worthiness of derivatives counterparties. 0130 SINGLE NAME CDS Point (a) of Article 386(1) CRR Total notional amounts of single name CDS used as hedge for CVA risk. 0140 INDEX CDS Point (b) of Article 386(1) CRR Total notional amounts of index CDS used as hedge for CVA risk. Rows0010 CVA risk total Sum of rows 0020-0040 0020 Advanced method Advanced CVA risk method as prescribed by Article 383 CRR 0030 Standardised method Standardised CVA risk method as prescribed by Article 384 CRR 0040 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 176. 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. 177. 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 0290 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.

§ Article 382

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 0020 to 0210. 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 0050 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 assets measured at fair value that are included in the value reported in row 0091 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

§ Article 382

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 0096 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 0100 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 0141 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

Article 36(2) BADThe information reported in this row shall correspond to row 0171 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 0175 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

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 assets measured at fair value that are included in the value reported in row 0234 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 0240 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 ADThe information reported in this row shall correspond to row 0250 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 0260 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 0375 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 0010 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 0061 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 0070 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

§ Article 37

The information reported in this row shall correspond to row 0150 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 0160 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 0295 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 178. 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. 179. 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. 180. 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 37

For the market uncertainty, close-out cost and model risk categories, amounts calculated under the expert-based approach as referred to in point (b) of Article 9(5), point (b) of Article 10(6) and Article 11(4) of Delegated Regulation (EU) 2016/101 shall be separately reported in columns 0020, 0040 and 0060. 0010 MARKET PRICE UNCERTAINTY

§ Article 105

Article 105(10) CRR. Market price uncertainty AVAs calculated in accordance with Article 9 of Delegated Regulation (EU) 2016/101. 0020 OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH Market price uncertainty AVAs calculated in accordance with point (b) of Article 9(5) of Delegated Regulation (EU) 2016/101. 0030 CLOSE-OUT COSTS

§ Article 105

Article 105(10) CRR. Close-out costs AVAs calculated in accordance with Article 10 of Delegated Regulation (EU) 2016/101. 0040 OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH Close-out costs AVAs calculated in accordance with point (b) of Article 10(6) of Delegated Regulation (EU) 2016/101. 0050 MODEL RISK

§ Article 105

Article 105(10) CRR Model risk AVAs calculated in accordance with Article 11 of Delegated Regulation (EU) 2016/101. 0060 OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH Model risk AVAs calculated in accordance with Article 11(4) of Delegated Regulation (EU) 2016/101. 0070 CONCENTRATED POSITIONS

§ Article 105

Article 105(11) CRR Concentrated positions AVAs calculated in accordance with Article 14 of Delegated Regulation (EU) 2016/101. 0080 FUTURE ADMINISTRATIVE COSTS

§ Article 105

Article 105(10) CRR Future administrative costs AVAs calculated in accordance with Article 15 of Delegated Regulation (EU) 2016/101. 0090 EARLY TERMINATION

§ Article 105

Article 105(10) CRR Early termination AVAs calculated in accordance with Article 16 of Delegated Regulation (EU) 2016/101. 0100 OPERATIONAL RISK

§ Article 105

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 0290 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

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.

§ Article 8

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.

§ Article 8

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

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

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).

§ Article 7

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

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

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. 00901.1.1.1 INTEREST RATES01001.1.1.2 FOREIGN EXCHANGE01101.1.1.3 CREDIT01201.1.1.4 EQUITIES01301.1.1.5 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.

§ Article 105

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 181. 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. 182. 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. 183. 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. 184. 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. 185. 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;

§ Article 105

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

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.

§ Article 11

6.4. C 32.04 – PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4) 6.4.1. General remarks 186. 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. 187. 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. 188. The top 20 concentrated positions AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual concentrated positions AVAs. 189. 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. 190. 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

§ Article 11

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 191. 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. 192. Where the exposures to General governments are subject to own funds requirements in accordance with Title II of Part Three CRR, 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. 193. 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. 194. 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. 195. 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.

§ Article 11
  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 Article 6(3) of this Implementing Regulation. 7.2. SCOPE OF THE TEMPLATE ON EXPOSURES TO GENERAL GOVERNMENTS
  2. The scope of the GOV template covers on-balance sheet, 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 ColumnsInstructions0010-0260DIRECT EXPOSURES0010-0140ON-BALANCE SHEET EXPOSURES0010 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 0030 to 0120 Prudent valuation adjustments shall not reduce the gross carrying amount of trading and non-trading exposures measured at fair value. 0020 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 0030 to 0120, 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. Where an institution has a short position without a matching direct position, the amount of the short position shall be considered zero for the purposes of this column. 0030-0120 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.
§ Article 11

0030 Financial assets held for trading IFRS 7.8(a)(ii); IFRS 9 Appendix A 0040 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). 0050 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.8(a)(ii); IFRS 9.4.1.4 0060 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 0070 Non-trading non-derivative financial assets measured at fair value through profit or loss

§ Article 36

Article 36(2) BAD; point (a) of Article 8(1) AD Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP). 0080 Financial assets at fair value through other comprehensive income IFRS 7.8(d); IFRS 9.4.1.2 A 0090 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). 0100 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 0110 Non-trading non-derivative financial assets measured at a cost-based method

§ Article 35

Article 35 BAD; point (i) of Article 6(1) and Article 8(2) 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). 0120 Other non-trading non-derivative financial assets

§ Article 37

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). 0130 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 0170 to 0230, and by immediate counterparty. The short positions reported in this column can be netted against positions with the same residual maturity and immediate counterparty and denominated in the same currency that are reported in columns 0030 to 0120 in order to obtain the net position that is reported in column 0020. 0140 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 0030 or 0040). Short positions that arise when the sold securities were borrowed in a securities lending transition shall not be included in this column. 0150 Accumulated impairment Aggregate accumulated impairment related to non-derivative financial assets reported in columns 0080 to 0120 (paragraphs 70 and 71 of Part 2 of Annex V to this Implementing Regulation) 0160 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 0080 and 0090. 0170 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 0050, 0060, 0070, 0080 and 0090 (paragraph 69 of Part 2 of Annex V to this Implementing Regulation) 0180 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 0050, 0060 and 0070. 0190 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

§ Article 37

Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 0080 and 0090. 0200-0230 DERIVATIVES Direct derivative positions shall be reported in columns 0200 to 0230. For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges, see instructions for the row breakdown. 0200-0210 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). 0200 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. 0210 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. 0220-0230 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). 0220 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. 0230 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.

§ Article 37

0240-0260OFF-BALANCE SHEET EXPOSURES0240 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. 0250 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 0250. 0260 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) 0270-280 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 0020 to 0160). 0270 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.

§ Article 37

0280 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. 0290 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. The exposures reported in columns 0270 and 0280 are not to be considered for the purposes of this column, as the value in this column is based solely on direct exposures. 0300 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. The exposures reported in columns 0270 and 0280 shall not be considered for the purposes of this column, as the value in this column is based solely on direct exposures. RowsInstructionsBREAKDOWN OF EXPOSURES BY REGULATORY APPROACH0010 Total exposures Aggregate of exposures to General governments, as defined in paragraphs 155 to 160 of this Annex. 0020-0155 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 (0020 to 0155) and the market risk row (row 0160): 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. 0030 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.

§ Article 37

0040 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. 0050 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. 0060 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. 0070 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. 0075 Other general government exposures subject to Standardised Approach Exposures to General governments other than those included in rows 0040 to 0070 above, which are allocated to SA exposure classes in accordance with Article 112 CRR for the purposes of calculating own funds requirements. 0080 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. 0090 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..

§ Article 37

0100 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. 0110 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. 0120 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. 0130 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. 0140 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.

§ Article 37

0155 Other general government exposures subject to IRB Approach Exposures to General governments other than those included in rows 0090 to 0140 above which are allocated to IRB exposure classes in accordance with Article 147 CRR for the purposes of calculating own funds requirements. 0160 Exposures subject to market risk This row covers positions for which one of the following own funds requirements of Title IV of Part Three CRR is calculated: Own funds requirements for position risk in accordance with Article 326 CRR Own funds requirements for specific or general risk in accordance with Chapter 5 of 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 (0020 to 0155) and the market risk row (row 0160): 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. 0170-0230 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. Where the contractual date of maturity is earlier than the reporting reference date (i.e. the difference between reporting reference date and maturity date is a negative value), the exposure shall be allocated to the bucket [0 – 3M]. Exposures without a residual maturity shall be allocated to the residual maturity bucket on the basis of their period of notice or other contractual indications about the maturity. If there is no predefined period of notice nor other contractual indication about the maturity, exposures shall be allocated to the residual maturity bucket [10Y – more]. 8. NPE LOSS COVERAGE (NPE LC) 8.1. GENERAL REMARKS 200. The NPE loss coverage templates contain information about non-performing exposures (NPEs) for the purposes of calculating the minimum loss coverage requirement for non-performing exposures as specified in Articles 47a, 47b and 47c CRR. 201. The block of templates consists of a set of three templates: a) The calculation of deductions for NPEs (C 35.01): this is an overview template indicating the applicable amount of insufficient coverage, calculated as the difference between the total minimum coverage requirements for NPEs and the total provisions and adjustments or deductions already made. The template covers both the non-performing exposures where forbearance measure has not been granted, and non-performing forborne exposures.

§ Article 37

b) Minimum coverage requirements and exposure values of non-performing exposures, excluding forborne exposures that fall under Article 47c(6) CRR (C 35.02): the template calculates the total minimum coverage requirements for non-performing exposures that are not non-performing forborne exposures that fall under Article 47c(6) CRR, indicating the factors to be applied on the exposure values for the purposes of this calculation given whether the exposure is secured or unsecured and given the time since the exposure became non-performing. c) Minimum coverage requirements and exposure values of non-performing forborne exposures that fall under Article 47c(6) CRR (C 35.03): the template calculates the total minimum coverage requirements for non-performing forborne exposures that fall under Article 47c(6) CRR, indicating the factors to be applied on the exposure values for the purposes of this calculation given whether the exposure is secured or unsecured and given the time since the exposure became non-performing. 202. The the minimum loss coverage requirement for non-performing exposures applies to (i) exposures, originated on and after 26 April 2019, that become non-performing, and (ii) exposures originated before 26 April 2019 when they are modified after that date in a way that increases their exposure value to the obligor (Article 469a CRR), that become non-performing. 203. Institutions shall calculate the deductions for NPEs in accordance with points (a) and (b) of Article 47c(1) CRR„ including the calculation of minimum coverage requirements and total provisions and adjustments or deductions, at individual exposure level (transaction based) and not at debtor or portfolio levels. 204. For the purposes of calculating the deductions for NPEs, institutions shall differentiate between the unsecured and secured part of a NPE in accordance with Article 47c(1) CRR. To this end, institutions shall report exposure values and minimum coverage requirements separately for the unsecured part of NPEs and for the secured part of NPEs. 205. For the purposes of mapping of relevant applicable factors and calculating minimum coverage requirements, institutions shall classify the secured part of NPEs depending on the type of credit protection in accordance with Article 47c(3) CRR as follows: (i) secured by immovable property or residential loan guaranteed by an eligible protection provider as referred to in Art. 201, (ii) secured by other funded or unfunded credit protection or (iii) guaranteed or insured by an official export credit agency,. When a non-performing exposure is secured by more than one type of credit protection, its exposure value shall be allocated according to the quality of the credit protection, starting from the one with the best quality. 8.2. C 35.01 – THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1) 8.2.1. Instructions concerning specific positions ColumnsInstructions0010 – 0100 Time passed since exposures classified as non-performing

§ Article 37

The time passed since exposures classified as non-performing shall mean the time in years passed, as of the reference date, since exposure has been classified as non-performing. For purchased non-performing exposures, the time in years shall start to run from the date on which the exposures was originally classified as non- performing, and not from the date of their purchase. Institutions shall report data on exposures for which the reference date falls under the corresponding time interval indicating the period in years following exposures’ classification as non-performing, regardless of any application of forbearance measures. For the time interval, > X year(s), <= Y year(s), institutions shall report data on exposures for which the reference date corresponds to the period between the first and the last day of the Yth year following the classification of these exposures as non-performing. 0110 Total Institutions shall report the sum of all columns from 0010 to 0100. RowsInstructions0010 Applicable amount of insufficient coverage

§ Article 47c

Article 47c(1) CRR For the calculation of the applicable amount of insufficient coverage, institutions shall deduct the total provisions and adjustments or deductions (capped) (row 0080) from the total minimum coverage requirement for non-performing exposures (row 0020). The applicable amount of insufficient coverage (i.e. the shortfall in the total minimum coverage requirement for non-performing exposures) shall be equal to or greater than zero. 0020 Total minimum coverage requirement for non-performing exposures Point (a) of Article 47c(1) CRR For the calculation of the total minimum coverage requirement for non-performing exposures, institutions shall sum the minimum coverage requirement for the unsecured part of NPEs (row 0030) and for the secured part of NPEs (row 0040). 0030 Unsecured part of NPEs Point (a)(i) of Article 47c(1), Article 47c(2), Article 47c(6) CRR Institution shall report the total minimum coverage requirement for the unsecured part of NPEs, i.e. the aggregate of calculations at exposure level. The amount reported in each column shall be equal to the sum of the amounts reported in row 0020 of C 35.02 and row 0020 of C 35.03 (where applicable) in the respective columns. 0040 Secured part of NPEs Point (a)(ii) Article 47c(1), Article 47c(3), Article 47c(4), Article 47c(6) CRR. Institutions shall report the total minimum coverage requirement for the secured part of NPEs, i.e. the aggregate of calculations at exposure level. The amount reported in each column shall be equal to the sum of the amounts reported in row 0030-0050 of C 35.02 and row 0030-0040 of C 35.03 (where applicable) in the respective columns. 0050 Exposure value

§ Article 47a

Article 47a(2) CRR Institutions shall report the total exposure value of NPEs including both unsecured and secured exposures. This shall correspond to the sum of row 0060 and row 0070. 0060 Unsecured part of NPEs

§ Article 47a

Article 47a(2) and Article 47c(1) CRR 0070 Secured part of NPEs

§ Article 47a

Article 47a(2) and Article 47c(1) CRR 0080 Total provisions and adjustments or deductions (capped) Institutions shall report the capped amount of the sum of the items listed in rows 0100-0150 in accordance with point (b) of Article 47c(1) CRR. The maximum limit for capped provisions and adjustment or deductions is the amount of minimum coverage requirement at exposure level. Capped amount shall be calculated separately for each exposure as the lower amount between minimum coverage requirement for this exposure and total provisions and adjustments or deductions for the same exposure. 0090 Total provisions and adjustments or deductions (uncapped) Institutions shall report the sum of uncapped amount of the items listed in rows 0100-0150 in accordance with point (b) of Article 47c(1) CRR. Provisions and adjustment or deductions (uncapped) shall not be limited to the amount of minimum coverage requirement at exposure level. 0100 Specific credit risk adjustments Point (b)(i) of Article 47c(1) CRR 0110 Additional valuation adjustments Point (b)(ii) of Article 47c(1) CRR 0120 Other own funds reductions Point (b)(iii) of Article 47c(1) CRR 0130 IRB shortfall Point (b)(iv) of Article 47c(1) CRR 0140 Difference between the purchase price and the amount owed by the debtor Point (b)(v) of Article 47c(1) CRR 0150 Amounts written-off by the institution since the exposure was classified as non-performing Point (b)(vi) of Article 47c(1) CRR 8.3. C 35.02 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC2) 8.3.1. Instructions concerning specific positions ColumnsInstructions0010 – 0100 Time passed since exposures classified as non-performing The time passed since exposures classified as non-performing shall mean the time in years passed since exposure has been classified as non-performing. Institutions shall report data on exposures for which the reference date falls under the corresponding time interval indicating the period in years following exposures’ classification as non-performing, regardless of any application of forbearance measures. For the time interval, > X year(s), <= Y year(s), institutions shall report data on exposures for which the reference date corresponds to the period between the first and the last day of the Yth year following the classification of these exposures as non-performing. 0110 Total Institutions shall report the sum of all columns from 0010 to 0100. RowsInstructions0010 Total minimum coverage requirement Point (a) of Article 47c(1) CRR For the calculation of the total minimum coverage requirement for non-performing exposures, excluding forborne exposures that fall under Article 47c(6) CRR, institutions shall sum the minimum coverage requirement for the unsecured part of NPEs (row 0020) and the minimum coverage requirement for the secured part of NPEs (rows 0030-0050). 0020 Unsecured part of NPEs Point (a)(i) of Article 47c(1), Article 47c(2) CRR

§ Article 47a

The minimum coverage requirement shall be calculated by multiplying the aggregate exposure values in row 0070 by the corresponding factor per column. 0030 Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider Point (a)(ii) of Article 47c(1) and points (a), (b), (c), (d), (f), (h) and (i) of Article 47c(3) CRR The minimum coverage requirement shall be calculated by multiplying the aggregate exposure values in row 0080 by the corresponding factor per column. 0040 Part of NPEs secured by other funded or unfunded credit protection Point (a)(ii) of Article 47c(1) and points (a), (b), (c), (e) and (g) of Article 47c(3) CRR The minimum coverage requirement shall be calculated by multiplying the aggregate exposure values in row 0090 by the corresponding factor per column. 0050 Part of NPEs guaranteed or insured by an official export credit agency

§ Article 47c

Article 47c(4) CRR. The minimum coverage requirement shall be calculated by multiplying the aggregate exposure values in row 0100 by the corresponding factor per column. 0060 Exposure value

§ Article 47a

Article 47a(2) CRR For the calculation of row 0060, institutions shall sum the exposure values reported for the unsecured part of NPEs (row 0070), the part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider (row 0080), the part of NPEs secured by other funded or unfunded credit protection (row 0090) and the part of NPEs guaranteed or insured by an official export credit agency (row 0100). 0070 Unsecured part of NPEs

§ Article 47a

Article 47a(2), Article 47c(1), Article 47c(2) CRR Institutions shall report the total exposure value of unsecured part of NPEs broken-down by time passed since exposures classified as non-performing. 0080 Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

§ Article 47a

Article 47a(2), Article 47c(1) and points (a), (b), (c), (d), (f), (h) and (i) of Article 47c(3) CRR Institutions shall report the total exposure value of the parts of NPEs secured by immovable property pursuant to Title II of Part Three CRR or that is a residential loan guaranteed by an eligible protection provider as referred to in Article 201 CRR. 0090 Part of NPEs secured by other funded or unfunded credit protection

§ Article 47a

Article 47a(2), Article 47c(1) and points (a), (b), (c), (e) and (g) of Article 47c(3) CRR Institutions shall report the total exposure value of the parts of NPEs secured by other funded or unfunded credit protection pursuant to Title II of Part Three CRR. 0100 Part of NPEs guaranteed or insured by an official export credit agency

§ Article 47a

Article 47a(2) and Article 47c(4) CRR Institutions shall report the total exposure value of the parts of NPEs guaranteed or insured by an official export credit agency or guaranteed or counter-guaranteed by another eligible protection provider as referred to in article 47c(4) CRR. 8.4. C 35.03 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC3) 8.4.1. Instructions concerning specific positions ColumnsInstructions0010 – 0100 Time passed since exposures classified as non-performing The time passed since exposures classified as non-performing shall mean the time in years passed since exposure has been classified as non-performing. Institutions shall report data on exposures for which the reference date falls under the corresponding time interval indicating the period in years following exposures’ classification as non-performing, regardless of any application of forbearance measures. For the time interval, > X year(s), <= Y year(s), institutions shall report data on exposures for which the reference date corresponds to the period between the first and the last day of the Yth year following the classification of these exposures as non-performing. 0110 Total Institutions shall report the sum of all columns from 0010 to 0100. RowsInstructions0010 Total minimum coverage requirement Point (a) of Article 47c(1) and Article 47c(6) CRR For the calculation of total minimum coverage requirement of non-performing forborne exposures that fall under Article 47c(6) CRR, institutions shall sum minimum coverage requirements for the unsecured part of forborne NPEs (row 0020), the part of forborne NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider (row 0030) and the part of forborne NPEs secured by other funded or unfunded credit protection (row 0040). 0020 Unsecured part of NPEs Point (a)(i) of Article 47c(1), Article 47c(2), Article 47c(6) CRR Institutions shall report the total minimum coverage requirement for the unsecured part of non-performing forborne exposures that fall under Article 47c(6) CRR, i.e. the aggregate of calculations at exposure level. 0030 Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider Point (a)(ii) of Article 47c(1) and points (a), (b), (c), (d), (f), (h) and (i) of Article 47c(3), Article 47c(6) CRR Institutions shall report the total minimum coverage requirement for parts of non-performing forborne exposures secured by immovable property pursuant to Title II of Part Three CRR or that are residential loans guaranteed by an eligible protection provider as referred to in Article 201 CRR, falling under Article 47c(6) CRR, i.e. the aggregate of calculations at exposure level. 0040 Part of NPEs secured by other funded or unfunded credit protection Point (a)(ii) of Article 47c(1) and points (a), (b), (c), (e) and (g) of Article 47c(3), Article 47c(6) CRR Institutions shall report the total minimum coverage requirement for parts of non-performing forborne exposures se-cured by other funded or unfunded credit protection, falling under Article 47c(6) CRR, i.e. the aggregate of calculations at exposure level.

§ Article 47a

0050 Exposure value

§ Article 47a

Article 47a(2) and Article 47c(6) CRR For the calculation of exposure value, institutions shall sum exposure values for the unsecured part of NPEs (row 0060), the part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider (row 0070) and the part of NPEs secured by other funded or unfunded credit protection (row 0120), where applicable. 0060 Unsecured part of NPEs

§ Article 47a

Article 47a(2), Article 47c(1), Article 47c(2), Article 47c(6) CRR Institutions shall report the total exposure value of unsecured part of forborne NPEs that fall under Article 47c(6) CRR where the first forbearance measure has been granted between the first and the last day of the second year after the classification of the exposure as non-performing (> 1 year; <=2 years). 0070 Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

§ Article 47a

Article 47a(2), Article 47c(1) and points (a), (b), (c), (d), (f), (h) and (i) of Article 47c(3), Article 47c(6) CRR Institutions shall report the total exposure value of the parts of forborne NPEs that fall under Article 47c(6) CRR secured by immovable property pursuant to Title II or Part Three CRR or that is a residential loan guaranteed by an eligible protection provider as referred to in Article 201 CRR. 0080 2 and <= 3 years after classification as NPE Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by immovable property or residential loan guaranteed by an eligible protection provider where the first forbearance measure has been granted between the first and the last day of the third year after the classification of the exposure as non-performing. 0090 3 and <= 4 years after classification as NPE Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by immovable property or residential loan guaranteed by an eligible protection provider where the first forbearance measure has been granted between the first and the last day of the fourth year after the classification of the exposure as non-performing. 0100 4 and <= 5 years after classification as NPE Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by immovable property or residential loan guaranteed by an eligible protection provider where the first forbearance measure has been granted between the first and the last day of the fifth year after the classification of the exposure as non-performing. 0110 5 and <= 6 years after classification as NPE Institutions shall report exposure value of forborne NPEs secured that fall under Article 47c(6) CRR by immovable property or residential loan guaranteed by an eligible protection provider where the first forbearance measure has been granted between the first and the last day of the sixth year after the classification of the exposure as non-performing. 0120 Part of NPEs secured by other funded or unfunded credit protection

§ Article 47c

Article 47c(1), and points (a), (b), (c), (e) and (g) of Article 47c(3), Article 47c(6) CRR Institutions shall report the total exposure value of the parts of forborne NPEs that fall under Article 47c(6) CRR secured by other funded or unfunded credit protection pursuant to Title II of Part Three CRR. 0130 2 and <= 3 years after classification as NPE Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by other funded or unfunded credit protection, where the first forbearance measure has been granted between the first and the last day of the third year after the classification of the exposure as non-performing. 0140 3 and <= 4 years after classification as NPE Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by other funded or unfunded credit protection, where the first forbearance measure has been granted between the first and the last day of the fourth year after the classification of the exposure as non-performing. 0150 4 and <= 5 years after classification as NPE Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by other funded or unfunded credit protection, where the first forbearance measure has been granted between the first and the last day of the fifth year after the classification of the exposure as non-performing. 0160 5 and <= 6 years after classification as NPE Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by other funded or unfunded credit protection, where the first forbearance measure has been granted between the first and the last day of the sixth year after the classification of the exposure as non-performing.

Annex

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 05.01Loans and advances other than held for trading, trading or held for sale assets by product6.1F 06.01Breakdown of loans and advances other than held for trading, trading or held for sale assets 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 liabilities

§ Article 47c

Loan 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 received10F 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 instrument 16.5F 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 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 codes

§ Article 47c

21F 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 forbearancePART 3 [SEMI-ANNUAL]Off-balance sheet activities: interests in unconsolidated structured entities30.1F 30.01Interests in unconsolidated structured entities 30.2F 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

§ Article 47c
  1. Balance Sheet Statement [Statement of Financial Position] 1.1 Assets ReferencesBreakdown in tableCarrying amountAnnex V.Part 1.2700100010Cash, cash balances at central banks and other demand depositsIAS 1.54 (i)0020Cash on handAnnex V.Part 2.10030Cash balances at central banksAnnex V.Part 2.20040Other demand depositsAnnex V.Part 2.350050Financial assets held for tradingIFRS 9.Appendix A0060DerivativesIFRS 9.Appendix A100070Equity instrumentsIAS 32.1140080Debt securitiesAnnex V.Part 1.3140090Loans and advancesAnnex V.Part 1.3240096Non-trading financial assets mandatorily at fair value through profit or lossIFRS 7.8(a)(ii); IFRS 9.4.1.440097Equity instrumentsIAS 32.1140098Debt securitiesAnnex V.Part 1.3140099Loans and advancesAnnex V.Part 1.3240100Financial assets designated at fair value through profit or lossIFRS 7.8(a)(i); IFRS 9.4.1.540120Debt securitiesAnnex V.Part 1.3140130Loans and advancesAnnex V.Part 1.3240141Financial assets at fair value through other comprehensive incomeIFRS 7.8(h); IFRS 9.4.1.2A40142Equity instrumentsIAS 32.1140143Debt securitiesAnnex V.Part 1.3140144Loans and advancesAnnex V.Part 1.324 0181Financial assets at amortised costIFRS 7.8(f); IFRS 9.4.1.240182Debt securitiesAnnex V.Part 1.3140183Loans and advancesAnnex V.Part 1.3240240Derivatives – Hedge accountingIFRS 9.6.2.1; Annex V.Part 1.22110250Fair value changes of the hedged items in portfolio hedge of interest rate riskIAS 39.89A(a); IFRS 9.6.5.80260Investments in subsidiaries, joint ventures and associatesIAS 1.54(e); Annex V.Part 1.21, Part 2.4400270Tangible assets0280Property, Plant and EquipmentIAS 16.6; IAS 1.54(a); IFRS 16.47(a)21, 420290Investment propertyIAS 40.5; IAS 1.54(b); IFRS 16.4821, 420300Intangible assetsIAS 1.54(c); CRR art 4(1)(115)0310GoodwillIFRS 3.B67(d); CRR art 4(1)(113)0320Other intangible assetsIAS 38.8,118; IFRS 16.47 (a)21, 420330Tax assetsIAS 1.54(n-o)0340Current tax assetsIAS 1.54(n); IAS 12.50350Deferred tax assetsIAS 1.54(o); IAS 12.5; CRR art 4(1)(106)0360Other assetsAnnex V.Part 2.50370Non-current assets and disposal groups classified as held for saleIAS 1.54(j); IFRS 5.38, Annex V.Part 2.70380TOTAL ASSETSIAS 1.9(a), IG 6 1.2 Liabilities ReferencesBreakdown in tableCarrying amountAnnex V.Part 1.2700100010Financial liabilities held for tradingIFRS 7.8 (e) (ii); IFRS 9.BA.680020DerivativesIFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)100030Short positionsIFRS 9.BA7(b)80040DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.3680050Debt securities issuedAnnex V.Part 1.3780060Other financial liabilitiesAnnex V.Part 1.38-4180070Financial liabilities designated at fair value through profit or lossIFRS 7.8 (e)(i); IFRS 9.4.2.280080DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.3680090Debt securities issuedAnnex V.Part 1.3780100Other financial liabilitiesAnnex V.Part 1.38-4180110Financial liabilities measured at amortised costIFRS 7.8(g); IFRS 9.4.2.180120DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.3680130Debt securities issuedAnnex V.Part 1.3780140Other financial liabilitiesAnnex V.Part 1.38-4180150Derivatives – Hedge accountingIFRS 9.6.2.1; Annex V.Part 1.26110160Fair value changes of the hedged items in portfolio hedge of interest rate riskIAS 39.89A(b), IFRS 9.6.5.80170ProvisionsIAS 37.10; IAS 1.54(l)43
§ Article 47c

0180Pensions and other post employment defined benefit obligationsIAS 19.63; IAS 1.78(d); Annex V.Part 2.9430190Other long term employee benefitsIAS 19.153; IAS 1.78(d); Annex V.Part 2.10430200RestructuringIAS 37.71430210Pending legal issues and tax litigationIAS 37.14, Appendix C. Examples 6 and 10430220Commitments and guarantees givenIFRS 9.4.2.1(c),(d), 9.5.5, 9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.11912430230Other provisionsIAS 37.14430240Tax liabilitiesIAS 1.54(n-o)0250Current tax liabilitiesIAS 1.54(n); IAS 12.50260Deferred tax liabilitiesIAS 1.54(o); IAS 12.5; CRR art 4(1)(108)0270Share capital repayable on demandIAS 32 IE 33; IFRIC 2; Annex V.Part 2.120280Other liabilitiesAnnex V.Part 2.130290Liabilities included in disposal groups classified as held for saleIAS 1.54 (p); IFRS 5.38, Annex V.Part 2.140300TOTAL LIABILITIESIAS 1.9(b);IG 6 1.3 Equity ReferencesBreakdown in tableCarrying amount00100010CapitalIAS 1.54(r), BAD art 22460020Paid up capitalIAS 1.78(e)0030Unpaid capital which has been called upAnnex V.Part 2.140040Share premiumIAS 1.78(e); CRR art 4(1)(124)460050Equity instruments issued other than capitalAnnex V.Part 2.18-19460060Equity component of compound financial instrumentsIAS 32.28-29; Annex V.Part 2.180070Other equity instruments issuedAnnex V.Part 2.190080Other equityIFRS 2.10; Annex V.Part 2.200090Accumulated other comprehensive incomeCRR art 4(1)(100)460095Items that will not be reclassified to profit or lossIAS 1.82A(a)0100Tangible assetsIAS 16.39-410110Intangible assetsIAS 38.85-870120Actuarial gains or (-) losses on defined benefit pension plansIAS 1.7, IG6; IAS 19.120(c)0122Non-current assets and disposal groups classified as held for saleIFRS 5.38, IG Example 120124Share of other recognised income and expense of investments in subsidaries, joint ventures and associatesIAS 1.IG6; IAS 28.100320Fair 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 2.210330Hedge 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 2.220340Fair 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 2.22 0350Fair 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 2.570360Fair 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 2.230128Items that may be reclassified to profit or lossIAS 1.82A(a) (ii)0130Hedge 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 2.240140Foreign currency translationIAS 21.52(b); IAS 21.32, 38-490150Hedging 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 2.250155Fair 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 2.260165Hedging 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 2.600170Non-current assets and disposal groups classified as held for saleIFRS 5.38, IG Example 120180Share of other recognised income and expense of investments in subsidaries, joint ventures and associatesIAS 1.IG6; IAS 28.100190Retained earningsCRR art 4(1)(123)0200Revaluation reservesIFRS 1.30, D5-D8; Annex V.Part 2.280210Other reservesIAS 1.54; IAS 1.78(e)

§ Article 47c

0220Reserves or accumulated losses of investments in subsidaries, joint ventures and associates accounted for using the equity methodIAS 28.11; Annex V.Part 2.290230OtherAnnex V.Part 2.290240 (-) Treasury shares IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.30460250Profit or loss attributable to owners of the parentIAS 1.81B (b)(ii)20260 (-) Interim dividends IAS 32.350270Minority interests [Non-controlling interests]IAS 1.54(q)0280Accumulated Other Comprehensive IncomeCRR art 4(1)(100)460290Other items460300TOTAL EQUITYIAS 1.9(c), IG 6460310TOTAL EQUITY AND TOTAL LIABILITIESIAS 1.IG6 2. Statement of profit or loss ReferencesBreakdown in tableCurrent period00100010Interest incomeIAS 1.97; Annex V.Part 2.31160020Financial assets held for tradingIFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 340025Non-trading financial assets mandatorily at fair value through profit or lossIFRS 7.20(a)(i), B5(e), IFRS 9.5.7.10030Financial assets designated at fair value through profit or lossIFRS 7.20(a)(i), B5(e)0041Financial assets at fair value through other comprehensive incomeIFRS 7.20(b); IFRS 9.5.7.10-11; IFRS 9.4.1.2A0051Financial assets at amortised costIFRS 7.20(b);IFRS 9.4.1.2; IFRS 9.5.7.20070Derivatives - Hedge accounting, interest rate riskIFRS 9.Appendix A; .B6.6.16; Annex V.Part 2.350080Other assetsAnnex V.Part 2.360085Interest income on liabilitiesIFRS 9.5.7.1, Annex V.Part 2.370090(Interest expenses)IAS 1.97; Annex V.Part 2.31160100(Financial liabilities held for trading)IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 340110(Financial liabilities designated at fair value through profit or loss)IFRS 7.20(a)(i), B5(e)0120(Financial liabilities measured at amortised cost)IFRS 7.20(b); IFRS 9.5.7.20130(Derivatives - Hedge accounting, interest rate risk)IAS 39.9; Annex V.Part 2.350140(Other liabilities)Annex V.Part 2.380145(Interest expense on assets)IFRS 9.5.7.1, Annex V.Part 2.39 0150(Expenses on share capital repayable on demand)IFRIC 2.110160Dividend incomeAnnex V.Part 2.40310170Financial assets held for tradingIFRS 7.20(a)(i), B5(e); Annex V.Part 2.400175Non-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 2.400191Financial 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 2.410192Investments in subsidiaries, joint ventures and associates accounted for using other than equity methodAnnex V Part 2 .420200Fee and commission incomeIFRS 7.20(c)220210(Fee and commission expenses)IFRS 7.20(c)220220Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, netAnnex V.Part 2.45160231Financial assets at fair value through other comprehensive incomeIFRS 9.4.12A; IFRS 9.5.7.10-110241Financial assets at amortised costIFRS 7.20(a)(v);IFRS 9.4.1.2; IFRS 9.5.7.20260Financial liabilities measured at amortised costIFRS 7.20(a)(v); IFRS 9.5.7.20270Other0280Gains 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, 46160287Gains 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 2.46

§ Article 47c

0290Gains 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, 450300Gains or (-) losses from hedge accounting, netAnnex V.Part 2.47160310Exchange differences [gain or (-) loss], netIAS 21.28, 52 (a)0320Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, netAnnex V.Part 2.560330Gains or (-) losses on derecognition of non-financial assets, netIAS 1.34; Annex V. Part 2.48450340Other operating incomeAnnex V.Part 2.314-316450350(Other operating expenses)Annex V.Part 2.314-316450355TOTAL OPERATING INCOME, NET0360(Administrative expenses)0370(Staff expenses)IAS 19.7; IAS 1.102, IG 6440380(Other administrative expenses)160385(Cash contributions to resolution funds and deposit guarantee schemes)Annex V.Part 2.48i0390(Depreciation)IAS 1.102, 1040400(Property, Plant and Equipment)IAS 1.104; IAS 16.73(e)(vii)0410(Investment Properties)IAS 1.104; IAS 40.79(d)(iv)0420(Other intangible assets)IAS 1.104; IAS 38.118(e)(vi)0425Modification gains or (-) losses, netIFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49 0426Financial assets at fair value through other comprehensive incomeIFRS 7.35J0427Financial assets at amortised costIFRS 7.35J0430(Provisions or (-) reversal of provisions)IAS 37.59, 84; IAS 1.98(b)(f)(g)912430435(payment commitments to resolution funds and deposit guarantee schemes)Annex V.Part 2.48i0440(Commitments and guarantees given)IFRS 9.4.2.1(c),(d),9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.500450(Other provisions)0460(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, 53120481(Financial assets at fair value through other comprehensive income)IFRS 9.5.4.4, 9.5.5.1, 9.5.5.2, 9.5.5.8120491(Financial assets at amortised cost)IFRS 9.5.4.4, 9.5.5.1, 9.5.5.8120510(Impairment or (-) reversal of impairment of investments in subsidiaries, joint ventures and associates)IAS 28.40-43160520(Impairment or (-) reversal of impairment on non-financial assets)IAS 36.126(a)(b)160530(Property, plant and equipment)IAS 16.73(e)(v-vi)0540(Investment properties)IAS 40.79(d)(v)0550(Goodwill)IFRS 3.Appendix B67(d)(v); IAS 36.1240560(Other intangible assets)IAS 38.118 (e)(iv)(v)0570(Other)IAS 36.126 (a)(b) 0580Negative goodwill recognised in profit or lossIFRS 3.Appendix B64(n)(i)0590Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates accounted for using the equity methodAnnex V.Part 2.540600Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operationsIFRS 5.37; Annex V.Part 2.550610PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONSIAS 1.102, IG 6; IFRS 5.33 A0620(Tax expense or (-) income related to profit or loss from continuing operations)IAS 1.82(d); IAS 12.770630PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONSIAS 1, IG 60640Profit or (-) loss after tax from discontinued operationsIAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.560650Profit or (-) loss before tax from discontinued operationsIFRS 5.33(b)(i)0660(Tax expense or (-) income related to discontinued operations)IFRS 5.33 (b)(ii),(iv)0670PROFIT OR (-) LOSS FOR THE YEARIAS 1.81A(a)0680Attributable to minority interest [non-controlling interests]IAS 1.81B (b)(i)0690Attributable to owners of the parentIAS 1.81B (b)(ii)

§ Article 47c
  1. Statement of comprehensive income ReferencesCurrent period00100010Profit or (-) loss for the yearIAS 1.7, IG60020Other comprehensive incomeIAS 1.7, IG60030Items that will not be reclassified to profit or lossIAS 1.82A(a)(i)0040Tangible assetsIAS 1.7, IG6; IAS 16.39-400050Intangible assetsIAS 1.7; IAS 38.85-860060Actuarial gains or (-) losses on defined benefit pension plansIAS 1.7, IG6; IAS 19.120(c)0070Non-current assets and disposal groups held for saleIFRS 5.380080Share of other recognised income and expense of entities accounted for using the equity methodIAS 1.IG6; IAS 28.100081Fair value changes of equity instruments measured at fair value through other comprehensive incomeIAS 1.7(d)0083Gains 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 2.570084Fair 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 2.570085Fair 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 2.570086Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit riskIAS 1.7(f)0090Income tax relating to items that will not be reclassifiedIAS 1.91(b); Annex V.Part 2.660100Items that may be reclassified to profit or lossIAS 1.82A(a)(ii)0110Hedge 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 2.58 0120Valuation gains or (-) losses taken to equityIAS 1.IG6;IFRS 9.6.5.13(a); IFRS 7.24C(b)(i);.24E(a); Annex V.Part 2.580130Transferred to profit or lossIAS 1.7, 92-95; IAS 21.48-49; IFRS 9.6.5.14; Annex V.Part 2.590140Other reclassificationsAnnex V.Part 2.650150Foreign currency translationIAS 1.7, IG6; IAS 21.52(b)0160Translation gains or (-) losses taken to equityIAS 21.32, 38-470170Transferred to profit or lossIAS 1.7, 92-95; IAS 21.48-490180Other reclassificationsAnnex V.Part 2.650190Cash 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);0200Valuation 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)0210Transferred 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 2.590220Transferred to initial carrying amount of hedged itemsIAS 1.IG6;IFRS 9.6.5.11(d)(i)0230Other reclassificationsAnnex V.Part 2.650231Hedging 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 2.600232Valuation gains or (-) losses taken to equityIAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E (b)(c)0233Transferred to profit or lossIAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.610234Other reclassificationsAnnex V.Part 2.65 0241Debt instruments at fair value through other comprehensive incomeIAS 1.7(da), IG 6; IAS 1.IG6; IFRS 9.5.6.4; Annex V.Part 2.62-630251Valuation gains or (-) losses taken to equityIFRS 7.20(a)(ii); IAS 1.IG6; IFRS 9.5.6.40261Transferred to profit or lossIAS 1.7, IAS 1.92-95, IAS 1.IG6; IFRS 9.5.6.7; Annex V.Part 2.640270Other reclassificationsIFRS 5.IG Example 12;IFRS 9.5.6.5; Annex V.Part 2.64-650280Non-current assets and disposal groups held for saleIFRS 5.380290Valuation gains or (-) losses taken to equityIFRS 5.380300Transferred to profit or lossIAS 1.7, 92-95; IFRS 5.380310Other reclassificationsIFRS 5.IG Example 120320Share of other recognised income and expense of Investments in subsidaries, joint ventures and associatesIAS 1.IG6; IAS 28.100330Income tax relating to items that may be reclassified to profit or (-) lossIAS 1.91(b), IG6; Annex V.Part 2.660340Total comprehensive income for the yearIAS 1.7, 81A(a), IG60350Attributable to minority interest [Non-controlling interest]IAS 1.83(b)(i), IG60360Attributable to owners of the parentIAS 1.83(b)(ii), IG6
§ Article 47c
  1. Breakdown of financial assets by instrument and by counterparty sector 4.1 Financial assets held for trading ReferencesCarrying amountAnnex V.Part 1.2700100005Derivatives0010Equity instrumentsIAS 32.11, Annex V.Part 1.44(b)0030of which: credit institutionsAnnex V.Part 1.42(c)0040of which: other financial corporationsAnnex V.Part 1.42(d)0050of which: non-financial corporationsAnnex V.Part 1.42(e)0060Debt securitiesAnnex V.Part 1.31, 44(b)0070Central banksAnnex V.Part 1.42(a)0080General governmentsAnnex V.Part 1.42(b)0090Credit institutionsAnnex V.Part 1.42(c)0100Other financial corporationsAnnex V.Part 1.42(d)0110Non-financial corporationsAnnex V.Part 1.42(e)0120Loans and advancesAnnex V.Part 1.32, 44(a)0130Central banksAnnex V.Part 1.42(a)0140General governmentsAnnex V.Part 1.42(b)0150Credit institutionsAnnex V.Part 1.42(c)0160Other financial corporationsAnnex V.Part 1.42(d)0170Non-financial corporationsAnnex V.Part 1.42(e)0180HouseholdsAnnex V.Part 1.42(f)0190FINANCIAL 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 2.69001000200010Equity instrumentsIAS 32.11, Annex V.Part 1.44(b)0020of which: credit institutionsAnnex V.Part 1.42(c)0030of which: other financial corporationsAnnex V.Part 1.42(d)0040of which: non-financial corporationsAnnex V.Part 1.42(e)0050Debt securitiesAnnex V.Part 1.31, 44(b)0060Central banksAnnex V.Part 1.42(a)0070General governmentsAnnex V.Part 1.42(b)0080Credit institutionsAnnex V.Part 1.42(c)0090Other financial corporationsAnnex V.Part 1.42(d)0100Non-financial corporationsAnnex V.Part 1.42(e)0110Loans and advancesAnnex V.Part 1.32, 44(a)0120Central banksAnnex V.Part 1.42(a)0130General governmentsAnnex V.Part 1.42(b)0140Credit institutionsAnnex V.Part 1.42(c)0150Other financial corporationsAnnex V.Part 1.42(d)0160Non-financial corporationsAnnex V.Part 1.42(e)0170HouseholdsAnnex V.Part 1.42(f)0180NON-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 2.69001000200060Debt securitiesAnnex V.Part 1.31, 44(b)0070Central banksAnnex V.Part 1.42(a)0080General governmentsAnnex V.Part 1.42(b)0090Credit institutionsAnnex V.Part 1.42(c)0100Other financial corporationsAnnex V.Part 1.42(d)0110Non-financial corporationsAnnex V.Part 1.42(e)0120Loans and advancesAnnex V.Part 1.32, 44(a)0130Central banksAnnex V.Part 1.42(a)0140General governmentsAnnex V.Part 1.42(b)0150Credit institutionsAnnex V.Part 1.42(c)0160Other financial corporationsAnnex V.Part 1.42(d)0170Non-financial corporationsAnnex V.Part 1.42(e)0180HouseholdsAnnex V.Part 1.42(f)0190FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSSIFRS 7.8(a)(i); IFRS 9.4.1.5
§ Article 47c

4.3.1 Financial assets at fair value through other comprehensive income ReferencesCarrying amountGross carrying amount Annex V.Part 1.34(b)Accumulated impairment Annex V.Part 2.70(b), 71Accumulated 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)Purchased or originated credit-impaired financial assetsAssets 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)Purchased or originated credit-impaired financial assetsof 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 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67IFRS 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 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67,70(d)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 2.72-740010001500200030004000410050006000700071008000900010Equity instrumentsIAS 32.11; Annex V.Part 1.44(b)0020of which: credit institutionsAnnex V.Part 1.42(c)0030of which: other financial corporationsAnnex V.Part 1.42(d)0040of which: non-financial corporationsAnnex V.Part 1.42(e)0050Debt securitiesAnnex V.Part 1.31, 44(b)0060Central banksAnnex V.Part 1.42(a) 0070General governmentsAnnex V.Part 1.42(b)0080Credit institutionsAnnex V.Part 1.42(c)0090Other financial corporationsAnnex V.Part 1.42(d)0100Non-financial corporationsAnnex V.Part 1.42(e)0110Loans and advancesAnnex V.Part 1.32, 44(a)0120Central banksAnnex V.Part 1.42(a)0130General governmentsAnnex V.Part 1.42(b)0140Credit institutionsAnnex V.Part 1.42(c) 0150Other financial corporationsAnnex V.Part 1.42(d)0160Non-financial corporationsAnnex V.Part 1.42(e)0165Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)0170HouseholdsAnnex V.Part 1.42(f)0180FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOMEIFRS 7.8(h); IFRS 9.4.1.2A 4.4.1 Financial assets at amortised cost ReferencesCarrying amountGross carrying amount Annex V.Part 1.34(b)Accumulated impairment Annex V.Part 2.70(a), 71Accumulated 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)Purchased or originated credit-impaired financial assetsAssets 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)Purchased or originated credit-impaired financial assetsof 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 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67IFRS 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 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67,70(d)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 2.72-740010001500200030004000410050006000700071008000900010Debt securitiesAnnex V.Part 1.31, 44(b)0020Central banksAnnex V.Part 1.42(a)0030General governmentsAnnex V.Part 1.42(b)0040Credit institutionsAnnex V.Part 1.42(c)0050Other financial corporationsAnnex V.Part 1.42(d)0060Non-financial corporationsAnnex V.Part 1.42(e)0070Loans and advancesAnnex V.Part 1.32, 44(a)0080Central banksAnnex V.Part 1.42(a)

§ Article 47c

0090General governmentsAnnex V.Part 1.42(b)0100Credit institutionsAnnex V.Part 1.42(c)0110Other financial corporationsAnnex V.Part 1.42(d)0120Non-financial corporationsAnnex V.Part 1.42(e)0125Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)0130HouseholdsAnnex V.Part 1.42(f)0140FINANCIAL ASSETS AT AMORTISED COSTIFRS 7.8(f); IFRS 9.4.1.2 4.5 Subordinated financial assets ReferencesCarrying amountAnnex V.Part 1.2700100010Loans and advancesAnnex V.Part 1.320020Debt securitiesAnnex V.Part 1.310030SUBORDINATED [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, trading or held for sale 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)0005001000200030004000500060By product0010On demand [call] and short notice [current account]Annex V.Part 2.85(a)0020Credit card debtAnnex V.Part 2.85(b)0030Trade receivablesAnnex V.Part 2.85(c)0040Finance leasesAnnex V.Part 2.85(d)0050Reverse repurchase loansAnnex V.Part 2.85(e)0060Other term loansAnnex V.Part 2.85(f)0070Advances that are not loansAnnex V.Part 2.85(g)0080LOANS AND ADVANCESAnnex V.Part 1.32, 44(a) By collateral0090of which: Loans collateralized by immovable propertyAnnex V.Part 2.86(a), 870100of which: other collateralized loansAnnex V.Part 2.86(b), 87By purpose0110of which: credit for consumptionAnnex V.Part 2.88(a)0120of which: lending for house purchaseAnnex V.Part 2.88(b)By subordination0130of which: project finance loansAnnex V.Part 2.89; CRR Art 147(8) 6. 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, trading or held for sale assets 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 2.690010001100120013002100220010A Agriculture, forestry and fishingNACE Regulation0020B Mining and quarryingNACE Regulation0030C ManufacturingNACE Regulation0040D Electricity, gas, steam and air conditioning supplyNACE Regulation0050E Water supplyNACE Regulation0060F ConstructionNACE Regulation0070G Wholesale and retail tradeNACE Regulation0080H Transport and storageNACE Regulation 0090I Accommodation and food service activitiesNACE Regulation0100J Information and communicationNACE Regulation0105K Financial and insurance activitiesNACE Regulation, Annex V.Part 2.920110L Real estate activitiesNACE Regulation0120M Professional, scientific and technical activitiesNACE Regulation0130N Administrative and support service activitiesNACE Regulation0140O Public administration and defence, compulsory social securityNACE Regulation0150P EducationNACE Regulation

§ Article 47c

0160Q Human health services and social work activitiesNACE Regulation0170R Arts, entertainment and recreationNACE Regulation0180S Other servicesNACE Regulation0190LOANS AND ADVANCESAnnex V.Part 1.32, Part 2.90 7. 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)Purchased or originated credit-impaired financial assets≤ 30 days> 30 days ≤ 90 days> 90 days≤ 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 2.960010002000300040005000600070008000900100011001200060Debt securitiesAnnex V.Part 1.31, 44(b)0070Central banksAnnex V.Part 1.42(a)0080General governmentsAnnex V.Part 1.42(b)0090Credit institutionsAnnex V.Part 1.42(c)0100Other financial corporationsAnnex V.Part 1.42(d)0110Non-financial corporationsAnnex V.Part 1.42(e)0120Loans and advancesAnnex V.Part 1.32, 44(a)0130Central banksAnnex V.Part 1.42(a)0140General governmentsAnnex V.Part 1.42(b) 0150Credit institutionsAnnex V.Part 1.42(c)0160Other financial corporationsAnnex V.Part 1.42(d)0170Non-financial corporationsAnnex V.Part 1.42(e)0180HouseholdsAnnex V.Part 1.42(f)0190TOTAL DEBT INSTRUMENTSAnnex V Part 2.94-95Loans and advances by product, by collateral and by subordination0200On demand [call] and short notice [current account]Annex V.Part 2.85(a)0210Credit card debtAnnex V.Part 2.85(b) 0220Trade receivablesAnnex V.Part 2.85(c)0230Finance leasesAnnex V.Part 2.85(d)0240Reverse repurchase loansAnnex V.Part 2.85(e)0250Other term loansAnnex V.Part 2.85(f)0260Advances that are not loansAnnex V.Part 2.85(g)0270of which: Loans collateralized by inmovable propertyAnnex V.Part 2.86(a), 870280of which: other collateralized loansAnnex V.Part 2.86(b), 870290of which: credit for consumptionAnnex V.Part 2.88(a)0300of which: lending for house purchaseAnnex V.Part 2.88(b)0310of 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 References National GAAP compatible IFRSCarrying amountAnnex V.Part 1.27Accumulated 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 2.101001000200030003700400010DerivativesIFRS 9.BA.7(a)0020Short positionsFRS 9.BA.7(b)0030Equity instrumentsIAS 32.110040Debt securitiesAnnex V.Part 1.310050DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360060Central banksAnnex V.Part 1.42(a), 44(c)0070Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.10080Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.20090Deposits redeemable at noticeECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.970100Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.40110General governmentsAnnex V.Part 1.42(b), 44(c)

§ Article 47c

0120Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.10130Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.20140Deposits redeemable at noticeECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.970150Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.40160Credit institutionsAnnex V.Part 1.42(c),44(c)0170Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.10180Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.20190Deposits redeemable at noticeECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.970200Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.40210Other financial corporationsAnnex V.Part 1.42(d),44(c)0220Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.1 0230Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.20240Deposits redeemable at noticeECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.970250Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.40260Non-financial corporationsAnnex V.Part 1.42(e), 44(c)0270Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.10280Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.20290Deposits redeemable at noticeECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.970300Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.40310HouseholdsAnnex V.Part 1.42(f), 44(c)0320Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.10330Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.2 0340Deposits redeemable at noticeECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.970350Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.40360Debt securities issuedAnnex V.Part 1.37, Part 2.980370Certificates of depositsAnnex V.Part 2.98(a)0380Asset-backed securitiesCRR art 4(1)(61)0390Covered bondsCRR art 1290400Hybrid contractsAnnex V.Part 2.98(d)0410Other debt securities issuedAnnex V.Part 2.98(e)0420Convertible compound financial instrumentsIAS 32.AG 310430Non-convertible0440Other financial liabilitiesAnnex V.Part 1.38-410445of which: lease liabilitiesIFRS 16.22, 26-28, 47(b)0450FINANCIAL 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 9.4.2.1001000200010DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360020Debt securities issuedAnnex V.Part 1.370030SUBORDINATED 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 2.106-109Other 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)

§ Article 47c

Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired instruments (Stage 3) Purchased or originated credit-impaired instruments 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)Purchased or originated credit-impaired instrumentsNominal 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 7.35M; Annex V.Part 2.107IFRS 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)IFRS 7.35M;Annex V.Part 2.107IAS 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 2.690010002000300035004000500060006501000110012001300010Loan commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 1160021of which: non-performingAnnex V.Part 2.1170030Central banksAnnex V.Part 1.42(a)0040General governmentsAnnex V.Part 1.42(b)0050Credit institutionsAnnex V.Part 1.42(c)0060Other financial corporationsAnnex V.Part 1.42(d) 0070Non-financial corporationsAnnex V.Part 1.42(e)0080HouseholdsAnnex V.Part 1.42(f)0090Financial guarantees givenIFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 1160101of which: non-performingAnnex V.Part 2.1170110Central banksAnnex V.Part 1.42(a) 0120General governmentsAnnex V.Part 1.42(b)0130Credit institutionsAnnex V.Part 1.42(c)0140Other financial corporationsAnnex V.Part 1.42(d)0150Non-financial corporationsAnnex V.Part 1.42(e)0160HouseholdsAnnex V.Part 1.42(f)0170Other Commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 0181of which: non-performingAnnex V.Part 2.1170190Central banksAnnex V.Part 1.42(a)0200General governmentsAnnex V.Part 1.42(b)0210Credit institutionsAnnex V.Part 1.42(c)0220Other financial corporationsAnnex V.Part 1.42(d)0230Non-financial corporationsAnnex V.Part 1.42(e)0240HouseholdsAnnex 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 2.119001000200010Loan commitments receivedIFRS 9.2.1(g), .BCZ2.2; Annex V.Part 1.44(h), Part 2.102-103, 1130020Central banksAnnex V.Part 1.42(a)0030General governmentsAnnex V.Part 1.42(b)0040Credit institutionsAnnex V.Part 1.42(c)0050Other financial corporationsAnnex V.Part 1.42(d)0060Non-financial corporationsAnnex V.Part 1.42(e)0070HouseholdsAnnex V.Part 1.42(f)0080Financial 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, 1140090Central banksAnnex V.Part 1.42(a)0100General governmentsAnnex V.Part 1.42(b)0110Credit institutionsAnnex V.Part 1.42(c)0120Other financial corporationsAnnex V.Part 1.42(d)

§ Article 47c

0130Non-financial corporationsAnnex V.Part 1.42(e)0140HouseholdsAnnex V.Part 1.42(f)0150Other Commitments receivedAnnex V.Part 1.44(h), Part 2.102-103, 1150160Central banksAnnex V.Part 1.42(a)0170General governmentsAnnex V.Part 1.42(b)0180Credit institutionsAnnex V.Part 1.42(c)0190Other financial corporationsAnnex V.Part 1.42(d)0200Non-financial corporationsAnnex V.Part 1.42(e)0210HouseholdsAnnex 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 2.133-13500100020003000400010Interest rateAnnex V.Part 2.129(a)0020of which: economic hedgesAnnex V.Part 2.137-1390030OTC optionsAnnex V.Part 2.1360040OTC otherAnnex V.Part 2.1360050Organized market optionsAnnex V.Part 2.1360060Organized market otherAnnex V.Part 2.1360070EquityAnnex V.Part 2.129(b)0080of which: economic hedgesAnnex V.Part 2.137-1390090OTC optionsAnnex V.Part 2.1360100OTC otherAnnex V.Part 2.1360110Organized market optionsAnnex V.Part 2.1360120Organized market otherAnnex V.Part 2.1360130Foreign exchange and goldAnnex V.Part 2.129(c)0140of which: economic hedgesAnnex V.Part 2.137-139 0150OTC optionsAnnex V.Part 2.1360160OTC otherAnnex V.Part 2.1360170Organized market optionsAnnex V.Part 2.1360180Organized market otherAnnex V.Part 2.1360190CreditAnnex V.Part 2.129(d)0195of which: economic hedges with use of the fair value optionIFRS 9.6.7.1; Annex V.Part 2.1400201of which: other economic hedgesAnnex V.Part 2.137-1400210Credit default swap0220Credit spread option0230Total return swap0240Other0250CommodityAnnex V.Part 2.129(e)0260of which: economic hedgesAnnex V.Part 2.137-1390270OtherAnnex V.Part 2.129(f) 0280of which: economic hedgesAnnex V.Part 2.137-1390290DERIVATIVESIFRS 9.Appendix A0300of which: OTC - credit institutionsAnnex V.Part 1.42(c), 44(e), Part 2.141(a), 1420310of which: OTC - other financial corporationsAnnex V.Part 1.42(d), 44(e), Part 2.141(b)0320of which: OTC - restAnnex V.Part 1.44(e), Part 2.141(c) 11. 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 2.133-13500100020003000400010Interest rateAnnex V.Part 2.129(a)0020OTC optionsAnnex V.Part 2.1360030OTC otherAnnex V.Part 2.1360040Organized market optionsAnnex V.Part 2.1360050Organized market otherAnnex V.Part 2.1360060EquityAnnex V.Part 2.129(b)0070OTC optionsAnnex V.Part 2.1360080OTC otherAnnex V.Part 2.1360090Organized market optionsAnnex V.Part 2.1360100Organized market otherAnnex V.Part 2.1360110Foreign exchange and goldAnnex V.Part 2.129(c)0120OTC optionsAnnex V.Part 2.1360130OTC otherAnnex V.Part 2.1360140Organized market optionsAnnex V.Part 2.1360150Organized market otherAnnex V.Part 2.136

§ Article 47c

0160CreditAnnex V.Part 2.129(d)0170Credit default swapAnnex V.Part 2.1360180Credit spread optionAnnex V.Part 2.1360190Total return swapAnnex V.Part 2.1360200OtherAnnex V.Part 2.1360210CommodityAnnex V.Part 2.129(e)0220OtherAnnex V.Part 2.129(f)0230FAIR VALUE HEDGESIFRS 7.24A; IAS 39.86(a); IFRS 9.6.5.2(a)0240Interest rateAnnex V.Part 2.129(a)0250OTC optionsAnnex V.Part 2.1360260OTC otherAnnex V.Part 2.1360270Organized market optionsAnnex V.Part 2.1360280Organized market otherAnnex V.Part 2.1360290EquityAnnex V.Part 2.129(b)0300OTC optionsAnnex V.Part 2.1360310OTC otherAnnex V.Part 2.1360320Organized market optionsAnnex V.Part 2.136 0330Organized market otherAnnex V.Part 2.1360340Foreign exchange and goldAnnex V.Part 2.129(c)0350OTC optionsAnnex V.Part 2.1360360OTC otherAnnex V.Part 2.1360370Organized market optionsAnnex V.Part 2.1360380Organized market otherAnnex V.Part 2.1360390CreditAnnex V.Part 2.129(d)0400Credit default swapAnnex V.Part 2.1360410Credit spread optionAnnex V.Part 2.1360420Total return swapAnnex V.Part 2.1360430OtherAnnex V.Part 2.1360440CommodityAnnex V.Part 2.129(e)0450OtherAnnex V.Part 2.129(f)0460CASH FLOW HEDGESIFRS 7.24A; IAS 39.86(b); IFRS 9.6.5.2(b)0470HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATIONIFRS 7.24A; IAS 39.86(c); IFRS 9.6.5.2(c) 0480PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISKIAS 39.71, 81A, 89A, AG 114-1320490PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISKIAS 39.710500DERIVATIVES-HEDGE ACCOUNTINGIFRS 7.24A; IAS 39.9; IFRS 9.6.10510of which: OTC - credit institutionsAnnex V.Part 1.42(c), 44(e), Part 2.141(a), 1420520of which: OTC - other financial corporationsAnnex V.Part 1.42(d), 44(e), Part 2.141(b)0530of 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 2.1450010002000300010Non-derivative financial assetsIFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.20020of which: Financial assets held for tradingIFRS 9.Appendix A0030of which: Non-trading financial assets mandatorily at fair value through profit or lossIFRS 9.4.1.4; IFRS 7.8(a)(ii)0040of which: Financial assets designated at fair value through profit or lossIFRS 9.4.1.5; IFRS 7.8(a)(i)0050Non-derivative financial liabilitiesIFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.20060Financial liabilities held for tradingIFRS 9.Appendix A0070Financial liabilities designated at fair value through profit or lossIFRS 9.4.2.1; IFRS 9.6.2.20080Financial 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 2.15200100020003000400050ASSETS0010Financial assets measured at fair value through other comprehensive incomeIFRS 9.4.1.2A; IFRS 7.8(h); Annex V. Part 2.146, 1510020Interest rateAnnex V.Part 2.129(a)0030EquityAnnex V.Part 2.129(b)0040Foreign exchange and goldAnnex V.Part 2.129(c)0050CreditAnnex V.Part 2.129(d)0060CommodityAnnex V.Part 2.129(e)0070OtherAnnex V.Part 2.129(f)0080Financial assets measured at amortised costIFRS 9.4.1.2A; IFRS 7.8(f); Annex V. Part 2.146, 1510090Interest rateAnnex V.Part 2.129(a)0100EquityAnnex V.Part 2.129(b)

§ Article 47c

0110Foreign exchange and goldAnnex V.Part 2.129(c)0120CreditAnnex V.Part 2.129(d)0130CommodityAnnex V.Part 2.129(e)0140OtherAnnex V.Part 2.129(f)LIABILITIES0150Financial liabilities measured at amortised costsIFRS 9.4.2.1; IFRS 7.8(g); Annex V. Part 2.146, 1510160Interest rateAnnex V.Part 2.129(a)0170EquityAnnex V.Part 2.129(b)0180Foreign exchange and goldAnnex V.Part 2.129(c)0190CreditAnnex V.Part 2.129(d)0200CommodityAnnex V.Part 2.129(e)0210OtherAnnex 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 2.166i0010002000300040005000700080009001000110012001250010Allowances for financial assets without increase in credit risk since initial recognition (Stage 1)IFRS 9.5.5.50015Cash balances at central banks and other demand depositsAnnex V.Part 2.2, 30020Debt securitiesAnnex V.Part 1.31, 44(b)0030Central banksAnnex V.Part 1.42(a)0040General governmentsAnnex V.Part 1.42(b)0050Credit institutionsAnnex V.Part 1.42(c)0060Other financial corporationsAnnex V.Part 1.42(d)0070Non-financial corporationsAnnex V.Part 1.42(e)0080Loans and advancesAnnex V.Part 1.32, 44(a) 0090Central banksAnnex V.Part 1.42(a)0100General governmentsAnnex V.Part 1.42(b)0110Credit institutionsAnnex V.Part 1.42(c)0120Other financial corporationsAnnex V.Part 1.42(d)0130Non-financial corporationsAnnex V.Part 1.42(e)0140HouseholdsAnnex V.Part 1.42(f)0160of which: collectively measured allowancesIFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.1580170of which: individually measured allowancesIFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.1580180Allowances for debt instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)IFRS 9.5.5.30185Cash balances at central banks and other demand depositsAnnex V.Part 2.2, 3 0190Debt securitiesAnnex V.Part 1.31, 44(b)0200Central banksAnnex V.Part 1.42(a)0210General governmentsAnnex V.Part 1.42(b)0220Credit institutionsAnnex V.Part 1.42(c)0230Other financial corporationsAnnex V.Part 1.42(d)0240Non-financial corporationsAnnex V.Part 1.42(e)0250Loans and advancesAnnex V.Part 1.32, 44(a)0260Central banksAnnex V.Part 1.42(a)0270General governmentsAnnex V.Part 1.42(b)

§ Article 47c

0280Credit institutionsAnnex V.Part 1.42(c)0290Other financial corporationsAnnex V.Part 1.42(d)0300Non-financial corporationsAnnex V.Part 1.42(e)0310HouseholdsAnnex V.Part 1.42(f)0330of which: collectively measured allowancesIFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.1580340of which: individually measured allowancesIFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.1580350of which: non-performingAnnex V.Part 2.213-2320360Allowances for credit-impaired debt instruments (Stage 3)IFRS 9.5.5.1, 9. Appendix A0365Cash balances at central banks and other demand depositsAnnex V.Part 2.2, 3 0370Debt securitiesAnnex V.Part 1.31, 44(b)0380Central banksAnnex V.Part 1.42(a)0390General governmentsAnnex V.Part 1.42(b)0400Credit institutionsAnnex V.Part 1.42(c)0410Other financial corporationsAnnex V.Part 1.42(d)0420Non-financial corporationsAnnex V.Part 1.42(e)0430Loans and advancesAnnex V.Part 1.32, 44(a)0440Central banksAnnex V.Part 1.42(a)0450General governmentsAnnex V.Part 1.42(b)0460Credit institutionsAnnex V.Part 1.42(c) 0470Other financial corporationsAnnex V.Part 1.42(d)0480Non-financial corporationsAnnex V.Part 1.42(e)0490HouseholdsAnnex V.Part 1.42(f)0500of which: collectively measured allowancesIFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.1580510of which: individually measured allowancesIFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.1580600Allowances for purchased or originated credit-impaired financial assetsAnnex V.Part 2.1560610Debt securitiesAnnex V.Part 1.31, 44(b)0620Central banksAnnex V.Part 1.42(a)0630General governmentsAnnex V.Part 1.42(b)0640Credit institutionsAnnex V.Part 1.42(c) 0650Other financial corporationsAnnex V.Part 1.42(d)0660Non-financial corporationsAnnex V.Part 1.42(e)0670Loans and advancesAnnex V.Part 1.32, 44(a)0680Central banksAnnex V.Part 1.42(a)0690General governmentsAnnex V.Part 1.42(b)0700Credit institutionsAnnex V.Part 1.42(c)0710Other financial corporationsAnnex V.Part 1.42(d)0720Non-financial corporationsAnnex V.Part 1.42(e)0730HouseholdsAnnex V.Part 1.42(f)0740of which: collectively measured allowancesIFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 0750of which: individually measured allowancesIFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.1580520Total allowance for debt instrumentsIFRS 7.B8E0530Commitments and financial guarantees given (Stage 1)IFRS 9.2.1|(g); 2.3(c); 5.5, B2.5; Annex V.Part 2.1570540Commitments and financial guarantees given (Stage 2)IFRS 9.2.1|(g); 2.3(c); 5.5.3, B2.5; Annex V.Part 2.1570550of which: non-performingAnnex V.Part 2.1170560Commitments and financial guarantees given (Stage 3)IFRS 9.2.1|(g); 2.3(c); 5.5.1, B2.5; Annex V.Part 2.1570565Commitments and financial guarantees given (Purchased or originated credit-impaired)Annex V.Part 2.1560570Total provisions on commitments and financial guarantees givenIFRS 7.B8E; Annex V.Part 2.157 12.2 Transfers between impairment stages (gross basis presentation) ReferencesGross carrying amount / nominal amount Annex V.Part 1.34, Part 2.118, 167, 170Transfers 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 2.168-1690010002000300040005000600010Debt securitiesAnnex V.Part 1.31, 44(b)0020Central banksAnnex V.Part 1.42(a)0030General governmentsAnnex V.Part 1.42(b)0040Credit institutionsAnnex V.Part 1.42(c)0050Other financial corporationsAnnex V.Part 1.42(d)0060Non-financial corporationsAnnex V.Part 1.42(e)0070Loans and advancesAnnex V.Part 1.32, 44(a)0080Central banksAnnex V.Part 1.42(a)0090General governmentsAnnex V.Part 1.42(b)0100Credit institutionsAnnex V.Part 1.42(c)

§ Article 47c

0110Other financial corporationsAnnex V.Part 1.42(d)0120Non-financial corporationsAnnex V.Part 1.42(e)0130HouseholdsAnnex V.Part 1.42(f)0140Total debt instruments0150Commitments and financial guarantees givenIFRS 9.2.1|(g); 2.3(c); 5.5.1, 5.5.3, 5.5.5 13. Collateral and guarantees received 13.1 Breakdown of collateral and guarantees by loans and advances other than held for trading Guarantees and collateralReferences Maximum amount of the collateral or guarantee that can be considered Annex V.Part 2.171-172, 174 Loans collateralized by immovable propertyOther collateralised loansFinancial guarantees receivedResidential immovable propertyCommercial immovable propertyCash, deposits, [debt securities issued]Movable propertyEquity and debt securitiesRestof which: credit derivativesIFRS 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)Annex V.Part 2.114(b)001000200030003100320041005000550010Loans and advancesAnnex V.Part 1.32, 44(a)0015of which: non-performingCRR Art. 47a (3); Annex V. Part 2. 213-239, 2600020of which: Other financial corporationsAnnex V.Part 1.42(d)0030of which: Non-financial corporationsAnnex V.Part 1.42(e)0035of which: Small and Medium-sized Enterprises (SMEs)SME Art 1 2(a)0036of which: Commercial real estate (CRE) loans to small and medium-sized enterprisesSME Art 1 2(a); Annex V.Part 2.239ix 0037of which: Commercial real estate (CRE) loans to non-financial corporations other than SMEsAnnex V.Part 2.239ix0040of which: HouseholdsAnnex V.Part 1.42(f)0050of which: Lending for house purchaseAnnex V.Part 2.88(b)0060of 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

§ Article 47c
  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 13.8600100020003000400050006000700080ASSETS0010Financial assets held for tradingIFRS 7.8(a)(ii);IFRS 9.Appendix A0020DerivativesIFRS 9.Appendix A0030Equity instrumentsIAS 32.11,0040Debt securitiesAnnex V.Part 1.310050Loans and advancesAnnex V.Part 1.320056Non-trading financial assets mandatorily at fair value through profit or lossIFRS 9.4.1.4; IFRS 7.8(a)(ii)0057Equity instrumentsIAS 32.110058Debt securitiesAnnex V.Part 1.310059Loans and advancesAnnex V.Part 1.320060Financial assets designated at fair value through profit or lossIFRS 7.8(a)(i); IFRS 9.4.1.50080Debt securitiesAnnex V.Part 1.31 0090Loans and advancesAnnex V.Part 1.320101Financial assets at fair value through other comprehensive incomeIFRS 7.8 (h); IFRS 9.4.1.2A0102Equity instrumentsIAS 32.110103Debt securitiesAnnex V.Part 1.310104Loans and advancesAnnex V.Part 1.320140Derivatives – Hedge accountingIFRS 9.6.2.1; Annex V.Part 1.22LIABILITIES0150Financial liabilities held for tradingIFRS 7.8 (e) (ii); IFRS 9.BA.60160DerivativesIFRS 9.BA.7(a)0170Short positionsIFRS 9.BA.7(b)0180DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360190Debt securities issuedAnnex V.Part 1.37 0200Other financial liabilitiesAnnex V.Part 1.38-410210Financial liabilities designated at fair value through profit or lossIFRS 7.8 (e) (i); IFRS 9.4.1.50220DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360230Debt securities issuedAnnex V.Part 1.370240Other financial liabilitiesAnnex V.Part 1.38-410250Derivatives – 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 assetsAssociated liabilities ITS V.Part 2.181Principal 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 2.182001000200030004000500060007000800090010001100010Financial assets held for tradingIFRS 7.8(a)(ii);IFRS 9.Appendix A0020Equity instrumentsIAS 32.110030Debt securitiesAnnex V.Part 1.310040Loans and advancesAnnex V.Part 1.320045Non-trading financial assets mandatorily at fair value through profit or lossIFRS 9.4.1.40046Equity instrumentsIAS 32.110047Debt securitiesAnnex V.Part 1.310048Loans and advancesAnnex V.Part 1.320050Financial assets designated at fair value through profit or lossIFRS 7.8(a)(i); IFRS 9.4.1.50070Debt securitiesAnnex V.Part 1.31
§ Article 47c

0080Loans and advancesAnnex V.Part 1.320091Financial assets at fair value through other comprehensive incomeIFRS 7.8(h); IFRS 9.4.1.2A0092Equity instrumentsIAS 32.110093Debt securitiesAnnex V.Part 1.310094Loans and advancesAnnex V.Part 1.320131Financial assets at amortised costIFRS 7.8 (f); IFRS 9.4.1.20132Debt securitiesAnnex V.Part 1.310133Loans and advancesAnnex V.Part 1.320190Total 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, 190001000200010Derivatives -TradingIFRS 9.Appendix A, .BA.1, .BA.6; Annex V.Part 2.1930015of which: interest income from derivatives in economic hedgesAnnex V.Part 2.1930020Debt securitiesAnnex V.Part 1.31, 44(b)0030Central banksAnnex V.Part 1.42(a)0040General governmentsAnnex V.Part 1.42(b)0050Credit institutionsAnnex V.Part 1.42(c)0060Other financial corporationsAnnex V.Part 1.42(d)0070Non-financial corporationsAnnex V.Part 1.42(e)0080Loans and advancesAnnex V.Part 1.32, 44(a)0090Central banksAnnex V.Part 1.42(a)0100General governmentsAnnex V.Part 1.42(b)0110Credit institutionsAnnex V.Part 1.42(c)0120Other financial corporationsAnnex V.Part 1.42(d)0130Non-financial corporationsAnnex V.Part 1.42(e)0140HouseholdsAnnex V.Part 1.42(f)0141of which: lending for house purchaseAnnex V.Part 2.88(b), 194i0142of which: credit for consumptionAnnex V.Part 2.88(a), 194i0150Other assetsAnnex V.Part 2.50160DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360170Central banksAnnex V.Part 1.42(a)0180General governmentsAnnex V.Part 1.42(b) 0190Credit institutionsAnnex V.Part 1.42(c)0200Other financial corporationsAnnex V.Part 1.42(d)0210Non-financial corporationsAnnex V.Part 1.42(e)0220HouseholdsAnnex V.Part 1.42(f)0230Debt securities issuedAnnex V.Part 1.370240Other financial liabilitiesAnnex V.Part 1.32-34, Part 2.1910250Derivatives - Hedge accounting, interest rate riskAnnex V.Part 2.1920260Other LiabilitiesAnnex V.Part 1.38-410270INTERESTIAS 1.970280of which: interest-income on credit impaired financial assetsIFRS 9.5.4.1; .B5.4.7; Annex V.Part 2.1940290of 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 2.195-19600100020Debt securitiesAnnex V.Part 1.310030Loans and advancesAnnex V.Part 1.320040DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360050Debt securities issuedAnnex V.Part 1.370060Other financial liabilitiesAnnex V.Part 1.38-410070GAINS 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 2.197-19800100010DerivativesIFRS 9.Appendix A, .BA.1, .BA.7(a)0015of which: Economic hedges with use of the fair value optionIFRS 9.6.7.1; IFRS 7.9(d); Annex V.Part 2.1990020Equity instrumentsIAS 32.110030Debt securitiesAnnex V.Part 1.310040Loans and advancesAnnex V.Part 1.320050Short positionsIFRS 9.BA.7(b)0060DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360070Debt securities issuedAnnex V.Part 1.370080Other financial liabilitiesAnnex V.Part 1.38-410090GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NETIFRS 9.Appendix A, .BA.6;IFRS 7.20(a)(i)0095of which: gains and losses due to the reclassification of assets at amortised costIFRS 9.5.6.2; annex V.Part 2.199

§ Article 47c

16.4 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk ReferencesCurrent period00100010Interest rate instruments and related derivativesAnnex V.Part 2.200(a)0020Equity instruments and related derivativesAnnex V.Part 2.200(b)0030Foreign exchange trading and derivatives related with foreign exchange and goldAnnex V.Part 2.200(c)0040Credit risk instruments and related derivativesAnnex V.Part 2.200(d)0050Derivatives related with commoditiesAnnex V.Part 2.200(e)0060OtherAnnex V.Part 2.200(f)0070GAINS 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 2.20100100020Equity instrumentsIAS 32.110030Debt securitiesAnnex V.Part 1.310040Loans and advancesAnnex V.Part 1.320090GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT AND LOSS, NETIFRS 7.20(a)(i)0100of 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 2.203001000200020Debt securitiesAnnex V.Part 1.310030Loans and advancesAnnex V.Part 1.320040DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360050Debt securities issuedAnnex V.Part 1.370060Other financial liabilitiesAnnex V.Part 1.38-410070GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NETIFRS 7.20(a)(i)0071of 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 2.2040072of 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 2.20500100010Fair value changes of the hedging instrument [including discontinuation]IFRS 7.24A(c);IFRS 7.24C(b)(vi)0020Fair 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 2.2060030Ineffectiveness in profit or loss from cash flow hedgesIFRS 7.24C(b)ii; IFRS 7.24C(b)(vi)0040Ineffectiveness in profit or loss from hedges of net investments in foreign operationsIFRS 7.24C(b)(ii); IFRS 7.24C(b)(vi)0050GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET 16.7 Impairment on non-financial assets ReferencesCurrent periodAdditionsReversalsAccumulated impairmentAnnex V.Part 2.208Annex V.Part 2.2080010002000400060Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associatesIAS 28.40-430070SubsidiariesIFRS 10 Appendix A0080Joint venturesIAS 28.30090AssociatesIAS 28.30100Impairment or (-) reversal of impairment on non-financial assetsIAS 36.126(a),(b)0110Property, plant and equipmentIAS 16.73(e)(v-vi)0120Investment propertiesIAS 40.79(d)(v)

§ Article 47c

0130GoodwillIAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v)0140Other intangible assetsIAS 38.118(e)(iv)(v)0145OtherIAS 36.126(a),(b)0150TOTAL 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 2.20900100010Cash, cash balances at central banks and other demand depositsIAS 1.54 (i)0020Cash on handAnnex V.Part 2.10030Cash balances at central banksAnnex V.Part 2.20040Other demand depositsAnnex V.Part 2.30050Financial assets held for tradingIFRS 7.8(a)(ii);IFRS 9.Appendix A0060DerivativesIFRS 9.Appendix A0070Equity instrumentsIAS 32.110080Debt securitiesAnnex V.Part 1.310090Loans and advancesAnnex V.Part 1.320096Non-trading financial assets mandatorily at fair value through profit or lossIFRS 9.4.1.40097Equity instrumentsIAS 32.110098Debt securitiesAnnex V.Part 1.310099Loans and advancesAnnex V.Part 1.320100Financial assets designated at fair value through profit or lossIFRS 7.8(a)(i); IFRS 9.4.1.50120Debt securitiesAnnex V.Part 1.310130Loans and advancesAnnex V.Part 1.320141Financial assets at fair value through other comprehensive incomeIFRS 7.8(h); IFRS 9.4.1.2A0142Equity instrumentsIAS 32.11 0143Debt securitiesAnnex V.Part 1.310144Loans and advancesAnnex V.Part 1.320181Financial assets at amortised costIFRS 7.8(f); IFRS 9.4.1.20182Debt securitiesAnnex V.Part 1.310183Loans and advancesAnnex V.Part 1.320240Derivatives – Hedge accountingIFRS 9.6.2.1; Annex V.Part 1.220250Fair value changes of the hedged items in portfolio hedge of interest rate riskIAS 39.89A(a); IFRS 9.6.5.80260Investments in subsidaries, joint ventures and associatesIAS 1.54(e); Annex V.Part 1.21, Part 2.4, 2100270Assets under reinsurance and insurance contractsIFRS 4.IG20.(b)-(c); Annex V.Part 2.2110280Tangible assets0290Intangible assetsIAS 1.54(c); CRR art 4(1)(115)0300GoodwillIFRS 3.B67(d); CRR art 4(1)(113)0310Other intangible assetsIAS 38.8,1180320Tax assetsIAS 1.54(n-o)0330Current tax assetsIAS 1.54(n); IAS 12.50340Deferred tax assetsIAS 1.54(o); IAS 12.5; CRR art 4(1)(106)0350Other assetsAnnex V.Part 2.50360Non-current assets and disposal groups classified as held for saleIAS 1.54(j); IFRS 5.38, Annex V.Part 2.60370TOTAL ASSETSIAS 1.9(a), IG 6

§ Article 47c

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, 20900100010Loan commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 1160020Financial guarantees givenIFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 1160030Other Commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 1160040OFF-BALANCE SHEET EXPOSURES 17.3 Liabilities and equity ReferencesAccounting scope of consolidation [Carrying amount]Annex V.Part 1.27, Part 2.20900100010Financial liabilities held for tradingIFRS 7.8 (e) (ii); IFRS 9.BA.60020DerivativesIFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)0030Short positionsIFRS 9.BA7(b)0040DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360050Debt securities issuedAnnex V.Part 1.370060Other financial liabilitiesAnnex V.Part 1.38-410070Financial liabilities designated at fair value through profit or lossIFRS 7.8 (e)(i); IFRS 9.4.2.20080DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360090Debt securities issuedAnnex V.Part 1.370100Other financial liabilitiesAnnex V.Part 1.38-41 0110Financial liabilities measured at amortised costIFRS 7.8(g); IFRS 9.4.2.10120DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360130Debt securities issuedAnnex V.Part 1.370140Other financial liabilitiesAnnex V.Part 1.38-410150Derivatives – Hedge accountingIFRS 9.6.2.1; Annex V.Part 1.260160Fair value changes of the hedged items in portfolio hedge of interest rate riskIAS 39.89A(b), IFRS 9.6.5.80170Liabilities under insurance and reinsurance contractsIFRS 4.IG20(a); Annex V.Part 2.2120180ProvisionsIAS 37.10; IAS 1.54(l)0190Tax liabilitiesIAS 1.54(n-o)0200Current tax liabilitiesIAS 1.54(n); IAS 12.50210Deferred tax liabilitiesIAS 1.54(o); IAS 12.5; CRR art 4(1)(108)0220Share capital repayable on demandIAS 32 IE 33; IFRIC 2; Annex V.Part 2.120230Other liabilitiesAnnex V.Part 2.130240Liabilities included in disposal groups classified as held for saleIAS 1.54 (p); IFRS 5.38, Annex V.Part 2.140250LIABILITIESIAS 1.9(b);IG 60260CapitalIAS 1.54(r), BAD art 220270Share premiumIAS 1.78(e); CRR art 4(1)(124)0280Equity instruments issued other than capitalAnnex V.Part 2.18-190290Other equityIFRS 2.10; Annex V.Part 2.200300Accumulated other comprehensive incomeCRR art 4(1)(100) 0310Retained earningsCRR art 4(1)(123)0320Revaluation reservesIFRS 1.33, D5-D80330Other reservesIAS 1.54; IAS 1.78 (e)0340 (-) Treasury shares IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.280350Profit or loss attributable to owners of the parentIFRS 10.B940360 (-) Interim dividends IAS 32.350370Minority interests [Non-controlling interests]IAS 1.54(q); IFRS 10.22, .B940380TOTAL EQUITYIAS 1.9(c), IG 60390TOTAL EQUITY AND TOTAL LIABILITIESIAS 1.IG6 18. Information on performing and non-performing exposures (continued) 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 provisionsMaximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119PerformingNon-performingPerforming exposures -Accumulated impairment and provisionsNon-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 daysPast due > 30 days <= 90 daysOf 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)Of which: purchased or originated credit-impaired financial assetsUnlikely to pay that are not past-due or past-due < = 90 daysPast due > 90 days <= 180 daysPast due > 180 days <= 1 yearPast due > 1 year <= 2 yearsPast due > 2 year <= 5 yearsPast due > 5 year <= 7 yearsPast due > 7 yearsOf 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: purchased or originated credit-impaired financial assetsof which: Past due > 30 days <= 90 daysof 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)of which: purchased or originated credit-impaired financial assetsUnlikely to pay that are not past-due or past-due < = 90 daysPast due > 90 days <= 180 daysPast due > 180 days <= 1 yearPast due > 1 year <= 2 yearPast due > 2 year <= 5 yearPast due > 5 year <= 7 yearsPast due > 7 yearsOf which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)Of which: Credit-impaired instruments (Stage 3)of which: purchased or originated credit-impaired financial assetsCollateral received on performing exposuesCollateral received on non-performing exposuesFinancialguarantees received on performing exposuresFinancialguarantees received on non-performing exposures0010002000300055005600570058006000700080009001010102010601070109011001210900013001400910014101420143015001600170018001910192019601970950095109520201020002050210Annex 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)IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e)CRR Art. 47a (3); 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)IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e)Annex V. Part 2. 238Annex V. Part 2. 238Annex V. Part 2. 222, 235, 237(f)IFRS 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)IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e)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)IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e)Annex V. Part 2. 239Annex V. Part 2. 239Annex V. Part 2. 239Annex V. Part 2. 2390005Cash balances at central banks and other demand depositsAnnex V.Part 2.2, 30010Debt securitiesAnnex V.Part 1.31, 44(b)0020Central banksAnnex V.Part 1.42(a)0030General governmentsAnnex V.Part 1.42(b)0040Credit institutionsAnnex V.Part 1.42(c)0050Other financial corporationsAnnex V.Part 1.42(d)0060Non-financial corporationsAnnex V.Part 1.42(e)0070Loans and advancesAnnex V.Part 1.32, 44(a)

§ Article 47c

0080Central banksAnnex V.Part 1.42(a)0090General governmentsAnnex V.Part 1.42(b)0100Credit institutionsAnnex V.Part 1.42(c)0110Other financial corporationsAnnex V.Part 1.42(d)0120Non-financial corporationsAnnex V.Part 1.42(e)0130Of which: Small and Medium-sized EnterprisesSME Art 1 2(a) 0140Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)0150HouseholdsAnnex V.Part 1.42(f)0160Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)0170Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)0180DEBT INSTRUMENTS AT COST OR AT AMORTISED COSTAnnex V.Part 2.233(a)0181Debt securitiesAnnex V.Part 1.31, 44(b) 0182Central banksAnnex V.Part 1.42(a)0183General governmentsAnnex V.Part 1.42(b)0184Credit institutionsAnnex V.Part 1.42(c)0185Other financial corporationsAnnex V.Part 1.42(d)0186Non-financial corporationsAnnex V.Part 1.42(e)0191Loans and advancesAnnex V.Part 1.32, 44(a)0192Central banksAnnex V.Part 1.42(a)0193General governmentsAnnex V.Part 1.42(b) 0194Credit institutionsAnnex V.Part 1.42(c)0195Other financial corporationsAnnex V.Part 1.42(d)0196Non-financial corporationsAnnex V.Part 1.42(e)0900Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)0903Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)0197HouseholdsAnnex V.Part 1.42(f)0910Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a) 0913Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)0201DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENTAnnex V.Part 2.233(b)0211Debt securitiesAnnex V.Part 1.31, 44(b)0212Central banksAnnex V.Part 1.42(a)0213General governmentsAnnex V.Part 1.42(b)0214Credit institutionsAnnex V.Part 1.42(c) 0215Other financial corporationsAnnex V.Part 1.42(d)0216Non-financial corporationsAnnex V.Part 1.42(e)0221Loans and advancesAnnex V.Part 1.32, 44(a)0222Central banksAnnex V.Part 1.42(a)0223General governmentsAnnex V.Part 1.42(b)0224Credit institutionsAnnex V.Part 1.42(c)0225Other financial corporationsAnnex V.Part 1.42(d) 0226Non-financial corporationsAnnex V.Part 1.42(e)0920Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)0923Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)0227HouseholdsAnnex V.Part 1.42(f)0930Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)0933Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b) 0231DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENTAnnex V.Part 2.233(c), 2340330DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADINGAnnex V.Part 2.2170335DEBT INSTRUMENTS HELD FOR SALEAnnex V.Part 2.2200340Loan commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 0350Central banksAnnex V.Part 1.42(a)0360General governmentsAnnex V.Part 1.42(b)0370Credit institutionsAnnex V.Part 1.42(c)0380Other financial corporationsAnnex V.Part 1.42(d)0390Non-financial corporationsAnnex V.Part 1.42(e)0400HouseholdsAnnex V.Part 1.42(f)0410Financial guarantees givenIFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116

§ Article 47c

0420Central banksAnnex V.Part 1.42(a)0430General governmentsAnnex V.Part 1.42(b)0440Credit institutionsAnnex V.Part 1.42(c)0450Other financial corporationsAnnex V.Part 1.42(d)0460Non-financial corporationsAnnex V.Part 1.42(e)0470HouseholdsAnnex V.Part 1.42(f)0480Other Commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 0490Central banksAnnex V.Part 1.42(a)0500General governmentsAnnex V.Part 1.42(b)0510Credit institutionsAnnex V.Part 1.42(c)0520Other financial corporationsAnnex V.Part 1.42(d)0530Non-financial corporationsAnnex V.Part 1.42(e)0540HouseholdsAnnex V.Part 1.42(f)0550OFF-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 daysPast due > 30 days <= 90 daysof which: performing exposures with forbearance measuresUnlikely to pay that are not past-due or past-due < = 90 daysPast due > 90 days <= 180 daysPast due > 180 days <= 1 yearPast due > 1 year <= 2 yearsPast due > 2 year <= 5 yearsPast due > 5 year <= 7 yearsPast 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 daysPast due > 90 days <= 180 daysPast due > 180 days <= 1 yearPast due > 1 year < = 2 yearPast 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 exposuresFinancialguarantees received on performing exposuresFinancialguarantees 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-financial corporationsCommercial 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), 239viii

§ Article 47c

0060Of 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 19. 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 provisionsMaximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119Performing 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 conditionsRefinancingof which:Defaultedof which: Impairedof which: Forbearance of exposures non-performing prior to forbearanceInstruments with modifications in their terms and conditionsRefinancingCollateral received on exposures with forbearance measuresFinancialguarantees received on exposures with forbearance measuresOf which: Collateral received on non-performing exposures with forbearance measuresOf which: Financialguarantees received on non-performing exposures with forbearance measures00100020003000400050006000700080009001000110012001300140015001600170017501800185CRR Art. 47b (1), (2); Annex V. Part 1.34, Part 2. 118, 240-245, 251-258Annex V. Part 2. 256, 259-261CRR Art. 47b (1); Annex V. Part 2.240, 266CRR Art. 47b (1); Annex V. Part 2. 240, 244, 265-266CRR Art. 47a (7); Annex V. Part 2. 256, 261Annex V. Part 2. 259-263CRR Art. 47b (1); Annex V. Part 2.240, 266CRR Art. 47b (1); Annex V. Part 2. 240, 244, 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)CRR Art. 47b (2), lett. c; Annex V. Part 2. 231, 263Annex V. Part 2. 267Annex V. Part 2. 207Annex V. Part 2. 207CRR Art. 47b (1); Annex V. Part 2. 240, 267CRR Art. 47b (1); Annex V. Part 2. 240, 244, 267Annex V. Part 2. 268Annex V. Part 2. 268Annex V. Part 2. 268Annex V. Part 2. 2680005Cash balances at central banks and other demand depositsAnnex V.Part 2.2, 30010Debt securitiesAnnex V.Part 1.31, 44(b)0020Central banksAnnex V.Part 1.42(a)0030General governmentsAnnex V.Part 1.42(b)0040Credit institutionsAnnex V.Part 1.42(c)0050Other financial corporationsAnnex V.Part 1.42(d)

§ Article 47c

0060Non-financial corporationsAnnex V.Part 1.42(e)0070Loans and advancesAnnex V.Part 1.32, 44(a)0080Central banksAnnex V.Part 1.42(a)0090General governmentsAnnex V.Part 1.42(b)0100Credit institutionsAnnex V.Part 1.42(c)0110Other financial corporationsAnnex V.Part 1.42(d)0120Non-financial corporationsAnnex V.Part 1.42(e)0130Of which: Small and Medium-sized EnterprisesSME Art 1 2(a) 0140Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)0150HouseholdsAnnex V.Part 1.42(f)0160Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)0170Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)0180DEBT INSTRUMENTS AT COST OR AT AMORTISED COSTAnnex V.Part 2.249(a)0181Debt securitiesAnnex V.Part 1.31, 44(b) 0182Central banksAnnex V.Part 1.42(a)0183General governmentsAnnex V.Part 1.42(b)0184Credit institutionsAnnex V.Part 1.42(c)0185Other financial corporationsAnnex V.Part 1.42(d)0186Non-financial corporationsAnnex V.Part 1.42(e)0191Loans and advancesAnnex V.Part 1.32, 44(a) 0192Central banksAnnex V.Part 1.42(a)0193General governmentsAnnex V.Part 1.42(b)0194Credit institutionsAnnex V.Part 1.42(c)0195Other financial corporationsAnnex V.Part 1.42(d)0196Non-financial corporationsAnnex V.Part 1.42(e)0900Of which: Small and Medium-sized EnterprisesSME Art 1 2(a) 0903Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)0197HouseholdsAnnex V.Part 1.42(f)0910Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)0913Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)0201DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENTAnnex V.Part 2.249(b) 0211Debt securitiesAnnex V.Part 1.31, 44(b)0212Central banksAnnex V.Part 1.42(a)0213General governmentsAnnex V.Part 1.42(b)0214Credit institutionsAnnex V.Part 1.42(c)0215Other financial corporationsAnnex V.Part 1.42(d)0216Non-financial corporationsAnnex V.Part 1.42(e)0221Loans and advancesAnnex V.Part 1.32, 44(a)0222Central banksAnnex V.Part 1.42(a)0223General governmentsAnnex V.Part 1.42(b)0224Credit institutionsAnnex V.Part 1.42(c) 0225Other financial corporationsAnnex V.Part 1.42(d)0226Non-financial corporationsAnnex V.Part 1.42(e)0920Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)0923Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)0227HouseholdsAnnex V.Part 1.42(f)0930Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)0933Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b) 0231DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENTAnnex V.Part 2.2490330DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADINGAnnex V.Part 2.2460335DEBT INSTRUMENTS HELD FOR SALEAnnex V.Part 2.2470340Loan commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 246

§ Article 47c
  1. Geographical breakdown 20.1 Geographical breakdown of assets by location of the activities ReferencesCarrying amount Annex V.Part 1.27Domestic activitiviesNon-domestic activitiesAnnex V. Part 2.270Annex V. Part 2.270001000200010Cash, cash balances at central banks and other demand depositsIAS 1.54 (i)0020Cash on handAnnex V.Part 2.10030Cash balances at central banksAnnex V.Part 2.20040Other demand depositsAnnex V.Part 2.30050Financial assets held for tradingIFRS 9. Appendix A0060DerivativesIFRS 9. Appendix A0070Equity instrumentsIAS 32.110080Debt securitiesAnnex V.Part 1.310090Loans and advancesAnnex V.Part 1.320096Non-trading financial assets mandatorily at fair value through profit or lossIFRS 7.8(a)(ii); IFRS 9.4.1.40097Equity instrumentsIAS 32.110098Debt securitiesAnnex V.Part 1.310099Loans and advancesAnnex V.Part 1.320100Financial assets designated at fair value through profit or lossIFRS 7.8(a)(i); IFRS 9.4.1.50120Debt securitiesAnnex V.Part 1.310130Loans and advancesAnnex V.Part 1.320141Financial assets at fair value through other comprehensive incomeIFRS 7.8(h); IFRS 9.4.1.2A0142Equity instrumentsIAS 32.110143Debt securitiesAnnex V.Part 1.31 0144Loans and advancesAnnex V.Part 1.320181Financial assets at amortised costIFRS 7.8(f); IFRS 9.4.1.20182Debt securitiesAnnex V.Part 1.310183Loans and advancesAnnex V.Part 1.320240Derivatives – Hedge accountingIFRS 9.6.2.1; Annex V.Part 1.220250Fair value changes of the hedged items in portfolio hedge of interest rate riskIAS 39.89A(a); IFRS 9.6.5.80260Tangible assets0270Intangible assetsIAS 1.54(c); CRR art 4(1)(115)0280Investments in subsidaries, joint ventures and associatesIAS 1.54(e); Annex V.Part 1.21, Part 2.40290Tax assetsIAS 1.54(n-o)0300Other assetsAnnex V.Part 2.50310Non-current assets and disposal groups classified as held for saleIAS 1.54(j); IFRS 5.38, Annex V.Part 2.70320ASSETSIAS 1.9(a), IG 6 20.2 Geographical breakdown of liabilities by location of the activities ReferencesCarrying amount Annex V.Part 1.27Domestic activitiviesNon-domestic activitiesAnnex V. Part 2.270Annex V. Part 2.270001000200010Financial liabilities held for tradingIFRS 7.8 (e) (ii); IFRS 9.BA.60020DerivativesIFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)0030Short positionsIFRS 9.BA7(b)0040DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360050Debt securities issuedAnnex V.Part 1.370060Other financial liabilitiesAnnex V.Part 1.38-410070Financial liabilities designated at fair value through profit or lossIFRS 7.8 (e)(i); IFRS 9.4.2.20080DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360090Debt securities issuedAnnex V.Part 1.370100Other financial liabilitiesAnnex V.Part 1.38-410110Financial liabilities measured at amortised costIFRS 7.8(g); IFRS 9.4.2.10120DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360130Debt securities issuedAnnex V.Part 1.370140Other financial liabilitiesAnnex V.Part 1.38-410150Derivatives – Hedge accountingIFRS 9.6.2.1; Annex V.Part 1.260160Fair value changes of the hedged items in portfolio hedge of interest rate riskIAS 39.89A(b), IFRS 9.6.5.80170ProvisionsIAS 37.10; IAS 1.54(l)
§ Article 47c

0180Tax liabilitiesIAS 1.54(n-o)0190Share capital repayable on demandIAS 32 IE 33; IFRIC 2; Annex V.Part 2.120200Other liabilitiesAnnex V.Part 2.130210Liabilities included in disposal groups classified as held for saleIAS 1.54 (p); IFRS 5.38, Annex V.Part 2.140220LIABILITIESIAS 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 2.270001000200010Interest incomeIAS 1.97; Annex V.Part 2.310020(Interest expenses)IAS 1.97; Annex V.Part 2.310030(Expenses on share capital repayable on demand)IFRIC 2.110040Dividend incomeAnnex V.Part 2.400050Fee and commission incomeIFRS 7.20(c)0060(Fee and commission expenses)IFRS 7.20(c)0070Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, netAnnex V.Part 2.450080Gains 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 0083Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or lossIFRS 9.5.7.10090Gains 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 2.440100Gains or (-) losses from hedge accounting, netAnnex V.Part 2.47-480110Exchange differences [gain or (-) loss], netIAS 21.28, 52 (a)0120Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, netAnnex V Part 2.560130Gains or (-) losses on derecognition of non financial assets, netIAS 1.340140Other operating incomeAnnex V.Part 2.314-3160150(Other operating expenses)Annex V.Part 2.314-3160155TOTAL OPERATING INCOME, NET0160(Administrative expenses)0165(Cash contributions to resolution funds and deposit guarantee schemes)Annex V.Part 2.48i0170(Depreciation)IAS 1.102, 1040171Modification gains or (-) losses, netIFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.490180(Provisions or (-) reversal of provisions)IAS 37.59, 84; IAS 1.98(b)(f)(g)0190(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, 530200(Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates)IAS 28.40-43 0210(Impairment or (-) reversal of impairment on non-financial assets)IAS 36.126(a)(b)0220Negative goodwill recognised in profit or lossIFRS 3.Appendix B64(n)(i)0230Share of the profit or (-) loss of investments in subsidaries, joint ventures and associatesAnnex V.Part 2.540240Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operationsIFRS 5.37; Annex V.Part 2.550250PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONSIAS 1.102, IG 6; IFRS 5.33 A0260(Tax expense or (-) income related to profit or loss from continuing operations)IAS 1.82(d); IAS 12.770270PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONSIAS 1, IG 60280Profit or (-) loss after tax from discontinued operationsIAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.560290PROFIT OR (-) LOSS FOR THE YEARIAS 1.81A(a)

§ Article 47c

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 impairment, including cash balances at central banks and other demand depositsOf 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 2.274001000110012002200250026003100400010DerivativesIFRS 9 Appendix A, Annex V.Part 2.2720020Of which: credit institutionsAnnex V.Part 1.42(c)0030Of which: other financial corporationsAnnex V.Part 1.42(d)0040Equity instrumentsIAS 32.110050Of which: credit institutionsAnnex V.Part 1.42(c)0060Of which: other financial corporationsAnnex V.Part 1.42(d) 0070Of which: non-financial corporationsAnnex V.Part 1.42(e)0075Cash balances at central banks and other demand depositsAnnex V.Part 2.2, 30080Debt securitiesAnnex V.Part 1.31, 44(b)0090Central banksAnnex V.Part 1.42(a)0100General governmentsAnnex V.Part 1.42(b)0110Credit institutionsAnnex V.Part 1.42(c)0120Other financial corporationsAnnex V.Part 1.42(d) 0130Non-financial corporationsAnnex V.Part 1.42(e)0140Loans and advancesAnnex V.Part 1.32, 44(a)0150Central banksAnnex V.Part 1.42(a)0160General governmentsAnnex V.Part 1.42(b)0170Credit institutionsAnnex V.Part 1.42(c)0180Other financial corporationsAnnex V.Part 1.42(d)0190Non-financial corporationsAnnex V.Part 1.42(e)0200Of which: Small and Medium-sized EnterprisesSME Art 1 2(a) 0210Of which: Loans collateralized by commercial immovable propertyAnnex V.Part 2.86(a), 870220HouseholdsAnnex V.Part 1.42(f)0230Of which: Loans collateralized by residential immovable propertyAnnex V.Part 2.86(a), 870240Of 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 2.276001000220025002600300010Loan commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 1160020Financial guarantees givenIFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 1160030Other 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, 2.27100100010DerivativesIFRS 9 Appendix A, Annex V.Part 1.44(e), Part 2.2720020Of which: credit institutionsAnnex V.Part 1.42(c)0030Of which: other financial corporationsAnnex V.Part 1.42(d)0040Short positionsIFRS 9.BA7(b); Annex V.Part 1.44(d)0050Of which: credit institutionsAnnex V.Part 1.42(c)0060Of which: other financial corporationsAnnex V.Part 1.42(d)

§ Article 47c

0070DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360080Central banksAnnex V.Part 1.42(a)0090General governmentsAnnex V.Part 1.42(b)0100Credit institutionsAnnex V.Part 1.42(c)0110Other financial corporationsAnnex V.Part 1.42(d)0120Non-financial corporationsAnnex V.Part 1.42(e)0130HouseholdsAnnex 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 ReferencesNon-financial corporations Annex V. Part 2.271, 277Gross 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 2.274001000110012002100220010A Agriculture, forestry and fishingNACE Regulation0020B Mining and quarryingNACE Regulation0030C ManufacturingNACE Regulation0040D Electricity, gas, steam and air conditioning supplyNACE Regulation0050E Water supplyNACE Regulation0060F ConstructionNACE Regulation 0070G Wholesale and retail tradeNACE Regulation0080H Transport ans storageNACE Regulation0090I Accommodation and food service activitiesNACE Regulation0100J Information and communicationNACE Regulation0105K Financial and insurance activitiesNACE Regulation0110L Real estate activitiesNACE Regulation0120M Professional, scientific and technical activitiesNACE Regulation0130N Administrative and support service activitiesNACE Regulation0140O Public administration and defence, compulsory social securityNACE Regulation0150P EducationNACE Regulation0160Q Human health services and social work activitiesNACE Regulation0170R Arts, entertainment and recreationNACE Regulation 0180S Other servicesNACE Regulation0190LOANS AND ADVANCESAnnex V.Part 1.32 21. Tangible and intangible assets: assets subject to operating lease ReferencesCarrying amountAnnex V.Part 2.278-27900100010Property plant and equipmentIAS 16.6; IAS 1.54(a)0020Revaluation modelIAS 17.49; IAS 16.31, 73(a)(d)0030Cost modelIAS 17.49; IAS 16.30, 73(a)(d)0040Investment propertyIAS 40.IN5; IAS 1.54(b)0050Fair value modelIAS 17.49; IAS 40.33-55, 760060Cost modelIAS 17.49; IAS 40.56,79(c)0070Other intangible assetsIAS 38.8, 1180080Revaluation modelIAS 17.49; IAS 38.75-87, 124(a)(ii)0090Cost 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 )00100010Fee and commission incomeAnnex V.Part 2.281-2840020Securities0030IssuancesAnnex V.Part 2.284(a)0040Transfer ordersAnnex V.Part 2.284(b)0050Other fee and commission income in relation to securitiesAnnex V.Part 2.284(c)0051Corporate Finance0052M&A advisoryAnnex V.Part 2.284 (e)0053Treasury servicesAnnex V.Part 2.284(f)0054Other fee and commission income in relation to corporate finance activitiesAnnex V.Part 2.284(g)0055Fee based adviceAnnex V.Part 2.284(h)0060Clearing and settlementAnnex V.Part 2.284(i)0070Asset managementAnnex V.Part 2.284(j); 285(a)0080Custody [by type of customer]Annex V.Part 2.284(j); 285(b)0090Collective investment0100Other fee and commission income in relation to custody services0110Central administrative services for collective investmentAnnex V.Part 2.284(j); 285(c)0120Fiduciary transactionsAnnex V.Part 2.284(j); 285(d)0131Payment servicesAnnex V.Part 2.284(k), 285(e)0132Current accountsAnnex V.Part 2.284(k), 285(e)0133Credit cardsAnnex V.Part 2.284(k), 285(e)0134Debit cards and other card paymentsAnnex V.Part 2.284(k), 285(e)

§ Article 47c

0135Transfers and other payment ordersAnnex V.Part 2.284(k), 285(e)0136Other fee and commission income in relation to payment servicesAnnex V.Part 2.284(k), 285(e)0140Customer resources distributed but not managed [by type of product]Annex V.Part 2.284 (l); 285(f)0150Collective investment0160Insurance products0170Other fee and commission income in relation to customer resources distributed but not managed0180Structured FinanceAnnex V.Part 2.284(n)0190Loan servicing activitiesAnnex V.Part 2.284(o)0200Loan commitments givenIFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(p)0210Financial guarantees givenIFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(p)0211Loans grantedAnnex V.Part 2.284(r)0213Foreign exchangeAnnex V.Part 2.284(s)0214CommoditiesAnnex V.Part 2.284(t)0220Other fee and commission incomeAnnex V.Part 2.284(u)0230(Fee and commission expenses)Annex V.Part 2.281-2840235(Securities)Annex V.Part 2.284(d)0240(Clearing and settlement)Annex V.Part 2.284(i)0245(Asset management)Annex V.Part 2.284(j); 285(a)0250(Custody)Annex V.Part 2.284(j); 285 (b)0255(Payment services)Annex V.Part 2.284(k), 285(e)0256(of which: Credit, Debit and other Cards)0260(Loan servicing activities)Annex V.Part 2.284(o) 0270(Loan commitments received)Annex V.Part 2.284(q)0280(Financial guarantees received)Annex V.Part 2.284(q)0281(Externally provided distribution of products)Annex V.Part 2.284(m)0282(Foreign exchange)Annex V.Part 2.284(s)0290(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)00100010Asset management [by type of customer]Annex V.Part 2.285(a)0020Collective investment0030Pension funds0040Customer portfolios managed on a discretionary basis0050Other investment vehicles0060Custody assets [by type of customer]Annex V.Part 2.285(b)0070Collective investment0080Other0090Of which: entrusted to other entities0100Central administrative services for collective investmentAnnex V.Part 2.285(c)0110Fiduciary transactionsAnnex V.Part 2.285(d)0120Payment servicesAnnex V.Part 2.285(e)0130Customer resources distributed but not managed [by type of product]Annex V.Part 2.285(f)0140Collective investment0150Insurance products0160Other 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 yearsReferencesAnnex 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 2.239ix

§ Article 47c

0080Loans 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), 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 2.239ix 0150Loans 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 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 yearsReferencesAnnex 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 0080Loans 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 2.239ix

§ Article 47c

0150Loans 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 2.239ix 0290Unsecured 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 2.239ix0330of 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, 324 0360of 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 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 yearsReferencesAnnex 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)

§ Article 47c

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, 325 0110Of 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, 325 0160Of 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 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 yearsReferencesAnnex V.Part 1.32Annex V. Part 2. 256, 259-263Annex V. Part 2. 213-216, 226-239Annex V. Part 2. 222, 235, 237(f)Annex 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

§ Article 47c

0080Loans 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 2.239ix0150Unsecured 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 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 yearsReferencesAnnex 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, 326 0090of 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, 326

§ Article 47c

0160of 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 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 yearsReferencesAnnex 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 ReferencesGross 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 SMEsof which: Commercial Real Estate (CRE) loansAnnex 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)

§ Article 47c

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 2.333 0180of 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, 3320230Net cumulated recoveries from sale of instrumentsAnnex V.Part 2.333 0240of 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, 332 0300Outflow 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 SMEsof which: Commercial Real Estate (CRE) loansAnnex 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

§ Article 47c

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 SMEsOf which:Commercial Real Estate (CRE) loans to SMEsAnnex 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)Time passed since recognition in balance sheetOf 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, 349 0070Cash 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)Time passed since recognition in balance sheetOf 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)

§ Article 47c

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)

§ Article 47c
  1. 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 2.28700100020003000400050006000800010Total 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)0010002000300010Selected financial assets recognised in the reporting institution's balance sheetIFRS 12.29(a),(b)0021of which: non-performingAnnex V.Part 2.213-2390030DerivativesIFRS 9 Appendix A; Annex V.Part 2.272 0040Equity instrumentsIAS 32.110050Debt securitiesAnnex V.Part 1.310060Loans and advancesAnnex V.Part 1.320070Selected equity and financial liabilites recognised in the reporting institution's balance sheetIFRS 12.29(a),(b)0080Equity instruments issuedIAS 32.110090DerivativesIFRS 9 Appendix A; Annex V.Part 2.2720100DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360110Debt securities issuedAnnex V.Part 1.37Nominal amount0120Off-balance sheet exposures given by the reporting institutionIFRS 12.B26.(e); CRR Annex I; Annex V.Part 2.102-105, 113-115, 1180131of which: non-performingAnnex V.Part 2.117
  2. 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)001000200030004000500010Selected financial assetsIAS 24.18(b)0020Equity instrumentsIAS 32.110030Debt securitiesAnnex V.Part 1.310040Loans and advancesAnnex V.Part 1.320050of which: non-performingAnnex V. Part 2.213-2390060Selected financial liabilitiesIAS 24.18(b)0070DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360080Debt securities issuedAnnex V.Part 1.370090Nominal amount of loan commitments, financial guarantees and other commitments givenIAS 24.18(b); CRR Annex I; Annex V.Part 2.102-105, 113-115, 118 0100of which: non-performingIAS 24.18(b); Annex V. Part 2.1170110Loan commitments, financial guarantees and other commitments receivedIAS 24.18(b); Annex V.Part 2.2900120Notional amount of derivativesAnnex V.Part 2.133-1350131Accumulated 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, 2910132Provisions on non-performing off-balance sheet exposuresAnnex V.Part 2.11, 106, 291
§ Article 47c

31.2 Related parties: expenses and income generated by transactions with References Annex V.Part 2.288-289, 292-293Current 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)001000200030004000500010Interest incomeIAS 24.18(a); Annex V.Part 2.310020Interest expensesIAS 24.18(a); IAS 1.97; Annex V.Part 2.310030Dividend incomeIAS 24.18(a); Annex V.Part 2.400040Fee and commission incomeIAS 24.18(a); IFRS 7.20(c)0050Fee and commission expensesIAS 24.18(a); IFRS 7.20(c)0060Gains or (-) losses on de-recognition of financial assets and liabilities not measured at fair value through profit or lossIAS 24.18(a) 0070Gains or (-) losses on de-recognition of other than financial assetsIAS 24.18(a); Annex V.Part 2.2920080Impairment or (-) reversal of impairment on non-performing exposuresIAS 24.18(d); Annex V.Part 2.2930090Provisions or (-) reversal of provisions on non-performing exposuresAnnex V. Part 2.50, 293 40. Group structure 40.1 Group structure: entity-by-entity CodeType of codeNational 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)Annex V.Part 2.294-295, 296(c)IFRS 12.12(a), 21(a)(i); Annex V.Part 2.294-295, 296(d)Annex V.Part 2.294-295, 296(e)Annex V.Part 2.294-295, 296(f)IFRS 12.B12(b); Annex V.Part 2.294-295, 296(g)IFRS 12.B12(b); Annex V.Part 2.294-295, 296(g)IFRS 12.B12(b); Annex V.Part 2.294-295, 296(g)IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.294-295, 296(h)Annex V.Part 2.294-295, 296(i)Annex V.Part 2.294-295, 296(j)IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(k)IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(l)IFRS 12.10(a)(i); Annex V.Part 2.294-295, 296(m)IFRS 12.21(b); Annex V.Part 2.294-295, 296(n)CRR art 18; Annex V.Part 2.294-295, 296(o)Annex V.Part 2.294-295, 296(p)Annex V.Part 2.294-295, 296(q)Annex V.Part 2.294-295, 296(r)IFRS 12.21(b)(iii); Annex V.Part 2.294-295, 296(s)001100150025003000400050006000700080009000950100011001200130014001500160017001800190 40.2 Group structure: instrument-by-instrument Security codeInvesteeHolding companyAccumulated equity interest (%)Carrying amountAcquisition costCodeType of codeCodeType of codeNational codeHolding company nameAnnex V.Part 2.297(a)Annex V.Part 2.296(a), 297(e)Annex V.Part 2.296(b), 297(e)Annex V.Part 2.297(b)Annex V.Part 2.297(c)Annex V.Part 2.297(d)Annex V.Part 2.296(j), 297(e)Annex V.Part 2.296(o), 297(e)Annex V.Part 2.296(p), 297(e)0010002100250031003500450050006000700080

§ Article 47c
  1. Fair value 41.1 Fair value hierarchy: financial instruments at amortised cost References Annex V.Part 2.298Fair value IFRS 7.25-26Fair value hierarchy IFRS 13.97, 93(b)Level 1 IFRS 13.76Level 2 IFRS 13.81Level 3 IFRS 13.860010002000300040ASSETS0015Financial assets at amortised costIFRS 7.8(f); IFRS 9.4.1.20016Debt securitiesAnnex V.Part 1.310017Loans and advancesAnnex V.Part 1.32LIABILITIES0070Financial liabilities measured at amortised costIFRS 7.8(g); IFRS 9.4.2.10080DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360090Debt securities issuedAnnex V.Part 1.370100Other financial liabilitiesAnnex V.Part 1.38-41 41.2 Use of the Fair Value Option ReferencesCarrying amount Annex V.Part 1.27Accounting 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 2.3010010002000300040ASSETS0010Financial assets designated at fair value through profit or lossIFRS 7.8(a)(i); IFRS 9.4.1.50030Debt securitiesAnnex V.Part 1.310040Loans and advancesAnnex V.Part 1.32ASSETS0050Financial liabilities designated at fair value through profit or lossIFRS 7.8 (e)(i); IFRS 9.4.2.20060DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360070Debt securities issuedAnnex V.Part 1.370080Other financial liabilitiesAnnex V.Part 1.38-41
  2. Tangible and intangible assets: carrying amount by measurement method References Annex V.Part 2.302Carrying amountof which: right-of-use assetsIFRS 16.47(a), 53(j), Annex V.Part 2.303i001000200010Property plant and equipmentIAS 16.6; IAS 16.29; IAS 1.54(a)0015Of which: Software assetsIAS 38.4; Annex V.Part 2.3030020Revaluation modelIAS 16.31, 73(a),(d)0030Cost modelIAS 16.30, 73(a),(d)0040Investment propertyIAS 40.5, 30; IAS 1.54(b)0050Fair value modelIAS 40.33-55, 760060Cost modelIAS 40.56, 79(c)0070Other intangible assetsIAS 38.8, 118, 122 ; Annex V.Part 2.3030075Of which: Software assetsIAS 38.9; Annex V.Part 2.3030080Revaluation modelIAS 38.75-87, 124(a)(ii)0090Cost modelIAS 38.74
  3. Provisions References National GAAP compatible IFRSCarrying amount Annex V.Part 1.27Pensions 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 37.70-83, 84 (a)IAS 37.14, 84(a)IAS 37; IFRS 4; Annex V. Part 2.304-305IAS 37.140010002000300040005500600010Opening balance [carrying amount at the beginning of the period]IAS 37.84 (a)0020Additions, including increases in existing provisionsIAS 37.84 (b)0030(-) Amounts usedIAS 37.84 (c)0040(-) Unused amounts reversed during the periodIAS 37.84 (d)0050Increase in the discounted amount [passage of time] and effect of any change in the discount rateIAS 37.84 (e)0060Other movements0070Closing balance [carrying amount at the end of the period]IAS 37.84 (a)
§ Article 47c
  1. Defined benefit plans and employee benefits 44.1 Components of net defined benefit plan assets and liabilities ReferencesAmountAnnex V.Part 2.306-30700100010Fair value of defined benefit plan assetsIAS 19.140(a)(i), 1420020Of which: Financial instruments issued by the institutionIAS 19.1430030Equity instrumentsIAS 19.142(b)0040Debt instrumentsIAS 19.142(c)0050Real estateIAS 19.142(d)0060Other defined benefit plan assets0070Present value of defined benefit obligationsIAS 19.140(a)(ii)0080Effect of the asset ceilingIAS 19.140(a)(iii)0090Net defined benefit assets [Carrying amount]IAS 19.63; Annex V.Part 2.3080100Provisions for pensions and other post-employment defined benefit obligations [Carrying amount]IAS 19.63, IAS 1.78(d); Annex V.Part 2.90110Fair 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, 30900100010Opening balance [present value]IAS 19.140(a)(ii)0020Current service costIAS 19.141(a)0030Interest costIAS 19.141(b)0040Contributions paidIAS 19.141(f)0050Actuarial (-) gains or losses from changes in demographic assumptionsIAS 19.141(c)(ii)0060Actuarial (-) gains or losses from changes in financial assumptionsIAS 19.141(c)(iii) 0070Foreign currency exchange increase or (-) decreaseIAS 19.141(e)0080Benefits paidIAS 19.141(g)0090Past service cost, including gains and losses arising from settlementsIAS 19.141(d)0100Increase or (-) decrease through business combinations and disposalsIAS 19.141(h)0110Other increases or (-) decreases0120Closing balance [present value]IAS 19.140(a)(ii); Annex V.Part 2.310 44.3 Staff expenses by type of benefits ReferencesCurrent period00100010Pension and similar expensesAnnex V.Part 2.311(a)0020Share based paymentsIFRS 2.44; Annex V.Part 2.311(b)0030Wages and salariesAnnex V.Part 2.311(c)0040Social security contributionsAnnex V.Part 2.311(d)0050Severance paymentsIAS 19.8, Annex V.Part 2.311(e)0060Other types of staff expensesAnnex V.Part 2.311(f)0070STAFF 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 2.312001000200010Financial assets designated at fair value through profit or lossIFRS 7.20(a)(i); IFRS 9.4.1.50020Financial liabilities designated at fair value through profit or lossIFRS 7.20(a)(i); IFRS 9.4.2.20030GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSSIFRS 7.20(a)(i)
§ Article 47c

45.2 Gains or losses on derecognition of non-financial assets ReferencesCurrent periodAnnex V.Part 2.31300100010Property, Plant and EquipmentIAS 16.68, 710020Investment propertyIAS 40.69; IAS 1.34(a), 98(d)0030Intangible assetsIAS 38.113-115A; IAS 1.34(a)0040Other assetsIAS 1.34 (a)0050GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETSIAS 1.34 45.3 Other operating income and expenses ReferencesIncomeExpenses001000200010Changes in fair value in tangible assets measured using the fair value modelIAS 40.76(d); Annex V.Part 2.3140020Investment propertyIAS 40.75(f); Annex V.Part 2.3140030Operating Leases other than investment propertyIFRS 16.81,82; Annex V.Part 2.3150040OtherAnnex V.Part 2.3160050OTHER OPERATING INCOME OR EXPENSESAnnex V.Part 2.314-316 46. 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), IG6001000200030004000500060007000800090010001100120013001400010Opening balance [before restatement]0020Effects of corrections of errorsIAS 1.106.(b); IAS 8.420030Effects of changes in accounting policiesIAS 1.106.(b); IAS 1.IG6; IAS 8.220040Opening balance [current period]0050Issuance of ordinary sharesIAS 1.106.(d).(iii)0060Issuance of preference sharesIAS 1.106.(d).(iii)0070Issuance of other equity instrumentsIAS 1.106.(d).(iii)0080Exercise or expiration of other equity instruments issuedIAS 1.106.(d).(iii)0090Conversion of debt to equityIAS 1.106.(d).(iii)0100Capital reductionIAS 1.106.(d).(iii)0110DividendsIAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6 0120Purchase of treasury sharesIAS 1.106.(d).(iii); IAS 32.330130Sale or cancellation of treasury sharesIAS 1.106.(d).(iii); IAS 32.330140Reclassification of financial instruments from equity to liabilityIAS 1.106.(d).(iii)0150Reclassification of financial instruments from liability to equityIAS 1.106.(d).(iii)0160Transfers among components of equityIAS 1.106.(d).(iii); Annex V.Part 2.3180170Equity increase or (-) decrease resulting from business combinationsIAS 1.106.(d).(iii)0180Share based paymentsIAS 1.106.(d).(iii); IFRS 2.100190Other increase or (-) decrease in equityIAS 1.106.(d)0200Total comprehensive income for the yearIAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG60210Closing balance [current period] 47. 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)

§ Article 47c

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 05.01Loans and advances other than held for trading, trading or held for sale assets by product6.1F 06.01Breakdown of loans and advances other than held for trading, trading or held for sale assets 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 GAAP Breakdown 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 commitments9.1F 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 instrument

§ Article 47c

16.5F 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 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 risk 23.5F 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 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 staff

§ Article 47c

Breakdown 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 References National GAAP based on BADReferences National GAAP compatible IFRSBreakdown in tableCarrying amountAnnex V.Part 1.27-2800100010Cash, cash balances at central banks and other demand depositsBAD art 4.Assets(1)IAS 1.54 (i)0020Cash on handAnnex V.Part 2.1Annex V.Part 2.10030Cash balances at central banksBAD art 13(2); Annex V.Part 2.2Annex V.Part 2.20040Other demand depositsAnnex V.Part 2.3Annex V.Part 2.350050Financial assets held for tradingAccounting Directive art 8(1)(a), (5); IAS 39.9IFRS 9.Appendix A0060DerivativesCRR Annex IIIFRS 9.Appendix A100070Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.1140080Debt securitiesAnnex V.Part 1.24, 26Annex V.Part 1.3140090Loans and advancesAnnex V.Part 1.24, 27Annex V.Part 1.3240091Trading financial assetsBAD Article 32-33; Annex V.Part 1.170092DerivativesCRR Annex II; Annex V.Part 1.17, 27100093Equity instrumentsECB/2013/33 Annex 2.Part 2.4-54 0094Debt securitiesAnnex V.Part 1.3140095Loans and advancesAnnex V.Part 1.3240096Non-trading financial assets mandatorily at fair value through profit or lossIFRS 7.8(a)(ii); IFRS 9.4.1.440097Equity instrumentsIAS 32.1140098Debt securitiesAnnex V.Part 1.3140099Loans and advancesAnnex V.Part 1.3240100Financial assets designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6)IFRS 7.8(a)(i); IFRS 9.4.1.540110Equity instrumentsIAS 32.11;ECB/2013/33 Annex 2.Part 2.4-540120Debt securitiesAnnex V.Part 1.31Annex V.Part 1.3140130Loans and advancesAnnex V.Part 1.32Annex V.Part 1.3240141Financial assets at fair value through other comprehensive incomeIFRS 7.8(h); IFRS 9.4.1.2A40142Equity instrumentsIAS 32.1140143Debt securitiesAnnex V.Part 1.3140144Loans and advancesAnnex V.Part 1.3240171Non-trading non-derivative financial assets measured at fair value through profit or lossBAD art 36(2)40172Equity instrumentsECB/2013/33 Annex 2.Part 2.4-540173Debt securitiesAnnex V.Part 1.3140174Loans and advancesAccounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.3240175Non-trading non-derivative financial assets measured at fair value to equityAccounting Directive art 8(1)(a), (8)40176Equity instrumentsECB/2013/33 Annex 2.Part 2.4-54 0177Debt securitiesAnnex V.Part 1.3140178Loans and advancesAccounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.3240181Financial assets at amortised costIFRS 7.8(f); IFRS 9.4.1.240182Debt securitiesAnnex V.Part 1.3140183Loans and advancesAnnex V.Part 1.3240231Non-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, 1940390Equity instrumentsECB/2013/33 Annex 2.Part 2.4-540232Debt securitiesAnnex V.Part 1.3140233Loans and advancesAnnex V.Part 1.3240234Other non-trading non-derivative financial assetsBAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.2040235Equity instrumentsECB/2013/33 Annex 2.Part 2.4-540236Debt securitiesAnnex V.Part 1.3140237Loans and advancesAnnex V.Part 1.3240240Derivatives – Hedge accountingAccounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22IFRS 9.6.2.1; Annex V.Part 1.22110250Fair 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 9.6.5.80260Investments 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 2.440
§ Article 47c

0270Tangible assetsBAD art 4.Assets(10)0280Property, Plant and EquipmentIAS 16.6; IAS 1.54(a); IFRS 16.47(a)21, 420290Investment propertyIAS 40.5; IAS 1.54(b); IFRS 16.4821, 420300Intangible assetsBAD art 4.Assets(9); CRR art 4(1)(115)IAS 1.54(c); CRR art 4(1)(115)0310GoodwillBAD art 4.Assets(9); CRR art 4(1)(113)IFRS 3.B67(d); CRR art 4(1)(113)0320Other intangible assetsBAD art 4.Assets(9)IAS 38.8,118; IFRS 16.47 (a)21, 420330Tax assetsIAS 1.54(n-o)0340Current tax assetsIAS 1.54(n); IAS 12.50350Deferred tax assetsAccounting Directive art 17(1)(f); CRR art 4(1)(106)IAS 1.54(o); IAS 12.5; CRR art 4(1)(106)0360Other assetsAnnex V.Part 2.5, 6Annex V.Part 2.50370Non-current assets and disposal groups classified as held for saleIAS 1.54(j); IFRS 5.38, Annex V.Part 2.70375 (-) Haircuts for trading assets at fair value Annex V Part 1.290380TOTAL 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 1.27-2800100010Financial liabilities held for tradingIFRS 7.8 (e) (ii); IFRS 9.BA.680020DerivativesIFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)10 0030Short positionsIFRS 9.BA7(b)80040DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.3680050Debt securities issuedAnnex V.Part 1.3780060Other financial liabilitiesAnnex V.Part 1.38-4180061Trading financial liabilitiesAccounting Directive art 8(1)(a),(3),(6)80062DerivativesCRR Annex II; Annex V.Part 1.25100063Short positions80064DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.3680065Debt securities issuedAnnex V.Part 1.3780066Other financial liabilitiesAnnex V.Part 1.38-4180070Financial liabilities designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6); IAS 39.9IFRS 7.8 (e)(i); IFRS 9.4.2.280080DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.3680090Debt securities issuedAnnex V.Part 1.37Annex V.Part 1.3780100Other financial liabilitiesAnnex V.Part 1.38-41Annex V.Part 1.38-4180110Financial liabilities measured at amortised costAccounting Directive art 8(3), (6); IAS 39.47IFRS 7.8(g); IFRS 9.4.2.180120DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.3680130Debt securities issuedAnnex V.Part 1.31Annex V.Part 1.3780140Other financial liabilitiesAnnex V.Part 1.32-34Annex V.Part 1.38-418 0141Non-trading non-derivative financial liabilities measured at a cost-based methodAccounting Directive art 8(3)80142DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.3680143Debt securities issuedAnnex V.Part 1.3780144Other financial liabilitiesAnnex V.Part 1.38-4180150Derivatives – Hedge accountingAccounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.26IFRS 9.6.2.1; Annex V.Part 1.26110160Fair 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 9.6.5.80170ProvisionsBAD art 4.Liabilities(6)IAS 37.10; IAS 1.54(l)430175Funds for general banking risks [if presented within liabilities]BAD art 38.1; CRR art 4(112); Annex V.Part 2.150180Pensions and other post employment defined benefit obligationsAnnex V.Part 2.9IAS 19.63; IAS 1.78(d); Annex V.Part 2.9430190Other long term employee benefitsAnnex V.Part 2.10IAS 19.153; IAS 1.78(d); Annex V.Part 2.10430200RestructuringIAS 37.71430210Pending legal issues and tax litigationIAS 37.14, Appendix C. Examples 6 and 10430220Commitments 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 2.119 12 43

§ Article 47c

0230Other provisionsBAD Article 4 Liabilities (6)(c ), Off balance sheet itemsIAS 37.14430240Tax liabilitiesIAS 1.54(n-o)0250Current tax liabilitiesIAS 1.54(n); IAS 12.50260Deferred tax liabilitiesAccounting Directive art 17(1)(f); CRR art 4(1)(108)IAS 1.54(o); IAS 12.5; CRR art 4(1)(108)0270Share capital repayable on demandIAS 32 IE 33; IFRIC 2; Annex V.Part 2.120280Other liabilitiesAnnex V.Part 2.13Annex V.Part 2.130290Liabilities included in disposal groups classified as held for saleIAS 1.54 (p); IFRS 5.38, Annex V.Part 2.140295Haircuts for trading liabilities at fair valueAnnex V Part 1.290300TOTAL LIABILITIESIAS 1.9(b);IG 6 1.3 Equity References National GAAP based on BADReferences National GAAP compatible IFRSBreakdown in tableCarrying amount00100010CapitalBAD art 4.Liabilities(9), BAD art 22IAS 1.54(r), BAD art 22460020Paid up capitalBAD art 4.Liabilities(9)IAS 1.78(e)0030Unpaid capital which has been called upBAD art 4.Liabilities(9); Annex V.Part 2.17Annex V.Part 2.140040Share premiumBAD art 4.Liabilities(10); CRR art 4(1)(124)IAS 1.78(e); CRR art 4(1)(124)460050Equity instruments issued other than capitalAnnex V.Part 2.18-19Annex V.Part 2.18-1946 0060Equity component of compound financial instrumentsAccounting Directive art 8(6); Annex V.Part 2.18IAS 32.28-29; Annex V.Part 2.180070Other equity instruments issuedAnnex V.Part 2.19Annex V.Part 2.190080Other equityAnnex V.Part 2.20IFRS 2.10; Annex V.Part 2.200090Accumulated other comprehensive incomeCRR art 4(1)(100)CRR art 4(1)(100)460095Items that will not be reclassified to profit or lossIAS 1.82A(a)0100Tangible assetsIAS 16.39-410110Intangible assetsIAS 38.85-870120Actuarial gains or (-) losses on defined benefit pension plansIAS 1.7, IG6; IAS 19.120(c)0122Non-current assets and disposal groups classified as held for saleIFRS 5.38, IG Example 120124Share of other recognised income and expense of investments in subsidaries, joint ventures and associatesIAS 1.IG6; IAS 28.100320Fair 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 2.210330Hedge 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 2.220340Fair 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 2.220350Fair 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 2.570360Fair 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 2.230128Items that may be reclassified to profit or lossIAS 1.82A(a) (ii) 0130Hedge 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 2.240140Foreign currency translationBAD art 39(6)IAS 21.52(b); IAS 21.32, 38-490150Hedging 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 2.250155Fair 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 2.260165Hedging 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 2.600170Non-current assets and disposal groups classified as held for saleIFRS 5.38, IG Example 120180Share of other recognised income and expense of investments in subsidaries, joint ventures and associatesIAS 1.IG6; IAS 28.100190Retained earningsBAD art 4.Liabilities(13); CRR art 4(1)(123)CRR art 4(1)(123)0200Revaluation reservesBAD art 4.Liabilities(12)IFRS 1.30, D5-D8; Annex V.Part 2.280201Tangible assetsAccounting Directive art 7(1)0202Equity instrumentsAccounting Directive art 7(1)0203Debt securitiesAccounting Directive art 7(1)0204OtherAccounting Directive art 7(1)0205Fair value reservesAccounting Directive art 8(1)(a)

§ Article 47c

0206Hedge of net investments in foreign operationsAccounting Directive art 8(1)(a), (8)(b)0207Hedging derivatives.Cash flow hedgesAccounting Directive art 8(1)(a), (8)(a); CRR article 30(a)0208Hedging derivatives. Other hedgesAccounting Directive art 8(1)(a), (8)(a)0209Non-trading non-derivative financial assets measured at fair value to equityAccounting Directive art 8(1)(a), 8(2)0210Other reservesBAD art 4 Liabilities(11)-(13)IAS 1.54; IAS 1.78(e)0215Funds for general banking risks [if presented within equity]BAD art 38.1; CRR art 4(112); Annex V.Part 2.150220Reserves 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 2.290230OtherAnnex V.Part 2.29Annex V.Part 2.290235First consolidation differencesAccounting Directive art 24(3)(c)0240 (-) Treasury shares Accounting 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 2.30460250Profit or loss attributable to owners of the parentBAD art 4.Liabilities(14)IAS 1.81B (b)(ii)20260 (-) Interim dividends CRR Article 26(2b)IAS 32.350270Minority interests [Non-controlling interests]Accounting Directive art 24(4)IAS 1.54(q)0280Accumulated Other Comprehensive IncomeCRR art 4(1)(100)CRR art 4(1)(100)460290Other items460300TOTAL EQUITYIAS 1.9(c), IG 6460310TOTAL 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 period00100010Interest incomeBAD art 27.Vertical layout(1); Annex V.Part 2.31IAS 1.97; Annex V.Part 2.31160020Financial assets held for tradingIFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 340025Non-trading financial assets mandatorily at fair value through profit or lossIFRS 7.20(a)(i), B5(e), IFRS 9.5.7.10030Financial assets designated at fair value through profit or lossIFRS 7.20(a)(i), B5(e)0041Financial assets at fair value through other comprehensive incomeIFRS 7.20(b); IFRS 9.5.7.10-11; IFRS 9.4.1.2A0051Financial assets at amortised costIFRS 7.20(b);IFRS 9.4.1.2; IFRS 9.5.7.20070Derivatives - Hedge accounting, interest rate riskIFRS 9.Appendix A; .B6.6.16; Annex V.Part 2.350080Other assetsAnnex V.Part 2.360085Interest income on liabilitiesAnnex V.Part 2.37IFRS 9.5.7.1, Annex V.Part 2.370090(Interest expenses)BAD art 27.Vertical layout(2); Annex V.Part 2.31IAS 1.97; Annex V.Part 2.31160100(Financial liabilities held for trading)IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 340110(Financial liabilities designated at fair value through profit or loss)IFRS 7.20(a)(i), B5(e)0120(Financial liabilities measured at amortised cost)IFRS 7.20(b); IFRS 9.5.7.20130(Derivatives - Hedge accounting, interest rate risk)IAS 39.9; Annex V.Part 2.350140(Other liabilities)Annex V.Part 2.38 0145(Interest expense on assets)Annex V.Part 2.39IFRS 9.5.7.1, Annex V.Part 2.390150(Expenses on share capital repayable on demand)IFRIC 2.110160Dividend incomeBAD art 27.Vertical layout(3); Annex V.Part 2.40Annex V.Part 2.40310170Financial assets held for tradingIFRS 7.20(a)(i), B5(e); Annex V.Part 2.400175Non-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 2.400191Financial 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 2.410192Investments in subsidiaries, joint ventures and associates accounted for using other than equity methodAnnex V Part 2 .42Annex V Part 2 .420200Fee and commission incomeBAD art 27.Vertical layout(4)IFRS 7.20(c)220210(Fee and commission expenses)BAD art 27.Vertical layout(5)IFRS 7.20(c)220220Gains 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 2.45160231Financial assets at fair value through other comprehensive incomeIFRS 9.4.12A; IFRS 9.5.7.10-110241Financial assets at amortised costIFRS 7.20(a)(v);IFRS 9.4.1.2; IFRS 9.5.7.20260Financial liabilities measured at amortised costIFRS 7.20(a)(v); IFRS 9.5.7.20270Other0280Gains 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, 4616

§ Article 47c

0285Gains or (-) losses on trading financial assets and liabilities, netBAD art 27.Vertical layout(6)160287Gains 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 2.460290Gains 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, 450295Gains or (-) losses on non-trading financial assets and liabilities, netBAD art 27.Vertical layout(6)160300Gains or (-) losses from hedge accounting, netAccounting Directive art 8(1)(a), (6), (8)Annex V.Part 2.47160310Exchange differences [gain or (-) loss], netBAD art 39IAS 21.28, 52 (a)0320Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, netBAD art 27.Vertical layout(13)-(14); Annex V Part 2.56Annex V.Part 2.560330Gains or (-) losses on derecognition of non-financial assets, netAnnex V. Part 2.48IAS 1.34; Annex V. Part 2.48450340Other operating incomeBAD art 27.Vertical layout(7); Annex V.Part 2.314-316Annex V.Part 2.314-316450350(Other operating expenses)BAD art 27.Vertical layout(10); Annex V.Part 2.314-316Annex V.Part 2.314-316450355TOTAL OPERATING INCOME, NET0360(Administrative expenses)BAD art 27.Vertical layout(8)0370(Staff expenses)BAD art 27.Vertical layout(8)(a)IAS 19.7; IAS 1.102, IG 6440380(Other administrative expenses)BAD art 27.Vertical layout(8)(b);160385(Cash contributions to resolution funds and deposit guarantee schemes)Annex V.Part 2.48iAnnex V.Part 2.48i0390(Depreciation)IAS 1.102, 104 0400(Property, Plant and Equipment)BAD art 27.Vertical layout(9)IAS 1.104; IAS 16.73(e)(vii)0410(Investment Properties)BAD art 27.Vertical layout(9)IAS 1.104; IAS 40.79(d)(iv)0415(Goodwill)BAD art 27.Vertical layout(9)0420(Other intangible assets)BAD art 27.Vertical layout(9)IAS 1.104; IAS 38.118(e)(vi)0425Modification gains or (-) losses, netIFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.490426Financial assets at fair value through other comprehensive incomeIFRS 7.35J0427Financial assets at amortised costIFRS 7.35J0430(Provisions or (-) reversal of provisions)IAS 37.59, 84; IAS 1.98(b)(f)(g) 9 12 43 0435(payment commitments to resolution funds and deposit guarantee schemes)Annex V.Part 2.48iAnnex V.Part 2.48i0440(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 2.500450(Other provisions)0455(Increases or (-) decreases of the fund for general banking risks, net)BAD art 38.20460(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, 53120481(Financial assets at fair value through other comprehensive income)IFRS 9.5.4.4, 9.5.5.1, 9.5.5.2, 9.5.5.8120491(Financial assets at amortised cost)IFRS 9.5.4.4, 9.5.5.1, 9.5.5.8120510(Impairment or (-) reversal of impairment of investments in subsidiaries, joint ventures and associates)BAD art 27.Vertical layout(13)-(14)IAS 28.40-43160520(Impairment or (-) reversal of impairment on non-financial assets)IAS 36.126(a)(b)16

§ Article 47c

0530(Property, plant and equipment)BAD art 27.Vertical layout(9)IAS 16.73(e)(v-vi)0540(Investment properties)BAD art 27.Vertical layout(9)IAS 40.79(d)(v)0550(Goodwill)BAD art 27.Vertical layout(9)IFRS 3.Appendix B67(d)(v); IAS 36.1240560(Other intangible assets)BAD art 27.Vertical layout(9)IAS 38.118 (e)(iv)(v)0570(Other)IAS 36.126 (a)(b)0580Negative goodwill recognised in profit or lossAccounting Directive art 24(3)(f)IFRS 3.Appendix B64(n)(i)0590Share 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 2.540600Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operationsIFRS 5.37; Annex V.Part 2.550610PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONSIAS 1.102, IG 6; IFRS 5.33 A0620(Tax expense or (-) income related to profit or loss from continuing operations)BAD art 27.Vertical layout(15)IAS 1.82(d); IAS 12.770630PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONSBAD art 27.Vertical layout(16)IAS 1, IG 60632Extraordinary profit or (-) loss after taxBAD art 27.Vertical layout(21)0633Extraordinary profit or loss before taxBAD art 27.Vertical layout(19)0634(Tax expense or (-) income related to extraordinary profit or loss)BAD art 27.Vertical layout(20)0640Profit or (-) loss after tax from discontinued operationsIAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.560650Profit or (-) loss before tax from discontinued operationsIFRS 5.33(b)(i) 0660(Tax expense or (-) income related to discontinued operations)IFRS 5.33 (b)(ii),(iv)0670PROFIT OR (-) LOSS FOR THE YEARBAD art 27.Vertical layout(23)IAS 1.81A(a)0680Attributable to minority interest [non-controlling interests]IAS 1.81B (b)(i)0690Attributable to owners of the parentIAS 1.81B (b)(ii) 3. Statement of comprehensive income References National GAAP compatible IFRSCurrent period00100010Profit or (-) loss for the yearIAS 1.7, IG60020Other comprehensive incomeIAS 1.7, IG60030Items that will not be reclassified to profit or lossIAS 1.82A(a)(i)0040Tangible assetsIAS 1.7, IG6; IAS 16.39-400050Intangible assetsIAS 1.7; IAS 38.85-860060Actuarial gains or (-) losses on defined benefit pension plansIAS 1.7, IG6; IAS 19.120(c)0070Non-current assets and disposal groups held for saleIFRS 5.380080Share of other recognised income and expense of entities accounted for using the equity methodIAS 1.IG6; IAS 28.100081Fair value changes of equity instruments measured at fair value through other comprehensive incomeIAS 1.7(d)0083Gains 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 2.570084Fair 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 2.570085Fair 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 2.570086Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit riskIAS 1.7(f)0090Income tax relating to items that will not be reclassifiedIAS 1.91(b); Annex V.Part 2.660100Items that may be reclassified to profit or lossIAS 1.82A(a)(ii)0110Hedge 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 2.580120Valuation gains or (-) losses taken to equityIAS 1.IG6;IFRS 9.6.5.13(a); IFRS 7.24C(b)(i);.24E(a); Annex V.Part 2.58

§ Article 47c

0130Transferred to profit or lossIAS 1.7, 92-95; IAS 21.48-49; IFRS 9.6.5.14; Annex V.Part 2.590140Other reclassificationsAnnex V.Part 2.650150Foreign currency translationIAS 1.7, IG6; IAS 21.52(b)0160Translation gains or (-) losses taken to equityIAS 21.32, 38-470170Transferred to profit or lossIAS 1.7, 92-95; IAS 21.48-490180Other reclassificationsAnnex V.Part 2.650190Cash 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);0200Valuation 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)0210Transferred 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 2.590220Transferred to initial carrying amount of hedged itemsIAS 1.IG6;IFRS 9.6.5.11(d)(i)0230Other reclassificationsAnnex V.Part 2.650231Hedging 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 2.600232Valuation gains or (-) losses taken to equityIAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E (b)(c)0233Transferred to profit or lossIAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.610234Other reclassificationsAnnex V.Part 2.650241Debt instruments at fair value through other comprehensive incomeIAS 1.7(da), IG 6; IAS 1.IG6; IFRS 9.5.6.4; Annex V.Part 2.62-63 0251Valuation gains or (-) losses taken to equityIFRS 7.20(a)(ii); IAS 1.IG6; IFRS 9.5.6.40261Transferred to profit or lossIAS 1.7, IAS 1.92-95, IAS 1.IG6; IFRS 9.5.6.7; Annex V.Part 2.640270Other reclassificationsIFRS 5.IG Example 12;IFRS 9.5.6.5; Annex V.Part 2.64-650280Non-current assets and disposal groups held for saleIFRS 5.380290Valuation gains or (-) losses taken to equityIFRS 5.380300Transferred to profit or lossIAS 1.7, 92-95; IFRS 5.380310Other reclassificationsIFRS 5.IG Example 120320Share of other recognised income and expense of Investments in subsidaries, joint ventures and associatesIAS 1.IG6; IAS 28.100330Income tax relating to items that may be reclassified to profit or (-) lossIAS 1.91(b), IG6; Annex V.Part 2.660340Total comprehensive income for the yearIAS 1.7, 81A(a), IG60350Attributable to minority interest [Non-controlling interest]IAS 1.83(b)(i), IG60360Attributable 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 References National GAAP based on BADReferences National GAAP compatible IFRSCarrying amountAnnex V.Part 1.2700100005Derivatives0010Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.11, Annex V.Part 1.44(b)0030of which: credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0040of which: other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0050of which: non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0060Debt securitiesAnnex V.Part 1.31Annex V.Part 1.31, 44(b)0070Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0080General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0090Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0100Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0110Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0120Loans and advancesAnnex V.Part 1.32Annex V.Part 1.32, 44(a)0130Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0140General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0150Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0160Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0170Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0180HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0190FINANCIAL ASSETS HELD FOR TRADINGAnnex V.Part 1.15(a)IFRS 9.Appendix A

§ Article 47c

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 2.69001000200010Equity instrumentsIAS 32.11, Annex V.Part 1.44(b)0020of which: credit institutionsAnnex V.Part 1.42(c)0030of which: other financial corporationsAnnex V.Part 1.42(d)0040of which: non-financial corporationsAnnex V.Part 1.42(e)0050Debt securitiesAnnex V.Part 1.31, 44(b)0060Central banksAnnex V.Part 1.42(a)0070General governmentsAnnex V.Part 1.42(b)0080Credit institutionsAnnex V.Part 1.42(c)0090Other financial corporationsAnnex V.Part 1.42(d)0100Non-financial corporationsAnnex V.Part 1.42(e)0110Loans and advancesAnnex V.Part 1.32, 44(a)0120Central banksAnnex V.Part 1.42(a)0130General governmentsAnnex V.Part 1.42(b)0140Credit institutionsAnnex V.Part 1.42(c)0150Other financial corporationsAnnex V.Part 1.42(d)0160Non-financial corporationsAnnex V.Part 1.42(e)0170HouseholdsAnnex V.Part 1.42(f)0180NON-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 2.69001000200010Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.110020of which: at costIAS 39.46(c)0030of which: credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.38(c)0040of which: other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.38(d)0050of which: non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.38(e)0060Debt securitiesAnnex V.Part 1.31, 44(b)Annex V.Part 1.31, 44(b)0070Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0080General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0090Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0100Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0110Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0120Loans and advancesAnnex V.Part 1.32, 44(a)Annex V.Part 1.32, 44(a)0130Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0140General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0150Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0160Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0170Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0180HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0190FINANCIAL 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 amountGross carrying amount Annex V.Part 1.34(b)Accumulated impairment Annex V.Part 2.70(b), 71Accumulated 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)Purchased or originated credit-impaired financial assetsAssets 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)Purchased or originated credit-impaired financial assetsof 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 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67IFRS 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 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67,70(d)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 2.72-740010001500200030004000410050006000700071008000900010Equity instrumentsIAS 32.11; Annex V.Part 1.44(b)0020of which: credit institutionsAnnex V.Part 1.42(c)0030of which: other financial corporationsAnnex V.Part 1.42(d)0040of which: non-financial corporationsAnnex V.Part 1.42(e)0050Debt securitiesAnnex V.Part 1.31, 44(b)0060Central banksAnnex V.Part 1.42(a)0070General governmentsAnnex V.Part 1.42(b)0080Credit institutionsAnnex V.Part 1.42(c)0090Other financial corporationsAnnex V.Part 1.42(d)0100Non-financial corporationsAnnex V.Part 1.42(e)0110Loans and advancesAnnex V.Part 1.32, 44(a)0120Central banksAnnex V.Part 1.42(a)

§ Article 47c

0130General governmentsAnnex V.Part 1.42(b)0140Credit institutionsAnnex V.Part 1.42(c)0150Other financial corporationsAnnex V.Part 1.42(d)0160Non-financial corporationsAnnex V.Part 1.42(e)0165Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)0170HouseholdsAnnex V.Part 1.42(f)0180FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOMEIFRS 7.8(h); IFRS 9.4.1.2A 4.4.1 Financial assets at amortised cost References National GAAP based on BADReferences National GAAP compatible IFRSCarrying amountGross carrying amount Annex V.Part 1.34(b)Accumulated impairment Annex V.Part 2.70(a), 71Accumulated 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)Purchased or originated credit-impaired financial assetsAssets 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)Purchased or originated credit-impaired financial assetsof 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 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67IFRS 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 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67,70(d)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 2.72-740010001500200030004000410050006000700071008000900010Debt securitiesAnnex V.Part 1.31, 44(b)0020Central banksAnnex V.Part 1.42(a)0030General governmentsAnnex V.Part 1.42(b)0040Credit institutionsAnnex V.Part 1.42(c)0050Other financial corporationsAnnex V.Part 1.42(d)0060Non-financial corporationsAnnex V.Part 1.42(e)0070Loans and advancesAnnex V.Part 1.32, 44(a)0080Central banksAnnex V.Part 1.42(a)0090General governmentsAnnex V.Part 1.42(b)0100Credit institutionsAnnex V.Part 1.42(c)0110Other financial corporationsAnnex V.Part 1.42(d) 0120Non-financial corporationsAnnex V.Part 1.42(e)0125Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)0130HouseholdsAnnex V.Part 1.42(f)0140FINANCIAL ASSETS AT AMORTISED COSTIFRS 7.8(f); IFRS 9.4.1.2 4.5 Subordinated financial assets References National GAAP based on BADReferences National GAAP compatible IFRSCarrying amountAnnex V.Part 1.27-2800100010Loans and advancesAnnex V.Part 1.32Annex V.Part 1.320020Debt securitiesAnnex V.Part 1.31Annex V.Part 1.310030SUBORDINATED [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 1.27-2800100005DerivativesCRR Annex II; Annex V.Part 1.17, Part 2.680010Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b)0020of which: unquoted0030of which: credit institutionsAnnex V.Part 1.42(c)0040of which: other financial corporationsAnnex V.Part 1.42(d)0050of which: non-financial corporationsAnnex V.Part 1.42(e)0060Debt securitiesAnnex V.Part 1.31, 44(b)0070Central banksAnnex V.Part 1.42(a)0080General governmentsAnnex V.Part 1.42(b)0090Credit institutionsAnnex V.Part 1.42(c)0100Other financial corporationsAnnex V.Part 1.42(d)0110Non-financial corporationsAnnex V.Part 1.42(e)0120Loans and advancesAnnex V.Part 1.32, 44(a)0130Central banksAnnex V.Part 1.42(a)0140General governmentsAnnex V.Part 1.42(b)0150Credit institutionsAnnex V.Part 1.42(c)0160Other financial corporationsAnnex V.Part 1.42(d)0170Non-financial corporationsAnnex V.Part 1.42(e)

§ Article 47c

0180HouseholdsAnnex V.Part 1.42(f)0190TRADING 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 2.69001000210010Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b)0020of which: unquoted0030of which: credit institutionsAnnex V.Part 1.42(c)0040of which: other financial corporationsAnnex V.Part 1.42(d)0050of which: non-financial corporationsAnnex V.Part 1.42(e)0060Debt securitiesAnnex V.Part 1.31, 44(b)0070Central banksAnnex V.Part 1.42(a)0080General governmentsAnnex V.Part 1.42(b)0090Credit institutionsAnnex V.Part 1.42(c)0100Other financial corporationsAnnex V.Part 1.42(d)0110Non-financial corporationsAnnex V.Part 1.42(e)0120Loans and advancesAnnex V.Part 1.32, 44(a)0130Central banksAnnex V.Part 1.42(a)0140General governmentsAnnex V.Part 1.42(b)0150Credit institutionsAnnex V.Part 1.42(c)0160Other financial corporationsAnnex V.Part 1.42(d)0170Non-financial corporationsAnnex V.Part 1.42(e)0180HouseholdsAnnex V.Part 1.42(f)0190NON-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 BADFinancial assets not subject to impairment Annex V.Part 1.34(d), Part 2.79Financial assets subject to impairment Annex V.Part 2.79Carrying amountAccumulated negative changes in fair value due to credit risk on non-performing exposuresCarrying amountGross 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 2.72-7400100030003500400050006000700080009001000010Equity instrumentsECB/2013/33 Annex 2. Part 2.4-5; Annex V Part 1.44(b)0020of which: unquoted0030of which: credit institutionsAnnex V.Part 1.42(c)0040of which: other financial corporationsAnnex V.Part 1.42(d)0050of which: non-financial corporationsAnnex V.Part 1.42(e)0060Debt securitiesAnnex V.Part 1.31, 44(b)0070Central banksAnnex V.Part 1.42(a)0080General governmentsAnnex V.Part 1.42(b)0090Credit institutionsAnnex V.Part 1.42(c)0100Other financial corporationsAnnex V.Part 1.42(d)0110Non-financial corporationsAnnex V.Part 1.42(e) 0120Loans and advancesAnnex V.Part 1.32, 44(a)0130Central banksAnnex V.Part 1.42(a)0140General governmentsAnnex V.Part 1.42(b)0150Credit institutionsAnnex V.Part 1.42(c)0160Other financial corporationsAnnex V.Part 1.42(d)0170Non-financial corporationsAnnex V.Part 1.42(e)0175Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)0180HouseholdsAnnex V.Part 1.42(f)0190NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITYAccounting Directive art 8(1)(a), 8(2)

§ Article 47c

4.9 Non-trading non-derivative financial assets measured at a cost-based method References National GAAP based on BADGross 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 2.72-7400100015002000250030004100450050006000700080009001000005Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b)0006of which: unquoted0007of which: credit institutionsAnnex V.Part 1.42(c)0008of which: other financial corporationsAnnex V.Part 1.42(d)0009of which: non-financial corporationsAnnex V.Part 1.42(e)0010Debt securitiesAnnex V.Part 1.31, 44(b)0020Central banksAnnex V.Part 1.42(a)0030General governmentsAnnex V.Part 1.42(b)0040Credit institutionsAnnex V.Part 1.42(c)0050Other financial corporationsAnnex V.Part 1.42(d)0060Non-financial corporationsAnnex V.Part 1.42(e)0070Loans and advancesAnnex V.Part 1.32, 44(a)0080Central banksAnnex V.Part 1.42(a) 0090General governmentsAnnex V.Part 1.42(b)0100Credit institutionsAnnex V.Part 1.42(c)0110Other financial corporationsAnnex V.Part 1.42(d)0120Non-financial corporationsAnnex V.Part 1.42(e)0125Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)0130HouseholdsAnnex V.Part 1.42(f)0140NON-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 BADGross 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 2.72-7400150016002000250030004000500010007000800090010001100010Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5; Annex V.Part 1.44(b)0020of which: unquoted0030of which: credit institutionsAnnex V.Part 1.42(c)0040of which: other financial corporationsAnnex V.Part 1.42(d)0050of which: non-financial corporationsAnnex V.Part 1.42(e)0060Debt securitiesAnnex V.Part 1.31, 44(b)0070Central banksAnnex V.Part 1.42(a)0080General governmentsAnnex V.Part 1.42(b)0090Credit institutionsAnnex V.Part 1.42(c)0100Other financial corporationsAnnex V.Part 1.42(d)0110Non-financial corporationsAnnex V.Part 1.42(e)

§ Article 47c

0120Loans and advancesAnnex V.Part 1.32, 44(a)0130Central banksAnnex V.Part 1.42(a)0140General governmentsAnnex V.Part 1.42(b)0150Credit institutionsAnnex V.Part 1.42(c)0160Other financial corporationsAnnex V.Part 1.42(d)0170Non-financial corporationsAnnex V.Part 1.42(e)0175Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)0180HouseholdsAnnex V.Part 1.42(f)0190OTHER 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, trading or held for sale assets by product ReferencesGross carrying amountCarrying amount Annex V.Part 1.27-28Central 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)0005001000200030004000500060By product0010On demand [call] and short notice [current account]Annex V.Part 2.85(a)0020Credit card debtAnnex V.Part 2.85(b)0030Trade receivablesAnnex V.Part 2.85(c)0040Finance leasesAnnex V.Part 2.85(d)0050Reverse repurchase loansAnnex V.Part 2.85(e)0060Other term loansAnnex V.Part 2.85(f)0070Advances that are not loansAnnex V.Part 2.85(g)0080LOANS AND ADVANCESAnnex V.Part 1.32, 44(a)By collateral0090of which: Loans collateralized by immovable propertyAnnex V.Part 2.86(a), 870100of which: other collateralized loansAnnex V.Part 2.86(b), 87By purpose0110of which: credit for consumptionAnnex V.Part 2.88(a)0120of which: lending for house purchaseAnnex V.Part 2.88(b)By subordination0130of which: project finance loansAnnex V.Part 2.89; CRR Art 147(8) 6. 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, trading or held for sale assets to non-financial corporations by NACE codes ReferencesNon-financial corporations Annex V.Part 1.42(e), Part 2.91Gross 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 2.690010001100120013002100220010A Agriculture, forestry and fishingNACE Regulation0020B Mining and quarryingNACE Regulation0030C ManufacturingNACE Regulation0040D Electricity, gas, steam and air conditioning supplyNACE Regulation0050E Water supplyNACE Regulation0060F ConstructionNACE Regulation0070G Wholesale and retail tradeNACE Regulation0080H Transport and storageNACE Regulation 0090I Accommodation and food service activitiesNACE Regulation0100J Information and communicationNACE Regulation0105K Financial and insurance activitiesNACE Regulation, Annex V.Part 2.920110L Real estate activitiesNACE Regulation0120M Professional, scientific and technical activitiesNACE Regulation0130N Administrative and support service activitiesNACE Regulation0140O Public administration and defence, compulsory social securityNACE Regulation0150P EducationNACE Regulation0160Q Human health services and social work activitiesNACE Regulation0170R Arts, entertainment and recreationNACE Regulation0180S Other servicesNACE Regulation0190LOANS AND ADVANCESAnnex V.Part 1.32, Part 2.90

§ Article 47c
  1. Financial assets subject to impairment that are past due 7.1 Financial assets subject to impairment that are past due References National GAAP compatible IFRSCarrying amount Annex V.Part 1.27Assets 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)Purchased or originated credit-impaired financial assets≤ 30 days> 30 days ≤ 90 days> 90 days≤ 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 2.960010002000300040005000600070008000900100011001200060Debt securitiesAnnex V.Part 1.31, 44(b)0070Central banksAnnex V.Part 1.42(a)0080General governmentsAnnex V.Part 1.42(b)0090Credit institutionsAnnex V.Part 1.42(c)0100Other financial corporationsAnnex V.Part 1.42(d)0110Non-financial corporationsAnnex V.Part 1.42(e)0120Loans and advancesAnnex V.Part 1.32, 44(a)0130Central banksAnnex V.Part 1.42(a) 0140General governmentsAnnex V.Part 1.42(b)0150Credit institutionsAnnex V.Part 1.42(c)0160Other financial corporationsAnnex V.Part 1.42(d)0170Non-financial corporationsAnnex V.Part 1.42(e)0180HouseholdsAnnex V.Part 1.42(f)0190TOTAL DEBT INSTRUMENTSAnnex V Part 2.94-95Loans and advances by product, by collateral and by subordination0200On demand [call] and short notice [current account]Annex V.Part 2.85(a)0210Credit card debtAnnex V.Part 2.85(b)0220Trade receivablesAnnex V.Part 2.85(c)0230Finance leasesAnnex V.Part 2.85(d) 0240Reverse repurchase loansAnnex V.Part 2.85(e)0250Other term loansAnnex V.Part 2.85(f)0260Advances that are not loansAnnex V.Part 2.85(g)0270of which: Loans collateralized by inmovable propertyAnnex V.Part 2.86(a), 870280of which: other collateralized loansAnnex V.Part 2.86(b), 870290of which: credit for consumptionAnnex V.Part 2.88(a)0300of which: lending for house purchaseAnnex V.Part 2.88(b)0310of 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 BADCarrying amount Annex V.Part 1.27-28Past 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 2.960010002000300040005000600060Debt securitiesAnnex V.Part 1.31, 44(b)0070Central banksAnnex V.Part 1.42(a)0080General governmentsAnnex V.Part 1.42(b)0090Credit institutionsAnnex V.Part 1.42(c)0100Other financial corporationsAnnex V.Part 1.42(d)0110Non-financial corporationsAnnex V.Part 1.42(e)0120Loans and advancesAnnex V.Part 1.32, 44(a)0130Central banksAnnex V.Part 1.42(a)0140General governmentsAnnex V.Part 1.42(b)0150Credit institutionsAnnex V.Part 1.42(c)0160Other financial corporationsAnnex V.Part 1.42(d)0170Non-financial corporationsAnnex V.Part 1.42(e) 0180HouseholdsAnnex V.Part 1.42(f)0190TOTAL DEBT INSTRUMENTSAnnex V Part 2.94-95Loans and advances by product, by collateral and by subordination0200On demand [call] and short notice [current account]Annex V.Part 2.85(a)0210Credit card debtAnnex V.Part 2.85(b)0220Trade receivablesAnnex V.Part 2.85(c)0230Finance leasesAnnex V.Part 2.85(d)0240Reverse repurchase loansAnnex V.Part 2.85(e)0250Other term loansAnnex V.Part 2.85(f)0260Advances that are not loansAnnex V.Part 2.85(g)0270of which: Loans collateralized by inmovable propertyAnnex V.Part 2.86(a), 87
§ Article 47c

0280of which: other collateralized loansAnnex V.Part 2.86(b), 870290of which: credit for consumptionAnnex V.Part 2.88(a)0300of which: lending for house purchaseAnnex V.Part 2.88(b)0310of 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 References National GAAP based on BADReferences National GAAP compatible IFRSCarrying amount Annex V.Part 1.27-28Accumulated changes in fair value due to credit riskHeld for tradingDesignated at fair value through profit or lossAmortised costTradingAt a cost-based methodHedge 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 2.101Accounting 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 2.10200100020003000340035003700400010DerivativesCRR Annex IIIFRS 9.BA.7(a)0020Short positionsFRS 9.BA.7(b)0030Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.110040Debt securitiesAnnex V.Part 1.31Annex V.Part 1.310050DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360060Central banksAnnex V.Part 1.42(a), 44(c)Annex V.Part 1.42(a), 44(c) 0070Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.1ECB/2013/33 Annex 2.Part 2.9.10080Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.2ECB/2013/33 Annex 2.Part 2.9.20090Deposits 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 2.970100Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.4ECB/2013/33 Annex 2.Part 2.9.40110General governmentsAnnex V.Part 1.42(b), 44(c)Annex V.Part 1.42(b), 44(c)0120Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.1ECB/2013/33 Annex 2.Part 2.9.1 0130Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.2ECB/2013/33 Annex 2.Part 2.9.20140Deposits 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 2.970150Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.4ECB/2013/33 Annex 2.Part 2.9.40160Credit institutionsAnnex V.Part 1.42(c),44(c)Annex V.Part 1.42(c),44(c)0170Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.1ECB/2013/33 Annex 2.Part 2.9.10180Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.2ECB/2013/33 Annex 2.Part 2.9.2 0190Deposits 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 2.970200Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.4ECB/2013/33 Annex 2.Part 2.9.40210Other financial corporationsAnnex V.Part 1.42(d),44(c)Annex V.Part 1.42(d),44(c)0220Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.1ECB/2013/33 Annex 2.Part 2.9.10230Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.2ECB/2013/33 Annex 2.Part 2.9.2

§ Article 47c

0240Deposits 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 2.970250Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.4ECB/2013/33 Annex 2.Part 2.9.40260Non-financial corporationsAnnex V.Part 1.42(e), 44(c)Annex V.Part 1.42(e), 44(c)0270Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.1ECB/2013/33 Annex 2.Part 2.9.10280Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.2ECB/2013/33 Annex 2.Part 2.9.2 0290Deposits 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 2.970300Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.4ECB/2013/33 Annex 2.Part 2.9.40310HouseholdsAnnex V.Part 1.42(f), 44(c)Annex V.Part 1.42(f), 44(c)0320Current accounts / overnight depositsECB/2013/33 Annex 2.Part 2.9.1ECB/2013/33 Annex 2.Part 2.9.10330Deposits with agreed maturityECB/2013/33 Annex 2.Part 2.9.2ECB/2013/33 Annex 2.Part 2.9.2 0340Deposits 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 2.970350Repurchase agreementsECB/2013/33 Annex 2.Part 2.9.4ECB/2013/33 Annex 2.Part 2.9.40360Debt securities issuedAnnex V.1.37, Part 2.98Annex V.Part 1.37, Part 2.980370Certificates of depositsAnnex V.Part 2.98(a)Annex V.Part 2.98(a)0380Asset-backed securitiesCRR art 4(61)CRR art 4(1)(61)0390Covered bondsCRR art 129CRR art 1290400Hybrid contractsAnnex V.Part 2.98(d)Annex V.Part 2.98(d) 0410Other debt securities issuedAnnex V.Part 2.98(e)Annex V.Part 2.98(e)0420Convertible compound financial instrumentsIAS 32.AG 310430Non-convertible0440Other financial liabilitiesAnnex V.Part 1.38-41Annex V.Part 1.38-410445of which: lease liabilitiesIFRS 16.22, 26-28, 47(b)0450FINANCIAL LIABILITIES 8.2 Subordinated financial liabilities References National GAAPReferences National GAAP compatible IFRSCarriyng amountDesignated at fair value through profit or lossAt amortized costAt a cost-based methodIFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5IFRS 7.8(g); IFRS 9.4.2.1Accounting Directive art 8(1)(a), (6); IAS 39.9Accounting Directive art 8(3), (6); IAS 39.47Accounting Directive art 8(3)0010002000300010DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360020Debt securities issuedAnnex V.Part 1.37Annex V.Part 1.370030SUBORDINATED 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 IFRSNominal amount of off-balance sheet commitments and financial guarantees under IFRS 9 impairment Annex V.Part 2.107-108, 118Provisions on off-balance sheet commitments and financial guarantees under IFRS 9 impairment Annex V Part 2.106-109Other 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)Purchased or originated credit-impaired instrumentsInstruments 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)Purchased or originated credit-impaired instrumentsNominal 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 7.35M; Annex V.Part 2.107IFRS 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)IFRS 7.35M; Annex V.Part 2.107IAS 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 2.690010002000300035004000500060006501000110012001300010Loan commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 1160021of which: non-performingAnnex V.Part 2.1170030Central banksAnnex V.Part 1.42(a)0040General governmentsAnnex V.Part 1.42(b)0050Credit institutionsAnnex V.Part 1.42(c)

§ Article 47c

0060Other financial corporationsAnnex V.Part 1.42(d)0070Non-financial corporationsAnnex V.Part 1.42(e)0080HouseholdsAnnex V.Part 1.42(f)0090Financial guarantees givenIFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 1160101of which: non-performingAnnex V.Part 2.1170110Central banksAnnex V.Part 1.42(a) 0120General governmentsAnnex V.Part 1.42(b)0130Credit institutionsAnnex V.Part 1.42(c)0140Other financial corporationsAnnex V.Part 1.42(d)0150Non-financial corporationsAnnex V.Part 1.42(e)0160HouseholdsAnnex V.Part 1.42(f)0170Other Commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 1160181of which: non-performingAnnex V.Part 2.117 0190Central banksAnnex V.Part 1.42(a)0200General governmentsAnnex V.Part 1.42(b)0210Credit institutionsAnnex V.Part 1.42(c)0220Other financial corporationsAnnex V.Part 1.42(d)0230Non-financial corporationsAnnex V.Part 1.42(e)0240HouseholdsAnnex 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 2.11001000200010Loan commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.112, 1130021of which: non-performingAnnex V. Part 2.1170030Central banksAnnex V.Part 1.42(a)0040General governmentsAnnex V.Part 1.42(b)0050Credit institutionsAnnex V.Part 1.42(c)0060Other financial corporationsAnnex V.Part 1.42(d)0070Non-financial corporationsAnnex V.Part 1.42(e)0080HouseholdsAnnex V.Part 1.42(f)0090Financial guarantees givenCRR Annex I; Annex V.Part 1.44(f), Part 2.112, 1140101of which: non-performingAnnex V. Part 2.1170110Central banksAnnex V.Part 1.42(a)0120General governmentsAnnex V.Part 1.42(b)0130Credit institutionsAnnex V.Part 1.42(c)0140Other financial corporationsAnnex V.Part 1.42(d)0150Non-financial corporationsAnnex V.Part 1.42(e) 0160HouseholdsAnnex V.Part 1.42(f)0170Other Commitments givenCRR Annex I; Annex V.Part 1.44(g), Part 2.112, 1150181of which: non-performingAnnex V. Part 2.1170190Central banksAnnex V.Part 1.42(a)0200General governmentsAnnex V.Part 1.42(b)0210Credit institutionsAnnex V.Part 1.42(c)0220Other financial corporationsAnnex V.Part 1.42(d)0230Non-financial corporationsAnnex V.Part 1.42(e)0240HouseholdsAnnex V.Part 1.42(f) 9.2 Loan commitments, financial guarantees and other commitments received References National GAAPReferences National GAAP compatible IFRSMaximum amount of the guarantee that can be consideredNominal amountIFRS 7.36 (b); Annex V.Part 2.119Annex V.Part 2.119Annex V.Part 2.119Annex V.Part 2.119001000200010Loan 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, 1130020Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0030General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0040Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0050Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0060Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0070HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0080Financial 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, 1140090Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0100General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0110Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0120Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)

§ Article 47c

0130Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0140HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0150Other Commitments receivedAnnex V.Part 1.44(h), Part 2.102-103, 115Annex V.Part 1.44(h), Part 2.102-103, 1150160Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0170General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0180Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0190Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0200Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0210HouseholdsAnnex 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 marketReferences National GAAP based on BADReferences National GAAP compatible IFRSCarrying 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 / LOCOMAnnex V.Part 2.120, 131IFRS 9.BA.7 (a); Annex V.Part 2.120, 131Annex V.Part 2.133-135Annex V.Part 2.133-135Annex 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 2.133-135001000110020001600220025003000400010Interest rateAnnex V.Part 2.129(a)Annex V.Part 2.129(a)0020of which: economic hedgesAnnex V.Part 2.137-139Annex V.Part 2.137-1390030OTC optionsAnnex V.Part 2.136Annex V.Part 2.1360040OTC otherAnnex V.Part 2.136Annex V.Part 2.1360050Organized market optionsAnnex V.Part 2.136Annex V.Part 2.1360060Organized market otherAnnex V.Part 2.136Annex V.Part 2.136 0070EquityAnnex V.Part 2.129(b)Annex V.Part 2.129(b)0080of which: economic hedgesAnnex V.Part 2.137-139Annex V.Part 2.137-1390090OTC optionsAnnex V.Part 2.136Annex V.Part 2.1360100OTC otherAnnex V.Part 2.136Annex V.Part 2.1360110Organized market optionsAnnex V.Part 2.136Annex V.Part 2.1360120Organized market otherAnnex V.Part 2.136Annex V.Part 2.1360130Foreign exchange and goldAnnex V.Part 2.129(c)Annex V.Part 2.129(c) 0140of which: economic hedgesAnnex V.Part 2.137-139Annex V.Part 2.137-1390150OTC optionsAnnex V.Part 2.136Annex V.Part 2.1360160OTC otherAnnex V.Part 2.136Annex V.Part 2.1360170Organized market optionsAnnex V.Part 2.136Annex V.Part 2.1360180Organized market otherAnnex V.Part 2.136Annex V.Part 2.1360190CreditAnnex V.Part 2.129(d)Annex V.Part 2.129(d)0195of which: economic hedges with use of the fair value optionAnnex V.Part 2.140IFRS 9.6.7.1; Annex V.Part 2.140 0201of which: other economic hedgesAnnex V.Part 2.137-140Annex V.Part 2.137-1400210Credit default swap0220Credit spread option0230Total return swap0240Other0250CommodityAnnex V.Part 2.129(e)Annex V.Part 2.129(e)0260of which: economic hedgesAnnex V.Part 2.137-139Annex V.Part 2.137-1390270OtherAnnex V.Part 2.129(f)Annex V.Part 2.129(f)

§ Article 47c

0280of which: economic hedgesAnnex V.Part 2.137-139Annex V.Part 2.137-1390290DERIVATIVESCRR Annex II; Annex V.Part 1.16(a)IFRS 9.Appendix A0300of 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), 1420310of 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)0320of which: OTC - restAnnex V.Part 1.44(e), Part 2.141(c)Annex V.Part 1.44(e), Part 2.141(c) 11. 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 2.133-13500100020003000400010Interest rateAnnex V.Part 2.129(a)0020OTC optionsAnnex V.Part 2.1360030OTC otherAnnex V.Part 2.1360040Organized market optionsAnnex V.Part 2.1360050Organized market otherAnnex V.Part 2.1360060EquityAnnex V.Part 2.129(b)0070OTC optionsAnnex V.Part 2.1360080OTC otherAnnex V.Part 2.1360090Organized market optionsAnnex V.Part 2.1360100Organized market otherAnnex V.Part 2.1360110Foreign exchange and goldAnnex V.Part 2.129(c)0120OTC optionsAnnex V.Part 2.1360130OTC otherAnnex V.Part 2.1360140Organized market optionsAnnex V.Part 2.1360150Organized market otherAnnex V.Part 2.1360160CreditAnnex V.Part 2.129(d)0170Credit default swapAnnex V.Part 2.1360180Credit spread optionAnnex V.Part 2.1360190Total return swapAnnex V.Part 2.1360200OtherAnnex V.Part 2.136 0210CommodityAnnex V.Part 2.129(e)0220OtherAnnex V.Part 2.129(f)0230FAIR VALUE HEDGESIFRS 7.24A; IAS 39.86(a); IFRS 9.6.5.2(a)0240Interest rateAnnex V.Part 2.129(a)0250OTC optionsAnnex V.Part 2.1360260OTC otherAnnex V.Part 2.1360270Organized market optionsAnnex V.Part 2.1360280Organized market otherAnnex V.Part 2.1360290EquityAnnex V.Part 2.129(b)0300OTC optionsAnnex V.Part 2.1360310OTC otherAnnex V.Part 2.1360320Organized market optionsAnnex V.Part 2.1360330Organized market otherAnnex V.Part 2.1360340Foreign exchange and goldAnnex V.Part 2.129(c)0350OTC optionsAnnex V.Part 2.1360360OTC otherAnnex V.Part 2.1360370Organized market optionsAnnex V.Part 2.1360380Organized market otherAnnex V.Part 2.1360390CreditAnnex V.Part 2.129(d)0400Credit default swapAnnex V.Part 2.1360410Credit spread optionAnnex V.Part 2.1360420Total return swapAnnex V.Part 2.1360430OtherAnnex V.Part 2.136 0440CommodityAnnex V.Part 2.129(e)0450OtherAnnex V.Part 2.129(f)0460CASH FLOW HEDGESIFRS 7.24A; IAS 39.86(b); IFRS 9.6.5.2(b)0470HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATIONIFRS 7.24A; IAS 39.86(c); IFRS 9.6.5.2(c)0480PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISKIAS 39.71, 81A, 89A, AG 114-1320490PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISKIAS 39.710500DERIVATIVES-HEDGE ACCOUNTINGIFRS 7.24A; IAS 39.9; IFRS 9.6.10510of which: OTC - credit institutionsAnnex V.Part 1.42(c), 44(e), Part 2.141(a), 1420520of which: OTC - other financial corporationsAnnex V.Part 1.42(d), 44(e), Part 2.141(b)0530of which: OTC - restAnnex V.Part 1.44(e), Part 2.141(c)

§ Article 47c

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 2.13200050006000700080010001100200021003000400010Interest rateAnnex V.Part 2.129(a)0020OTC optionsAnnex V.Part 2.1360030OTC otherAnnex V.Part 2.1360040Organized market optionsAnnex V.Part 2.1360050Organized market otherAnnex V.Part 2.1360060EquityAnnex V.Part 2.129(b)0070OTC optionsAnnex V.Part 2.1360080OTC otherAnnex V.Part 2.1360090Organized market optionsAnnex V.Part 2.1360100Organized market otherAnnex V.Part 2.1360110Foreign exchange and goldAnnex V.Part 2.129(c) 0120OTC optionsAnnex V.Part 2.1360130OTC otherAnnex V.Part 2.1360140Organized market optionsAnnex V.Part 2.1360150Organized market otherAnnex V.Part 2.1360160CreditAnnex V.Part 2.129(d)0170Credit default swapAnnex V.Part 2.1360180Credit spread optionAnnex V.Part 2.1360190Total return swapAnnex V.Part 2.1360200OtherAnnex V.Part 2.1360210CommodityAnnex V.Part 2.129(e)0220OtherAnnex V.Part 2.129(f)0230DERIVATIVES-HEDGE ACCOUNTINGAnnex V.Part 1.22, 260231of which: fair value hedgesAnnex V.Part 2.143 0232of which: cash flow hedgesAnnex V.Part 2.1430233of which: cost-price hedgesAnnex V.Part 2.143, 1440234of which: hedge in net investments in a foreign operationAnnex V.Part 2.1430235of which: portfolio fair value hedges of interest rate riskAnnex V.Part 2.1430236of which: portfolio cash flow hedges of interest rate riskAnnex V.Part 2.1430240of which: OTC - credit institutionsAnnex V.Part 1.42(c), 44(e), Part 2.141(a), 1420250of which: OTC - other financial corporationsAnnex V.Part 1.42(d), 44(e), Part 2.141(b)0260of 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 2.1450010002000300010Non-derivative financial assetsIFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.20020of which: Financial assets held for tradingIFRS 9.Appendix A0030of which: Non-trading financial assets mandatorily at fair value through profit or lossIFRS 9.4.1.4; IFRS 7.8(a)(ii)0040of which: Financial assets designated at fair value through profit or lossIFRS 9.4.1.5; IFRS 7.8(a)(i)0050Non-derivative financial liabilitiesIFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.20060Financial liabilities held for tradingIFRS 9.Appendix A0070Financial liabilities designated at fair value through profit or lossIFRS 9.4.2.1; IFRS 9.6.2.20080Financial assets at amortised costIFRS 9.4.2.1; IFRS 9.6.2.2

§ Article 47c

11.3.1 Non-derivative hedging instruments under national GAAP: breakdown by accounting portfolio References National GAAP based on BADCarrying amountAnnex V.Part 2.14500100010Non-derivative financial assets0020of which: Trading financial assetsBAD Article 32-33; Annex V.Part 1.170030of which: Non-trading non-derivative financial assets measured at fair value through profit or lossBAD art 36(2)0040of which: Non-trading non-derivative financial assets measured at fair value to equityAccounting Directive art 8(1)(a), (8)0050of which: Other non-trading non-derivative financial assetsBAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.200060Non-derivative financial liabilities0070of which: Trading financial liabilitiesAccounting Directive art 8(1)(a),(3),(6)0080of 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 2.15200100020003000400050ASSETS0010Financial assets measured at fair value through other comprehensive incomeIFRS 9.4.1.2A; IFRS 7.8(h); Annex V. Part 2.146, 1510020Interest rateAnnex V.Part 2.129(a)0030EquityAnnex V.Part 2.129(b)0040Foreign exchange and goldAnnex V.Part 2.129(c)0050CreditAnnex V.Part 2.129(d)0060CommodityAnnex V.Part 2.129(e)0070OtherAnnex V.Part 2.129(f)0080Financial assets measured at amortised costIFRS 9.4.1.2A; IFRS 7.8(f); Annex V. Part 2.146, 1510090Interest rateAnnex V.Part 2.129(a)0100EquityAnnex V.Part 2.129(b)0110Foreign exchange and goldAnnex V.Part 2.129(c) 0120CreditAnnex V.Part 2.129(d)0130CommodityAnnex V.Part 2.129(e)0140OtherAnnex V.Part 2.129(f)LIABILITIES0150Financial liabilities measured at amortised costsIFRS 9.4.2.1; IFRS 7.8(g); Annex V. Part 2.146, 1510160Interest rateAnnex V.Part 2.129(a)0170EquityAnnex V.Part 2.129(b)0180Foreign exchange and goldAnnex V.Part 2.129(c)0190CreditAnnex V.Part 2.129(d)0200CommodityAnnex V.Part 2.129(e)0210OtherAnnex 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 2.153Opening 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 2.7800100020003000400050006000700080009001000010Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50330Specific allowances for credit riskCRR art 428 (g)(ii)0335Cash balances at central banks and other demand depositsBAD art 13(2); Annex V.Part 2.2, 30340Debt securitiesAnnex V.Part 1.31, 44(b)0350Central banksAnnex V.Part 1.42(a)0360General governmentsAnnex V.Part 1.42(b)0370Credit institutionsAnnex V.Part 1.42(c)0380Other financial corporationsAnnex V.Part 1.42(d)0390Non-financial corporationsAnnex V.Part 1.42(e)0400Loans and advancesAnnex V.Part 1.32, 44(a)0410Central banksAnnex V.Part 1.42(a)0420General governmentsAnnex V.Part 1.42(b)

§ Article 47c

0430Credit institutionsAnnex V.Part 1.42(c)0440Other financial corporationsAnnex V.Part 1.42(d)0450Non-financial corporationsAnnex V.Part 1.42(e)0460HouseholdsAnnex V.Part 1.42(f)0470General allowances for credit riskCRR art 4(1)(95)0475Cash balances at central banks and other demand depositsBAD art 13(2); Annex V.Part 2.2, 30480Debt securitiesAnnex V.Part 1.310490Loans and advancesAnnex V.Part 1.320500General allowance for banking risksBAD art 37.2; CRR art 4(95)0505Cash balances at central banks and other demand depositsBAD art 13(2); Annex V.Part 2.2, 30510Debt securitiesAnnex V.Part 1.310520Loans and advancesAnnex V.Part 1.320530Total 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 2.166i0010002000300040005000700080009001000110012001250010Allowances for financial assets without increase in credit risk since initial recognition (Stage 1)IFRS 9.5.5.50015Cash balances at central banks and other demand depositsAnnex V.Part 2.2, 30020Debt securitiesAnnex V.Part 1.31, 44(b)0030Central banksAnnex V.Part 1.42(a)0040General governmentsAnnex V.Part 1.42(b)0050Credit institutionsAnnex V.Part 1.42(c)0060Other financial corporationsAnnex V.Part 1.42(d)0070Non-financial corporationsAnnex V.Part 1.42(e)0080Loans and advancesAnnex V.Part 1.32, 44(a)0090Central banksAnnex V.Part 1.42(a)0100General governmentsAnnex V.Part 1.42(b) 0110Credit institutionsAnnex V.Part 1.42(c)0120Other financial corporationsAnnex V.Part 1.42(d)0130Non-financial corporationsAnnex V.Part 1.42(e)0140HouseholdsAnnex V.Part 1.42(f)0160of which: collectively measured allowancesIFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.1580170of which: individually measured allowancesIFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.1580180Allowances for debt instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)IFRS 9.5.5.30185Cash balances at central banks and other demand depositsAnnex V.Part 2.2, 30190Debt securitiesAnnex V.Part 1.31, 44(b)0200Central banksAnnex V.Part 1.42(a)0210General governmentsAnnex V.Part 1.42(b)0220Credit institutionsAnnex V.Part 1.42(c)

§ Article 47c

0230Other financial corporationsAnnex V.Part 1.42(d)0240Non-financial corporationsAnnex V.Part 1.42(e)0250Loans and advancesAnnex V.Part 1.32, 44(a)0260Central banksAnnex V.Part 1.42(a)0270General governmentsAnnex V.Part 1.42(b)0280Credit institutionsAnnex V.Part 1.42(c)0290Other financial corporationsAnnex V.Part 1.42(d)0300Non-financial corporationsAnnex V.Part 1.42(e)0310HouseholdsAnnex V.Part 1.42(f)0330of which: collectively measured allowancesIFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.1580340of which: individually measured allowancesIFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.1580350of which: non-performingAnnex V.Part 2.213-232 0360Allowances for credit-impaired debt instruments (Stage 3)IFRS 9.5.5.1, 9. Appendix A0365Cash balances at central banks and other demand depositsAnnex V.Part 2.2, 30370Debt securitiesAnnex V.Part 1.31, 44(b)0380Central banksAnnex V.Part 1.42(a)0390General governmentsAnnex V.Part 1.42(b)0400Credit institutionsAnnex V.Part 1.42(c)0410Other financial corporationsAnnex V.Part 1.42(d)0420Non-financial corporationsAnnex V.Part 1.42(e)0430Loans and advancesAnnex V.Part 1.32, 44(a)0440Central banksAnnex V.Part 1.42(a)0450General governmentsAnnex V.Part 1.42(b)0460Credit institutionsAnnex V.Part 1.42(c)0470Other financial corporationsAnnex V.Part 1.42(d) 0480Non-financial corporationsAnnex V.Part 1.42(e)0490HouseholdsAnnex V.Part 1.42(f)0500of which: collectively measured allowancesIFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.1580510of which: individually measured allowancesIFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.1580600Allowances for purchased or originated credit-impaired financial assetsAnnex V.Part 2.1560610Debt securitiesAnnex V.Part 1.31, 44(b)0620Central banksAnnex V.Part 1.42(a)0630General governmentsAnnex V.Part 1.42(b)0640Credit institutionsAnnex V.Part 1.42(c)0650Other financial corporationsAnnex V.Part 1.42(d)0660Non-financial corporationsAnnex V.Part 1.42(e)0670Loans and advancesAnnex V.Part 1.32, 44(a) 0680Central banksAnnex V.Part 1.42(a)0690General governmentsAnnex V.Part 1.42(b)0700Credit institutionsAnnex V.Part 1.42(c)0710Other financial corporationsAnnex V.Part 1.42(d)0720Non-financial corporationsAnnex V.Part 1.42(e)0730HouseholdsAnnex V.Part 1.42(f)0740of which: collectively measured allowancesIFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.1580750of which: individually measured allowancesIFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.1580520Total allowance for debt instrumentsIFRS 7.B8E0530Commitments and financial guarantees given (Stage 1)IFRS 9.2.1|(g); 2.3(c); 5.5, B2.5; Annex V.Part 2.1570540Commitments and financial guarantees given (Stage 2)IFRS 9.2.1|(g); 2.3(c); 5.5.3, B2.5; Annex V.Part 2.1570550of which: non-performingAnnex V.Part 2.117 0560Commitments and financial guarantees given (Stage 3)IFRS 9.2.1|(g); 2.3(c); 5.5.1, B2.5; Annex V.Part 2.1570565Commitments and financial guarantees given (Purchased or originated credit-impaired)Annex V.Part 2.1560570Total provisions on commitments and financial guarantees givenIFRS 7.B8E; Annex V.Part 2.157

§ Article 47c

12.2 Transfers between impairment stages (gross basis presentation) References National GAAP compatible IFRSGross carrying amount / nominal amount Annex V.Part 1.34, Part 2.118, 167, 170Transfers 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 2.168-1690010002000300040005000600010Debt securitiesAnnex V.Part 1.31, 44(b)0020Central banksAnnex V.Part 1.42(a)0030General governmentsAnnex V.Part 1.42(b)0040Credit institutionsAnnex V.Part 1.42(c)0050Other financial corporationsAnnex V.Part 1.42(d)0060Non-financial corporationsAnnex V.Part 1.42(e)0070Loans and advancesAnnex V.Part 1.32, 44(a)0080Central banksAnnex V.Part 1.42(a)0090General governmentsAnnex V.Part 1.42(b)0100Credit institutionsAnnex V.Part 1.42(c) 0110Other financial corporationsAnnex V.Part 1.42(d)0120Non-financial corporationsAnnex V.Part 1.42(e)0130HouseholdsAnnex V.Part 1.42(f)0140Total debt instruments0150Commitments and financial guarantees givenIFRS 9.2.1|(g); 2.3(c); 5.5.1, 5.5.3, 5.5.5 13. Collateral and guarantees received 13.1 Breakdown of collateral and guarantees by loans and advances other than held for trading Guarantees and collateralReferences National GAAP based on BADReferences National GAAP compatible IFRSMaximum amount of the collateral or guarantee that can be considered Annex V.Part 2.171-172, 174Loans collateralized by immovable propertyOther collateralised loansFinancial guarantees receivedResidential immovable propertyCommercial immovable propertyCash, deposits, [debt securities issued]Movable propertyEquity and debt securitiesRestof which: credit derivativesIFRS 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)Annex V.Part 2.114(b)001000200030003100320041005000550010Loans and advancesAnnex V.Part 1.32, 44(a)Annex V.Part 1.32, 44(a)0015of which: non-performingCRR Art. 47a (3); Annex V. Part 2. 213-239, 260CRR Art. 47a (3); Annex V. Part 2. 213-239, 2600020of which: Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0030of which: Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0035of which: Small and Medium-sized Enterprises (SMEs)SME Art 1 2(a)SME Art 1 2(a) 0036of 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 2.239ix0037of which: Commercial real estate (CRE) loans to non-financial corporations other than SMEsAnnex V.Part 2.239ixAnnex V.Part 2.239ix0040of which: HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0050of which: Lending for house purchaseAnnex V.Part 2.88(b)Annex V.Part 2.88(b)0060of 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]

§ Article 47c

References National GAAP based on BADReferences National GAAP compatible IFRSCollateral 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 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 References National GAAP based on BADReferences National GAAP compatible IFRSCollateral 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 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 14. Fair value hierachy: financial instruments at fair value References National GAAP based on BADReferences National GAAP compatible IFRSFair value hierarchy IFRS 13.93 (b)Change in fair value for the period Annex V.Part 2.178Accumulated change in fair value before taxes Annex V.Part 2.179Level 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 13.8600100020003000400050006000700080ASSETS0010Financial assets held for tradingIFRS 7.8(a)(ii);IFRS 9.Appendix A0020DerivativesIFRS 9.Appendix A0030Equity instrumentsIAS 32.11,0040Debt securitiesAnnex V.Part 1.310050Loans and advancesAnnex V.Part 1.320051Trading financial assetsBAD Article 32-33; Annex V.Part 1.170052DerivativesCRR Annex II; Annex V.Part 1.170053Equity instrumentsECB/2013/33; Annex 2.Part 2.4-50054Debt securitiesAnnex V.Part 1.310055Loans and advancesAnnex V.Part 1.320056Non-trading financial assets mandatorily at fair value through profit or lossIFRS 9.4.1.4; IFRS 7.8(a)(ii)

§ Article 47c

0057Equity instrumentsIAS 32.110058Debt securitiesAnnex V.Part 1.310059Loans and advancesAnnex V.Part 1.320060Financial assets designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6); IAS 39.9IFRS 7.8(a)(i); IFRS 9.4.1.50070Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.110080Debt securitiesAnnex V.Part 1.31Annex V.Part 1.310090Loans and advancesAnnex V.Part 1.32Annex V.Part 1.320101Financial assets at fair value through other comprehensive incomeIFRS 7.8 (h); IFRS 9.4.1.2A0102Equity instrumentsIAS 32.110103Debt securitiesAnnex V.Part 1.310104Loans and advancesAnnex V.Part 1.320121Non-trading non-derivative financial assets measured at fair value through profit or lossAccounting Directive art 8(1)(a), (4) 0122Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50123Debt securitiesAnnex V.Part 1.310124Loans and advancesAccounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.320125Non-trading non-derivative financial assets measured at fair value to equityAccounting Directive art 8(1)(a), (6),(8)0126Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50127Debt securitiesAnnex V.Part 1.310128Loans and advancesAccounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.320140Derivatives – Hedge accountingAccounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22IFRS 9.6.2.1; Annex V.Part 1.22 LIABILITIES0150Financial liabilities held for tradingAccounting Directive art 4art 8(1)(a), (6); IAS 39.9, AG 14-15IFRS 7.8 (e) (ii); IFRS 9.BA.60160DerivativesCRR Annex IIIFRS 9.BA.7(a)0170Short positionsIFRS 9.BA.7(b)0180DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360190Debt securities issuedAnnex V.Part 1.31Annex V.Part 1.370200Other financial liabilitiesAnnex V.Part 1.32-34Annex V.Part 1.38-410201Trading financial liabilitiesAccounting Directive art 8(1)(a),(3),(6)0202DerivativesCRR Annex II; Annex V.Part 1.25, 270203Short positions 0204DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360205Debt securities issuedAnnex V.Part 1.370206Other financial liabilitiesAnnex V.Part 1.38-410210Financial liabilities designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6); IAS 39.9IFRS 7.8 (e) (i); IFRS 9.4.1.50220DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360230Debt securities issuedAnnex V.Part 1.37Annex V.Part 1.370240Other financial liabilitiesAnnex V.Part 1.38-41Annex V.Part 1.38-410250Derivatives – 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 15. Derecognition and financial liabilities associated with transferred financial assets References National GAAP based on BADReferences National GAAP compatible IFRSTransferred 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

§ Article 47c

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 2.182Annex 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 2.182001000200030004000500060007000800090010001100010Financial assets held for tradingIFRS 7.8(a)(ii);IFRS 9.Appendix A0020Equity instrumentsIAS 32.110030Debt securitiesAnnex V.Part 1.310040Loans and advancesAnnex V.Part 1.320041Trading financial assetsAccounting Directive art 8(1)(a), (6); Annex V.Part 1.150042Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50043Debt securitiesAnnex V.Part 1.310044Loans and advancesAnnex V.Part 1.32 0045Non-trading financial assets mandatorily at fair value through profit or lossIFRS 9.4.1.40046Equity instrumentsIAS 32.110047Debt securitiesAnnex V.Part 1.310048Loans and advancesAnnex V.Part 1.320050Financial assets designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6); IAS 39.9IFRS 7.8(a)(i); IFRS 9.4.1.50060Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.110070Debt securitiesAnnex V.Part 1.31Annex V.Part 1.310080Loans and advancesAnnex V.Part 1.32Annex V.Part 1.320091Financial assets at fair value through other comprehensive incomeIFRS 7.8(h); IFRS 9.4.1.2A 0092Equity instrumentsIAS 32.110093Debt securitiesAnnex V.Part 1.310094Loans and advancesAnnex V.Part 1.320121Non-trading non-derivative financial assets measured at fair value through profit or lossAccounting Directive art 8(1)(a), (4)0122Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50123Debt securitiesAnnex V.Part 1.310124Loans and advancesAccounting Directive art 8(1)(a), (4)(b); part 1.14, part 3.350125Non-trading non-derivative financial assets measured at fair value to equityAccounting Directive art 8(1)(a), 8(2) 0126Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50127Debt securitiesAnnex V.Part 1.310128Loans and advancesAccounting Directive art 8(1)(a), (4)(b);part 1.14, part 3.350131Financial assets at amortised costAccounting Directive art 42a(4)(b),(5a); IAS 39.9IFRS 7.8 (f); IFRS 9.4.1.20132Debt securitiesAnnex V.Part 1.24, 26Annex V.Part 1.310133Loans and advancesAnnex V.Part 1.24, 27Annex V.Part 1.320181Non-trading non-derivative financial assets measured at a cost-based methodBAD art 37.1; art 42a(4)(b); Annex V.Part 1.160200Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5 0182Debt securitiesAnnex V.Part 1.310183Loans and advancesAnnex V.Part 1.320184Other non-trading non-derivative financial assetsBAD art 35-370185Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50186Debt securitiesAnnex V.Part 1.310187Loans and advancesAnnex V.Part 1.320190Total

§ Article 47c
  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, 190001000200010Derivatives -TradingCRR Annex II; Annex V.Part 2.193IFRS 9.Appendix A, .BA.1, .BA.6; Annex V.Part 2.1930015of which: interest income from derivatives in economic hedgesAnnex V.Part 2.193Annex V.Part 2.1930020Debt securitiesAnnex V.Part 1.31, 44(b)Annex V.Part 1.31, 44(b)0030Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0040General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0050Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0060Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0070Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0080Loans and advancesAnnex V.Part 1.32, 44(a)Annex V.Part 1.32, 44(a)0090Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0100General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0110Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0120Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0130Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0140HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0141of which: lending for house purchaseAnnex V.Part 2.88(b), 194iAnnex V.Part 2.88(b), 194i0142of which: credit for consumptionAnnex V.Part 2.88(a), 194iAnnex V.Part 2.88(a), 194i0150Other assetsAnnex V.Part 2.5Annex V.Part 2.5 0160DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360170Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0180General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0190Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0200Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0210Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0220HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0230Debt securities issuedAnnex V.1.37Annex V.Part 1.370240Other financial liabilitiesAnnex V.Part 1.32-34, Part 2.191Annex V.Part 1.32-34, Part 2.1910250Derivatives - Hedge accounting, interest rate riskAnnex V.Part 2.192Annex V.Part 2.1920260Other LiabilitiesAnnex V.Part 1.38-41Annex V.Part 1.38-410270INTERESTBAD art 27.Vertical layout(1), (2)IAS 1.970280of which: interest-income on credit impaired financial assetsIFRS 9.5.4.1; .B5.4.7; Annex V.Part 2.1940290of 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 2.195-19600100010Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5Annex V.Part 1.280020Debt securitiesAnnex V.Part 1.31Annex V.Part 1.310030Loans and advancesAnnex V.Part 1.32Annex V.Part 1.32
§ Article 47c

0040DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360050Debt securities issuedAnnex V.Part 1.37Annex V.Part 1.370060Other financial liabilitiesAnnex V.Part 1.38-41Annex V.Part 1.38-410070GAINS 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 2.197-19800100010DerivativesIFRS 9.Appendix A, .BA.1, .BA.7(a)0015of which: Economic hedges with use of the fair value optionIFRS 9.6.7.1; IFRS 7.9(d); Annex V.Part 2.1990020Equity instrumentsIAS 32.110030Debt securitiesAnnex V.Part 1.310040Loans and advancesAnnex V.Part 1.320050Short positionsIFRS 9.BA.7(b)0060DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0070Debt securities issuedAnnex V.Part 1.370080Other financial liabilitiesAnnex V.Part 1.38-410090GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NETIFRS 9.Appendix A, .BA.6;IFRS 7.20(a)(i)0095of which: gains and losses due to the reclassification of assets at amortised costIFRS 9.5.6.2; annex V.Part 2.1990100DerivativesCRR Annex II0110Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50120Debt securitiesAnnex V.Part 1.310130Loans and advancesAnnex V.Part 1.320140Short positions0150DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360160Debt securities issuedAnnex V.Part 1.370170Other financial liabilitiesAnnex V.Part 1.38-410180GAINS 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 period00100010Interest rate instruments and related derivativesAnnex V.Part 2.200(a)0020Equity instruments and related derivativesAnnex V.Part 2.200(b)0030Foreign exchange trading and derivatives related with foreign exchange and goldAnnex V.Part 2.200(c) 0040Credit risk instruments and related derivativesAnnex V.Part 2.200(d)0050Derivatives related with commoditiesAnnex V.Part 2.200(e)0060OtherAnnex V.Part 2.200(f)0070GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NETBAD art 27.Vertical layout(6)IFRS 7.20(a)(i)0080Interest rate instruments and related derivativesAnnex V.Part 2.200(a)0090Equity instruments and related derivativesAnnex V.Part 2.200(b)0100Foreign exchange trading and derivatives related with foreign exchange and goldAnnex V.Part 2.200(c)0110Credit risk instruments and related derivativesAnnex V.Part 2.200(d)0120Derivatives related with commoditiesAnnex V.Part 2.200(e)0130OtherAnnex V.Part 2.200(f)0140GAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NETBAD art 27.Vertical layout(6)

§ Article 47c

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 2.20100100020Equity instrumentsIAS 32.110030Debt securitiesAnnex V.Part 1.310040Loans and advancesAnnex V.Part 1.32 0090GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT AND LOSS, NETIFRS 7.20(a)(i)0100of 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 2.203001000200010Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.110020Debt securitiesAnnex V.Part 1.31Annex V.Part 1.310030Loans and advancesAnnex V.Part 1.32Annex V.Part 1.320040DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360050Debt securities issuedAnnex V.Part 1.37Annex V.Part 1.370060Other financial liabilitiesAnnex V.Part 1.38-41Annex V.Part 1.38-410070GAINS 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)0071of 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 2.204 0072of 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 2.2040080Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50090Debt securitiesAnnex V.Part 1.310100Loans and advancesAnnex V.Part 1.320110DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360120Debt securities issuedAnnex V.Part 1.370130Other financial liabilitiesAnnex V.Part 1.38-410140GAINS 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 2.207References National GAAP compatible IFRSCurrent periodAnnex V.Part 2.20500100010Fair 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)0020Fair 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 2.2060030Ineffectiveness 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) 0040Ineffectiveness 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)0050GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NETAccounting Directive art 8(1)(a), (6), (8)(a)

§ Article 47c

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 2.2080010002000400060Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associatesBAD art 27.Vertical layout(13)-(14)IAS 28.40-430070SubsidiariesIFRS 10 Appendix A0080Joint venturesIAS 28.30090AssociatesIAS 28.30100Impairment or (-) reversal of impairment on non-financial assetsIAS 36.126(a),(b)0110Property, plant and equipmentBAD art 27.Vertical layout(9)IAS 16.73(e)(v-vi)0120Investment propertiesBAD art 27.Vertical layout(9)IAS 40.79(d)(v)0130GoodwillBAD art 27.Vertical layout(9)IAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v)0140Other intangible assetsBAD art 27.Vertical layout(9)IAS 38.118(e)(iv)(v)0145OtherIAS 36.126(a),(b)0150TOTAL 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 2.20900100010Cash, cash balances at central banks and other demand depositsBAD art 4.Assets(1)IAS 1.54 (i)0020Cash on handAnnex V.Part 2.1Annex V.Part 2.10030Cash balances at central banksBAD art 13(2); Annex V.Part 2.2Annex V.Part 2.20040Other demand depositsAnnex V.Part 2.3Annex V.Part 2.30050Financial assets held for tradingAccounting Directive art 8(1)(a), (5); IAS 39.9IFRS 7.8(a)(ii);IFRS 9.Appendix A0060DerivativesCRR Annex IIIFRS 9.Appendix A0070Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.110080Debt securitiesAnnex V.Part 1.24, 26Annex V.Part 1.310090Loans and advancesAnnex V.Part 1.24, 27Annex V.Part 1.320091Trading financial assetsBAD Article 32-33; Annex V.Part 1.170092DerivativesCRR Annex II; Annex V.Part 1.170093Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50094Debt securitiesAnnex V.Part 1.310095Loans and advancesAnnex V.Part 1.32

§ Article 47c

0096Non-trading financial assets mandatorily at fair value through profit or lossIFRS 9.4.1.40097Equity instrumentsIAS 32.110098Debt securitiesAnnex V.Part 1.310099Loans and advancesAnnex V.Part 1.320100Financial assets designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6)IFRS 7.8(a)(i); IFRS 9.4.1.50110Equity instrumentsIAS 32.11;ECB/2013/33 Annex 2.Part 2.4-50120Debt securitiesAnnex V.Part 1.31Annex V.Part 1.310130Loans and advancesAnnex V.Part 1.32Annex V.Part 1.320141Financial assets at fair value through other comprehensive incomeIFRS 7.8(h); IFRS 9.4.1.2A0142Equity instrumentsIAS 32.110143Debt securitiesAnnex V.Part 1.310144Loans and advancesAnnex V.Part 1.320171Non-trading non-derivative financial assets measured at fair value through profit or lossBAD art 36(2)0172Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50173Debt securitiesAnnex V.Part 1.310174Loans and advancesAccounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 0175Non-trading non-derivative financial assets measured at fair value to equityAccounting Directive art 8(1)(a), (8)0176Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50177Debt securitiesAnnex V.Part 1.310178Loans and advancesAccounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.320181Financial assets at amortised costIFRS 7.8(f); IFRS 9.4.1.20182Debt securitiesAnnex V.Part 1.310183Loans and advancesAnnex V.Part 1.320231Non-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, 190380Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50232Debt securitiesAnnex V.Part 1.310233Loans and advancesAnnex V.Part 1.320234Other non-trading non-derivative financial assetsBAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.200235Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50236Debt securitiesAnnex V.Part 1.310237Loans and advancesAnnex V.Part 1.320240Derivatives – Hedge accountingAccounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22IFRS 9.6.2.1; Annex V.Part 1.22 0250Fair 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 9.6.5.80260Investments 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, 2100270Assets under reinsurance and insurance contractsAnnex V.Part 2.211IFRS 4.IG20.(b)-(c); Annex V.Part 2.2110280Tangible assetsBAD art 4.Assets(10)0290Intangible assetsBAD art 4.Assets(9); CRR art 4(1)(115)IAS 1.54(c); CRR art 4(1)(115)0300GoodwillBAD art 4.Assets(9); CRR art 4(1)(113)IFRS 3.B67(d); CRR art 4(1)(113)0310Other intangible assetsBAD art 4.Assets(9)IAS 38.8,1180320Tax assetsIAS 1.54(n-o)0330Current tax assetsIAS 1.54(n); IAS 12.50340Deferred tax assetsAccounting Directive art 17(1)(f); CRR art 4(1)(106)IAS 1.54(o); IAS 12.5; CRR art 4(1)(106)0350Other assetsAnnex V.Part 2.5, 6Annex V.Part 2.50360Non-current assets and disposal groups classified as held for saleIAS 1.54(j); IFRS 5.38, Annex V.Part 2.60365(-) Haircuts for trading assets valued at fair valueAnnex V Part 1.290370TOTAL ASSETSBAD art 4 AssetsIAS 1.9(a), IG 6

§ Article 47c

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, 20900100010Loan 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, 1160020Financial 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, 1160030Other 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, 1160040OFF-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 2.20900100010Financial liabilities held for tradingIFRS 7.8 (e) (ii); IFRS 9.BA.60020DerivativesIFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)0030Short positionsIFRS 9.BA7(b)0040DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360050Debt securities issuedAnnex V.Part 1.370060Other financial liabilitiesAnnex V.Part 1.38-410061Trading financial liabilitiesAccounting Directive art 8(1)(a),(3),(6)0062DerivativesCRR Annex II; Annex V.Part 1.25, 27 0063Short positions0064DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360065Debt securities issuedAnnex V.Part 1.370066Other financial liabilitiesAnnex V.Part 1.38-410070Financial liabilities designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6); IAS 39.9IFRS 7.8 (e)(i); IFRS 9.4.2.20080DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360090Debt securities issuedAnnex V.Part 1.37Annex V.Part 1.370100Other financial liabilitiesAnnex V.Part 1.38-41Annex V.Part 1.38-410110Financial liabilities measured at amortised costAccounting Directive art 8(3), (6); IAS 39.47IFRS 7.8(g); IFRS 9.4.2.10120DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360130Debt securities issuedAnnex V.Part 1.31Annex V.Part 1.370140Other financial liabilitiesAnnex V.Part 1.32-34Annex V.Part 1.38-410141Non-trading non-derivative financial liabilities measured at a cost-based methodAccounting Directive art 8(3)0142DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360143Debt securities issuedAnnex V.Part 1.370144Other financial liabilitiesAnnex V.Part 1.38-41 0150Derivatives – Hedge accountingAccounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.26IFRS 9.6.2.1; Annex V.Part 1.260160Fair 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 9.6.5.80170Liabilities under insurance and reinsurance contractsAnnex V.Part 2.212IFRS 4.IG20(a); Annex V.Part 2.2120180ProvisionsBAD art 4.Liabilities(6)IAS 37.10; IAS 1.54(l)0190Tax liabilitiesIAS 1.54(n-o)0200Current tax liabilitiesIAS 1.54(n); IAS 12.50210Deferred tax liabilitiesAccounting Directive art 17(1)(f); CRR art 4(1)(108)IAS 1.54(o); IAS 12.5; CRR art 4(1)(108)0220Share capital repayable on demandIAS 32 IE 33; IFRIC 2; Annex V.Part 2.120230Other liabilitiesAnnex V.Part 2.13Annex V.Part 2.130240Liabilities included in disposal groups classified as held for saleIAS 1.54 (p); IFRS 5.38, Annex V.Part 2.140245Haircuts for trading liabilities valued at fair valueAnnex V Part 1.290250LIABILITIESIAS 1.9(b);IG 60260CapitalBAD art 4.Liabilities(9), BAD art 22IAS 1.54(r), BAD art 220270Share premiumBAD art 4.Liabilities(10); CRR art 4(124)IAS 1.78(e); CRR art 4(1)(124)0280Equity instruments issued other than capitalAnnex V.Part 2.18-19Annex V.Part 2.18-19

§ Article 47c

0290Other equityAnnex V.Part 2.20IFRS 2.10; Annex V.Part 2.200300Accumulated other comprehensive incomeCRR art 4(1)(100)CRR art 4(1)(100)0310Retained earningsCRR art 4(1)(123)CRR art 4(1)(123)0320Revaluation reservesBAD art 4.Liabilities(12)IFRS 1.33, D5-D80325Fair value reservesAccounting Directive art 8(1)(a)0330Other reservesBAD art 4.Liabilities (11)-(13)IAS 1.54; IAS 1.78 (e)0335First consolidation differencesAccounting Directive art 24(3)(c)0340 (-) Treasury shares Accounting 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 2.280350Profit or loss attributable to owners of the parentBAD art 4.Liabilities(14)IFRS 10.B940360 (-) Interim dividends CRR Article 26 (2)IAS 32.350370Minority interests [Non-controlling interests]Accounting Directive art 24(4)IAS 1.54(q); IFRS 10.22, .B940380TOTAL EQUITYIAS 1.9(c), IG 60390TOTAL 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 provisionsMaximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119PerformingNon-performingPerforming exposures - Accumulated impairment and provisionsNon-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 daysPast due > 30 days <= 90 daysOf 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)Of which: purchased or originated credit-impaired financial assetsUnlikely to pay that are not past-due or past-due < = 90 daysPast due > 90 days <= 180 daysPast due > 180 days <= 1 yearPast due > 1 year <= 2 yearsPast due > 2 year <= 5 yearsPast due > 5 year <= 7 yearsPast due > 7 yearsOf 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: purchased or originated credit-impaired financial assetsof which: impairedof which: Past due > 30 days <= 90 daysof 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)of which: purchased or originated credit-impaired financial assetsUnlikely to pay that are not past-due or past-due < = 90 daysPast due > 90 days <= 180 daysPast due > 180 days <= 1 yearPast due > 1 year < = 2 yearPast due > 2 year < = 5 yearPast due > 5 year <= 7 yearsPast due > 7 yearsOf which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)Of which: Credit-impaired instruments (Stage 3)of which: purchased or originated credit-impaired financial assetsCollateral received on performing exposuesCollateral received on non-performing exposuesFinancial guarantees received on performing exposuresFinancial guarantees received on non-performing exposures00100020003000550056005700580060007000800090010101020106010701090110012109000122013001400910014101420143015001600170018001910192019601970950095109520201020002050210References 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)IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e)CRR Art. 47a (3); 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)IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e)Annex V. Part 2. 238Annex V. Part 2. 238Annex V. Part 2. 222, 235, 237(f)IFRS 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)IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e)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)IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e)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, 235CRR Art. 47a (3); 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, 235-236CRR 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. 222, 235Annex 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. 2390005Cash balances at central banks and other demand depositsBAD art 13(2); Annex V.Part 2.2, 3Annex V.Part 2.2, 30010Debt securitiesAnnex V.Part 1.31, 44(b)Annex V.Part 1.31, 44(b)0020Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0030General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0040Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0050Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0060Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0070Loans and advancesAnnex V.Part 1.32, 44(a)Annex V.Part 1.32, 44(a)0080Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)

§ Article 47c

0090General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0100Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0110Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0120Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0130Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)SME Art 1 2(a)0140Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)0150HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0160Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)0170Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)Annex V.Part 2.88(a), 234i (b) 0180DEBT INSTRUMENTS AT COST OR AT AMORTISED COSTAnnex V.Part 2.233(a)Annex V.Part 2.233(a)0181Debt securitiesAnnex V.Part 1.31, 44(b)Annex V.Part 1.31, 44(b)0182Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0183General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0184Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0185Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0186Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0191Loans and advancesAnnex V.Part 1.32, 44(a)Annex V.Part 1.32, 44(a)0192Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0193General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b) 0194Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0195Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0196Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0900Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)SME Art 1 2(a)0903Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)0197HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0910Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)0913Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)Annex V.Part 2.88(a), 234i (b)0201DEBT 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) 0211Debt securitiesAnnex V.Part 1.31, 44(b)Annex V.Part 1.31, 44(b)0212Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0213General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0214Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0215Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0216Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0221Loans and advancesAnnex V.Part 1.32, 44(a)Annex V.Part 1.32, 44(a)0222Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0223General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0224Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c) 0225Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0226Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0920Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)SME Art 1 2(a)0923Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)0227HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0930Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)0933Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)Annex V.Part 2.88(a), 234i (b)0231DEBT 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), 234

§ Article 47c

0330DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADINGAnnex V.Part 2.217Annex V.Part 2.2170335DEBT INSTRUMENTS HELD FOR SALEAnnex V.Part 2.2200340Loan 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, 1160350Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0360General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0370Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0380Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0390Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0400HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f) 0410Financial 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, 1160420Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0430General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0440Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0450Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0460Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0470HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0480Other 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 0490Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0500General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0510Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0520Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0530Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0540HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0550OFF-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 References National GAAP based on BADReferences National GAAP compatible IFRSGross 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- 239viAnnex 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), 239ix

§ Article 47c

0090Of 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 References National GAAP based on BADReferences National GAAP compatible IFRSGross carrying amountAccumulated impairment, accumulated negative changes in fair value due to credit riskMaximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119of 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 daysPast due > 30 days <= 90 daysof which: performing exposures with forbearance measuresUnlikely to pay that are not past-due or past-due < = 90 daysPast due > 90 days <= 180 daysPast due > 180 days <= 1 yearPast due > 1 year <= 2 yearsPast due > 2 year <= 5 yearsPast due > 5 year <= 7 yearsPast 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 daysPast due > 90 days <= 180 daysPast due > 180 days <= 1 yearPast due > 1 year < = 2 yearPast due > 2 year < = 5 yearPast due > 5 year <= 7 yearsPast 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-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. 239Annex 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), 239viii

§ Article 47c

0060Of 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 19. 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 provisionsMaximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119Performing 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 conditionsRefinancingof which: Defaultedof which: Impairedof which: Forbearance of exposures non-performing prior to forbearanceInstruments 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 measures00100020003000400050006000700080009001000110012001300140015001600170017501800185References National GAAP compatible IFRSCRR Art. 47b (1), (2); Annex V. Part 1.34, Part 2. 118, 240-245, 251-258Annex V. Part 2. 256, 259-261CRR Art. 47b (1); Annex V. Part 2.240, 266CRR Art. 47b (1); Annex V. Part 2. 240, 244, 265-266CRR Art. 47a (7); Annex V. Part 2. 256, 261Annex V. Part 2. 259-263CRR Art. 47b (1); Annex V. Part 2.240, 266CRR Art. 47b (1); Annex V. Part 2. 240, 244, 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)CRR Art. 47b (2), lett. c; Annex V. Part 2. 231, 263Annex V. Part 2. 267Annex V. Part 2. 207Annex V. Part 2. 207CRR Art. 47b (1); Annex V. Part 2. 240, 267CRR Art. 47b (1); Annex V. Part 2. 240, 244, 267Annex V. Part 2. 268Annex V. Part 2. 268Annex V. Part 2. 268Annex V. Part 2. 268References National GAAP based on BADCRR Art. 47b (1), (2); Annex V. Part 1.34, Part 2. 118, 240-245, 251-255Annex V. Part 2. 256, 259-261CRR Art. 47b (1); Annex V. Part 2.240, 266CRR Art. 47b (1); Annex V. Part 2. 240, 265-266CRR Art. 47a (7); Annex V. Part 2. 256, 261Annex V. Part 2. 259-263CRR Art. 47b (1); Annex V. Part 2.240, 266CRR Art. 47b (1); Annex V. Part 2. 240, 265-266CRR art 178; Annex V. Part 2.264(b)CRR art 4(95); Annex V.Part 2.264(a)CRR Art. 47b (2), lett. c; Annex V. Part 2. 231, 263Annex V. Part 2. 267Annex V. Part 2. 207Annex V. Part 2. 207CRR Art. 47b (1); Annex V. Part 2. 240, 267CRR Art. 47b (1); Annex V. Part 2. 240, 267Annex V. Part 2. 268Annex V. Part 2. 268Annex V. Part 2. 268Annex V. Part 2. 2680005Cash balances at central banks and other demand depositsBAD art 13(2); Annex V.Part 2.2, 3Annex V.Part 2.2, 30010Debt securitiesAnnex V.Part 1.31, 44(b)Annex V.Part 1.31, 44(b)0020Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0030General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0040Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0050Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)

§ Article 47c

0060Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0070Loans and advancesAnnex V.Part 1.32, 44(a)Annex V.Part 1.32, 44(a)0080Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0090General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0100Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0110Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0120Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0130Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)SME Art 1 2(a) 0140Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)0150HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0160Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)0170Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)Annex V.Part 2.88(a), 234i (b)0180DEBT INSTRUMENTS AT COST OR AT AMORTISED COSTAnnex V.Part 2.249(a)Annex V.Part 2.249(a)0181Debt securitiesAnnex V.Part 1.31, 44(b)Annex V.Part 1.31, 44(b) 0182Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0183General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0184Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0185Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0186Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0191Loans and advancesAnnex V.Part 1.32, 44(a)Annex V.Part 1.32, 44(a)0192Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0193General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b) 0194Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0195Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0196Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0900Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)SME Art 1 2(a)0903Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)0197HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0910Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a) 0913Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)Annex V.Part 2.88(a), 234i (b)0201DEBT 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)0211Debt securitiesAnnex V.Part 1.31, 44(b)Annex V.Part 1.31, 44(b)0212Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0213General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0214Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0215Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d) 0216Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0221Loans and advancesAnnex V.Part 1.32, 44(a)Annex V.Part 1.32, 44(a)0222Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0223General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0224Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0225Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0226Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0920Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)SME Art 1 2(a)

§ Article 47c

0923Of which: Loans collateralised by commercial immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)0227HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0930Of which: Loans collateralised by residential immovable propertyAnnex V.Part 2.86(a), 87, 234i (a)Annex V.Part 2.86(a), 87, 234i (a)0933Of which: Credit for consumptionAnnex V.Part 2.88(a), 234i (b)Annex V.Part 2.88(a), 234i (b)0231DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENTAnnex V.Part 2.249Annex V.Part 2.249 0330DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADINGAnnex V.Part 2.246Annex V.Part 2.2460335DEBT INSTRUMENTS HELD FOR SALEAnnex V.Part 2.2470340Loan 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 20. Geographical breakdown 20.1 Geographical breakdown of assets by location of the activities References National GAAP based on BADReferences National GAAP compatible IFRSCarrying amount Annex V.Part 1.27-28Domestic activitiviesNon-domestic activitiesAnnex V.Part 2.270Annex V.Part 2.270001000200010Cash, cash balances at central banks and other demand depositsBAD art 4.Assets(1)IAS 1.54 (i)0020Cash on handAnnex V.Part 2.1Annex V.Part 2.10030Cash balances at central banksBAD art 13(2); Annex V.Part 2.2Annex V.Part 2.20040Other demand depositsAnnex V.Part 2.3Annex V.Part 2.30050Financial assets held for tradingAccounting Directive art 8(1)(a), (5); IAS 39.9IFRS 9. Appendix A0060DerivativesCRR Annex IIIFRS 9. Appendix A0070Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.110080Debt securitiesAnnex V.Part 1.24, 26Annex V.Part 1.310090Loans and advancesAnnex V.Part 1.24, 27Annex V.Part 1.320091Trading financial assetsBAD Article 32-33; Annex V.Part 1.170092DerivativesCRR Annex II; Annex V.Part 1.17, 270093Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50094Debt securitiesAnnex V.Part 1.310095Loans and advancesAnnex V.Part 1.320096Non-trading financial assets mandatorily at fair value through profit or lossIFRS 7.8(a)(ii); IFRS 9.4.1.40097Equity instrumentsIAS 32.110098Debt securitiesAnnex V.Part 1.310099Loans and advancesAnnex V.Part 1.320100Financial 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 0110Equity instrumentsIAS 32.11;ECB/2013/33 Annex 2.Part 2.4-50120Debt securitiesAnnex V.Part 1.31Annex V.Part 1.310130Loans and advancesAnnex V.Part 1.32Annex V.Part 1.320141Financial assets at fair value through other comprehensive incomeIFRS 7.8(h); IFRS 9.4.1.2A0142Equity instrumentsIAS 32.110143Debt securitiesAnnex V.Part 1.310144Loans and advancesAnnex V.Part 1.320171Non-trading non-derivative financial assets measured at fair value through profit or lossBAD art 36(2)0172Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50173Debt securitiesAnnex V.Part 1.310174Loans and advancesAccounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.320175Non-trading non-derivative financial assets measured at fair value to equityAccounting Directive art 8(1)(a), (8)0176Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50177Debt securitiesAnnex V.Part 1.310178Loans and advancesAccounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.320181Financial assets at amortised costIFRS 7.8(f); IFRS 9.4.1.20182Debt securitiesAnnex V.Part 1.310183Loans and advancesAnnex V.Part 1.320231Non-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, 19

§ Article 47c

0330Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50232Debt securitiesAnnex V.Part 1.310233Loans and advancesAnnex V.Part 1.320234Other non-trading non-derivative financial assetsBAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.200235Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50236Debt securitiesAnnex V.Part 1.310237Loans and advancesAnnex V.Part 1.320240Derivatives – Hedge accountingAccounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22IFRS 9.6.2.1; Annex V.Part 1.220250Fair 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 9.6.5.80260Tangible assetsBAD art 4.Assets(10)0270Intangible assetsBAD art 4.Assets(9); CRR art 4(1)(115)IAS 1.54(c); CRR art 4(1)(115)0280Investments 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 2.40290Tax assetsIAS 1.54(n-o)0300Other assetsAnnex V.Part 2.5, 6Annex V.Part 2.50310Non-current assets and disposal groups classified as held for saleIAS 1.54(j); IFRS 5.38, Annex V.Part 2.70315 (-) Haircuts for trading assets valued at fair value Annex V Part 1.290320ASSETSBAD 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 IFRSCarrying amount Annex V.Part 1.27-28Domestic activitiviesNon-domestic activitiesAnnex V.Part 2.270Annex V.Part 2.270001000200010Financial liabilities held for tradingIFRS 7.8 (e) (ii); IFRS 9.BA.60020DerivativesIFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)0030Short positionsIFRS 9.BA7(b)0040DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360050Debt securities issuedAnnex V.Part 1.370060Other financial liabilitiesAnnex V.Part 1.38-410061Trading financial liabilitiesAccounting Directive art 8(1)(a),(3),(6)0062DerivativesCRR Annex II; Annex V.Part 1.250063Short positions0064DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360065Debt securities issuedAnnex V.Part 1.370066Other financial liabilitiesAnnex V.Part 1.38-410070Financial liabilities designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6); IAS 39.9IFRS 7.8 (e)(i); IFRS 9.4.2.20080DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360090Debt securities issuedAnnex V.Part 1.37Annex V.Part 1.370100Other financial liabilitiesAnnex V.Part 1.38-41Annex V.Part 1.38-410110Financial liabilities measured at amortised costAccounting Directive art 8(3), (6); IAS 39.47IFRS 7.8(g); IFRS 9.4.2.1 0120DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360130Debt securities issuedAnnex V.Part 1.31Annex V.Part 1.370140Other financial liabilitiesAnnex V.Part 1.32-34Annex V.Part 1.38-410141Non-trading non-derivative financial liabilities measured at a cost-based methodAccounting Directive art 8(3)0142DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360143Debt securities issuedAnnex V.Part 1.370144Other financial liabilitiesAnnex V.Part 1.38-410150Derivatives – Hedge accountingAccounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.26IFRS 9.6.2.1; Annex V.Part 1.260160Fair 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 9.6.5.80170ProvisionsBAD art 4.Liabilities(6)IAS 37.10; IAS 1.54(l)0180Tax liabilitiesIAS 1.54(n-o)0190Share capital repayable on demandIAS 32 IE 33; IFRIC 2; Annex V.Part 2.120200Other liabilitiesAnnex V.Part 2.13Annex V.Part 2.130210Liabilities included in disposal groups classified as held for saleIAS 1.54 (p); IFRS 5.38, Annex V.Part 2.140215Haircuts for trading liabilities valued at fair valueAnnex V Part 1.290220LIABILITIESIAS 1.9(b);IG 6

§ Article 47c

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 2.270001000200010Interest incomeBAD art 27.Vertical layout(1); Annex V.Part 2.31IAS 1.97; Annex V.Part 2.310020(Interest expenses)BAD art 27.Vertical layout(2); Annex V.Part 2.31IAS 1.97; Annex V.Part 2.310030(Expenses on share capital repayable on demand)IFRIC 2.110040Dividend incomeBAD art 27.Vertical layout(3); Annex V.Part 2.40Annex V.Part 2.400050Fee and commission incomeBAD art 27.Vertical layout(4)IFRS 7.20(c)0060(Fee and commission expenses)BAD art 27.Vertical layout(5)IFRS 7.20(c)0070Gains 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 2.450080Gains 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, 460083Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or lossIFRS 9.5.7.10085Gains or (-) losses on trading financial assets and liabilities, netBAD art 27.Vertical layout(6)0090Gains 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 2.440095Gains or (-) losses on non-trading financial assets and liabilities, netBAD art 27.Vertical layout(6) 0100Gains or (-) losses from hedge accounting, netAccounting Directive art 8(1)(a), (6), (8)Annex V.Part 2.47-480110Exchange differences [gain or (-) loss], netBAD art 39IAS 21.28, 52 (a)0120Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, netBAD art 27.Vertical layout(13)-(14); Annex V Part 2.56Annex V Part 2.560130Gains or (-) losses on derecognition of non financial assets, netIAS 1.340140Other operating incomeBAD art 27.Vertical layout(7); Annex V.Part 2.314-316Annex V.Part 2.314-3160150(Other operating expenses)BAD art 27.Vertical layout(10); Annex V.Part 2.314-316Annex V.Part 2.314-3160155TOTAL OPERATING INCOME, NET0160(Administrative expenses)BAD art 27.Vertical layout(8)0165(Cash contributions to resolution funds and deposit guarantee schemes)Annex V.Part 2.48iAnnex V.Part 2.48i0170(Depreciation)IAS 1.102, 1040171Modification gains or (-) losses, netIFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.490175(Increases or (-) decreases of the fund for general banking risks, net)BAD art 38.20180(Provisions or (-) reversal of provisions)IAS 37.59, 84; IAS 1.98(b)(f)(g)0190(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, 530200(Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates)BAD art 27.Vertical layout(13)-(14)IAS 28.40-430210(Impairment or (-) reversal of impairment on non-financial assets)IAS 36.126(a)(b)

§ Article 47c

0220Negative goodwill recognised in profit or lossAccounting Directive art 24(3)(f)IFRS 3.Appendix B64(n)(i)0230Share of the profit or (-) loss of investments in subsidaries, joint ventures and associatesBAD art 27.Vertical layout(13)-(14)Annex V.Part 2.540240Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operationsIFRS 5.37; Annex V.Part 2.550250PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONSIAS 1.102, IG 6; IFRS 5.33 A0260(Tax expense or (-) income related to profit or loss from continuing operations)BAD art 27.Vertical layout(15)IAS 1.82(d); IAS 12.770270PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONSBAD art 27.Vertical layout(16)IAS 1, IG 60275Extraordinary profit or (-) loss after taxBAD art 27.Vertical layout(21)0280Profit or (-) loss after tax from discontinued operationsIAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.560290PROFIT 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: References National GAAP based on BADReferences National GAAP compatible IFRSGross 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 impairment, including cash balances at central banks and other demand depositsOf which: forborneOf which: non-perfomingof which: defaultedAnnex 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 2.274001000110012002200250026003100400010DerivativesCRR Annex II; Annex V.Part 2.272IFRS 9 Appendix A, Annex V.Part 2.2720020Of which: credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0030Of which: other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0040Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b)IAS 32.110050Of which: credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c) 0060Of which: other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0070Of which: non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0075Cash balances at central banks and other demand depositsBAD art 13(2); Annex V.Part 2.2, 3, 273Annex V.Part 2.2, 30080Debt securitiesAnnex V.Part 1.31, 44(b)Annex V.Part 1.31, 44(b)0090Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0100General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0110Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c) 0120Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0130Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0140Loans and advancesAnnex V.Part 1.32, 44(a)Annex V.Part 1.32, 44(a)0150Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0160General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0170Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0180Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)

§ Article 47c

0190Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0200Of which: Small and Medium-sized EnterprisesSME Art 1 2(a)SME Art 1 2(a)0210Of which: Loans collateralized by commercial immovable propertyAnnex V.Part 2.86(a), 87Annex V.Part 2.86(a), 870220HouseholdsAnnex V.Part 1.42(f)Annex V.Part 1.42(f)0230Of which: Loans collateralized by residential immovable propertyAnnex V.Part 2.86(a), 87Annex V.Part 2.86(a), 870240Of 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: References National GAAP based on BADReferences National GAAP compatible IFRSNominal 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 2.276001000220025002600300010Loan 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, 1160020Financial 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, 1160030Other 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, 2.27100100010DerivativesCRR 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 2.2720020Of which: credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0030Of which: other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0040Short positionsAnnex V.Part 1.44(d)IFRS 9.BA7(b); Annex V.Part 1.44(d)0050Of which: credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0060Of which: other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0070DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360080Central banksAnnex V.Part 1.42(a)Annex V.Part 1.42(a)0090General governmentsAnnex V.Part 1.42(b)Annex V.Part 1.42(b)0100Credit institutionsAnnex V.Part 1.42(c)Annex V.Part 1.42(c)0110Other financial corporationsAnnex V.Part 1.42(d)Annex V.Part 1.42(d)0120Non-financial corporationsAnnex V.Part 1.42(e)Annex V.Part 1.42(e)0130HouseholdsAnnex 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: ReferencesNon-financial corporations Annex V. Part 2.271, 277Gross 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 2.274001000110012002100220010A Agriculture, forestry and fishingNACE Regulation0020B Mining and quarryingNACE Regulation0030C ManufacturingNACE Regulation0040D Electricity, gas, steam and air conditioning supplyNACE Regulation0050E Water supplyNACE Regulation0060F ConstructionNACE Regulation0070G Wholesale and retail tradeNACE Regulation0080H Transport ans storageNACE Regulation0090I Accommodation and food service activitiesNACE Regulation0100J Information and communicationNACE Regulation

§ Article 47c

0105K Financial and insurance activitiesNACE Regulation0110L Real estate activitiesNACE Regulation0120M Professional, scientific and technical activitiesNACE Regulation0130N Administrative and support service activitiesNACE Regulation0140O Public administration and defence, compulsory social securityNACE Regulation0150P EducationNACE Regulation0160Q Human health services and social work activitiesNACE Regulation0170R Arts, entertainment and recreationNACE Regulation0180S Other servicesNACE Regulation0190LOANS 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 2.278-27900100010Property plant and equipmentIAS 16.6; IAS 1.54(a)0020Revaluation modelIAS 17.49; IAS 16.31, 73(a)(d)0030Cost modelIAS 17.49; IAS 16.30, 73(a)(d)0040Investment propertyIAS 40.IN5; IAS 1.54(b)0050Fair value modelIAS 17.49; IAS 40.33-55, 760060Cost modelIAS 17.49; IAS 40.56,79(c)0070Other intangible assetsBAD art 4.Assets(9)IAS 38.8, 1180080Revaluation modelIAS 17.49; IAS 38.75-87, 124(a)(ii)0090Cost 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 )00100010Fee and commission incomeAnnex V.Part 2.281-2840020Securities0030IssuancesAnnex V.Part 2.284(a)Annex V.Part 2.284(a)0040Transfer ordersAnnex V.Part 2.284(b)Annex V.Part 2.284(b)0050Other fee and commission income in relation to securitiesAnnex V.Part 2.284(c)Annex V.Part 2.284(c)0051Corporate Finance0052M&A advisoryAnnex V.Part 2.284 (e)Annex V.Part 2.284 (e)0053Treasury servicesAnnex V.Part 2.284(f)Annex V.Part 2.284(f)0054Other fee and commission income in relation to corporate finance activitiesAnnex V.Part 2.284(g)Annex V.Part 2.284(g)0055Fee based adviceAnnex V.Part 2.284(h)Annex V.Part 2.284(h)0060Clearing and settlementAnnex V.Part 2.284(i)Annex V.Part 2.284(i)0070Asset managementAnnex V.Part 2.284(j); 285(a)Annex V.Part 2.284(j); 285(a)0080Custody [by type of customer]Annex V.Part 2.284(j); 285(b)Annex V.Part 2.284(j); 285(b)0090Collective investment0100Other fee and commission income in relation to custody services 0110Central administrative services for collective investmentAnnex V.Part 2.284(j); 285(c)Annex V.Part 2.284(j); 285(c)0120Fiduciary transactionsAnnex V.Part 2.284(j); 285(d)Annex V.Part 2.284(j); 285(d)0131Payment servicesAnnex V.Part 2.284(k), 285(e)Annex V.Part 2.284(k), 285(e)0132Current accountsAnnex V.Part 2.284(k), 285(e)Annex V.Part 2.284(k), 285(e)0133Credit cardsAnnex V.Part 2.284(k), 285(e)Annex V.Part 2.284(k), 285(e)0134Debit cards and other card paymentsAnnex V.Part 2.284(k), 285(e)Annex V.Part 2.284(k), 285(e)0135Transfers and other payment ordersAnnex V.Part 2.284(k), 285(e)Annex V.Part 2.284(k), 285(e)0136Other fee and commission income in relation to payment servicesAnnex V.Part 2.284(k), 285(e)Annex V.Part 2.284(k), 285(e)0140Customer 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)0150Collective investment0160Insurance products0170Other fee and commission income in relation to customer resources distributed but not managed0180Structured FinanceAnnex V.Part 2.284(n)Annex V.Part 2.284(n)0190Loan servicing activitiesAnnex V.Part 2.284(o)Annex V.Part 2.284(o)0200Loan commitments givenAnnex V.Part 2.284(p)IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(p)

§ Article 47c

0210Financial guarantees givenAnnex V.Part 2.284(p)IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(p)0211Loans grantedAnnex V.Part 2.284(r)Annex V.Part 2.284(r)0213Foreign exchangeAnnex V.Part 2.284(s)Annex V.Part 2.284(s)0214CommoditiesAnnex V.Part 2.284(t)Annex V.Part 2.284(t)0220Other fee and commission incomeAnnex V.Part 2.284(u)Annex V.Part 2.284(u)0230(Fee and commission expenses)Annex V.Part 2.281-2840235(Securities)Annex V.Part 2.284(d)Annex V.Part 2.284(d)0240(Clearing and settlement)Annex V.Part 2.284(i)Annex V.Part 2.284(i)0245(Asset management)Annex V.Part 2.284(j); 285(a)Annex V.Part 2.284(j); 285(a)0250(Custody)Annex V.Part 2.284(j); 285 (b)Annex V.Part 2.284(j); 285 (b)0255(Payment services)Annex V.Part 2.284(k), 285(e)Annex V.Part 2.284(k), 285(e)0256(of which: Credit, Debit and other Cards)0260(Loan servicing activities)Annex V.Part 2.284(o)Annex V.Part 2.284(o)0270(Loan commitments received)Annex V.Part 2.284(q)Annex V.Part 2.284(q)0280(Financial guarantees received)Annex V.Part 2.284(q)Annex V.Part 2.284(q)0281(Externally provided distribution of products)Annex V.Part 2.284(m)Annex V.Part 2.284(m)0282(Foreign exchange)Annex V.Part 2.284(s)Annex V.Part 2.284(s)0290(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)00100010Asset management [by type of customer]Annex V.Part 2.285(a)Annex V.Part 2.285(a)0020Collective investment0030Pension funds0040Customer portfolios managed on a discretionary basis0050Other investment vehicles0060Custody assets [by type of customer]Annex V.Part 2.285(b)Annex V.Part 2.285(b)0070Collective investment0080Other0090Of which: entrusted to other entities0100Central administrative services for collective investmentAnnex V.Part 2.285(c)Annex V.Part 2.285(c)0110Fiduciary transactionsAnnex V.Part 2.285(d)Annex V.Part 2.285(d)0120Payment servicesAnnex V.Part 2.285(e)Annex V.Part 2.285(e)0130Customer resources distributed but not managed [by type of product]Annex V.Part 2.285(f)Annex V.Part 2.285(f)0140Collective investment0150Insurance products0160Other 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)

§ Article 47c

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), 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 2.239ix0150Loans 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), 87 0180of 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 2.239ix

§ Article 47c

0060of 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 2.239ix0150Loans 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, 321 0160of 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 2.239ix0290Unsecured 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)

§ Article 47c

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, 325 0050Loans 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, 325

§ Article 47c

0090Loans 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, 3250120Of which: Loans with a LTV higher than 100%Annex V.Part 2.239x, 325Annex V.Part 2.239x, 325 0130Commercial 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, 325 0170Commercial 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, 235, 237(f)Annex 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, 235, 237(f)Annex 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 2.239ix

§ Article 47c

0060of 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, 323 0160of 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, 174PerformingNon 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)

§ Article 47c

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 2.239ix

§ Article 47c

0060of 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 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 National GAAP based on BADReferences National GAAP compatible IFRSGross 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 SMEsof which: Commercial Real Estate (CRE) loansAnnex 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 2.239ixAnnex 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, 329 0040Inflow 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, 332

§ Article 47c

0160Outflow 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, 332 0200Net 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, 3320230Net cumulated recoveries from sale of instrumentsAnnex V.Part 2.333Annex V.Part 2.333 0240of 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 References National GAAP based on BADReferences National GAAP compatible IFRSAccumulated 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 SMEsof which: Commercial Real Estate (CRE) loansAnnex 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 2.239ixAnnex 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 2.338

§ Article 47c

0050Of 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 References National GAAP based on BADReferences National GAAP compatible IFRSGross 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 SMEsOf which: Commercial Real Estate (CRE) loans to SMEsAnnex 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 2.239ixAnnex 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 References National GAAP based on BADReferences National GAAP compatible IFRSDebt balance reductionCollateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E)Time passed since recognition in balance sheetOf 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 2.175Annex 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, 349

§ Article 47c

0050Outflows 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 2.347 0090Outflow 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 References National GAAP based on BADReferences National GAAP compatible IFRSDebt balance reductionCollateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E)Time passed since recognition in balance sheetOf 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 2.175Annex 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, 351

§ Article 47c

0090Equity 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) References National GAAP based on BADReferences National GAAP compatible IFRSDebt 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, 175iiAnnex 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 References National GAAP based on BADReferences National GAAP compatible IFRSLoans 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, 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 2.3550100Loans and advances having been forborne twiceAnnex V.Part 2.360(a)(i)Annex V.Part 2.360(a)(i)

§ Article 47c

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) 30. 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 2.28700100020003000400050006000800010Total 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)0010002000300010Selected financial assets recognised in the reporting institution's balance sheetIFRS 12.29(a),(b)0021of which: non-performingAnnex V.Part 2.213-239Annex V.Part 2.213-2390030DerivativesCRR Annex II; Annex V.Part 2.272IFRS 9 Appendix A; Annex V.Part 2.2720040Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.110050Debt securitiesAnnex V.Part 1.31Annex V.Part 1.310060Loans and advancesAnnex V.Part 1.32Annex V.Part 1.320070Selected equity and financial liabilites recognised in the reporting institution's balance sheetIFRS 12.29(a),(b)0080Equity instruments issuedIAS 32.110090DerivativesCRR Annex II; Annex V.Part 1.24(a), 25, 26, Part 2.272IFRS 9 Appendix A; Annex V.Part 2.2720100DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0110Debt securities issuedAnnex V.Part 1.37Annex V.Part 1.37Nominal amount0120Off-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, 1180131of which: non-performingAnnex V.Part 2.117Annex V.Part 2.117 31. 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 2.288-291001000200030004000500010Selected financial assetsIAS 24.18(b)0020Equity instrumentsECB/2013/33 Annex 2.Part 2.4-5IAS 32.110030Debt securitiesAnnex V.Part 1.31Annex V.Part 1.310040Loans and advancesAnnex V.Part 1.32Annex V.Part 1.320050of which: non-performingAnnex V. Part 2.213-239Annex V. Part 2.213-239

§ Article 47c

0060Selected financial liabilitiesIAS 24.18(b)0070DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360080Debt securities issuedAnnex V.Part 1.37Annex V.Part 1.370090Nominal amount of loan commitments, financial guarantees and other commitments givenCRR Annex I; Annex V.Part 2.112, 113-115, 118IAS 24.18(b); CRR Annex I; Annex V.Part 2.102-105, 113-115, 1180100of which: non-performingAnnex V. Part 2.117IAS 24.18(b); Annex V. Part 2.117 0110Loan commitments, financial guarantees and other commitments receivedAnnex V.Part 2.102-103, 113-115, 290IAS 24.18(b); Annex V.Part 2.2900120Notional amount of derivativesAnnex V.Part 2.133-135Annex V.Part 2.133-1350131Accumulated 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, 2910132Provisions 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, 292-293001000200030004000500010Interest incomeBAD art 27.Vertical layout(1); Annex V.Part 2.31IAS 24.18(a); Annex V.Part 2.310020Interest expensesBAD art 27.Vertical layout(2); Annex V.Part 2.31IAS 24.18(a); IAS 1.97; Annex V.Part 2.310030Dividend incomeBAD art 27.Vertical layout(3); Annex V.Part 2.40IAS 24.18(a); Annex V.Part 2.400040Fee and commission incomeBAD art 27.Vertical layout(4)IAS 24.18(a); IFRS 7.20(c)0050Fee and commission expensesBAD art 27.Vertical layout(5)IAS 24.18(a); IFRS 7.20(c) 0060Gains 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)0070Gains or (-) losses on de-recognition of other than financial assetsAnnex V.Part 2.292IAS 24.18(a); Annex V.Part 2.2920080Impairment or (-) reversal of impairment on non-performing exposuresAnnex V. Part 2.293IAS 24.18(d); Annex V.Part 2.2930090Provisions 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 CodeType of codeNational 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)Annex V.Part 2.294-295, 296(c)IFRS 12.12(a), 21(a)(i); Annex V.Part 2.294-295, 296(d)Annex V.Part 2.294-295, 296(e)Annex V.Part 2.294-295, 296(f)IFRS 12.B12(b); Annex V.Part 2.294-295, 296(g)IFRS 12.B12(b); Annex V.Part 2.294-295, 296(g)IFRS 12.B12(b); Annex V.Part 2.294-295, 296(g)IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.294-295, 296(h)Annex V.Part 2.294-295, 296(i)Annex V.Part 2.294-295, 296(j)IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(k)IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(l)IFRS 12.10(a)(i); Annex V.Part 2.294-295, 296(m)IFRS 12.21(b); Annex V.Part 2.294-295, 296(n)CRR art 18; Annex V.Part 2.294-295, 296(o)Annex V.Part 2.294-295, 296(p)Annex V.Part 2.294-295, 296(q)Annex V.Part 2.294-295, 296(r)IFRS 12.21(b)(iii); Annex V.Part 2.294-295, 296(s)001100150025003000400050006000700080009000950100011001200130014001500160017001800190

§ Article 47c

40.2. Group structure: instrument-by-instrument Security codeInvesteeHolding companyAccumulated equity interest (%)Carrying amountAcquisition costCodeType of codeCodeType of codeNational codeHolding company nameAnnex V.Part 2.297(a)Annex V.Part 2.296(a), 297(e)Annex V.Part 2.296(b), 297(e)Annex V.Part 2.297(b)Annex V.Part 2.297(c)Annex V.Part 2.297(d)Annex V.Part 2.296(j), 297(e)Annex V.Part 2.296(o), 297(e)Annex V.Part 2.296(p), 297(e)0010002100250031003500450050006000700080 41. Fair value 41.1 Fair value hierarchy: financial instruments at amortised cost References National GAAP based on BAD Annex V.Part 2.298References National GAAP compatible IFRS Annex V.Part 2.298Fair value IFRS 7.25-26Fair value hierarchy IFRS 13.97, 93(b)Level 1 IFRS 13.76Level 2 IFRS 13.81Level 3 IFRS 13.86ASSETS00100020003000400015Financial assets at amortised costAccounting Directive art 8(4)(b), (6); IAS 39.9IFRS 7.8(f); IFRS 9.4.1.20016Debt securitiesAnnex V.Part 1.24, 26Annex V.Part 1.310017Loans and advancesAnnex V.Part 1.24, 27Annex V.Part 1.320021Non-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, 190022Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50023Debt securitiesAnnex V.Part 1.310024Loans and advancesAnnex V.Part 1.320031Other non-trading non-derivative financial assetsBAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.200032Equity instrumentsECB/2013/33 Annex 2.Part 2.4-50033Debt securitiesAnnex V.Part 1.31 0034Loans and advancesAnnex V.Part 1.32LIABILITIES0070Financial liabilities measured at amortised costAccounting Directive art 8(3), (6); IAS 39.47IFRS 7.8(g); IFRS 9.4.2.10080DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360090Debt securities issuedAnnex V.Part 1.31Annex V.Part 1.370100Other financial liabilitiesAnnex V.Part 1.32-34Annex V.Part 1.38-410101Non-trading non-derivative financial liabilities measured at a cost-based methodAccounting Directive art 8(3)0102DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360103Debt securities issuedAnnex V.Part 1.370104Other financial liabilitiesAnnex V.Part 1.38-41 41.2 Use of the Fair Value Option References National GAAP based on BADReferences National GAAP compatible IFRSCarrying amount Annex V.Part 1.27-28Accounting 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 2.301ASSETS00100020003000400010Financial assets designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6)IFRS 7.8(a)(i); IFRS 9.4.1.50030Debt securitiesAnnex V.Part 1.31Annex V.Part 1.310040Loans and advancesAnnex V.Part 1.32Annex V.Part 1.32LIABILITIES0050Financial liabilities designated at fair value through profit or lossAccounting Directive art 8(1)(a), (6); IAS 39.9IFRS 7.8 (e)(i); IFRS 9.4.2.20060DepositsECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.360070Debt securities issuedAnnex V.Part 1.37Annex V.Part 1.370080Other financial liabilitiesAnnex V.Part 1.38-41Annex V.Part 1.38-41

§ Article 47c
  1. Tangible and intangible assets: carrying amount by measurement method References National GAAP compatible IFRS Annex V.Part 2.302Carrying amountof which: right-of-use assetsIFRS 16.47(a), 53(j), Annex V.Part 2.303i001000200010Property plant and equipmentIAS 16.6; IAS 16.29; IAS 1.54(a)0015Of which: Software assetsIAS 38.4; Annex V.Part 2.3030020Revaluation modelIAS 16.31, 73(a),(d)0030Cost modelIAS 16.30, 73(a),(d)0040Investment propertyIAS 40.5, 30; IAS 1.54(b)0050Fair value modelIAS 40.33-55, 760060Cost modelIAS 40.56, 79(c)0070Other intangible assetsIAS 38.8, 118, 122 ; Annex V.Part 2.3030075Of which: Software assetsIAS 38.9; Annex V.Part 2.3030080Revaluation modelIAS 38.75-87, 124(a)(ii)0090Cost modelIAS 38.74
  2. Provisions References National GAAP based on BADReferences National GAAP compatible IFRSCarrying amount Annex V.Part 1.27-28Pensions 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 37.70-83, 84 (a)IAS 37.14, 84 (a)IAS 37; IFRS 4; Annex V. Part 2.304-305IAS 37.14Annex V.Part 2.9Annex V.Part 2.10BAD art 24-25, 33(1)00100020003000400050005500600010Opening balance [carrying amount at the beginning of the period]IAS 37.84 (a)0020Additions, including increases in existing provisionsIAS 37.84 (b)0030 (-) Amounts used IAS 37.84 (c)0040 (-) Unused amounts reversed during the period IAS 37.84 (d)0050Increase in the discounted amount [passage of time] and effect of any change in the discount rateIAS 37.84 (e)0060Other movements0070Closing 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 2.306-30700100010Fair value of defined benefit plan assetsIAS 19.140(a)(i), 1420020Of which: Financial instruments issued by the institutionIAS 19.1430030Equity instrumentsIAS 19.142(b)0040Debt instrumentsIAS 19.142(c)0050Real estateIAS 19.142(d)0060Other defined benefit plan assets0070Present value of defined benefit obligationsIAS 19.140(a)(ii)0080Effect of the asset ceilingIAS 19.140(a)(iii)0090Net defined benefit assets [Carrying amount]IAS 19.63; Annex V.Part 2.3080100Provisions for pensions and other post-employment defined benefit obligations [Carrying amount]IAS 19.63, IAS 1.78(d); Annex V.Part 2.90110Fair 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, 30900100010Opening balance [present value]IAS 19.140(a)(ii)0020Current service costIAS 19.141(a)0030Interest costIAS 19.141(b)0040Contributions paidIAS 19.141(f)0050Actuarial (-) gains or losses from changes in demographic assumptionsIAS 19.141(c)(ii)0060Actuarial (-) gains or losses from changes in financial assumptionsIAS 19.141(c)(iii)0070Foreign currency exchange increase or (-) decreaseIAS 19.141(e)
§ Article 47c

0080Benefits paidIAS 19.141(g)0090Past service cost, including gains and losses arising from settlementsIAS 19.141(d)0100Increase or (-) decrease through business combinations and disposalsIAS 19.141(h)0110Other increases or (-) decreases0120Closing 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 period00100010Pension and similar expensesAnnex V.Part 2.311(a)Annex V.Part 2.311(a)0020Share based paymentsAnnex V.Part 2.311(b)IFRS 2.44; Annex V.Part 2.311(b)0030Wages and salariesAnnex V.Part 2.311(c)Annex V.Part 2.311(c)0040Social security contributionsAnnex V.Part 2.311(d)Annex V.Part 2.311(d)0050Severance paymentsAnnex V.Part 2.311(e)IAS 19.8, Annex V.Part 2.311(e)0060Other types of staff expensesAnnex V.Part 2.311(f)Annex V.Part 2.311(f)0070STAFF EXPENSES 44.4 Staff expenses by category of remuneration and category of staff References National GAAP based on BADReferences National GAAP compatible IFRSCurrent 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)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 2.312001000200010Financial assets designated at fair value through profit or lossIFRS 7.20(a)(i); IFRS 9.4.1.50020Financial liabilities designated at fair value through profit or lossIFRS 7.20(a)(i); IFRS 9.4.2.20030GAINS 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 2.31300100010Property, Plant and EquipmentIAS 16.68, 710020Investment propertyIAS 40.69; IAS 1.34(a), 98(d) 0030Intangible assetsIAS 38.113-115A; IAS 1.34(a)0040Other assetsIAS 1.34 (a)0050GAINS 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 IFRSIncomeExpenses001000200010Changes in fair value in tangible assets measured using the fair value modelAnnex V.Part 2.314IAS 40.76(d); Annex V.Part 2.3140020Investment propertyAnnex V.Part 2.314IAS 40.75(f); Annex V.Part 2.3140030Operating Leases other than investment propertyAnnex V.Part 2.315IFRS 16.81,82; Annex V.Part 2.3150040OtherAnnex V.Part 2.316Annex V.Part 2.3160050OTHER OPERATING INCOME OR EXPENSESAnnex V.Part 2.314-316Annex V.Part 2.314-316

§ Article 47c
  1. 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)00100020003000400050006000700075008000850090010001100120013001400010Opening balance [before restatement]0020Effects of corrections of errorsIAS 1.106.(b); IAS 8.420030Effects of changes in accounting policiesIAS 1.106.(b); IAS 1.IG6; IAS 8.220040Opening balance [current period]0050Issuance of ordinary sharesIAS 1.106.(d).(iii)0060Issuance of preference sharesIAS 1.106.(d).(iii)0070Issuance of other equity instrumentsIAS 1.106.(d).(iii) 0080Exercise or expiration of other equity instruments issuedIAS 1.106.(d).(iii)0090Conversion of debt to equityIAS 1.106.(d).(iii)0100Capital reductionIAS 1.106.(d).(iii)0110DividendsIAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG60120Purchase of treasury sharesIAS 1.106.(d).(iii); IAS 32.330130Sale or cancellation of treasury sharesIAS 1.106.(d).(iii); IAS 32.330140Reclassification of financial instruments from equity to liabilityIAS 1.106.(d).(iii)0150Reclassification of financial instruments from liability to equityIAS 1.106.(d).(iii) 0160Transfers among components of equityIAS 1.106.(d).(iii); Annex V.Part 2.3180170Equity increase or (-) decrease resulting from business combinationsIAS 1.106.(d).(iii)0180Share based paymentsIAS 1.106.(d).(iii); IFRS 2.100190Other increase or (-) decrease in equityIAS 1.106.(d)0200Total comprehensive income for the yearIAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG60210Closing 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)
§ Article 47c

Annex

ANNEX V INSTRUCTIONS FOR REPORTING ON FINANCIAL INFORMATION Table of contents GENERAL INSTRUCTIONS 1318

  1. References 1318
  2. Conventions 1319
  3. Consolidation 1321
  4. Accounting portfolios of financial instruments 1321 4.1. Financial assets 1321 4.2. Financial liabilities 1322
  5. Financial instruments 1323 5.1. Financial assets 1323 5.2. Gross carrying amount 1324 5.3. Financial liabilities 1325
  6. Counterparty breakdown 1325 TEMPLATE RELATED INSTRUCTIONS 1326
  7. Balance sheet 1326 1.1. Assets (1.1) 1326 1.2. Liabilities (1.2) 1327 1.3. Equity (1.3) 1328
  8. Statement of profit or loss (2) 1329
  9. Statement of comprehensive income (3) 1333
  10. Breakdown of financial assets by instrument and by counterparty sector (4) 1334
  11. Breakdown of non-trading loans and advances by product (5) 1337
  12. Breakdown of non-trading loans and advances to non-financial corporations by NACE codes (6) 1338
  13. Financial assets subject to impairment that are past due (7) 1339
  14. Breakdown of financial liabilities (8) 1339
  15. Loan commitments, financial guarantees and other commitments (9) 1340
  16. Derivatives and hedge accounting (10 and 11) 1343 10.1. Classification of derivatives by type of risk 1344 10.2. Amounts to be reported for derivatives 1345 10.3. Derivatives classified as economic hedges 1346 10.4. Breakdown of derivatives by counterparty sector 1347 10.5. Hedge accounting under national GAAP (11.2) 1347 10.6. Amount to be reported for non-derivative hedging instruments (11.3 and 11.3.1) 1347 10.7. Hedged items in fair value hedges (11.4) 1347
  17. Movements in allowances and provisions for credit losses (12) 1348 11.1. Movements in allowances for credit losses and impairment of equity instruments under national GAAP based on BAD (12.0) 1348 11.2. Movements in allowances and provisions for credit losses under IFRS (12.1) 1349 11.3. Transfers between impairment stages (gross basis presentation) (12.2) 1350
  18. Collateral and guarantees received (13) 1351 12.1. Breakdown of collateral and guarantees by loans and advances other than held for trading (13.1) 1351 12.2. Collateral obtained by taking possession during the period (held at the reference date) (13.2.1) 1352 12.3. Collateral obtained by taking possession accumulated (13.3.1) 1352
  19. Fair value hierarchy: Financial instruments at fair value (14) 1352
  20. Derecognition and financial liabilities associated with transferred financial assets (15) 1352
  21. Breakdown of selected statement of profit or loss items (16) 1353 15.1. Interest income and expenses by instrument and counterparty sector (16.1) 1353 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) 1354 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) 1354 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)
§ Article 47c

1355 15.5. Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument (16.4.1) 1355 15.6. Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5) 1355 15.7. Gains or losses from hedge accounting (16.6) 1356 15.8. Impairment on non-financial assets (16.7) 1356 15.9. Other Administrative Expenses (16.8) 1356 16. Reconciliation between accounting and CRR scope of consolidation (17) 1357 17. Non-performing exposures (18) 1357 17.1. Information on performing and non-performing exposures (18.0) 1357 17.2. Inflows and outflows of non-performing exposures – loans and advances by counterparty sector (18.1) 1361 17.3. Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property (18.2) 1362 18. Forborne exposures (19) 1362 19. Geographical breakdown (20) 1365 19.1. Geographical breakdown by location of activities (20.1-20.3) 1365 19.2. Geographical breakdown by residence of the counterparty (20.4-20.7) 1365 20. Tangible and intangible assets: assets subject to operating lease (21) 1366 21. Asset management, custody and other service functions (22) 1366 21.1. Fee and commission income and expenses by activity (22.1) 1366 21.2. Assets involved in the services provided (22.2) 1368 22. Interests in unconsolidated structured entities (30) 1369 23. Related parties (31) 1369 23.1. Related parties: amounts payable to and amounts receivable from (31.1) 1369 23.2. Related parties: expenses and income generated by transactions with (31.2) 1370 24. Group structure (40) 1370 24.1. Group structure: entity-by-entity (40.1) 1370 24.2. Group structure: instrument-by-instrument (40.2) 1371 25. Fair value (41) 1372 25.1. Fair value hierarchy: financial instruments at amortised cost (41.1) 1372 25.2. Use of fair value option (41.2) 1372 26. Tangible and intangible assets: carrying amount by measurement method (42) 1372 27. Provisions (43) 1373 28. Defined benefit plans and employee benefits (44) 1373 28.1. Components of net defined benefit plan assets and liabilities (44.1) 1373 28.2. Movements in defined benefit obligations (44.2) 1373 28.3. Staff expenses by type of benefits (44.3) 1373 28.4. Staff expenses by category of remuneration and category of staff (44.4) 1374 29. Breakdown of selected items of statement of profit or loss (45) 1374 29.1. Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio (45.1) 1374 29.2. Gains or losses on derecognition of non-financial assets (45.2) 1375 29.3. Other operating income and expenses (45.3) 1375 30. Statement of changes in equity (46) 1375 31. LOANS AND ADVANCES: ADDITIONAL INFORMATION (23) 1375 32. LOANS AND ADVANCES: FLOWS OF NON PERFORMING EXPOSURES, IMPAIRMENTS AND WRITE OFFS SINCE THE END OF THE LAST FINANCIAL YEAR (24) 1376 32.1. Loans and advances: Inflows and outflows of non-performing exposures (24.1) 1376 32.2.

§ Article 47c

Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures (24.2) 1378 32.3. Loans and advances: Write-offs of non-performing exposures during the period (24.3) 1379 33. COLLATERAL OBTAINED BY TAKING POSSESSION AND EXECUTION PROCESSES (25) 1379 33.1. Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): inflows and outflows (25.1) 1379 33.2. Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E) – Type of collateral obtained (25.2) 1380 33.3. Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) (25.3) 1380 34. FORBEARANCE MANAGEMENT AND QUALITY OF FORBEARANCE (26) 1381 35. LOANS AND ADVANCES: AVERAGE DURATION AND RECOVERY PERIODS (47) 1382 MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS 1383 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.
  4. 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.
  5. 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.
  6. 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
§ Article 47c

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.

regnskab
§ Article 47c
  1. Templates in Annexes III and IV include implicit validation rules which are laid down in the templates themselves through the use of conventions.
  2. 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.
  3. 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.
  4. 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.
  5. 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)
  6. CONSOLIDATION
  7. 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.
  8. ACCOUNTING PORTFOLIOS OF FINANCIAL INSTRUMENTS
§ Article 47c
  1. 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.
  2. 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
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
§ Article 47c
  1. 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.
  2. 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.
  3. 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
  4. 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.
  5. 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.
  6. 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.
  7. 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.
§ Article 47c
  1. FINANCIAL INSTRUMENTS
  2. 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.
  3. 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.
  4. 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
  5. Financial assets shall be distributed among the following classes of instruments: Cash on hand, Derivatives, Equity instruments, Debt securities and Loans and advances.
  6. 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.
  7. 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 (including demand deposits at credit institutions and central banks, irrespective of their classification as per the applicable accounting framework) 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.
  8. In FINREP, debt instruments shall include loans and advances and debt securities. 5.2. Gross carrying amount
  9. 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, the gross carrying amount shall be the carrying amount before adjusting for any loss allowance and for debt instruments at fair value through other comprehensive income, the amortised cost before adjusting for any loss allowance;
§ Article 47c

(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. 38. Other financial liabilities shall include all financial liabilities other than derivatives, short positions, deposits and debt securities issued.

§ Article 47c
  1. 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)).
  2. 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.
  3. 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.
  4. COUNTERPARTY BREAKDOWN
  5. 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.
§ Article 47c
  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 (including securitisation instruments) 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 underlying 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 loans and advances that are balances receivable on demand at central banks.
  6. Other demand deposits shall include loans and advances that are 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.
§ Article 47c
  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.
§ Article 47c
  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).
§ Article 47c
  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.
§ Article 47c
  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.
§ Article 47c
  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.
§ Article 47c
  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.
§ Article 47c
  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.
§ Article 47c
  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. Where investments in subsidiaries, joint ventures and associates are derecognised without being previously classified as held for sale and without being qualified as discontinued operations under IFRS 5, any gains or losses on derecognition of these investments shall be reported in Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net, irrespective of the consolidation method applied. Under national GAAP based on BAD, all gains and losses on derecognition of investments in subsidiaries, joint ventures and associates 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.
§ Article 47c
  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. BREAKDOWN OF FINANCIAL ASSETS BY INSTRUMENT AND BY COUNTERPARTY SECTOR (4)
  7. 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, except where they are purchased or originated financial assets that are credit-impaired at initial recognition as defined in IFRS 9 Appendix A. For these assets, the gross carrying amount and accumulated impairment shall be separately reported, outside the impairment stages, in templates 4.3.1 and 4.4.1.
  8. 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.
  9. 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.
§ Article 47c
  1. 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, that are not purchased or originated credit-impaired financial assets, 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 that are not purchased or originated credit-impaired financial assets, 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. (d) for purchased or originated credit-impaired financial assets, the initial estimate of lifetime expected credit losses is incorporated into the calculation of the credit-adjusted effective interest rate and accumulated impairment is the sum of subsequent changes in lifetime expected credit losses since initial recognition that are recognized as a variation of carrying amount/fair value on a given instrument. Accumulated impairment for purchased or originated credit-impaired financial assets can be positive in case of impairment gains exceeding any previously recognised impairment losses (IFRS 9.5.5.14).
  2. 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 and the allowance for purchased or originated credit-impaired financial assets. 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.
  3. 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.
§ Article 47c
  1. 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.
  2. 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.
  3. 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.
  4. 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 that are not purchased or originated credit-impaired financial 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.
  5. 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.
  6. 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.
  7. 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.
§ Article 47c
  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, trading assets or held for sale 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;
§ Article 47c

(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, trading or held for sale 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.

§ Article 47c
  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 are those included in the following accounting portfolios: (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 and broken down according to the number of days of the oldest past due amount unpaid at the reference date. Under IFRS, the carrying amounts of assets that are not purchased or originated credit-impaired financial assets shall be reported by impairment stages; the carrying amount of purchased or originated credit-impaired financial assets shall be separately reported. Under national GAAP based on BAD, past-due assets shall be reported by impairment status in accordance with the applicable accounting standards.
  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;
§ Article 47c

(d) Hybrid contracts shall comprise contracts with embedded derivatives that are not included in the products referred to in points (b) and (c) or classified as convertible compound financial instruments under point (e); (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. 99. 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. 100. 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. 101. 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. 9. LOAN COMMITMENTS, FINANCIAL GUARANTEES AND OTHER COMMITMENTS (9) 102. 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. 103. Information on loan commitments, financial guarantees and other commitments given and received shall include both revocable and irrevocable commitments. 104. 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. 105. 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. 106. 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. 107. 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, except where they are deemed credit-impaired at initial recognition consistently with the definition of purchased or originated financial assets of IFRS 9 Appendix A. For these exposures, the nominal amount and provisions shall be separately reported, outside the impairment stages in template 9.1.1.

§ Article 47c
  1. 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 column in template 9.1.1 (IFRS 9.5.5.20 and IFRS 7.B8E).
  2. 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 column.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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;
§ Article 47c

(c) Irrevocable standby letters of credit having the character of credit substitutes. 115. 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.

§ Article 47c
  1. 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.
  2. DERIVATIVES AND HEDGE ACCOUNTING (10 AND 11)
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Trading derivatives and hedging derivatives which, in accordance with national GAAP based on BAD, are measured at cost or LOCOM shall be identified separately.
  8. 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.
  9. 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.
§ Article 47c
  1. 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.
  2. 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
  3. 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;
§ Article 47c

(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.

§ Article 47c
  1. 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.
  2. 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.
  3. 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).
  4. 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.
§ Article 47c

10.3. Derivatives classified as economic hedges 137. 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. 138. Economic hedges shall not include derivatives for proprietary trading. 139. Derivatives that meet the definition of economic hedges shall be reported separately in template 10 for each type of risk. 140. 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 141. 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. 142. 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) 143. 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. 144. 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)

§ Article 47c
  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.
§ Article 47c
  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 (including cash balances at central banks and other demand deposits). 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 (including cash balances at central banks and other demand deposits) and by counterparty. A separate reconciliation for purchased or originated credit-impaired financial assets shall be reported in the template.
  6. The provisions for off-balance sheet exposures that are subject to the impairment requirements of IFRS 9 shall be reported by impairment stages and separately for purchased or originated credit-impaired exposures. 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.
§ Article 47c
  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
§ Article 47c
  1. 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.
  2. 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.
  3. 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.
  4. 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.
§ Article 47c

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) 167. For financial assets included in the accounting portfolios and off-balance exposures, other than purchased or originated credit-impaired financialexposures, that are subject to the impairment requirements of IFRS 9, the gross carrying amount and the nominal amount that have been transferred between impairment stages during the reporting reference period shall be reported in template 12.2 respectively. 168. 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. 169. 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. 170. 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. 12. COLLATERAL AND GUARANTEES RECEIVED (13) 12.1. Breakdown of collateral and guarantees by loans and advances other than held for trading (13.1) 171. The collateral and guarantees backing the loans and advances included in the accounting portfolios, 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. In the item of which: non-performing, loans and advances shall be reported as defined in paragraphs 213 to 239 or 260 of this Part. 172. 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. 173. 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;

§ Article 47c

(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. 174. 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) 175. 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.

§ Article 47c

12.3. Collateral obtained by taking possession accumulated (13.3.1) 176. 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. 13. FAIR VALUE HIERARCHY: FINANCIAL INSTRUMENTS AT FAIR VALUE (14) 177. 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. 178. 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. 179. 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. 14. DERECOGNITION AND FINANCIAL LIABILITIES ASSOCIATED WITH TRANSFERRED FINANCIAL ASSETS (15) 180. 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. 181. 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. 182. 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. 183. 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:

§ Article 47c

(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. 184. Repurchase agreements (repos) and reverse repurchase loans (reverse repos) shall involve cash received or loaned out by the institution. 185. 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. 15. BREAKDOWN OF SELECTED STATEMENT OF PROFIT OR LOSS ITEMS (16) 186. 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) 187. Interest income shall be broken down in accordance with both of the following: (a) interest income on financial assets included in the accounting portfolios and other assets (including cash, cash balances at central banks and other demand deposits); (b) interest income on financial liabilities with negative effective interest rate. 188. Interest expenses shall be broken down in accordance with both of the following: (a) interest expenses on financial liabilities included in the accounting portfolios and other liabilities; (b) interest expenses on financial assets with negative effective interest rate. 189. 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. 190. 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. 191. 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. 192. Derivatives – Hedge accounting, interest rate risk shall include the interest income and expenses on hedging instruments where the hedged items generate interest. 193. 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.

§ Article 47c
  1. 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 where the latter are considered as non-performing in accordance with paragraph 215 of this Part. 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)
  2. 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.
  3. 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)
  4. 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.
  5. 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.
  6. 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.
§ Article 47c

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) 200. 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.

§ Article 47c

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). 206. 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). 207. 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) 208. 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.

§ Article 47c

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 supervisory fees or bank levies, 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 listed in Article 47a(3) CRR. 215. Under IFRS, for the purpose of template 18, impaired exposures shall be those that have been found credit-impaired (Stage 3). Exposures included in impairment stages other than Stage 3 and those that are purchased or originated credit-impaired shall be considered as non-performing where they meet the criteria to be considered as non-performing in accordance with Article 47a(3) CRR.

§ Article 47c
  1. Exposures shall be categorised for their entire amount and without taking into account the existence of any collateral. With reference to the exposures referred to in point (a) of Article 47a(3) CRR, materiality shall be assessed in accordance with Article 178 CRR and the Commission Delegated Regulation (EU) 2018/171 (RTS on materiality threshold for credit obligations past due).
  2. 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.
  3. 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.
  4. 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.
  5. Debt instruments classified as held for sale in accordance with IFRS 5 shall be reported separately.
  6. 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.
  7. For the purpose of template 18, an exposure is past-due where it meets the criteria of paragraph 96 of this Part. For the purpose of classification of exposures as non-performing in accordance with point (a) of Article 47a(3) CRR, the counting of 90 days past due commences once the past due amount, being the sum of past due principal, interest and fees, breaches the materiality threshold as defined in paragraph 216 of this Part. If the past due part of exposures continues to be material for 90 consecutive days, the exposure should then be classified as non-performing.
  8. For the purpose of template 18, debtor shall mean an obligor within the meaning of Article 178 CRR.
  9. 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;
§ Article 47c

(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, 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 conditions provided in Article 47a(4) CRR are met. 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 in accordance with Article 47a(5) CRR. 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 conditions provided in Article 47a(6) CRR are met. 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 Article 47a(6) CRR, 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);

§ Article 47c

(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. In case of application of the debtor approach for the classification of exposures as non-performing referred to in paragraph 226 of this Part of this Annex, the exposures of the debtor shall be reported in the past-due time bands of non-performing in accordance with their individual past-due status. 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.

§ Article 47c
  1. 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) which does not include 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) which do not include purchased or originated credit impaired assets; (d) under IFRS, for performing exposures, assets without significant increase in credit risk since initial recognition (Stage 1); (e) exposures which are considered as purchased or originated financial assets that are credit-impaired at initial recognition in accordance with IFRS 9 Appendix A, including any off-balance sheet exposures that are deemed credit-impaired upon their initial recognition; (f) for performing exposures, the amount of accumulated impairment for exposures past due by more than 30 days.
  2. 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.
  3. 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.
§ Article 47c

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.

§ Article 47c

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 as defined in Article 47b(1) and (2) CRR have been applied. 243. Forbearance measures also include 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) and which shall be treated as a concession where the institution approves executing those clauses and concludes that the debtor is experiencing financial difficulties. 244. 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. 245. For the purpose of template 19, debtor means an obligor within the meaning of Article 47b(4) CRR. 246. 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. 247. 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. 248. For the purposes of template 19, exposure shall have the same meaning as debt in paragraphs 246 and 247 of this Part. 249. 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. 250. For the purposes of template 19, institution shall mean the institution, which applied the forbearance measures. 251. 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.

§ Article 47c
  1. Exposures shall be regarded as forborne where a concession has been made in accordance with Article 47b(1) CRR, 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 Article 47b(1) CRR has been made, regardless of the incidence of the modification on the change in the credit risk of the financial asset since initial recognition.
  2. There is a rebuttable presumption that forbearance has taken place in any of the circumstances listed in Article 47b(3) CRR.
  3. 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.
  4. 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 conditions provided in Article 47a(7) CRR are met.
  5. Where the conditions referred to in Article 47a(7) CRR 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.
  6. 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.
  7. 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.
  8. 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 in accordance with point (c) of Article 47a(3) CRR.
  9. 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 all the criteria laid down in Article 47a(7) CRR, including where paragraph 259 of this Part applies, are met. Performing forborne exposures under probation that have been reclassified out of the non-performing forborne 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.
§ Article 47c
  1. 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.
  2. 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.
  3. 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) and the amount of purchased or originated credit-impaired financial assets where they are considered as non-performing in accordance with paragraph 215 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
§ Article 47c
  1. GEOGRAPHICAL BREAKDOWN (20)
  2. 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)
  3. 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)
  4. 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.
  5. Derivatives shall include both trading derivatives, including economic hedges, and hedging derivatives under IFRS and under GAAP, reported in templates 10 and 11.
  6. 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. For the purpose of template 20.4, cash balances at central banks and other demand deposits shall be reported together with financial assets subject to impairment. Assets measured under LOCOM that have credit risk induced value adjustments shall be considered as impaired.
  7. 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.
  8. 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.
  9. 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.
§ Article 47c
  1. In template 20.7, loans and advances not held for trading, trading or held for sale 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.
  2. TANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21)
  3. 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.
  4. 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.
  5. ASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22)
  6. 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)
  7. 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)).
  8. 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).
  9. 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.
  10. Institutions shall report fee and commission income and expenses in accordance with the following criteria:
§ Article 47c

(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;

§ Article 47c

(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;

§ Article 47c

(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.

§ Article 47c
  1. RELATED PARTIES (31)
  2. 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.
  3. 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)
  4. 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.
  5. 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)
  6. 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.
  7. 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.
§ Article 47c
  1. GROUP STRUCTURE (40)
  2. 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.
  3. 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)
  4. 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) Code shall be the identification code of the investee. The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings, the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value; (b) Type of code: institutions shall identify the type of code reported in the column Code as a LEI code or Non-LEI code. The type of code shall always be reported; (c) National code: institutions may additionally report the national code when they report LEI code as identifier in the column Code; (d) Entity name shall include the name of the investee; (e) Entry date shall mean the date on which the investee entered within the scope of the group; (f) Share capital of investee shall mean the total amount of capital issued by the investee as of the reference date; (g) 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 approved by the investee’s board of directors or similar authorised body; (h) Residence of investee shall mean the country of residence of the investee; (i) Sector of investee shall mean the sector of counterparty referred to in paragraph 42 of Part 1 of this Annex; (j) 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); (k) Accumulated equity interest (%) shall be the percentage of ownership instruments held by the institution as of the reference date; (l) Voting rights (%) shall mean the percentage of voting rights associated to the ownership instruments held by the institution as of the reference date;
§ Article 47c

(m) 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); (n) 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); (o) 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); (p) Carrying amount shall mean the amounts reported on the balance sheet of the institution for investees that are neither fully nor proportionally consolidated; (q) Acquisition cost shall mean the amount paid by investors; (r) 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; (s) 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. The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings, the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value; (c) Holding company/Type of code: institutions shall identify the type of code reported in the column Holding company/Code as a LEI code or Non-LEI code. The type of code shall always be reported; (d) Holding company/National code: institutions may additionally report the national code when they report LEI code as identifier in the column Holding company/Code; (e) Investee/Code, Investee/Type of 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.

§ Article 47c

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. Software assets shall be reported within Other intangible assets or within Property, plant and equipment in accordance with the applicable accounting framework. 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. 28. DEFINED BENEFIT PLANS AND EMPLOYEE BENEFITS (44) 306. 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) 307. 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)). 308. 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) 309. 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.

§ Article 47c
  1. 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)
  2. 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.
  3. 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)
§ Article 47c
  1. 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)
  2. 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)
  3. 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.
  4. 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.
  5. 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
  6. STATEMENT OF CHANGES IN EQUITY (46)
  7. 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.
  8. 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.
  9. LOANS AND ADVANCES: ADDITIONAL INFORMATION (23)
  10. Template 23 presents additional information on loans and advances, excluding loans and advances classified as cash balances at central banks and other demand deposits, held for trading, trading financial assets and debt instruments held for sale.
  11. 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.
§ Article 47c
  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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)
  9. 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 cash balances at central banks and other demand deposits, 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.
§ Article 47c
  1. 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.
  2. 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.
  3. 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.
§ Article 47c
  1. 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.
  2. 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.
  3. 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)
  4. 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, excluding loans and advances classified as cash balances at central banks and other demand deposits or as held for sale.
  5. 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.
  6. 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.
  7. Decreases during the period shall comprise: (a) the stock, as 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;
§ Article 47c

(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. 339. 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.

§ Article 47c
  1. Value at initial recognition shall have the same meaning as described in paragraph 175i of this Part.
  2. 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.
  3. 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.
  4. 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.
  5. Collateral obtained by taking possession shall be reported broken down by time passed since the collateral has been recognised in the institutions balance sheet.
  6. In the context of the presentation of collateral obtained bytime passed since recognition in the balance sheet, the ageing of collateral on the balance sheet, i.e. the migration between the predefined time buckets, shall be reported neither as inflow nor as outflow.
§ Article 47c

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. The number of collateral obtained by taking possession shall be calculated regardless of the carrying amount of the collateral and it can be one or more than one for each exposure derecognized from the balance sheet in exchange for the collateral obtained by taking possession. 351. 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. 352. 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) 353. 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. 354. 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. 34. FORBEARANCE MANAGEMENT AND QUALITY OF FORBEARANCE (26) 355. 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 cash balances at central banks and other demand deposits or 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.

§ Article 47c
  1. The Number of instruments shall be determined as defined in paragraph 320of this Part.
  2. 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.
  3. 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.
  4. 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.
  5. 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;
§ Article 47c

(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. 361. Exposures to which forbearance measures have been granted since the end of the last financial year shall be reported in separate columns. 35. LOANS AND ADVANCES: AVERAGE DURATION AND RECOVERY PERIODS (47) 362. The information provided in template 47 shall refer to loans and advances, excluding loans and advances classified as cash balances at central banks and other demand deposits, held for trading, trading financial assets or held for sale. 363. 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). 364. 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

  1. 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
§ Article 47c

(b) Regional governments or local authorities (2) General governmentsThese 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 governmentsThese 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.

§ Article 47c

(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 REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY IP LOSSES TEMPLATESTemplate numberTemplate codeName of the template /group of templatesShort nameIP LOSSESLE15C 15.00Exposures and losses from lending collateralised by immovable propertyCR IP LOSSES C 15.00 — EXPOSURES AND LOSSES FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY (CR IP LOSSES) Country: LossesExposuresSum of losses stemming from lending up to the reference percentagesSum of overall lossesSum of the exposuresof which: immovable property valued with mortgage lending valueof which: immovable property valued with mortgage lending valueRowcolumn0010002000300040050collateralised by:0010Residential property0020Commercial immovable property

§ Article 47c

Annex

ANNEX VII INSTRUCTIONS FOR REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY

  1. This Annex contains instructions in relation to the templates included in Annex VI to this Regulation.
  2. All the general instructions included in Part I of Annex II to this Regulation shall also apply.
  3. Reporting scope
  4. Institutions that use immovable property in accordance with Part Three, Title II of CRR shall report the data specified in Article 430a(1) CRR.
  5. The template covers all national markets an institution/group of institutions is exposed to (see Article 430a(1) CRR). In accordance with the third sentence of Article 430a(2) the data shall be reported for each property market within the Union separately.
  6. Definitions
  7. Loss shall mean the loss defined in point (2) of Article 5 CRR, including losses stemming from leased property. The recovery flows stemming from other sources (e.g. bank guarantees, life insurance, etc.) shall not be recognised as reducing the losses when calculating losses stemming from immovable property. Losses of one position shall not be netted with the profit of a successful recovery of another position.
  8. For exposures secured by residential and commercial property the calculation of economic loss shall start from outstanding exposure value at the reporting date and shall include at least: (i) proceeds from collateral realisation; (ii) direct costs (including interest rates payments and recovery costs linked to the liquidation of the collateral); and (iii) indirect costs (including operating costs of the recovery unit). All components shall be discounted to the reporting reference date.
  9. The exposure value shall be determined in accordance with the rules stipulated in Title II of Part Three CRR (see Chapter 2 for institutions using the standardised approach, and Chapter 3 for institutions using the IRB approach).
  10. The property value shall be determined in accordance with the rules stipulated in Title II of Part Three CRR.
  11. F/X effect: Amounts shall be converted to the reporting currency using the exchange rate at the reporting date. Moreover, the estimates of the economic losses should consider the F/X effect if the exposure or collateral is denominated in a different currency.
  12. Geographical breakdown
  13. Institutions shall report the following templates: a) one total template; b) one template for each national market in the Union the institution is exposed to, and; c) one template aggregating the data for all national markets outside the Union the institution is exposed to.
  14. Reporting of exposures and losses
  15. Exposures: All exposures that are subject to requirements in Title II of Part Three CRR and where the collateral is used to reduce the risk-weighted exposure amount shall be reported in template C 15.00. This also means that the exposures and losses concerned must not reported if the risk mitigation effect of the immovable property is only used for internal purposes (i.e. under Pillar 2) or for large exposures (see Part Four CRR).
§ Article 47c
  1. Losses: The institution which has the exposure by the end of the reporting period shall report the losses. Losses shall be reported as soon as provisions are to be booked in accordance with accounting rules. The estimated losses shall also be reported. Losses from exposures collateralised by immovable property shall be calculated on a loan-by-loan basis and aggregated for reporting purposes.
  2. Reference date: The exposure value at default shall be used. a) Losses shall be reported for all defaults on loans secured by real estate property that occur during the reporting period and irrespective of whether the recovery has been completed. Losses to be reported as of 31 December shall refer to the whole calendar year. Since there may be a long time lag between default and the recognition of losses (which includes incomplete recovery process), loss estimates shall be reported in cases where the recovery has not been completed within the reporting period. b) For all defaults observed within the reporting period, there are three scenarios: (i) defaulted loan can be restructured so that it is no longer treated as in default (no loss observed); (ii) realization of all collateral is completed (completed recovery, actual loss known); or (iii) incomplete recovery (loss estimates to be used). Loss reporting shall include only losses stemming from scenario (ii) realisation of collateral (observed losses) and scenario (iii) incomplete recovery (estimates of losses). c) As losses shall be reported only for exposures having defaulted during the reporting period, changes to losses of exposures having defaulted during previous reporting periods will not be reflected in the reported data, i.e. proceeds from the realisation of the collateral at a later reporting period or lower realised costs than previously estimated shall not be reported.
  3. Role of the valuation of the property: The latest valuation of the property before the default date of the exposure is needed as reference for reporting the part of exposure secured by mortgages on immovable property. After default, the property might be re-valued. This new value should however not be relevant for identifying the part of the exposure which was originally fully (and completely) secured by the mortgages on immovable property. However, the new value of the property shall be considered in economic loss reporting (a reduced property value is part of economic costs). In other words, the latest valuation of the property before the default date shall be used to determine which part of the loss shall be reported in column 0010 (identification of exposure values which is fully and completely secured) and the re-valued property value for the amount to be reported (estimation of a possible recovery from collateral) in columns 0010 and 0030.
  4. Treatment of loan sales during the reporting period: The institution which has the exposure by the end of the reporting period shall report losses, but only if a default for that exposure was identified.
§ Article 47c
  1. Instructions concerning specific positions Columns0010 Sum of losses stemming from lending up to the reference percentages Points (a) and (d) of Article 430a(1) CRR respectively, Market value and mortgage lending value in accordance with points (74) and (76) of Article 4(1) CRR This column collects all losses stemming from lending collateralised by residential property or by commercial immovable property up to the part of exposure treated as fully and completely secured in accordance with Article 124(1) CRR. 0020 Of which: immovable property valued with mortgage lending value Reporting of those losses, where the value of the collateral has been calculated as mortgage lending value. 0030 Sum of overall losses Points (b) and (e) of Article 430a(1) CRR respectively; market value and mortgage lending value in accordance with points (74) and (76) of Article 4(1) CRR This column collects all losses stemming from lending collateralised by residential property or by commercial immovable property up to the part of exposure treated as fully secured in accordance with Article 124(1) CRR. 0040 Of which: immovable property valued with mortgage lending value Institutions shall report losses, where the value of the collateral has been calculated as mortgage lending value 0050 Sum of the exposures Points (c) and (f) of Article 430a(1) CRR The value to be reported is only that part of the exposure value which is treated as fully secured by immovable property, i.e. the part that is treated as unsecured is not relevant for the loss reporting. In the event of default, the reported exposure value shall be the exposure value just before the default. Rows0010 Residential property Residential property as defined in point (75) of Article 4(1) CRR 0020Commercial immovable property

Annex

ANNEX VIII TEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK LARGE EXPOSURES TEMPLATESTemplate numberTemplate codeName of the template /group of templatesShort nameLARGE EXPOSURESLE26C 26.00Large Exposures limitsLE LIMITS27C 27.00Identification of the counterpartyLE 128C 28.00Exposures in the non-trading and trading bookLE 229C 29.00Detail of the exposures to individual clients within groups of connected clientsLE 3 C 26.00 — Large Exposures limits (LE Limits) Applicable limit010010Non institutions020Institutions030Institutions in %040Globally Systemic Important Institutions (G-SIIs) C 27.00 — Identification of the counterparty (LE 1) COUNTERPARTY IDENTIFICATIONCodeType of codeNameNational codeResidence of the counterpartySector of the counterpartyNACE codeType of counterparty011015021035040050060070 C 28.00 — Exposures in the non-trading and trading book (LE 2) COUNTERPARTYORIGINAL EXPOSURES(-) Value adjustments and provisions(-) Exposures deducted from CET 1 or Additional Tier 1 itemsExposure value before application of exemptions and CRMELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES(-) Amounts exemptedExposure value after application of exemptions and CRMCodeGroup or individualTransactions where there is an exposure to underlying assets(-) Substitution effect of eligible credit risk mitigation techniques(-) Funded credit protection other than substitution effect(-) Real estateDirect exposuresIndirect exposuresAdditional exposures arising from transactions where there is an exposure to underlying assetsTotal original exposureOf which: defaultedDebt instrumentsEquity instrumentsDerivativesOff balance sheet itemsDebt instrumentsEquity instrumentsDerivativesOff balance sheet itemsTotalOf which: Non-trading book% of Tier 1 capital(-) Debt instruments(-) Equity instruments(-) Derivatives(-) Off balance sheet itemsTotalOf which: Non-trading book% of Tier 1 capitalLoan commitmentsFinancial guaranteesOther commitmentsLoan commitmentsFinancial guaranteesOther commitments(-) Loan commitments(-) Financial guarantees(-) Other commitments010020030040050060070080090100110120130140150160170180190200210220230240250260270280290300310320330340350

§ Article 47c

C 29.00 — Detail of the exposures to individual clients within groups of connected clients (LE 3) COUNTERPARTYORIGINAL EXPOSURES(-) Value adjustments and provisions(-) Exposures deducted from CET 1 or Additional Tier 1 itemsExposure value before application of exemptions and CRMELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES(-) Amounts exemptedExposure value after application of exemptions and CRMCodeGroup codeTransactions where there is an exposure to underlying assets(-) Substitution effect of eligible credit risk mitigation techniques(-) Funded credit protection other than substitution effect(-) Real estateDirect exposuresIndirect exposuresAdditional exposures arising from transactions where there is an exposure to underlying assetsTotal original exposureOf which: defaultedDebt instrumentsEquity instrumentsDerivativesOff balance sheet itemsDebt instrumentsEquity instrumentsDerivativesOff balance sheet itemsTotalOf which: Non-trading book% of Tier 1 capital(-) Debt instruments(-) Equity instruments(-) Derivatives(-) Off balance sheet itemsTotalOf which: Non-trading book% of Tier 1 capitalLoan commitmentsFinancial guaranteesOther commitmentsLoan commitmentsFinancial guaranteesOther commitments(-) Loan commitments(-) Financial guarantees(-) Other commitments010020030050060070080090100110120130140150160170180190200210220230240250260270280290300310320330340350360

Annex

ANNEX IX INSTRUCTIONS FOR REPORTING ON LARGE EXPOSURES AND CONCENTRATION RISK Table of Contents PART I: GENERAL INSTRUCTIONS 1393

  1. Structure and conventions 1393
  2. Abbreviations 1394 PART II: TEMPLATE RELATED INSTRUCTIONS 1394
  3. Scope and level of the LE reporting 1394
  4. Structure of the LE template 1395
  5. Definitions and general instructions for the purposes of the LE reporting 1395
  6. C 26.00 – LE Limits template 1396 4.1. Instructions concerning specific rows 1396
  7. C 27.00 – Identification of the counterparty (LE1) 1397 5.1. Instructions concerning specific columns 1397
  8. C 28.00 – Exposures in the non-trading and trading book (LE2) 1398 6.1. Instructions concerning specific columns 1398
  9. C 29.00 – Details of the exposures to individual clients within groups of connected clients (LE3) 1404 7.1. Instructions concerning specific columns 1404 PART I: GENERAL INSTRUCTIONS
  10. Structure and conventions
  11. The reporting framework on large exposures (LE) shall consist of four templates which include the following information: (a) large exposures limits; (b) identification of the counterparty (template LE1); (c) exposures in the non-trading and trading book (template LE2); (d) detail of the exposures to individual clients within groups of connected clients (template LE3);
  12. The instructions include legal references as well as detailed information regarding the data that shall be reported in each template.
  13. The instructions and the validation rules follow the labelling convention set in the following paragraphs, when referring to the columns, rows and cells of the templates.
§ Article 47c
  1. The following convention is generally used in the instructions and validation rules: {Template;Row;Column}. An asterisk sign shall be used to express that the validation is done for all the rows reported.
  2. In the case of validations within a template, in which only data points of that template are used, notations do not refer to a template: {Row;Column}.
  3. ABS(Value): the absolute value without sign. Any amount that increases the exposures shall be reported as a positive figure. On the contrary, any amount that reduces the exposures shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure shall be reported for that item.
  4. Abbreviations
  5. For the purposes of this Annex, Regulation (EU) No 575/2013 is referred to as CRR. PART II: TEMPLATE RELATED INSTRUCTIONS
  6. Scope and level of the LE reporting
  7. In order to report information on large exposures to clients or groups of connected clients in accordance with Article 394(1) of Regulation (EU) No 575/2013 (CRR) on a solo basis, institutions shall use the templates LE1, LE2 and LE3.
  8. In order to report information on large exposures to clients or groups of connected clients in accordance with Article 394(1) CRR on a consolidated basis, the parent institutions in a Member State shall use templates LE1, LE2 and LE3.
  9. Every large exposure defined in accordance with Article 392 CRR shall be reported, including the large exposures that shall not be considered for the compliance with the large exposure limit laid down in Article 395 CRR.
  10. In order to report information on the 20 largest exposures to clients or groups of connected clients in accordance with the second subparagraph of Article 394(1) CRR on a consolidated basis, the parent institutions in a Member State which are subject to Part Three, Title II, Chapter 3, CRR shall use templates LE1, LE2 and LE3. The exposure value resulting from subtracting the amount in column 320 (Amounts exempted) of template LE2 from the amount in column 210 (Total) of that same template is the amount that shall be used for determining these 20 largest exposures.
  11. In order to report information on the ten largest exposures to institutions, on a consolidated basis, as well as on the ten largest exposures to shadow banking entities which carry out banking activities outside the regulated framework on a consolidated basis, in accordance with Article 394(2), points (a) to (d), CRR, the parent institutions in a Member State shall use templates LE1, LE2 and LE3. The exposure value calculated in column 210 (Total) of template LE2 is the amount that shall be used for determining these 20 largest exposures.
  12. In order to report information on exposures of a value greater than or equal to EUR 300 million but less than 10 % of the institution’s Tier 1 capital on a consolidated basis according to the last sentence of Article 394(1) of CRR, the parent institutions in a Member State shall use templates LE1, LE2 und LE3. The exposure value calculated in column 210 (Total) of template LE2 is the amount that shall be used for determining these exposures.
§ Article 47c
  1. The data on the large exposures and the relevant largest exposures as well as the data on exposures of a value greater than or equal to EUR 300 million but less than 10 % of the institution’s Tier 1 capital to groups of connected clients and individual clients not belonging to a group of connected clients shall be reported in the template LE2 (in which a group of connected clients shall be reported as one single exposure).
  2. Institutions shall report in the LE3 template data regarding the exposures to individual clients belonging to the groups of connected clients, which are reported in the LE2 template. The reporting of an exposure to an individual client in the LE2 template shall not be duplicated in the LE3 template.
  3. Structure of the LE template
  4. The columns of the template LE1 shall present the information related to the identification of individual clients or groups of connected clients to which an institution has an exposure.
  5. The columns of the templates LE2 and LE3 shall present the following blocks of information: (a) the exposure value before application of exemptions and before taking into account the effect of the credit risk mitigation, including the direct, indirect exposure and additional exposures arising from transactions where there is an exposure to underlying assets; (b) the effect of the exemptions and of the credit risk mitigation techniques; (c) the exposure value after application of exemptions and after taking into account the effect of the credit risk mitigation calculated for the purpose of Article 395(1) of CRR.
  6. Definitions and general instructions for the purposes of the LE reporting
  7. Group of connected clients is defined in Article 4(1), point (39), CRR.
  8. Institutions is defined in Article 4(1), point (3) CRR.
  9. Exposures to civil-law associations shall be reported. In addition, institutions shall add the credit amounts of the civil-law association to the indebtedness of each partner. Exposures towards civil law associations featuring quotas shall be divided or allocated to the partners according to their respective quotas. Certain constructions (e.g. joint accounts, communities of heirs, straw-man loans) working in fact civil law associations have to be reported just like them.
  10. Assets and off balance sheet items shall be used without risk weights or degrees of risk in accordance with Article 389 CRR. Specifically, credit conversion factors shall not be applied to off balance sheet items.
  11. Exposures are defined in Article 389 CRR. (a) exposures are any asset or off-balance sheet items in the non-trading and trading book including items set out in Article 400 CRR, but excluding items which fall under Article 390(6), points (a) to (d), CRR. (b) indirect exposures are those exposures allocated to the guarantor or to the issuer of the collateral rather than to the immediate borrower in accordance with Article 403 CRR. The definitions here may not differ in any possible respect from the definitions provided in the basic act.
§ Article 47c
  1. The exposures to groups of connected clients shall be calculated in accordance with Article 390(1) CRR.
  2. The netting agreements shall be allowed to be taken into account to the effects of large exposures exposure value as laid down in Article 390(3), (4) and (5) CRR. The exposure value of derivative contracts listed in Annex II of CRR and of credit derivative contracts directly entered into with a client shall be determined in accordance with Part Three, Title II, Chapter 6, CRR with the effects of contracts of novation and other netting agreements taken into account for the purposes of those methods in accordance with Part Three, Title II, Chapter 6, Section 3 to Section 5, CRR. The exposure value of repurchase transaction, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions may be determined either in accordance with Part Three, Title II, Chapter 4 or Chapter 6, CRR. In accordance with Article 296 CRR, the exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the reporting institution shall be reported as other commitments in the LE templates.
  3. The value of an exposure shall be calculated in accordance with Article 390 CRR.
  4. The effect of the full or partial application of exemptions and eligible credit risk mitigation (CRM) techniques for the purposes of calculating of exposures for the purpose of Article 395(1) CRR is specified in Articles 399 to 403 CRR.
  5. Institutions shall report exposures resulting from reverse repurchase agreements in accordance with Article 402(3) CRR. Provided that the criteria in Article 402(3) of CRR are met, the institution shall report the large exposures to each third party for the amount of the claim that the counterparty to the transaction has on this third party and not for the amount of the exposure to the counterparty.
  6. C 26.00 – LE Limits template 4.1. Instructions concerning specific rows RowsLegal references and instructions010 Non institutions
§ Article 395

Article 395(1), Article 458(2), point (d)(ii), Article 458(10) and Article 459, point (b), CRR The amount of the applicable limit for counterparties other than institutions shall be reported. This amount is 25 % of Tier 1 capital, which is reported in row 015 of template C 01.00 of Annex I, unless a more restrictive percentage applies due to the application of national measures in accordance with Article 458 CRR or the delegated acts adopted in accordance with Article 462 with respect to the requirements referred to in Article 459, point (b), CRR. 020 Institutions

§ Article 395

Article 395(1), Article 458(2), point (d)(ii), Article 458(10) and Article 459, point (b), CRR Institutions shall report the amount of the applicable limit for counterparties that are institutions. In accordance with Article 395(1) CRR, this amount shall be the following: if the 25 % of the Tier 1 capital is greater than EUR 150 million (or a lower limit than EUR 150 million set out by the competent authority in accordance with the third subparagraph of Article 395(1) CRR), 25 % of the Tier 1 capital shall be reported; if EUR 150 million (or a lower limit set out by the competent authority in accordance with the third paragraph of Article 395(1) CRR) is greater than 25 % of the institution’s Tier 1 capital, EUR 150 million (or the lower limit if set out by the competent authority) shall be reported. If the institution has determined a lower limit in terms of its Tier 1 capital, required by the second subparagraph of Article 395(1) of CRR, that limit shall be reported. These limits may be stricter in case of application of national measures in accordance with Article 395(6) or Article 458 CRR or the delegated acts adopted in accordance with Article 462 with respect to the requirements referred to in Article 459, point (b), CRR. 030 Institutions in % Articles 395(1) and 459, point (a), CRR The amount that shall be reported is the absolute limit (reported in row 020) expressed as a percentage of the Tier 1 capital. 040 Global Systemically Important Institutions (G-SIIs) Articles 395(1) of CRR The amount of the applicable limit for counterparties which are institution or group identified as a G-SII or as a non-EU G-SII shall be reported. In accordance with Article 395(1) CRR, this limit shall be the following: a G-SII shall not incur an exposure to another institution or group identified as a G-SII or a non-EU G-SII, the value of which, after taking into account the effect of credit risk mitigation, exceeds 15 % of its Tier 1 capital. 5. C 27.00 – Identification of the counterparty (LE1) 5.1. Instructions concerning specific columns ColumnLegal references and instructions010-070 Counterparty Identification: Institutions shall report the identification of any counterparty for which information is being submitted in any of the templates C 28.00 to C 29.00. The identification of the group of connected clients shall not be reported, unless the national reporting system provides a unique code for the group of connected clients. According to the third subparagraph of Article 394(1) CRR, institutions shall report the identification of the counterparty to which they have exposures of a value greater than or equal to EUR 300 million but less than 10 % of their Tier 1 capital. According to Article 394(1), point (a), CRR, institutions shall report the identification of the counterparty to which they have a large exposure as defined in Article 392 CRR. According to Article 394(2), point (a) CRR, institutions shall report the identification of the counterparty to which they have the largest exposures (in the cases where the counterparty is an institution or a shadow banking entity).

§ Article 395

011 Code The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings, the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value. 015 Type of code The institutions shall identify the type of code reported in column 010 as a LEI code or Non-LEI code. The type of code shall always be reported. 021 Name The name shall correspond to the name of the group whenever a group of connected clients is reported. In any other case, the name shall correspond to the individual counterparty. For a group of connected clients, the name that shall be reported shall be the name of the parent company or, when the group of connected clients does not have a parent, it shall be the group’s commercial name. 035 National code Institutions may additionally report the national code when they report LEI code as identifier in the Code column. 040 Residence of the counterparty The 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 last edition of the Eurostat’s Balance of Payments Vademecum) For groups of connected clients, no residence shall be reported. 050 Sector of the counterparty One sector shall be allocated to every counterparty on the basis of FINREP, Annex V, Part 1, paragraph 42, economic sector classes and splitting other financial corporations into investment firms and other financial corporations as follows: (i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) Investment firms as defined in Article 4(1)(2) CRR; (v) Other financial corporations (excluding investment firms); (vi) Non-financial corporations; (vii) Households. For groups of connected clients, no sector shall be reported. 060 NACE code For the economic sector, the NACE codes (Nomenclature statistique des activités économiques dans l’Union européenne = Statistical Classification of Economic Activities in the European Union) shall be used. This column shall apply only for the counterparties Other financial corporations (excluding investment firms) and Non-financial corporations. NACE codes shall be used for Non-financial corporations with one level detail (e.g. F – Construction) and for Other financial corporations (excluding investment firms) with a two level detail, which provides separate information on insurance activities (e.g. K65 – Insurance, reinsurance and pension funding, except compulsory social security). The Other financial corporations (excluding investment firms) and Non-financial corporations economic sectors shall be derived from FINREP counterparty breakdown. For groups of connected clients, no NACE code shall be reported. 070 Type of counterparty

§ Article 394

Article 394(2) CRR The type of the counterparty of the ten largest exposures to institutions and the ten largest exposures to shadow banking entities shall be specified by using I for institutions or S for shadow banking entities, which carry out banking activities outside the regulated framework. 6. C 28.00 — Exposures in the non-trading and trading book (LE2) 6.1. Instructions concerning specific columns ColumnLegal references and instructions010 Code For a group of connected clients, if a unique code is available at national level, this code shall be reported as the code of the group of connected clients. Where there is no unique code at the national level, the code that shall be reported shall be the code of the parent company in C 27.00. In the cases where the group of connected clients does not have a parent, the code that shall be reported shall be the code of the individual entity which is considered by the institution as the most significant within the group of connected clients. In any other case, the code shall correspond to the individual counterparty. The codes shall be used in a consistent way across time. The composition of the code depends on the national reporting system, unless a uniform codification is available in the EU. 020 Group or individual The institution shall report 1 for the reporting of exposures to individual clients and 2 for the reporting of exposures to groups of connected clients. 030 Transactions where there is an exposure to underlying assets

§ Article 390

Article 390(7) CRR In accordance with further technical specifications by the national competent authorities, when the institution has exposures to the reported counterparty through a transaction where there is an exposure to underlying assets, the equivalent to Yes shall be reported; otherwise the equivalent to No shall be reported. 040-180 Original exposures Articles 24, 389, 390 and 392 CRR The institution shall report in this block of columns the original exposures of direct exposures, indirect exposures, and additional exposures arising from transactions where there is an exposure to underlying assets. According to Article 389 CRR, assets and off balance sheet items shall be used without risk weights or degrees of risk. Specifically, credit conversion factors shall not be applied to off balance sheet items. These columns shall contain the original exposure, i.e. the exposure value without taking into account value adjustments and provisions, which shall be deducted in column 210. The definition and calculation of the exposure value is set out in Articles 389 and 390 CRR. The valuation of assets and off-balance-sheet items shall be effected in accordance with the accounting framework to which the institution is subject, according to Article 24 CRR. Exposures deducted from Common Equity Tier 1 items or Additional Tier 1 items, which are not exposures referred to in Article 390(6), point (e), CRR, shall be included in these columns. These exposures shall be deducted in column 200. Exposures referred to in Article 390(6), points (a) to (d), CRR shall not be included in these columns. Original exposures shall include any asset and off-balance sheet items. The exemptions of Article 400 CRR shall be deducted for the purpose of Article 395(1) CRR in column 320. Exposures from both non-trading and trading book shall be included. The net position calculated in accordance with point (b) of Article 390(3) CRR shall be reported as direct exposure and included in the column (060 or 070 or 080), that corresponds to the dominant instrument type. The dominant instrument shall be determined based on the value of the net position in each instrument type. For the breakdown of the exposures in financial instruments, where different exposures arising from netting agreements constitute a single exposure, the latter shall be allocated to the financial instrument corresponding to the principal asset included in the netting agreement (in addition, see the introductory section). 040 Total original exposure The institution shall report the sum of direct exposures and indirect exposures as well as the additional exposures that arise from the exposure to transactions where there is an exposure to underlying assets. 050 Of which: defaulted

§ Article 178

Article 178 CRR The institution shall report the part of the total original exposure corresponding to defaulted exposures. 060-110 Direct exposures Direct exposures shall mean the exposures on immediate borrower basis. 060 Debt instruments Regulation (EU) No 1071/2013 (ECB/2013/33) Annex II, Part 2, table, categories 2 and 3 Debt instruments shall include debt securities, and loans and advances. The instruments included in this column shall be those qualified as loans of up to and including one year/over one year and up to and including five years/of over five years’ original maturity, or as debt securities, according to ECB/2013/33. Repurchase transactions, securities or commodities lending or borrowing transactions (securities financing transactions) and margin lending transactions shall be included in this column. 70 Equity instruments ECB/2013/33 Annex II, Part 2, table, categories 4 and 5 The instruments included in this column shall be those qualified as Equity or as Investment fund shares/units in accordance with ECB/2013/33. 080 Derivatives

§ Article 272

Article 272(2) and Annex II CRR The instruments that shall be reported in this column shall include derivatives listed in Annex II CRR and long settlement transactions, as defined in Article 272(2) CRR. Credit derivatives that are subject to counterparty credit risk shall be included in this column. 090-110 Off balance sheet items Annex I to CRR The value that shall be reported in these columns shall be the nominal value before any reduction of specific credit risk adjustments and without application of conversion factors. 090 Loan commitments Annex I, points 1(c) and (h), 2(b)(ii), 3(b)(i) and 4(a), CRR Loan commitments are 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. 100 Financial guarantees Annex I, points 1(a), (b) and (f), CRR Financial guarantees are contracts that require the issuer to make specified payments to reimburse the holder for a loss it incurs because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument. Credit derivatives that are not included in the column derivatives shall be reported in this column. 110 Other commitments Other commitments are the items in Annex I to CRR that are not included in the previous categories. The exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the institution shall be reported in this column. 120-170 Indirect exposures

§ Article 403

Article 403 of CRR In accordance with Article 403 CRR, a credit institution shall use the substitution approach where an exposure to a client is guaranteed by a third party, or secured by collateral issued by a third party. The institution shall report in this block of columns the amounts of the direct exposures that are re-assigned to the guarantor or the issuer of collateral provided that the latter would be assigned an equal or lower risk weight than the risk weight which would be applied to the client under Part Three, Title II, Chapter 2, CRR. In the case of exposures secured by collateral issued by a third party, Article 403(3) CRR offers an alternative treatment. The protected reference original exposure (direct exposure) shall be deducted from the exposure to the original borrower in the columns of Eligible credit risk mitigation techniques. The indirect exposure shall increase the exposure to the guarantor or issuer of collateral via substitution effect. This shall apply also to guarantees given within a group of connected clients. The institution shall report the original amount of the indirect exposures in the column that corresponds to the type of direct exposure guaranteed or secured by collateral such as, when the direct exposure guaranteed is a debt instrument, the amount of Indirect exposure assigned to the guarantor shall be reported under the column Debt instruments. Exposures arising from credit-linked notes shall also be reported in this block of columns, according to Article 399 CRR. 120 Debt instruments See column 060. 130 Equity instruments See column 070. 140 Derivatives See column 080. 150-170 Off balance sheet items The value of these columns shall be the nominal value before any reduction of specific credit risk adjustments and conversion factors are applied. 150 Loan commitments See column 090. 160 Financial guarantees See column 100. 170 Other commitments See column 110. 180 Additional exposures arising from transactions where there is an exposure to underlying assets

§ Article 390

Article 390(7) CRR Additional exposures that arise from transactions where there is an exposure to underlying assets. 190 (-) Value adjustments and provisions Articles 34, 24, 110 and 111 CRR Value adjustment and provisions included in the corresponding accounting framework (Directive 86/635/EEC or Regulation (EC) No 1606/2002) that affect the valuation of exposures shall be determined in accordance with Articles 24 and 110 CRR. Value adjustments and provisions against the gross exposure given in column 040 shall be reported in this column. 200 (-) Exposures deducted from Common Equity Tier 1 or Additional Tier 1 items

§ Article 390

Article 390(6), point (e), CRR Exposures deducted from Common Equity Tier 1 or Additional Tier 1 items, which shall be included in the different columns of Total original exposure, shall be reported. 210-230 Exposure value before application of exemptions and CRM

§ Article 394

Article 394(1), point (b), CRR Institutions shall report the exposure value before taking into account the effect of the credit risk mitigation, where applicable. 210 Total The exposure value to be reported in this column shall be the amount used for determining whether an exposure is a large exposure according to the definition in Article 392 of CRR. This shall include the original exposure after subtracting value adjustments and provisions and the amount of the exposures deducted from Common Equity Tier 1 or Additional Tier 1 items. 220 Of which: Non-trading book The amount of the non-trading book from the total exposure before exemptions and CRM 230 % of Tier 1 capital Articles 392 and 395 CRR The amount that shall be reported is the percentage of the exposure value before application of exemptions and CRM related to Tier 1 capital of the institution, as defined in Article 25 CRR. 240-310 (-) Eligible credit risk mitigation (CRM) techniques Articles 399 and 401 to 403, CRR; CRM techniques as defined in Article 4(1), point (57), CRR The CRM techniques recognised in Part Three, Title II, Chapter 3 and 4, CRR shall be used in accordance with Articles 401 to 403, CRR. CRM techniques may have three different effects in the LE regime: substitution effect; funded credit protection other than substitution effect; and real estate treatment. 240-290 (-) Substitution effect of eligible credit risk mitigation techniques

§ Article 403

Article 403 CRR The amount of funded and unfunded credit protection that shall be reported in these columns shall correspond to the exposures guaranteed by a third party, or secured by collateral issued by a third party, where the institution shall treat the portion of the exposure which is guaranteed and/or collateralised by the market value of recognised collateral as incurred with the guarantor or the issuer of collateral. 240 (-) Debt instruments See column 060. 250 (-) Equity instruments See column 070. 260 (-) Derivatives See column 080. 270-290 (-) Off balance sheet items The value of these columns shall be without application of conversion factors. 270 (-) Loan commitments See column 090. 280 (-) Financial guarantees See column 100. 290 (-) Other commitments See column 110. 300 (-) Funded credit protection other than substitution effect

§ Article 401

Article 401 CRR The institution shall report the amounts of funded credit protection, as defined in Article 4(1), point (58), CRR, that are deducted from the exposure value due to the application of Article 401 CRR. In accordance with Article 401(1) CRR, volatility adjustments shall be applied to the exposure value and shall be reported as an increase in the exposure value. 310 (-) Real estate

§ Article 402

Article 402 CRR The institution shall report the amounts deducted from the exposure value due to the application of Article 402 CRR. 320 (-) Amounts exempted

§ Article 400

Article 400 CRR The institution shall report the amounts exempted from the LE regime. 330-350 Exposure value after application of exemptions and CRM

§ Article 394

Article 394(1), point (d), CRR The institution shall report the exposure value after taking into account the effect of the exemptions and credit risk mitigation calculated for the purpose of Article 395(1) CRR. 330 Total This column shall include the amount to be taken into account in order to comply with the large exposures limit set out in Article 395 CRR. 340 Of which: Non-trading book The institution shall report the total exposure after application of exemptions and after taking into account the effect of CRM belonging to the non-trading book. 350 % of Tier 1 capital The institution shall report the percentage of the exposure value after application of exemptions and CRM related to the Tier 1 capital of the institution, as defined in Article 25 CRR. 7. C 29.00 – Details of the exposures to individual clients within groups of connected clients (LE3) 7.1. Instructions concerning specific columns ColumnLegal references and instructions010-360The institution shall report in template LE3 the data of the individual clients belonging to the groups of connected clients included in the rows of template LE2.010 Code Columns 010 and 020 are a composite row identifier, and together must be unique for each row in the table. The code of the individual counterparty belonging to the groups of connected clients shall be reported. The codes shall be used in a consistent way across time. 020 Group code Columns 010 and 020 are a composite row identifier, and together must be unique for each row in the table. If a unique code for a group of connected clients is available at national level, this code shall be reported. Where there is no unique code at the national level, the code that shall be reported shall be the code used for reporting exposures to the Group of Connected clients in C 28.00 (LE2). Where a client belongs to several groups of connected clients, it shall be reported as a member of all the groups of connected clients. 030 Transactions where there is an exposure to underlying assets See column 030 of template LE2. 050-360 When financial instruments in template LE2 are provided to the whole group of connected clients they shall be allocated to the individual counterparties in template LE3 in accordance with the business criteria of the institution. The remaining instructions are the same as for template LE2.

Annex

ANNEX X REPORTING ON LEVERAGE LEVERAGE RATIO REPORTING TEMPLATESTemplate codeTemplate codeName of the templateShort name47C 47.00Leverage ratio calculationLRCalc40C 40.00Alternative treatment of the exposure measureLR143C 43.00Alternative breakdown of leverage ratio exposure measure componentsLR444C 44.00General informationLR5C 48.00Leverage ratio volatilityLR648.01C 48.01Leverage ratio volatility: Mean value for the reporting periodLR6.148.02C 48.02Leverage ratio volatility: Leverage ratio volatility: daily values for the reporting periodLR6.2 C 40.00 — ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1) RowAccounting balance sheet valueAccounting value assuming no netting or other CRMAdd-on for SFTsNotional amount/ nominal valueCapped notional amountCapped notional amount (same reference name)Leverage ratio exposure amount00100020004000700075008501300010Derivatives0020Credit derivatives (protection sold)0030Credit derivatives (protection sold), which are subject to a close out clause0040Credit derivatives (protection sold), which are not subject to a close out clause

§ Article 394

0050Credit derivatives (protection bought)0060Financial derivatives0071Security Financing Transactions0090Other assets0095Off-balance sheet items0210Cash collateral received in derivatives transactions0220Receivables for cash collateral posted in derivatives transactions0230Securities received in an SFT that are recognised as an asset0240SFT cash conduit lending (cash receivables)0270Public sector investments - Claims on central governments0280Public sector investments - Claims on regional governments0290Public sector investments - Claims on local authorities0300Public sector investments - Claims on public sector entities0310Promotional loans - Claims on central governments 0320Promotional loans - Claims on regional governments0330Promotional loans - Claims on local authorities0340Promotional loans - Claims on public sector entities0350Promotional loans - Claims on non-financial corporations0360Promotional loans - Claims on households0370Promotional loans - Passing-through0380Central bank exposures0390The central bank exposures value used for the calculation of the adjusted leverage ratio requirement referred to in Article 429a(7) CRR - Leverage ratio exposure amount0400Leverage ratio exposure measure used for the calculation of the adjusted leverage ratio requirement referred to in Article 429a(7) CRR - Leverage ratio exposure amount0410Total assets C 43.00 — ALTERNATIVE BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4) RowOff-balance sheet items, derivatives, SFTs and trading bookLeverage Ratio Exposure ValueRWEA001000200010Off-balance sheet items0020of which:Trade finance0030of which:Under official export credit insurance scheme0040Derivatives and SFTs subject to a cross-product netting agreement0050Derivatives not subject to a cross-product netting agreement0060SFTs not subject to a cross-product netting agreement0065Exposure amounts resulting from the additional treatment for credit derivatives0070Other assets belonging to the trading bookRowOther non-trading book exposuresLeverage Ratio Exposure ValueRWEAsSA ExposuresIRB ExposuresSA ExposuresIRB Exposures00100020003000400080Covered bonds0090Exposures treated as sovereigns0100Central governments and central banks0110Regional governments and local authorities treated as sovereigns0120MDBs and International organisations treated as sovereigns0130PSEs treated as sovereigns 0140Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns0150Regional governments and local authorities not treated as sovereigns0160MDBs not treated as sovereigns0170PSEs not treated as sovereigns0180Institutions0190Secured by mortgages on immovable properties0200of which: Secured by mortgages of residential properties0210Retail exposures0220of which: Retail SME0230Corporate0240Financial0250Non-financial0260SME exposures0270Exposures other than SME exposures0280Exposures in default0290Other exposures0300of which:Securitisation exposures0310Trade finance (memo item)0320of which:Under official export credit insurance scheme

§ Article 394

C 44.00 — GENERAL INFORMATION (LR5) RowColumn00100010Institution's company structure0020Derivatives treatment0040Institution type0070Institution with a public development unit0080Central government guaranteeing the public development credit institution / unit0090Regional government guaranteeing the public development credit institution / unit0100Local authority guaranteeing the public development credit institution / unit0110Type of guarantee received in accordance with point (d) of Article 429a(2) CRR - Obligation to protect the credit institutions' viability0120Type of guarantee received in accordance with point (d) of Article 429a(2) CRR - Direct guarantee of the credit institutions' own funds requirements, funding requirements or promotional loans granted0130Type of guarantee received in accordance with point (d) of Art 429a(2) CRR - Indirect guarantee of the credit institutions' own funds requirements, funding requirements or promotional loans granted C 47.00 — LEVERAGE RATIO CALCULATION (LRCalc) RowExposure ValuesLR Exposure: Reporting reference date00100010SFTs: Exposure value0020SFTs: Add-on for counterparty credit risk0030Derogation for SFTs: Add-on in accordance with Article 429e(5) and 222 CRR0040Counterparty credit risk of SFT agent transactions0050(-) Exempted CCP leg of client-cleared SFT exposures0061Derivatives: replacement cost contribution under the SA-CCR (without the effect of collateral on NICA) 0065(-) Effect of the recognition of collateral on NICA on QCCP client-cleared transactions (SA-CCR - replacement cost)0071(-) Effect of the eligible cash variation margin received offset against derivatives market value (SA-CCR - replacement cost)0081(-) Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR -replacement cost)0091Derivatives: Potential future exposure contribution under SA-CCR (multiplier at 1)0092(-) Effect lower multiplier for QCCP client-cleared transactions on the PFE contribution (SA-CCR - Potential future exposure)0093(-) Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR approach-potential future exposure)0101Derogation for derivatives: replacement costs contribution under the simplified standardised approach0102(-) Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach - replacement costs)0103Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach (multiplier at 1)0104(-) Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach - potential future exposure)0110Derogation for derivatives: original exposure method0120(-) Exempted CCP leg of client-cleared trade exposures (original exposure method)0130Capped notional amount of written credit derivatives0140(-) Eligible purchased credit derivatives offset against written credit derivatives0150Off-balance sheet items with a 10% CCF in accordance with Article 429f CRR0160Off-balance sheet items with a 20% CCF in accordance with Article 429f CRR

§ Article 394

0170Off-balance sheet items with a 50% CCF in accordance with Article 429f CRR0180Off-balance sheet items with a 100% CCF in accordance with Article 429f CRR0181(-) General credit risk adjustments to off balance sheet items0185Regular-way purchases and sales awaiting settlement: Accounting value under trade date accounting0186Regular-way sales awaiting settlement: Reverse out of accounting offsetting under trade date accounting0187(-) Regular-way sales awaiting settlement: offset in accordance with 429g(2) CRR0188Regular-way purchases awaiting settlement: Full recognition of commitments to pay under settlement date accounting0189(-) Regular-way purchases awaiting settlement: offset to commitments to pay under settlement date accounting in accordance with 429g(3) CRR0190Other assets0191(-) General credit risk adjustments to on balance sheet items0193Cash pooling arrangements that cannot be netted prudentially: value in the accounting framework0194Cash pooling arrangements that cannot be netted prudentially: effect of grossing-up the netting applied in the accounting framework0195Cash pooling arrangements that can be netted prudentially: value in the accounting framework0196Cash pooling arrangements that can be netted prudentially: effect of grossing-up the netting applied in the accounting framework0197(-) Cash pooling arrangements that can be netted prudentially: Recognition of netting in accordance with Article 429b(2) CRR0198(-) Cash pooling arrangements that can be netted prudentially: Recognition of netting in accordance with Article 429b(3) CRR 0200Gross up for derivatives collateral provided0210(-) Receivables for cash variation margin provided in derivatives transactions0220(-) Exempted CCP leg of client-cleared trade exposures (initial margin)0230Adjustments for SFT sales accounting transactions0235(-) Reduction of the exposure value of pre-financing or intermediate loans0240(-) Fiduciary assets0250(-) Intragroup exposures (solo basis) exempted in accordance with point (c) of Article 429a(1) CRR0251(-) IPS exposures exempted in accordance with point (c) of Article 429a(1) CRR0252(-) Excluded guaranteed parts of exposures arising from export credits0253(-) Excluded excess collateral deposited at triparty agents0254(-) Excluded securitised exposures representing significant risk transfer0255(-) Exposures to the central bank exempted in accordance with point (n) of Article 429a(1) CRR0256(-) Excluded banking-type ancillary services of CSD/institutions in accordance with point (o) of Article 429a(1) CRR0257(-) Excluded banking-type ancillary services of designated institutions in accordance with point (p) of Article 429a(1) CRR0260(-) Exposures exempted in accordance with point (j) of Article 429a(1) CRR0261(-) Excluded exposures of public development credit institutions - Public sector investments0262(-) Excluded exposures of public development credit institutions - Promotional loans granted by a public development credit institution0263(-) Excluded exposures of public development credit institutions - Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State

§ Article 394

0264(-) Excluded exposures of public development credit institutions - Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution0265(-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) - Promotional loans granted by a public development credit institution0266(-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) - Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State0267(-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) - Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution0270(-) Asset amount deducted - Tier 1 capital - fully phased-in definition0280Asset amount deducted (-) or added (+) - Tier 1 capital - transitional definition0290Total Leverage Ratio exposure measure - using a fully phased-in definition of Tier 1 capital0300Total Leverage Ratio exposure measure - using a transitional definition of Tier 1 capitalRowCapital0310Tier 1 capital -fully phased-in definition0320Tier 1 capital - transitional definitionRowLeverage Ratio0330Leverage Ratio – using a fully phased-in definition of Tier 1 capital0340Leverage Ratio - using a transitional definition of Tier 1 capitalRowRequirements: amounts0350Pillar 2 requirement (P2R) to address risks of excessive leverage0360of which: to be made up of CET1 capital0370G-SII leverage ratio buffer0380Pillar 2 guidance (P2G) to address risks of excessive leverage 0390of which: to be made up of CET1 capital0400of which: to be made up of Tier 1 capitalRowRequirements: ratios0410Pillar 1 Leverage Ratio requirement0420Total SREP leverage ratio requirement (TSLRR)0430TSLRR: to be made up of CET1 capital0440Overall leverage ratio requirement (OLRR)0450Overall leverage ratio requirement (OLRR) and Pillar 2 Guidance (P2G) ratio0460OLRR and P2G: to be made up of CET1 capital0470OLRR and P2G: to be made up of Tier 1 capitalRowMemorandum items0480Leverage ratio as if IFRS 9 or analogous ECL transitional arrangements had not been applied0490Leverage ratio as if the temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income have not been applied C 48.01 — Leverage ratio volatility: Mean value for the reporting period (LR6.1) RowSFTs exposure valueAdjustments for SFT sales accounting transactions001000200010Mean value for the reporting period C 48.02 — Leverage ratio volatility: daily values for the reporting period (LR6.2) Reference date within reporting periodSFTs exposure valueAdjustments for SFT sales accounting transactions001000200030

Annex

ANNEX XI INSTRUCTIONS FOR REPORTING ON LEVERAGE

§ Article 394

PART I: GENERAL INSTRUCTIONS 1418

  1. Structure and other conventions 1418 1.1. Structure 1418 1.2. Numbering convention 1418 1.3. Abbreviations 1418 1.4. Sign convention 1419 PART II: TEMPLATE RELATED INSTRUCTIONS 1419
  2. Formulas for leverage ratio calculation 1419
  3. Materiality thresholds for derivatives 1419
  4. C 47.00 – Leverage ratio calculation (LRCalc) 1420
  5. C 40.00 – Alternative treatment of the Exposure Measure (LR1) 1440
  6. C 43.00 – Alternative breakdown of leverage ratio exposure measure components (LR4) 1448
  7. C 44.00 – General information (LR5) 1465
  8. C 48.00 Leverage ratio volatility (LR6) 1466
  9. C 48.01 Leverage ratio volatility: Mean value for the reporting period 1466
  10. C 48.02 Leverage ratio volatility: Daily values for the reporting period 1467 PART I: GENERAL INSTRUCTIONS
  11. Structure and other conventions 1.1. Structure
  12. This Annex contains additional instructions for the templates (hereinafter LR) included in Annex X of this Regulation.
  13. Overall, the framework consists of five templates: C47.00: Leverage Ratio Calculation (LRCalc): Leverage ratio calculation; C40.00: Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure; C43.00: Leverage Ratio Template 4 (LR4): Alternative breakdown of leverage ratio exposure measure components; C44.00: Leverage Ratio Template 5 (LR5): General information; C48.00: Leverage ratio volatility (LR6).
  14. For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting. 1.2. Numbering convention
  15. The document will follow the labelling convention set in the following paragraphs, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.
  16. The following general notation is followed in the instructions: {Template;Row;Column}. An asterisk sign will be used to refer to the whole row or column.
  17. In the case of validations within a template, where only data points from that template are used, notations will not refer to a template: {Row;Column}.
  18. For the purpose of the reporting on leverage, of which refers to an item that is a subset of a higher level exposure category whereas memo item refers to a separate item that is not a subset of an exposure class. Reporting of both types of cells is mandatory unless otherwise specified. 1.3. Abbreviations
  19. For the purposes of this annex and related templates the following abbreviations are used: a. CRR, which is an abbreviation of Capital Requirements Regulation and shall mean Regulation (EU) No 575/2013; b. CRD, which is an abbreviation of Capital Requirements Directive and shall mean Directive 2013/36/EU; c. SFT, which is an abbreviation of Securities Financing Transaction and shall mean repurchase transaction, securities or commodities lending or borrowing transaction, or margin lending transaction as referred to in point (139) of Article 4(1) in Regulation (EU) No 575/2013;
§ Article 394

d. CRM, which is an abbreviation for Credit Risk Mitigation; e. CSD, which is an abbreviation for Central Securities Depository; f. QCCP, which is an abbreviation for Qualifying Central Counterparty; g. PFE, which is an abbreviation for Potential Future Exposure. 1.4. Sign convention 9. All amounts shall be reported as positive figures. With the exception of: a. The items whose label is preceded by a negative sign (-), where no positive figure is expected to be reported for that item. b. {LRCalc;0310;0010}, {LRCalc;0320;0010}, {LRCalc;0330;0010}, {LRCalc;0340;0010}, which could take negative values in extreme cases, otherwise they take positive values. c. {LRCalc;0280;0010} can take a positive values due to Article 473a(7) CRR, otherwise they take negative values. PART II: TEMPLATE RELATED INSTRUCTIONS

  1. Formulas for leverage ratio calculation
  2. The leverage ratio is based on a capital measure and a total exposure measure, which can be calculated with cells from LRCalc.
  3. Leverage Ratio – fully phased-in definition = {LRCalc;0310;0010}/{LRCalc;0290;0010}.
  4. Leverage Ratio – transitional definition = {LRCalc;0320;0010}/{LRCalc;0300;0010}.
  5. Materiality thresholds for derivatives
  6. In order to reduce the reporting burden for institutions with limited exposures in derivatives, the following measures are used to gauge the relative importance of derivatives exposures to the total exposure of the leverage ratio. Institutions shall calculate these measures as follows:
  7. Derivatives share Derivative exposure measureTotal exposure measure
  8. Where the derivative exposure measure is equal to: {LRCalc;0061;0010}+{LRCalc;0065;0010}+{LRCalc;0071;0010}+{LRCalc;0081;0010}+{LRCalc;0091;0010}+{LRCalc;0092;0010}+{LRCalc;0093;0010}+{LRCalc;0101;0010}+{LRCalc;0102;0010}+{LRCalc;0103;0010}+{LRCalc;0104;0010}+{LRCalc;0110;0010}+{LRCalc;0120;0010}+{LRCalc;0130;0010}+{LRCalc;0140;0010}
  9. Where total exposure measure is equal to: {LRCalc;0290;0010}.
  10. Total notional amount referenced by derivatives = {LR1; 0010;0070}. This is a cell that institutions shall always report.
  11. Credit derivatives volume = {LR1;0020;0070} + {LR1;0050;0070}. These are cells that institutions shall always report.
  12. Institutions are required to report the cells referred to in paragraph 13 if any of the following conditions is met: a) the derivatives share referred to in paragraph 5 is more than 1,5 %; b) the derivatives share referred to in paragraph 5 exceeds 2,0 %. The entry and exit criteria of Article 4 of this Regulation shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date, where they have exceeded the threshold on one reporting reference date.
  13. Institutions for which the total notional amount referenced by derivatives as defined in paragraph 8 exceeds 10 billion € shall report the cells referred to in paragraph 13, even though their derivatives share does not fulfil the conditions described in paragraph 10.
§ Article 394

The entry criteria of Article 4 of this Regulation shall not apply for paragraph 4. Institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date. 12. Institutions are required to report the cells referred to in paragraph 14 if any of the following conditions is met: a) the credit derivatives volume referred to in paragraph 9 is more than 300 million €; b) the credit derivatives volume referred to in paragraph 9 exceeds 500 million €. The entry and exit criteria of Article 4 of this Regulation shall apply, except for point (b) where institutions shall start reporting from the next reporting reference date where they have exceeded the threshold on one reporting reference date. 13. The cells which are required to be reported by institutions in accordance with paragraphs 10 and 11 are the following: {LR1;0010;0010}, {LR1;0010;0020}, {LR1;0020;0010}, {LR1;0020;0020}, {LR1;0030;0070}, {LR1;0040;0070}, {LR1;0050;0010}, {LR1;0050;0020}, {LR1;0060;0010}, {LR1;0060;0020}, and {LR1;0060;0070}. 14. The cells which are required to be reported by institutions in accordance with paragraph 12 are the following: {LR1;0020;0075}, {LR1;0050;0075} and {LR1;0050;0085}. 3. C 47.00 – Leverage ratio calculation (LRCalc) 15. This template collects the data that are needed to calculate the leverage ratio as defined in Part Seven CRR. 16. Institutions shall perform the reporting of the leverage ratio quarterly. In each quarter, the value at reporting reference date shall be the value at the last calendar day of the third month of the respective quarter. 17. Institutions shall report the items in the Exposure values section with positive sign in accordance with the sign convention in paragraph 9 of Part I of this Annex (excluding {LRCalc;0270;0010} and {LRCalc;0280;0010}), as if the items with a negative sign (for example exemptions/deductions) in accordance with the sign convention in paragraph 9 of Part I of this Annex did not apply. 18. Any amount that increases the own funds or the leverage ratio exposure shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the leverage ratio exposure 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. 19. Where an amount could qualify for deduction on multiple grounds, the amount shall only be reduced from the exposure in one of the rows of template C47.00. Legal references and instructionsRow and columnExposure Values{0010;0010} SFTs: Exposure value Point (b) of paragraph (1) and paragraphs (4) and (5) of Article 429b CRR The exposure for SFTs calculated in accordance with point (b) of paragraph (1) and paragraphs (4) and (5) of Article 429b CRR. Institutions shall consider in this cell transactions in accordance with point (c) of Article 429e(7) CRR. Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include those items in {0190;0010}.

§ Article 394

Institutions shall not include in this cell agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with point (a) of Article 429e(7) CRR. {0020;0010} SFTs: Add-on for counterparty credit risk

§ Article 429e

Article 429e(1) CRR The add-on for counterparty credit risk of SFTs, including those that are off-balance sheet, determined in accordance with paragraph (2) or (3) and paragraph (4) of Article 429e CRR, as applicable. Institutions shall consider in this cell transactions in accordance with point (c) Article 429e(7) CRR. Institutions shall not include in this cell agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with point (a) of Article 429e(7) CRR. Institutions shall instead include those items in {0040;0010}. {0030;0010} Derogation for SFTs: Add-on in accordance with Articles 429e(5) and 222 CRR

§ Article 429e

Article 429e(5) and 222 CRR The exposure value for SFTs, including those that are off-balance sheet, calculated in accordance with Article 222 CRR, subject to a 20 % floor for the applicable risk weight. Institutions shall consider in this cell transactions in accordance with point (c) of Article 429e(7) CRR. Institutions shall not consider in this cell transactions for which the add-on part of the leverage ratio exposure value is determined in accordance with the method refer to in Article 429e(1) CRR. {0040;0010} Counterparty credit risk of SFT agent transactions Point (a) of paragraph (7) and paragraphs (2) and (3) of Article 429e CRR The exposure value for agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with point (a) of Article 429e(7) CRR, consists only of the add-on determined in accordance with paragraph (2) or (3) of Article 429e CRR, as applicable. Institutions shall not include in this cell transactions in accordance with point (c) of Article 429e(7). Institutions shall instead include those items in {0010;0010} and {0020;0010} or {0010;0010} and {0030;0010}, as applicable. {0050;0010} (-) Exempted CCP leg of client-cleared SFT exposures Point (g) of Article 429a(1) and point (c) of Article 306(1) CRR The exempted CCP leg of client-cleared trade exposures of SFTs, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. Where the exempted leg to the CCP is a security it shall not be reported in this cell unless it is a re-pledged security that under the applicable accounting framework (i.e. in accordance with the first sentence of Article 111(1) CRR) is included at full value. Institutions shall, as if no exemption applies, also include the amount reported in this cell in {0010;0010}, {0020;0010} and {0030;0010}, and, if it is a re-pledged security that under the applicable accounting framework is included at full value, additionally in {0190;0010}. Where there is initial margin posted by the institution for an exempted leg of an SFT that is reported in {0190;0010} and not reported in {0020;0010} or {0030;0010}, then the institution can report it in this cell. {0061;0010} Derivatives: replacement cost contribution under the SA-CCR (without the effect of collateral on NICA) Articles 429c(1) CRR The replacement Cost as per Article 275 CRR without the effect of collateral on NICA, and without the effect of any variation margin. Institutions shall not apply the derogations of paragraph (3) and (4) of Article 429c and point (g) of Article 429a(1) CRR for the purposes of this cell. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. As determined by Article 429c(1) CRR, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 CRR. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (25)(c) of Article 272 CRR and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in Article 295(c) CRR.

§ Article 429e

Institutions shall include all credit derivatives, not solely those in the trading book. Institutions shall not consider in this cell contracts measured by application of the simplified standardised approach or the original exposure method. {0065;0010} (-) Effect of the recognition of collateral on NICA on QCCP client-cleared transactions (SA-CCR – replacement cost)

§ Article 429c

Article 429c(4) CRR Application of the derogation of 429c(4) CRR on the calculation of the replacement cost for derivative contracts with clients where those contracts are cleared by a QCCP. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions shall include the amount reported in this cell also in {0061;0010} as if no derogation applies. {0071;0010} (-) Effect of the eligible cash variation margin received offset against derivatives market value (SA-CCR – replacement cost)

§ Article 429c

Article 429c(3) CRR Variation margin received in cash from the counterparty eligible for offsetting against the replacement cost portion of the derivatives exposure in accordance with Article 429c(3) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Any cash variation margin received on an exempted CCP leg in accordance with point (g) of Article 429a(1) CRR shall not be reported. Institutions shall include the amount reported in this cell also in {0061;0010} as if no deduction of cash variation margin applies. {0081;0010} (-) Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR -replacement cost) Point (g) of Article 429a(1) CRR The replacement cost portion of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. This amount shall be reported gross of cash variation margin received on this leg. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions shall include the amount reported in this cell also in {0061;0010} as if no exemption applies. {0091;0010} Derivatives: Potential future exposure contribution under SA-CCR (multiplier at 1)

§ Article 429c

Article 429c(5) CRR Potential future exposure as per Article 278 CRR assuming a multiplier of 1, i.e. without the application of the derogation regarding contracts with clients where those contracts are cleared by a QCCP of 429c(5) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. {0092;0010} (-) Effect lower multiplier for QCCP client-cleared transactions on the PFE contribution (SA-CCR – Potential future exposure)

§ Article 429c

Article 429c(5) CRR Application of the derogation of Article 429c(5) CRR on the calculation of the PFE for derivative contracts with clients where those contracts are cleared by a QCCP. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions shall include the amount reported in this cell also in {0091;0010} as if no derogation applies. {0093;0010} (-) Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR approach-potential future exposure) Point (g) of Article 429a(1) CRR The potential future exposure of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions shall include the amount reported in this cell also in {0091;0010} as if no exemption applies. {0101;0010} Derogation for derivatives: replacement costs contribution under the simplified standardised approach Articles 429c(6) and 281 CRR This cell provides the exposure measure of contracts listed in points 1 and 2 of Annex II CRR calculated in accordance with the simplified standardised approach set out in Article 281 CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions that apply the simplified standardised approach shall not reduce the total exposure measure by the amount of margin received in accordance with Article 429c(6) CRR. Hence the exception for derivative contracts with clients where those contracts are cleared by a QCCP in Article 429c(4) CRR shall not apply. Institutions shall not consider in this cell contracts measured by application of the SA-CCR or the original exposure method. {0102;0010} (-) Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach – replacement costs) Point (g) of Article 429a(1) CRR The replacement cost portion of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. This amount shall be reported gross of cash variation margin received on this leg. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions shall include the amount reported in this cell also in {0101;0010} as if no exemption applied. {0103;0010} Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach (multiplier at 1) Point (f) of Article 281(2) and Article 429c(6) CRR The potential future exposure in accordance with the simplified standardised approach set out in Article 281 CRR, assuming a multiplier of 1. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions that apply the simplified standardised approach shall not reduce the total exposure measure by the amount of margin received in accordance with Article 429c(6) CRR.

§ Article 429c

{0104;0010} (-) Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach – potential future exposure) Point (g) of Article 429a(1) CRR The potential future exposure of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions shall include the amount reported in this cell also in {0103;0010} as if no exemption applied. {0110;0010} Derogation for derivatives: original exposure method Articles 429c(6) and 282 CRR This cell provides the exposure measure of contracts listed in points 1 and 2 of Annex II CRR calculated in accordance with the original exposure method set out in Article 282 CRR. Institutions that apply the original exposure method shall not reduce the total exposure measure by the amount of margin received in accordance with Article 429c(6) CRR. Institutions that do not use the original exposure method shall not report this cell. Institutions shall not consider in this cell contracts measured by application of the SA-CCR or the simplified standardised approach. {0120;0010} (-) Exempted CCP leg of client-cleared trade exposures (original exposure method) Point (g) of Article 429a(1) CRR The exempted CCP leg of client-cleared trade exposures when applying the original exposure method as set out in Article 282 CRR, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. Institutions shall include the amount reported in this cell also in {0110;0010} as if no exemption applied. {0130;0010} Capped notional amount of written credit derivatives

§ Article 429d

Article 429d CRR Institutions shall determine capped notional amount of written credit derivatives, as defined in Article 429d(1), in accordance with Article 429d CRR. {0140;0010} (-) Eligible purchased credit derivatives offset against written credit derivatives

§ Article 429d

Article 429d CRR Capped notional amount of purchased credit derivatives (i.e. where the institution is buying credit protection from a counterparty) on the same reference names as those credit derivatives written by the institution, where the remaining maturity of the purchased protection is equal to or greater than the remaining maturity of the sold protection. Hence, the value shall not be greater than the value entered in {0130;0010} for each reference name. {0150;0010} Off-balance sheet items with a 10 % CCF in accordance with Article 429f CRR

§ Article 429f

Article 429f, point (d) of Article 111(1) and Article 166(9) CRR The exposure value, in accordance with Articles 429f and point (d) of Article 111(1) CRR, of low risk off-balance sheet items that would be assigned a 0 % credit conversion factor referred to in points 4(a) to (c) of Annex I CRR (as a reminder the exposure value here shall be 10 % of the nominal value). That is commitments which may be cancelled unconditionally at any time by the institution without prior notice (UCC), or that effectively provide for automatic cancellation due to deterioration in a borrower’s creditworthiness. As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Instead, as indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calculation is subject to a floor of zero. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) CRR. Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs and positions referred to in Article 429d in accordance with Article 429f CRR. {0160;0010} Off-balance sheet items with a 20 % CCF in accordance with Article 429f CRR

§ Article 429f

Article 429f, point (c) of Article 111(1) and Article 166(9) CRR The exposure value, in accordance with Articles 429f and point (c) of Article 111(1) CRR, of medium/low risk off-balance-sheet items that would be assigned a 20 % credit conversion factor referred to in points 3(a) and (b) of Annex I CRR (as a reminder the exposure value here shall be 20 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Instead, as indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calculation is subject to a floor of zero. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) CRR. Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs and positions referred to in Article 429d in accordance with Article 429f CRR. {0170;0010} Off-balance sheet items with a 50 % CCF in accordance with Article 429f CRR

§ Article 429f

Article 429f, point (b) of Article 111(1) and Article 166(9) CRR The exposure value, in accordance with Articles 429f and point (b) of Article 111(1) CRR, of medium risk off-balance sheet items that would be assigned a 50 % credit conversion factor as defined in the Standardised Approach to credit risk referred to in points 2(a) and (b) of Annex I CRR (as a reminder the exposure value here shall be 50 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Instead, as indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calculation is subject to a floor of zero. This cell includes liquidity facilities and other commitments to securitisations. In other words the CCF for all liquidity facilities in accordance with Article 255 CRR is 50 % regardless of the maturity. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) CRR. Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs and positions referred to in Article 429d in accordance with Article 429f CRR. {0180;0010} Off-balance sheet items with a 100 % CCF in accordance with Article 429f CRR

§ Article 429f

Article 429f, point (a) of Article 111(1) and Article 166(9) CRR The exposure value, in accordance with Articles 429f and point (a) of Article 111(1) CRR, of high risk off-balance sheet items that would be assigned a 100 % credit conversion factor referred to in points 1(a) to (k) of Annex I CRR (as a reminder the exposure value here shall be 100 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Instead, as indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calculation is subject to a floor of zero. This cell includes liquidity facilities and other commitments to securitisations. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) CRR. Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs and positions referred to in Article 429d in accordance with Article 429f CRR. {0181;0010} (-) General credit risk adjustments to off balance sheet items

§ Article 429

Article 429(4) CRR The amount of general credit risk adjustments corresponding to off-balance sheet items referred to in point (d) of Article 429(4), which institutions deduct in accordance with the last paragraph of Article 429(4) CRR. The amount reported shall not be taken into account as a reduction in the calculation of off-balance sheet items reported in rows from {0150;0010} to {0180;0010}. {0185;0010} Regular-way purchases and sales awaiting settlement: Accounting value under trade date accounting

§ Article 429g

Article 429g(1) CRR The sum of: The amount of the cash related to regular-way purchases which remain on the balance sheet until the settlement date as assets in accordance with point (a) of Article 429(4) CRR; The cash receivables related to regular-way sales which remain on the balance sheet as assets until the settlement date in accordance with point (a) of Article 429(4) CRR. This amount is after the effect of offsetting between cash receivables for regular-way sales awaiting settlement and cash payables for regular-way purchases awaiting settlement, as allowed under the applicable accounting framework. Institutions that follow the trade date accounting shall report the abovementioned sum in this cell instead of row 0190 other assets, while they shall report the securities related to regular-way purchases in row 0190. {0186;0010} Regular-way sales awaiting settlement: Reverse out of accounting offsetting under trade date accounting

§ Article 429g

Article 429g(2) CRR The amount offset between cash receivables for regular-way sales awaiting settlement and cash payables for regular-way purchase awaiting settlement allowed under the accounting framework. {0187;0010} (-) Regular-way sales awaiting settlement: offset in accordance with 429g(2) CRR

§ Article 429g

Article 429g(2) CRR The amount offset between cash receivables and cash payables where both the related regular-way sales and purchases are settled on a delivery-versus-payment basis in accordance with Article 429g(2) CRR. {0188;0010} Regular-way purchases awaiting settlement: Full recognition of commitments to pay under settlement date accounting

§ Article 429g

Article 429g(3) CRR The full nominal value of commitments to pay related to regular-way purchases, for institutions that, in accordance with the applicable accounting framework, apply settlement date accounting to regular-way purchases and sales. Securities related to regular-way sales shall be reported in row 0190 other assets. {0189;0010} (-) Regular-way purchases awaiting settlement: offset to commitments to pay under settlement date accounting in accordance with 429g(3) CRR

§ Article 429g

Article 429g(3) CRR The part of the amount reported in row 0188 offset by the full nominal value of cash receivables related to regular-way sales awaiting settlement in accordance with Article 429g(3) CRR. {0190;0010} Other assets Point (a) of Article 429(4) CRR All assets other than derivatives contracts listed in Annex II CRR, credit derivatives and SFTs (e.g. amongst others assets to be reported in this cell are accounting receivables for cash variation margin provided where recognised under the operative accounting framework, liquid assets as defined under the liquidity coverage ratio, failed and unsettled transactions). Institutions shall base valuation on the principles set out in Article 429b(1) and 429(7) CRR. Institutions shall include in this cell cash received or any security that is provided to a counterparty via SFTs and that is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Furthermore, institutions shall recognise items that are deducted from CET1 and Additional Tier 1 items (e.g. intangibles, deferred tax assets etc.) here. The amount reported in row {0191;0010} shall not be taken into account as a reduction in the calculation of this row. Cash pooling arrangements shall be reported in rows {0193;0010}, {0194;0010}, {0195;0010}, {0196;0010}, {0197;0010} and {0198;0010} and not here. {0191;0010} (-) General credit risk adjustments to on balance sheet items

§ Article 429

Article 429(4) CRR The amount of general credit risk adjustments corresponding to on-balance sheet items referred to in point (a) of Article 429(4) CRR, which institutions deduct in accordance with the last paragraph of Article 429(4) CRR. The amount reported shall not be taking into account as a reduction in the calculation of other assets reported in {0190;0010}. {0193;0010} Cash pooling arrangements that cannot be netted prudentially: value in the accounting framework Paragraphs (2) and (3) of Article 429b CRR The accounting value of cash pooling arrangements, i.e. of arrangements whereby the credit or debit balances of several individual accounts are combined for the purposes of cash or liquidity management, that cannot be netted in accordance to paragraphs (2) and (3) of Article 429b CRR. {0194;0010} Cash pooling arrangements that cannot be netted prudentially: effect of grossing-up the netting applied in the accounting framework

§ Article 429

Article 429 (7(b) and paragraph (2) and (3) of 429b CRR The amount netted under the applicable accounting framework on the cash pooling arrangements that cannot be netted prudentially, reported in {0193;0010}. {0195;0010} Cash pooling arrangements that can be netted prudentially: value in the accounting framework Paragraphs (2) and (3) of Article 429b CRR The accounting value of cash pooling arrangements, i.e. of arrangements whereby the credit or debit balances of several individual accounts are combined for the purposes of cash or liquidity management, that can be netted in accordance to paragraph (2) and (3) of Article 429b CRR. {0196;0010} Cash pooling arrangements that can be netted prudentially: effect of grossing-up the netting applied in the accounting framework Paragraphs (2) and (3) of Article 429b CRR The amount netted under the applicable accounting framework on the cash pooling arrangements that can be netted prudentially, reported in {0195;0010}. Where the institution meets point (b) of Article 429b(2), they shall not apply the gross-up in this row to balances extinguished on the basis of the process set out in point (a) of Article 429b(2). {0197;0010} (-) Cash pooling arrangements that can be netted prudentially: Recognition of netting in accordance with Article 429b(2) CRR

§ Article 429b

Article 429b(2) CRR The amount netted from the gross exposure related to cash pooling arrangements (sum of rows 0195 and 0196) in accordance with Article 429b(2). {0198;0010} (-) Cash pooling arrangements that can be netted prudentially: Recognition of netting in accordance with Article 429b(3) CRR

§ Article 429b

Article 429b(3) CRR The amount netted from the gross exposure related to cash pooling arrangements (sum of rows 0195 and 0196) in accordance with Article 429b(3). {0200;0010} Gross-up for derivatives collateral provided

§ Article 429c

Article 429c(2) CRR The amount of any derivatives collateral provided where the provision of that collateral reduces the amount of assets under the applicable accounting framework, as set out in Article 429c(2) CRR. Institutions shall not include in this cell initial margin for client-cleared derivative transactions with a qualifying CCP (QCCP) or eligible cash variation margin, as defined in Article 429c(3) CRR. {0210;0010} (-) Receivables for cash variation margin provided in derivatives transactions Point (c) of Article 429c(3) CRR The receivables for variation margin paid in cash to the counterparty in derivatives transactions if the institution is required, under the applicable accounting framework, to recognise these receivables as an asset, provided that the conditions in points (a) to (e) of Article 429c(3) CRR are met. The amount reported shall also be included in the other assets reported in {0190;0010}. {0220;0010} (-) Exempted CCP leg of client-cleared trade exposures (initial margin) Point (g) of Article 429a(1) CRR The initial margin (posted) portion of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. The amount reported shall also be included in the other assets reported in {0190;0010}. {0230;0010} Adjustments for SFT sales accounting transactions

§ Article 429e

Article 429e(6) CRR The value of securities lent in a repurchase transaction that are derecognised due to a sales accounting transaction under the applicable accounting framework. {0235;0010} (-) Reduction of the exposure value of pre-financing or intermediate loans

§ Article 429

Article 429(8) CRR The amount reduced from the exposure value of a pre-financing loan or an intermediate loan, in accordance with Article 429(8) CRR. The amount reported shall be included in the other assets reported in {0190;0010}. {0240;0010} (-) Fiduciary assets Point (i) of Article 429a(1) CRR The value of fiduciary assets that are recognised on the institution’s balance sheet by national generally accepted accounting principles, meet the IFRS9 criteria for non-recognition and, where applicable, IFRS 10 for non-consolidation, in accordance with point (i) of Article 429a(1) CRR, assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). The amount reported shall also be included in the other assets reported in {0190;0010}. {0250;0010} (-) Intragroup exposures (solo basis) exempted in accordance with point (c) of Article 429a(1) CRR Point (c) of Article 429a(1) and Article 113(6) CRR Exposures that have not been consolidated on the applicable level of consolidation, that can benefit from the treatment laid down in Article 113(6) CRR, provided that all the conditions set out in points (a) to (e) of Article 113(6) CRR are met and where the competent authorities have given their approval. The amount reported shall also be included in the applicable cells above as if no exemption applied. {0251;0010} (-) IPS exposures exempted in accordance with point (c) of Article 429a(1) CRR Point (c) of Article 429a(1) and Article 113(7) CRR Exposures that can benefit from the treatment laid down in Article 113(7) CRR, provided that all the conditions set out in points (a) to (i) of Article 113(7) CRR are met and where the competent authorities have given their approval. The amount reported shall also be included in the applicable cells above as if no exemption applied. {0252;0010} (-) Excluded guaranteed parts of exposures arising from export credits Point (f) of Article 429a(1) CRR The guaranteed parts of exposures arising from export credits that can be excluded when the conditions of point (f) of Article 429a(1) CRR are met. The amount reported shall also be included in the applicable cells above as if no exemption applied. {0253;0010} (-) Excluded excess collateral deposited at triparty agents Point (k) of Article 429a(1) CRR The excess collateral deposited at triparty agents that has not been lent out, which can be excluded in accordance with point (k) of Article 429a(1). The amount reported shall also be included in the applicable cells above as if no exemption applied. {0254;0010} (-) Excluded securitised exposures representing significant risk transfer Point (m) of Article 429a(1) CRR The securitised exposures from traditional securitisations that meet the conditions for significant risk transfer set out in Article 244(2). The amount reported shall also be included in the applicable cells above as if no exemption applied. {0255;0010} (-) Exposures to the central bank exempted in accordance with point (n) of Article 429a(1) CRR

§ Article 429

Point (n) of Article 429a(1) CRR The amount reported shall also be included in the applicable cells above as if no exemption applied. {0256;0010} (-) Excluded banking-type ancillary services of CSD/institutions in accordance with point (o) of Article 429a(1) CRR Point (o) of Article 429a(1) CRR The amount reported shall also be included in the applicable cells above as if no exemption applied. {0257;0010} (-) Excluded banking-type ancillary services of designated institutions in accordance with point (p) of Article 429a(1) CRR Point (p) of Article 429a(1) CRR The amount reported shall also be included in the applicable cells above as if no exemption applied. {0260;0010} (-) Exposures exempted in accordance with point (j) of Article 429a(1) CRR Point (j) of Article 429a(1) CRR Exposures exempted in accordance with point (j) of 429a(1) CRR subject to the therein stated conditions being met. The amount reported shall also be included in the applicable cells above as if no exemption applied. {0261;0010} (-) Excluded exposures of public development credit institutions – Public sector investments Point (d) of paragraph (1) and paragraph (2) of Article 429a CRR The exposures arising from assets that constitute claims on central governments, regional governments, local authorities or public sector entities in relation to public sector investments, which can be excluded in accordance with point (d) of Article 429a(1) CRR. Where the claim also qualifies as promotional loan under Article 429a(3), it shall not be reported in this cell but under rows 0262-0264 as applicable. The amount reported shall also be included in the applicable cells above as if no exemption applied. {0262;0010} (-) Excluded exposures of public development credit institutions – Promotional loans granted by a public development credit institution Point (d) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR The exposures arising from promotional loans, including passing-through promotional loans, granted by a public development credit institution, which can be excluded in accordance with point (d) of Article 429a(1) CRR. The exposures of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) CRR, shall also be considered. The amount reported shall also be included in the applicable cells above as if no exemption applied. {0263;0010} (-) Excluded exposures of public development credit institutions – Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State Point (d) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR. The exposures arising from promotional loans, including passing-through promotional loans, granted by an entity directly set up by the central government, regional governments or local authorities of a Member State, which can be excluded in accordance with point (d) of Article 429a(1). The exposures of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered.

§ Article 429

The amount reported shall also be included in the applicable cells above as if no exemption applied. {0264;0010} (-) Excluded exposures of public development credit institutions – Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution Point (d) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR. The exposures arising from promotional loans, including passing-through promotional loans, granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution, which can be excluded in accordance with point (d) of Article 429a(1). The exposures of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered. The amount reported shall also be included in the applicable cells above as if no exemption applied. {0265;0010} (-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) – Promotional loans granted by a public development credit institution Point (e) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR The parts of exposures arising from passing-through promotional loans to other credit institutions, when the promotional loans have been granted by a public development credit institution. The parts of the exposures of the units of an institution that are not treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered. The amount reported shall also be included in the applicable cells above as if no exemption applied. {0266;0010} (-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) – Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State Point (e) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR The parts of exposures arising from passing-through promotional loans to other credit institutions, when the promotional loans have been granted by an entity directly set up by the central government, regional governments or local authorities of a Member State. The parts of the exposures of the units of an institution that are not treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered. The amount reported shall also be included in the applicable cells above as if no exemption applied. {0267;0010} (-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) – Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution

§ Article 429

Point (e) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR The parts of exposures arising from passing-through promotional loans to other credit institutions, when the promotional loans have been granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution. The parts of the exposures of the units of an institution that are not treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered. The amount reported shall also be included in the applicable cells above as if no exemption applied. {0270;0010} (-) Asset amount deducted – Tier 1 capital – fully phased-in definition Point (b) of Article 429a(1) and point (a) of Article 499(1) CRR It includes all the adjustments that target the value of an asset and which are required by: Articles 32 to 35 CRR, or Articles 36 to 47 CRR, or Articles 56 to 60 CRR, as applicable. Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 CRR, without taking into account the derogation laid down in Chapters 1, 2 and 4 of Title I of Part Ten CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 CRR when calculating the exposure value in {0010;0010} to {0267;0010}, nor shall they report any adjustment that does not deduct the value of a specific asset. As these amounts are already deducted from the capital measure, they reduce the leverage ratio exposure and shall be reported as a negative figure. {0280;0010} Asset amount deducted (-) or added (+) – Tier 1 capital – transitional definition Point (b) of Articles 429a(1) and point (a) of Article 499(1) CRR It includes all the adjustments that adjust the value of an asset and which are required by: Articles 32 to 35 CRR, or Articles 36 to 47 CRR, or Articles 56 to 60 CRR, as applicable. Institutions shall take into account exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 CRR, in addition to taking into account the derogations laid down in Chapter 1, 2 and 4 of Title I of Part Ten CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 CRR when calculating the exposure value in {0010;0010} to {0267;0010} nor shall they report any adjustment that does not deduct the value of a specific asset. As these amounts are already deducted from the capital measure, they reduce the leverage ratio exposure and shall be reported as a negative figure. In addition, institutions shall report in this row as a positive value the amounts to be added back to the leverage ratio exposure measure in accordance with Article 473a(7) CRR and 473a (7a) CRR. {0290;0010} Total Leverage Ratio exposure measure- using a fully phased-in definition of Tier 1 capital Institutions shall report the sum of all rows from 0010 to 0267 and row 0270.

§ Article 429

{0300;0010} Total Leverage Ratio exposure measure – using a transitional definition of Tier 1 capital Institutions shall report the sum of all rows from 0010 to 0267 and row 0280. Row and columnCapital{0310;0010} Tier 1 capital – fully phased-in definition

§ Article 429

Article 429(3) and point (a) of Article 499(1) CRR This is the amount of Tier 1 capital as calculated in accordance with Article 25 CRR, without taking into account the derogation laid down in Chapters 1, 2 and 4 of Title I of Part Ten CRR. {0320;0010} Tier 1 capital – transitional definition Articles 429(3) and point (b) of Article 499(1) CRR This shall be the amount of Tier 1 capital as calculated in accordance with Article 25 CRR, after taking into account the derogation laid down in Chapters 1, 2 and 4 of Title I of Part Ten CRR. Row and columnLeverage Ratio{0330;0010} Leverage Ratio – using a fully phased-in definition of Tier 1 capital Articles 429(2) and 499(1) CRR This shall be the leverage ratio as calculated under paragraph 4 of Part II of this Annex. {0340;0010} Leverage Ratio – using a transitional definition of Tier 1 capital Articles 429(2) and 499(1) CRR This shall be the leverage ratio as calculated under paragraph 5 of Part II of this Annex. Row and columnRequirements: amounts{0350;0010} Pillar 2 requirement (P2R) to address risks of excessive leverage

§ Article 104

Article 104 and 104a CRD; additional own funds required by the competent authority to address risks of excessive leverage, as referred to in Article 104 of the CRD {0360;0010} of which: to be made up of CET1 capital The part of the P2R, referred to in row 0350, which is required by the competent authority to be held in the form of CET1 capital {0370;0010} G-SII leverage ratio buffer

§ Article 92

Article 92(1a) CRR G-SIIs shall report the value of the G-SII add-on for the leverage ratio determined in accordance with Article 92(1a) CRR. G-SIIs shall report this amount as of the date of application of the buffer following the CRR. {0380;0010} Pillar 2 guidance (P2G) to address risks of excessive leverage

§ Article 104b

Article 104b CRD; additional own funds communicated by the competent authority to address risks of excessive leverage, as referred to in Article 104b of the CRD {0390;0010} of which: to be made up of CET1 capital The part of P2G, referred to in row 0380, which is required by the competent authority to be held in the form of CET1 capital {0400;0010} of which: to be made up of Tier 1 capital The part of P2G, referred to in row 0380, which is required by the competent authority to be held in the form of Tier 1 capital Row and columnRequirements: ratios{0410;0010} Pillar 1 Leverage Ratio requirement Point (d) of Article 92(1), Article 429a(7) and point (n) of Article 429a(1) CRR; the leverage ratio required to address risks of excessive leverage, as referred to in point (d) of Article 92(1) CRR Institutions that exclude exposures to the institution’s central bank as referred to in point (n) of paragraph 1 of Article 429a shall report the Adjusted Leverage Ratio requirement as per Article 429a(7) CRR. {0420;0010} Total SREP leverage ratio requirement (TSLRR)

§ Article 104

Article 104 and 104a CRD The sum of (i) and (ii) as follows: (i) the Pillar 1 Leverage Ratio Requirement as reported in row 0410; (ii) the additional own funds ratio required by the competent authority (P2R) to address risks of excessive leverage, as referred to in Article 104 CRD. Institutions shall calculate point (ii) by dividing the value in {0350;0010} by that in {0300;0010}. If no additional own funds requirements were communicated by the competent authority, then only point (i) shall be reported. {0430;0010} TSLRR: to be made up of CET1 capital The part of the additional own funds ratio, referred to in point (ii) of row 0420, that is required by the competent authority to be held in the form of CET1 capital Institutions shall calculate this value by dividing the value in {0360;0010} with that in {0300;0010}. {0440;0010} Overall leverage ratio requirement (OLRR)

§ Article 92

Article 92(1a) CRR The sum of (i) and (ii) as follows: (i) the TSLRR referred to in row 0420; (ii) the G-SII leverage ratio buffer in accordance with Article 92(1a) CRR, expressed as a percentage of the total leverage ratio exposure. Institutions shall calculate point (ii) by dividing the value in {0370;0010} with that in {0300;0010}. Point (ii) shall only be taken into account by G-SIIs as of the date of application of the buffer following the CRR. If no G-SII add-on is applicable, only point (i) shall be reported. {0450;0010} Overall leverage ratio requirement (OLRR) and Pillar 2 Guidance (P2G) ratio

§ Article 104b

Article 104b CRD The sum of (i) and (ii) as follows: (i) the OLRR referred to in row 0440; (ii) additional own funds communicated by the competent authority to address risks of excessive leverage, as referred to in Article 104b of the CRD, expressed as a percentage of the total leverage ratio exposure. Institutions shall calculate point (ii) by dividing the value in {0380;0010} with that in {0300;0010}. If no P2G is communicated by the competent authority, then only point (i) shall be reported. {0460;0010} OLRR and P2G: to be made up of CET1 capital The sum of (i) and (ii) as follows: (i) the part of the additional own funds ratio which is required by the competent authority to be held in the form of CET1 capital, as referred to in row 0430; (ii) the part of the P2G ratio, referred to in point (ii) in row 0450, which is communicated by the competent authority to be held in the form of CET 1 capital. Institutions shall calculate point (ii) by dividing the value in {0390;0010} with that in {0300;0010}. If no P2G is communicated by the competent authority, then only point (i) shall be reported. {0470;0010} OLRR and P2G: to be made up of Tier 1 capital The sum of (i), (ii) and (iii) as follows: (i) the total SREP leverage ratio requirement, as referred to in row 0420; (ii) the G-SII leverage ratio buffer in accordance with Article 92(1a) CRR, expressed as a percentage of the total leverage ratio exposure. (iii) the part of the P2G ratio, referred to in point (ii) in row 0450, which is required by the competent authority to be held in the form of Tier 1 capital. Institutions shall calculate point (ii) by dividing the value in {0370;0010} with that in {0300;0010}. Institutions shall calculate point (iii) by dividing the value in {0400;0010} with that in {0300;0010}. If no G-SII add-on is applicable, only points (i) and (iii) shall be reported. If no P2G is communicated by the competent authority, then only points (i) and (ii) shall be reported. Row and columnMemorandum items{0480;0010} Leverage ratio as if the IFRS 9 or analogous ECL transitional arrangements had not been applied Articles 473a(8) CRR Institutions that have decided to apply the transitional arrangements set out in Article 473a CRR shall report the leverage ratio they would have in case they were not to apply this Article. {0490;0010} Leverage ratio as if the temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income have not been applied

§ Article 468

Article 468(5) CRR Institutions that have decided to apply the temporary treatment set out in paragraph 1 of Article 468 CRR shall report the leverage ratio they would have in case they were not to apply that treatment. 4. C 40.00 – Alternative treatment of the Exposure Measure (LR1) 20. This part of the reporting collects data on an alternative treatment of derivatives, SFTs, off-balance sheet items, exempted public sector investments and exempted exposures to promotional loans. 21. Institutions shall determine the accounting balance sheet values in LR1 based on the applicable accounting framework in accordance with point (77) of Article 4(1) CRR. Accounting value assuming no netting or other CRM refers to the accounting balance sheet value not taking into account any effects of netting or other credit risk mitigation. 22. Institutions shall report LR1 items as if the items with a negative sign in the LRCalc template (for example exemptions/deductions) in accordance with the sign convention in paragraph 9 of Part I of this Annex, except rows {0270;0010} {0280;0010}, did not apply. 23. {r0410;c0010} in template 40.00 shall only be reported by: large institutions which are either G-SIIs or have issued securities that are admitted to trading on a regulated market with a semi-annual frequency, large institutions other than G-SIIs that are not-listed institutions with an annual frequency, other institutions than large institutions and small and non-complex institutions, which have issued securities that are admitted to trading on a regulated with an annual frequency. Row and columnLegal references and instructions{0010;0010} Derivatives – Accounting balance sheet value This shall be the sum of {0020;010}, {0050;0010} and {0060;0010}. {0010;0020} Derivatives – Accounting value assuming no netting or other CRM This shall be the sum of {0020;0020}, {0050;0020} and {0060;0020}. {0010;0070} Derivatives – Notional amount This shall be the sum of {0020;0070}, {0050;0070} and {0060;0070}. {0020;0010} Credit derivatives (protection sold) – Accounting balance sheet value Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is selling credit protection to a counterparty and the contract is recognised as an asset on the balance sheet {0020;0020} Credit derivatives (protection sold) – Accounting value assuming no netting or other CRM Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is selling credit protection to a counterparty and the contract is recognised as an asset on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed) {0020;0070} Credit derivatives (protection sold) – Notional amount This shall be the sum of cells {0030;0070} and {0040;0070}

§ Article 468

{0020;0075} Credit derivatives (protection sold) – Capped notional amount Institutions shall report the notional amount referenced by the credit derivatives (protection sold) as in {0020; 0070} after reduction by any negative fair value changes that have been incorporated in Tier 1 capital with respect to the written credit derivative. {0030;0070} Credit derivatives (protection sold), which are subject to a close-out clause – Notional amount Institutions shall report the notional amount referenced by credit derivatives where the institution is selling credit protection to a counterparty subject to a close-out clause. A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty. Institutions shall consider all credit derivatives, not just those assigned to the trading book. {0040;0070} Credit derivatives (protection sold), which are not subject to a close-out clause – Notional amount Institutions shall report the notional amount referenced by credit derivatives where the institution is selling credit protection to a counterparty not subject to a close-out clause. A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty. Institutions shall consider all credit derivatives, not just those assigned to the trading book. {0050;0010} Credit derivatives (protection bought) – Accounting balance sheet value Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is buying credit protection from a counterparty and the contract is recognised as an asset on the balance sheet Institutions shall consider all credit derivatives, not just those assigned to the trading book. {0050;0020} Credit derivatives (protection bought) – Accounting value assuming no netting or other CRM Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is buying credit protection from a counterparty and the contract is recognised as an asset on the balance sheet assuming no prudential or accounting netting or CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed) Institutions shall consider all credit derivatives, not just those assigned to the trading book. {0050;0070} Credit derivatives (protection bought) – Notional amount Institutions shall report the notional amount referenced by credit derivatives where the institution is buying credit protection from a counterparty. Institutions shall consider all credit derivatives, not just those assigned to the trading book.

§ Article 468

{0050;0075} Credit derivatives (protection bought) – Capped notional amount Institutions shall report the notional amount referenced by credit derivatives (protection bought) as in {0050;0070} after reduction by any positive fair value changes that have been incorporated in Tier 1 capital with respect to the bought credit derivative. {0050;0085} Credit derivatives (protection bought) – Capped notional amount (same reference name) Institutions shall report the notional amount referenced by credit derivatives where the institution is buying credit protection on the same underlying reference name as those credit derivatives written by the reporting institution. For the purpose of reporting this cell value, underlying reference names are considered the same if they refer to the same legal entity and level of seniority. Credit protection bought on a pool of reference entities shall be considered the same if this protection is economically equivalent to buying protection separately on each of the individual names in the pool. If an institution is buying credit protection on a pool of reference names, then this credit protection is only considered the same if the bought credit protection covers the entirety of the subsets of the pool on which credit protection has been sold. In other words, offsetting may only be recognised when the pool of reference entities and the level of subordination in both transactions are identical. For each reference name, the notional amounts of credit protection taken into for the reporting purpose in this cell shall not exceed the amounts reported in {0020;0075} and {0050;0075}. {0060;0010} Financial derivatives – Accounting balance sheet value Point (77) of Article 4(1) CRR Institutions shall report the accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II CRR where the contracts are recognised as assets on the balance sheet. {0060;0020} Financial derivatives – Accounting value assuming no netting or other CRM Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II CRR where the contracts are recognised as assets on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed) {0060;0070} Financial derivatives – Notional amount This cell shall include the notional amount referenced by contracts listed in Annex II CRR. {0071;0010} Security Financing Transactions – Accounting balance sheet value Point (77) of Article 4(1) CRR; the accounting balance sheet value of SFTs under the applicable accounting framework where the contracts are recognised as assets on the balance sheet Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in {0090,0010}.

§ Article 468

{0071;0020} Security Financing Transactions – Accounting value assuming no netting or other CRM Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework where the contracts are recognised as an asset on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). Where sale accounting is achieved for an SFT under the applicable accounting framework, institutions shall reverse all sales-related accounting entries. Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in {0090,0020}. {0090;0010} Other assets – Accounting balance sheet value Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II CRR, credit derivatives and SFTs. {0090;0020} Other assets – Accounting value assuming no netting or other CRM Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II CRR, credit derivatives and SFTs assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed) {0095;0070} Off-balance sheet items Institutions shall report the nominal value of off-balance sheet items. This value shall not be reduced by specific credit risk adjustments. Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives and SFTs in accordance with Article 429f(1) CRR. {0210;0020} Cash collateral received in derivatives transactions – Accounting value assuming no netting or other CRM The accounting balance sheet value under the applicable accounting framework of cash collateral received in derivatives transactions assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed) For the purpose of this cell, cash shall be defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks shall be included to the extent that these deposits can be withdrawn in times of stress. Institutions shall not report cash on deposit with other institutions in this cell. {0220;0020} Receivables for cash collateral posted in derivatives transactions – Accounting value assuming no netting or other CRM The accounting balance sheet value under the applicable accounting framework of receivables for cash collateral posted against derivatives transactions assuming no accounting netting or CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed)

§ Article 468

Institutions that are permitted under the applicable accounting framework to net the receivable for cash collateral posted against the related derivative liability (negative fair value) and that elect to do so shall reverse out the netting and report the net cash receivable. {0230;0020} Securities received in an SFT that are recognised as an asset – Accounting value assuming no netting or other CRM The accounting balance sheet value under the applicable accounting framework of securities received in an SFT that are recognised as an asset under the applicable accounting framework assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed) {0240;0020} SFT cash conduit lending (cash receivables) – Accounting value assuming no netting or other CRM The accounting balance sheet value under the applicable accounting framework of the cash receivable for the cash on-lent to the securities owner in a qualifying cash conduit lending transaction (CCLT) assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed) For the purpose of this cell, cash shall be defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks shall be included to the extent that these deposits can be withdrawn in times of stress. Institutions shall not report in this cell cash on deposit with other institutions. A CCLT shall be defined as a combination of two transactions where an institution borrows securities from the securities owner and on-lends securities to the securities borrower. Concurrently, the institution receives cash collateral from the securities borrower and on-lends the cash received to the securities owner. A qualifying CCLT shall comply with all the following conditions: (a) both of the individual transactions which comprise the qualifying CCLT shall be effected on the same trade date, or for international transactions adjacent business days; (b) where its comprising transactions do not specify a maturity, the institution shall have the legal right to close out either side of the CCLT, that is both of its comprising transactions, at any time and without prior notice; (c) where its comprising transactions specify a maturity, the CCLT shall not give rise to maturity mismatches for the institution; the institution shall have the legal right to close out either side of the CCLT, that is both of its comprising transactions, at any time and without prior notice; (d) it does not give rise to any other incremental exposures. {0270;0010} Public sector investments- Claims on central governments – Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on central governments in relation to public sector investments

§ Article 468

The accounting balance sheet values of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered. {0280;0010} Public sector investments- Claims on regional governments – Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on regional governments in relation to public sector investments The accounting balance sheet values of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered. {0290;0010} Public sector investments – Claims on local authorities – Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on local authorities in relation to public sector investments The accounting balance sheet values of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered. {0300;0010} Public sector investments- Claims on public sector entities – Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on public sector entities in relation to public sector investments The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered. {0310;0010} Promotional loans – Claims on central governments – Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on central governments in relation to promotional loans The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered. {0310;0070} Promotional loans – Claims on central governments – Notional amount/nominal value Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to central governments The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered. {0320;0010}

§ Article 468

Promotional loans – Claims on regional governments – Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on regional governments in relation to promotional loans The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered. {0320;0070} Promotional loans – Claims on regional governments – Notional amount/nominal value Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to regional governments The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered. {0330;0010} Promotional loans – Claims on local authorities – Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on local authorities in relation to promotional loans The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered. {0330;0070} Promotional loans – Claims on local authorities – Notional amount/nominal value Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to local authorities The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered. {0340;0010} Promotional loans – Claims on public sector entities – Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on public sector entities in relation to promotional loans The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered. {0340;0070} Promotional loans – Claims on public sector entities – Notional amount/nominal value Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to public sector entities The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

§ Article 468

{0350;0010} Promotional loans – Claims on non-financial corporations – Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on non-financial corporations in relation to promotional loans The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered. {0350;0070} Promotional loans – Claims on non-financial corporations – Notional amount/nominal value Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to non-financial corporations The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered. {0360;0010} Promotional loans – Claims on households – Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on households in relation to promotional loans The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered. {0360;0070} Promotional loans – Claims on households – Notional amount/nominal value Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to households The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered. {0370;0010} Promotional loans – Passing-through- Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of passing-through promotional loans, when the promotional loans have not been granted by the institution itself The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered. {0370;0070} Promotional loans – Passing-through- Notional amount/nominal value Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of passing-through promotional loans, when the promotional loans have not been granted by the institution itself

§ Article 468

The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered. {0380;0010} Central bank exposures – Accounting balance sheet value Institutions shall report, in accordance with the applicable accounting framework, the value of the following exposures to the institution’s central bank: (i) coins and banknotes constituting legal currency in the jurisdiction of the central bank; (ii) assets representing claims on the central bank, including reserves held at the central bank. Institutions shall only include exposures that meet both of the following conditions: (a) they are denominated in the same currency as the deposits taken by the institution; (b) their average maturity does not significantly exceed the average maturity of the deposits taken by the institution. Institutions shall report these exposures irrespectively of whether they are exempted from the total exposure measure following Article 429a(5) and (6) CRR. {0390;0140} The central bank exposures value used for the calculation of the adjusted leverage ratio requirement referred to in Article 429a(7) CRR – Leverage ratio exposure amount The daily average total value of the institution’s exposures to its central bank, calculated over the full reserve maintenance period of the central bank just preceding the date referred to in point (c) of Article 429a(5) CRR, that are eligible to be excluded in accordance with point (n) of Article 429a(1) CRR. {0400;0140} Leverage ratio exposure measure used for the calculation of the adjusted leverage ratio requirement referred to in Article 429a(7) CRR – Leverage ratio exposure amount The institution’s total exposure measure as defined in Article 429(4) CRR, including any exposures excluded in accordance with point (n) of Article 429(1) CRR, on the date referred to in point (c) of Article 429a(5) CRR {0410;0010} Total assets Institutions shall report in this item the total assets following the scope used in the published financial statements. 5. C 43.00 – Alternative breakdown of leverage ratio exposure measure components (LR4) 24. Institutions shall report the leverage ratio exposure values in LR4 after the application of exemptions and deductions in the LRCalc template, i.e. the items with a negative sign in accordance with the sign convention in paragraph 9 of Part I of this Annex, except rows {0270;0010} {0280;0010}. 25. In order to avoid double-counting, institutions shall uphold the following equation: The sum of all rows from {0010; 0010} to {0267;0010} in template LRCalc shall be equal to = [{LR4;0010;0010} + {LR4;0040;0010} + {LR4;0050;0010} + {LR4;0060;0010} + {LR4;0065;0010} + {LR4;0070;0010} + {LR4;0080;0010} + {LR40;080;0020} + {LR4;0090;0010} + {LR4;00090;0020} + {LR4;0140;0010} + {LR4;0140;0020} + {LR4;0180;0010} + {LR4;0180;0020} + {LR4;190;0010} + {LR4;0190;0020} + {LR4;0210;0010} + {LR4;0210;0020} + {LR4;0230;0010} + {LR4;0230;0020} + {LR4;0280;0010} + {LR4;0280;0020} + {LR4;0290;0010} + {LR4;0290;0020}].

§ Article 468
  1. In order to be consistent with the leverage ratio exposure values, the risk-weighted exposure amounts shall also be reported fully phased in.
  2. Institutions shall report the counterparty in relation to RWEA after credit risk mitigation (CRM) techniques and its substitution effects. Institutions shall report the counterparty in relation to LRE in accordance with the original counterparty, i.e. without taking into account any CRM or substitution effect applicable to RWEA. Row and columnLegal references and instructions{0010;0010} Off-balance sheet items– Leverage Ratio Exposure Value The leverage ratio exposure value calculated as the sum of {LRCalc;0150;0010}, {LRCalc;0160;0010}, {LRCalc;0170;0010} and {LRCalc;0180;0010} excluding the respective intragroup exposures (solo basis) exempted in accordance with point (c) of Article 429a(1) CRR. {0010;0020} Off-balance sheet items– RWEA The risk-weighted exposure amount of off-balance sheet items – excluding SFTs and derivatives – as in the Standardised Approach and the IRB Approach. For exposures under the Standardised Approach, institutions shall determine the risk-weighted exposure amount in accordance with Chapter 2 of Title II of Part Three CRR. For exposures under the IRB Approach, institutions shall determine the risk-weighted exposure amount in accordance with Chapter 3 of Title II of Part Three CRR. {0020;0010} of which: Trade Finance;– Leverage Ratio Exposure Value The leverage ratio exposure value of off-balance sheet items related to trade finance For the purpose of the reporting in LR4, off-balance sheet items related to trade finance shall relate to issued and confirmed import and export letters of credit that are short-term and self-liquidating, and similar transactions. {0020;0020} of which: Trade Finance– RWEA The risk-weighted exposure value of off-balance sheet items – excluding SFTs and derivatives – related to trade finance For the purpose of the reporting in LR4, off-balance sheet items related to trade finance shall relate to issued and confirmed import and export letters of credit that are short-term and self-liquidating, and similar transactions. {0030;0010} of which: Under official export credit insurance scheme – Leverage Ratio Exposure Value The leverage ratio exposure value of off-balance sheet items related to trade finance under an official export credit insurance scheme For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. {0030;0020} of which: Under official export credit insurance scheme – RWEA The risk-weighted exposure value of off-balance sheet items – excluding SFTs and derivatives – related to trade finance under an official export credit insurance scheme
§ Article 468

For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. {0040;0010} Derivatives and SFTs subject to a cross-product netting agreement – Leverage Ratio Exposure Value The leverage ratio exposure value of derivatives and SFTs if subject to a cross-product netting agreement as defined in Article 272(25) CRR {0040;0020} Derivatives and SFTs subject to a cross-product netting agreement – RWEA The risk-weighted exposure amounts to credit and counterparty credit risk as calculated under Title II of Part Three CRR of derivatives and SFTs, including those that are off-balance sheet, if subject to a cross-product netting agreement as defined in Article 272(25) CRR {0050;0010} Derivatives not subject to a cross-product netting agreement – Leverage Ratio Exposure Value The leverage ratio exposure value of derivatives if not subject to a cross-product netting agreement as defined in Article 272(25) CRR {0050;0020} Derivatives not subject to a cross-product netting agreement – RWEA The risk-weighted exposure amounts to credit and counterparty credit risk of derivatives as calculated under Title II of Part Three CRR, including those that are off-balance sheet, if not subject to a cross-product netting agreement as defined in Article 272(25) CRR {0060;0010} SFTs not subject to a cross-product netting agreement – Leverage Ratio Exposure Value The leverage ratio exposure value of exposures of SFTs if not subject to a cross-product netting agreement as defined in Article 272(25) CRR {0060;0020} SFTs not subject to a cross-product netting agreement – RWEA The risk-weighted exposure amounts to credit and counterparty credit risk of SFTs, as calculated under Title II of Part Three CRR, including those that are off-balance sheet, if not subject to a cross-product netting agreement as defined in Article 272(25) CRR {0065;0010} Exposure amounts resulting from the additional treatment for credit derivatives – Leverage Ratio Exposure Value This cell shall equal the difference between {LRCalc;0130;0010} and {LRCalc;0140;0010} excluding the respective intragroup exposures (solo basis) exempted in accordance with point (c) of Article 429a(1) CRR. {0070;0010} Other assets belonging to the trading book – Leverage Ratio Exposure Value The leverage ratio exposure value of items reported in {LRCalc;0190;0010} excluding non-trading book items {0070;0020} Other assets belonging to the trading book – RWEA Own fund requirements multiplied by 12.5 of items subject to Title IV of Part Three CRR {0080;0010} Covered bonds – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are SA exposures in the form of covered bonds as in Article 129 CRR

§ Article 468

Institutions shall report net of defaulted SA exposures. {0080;0020} Covered bonds – Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure value of assets that are IRB exposures in the form of covered bonds as in point (d) of Article 161(1) CRR Institutions shall report net of defaulted IRB exposures. {0080;0030} Covered bonds – RWEA – SA exposures The risk-weighted exposure amount of assets that are SA exposures in the form of covered bonds as in Article 129 CRR Institutions shall report net of defaulted SA exposures. {0080;0040} Covered bonds – RWEA – IRB exposures The risk-weighted exposure amount of assets that are IRB exposures in the form of covered bonds as in point (d) of Article 161(1) CRR Institutions shall report net of defaulted IRB exposures. {0090,0010} Exposures treated as sovereigns – Leverage Ratio Exposure Value – SA exposures This shall be the sum of cells from {0100,0010} to {0130,0010}. Institutions shall report net of defaulted SA exposures. {0090;0020} Exposures treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures This shall be the sum of cells from {0100,0020} to {0130,0020}. Institutions shall report net of defaulted IRB exposures. {0090;0030} Exposures treated as sovereigns – RWEA – SA exposures This shall be the sum of cells from {0100,0030} to {0130,0030}. Institutions shall report net of defaulted SA exposures. {0090;0040} Exposures treated as sovereigns – RWEA – IRB exposures This shall the sum of cells from {0100,0040} to {0130,0040}. Institutions shall report net of defaulted IRB exposures. {0100;0010} Central governments and central banks – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are SA exposures to central governments or central banks as in Article 114 CRR Institutions shall report net of defaulted SA exposures. {0100;0020} Central governments and central banks – Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure value of assets that are IRB exposures to central governments or central banks as in point (a) of Article 147(2) CRR Institutions shall report net of defaulted IRB exposures. {0100;0030} Central governments and central banks – RWEA – SA exposures The risk-weighted exposure amount of assets that are SA exposures to central governments or central banks as in Article 114 CRR Institutions shall report net of defaulted SA exposures. {0100;0040} Central governments and central banks – RWEA – IRB exposures The risk-weighted exposure amount of assets that are IRB exposures to central governments or central banks as in point (a) of Article 147(2) CRR Institutions shall report net of defaulted IRB exposures. {0110;0010} Regional governments and local authorities treated as sovereigns – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are SA exposures to regional governments and local authorities treated as sovereigns that fall under paragraph (2) and (4) of Article 115 CRR

§ Article 468

Institutions shall report net of defaulted SA exposures. {0110;0020} Regional governments and local authorities treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure value of assets that are IRB exposures to regional governments and local authorities that fall under point (a) of Article 147(3) CRR Institutions shall report net of defaulted IRB exposures. {0110;0030} Regional governments and local authorities treated as sovereigns – RWEA – SA exposures The risk-weighted exposure amount of assets that are SA exposures to regional governments and local authorities treated as sovereigns that fall under paragraphs (2) and (4) of Article 115 CRR Institutions shall report net of defaulted SA exposures. {0110;0040} Regional governments and local authorities treated as sovereigns – RWEA – IRB exposures The risk-weighted exposure amount of assets that are IRB exposures to regional governments and local authorities that fall under point (a) of Article 147(3) CRR Institutions shall report net of defaulted IRB exposures. {0120;0010} MDBs and international organisations treated as sovereigns – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are SA exposures to multilateral development banks and international organisations that fall under Articles 117(2) and 118 CRR Institutions shall report net of defaulted SA exposures. {0120;0020} MDBs and international organisations treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure value of assets that are IRB exposures to multilateral development banks and international organisations that fall under point (b) and (c) of Article 147(3) CRR Institutions shall report net of defaulted IRB exposures. {0120;0030} MDBs and international organisations treated as sovereigns – RWEA – SA exposures The risk-weighted exposure amount of assets that are SA exposures to multilateral development banks and international organisations that fall under Articles 117(2) and 118 CRR Institutions shall report net of defaulted SA exposures. {1020;0040} MDBs and international organisations treated as sovereigns – RWEA – IRB exposures The risk-weighted exposure amount of assets that are IRB exposures to multilateral development banks and international organisations that fall under point (b) and (c) of Article 147(3) CRR Institutions shall report net of defaulted IRB exposures. {0130;0010} PSEs treated as sovereigns – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are SA exposures to public sector entities that fall under Article 116(4) CRR Institutions shall report net of defaulted SA exposures. {0130;0020} PSEs treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure amount of assets that are IRB exposures to public sector entities that fall under point (a) of Article 147(3) CRR Institutions shall report net of defaulted IRB exposures.

§ Article 468

{0130;0030} PSEs treated as sovereigns – RWEA – SA exposures The risk-weighted exposure amount of assets that are SA exposures to public sector entities that fall under Article 116(4) CRR Institutions shall report net of defaulted SA exposures. {0130;0040} PSEs treated as sovereigns – RWEA – IRB exposures The risk-weighted exposure amount of assets that are IRB exposures to public sector entities that fall under point (a) of Article 147(3) CRR Institutions shall report net of defaulted IRB exposures. {0140;0010} Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures This is shall be the sum of cells from {0150,0010} to {0170,0010}. Institutions shall report net of defaulted SA exposures. {0140;0020} Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures This shall be the sum of cells from {0150,0020} to {0170,0020}. Institutions shall report net of defaulted IRB exposures. {0140;0030} Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – RWEA – SA exposures This shall be the sum of cells from {0150,0030} to {0170,0030}. Institutions shall report net of defaulted SA exposures. {0140;0040} Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – RWEA – IRB exposures This shall be the sum of cells from {0150,0040} to {0170,0040}. Institutions shall report net of defaulted IRB exposures. {0150;0010} Regional governments and local authorities not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are SA exposures to regional governments and local authorities not treated as sovereigns that fall under paragraphs (1), (3) and (5) of Article 115 CRR Institutions shall report net of defaulted SA exposures. {0150;0020} Regional governments and local authorities not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure value of assets that are IRB exposures to regional governments and local authorities not treated as sovereigns that fall under point (a) of Article 147(4) CRR Institutions shall report net of defaulted IRB exposures. {0150;0030} Regional governments and local authorities not treated as sovereigns – RWEA – SA exposures The risk-weighted exposure amount of assets that are SA exposures to regional governments and local authorities not treated as sovereigns that fall under paragraphs (1), (3) and (5) of Article 115 CRR Institutions shall report net of defaulted SA exposures. {0150;0040} Regional governments and local authorities not treated as sovereigns – RWEA – IRB exposures The risk-weighted exposure amount of assets that are IRB exposures to regional governments and local authorities not treated as sovereigns that fall under point (a) of Article 147(4) CRR

§ Article 468

Institutions shall report net of defaulted IRB exposures. {0160;0010} MDBs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are SA exposures to multilateral development banks that fall under paragraphs (1) and (3) of Article 117 CRR Institutions shall report net of defaulted SA exposures. {0160;0020} MDBs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure value of assets that are IRB exposures to multilateral development banks not treated as sovereigns that fall under point (c) of Article 147(4) CRR Institutions shall report net of defaulted IRB exposures. {0160;0030} MDBs not treated as sovereigns – RWEA – SA exposures The risk-weighted exposure amount of assets that are SA exposures to multilateral development banks that fall under paragraphs (1) and (3) of Article 117 CRR Institutions shall report net of defaulted SA exposures. {0160;0040} MDBs not treated as sovereigns – RWEA – IRB exposures The risk-weighted exposure amount of assets that are IRB exposures to multilateral development banks not treated as sovereigns that fall under point (c) of Article 147(4) CRR Institutions shall report net of defaulted IRB exposures. {0170;0010} PSEs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are SA exposures to public sector entities that fall under paragraphs (1), (2), (3) and (5) of Article 116 CRR Institutions shall report net of defaulted SA exposures. {0170;0020} PSEs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure value of assets that are IRB exposures to public sector entities not treated as sovereigns that fall under point (b) of Article 147(4) CRR Institutions shall report net of defaulted IRB exposures. {0170;0030} PSEs not treated as sovereigns – RWEA – SA exposures The risk-weighted exposure amount of assets that are SA exposures to public sector entities that fall under paragraphs (1), (2), (3) and (5) of Article 116 CRR Institutions shall report net of defaulted SA exposures. {0170;0040} PSEs not treated as sovereigns – RWEA – IRB exposures The risk-weighted exposure amount assets that are IRB exposures to public sector entities not treated as sovereigns that fall under point (b) of Article 147(4) CRR Institutions shall report net of defaulted IRB exposures. {0180;0010} Institutions – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are SA exposures to institutions that fall under Articles 119 to 121 CRR Institutions shall report net of defaulted SA exposures. {0180;0020} Institutions – Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure value of assets that are IRB exposures to institutions that fall under point (b) of Article 147(2) CRR and are not exposures in the form of covered bonds under point (d) of Article 161(1) CRR and do not fall under points (a) to (c) of Article 147(4) CRR

§ Article 468

Institutions shall report net of defaulted IRB exposures. {0180;0030} Institutions – RWEA – SA exposures The risk-weighted exposure amount of assets that are SA exposures to institutions that fall under Articles 119 to 121 CRR Institutions shall report net of defaulted SA exposures. {0180;0040} Institutions – RWEA – IRB exposures The risk-weighted exposure amount of assets that are IRB exposures to institutions that fall under point (b) of Article 147(2) CRR and are not exposures in the form of covered bonds under point (d) of Article 161(1) CRR and do not fall under points (a) to (c) of Article 147(4) CRR Institutions shall report net of defaulted IRB exposures. {0190;0010} Secured by mortgages on immovable properties– Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are SA exposures secured by mortgages on immovable property that fall under Article 124 CRR Institutions shall report net of defaulted SA exposures. {0190;0020} Secured by mortgages on immovable properties– Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure value of assets that are IRB exposures to corporate under point (c) of Article 147(2) or retail exposures under point (d) of Article 147(2) CRR if these exposures are secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR Institutions shall report net of defaulted IRB exposures. {0190;0030} Secured by mortgages on immovable properties– RWEA – SA exposures The risk-weighted exposure amount of assets that are SA exposures secured by mortgages on immovable property that fall under Article 124 CRR Institutions shall report net of defaulted SA exposures. {0190;0040} Secured by mortgages on immovable properties– RWEA – IRB exposures The risk-weighted exposure amount of assets that are IRB exposures to corporate under point (c) of Article 147(2 or retail exposures under point (d) of Article 147(2) CRR if these exposures are secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR Institutions shall report net of defaulted IRB exposures. {0200;0010} of which: Secured by mortgages of residential properties – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are SA exposures fully and completely secured by mortgages on residential property that fall under Article 125 CRR Institutions shall report net of defaulted SA exposures. {0200;0020} of which: Secured by mortgages of residential properties – Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure value of assets that are IRB exposures to corporates under point (c) of Article 147(2) or retail exposures under point (d) of Article 147(2) CRR if these exposures are secured by mortgages on residential property in accordance with point (a) of Article 199(1) CRR Institutions shall report net of defaulted IRB exposures. {0200;0030} of which: Secured by mortgages of residential properties – RWEA – SA exposures

§ Article 468

The risk-weighted exposure amount of assets that are SA exposures fully and completely secured by mortgages on residential property that fall under Article 125 CRR Institutions shall report net of defaulted SA exposures. {0200;0040} of which: Secured by mortgages of residential properties – RWEA – IRB exposures The risk-weighted exposure amount of assets that are IRB exposures to corporates under point (c) of Article 147(2) or retail exposures under point (d) of Article 147(2) CRR if these exposures are secured by mortgages on residential property in accordance with point (a) of Article 199(1) CRR Institutions shall report net of defaulted IRB exposures. {0210;0010} Retail exposures– Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are retail SA exposures that fall under Article 123 CRR Institutions shall report net of defaulted SA exposures. {0210;0020} Retail exposures– Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure value of assets that are retail IRB exposures under point (d) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR Institutions shall report net of defaulted IRB exposures. {0210;0030} Retail exposures– RWEA – SA exposures The risk-weighted exposure amount of assets that are retail SA exposures that fall under Article 123 CRR Institutions shall report net of defaulted SA exposures. {0210;0040} Retail exposures– RWEA – IRB exposures The risk-weighted exposure amount of assets that are retail IRB exposures under point (d) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR Institutions shall report net of defaulted IRB exposures. {0220;0010} of which: Retail SME – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are retail SA exposures to small- and medium-sized enterprises that fall under Article 123 CRR For the purpose of this cell, institutions shall use the term small and medium enterprise as defined in point (b) of Article 501(2) CRR. Institutions shall report net of defaulted SA exposures. {0220;0020} of which: Retail SME – Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure value of assets that are retail IRB exposures under point (d) of Article 147(2) CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR For the purpose of this cell, institutions shall use the term small and medium enterprise as defined in point (b) of Article 501(2) CRR. Institutions shall report net of defaulted IRB exposures. {0220;0030} of which: Retail SME – RWEA – SA exposures The risk-weighted exposure amount of assets that are retail SA exposures to small- and medium-sized enterprises that fall under Article 123 CRR

§ Article 468

For the purpose of this cell, institutions shall use the term small and medium enterprise as defined in point (b) of Article 501(2) CRR. Institutions shall report net of defaulted SA exposures. {0220;0040} of which: Retail SME – RWEA – IRB exposures The risk-weighted exposure amount of assets that are retail IRB exposures under point (d) of Article 147(2) CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR For the purpose of this cell, institutions shall use the term small and medium enterprise as defined in point (b) of Article 501(2) CRR. Institutions shall report net of defaulted IRB exposures. {0230;0010} Corporate– Leverage Ratio Exposure Value – SA exposures This shall be the sum of {0240,0010} and {0250,0010}. Institutions shall report net of defaulted SA exposures. {0230;0020} Corporate– Leverage Ratio Exposure Value – IRB exposures This shall be the sum of {0240,0020} and {0250,0020}. Institutions shall report net of defaulted IRB exposures. {0230;0030} Corporate– RWEA – SA exposures This shall be the sum of {0240,0030} and {0250,0030}. Institutions shall report net of defaulted SA exposures. {0230;0040} Corporate– RWEA – IRB exposures This shall be the sum of {0240,0040} and {0250,0040}. Institutions shall report net of defaulted IRB exposures. {0240;0010} Financial – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are SA exposures to financial corporates that fall under Article 122 CRR For the purpose of the reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {0180;0010}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in point (27) of Article 4(1) CRR other than institutions referred to in {0180;0010}. Institutions shall report net of defaulted SA exposures. {0240;0020} Financial – Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure value of assets that are IRB exposures to financial corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {0180;0010}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in point (27) of Article 4(1) CRR other than institutions referred to in {0180;0010}. Institutions shall report net of defaulted IRB exposures. {0240;0030} Financial – RWEA – SA exposures The risk-weighted exposure amount of assets that are SA exposures to financial corporates that fall under Article 122 CRR

§ Article 468

For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {0180;0010}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in point (27) of Article 4(1) CRR other than institutions referred to in {0180;0010}. Institutions shall report net of defaulted SA exposures. {0240;0040} Financial – RWEA – IRB exposures The risk-weighted exposure amount of assets that are IRB exposures to financial corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {0180;0010}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in point (27) of Article 4(1) CRR other than institutions referred to in {0180;0010}. Institutions shall report net of defaulted IRB exposures. {0250;0010} Non-financial– Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are SA exposures to non-financial corporates that fall under Article 122 CRR This shall be the sum of {0260,0010} and {0270,0010}. Institutions shall report net of defaulted SA exposures. {0250;0020} Non-financial– Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure value of assets that are IRB exposures to non-financial corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR This shall be the sum of {0260,0020} and {0270,0020}. Institutions shall report net of defaulted IRB exposures. {0250;0030} Non-financial– RWEA – SA exposures The risk-weighted exposure amount of assets that are SA exposures to non-financial corporates that fall under Article 122 CRR This shall be the sum of {0260,0030} and {0270,0030}. Institutions shall report net of defaulted SA exposures. {0250;0040} Non-financial– RWEA – IRB exposures The risk-weighted exposure amount of assets that are IRB exposures to non-financial corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR This shall be the sum of {0260,0040} and {0270,0040}. Institutions shall report net of defaulted IRB exposures. {0260;0010} SME exposures – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are SA exposures to corporates in the form of small- and medium-sized enterprises that fall under Article 122 CRR For the purpose of this cell, institutions shall use the term small and medium enterprise as defined in point (b) of Article 501(2) CRR.

§ Article 468

Institutions shall report net of defaulted SA exposures. {0260;0020} SME exposures – Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure value of assets that are IRB exposures to corporates under point (c) of Article 147(2) CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR For the purpose of this cell, institutions shall use the term small and medium enterprise as defined in point (b) of Article 501(2) CRR. Institutions shall report net of defaulted IRB exposures. {0260;0030} SME exposures – RWEA – SA exposures The risk-weighted exposure amount of assets that are SA exposures to corporates in the form of small- and medium-sized enterprises that fall under Article 122 CRR For the purpose of this cell, institutions shall use the term small and medium enterprise as defined in point (b) of Article 501(2) CRR. Institutions shall report net of defaulted SA exposures. {0260;0040} SME exposures – RWEA – IRB exposures The risk-weighted exposure amount of assets that are IRB exposures to corporates under point (c) of Article 147(2) CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR For the purpose of this cell, institutions shall use the term small and medium enterprise as defined in point (b) of Article 501(2) CRR. Institutions shall report net of defaulted IRB exposures. {0270;0010} Exposures other than SME exposures – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are SA exposures to corporates that fall under Article 122 CRR and that are not reported in {0230;0040} and {0250;0040} Institutions shall report net of defaulted SA exposures. {0270;0020} Exposures other than SME exposures – Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure value of assets that are IRB exposures to corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR and that are not reported in {0230;0040} and {0250;0040} Institutions shall report net of defaulted IRB exposures. {0270;0030} Exposures other than SME exposures – RWEA – SA exposures The risk-weighted exposure amount of assets that are SA exposures to corporates that fall under Article 122 CRR and that are not reported in {0230;0040} and {0250;0040} Institutions shall report net of defaulted SA exposures. {0270;0040} Exposures other than SME exposures – RWEA – IRB exposures The risk-weighted exposure amount of assets that are IRB exposures to corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR and that are not reported in {0230;0040} and {0250;0040} Institutions shall report net of defaulted IRB exposures.

§ Article 468

{0280;0010} Exposures in default – Leverage Ratio Exposure Value – SA exposures Institutions shall report the leverage ratio exposure value of assets that are SA exposures in default and thus fall under Article 127 CRR. {0280;0020} Exposures in default – Leverage Ratio Exposure Value – IRB exposures Institutions shall report the leverage ratio exposure value of assets categorised in the exposures classes listed in Article 147(2) CRR if a default in accordance with Article 178 CRR has occurred. {0280;0030} Exposures in default – RWEA – SA exposures Institutions shall report the risk-weighted exposure amount of assets that are exposures in default and thus fall under Article 127 CRR. {0280;0040} Exposures in default – RWEA – IRB exposures Institutions shall report the risk-weighted exposure amount of assets categorised in the exposures classes listed in Article 147(2) CRR if a default in accordance with Article 178 CRR has occurred. {0290;0010} Other exposures– Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets categorised in the exposures classes listed in paragraphs (k), (m), (n), (o), (p) and (q) of Article 112 CRR Institutions shall report assets that are deducted from the own funds (e.g. intangibles) but cannot be categorised otherwise here, even if such a categorisation is not required for determining risk-based own funds requirements in columns {; 0030} and {; 0040}. Institutions shall report net of defaulted SA exposures. {0290;0020} Other exposures– Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure amount of assets categorised in the exposures classes listed in points (e), (f) and (g) of Article 147(2) CRR Institutions shall report assets that are deducted from the own funds (e.g. intangibles) but cannot be categorised otherwise here, even if such a categorisation is not required for determining risk-based own funds requirements in columns {; 0030} and {; 0040}. Institutions shall report net of defaulted IRB exposures. {0290;0030} Other exposures– RWEA – SA exposures The risk-weighted exposure value of assets categorised in the exposures classes listed in paragraphs (k), (m), (n), (o), (p) and (q) of Article 112 CRR Institutions shall report net of defaulted SA exposures. {0290;0040} Other exposures– RWEA – IRB exposures The risk-weighted exposure value of assets categorised in the exposures classes listed in points (e), (f) and (g) of Article 147(2) CRR Institutions shall report net of defaulted IRB exposures. {0300;0010} of which: Securitisation exposures – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are SA exposures to securitisations that fall under Article 112(m) CRR Institutions shall report net of defaulted SA exposures. {0300;0020} of which: Securitisation exposures – Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure value of assets that are IRB exposures to securitisations and fall under point (f) of Article 147(2) CRR

§ Article 468

Institutions shall report net of defaulted IRB exposures. {0300;0030} of which: Securitisation exposures – RWEA – SA exposures The risk-weighted exposure amount of assets that are SA exposures to securitisations that fall under Article 112(m) CRR Institutions shall report net of defaulted SA exposures. {0300;0040} of which: Securitisation exposures – RWEA – IRB exposures The risk-weighted exposure amount of assets that are IRB exposures to securitisations and fall under point (f) of Article 147(2) CRR Institutions shall report net of defaulted IRB exposures. {0310;0010} Trade finance (memo item)– Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions Institutions shall report net of defaulted SA exposures. {0310;0020} Trade finance (memo item)– Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure amount of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions Institutions shall report net of defaulted IRB exposures. {0310;0030} Trade finance (memo item)– RWEA – SA exposures The risk-weighted exposure value of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions Institutions shall report net of defaulted SA exposures. {0310;0040} Trade finance (memo item)– RWEA – IRB exposures The risk-weighted exposure amount of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions Institutions shall report net of defaulted IRB exposures. {0320;0010} of which: Under official export credit insurance scheme – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of on-balance sheet items related to trade finance under an official export credit insurance scheme For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. Institutions shall report net of defaulted SA exposures. {0320;0020} of which: Under official export credit insurance scheme – Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure amount of on-balance sheet items related to trade finance under an official export credit insurance scheme For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.

§ Article 468

Institutions shall report net of defaulted IRB exposures. {0320;0030} of which: Under official export credit insurance scheme – RWEA – SA exposures The risk-weighted exposure value of on-balance sheet items related to trade finance under an official export credit insurance scheme For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. Institutions shall report net of defaulted SA exposures. {0320;0040} of which: Under official export credit insurance scheme – RWEA – IRB exposures The risk-weighted exposure amount of on-balance sheet items related to trade finance under an official export credit insurance scheme For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. Institutions shall report net of defaulted IRB exposures. 6. C 44.00 – General information (LR5) 28. Additional information is collected here for the purpose of categorising the institution activities and the regulatory options chosen by the institution. Row and columnInstructions{0010;0010} Institution’s company structure The institution shall classify its company structure in accordance with the categories given below: Joint stock company; Mutual/cooperative; Other non-joint stock company. {0020;0010} Derivatives treatment The institution shall specify the regulatory derivatives treatment in accordance with the categories given below: Standardised Approach for Counterparty Credit Risk (SA-CCR); Simplified Standardised Approach for Counterparty Credit Risk; Original exposure method. {0040;0010} Institution type The institution shall classify its institution type in accordance with the categories given below: Universal banking (retail/commercial and investment banking); Retail/commercial banking; Investment banking; Specialised lender; Public development credit institutions; Other business model. {0070;0010} Institution with a public development unit Institutions that are not public development credit institutions shall indicate whether they have a public development unit. {0080;0010}, {00090;0010}, {0100;0010} Entity guaranteeing the public development credit institution/unit in accordance with point (d) of Article 429a(2) CRR: Central government, Regional government, Local authority The institutions that either are a public development credit institution or have a public development unit shall report whether they are guaranteed by a central government, a regional government or a local authority

§ Article 468

Institutions shall indicate TRUE in the row corresponding to the applicable type(s) of protection provider and FALSE otherwise. {0080;0010}Central government guaranteeing the public development credit institutions/unit{0090;0010}Regional government guaranteeing the public development credit institutions/unit{0100;0010}Local authority guaranteeing the public development credit institutions/unit {0110;0010}; {0120;0010}; {0130;0010} Type of guarantee received in accordance with point (d) of Article 429a(2) CRR The institutions that either are a public development credit institution or have a public development unit shall report the type of protection received Institutions shall indicate TRUE in the row corresponding to the applicable type(s) of protection and FALSE otherwise. {0110;0010}Obligation to protect the credit institutions’ viability{0120;0010}Direct guarantee of the credit institutions’ own funds requirements, funding requirements or promotional loans granted{0130;0010}Indirect guarantee of the credit institutions’ own funds requirements, funding requirements or promotional loans granted 7. C 48.00 Leverage ratio volatility (LR6) 29. Information is collected for the purpose of monitoring the volatility of the leverage ratio. The information shall be reported by large institutions only. 8. C 48.01 Leverage ratio volatility: Mean value for the reporting period Row and columnInstructions{0010;0010} Mean value for the reporting period – SFTs exposure value Institutions shall report the mean of the daily values of the reporting quarter of the SFT exposure value net of the exempted CCP leg of client-cleared trade exposures as defined in rows 0010 and 0050 of template C47.00. {0010;0020} Mean value for the reporting period – Adjustments for SFT sales accounting transactions Institutions shall report the mean of the daily values of the reporting quarter of the adjustments for SFT sales accounting transactions as defined in row 0230 of template C47.00. 9. C 48.02 Leverage ratio volatility: Daily values for the reporting period 30. The daily values over the quarter shall be reported. Row and columnInstructions{0010;0010} Reference date within reporting period Institutions shall report the date to which the reported daily value reported refers to. Each day of the reporting quarter shall be reported. {0010;0020} SFTs exposure value Institutions shall report the daily values of the reporting quarter of the SFT exposure value net of the exempted CCP leg of client-cleared trade exposures as refer to in rows 0010 and 0050 of template C47.00. {0010;0030} Adjustments for SFT sales accounting transactions Institutions shall report the daily values of the reporting quarter of the adjustments for SFT sales accounting transactions as defined in row 0230 of template C 47.00.

Annex

ANNEX XII REPORTING ON NET STABLE FUNDING RATIO LIQUIDITY TEMPLATESTemplate numberTemplate codeName of the template/group of templatesNSFR80C 80.00REQUIRED STABLE FUNDING81C 81.00AVAILABLE STABLE FUNDINGSIMPLIFIED NSFR82C 82.00SIMPLIFIED REQUIRED STABLE FUNDING83C 83.00SIMPLIFIED AVAILABLE STABLE FUNDINGSUMMARY NSFR84C 84.00SUMMARY NSFR

§ Article 468

C 80.00 — NSFR — REQUIRED STABLE FUNDING Currency AmountStandard RSF factorApplicable RSF factorRequired stable fundingNon-HQLA by maturityHQLANon-HQLA by maturityHQLANon-HQLA by maturityHQLA< 6 months≥ 6 months to < 1 year≥ 1 year< 6 months≥ 6 months to < 1 year≥ 1 year< 6 months≥ 6 months to < 1 year≥ 1 yearRowIDItem001000200030004000500060007000800090010001100120013000101REQUIRED STABLE FUNDING00201.1RSF from central bank assets00301.1.1cash, reserves and HQLA exposures to central banks00401.1.1.1unencumbered or encumbered for a residual maturity of less than six months0 %0 %0 %0 %00501.1.1.2encumbered for a residual maturity of at least six months but less than one year50 %50 %50 %50 %00601.1.1.3encumbered for a residual maturity of one year or more100 %100 %100 %100 %00701.1.2other non-HQLA central bank exposures0 %50 %100 %00801.2RSF from liquid assets00901.2.1level 1 assets eligible for 0 % LCR haircut01001.2.1.1unencumbered or encumbered for a residual maturity of less than six months0 %01101.2.1.2encumbered for a residual maturity of at least six months but less than one year50 %01201.2.1.3encumbered for a residual maturity of one year or more100 %01301.2.2level 1 assets eligible for 5 % LCR haircut 01401.2.2.1unencumbered or encumbered for a residual maturity of less than six months5 %01501.2.2.2encumbered for a residual maturity of at least six months but less than one year50 %01601.2.2.3encumbered for a residual maturity of one year or more100 %01701.2.3level 1 eligible for 7 % LCR haircut01801.2.3.1unencumbered or encumbered for a residual maturity of less than six months7 %01901.2.3.2encumbered for a residual maturity of at least six months but less than one year50 %02001.2.3.3encumbered for a residual maturity of one year or more100 %02101.2.4level 1 assets eligible for 12 % LCR haircut02201.2.4.1unencumbered or encumbered for a residual maturity of less than six months12 %02301.2.4.2encumbered for a residual maturity of at least six months but less than one year50 %02401.2.4.3encumbered for a residual maturity of one year or more100 %02501.2.5level 2A assets eligible for 15 % LCR haircut02601.2.5.1unencumbered or encumbered for a residual maturity of less than six months15 % 02701.2.5.2encumbered for a residual maturity of at least six months but less than one year50 %02801.2.5.3encumbered for a residual maturity of one year or more100 %02901.2.6level 2A assets eligible for 20 % LCR haircut03001.2.6.1unencumbered or encumbered for a residual maturity of less than six months20 %03101.2.6.2encumbered for a residual maturity of at least six months but less than one year50 %03201.2.6.3encumbered for a residual maturity of one year or more100 %03301.2.7level 2B securitizations eligible for 25 % LCR haircut03401.2.7.1unencumbered or encumbered for a residual maturity of less than six months25 %03501.2.7.2encumbered for a residual maturity of at least six months but less than one year50 %03601.2.7.3encumbered for a residual maturity of one year or more100 %03701.2.8level 2B assets eligible for 30 % LCR haircut03801.2.8.1unencumbered or encumbered for a residual maturity of less than six months30 %03901.2.8.2encumbered for a residual maturity of at least six months but less than one year50 %

§ Article 468

04001.2.8.3encumbered for a residual maturity of one year or more100 %04101.2.9level 2B assets eligible for 35 % LCR haircut04201.2.9.1unencumbered or encumbered for a residual maturity of less than six months35 %04301.2.9.2encumbered for a residual maturity of at least six months but less than one year50 %04401.2.9.3encumbered for a residual maturity of one year or more100 %04501.2.10level 2B assets eligible for 40 % LCR haircut04601.2.10.1unencumbered or encumbered for a residual maturity of less than six months40 %04701.2.10.2encumbered for a residual maturity of at least six months but less than one year50 %04801.2.10.3encumbered for a residual maturity of one year or more100 %04901.2.11level 2B assets eligible for 50 % LCR haircut05001.2.11.1unencumbered or encumbered for a residual maturity of less than one year50 %05101.2.11.2encumbered for a residual maturity of one year or more100 %05201.2.12level 2B assets eligible for 55 % LCR haircut05301.2.12.1unencumbered or encumbered for a residual maturity of less than one year55 % 05401.2.12.2encumbered for a residual maturity of one year or more100 %05501.2.13HQLAs encumbered for a residual maturity of one year or morein cover pool85 %05601.3RSF from securities other than liquid assets05701.3.1non- HQLA securities and exchange traded equities05801.3.1.1unencumbered or encumbered for a residual maturity of less than one year50 %50 %85 %05901.3.1.2encumbered for a residual maturity of one year or more100 %100 %100 %06001.3.2non-HQLA non-exchange traded equities100 %06101.3.3non-HQLA securities encumbered for a residual maturity of one year or more in a cover pool85 %85 %85 %06201.4RSF from loans06301.4.1operational deposits50 %50 %100 %06401.4.2securities financing transactions with financial customers06501.4.2.1collateralized by level 1 assets eligible for 0 % LCR haircut06601.4.2.1.1unencumbered or encumbered for a residual maturity of less than six months0 %50 %100 % 06701.4.2.1.2encumbered for a residual maturity of at least six months but less than one year50 %50 %100 %06801.4.2.1.3encumbered for a residual maturity of one year or more100 %100 %100 %06901.4.2.2collateralized by other assets07001.4.2.2.1unencumbered or encumbered for a residual maturity of less than six months5 %50 %100 %07101.4.2.2.2encumbered for a residual maturity of at least six months but less than one year50 %50 %100 %07201.4.2.2.3encumbered for a residual maturity of one year or more100 %100 %100 %07301.4.3other loans and advances to financial customers10 %50 %100 %07401.4.4assets encumbered for a residual maturity of one year or morein cover pool85 %85 %85 %07501.4.5loans to non-financial customers other than central banks where those loans are assigned a risk weight of 35 % or less07601.4.5.0.1of which, residential mortgages07701.4.5.1unencumbered or encumbered for a residual maturity of less than six months50 %50 %65 %07801.4.5.2encumbered for a residual maturity of at least six months but less than one year50 %50 %65 %07901.4.5.3encumbered for a residual maturity of one year or more100 %100 %100 %

§ Article 468

08001.4.6other loans to non-financial customers other than central banks08101.4.6.0.1of which, residential mortgages08201.4.6.1unencumbered or encumbered for a residual maturity of less than one year50 %50 %85 %08301.4.6.2encumbered for a residual maturity of one year or more100 %100 %100 %08401.4.7trade finance on-balance sheet products10 %50 %85 %08501.5RSF from interdependent assets08601.5.1centralised regulated savings0 %0 %0 %08701.5.2promotional loans and credit and liquidity facilities0 %0 %0 %08801.5.3eligible covered bonds0 %0 %0 %08901.5.4derivatives client clearing activities0 %0 %0 %09001.5.5others0 %0 %0 %09101.6RSF from assets within a group or an IPS if subject to preferential treatment09201.7RSF from derivatives09301.7.1required stable funding for derivative liabilities5 %09401.7.2NSFR derivative assets100 % 09501.7.3initial margin posted85 %85 %85 %85 %09601.8RSF from contributions to CCP default fund85 %85 %85 %85 %09701.9RSF from other assets09801.9.1physically traded commodities09901.9.1.1unencumbered or encumbered for a residual maturity of less than one year85 %10001.9.1.2encumbered for a residual maturity of one year or more100 %10101.9.2trade date receivables0 %10201.9.3non-performing assets100 %100 %100 %10301.9.4other assets50 %50 %100 %10401.10RSF from OBS items10501.10.1committed facilities within a group or an IPS if subject to preferential treatment10601.10.2committed facilities5 %5 %5 %10701.10.3trade finance off-balance sheet items5 %7.5 %10 %10801.10.4non-performing off-balance sheet items100 %100 %100 %10901.10.5other off-balance sheet exposures for which the competent authority has determined RSF factors C 81.00 — NSFR — AVAILABLE STABLE FUNDING Currency RowIDItemAmountStandard ASF factorApplicable ASF factorAvailable stable funding< 6 months≥ 6 months to < 1 year≥ 1 year< 6 months≥ 6 months to < 1 year≥ 1 year< 6 months≥ 6 months to < 1 year≥ 1 yearTotal001000200030004000500060007000800090010000102AVAILABLE STABLE FUNDING00202.1ASF from capital items and instruments00302.1.1Common Equity Tier 1100 %00402.1.2Additional Tier 10 %0 %100 %00502.1.3Tier 20 %0 %100 %00602.1.4Other capital instruments0 %0 %100 %00702.2ASF from retail deposits00802.2.0.1of which, retail bonds00902.2.1Stable retail deposits95 %95 %100 %01002.2.0.2of which with a material early withdrawable penalty100 %01102.2.2Other retail deposits90 %90 %100 %01202.2.0.3of which with a material early withdrawable penalty100 %01302.3ASF from other non-financial customers (except central banks)01402.3.0.1of which, securities financing transactions 01502.3.0.2of which, operational deposits01602.3.1Liabilities provided by the central government of a Member State or a third country50 %50 %100 %01702.3.2Liabilities provided by regional governments or local authorities of a Member State or a third country50 %50 %100 %01802.3.3Liabilities provided by public sector entities of a Member State or a third country50 %50 %100 %01902.3.4Liabilities provided by multilateral development banks and international organisations50 %50 %100 %02002.3.5Liabilities provided by non-financial corporate customers50 %50 %100 %02102.3.6Liabilities provided by credit unions, personal investment companies and deposit brokers50 %50 %100 %02202.4ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment02302.5ASF from financial customers and central banks02402.5.0.1of which, sight deposits provided by network member to central institution02502.5.1Liabilities provided by the ECB or the central bank of a Member State0 %50 %100 %02602.5.2Liabilities provided by the central bank of a third country0 %50 %100 %02702.5.3Liabilities provided by financial customers

§ Article 468

02802.5.3.1Operational deposits50 %50 %100 %02902.5.3.2Excess operational deposits0 %50 %100 %03002.5.3.3Other liabilities0 %50 %100 %03102.6ASF from liabilities provided where the counterparty cannot be determined0 %50 %100 %03202.7ASF from net derivatives liabilities0 %0 %0 %03302.8ASF from interdependent liabilities03402.8.1Centralised regulated savings0 %0 %0 %03502.8.2Promotional loans and relevant credit and liquidity facilities0 %0 %0 %03602.8.3Eligible covered bonds0 %0 %0 %03702.8.4Derivatives client clearing activities0 %0 %0 %03802.8.5Others0 %0 %0 %03902.9ASF from other liabilities04002.9.1Trade date payables0 %0 %0 %04102.9.2Deferred tax liabilities0 %50 %100 %04202.9.3Minority interests0 %50 %100 %04302.9.4Other liabilities0 %50 %100 % C 82.00 — NSFR — SIMPLIFIED REQUIRED STABLE FUNDING Currency AmountStandard RSF factorApplicable RSF factorRequired stable fundingNon-HQLA by maturityHQLANon-HQLA by maturityHQLANon-HQLA by maturityHQLA< 1 year≥ 1 year< 1 year≥ 1 year< 1 year≥ 1 yearRowIDItem001000200030004000500060007000800090010000101REQUIRED STABLE FUNDING00201.1RSF from central bank assets00301.1.1cash, reserves and HQLA exposures to central banks0 %0 %0 %00401.1.2other non-HQLA central bank exposures0 %100 %00501.2RSF from liquid assets00601.2.1level 1 assets eligible for 0 % LCR haircut00701.2.1.1unencumbered or encumbered for a residual maturity of less than six months0 %00801.2.1.2encumbered for a residual maturity of at least six months but less than one year50 %00901.2.1.3encumbered for a residual maturity of one year or more100 %01001.2.2level 1 assets eligible for 7 % LCR haircut01101.2.2.1unencumbered or encumbered for a residual maturity of less than six months10 %01201.2.2.2encumbered for a residual maturity of at least six months but less than one year50 % 01301.2.2.3encumbered for a residual maturity of one year or more100 %01401.2.3level 2A assets eligible for 15 % LCR haircut and shares or units in CIUs eligible for 0-20 % LCR haircuts01501.2.3.1unencumbered or encumbered for a residual maturity of less than six months20 %01601.2.3.2encumbered for a residual maturity of at least six months but less than one year50 %01701.2.3.3encumbered for a residual maturity of one year or more100 %01801.2.4Level 2B assets eligible for 25-35 % LCR haircut and shares or units in CIUs eligible for 30-55 % LCR haircuts01901.2.4.1unencumbered or encumbered for a residual maturity of less than one year55 %02001.2.4.2encumbered for a residual maturity of one year or more100 %02101.3RSF from securities other than liquid assets02201.3.1unencumbered or encumbered for a residual maturity of less than one year50 %85 %02301.3.2encumbered for a residual maturity of one year or more100 %100 %02401.4RSF from loans02501.4.1loans to non-financials02601.4.1.1unencumbered or encumbered for a residual maturity of less than one year50 %85 % 02701.4.1.2encumbered for a residual maturity of one year or more100 %100 %02801.4.2loans to financials02901.4.2.1unencumbered or encumbered for a residual maturity of less than one year50 %100 %03001.4.2.2encumbered for a residual maturity of one year or more100 %100 %03101.4.3trade finance on-balance sheet products50 %85 %03201.5RSF from interdependent assets0 %0 %03301.6RSF from assets within a group or an IPS if subject to preferential treatment03401.7RSF from derivatives03501.7.1required stable funding for derivative liabilities5 %03601.7.2NSFR derivative assets100 %03701.7.3Initial margin posted85 %85 %85 %03801.8RSF from contributions to CCP default fund03901.9RSF from other assets100 %100 %

§ Article 468

04001.10RSF from OBS items04101.10.1committed facilities within a group or an IPS if subject to preferential treatment04201.10.2commited facilities5 %5 %04301.10.3trade finance off-balance sheet items10 %10 %04401.10.4non-performing off-balance sheet items100 %100 %04501.10.5other off-balance sheet exposures determined by competent authorities C 83.00 — NSFR — SIMPLIFIED AVAILABLE STABLE FUNDING Currency RowIDItemAmountStandard ASF factorApplicable ASF factorAvailable stable funding< 1 year≥ 1 year< 1 year≥ 1 year< 1 year≥ 1 year001000200030004000500060007000102AVAILABLE STABLE FUNDING00202.1ASF from capital items and instruments0 %100 %00302.2ASF from retail deposits00402.2.1Stable retail deposits95 %100 %00502.2.2Other retail deposits90 %100 %00602.3ASF from other non-financial customers (except central banks)50 %100 %00702.4ASF from operational deposits50 %100 %00802.5ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment00902.6ASF from financial customers and central banks0 %100 %01002.7ASF from liabilities provided where the counterparty cannot be determined0 %100 %01102.8ASF from interdependent liabilities0 %01202.9ASF from other liabilities0 %100 % C 84.00 — NSFR Summary Currency RowIDItemAmountRequired stable fundingAvailable stable fundingRatio001000200030004000101REQUIRED STABLE FUNDING00201.1RSF from central bank assets00301.2RSF from liquid assets00401.3RSF from securities other than liquid assets00501.4RSF from loans00601.5RSF from interdependent assets00701.6RSF from assets within a group or an IPS if subject to preferential treatment00801.7RSF from derivatives00901.8RSF from contributions to CCP default fund01001.9RSF from other assets01101.10RSF from OBS items 01202AVAILABLE STABLE FUNDING01302.1ASF from capital items and instruments01402.2ASF from retail deposits01502.3ASF from other non-financial customers (except central banks)01602.4ASF from operational deposits01702.5ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment01802.6ASF from financial customers and central banks01902.7ASF from liabilities provided where the counterparty cannot be determined02002.8ASF from interdependent liabilities02102.9ASF from other liabilities02203NSFR

Annex

ANNEX XIII INSTRUCTIONS FOR REPORTING ON STABLE FUNDING PART I: GENERAL INSTRUCTIONS 1518 PART II: REQUIRED STABLE FUNDING 1519

  1. Specific remarks 1519
  2. Instructions concerning specific columns 1522
  3. Instructions concerning specific rows 1523 PART III: AVAILABLE STABLE FUNDING 1533
  4. Specific remarks 1533
  5. Instructions concerning specific columns 1536
  6. Instructions concerning specific rows 1536 PART IV: SIMPLIFIED REQUIRED STABLE FUNDING 1541
  7. Specific remarks 1541
  8. Instructions concerning specific columns 1543
  9. Instructions concerning specific rows 1544 PART V: SIMPLIFIED AVAILABLE STABLE FUNDING 1548
  10. Specific remarks 1548
  11. Instructions concerning specific columns
§ Article 468

1550 3. Instructions concerning specific rows 1551 PART VI: SUMMARY NSFR 1554

  1. Specific remarks 1554
  2. Instructions concerning specific columns 1554
  3. Instructions concerning specific rows 1555 PART I: GENERAL INSTRUCTIONS
  4. This annex covers instructions for the net stable funding ratio (NSFR) templates, which contains information about required and available stable funding items, for the purpose of reporting the NSFR as specified in Title IV of Part Six of Regulation (EU) No 575/2013 (CRR). Items that do not need to be completed by institutions are coloured grey.
  5. In accordance with Article 415(1) CRR, institutions shall report the template in the reporting currency, regardless of the actual denomination of assets, liabilities and off-balance sheet items. Institutions shall separately report the template in the corresponding currencies in accordance with Article 415(2) CRR.
  6. With regard to the calculation of the NSFR, the CRR refers to stable funding factors. The word factor in the context of these instructions refers to a number between 0 and 1, which multiplied by the amount yields the weighted amount, i.e. the value referred to in Article 428c(2) CRR.
  7. In order to avoid any double counting, institutions shall not report assets or liabilities that are associated with collateral posted or received as variation margin in accordance with Article 428k(4) CRR and Article 428ah(2) CRR, initial margin and contribution to the default fund of a CCP in accordance point (a) of Article 428ag and point (b) of Article 428ag CRR.
  8. Items provided by and extended to members of a group or an institutional protection scheme where the competent authority has granted permission to apply a preferential treatment according to Article 428h CRR shall be reported in a separate category. Deposits maintained in the context of an institutional protection scheme or a cooperative network considered as liquid assets shall be reported as liquid assets in accordance with Article 428g CRR. Other items within a group or an institutional protection scheme shall be reported in the relevant categories.
  9. For reporting purposes, in the columns referred as Amount the accounting value shall always be reported, except for the cases of derivative contracts, for which institutions shall refer to the fair value as specified in Article 428d(2) CRR.
  10. For the purposes of reporting by currency subject to separate reporting as envisaged in Article 415(2) CRR, as regards derivatives as envisaged in Article 428d(4) CRR, institutions shall calculate the fair value for each netting set in its settlement currency. For all netting sets with matching settlement currencies a net amount shall be calculated in accordance with Articles 428k(4) and 428ah(2) CRR, and reported in the relevant currency subject to separate reporting. In this context, settlement currency shall be understood as the currency in which the settlement of a netting set has been agreed. Netting set refers to the group of receivables and payables stemming from derivatives transactions with a counterparty irrespective of whether they are denominated in a different currency to the settlement currency. In the case of multi-currency optionality, the credit institution shall make an assessment of the currency in which the settlement is likely to occur and shall report only in that separate currency.
§ Article 468
  1. The amount of assets and liabilities resulting from securities financing transactions (SFTs) with a single counterparty and the same type of collateral underlying (level 1 or non-level 1 liquid assets) pursuant to the delegated act referred to in Article 460(1) of CRR shall be reported on a net basis where Article 428e of CRR applies.. In the case of SFTs with collateral baskets underlying, the less liquid collateral within those pool of collateral shall be understood to be first pledged.
  2. In accordance with Article 428ai CRR, small and non-complex institutions may choose, with the prior permission of their competent authority, to calculate their NSFR in accordance with the simplified methodology set out in Chapters 6-7 of Title IV of Part Six CRR. Institutions that use this simplified methodology for the calculation of the net stable funding ratio shall use the reporting templates C 82.00 and C 83.00. All other institutions shall use the reporting templates C 80.00 and C 81.00. All institutions shall report the reporting template C 84.00. PART II: REQUIRED STABLE FUNDING
  3. Specific remarks
  4. Institutions shall report in the appropriate category all assets on which they retain beneficial ownership even if they are not accounted for in their balance sheet. Assets on which institutions do not retain beneficial ownership shall not be reported even if these assets are accounted for in their balance sheet. In the case of reverse repos, where the assets borrowed are not accounted for on balance sheet but the bank that received them has their beneficial ownership, the cash leg, or the collateral leg if a higher RSF factor applies, will be reported only.
  5. In accordance with Article 428p CRR, unless specified otherwise in Chapter 4 of Title IV of Part Six CRR, the amount of required stable funding (RSF) shall be calculated by multiplying the amount of assets and off-balance sheet items by the required stable funding factors.
  6. Assets that are eligible as liquid assets (HQLA) in accordance with Delegated Regulation (EU) 2015/61 shall be reported as such, regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation. Those assets shall be reported in designated columns regardless of their residual maturity.
  7. All non-HQLA assets and off-balance sheet items shall be reported with a breakdown by their residual maturity in accordance with Article 428q CRR. The maturity buckets of the amounts, standard factors and applicable factors are the following: i. Residual maturity of less than six months or without stated maturity; ii. Residual maturity of a minimum of six months but less than one year; iii. Residual maturity of one year or more.
  8. In accordance with Article 428q(3) CRR, when calculating the residual maturity of non-HQLA assets and off-balance sheet items, institutions shall take options into account, based on the assumption that the issuer or counterparty will exercise any option to extend the asset's maturity. For options exercisable at the discretion of the institution, the institution and competent authority shall take into account reputational factors that may limit the institution's ability not to exercise the option, in particular considering markets’ and clients’ expectations that the institution should extend the maturity of certain assets at their maturity date.
§ Article 468
  1. For some items, institutions shall report assets according to status of and/or maturity of encumbrance of that asset in accordance with paragraphs (4), (5) and (6) of Article 428pCRR.
  2. The decision tree for the reporting template C 80.00 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, i.e., institutions shall always comply with the rest of the instructions. For the sake of simplicity the decision tree ignores totals, subtotals and of which items; this however does not mean that they shall not be reported as well.
  3. As specified under Article 428p(5) CRR, where an institution re-uses or re-pledges an asset that was borrowed, including in securities financing transactions, and that is accounted for off-balance sheet, the transaction through which the that assets has been borrowed shall be treated as encumbered to the extent that this transaction cannot mature without the institution returning the asset borrowed. The residual maturity of this encumbrance shall be the higher between: i) the residual maturity of the transaction where the assets were borrowed and ii) the residual maturity of the transaction where the assets were re-pledged. 14Trade finance on-balance sheet products?YesID 1.4.7No# 1515NSFR derivative assets?YesID 1.7.2No# 1616Loans?Yes# 17No# 2117Loans encumbered for a residual maturity of one year or more in a cover pool?YesID 1.4.4No# 1818Loans classified as operational deposits?YesID 1.4.1No# 1919Securities financing transactions with financial customers?YesAllocate into one relevant item of ID 1.4.2.No# 2020Other loans and advances to financial customers?YesID 1.4.3NoAllocate into one relevant item of ID 1.4.5 or 1.4.6.21Physically traded commodities?YesAllocate into one relevant item of ID 1.9.1No# 2222Any other asset not considered in the above categories?YesID 1.9.4NoDo not report.23An off-balance sheet exposure?Yes# 24NoDo not report.24Non-performing exposure?YesID 1.10.4No# 2525Committed facilities?Yes# 26No# 2726Committed facilities for which the competent authority has granted the preferential treatment?YesID 1.10.1NoID 1.10.2 27Trade finance off-balance sheet item?YesID 1.10.3No# 2828Other off-balance sheet exposure for which the competent authority has determined the RSF factor?YesID 1.10.5NoDo not report.
  4. Instructions concerning specific columns ColumnLegal references and instructions0010-0030 Amount of non-HQLA Institutions shall report in columns 0010-0030 the amount, unless specified otherwise in Chapter 4 of Title IV of Part Six CRR, of the assets and off-balance sheet items referred to in Section 2 of Chapter 4 of Title IV of Part Six CRR for each maturity bucket. The amount shall be reported in columns 0010-0030 when the corresponding item is not eligible as liquid asset pursuant to the Delegated Regulation (EU) 2015/61, regardless of whether they comply with the operational requirements referred to in Article 8 of that Delegated Regulation.
§ Article 468

0040 Amount of HQLA See instructions in columns 0010-0030. The amount shall be reported in column 0040 when the corresponding item is eligible as high-quality liquid asset pursuant to the Delegated Regulation (EU) 2015/61, regardless of whether they comply with the operational requirements referred to in Article 8 of that Delegated Regulation. 0050-0080 Standard RSF factor Section 2 of Chapter 4 of Title IV of Part Six CRR The standard factors in columns 0050-0080 are those specified in Chapter 4 of Title IV of Part Six CRR by default that would determine the part of the amount of the assets and off-balance sheet items that is required stable funding. They are provided for information only and are not meant to be filled in by institutions. 0090-0120 Applicable RSF factor Section 2 of Chapter 4 of Title IV of Part Six CRR Institutions shall report in columns 0090-0120 the applicable factor applied to items in Chapter 4 of Title IV of Part Six CRR. Applicable factors 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 factors may reflect, but are not limited to, firm-specific and national discretions. 0130 Required stable funding: Institutions shall report in Column 0130 the required stable funding in accordance with Chapter 4 of Title IV of Part Six CRR. This shall be calculated using the following formula: c0130 = SUM{(c0010 c 0090), (c0020 c 0100), (c0030 c 0110), (c0040 c 0120)}. 3. Instructions concerning specific rows RowLegal references and instructions0010 1 REQUIRED STABLE FUNDING Chapter 4 of Title IV of Part Six CRR Institutions shall report here items subject to the required stable funding in accordance with Chapter 4 of Title IV of Part Six CRR. 0020 1.1 RSF from central bank assets Points (c) and (d) of Article 428r(1) and point (d) of Article 428ad CRR Institutions shall report here central bank assets. A reduced RSF factor may apply in accordance with Article 428p(7) CRR. 0030 1.1.1 cash, reserves and HQLA exposures to central banks Institutions shall report here cash and reserves at central banks, including excess reserves. Institutions shall also report here any other exposures to central banks that are considered as liquid assets pursuant to the Delegated Regulation (EU) 2015/61, regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation. Minimum reserves that are not considered as liquid assets pursuant to Delegated Regulation (EU) 2015/61 shall be reported in the relevant non-HQLA column. 0040 1.1.1.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.1.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months 0050 1.1.1.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.1.1 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

§ Article 468

0060 1.1.1.3 encumbered for a residual maturity of one year or more The amount reported under 1.1.1 that is related to assets that are encumbered for a residual maturity of one year or more 0070 1.1.2 other non-HQLA central bank exposures Institutions shall report here any other claims on central banks other than those reported under item 1.1.1. 0080 1.2 RSF from liquid assets Points (a) and (b) of Article 428r(1) to Article 428ae CRR Institutions shall report here liquid assets pursuant to Delegated Regulation (EU) 2015/61, regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation. 0090 1.2.1 level 1 assets eligible for 0 % LCR haircut Institutions shall report here assets that are eligible as level 1 liquid assets and shares or units in CIUs that are eligible for a 0 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13. 0100 1.2.1.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months 0110 1.2.1.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.1 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year 0120 1.2.1.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.1 that is related to assets that are encumbered for a residual maturity of one year or more 0130 1.2.2 level 1 assets eligible for 5 % LCR haircut Institutions shall report here shares or units in CIUs that are eligible for a 5 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13. 0140 1.2.2.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.2 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months 0150 1.2.2.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.2 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year 0160 1.2.2.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.2 that is related to assets that are encumbered for a residual maturity of one year or more

§ Article 468

0170 1.2.3 level 1 assets eligible for 7 % LCR haircut Institutions shall report here assets that are eligible as level 1 extremely high quality covered bonds pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool of funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13. 0180 1.2.3.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.3 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months 0190 1.2.3.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.3 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year 0200 1.2.3.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.3 that is related to assets that are encumbered for a residual maturity of one year or more 0210 1.2.4 level 1 assets eligible for 12 % LCR haircut Institutions shall report here shares or units in CIUs that are eligible for a 12 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13. 0220 1.2.4.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.4 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months 0230 1.2.4.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.4 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year 0240 1.2.4.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.4 that is encumbered for a residual maturity of one year or more 0250 1.2.5 level 2A assets eligible for 15 % LCR haircut Institutions shall report here assets that are eligible as Level 2A assets pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool of covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13. 0260 1.2.5.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.5 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

§ Article 468

0270 1.2.5.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.5 that is encumbered for a residual maturity of at least six months but less than one year 0280 1.2.5.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.5 that is related to assets that are encumbered for a residual maturity of one year or more 0290 1.2.6 level 2A assets eligible for 20 % LCR haircut Institutions shall report here shares or units in CIUs that are eligible for a 20 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool of covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13. 0300 1.2.6.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.6 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months 0310 1.2.6.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.6 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year 0320 1.2.6.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.6 that is related to assets that are encumbered for a residual maturity of one year or more 0330 1.2.7 level 2B securitizations eligible for 25 % LCR haircut Institutions shall report here level 2B securitizations that are eligible for a 25 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13. 0340 1.2.7.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.7 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months 0350 1.2.7.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.7 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year 0360 1.2.7.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.7 that is related to assets that are encumbered for a residual maturity of one year or more 0370 1.2.8 level 2B assets eligible for 30 % LCR haircut Institutions shall report here high quality covered bonds and shares or units in CIUs that are eligible for a 30 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

§ Article 468

0380 1.2.8.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.8 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months 0390 1.2.8.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.8 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year 0400 1.2.8.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.8 that is related to assets that are encumbered for a residual maturity of one year or more 0410 1.2.9 level 2B assets eligible for 35 % LCR haircut Institutions shall report here level 2B securitizations and shares or units in CIUs that are eligible for a 35 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13. 0420 1.2.9.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.9 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months 0430 1.2.9.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.9 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year 0440 1.2.9.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.9 that is related to assets that are encumbered for a residual maturity of one year or more 0450 1.2.10 level 2B assets eligible for 40 % LCR haircut Institutions shall report here shares or units in CIUs that are eligible for a 40 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13. 0460 1.2.10.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.10 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months 0470 1.2.10.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.10 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year 0480 1.2.10.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.10 that is related to assets that are encumbered for a residual maturity of one year or more

§ Article 468

0490 1.2.11 level 2B assets eligible for 50 % LCR haircut Institutions shall report here level 2B assets pursuant to Delegated Regulation (EU) 2015/61, excluding level 2B securitizations and high quality covered bonds. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13. 0500 1.2.11.1 unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.2.11 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year 0510 1.2.11.2 encumbered for a residual maturity of one year or more The amount reported under 1.2.11 that is related to assets that are encumbered for a residual maturity of one year or more 0520 1.2.12 level 2B assets eligible for 55 % LCR haircut Institutions shall report here shares or units in CIUs that are eligible for a 55 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13. 0530 1.2.12.1 unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.2.12 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year 0540 1.2.12.2 encumbered for a residual maturity of one year or more The amount reported under 1.2.12 that is related to assets that are encumbered for a residual maturity of one year or more 0550 1.2.13 HQLAs encumbered for a residual maturity of one year or more in a cover pool Point (h) of Article 428ag CRR; the amount reported in 1.2 that is related to assets that are encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR 0560 1.3 RSF from securities other than liquid assets Points (e) and (f) of Article 428ag CRR Institutions shall report here securities that are not in default in accordance with Article 178 CRR and that are not liquid assets pursuant to Delegated Regulation (EU) 2015/61, regardless if they comply with the operational requirements laid down therein. 0570 1.3.1 non-HQLA securities and exchange traded equities Points (e) and (f) of Article 428ag and point (b) of Article 428ah(1) CRR The amount reported in 1.3 that is related to non-HQLA securities other than non-exchange traded equities, excluding the securities reported under item 1.3.3. Exchange traded equities shall be reported in the one or more than one year time bucket.

§ Article 468

0580 1.3.1.1 unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.3.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year 0590 1.3.1.2 encumbered for a residual maturity of one year or more The amount reported under 1.3.1 that is related to assets that are encumbered for a residual maturity of one year or more 0600 1.3.2 non-HQLA non-exchange traded equities Point (b) of Article 428ah(1) CRR;The amount reported under 1.3 that is related to non-exchange traded equity, excluding the securities reported under item 1.3.3. 0610 1.3.3 non-HQLA securities encumbered for a residual maturity of one year or more in a cover pool Point (h) of Article 428ag CRR; the amount reported under 1.3 that is related to assets that are encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR 0620 1.4 RSF from loans Institutions shall report here monies due from loans that are not in default in accordance with Article 178 CRR. As specified under Article 428q(4) CRR, for amortizing loans with a residual contractual maturity of one year or more, any portion that matures in less than six months and any portion that matures between six months and less than one year shall be treated as having a residual maturity of less than six months and between six months and less than one year respectively. 0630 1.4.1 Operational deposits Point (b) of Article 428ad and point (b) of article 428ah(1) CRR; the amount reported under 1.4 that is related to deposits that are operational pursuant to Delegated Regulation (EU) 2015/61 0640 1.4.2 securities financing transactions with financial customers Articles 428e, point (g) of Article 428r(1) and point (b) of Article 428s(1) CRR; the amount reported under 1.4 that is related to monies due from securities financing transactions with financial customers 0650 1.4.2.1 collateralized by level 1 assets eligible for 0 % LCR haircut Point (g) of Article 428r(1), point (d) of Article 428ad and point (b) of Article 428ah(1) CRR; the amount reported under 1.4.2 that is related to transactions collateralized by level 1 assets eligible for 0 % haircut pursuant to Delegated Regulation (EU) 2015/61 0660 1.4.2.1.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.4.2.1 related to assets that are unencumbered or encumbered for a residual maturity of less than six months 0670 1.4.2.1.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.4.2.1 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year 0680 1.4.2.1.3 encumbered for a residual maturity of one year or more The amount reported under 1.4.2.1 that is related to assets that are encumbered for a residual maturity of one year or more

§ Article 468

0690 1.4.2.2 collateralized by other assets Point (b) of Article 428s(1), point (d) of Article 428ad and point (b) of Article 428ah(1) CRR; the amount reported under 1.4.2 that is related to transactions that are collateralized by assets other than level 1 assets eligible for 0 % haircut pursuant to Delegated Regulation (EU) 2015/61 0700 1.4.2.2.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.4.2.2 related to assets that are unencumbered or encumbered for a residual maturity of less than six months 0710 1.4.2.2.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.4.2.2 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year 0720 1.4.2.2.3 encumbered for a residual maturity of one year or more The amount reported under 1.4.2.2 that is related to assets that are encumbered for a residual maturity of one year or more 0730 1.4.3 other loans and advances to financial customers Point (a) of Articles 428v and point (d)(iii) of Article 428ad CRR; the amount reported under 1.4 arising from other loans and advances to financial customers not reported under 1.4.1 and 1.4.2 0740 1.4.4 assets encumbered for a residual maturity of one year or more in a cover pool Point (h) of Article 428ag CRR; the amount reported under 1.4 that is related to assets that are encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR 0750 1.4.5 loans to non-financial customers other than central banks where those loans are assigned a risk weight of 35 % or less Point (c) of Articles 428ad and Article 428af CRR; the amount reported under 1.4 that is related to loans secured by mortgages on residential property or residential loans fully guaranteed by an eligible protection provider as referred to in point (e) of Article 129(1) CRR or loans, excluding loans to financial customers and loans referred to in Articles 428r to 428ad CRR, provided that those loans are assigned a risk weight of 35 % or less in accordance with Chapter 2 of Title II of Part Three CRR 0760 1.4.5.0.1. of which, residential mortgages The amount reported under 1.4.5 that is related to exposures secured by mortgages on residential property 0770 1.4.5.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.4.5 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months 0780 1.4.5.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.4.5 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year 0790 1.4.5.3 encumbered for a residual maturity of one year or more

§ Article 468

The amount reported under 1.4.5 that is related to assets that are encumbered for a residual maturity of one year or more 0800 1.4.6 other loans to non-financial customers other than central banks Point (c) of Article 428ad and point (c) of 428ag CRR; the amount reported under 1.4.5 that is related to loans to non-financial customers other than central banks with a risk weight of more than 35 % in accordance with Chapter 2 of Title II of Part Three CRR 0810 1.4.6.0.1 of which, residential mortgages The amount reported under 1.4.6 that is related to exposures secured by mortgages on residential property 0820 1.4.6.1 unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.4.6 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year 0830 1.4.6.2 encumbered a residual maturity of one year or more The amount reported under 1.4.6 that is related to assets that are encumbered for a residual maturity of one year or more 0840 1.4.7 trade finance on-balance sheet products Point (b) of Article 428v, point (e) of Article 428ad and point (d) of Article 428ag CRR; the amount related to trade finance on-balance sheet related products 0850 1.5 RSF from interdependent assets

§ Article 428f

Article 428f and point (f) of Article 428r(1) CRR Institutions shall report here assets that are interdependent with liabilities in accordance with Article 428f CRR. 0860 1.5.1 centralised regulated savings Point (a) of Article 428f(2) CRR; the amount reported under 1.5 that is related to centralized regulated savings 0870 1.5.2 promotional loans and credit and liquidity facilities Point (b) of Article 428f(2) CRR; the amount reported under 1.5 that is related to promotional loans and credit and liquidity facilities 0880 1.5.3 eligible covered bonds Point (c) of Article 428f(2) CRR; the amount reported under 1.5 that is related to eligible covered bonds 0890 1.5.4 derivatives client clearing activities Point (d) of Article 428f(2) CRR; the amount reported under 1.5 that is related to derivative client clearing activities 0900 1.5.5 other

§ Article 428f

Article 428f(1) CRR; the amount reported under 1.5 that is related to assets not referred to in items 1.5.1 to 1.5.4 0910 1.6 RSF from assets within a group or an IPS if subject to preferential treatment Institutions shall report here assets authorized by competent authorities for the preferential treatment in accordance with Article 428h CRR. 0920 1.7 RSF from derivatives

§ Article 428d

Article 428d, Article 428s(2), point (a) of Article 428ag and Article 428ah(2) CRR Institutions shall report here the amount of required stable funding arising from derivatives. 0930 1.7.1 required stable funding for derivative liabilities The amount reported under 1.7 that is the absolute fair value of netting sets with a negative fair value calculated in accordance with Article 428s(2) CRR 0940 1.7.2 NSFR derivative assets Articles 428d CRR; the amount reported under 1.7 that is calculated as the positive difference between netting sets calculated in accordance with Article 428ah(2) CRR 0950 1.7.3 initial margin posted Point (a) of Article 428ag CRR; the amount reported under 1.7 that is related to initial margin for derivative contracts 0960 1.8 RSF from contributions to CCP default fund Point (b) of Article 428ag CRR Institutions shall report here items posted as contribution to the default fund of a CCP. 0970 1.9 RSF from other assets Institutions shall report here any asset not referred to in items 1.1 to 1.8. 0980 1.9.1 physically traded commodities Point (g) of Article 428ag CRR; the amount reported under 1.9 that is related to physically traded commodities This item shall not include commodity derivatives that fall under item 1.7. 0990 1.9.1.1 unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.9.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year 1000 1.9.1.2 encumbered for a residual maturity of one year or more The amount reported under 1.9.1 that is related to assets that are encumbered for a residual maturity of one year or more 1010 1.9.2 trade date receivables Point (e) of Article 428r(1) CRR; the amount reported under 1.9 that is related to trade date receivables 1020 1.9.3 non-performing assets Point (b) of Article 428ah(1) CRR; the amount reported in 1.9 that is related to non-performing assets 1030 1.9.4 other assets Point (b) of Article 428ah(1) CRR; the amount reported under 1.9 that is related to assets that are not referred to in items 1.9.1 to 1.9.3 1040 1.10 RSF from OBS items Institutions shall report here the amount of off-balance sheet items not referred to in items 1.1 to 1.9 that are subject to the required stable funding requirements 1050 1.10.1 committed facilities within a group or an IPS if subject to preferential treatment The amount reported under 1.10 that is related to committed facilities authorized by competent authorities for the preferential treatment in accordance with Article 428h CRR 1060 1.10.2 committed facilities Point (c) of Article 428s(1) CRR; the amount reported under 1.10 that is related to committed facilities in accordance with Delegated Regulation (EU) 2015/61 that are not reported under item 1.9.1 1070 1.10.3 trade finance off-balance sheet items Point (d) of Article 428s(1), Article 428u and point (c) of Article 428v CRR; the amount reported under 1.10 that is related to trade finance off-balance sheet related product as referred to in Annex I CRR

§ Article 428d

1080 1.10.4 non-performing off-balance sheet items Point (b) of Article 428ah(1) CRR; the amount reported under 1.10 that is related to non-performing off-balance sheet exposures 1090 1.10.5 other off-balance sheet exposures for which the competent authority has determined RSF factors The amount reported under 1.10 that is off-balance sheet exposures for which the competent authority has determined RSF factors in accordance with Article 428p(10) CRR PART III: AVAILABLE STABLE FUNDING

  1. Specific remarks
  2. All liabilities and own funds shall be reported with a breakdown by their residual maturity in accordance with Article 428j CRR. The maturity buckets of the amounts, standard available stable funding (ASF) factors and applicable ASF factors are the following: i. Residual maturity of less than six months or without stated maturity; ii. Residual maturity of a minimum of six months but less than one year; iii. Residual maturity of one year or more.
  3. All liabilities with a residual maturity of one year or more shall be subject to a 100 % ASF factor, unless otherwise specified in Articles 428k to 428n CRR, in accordance with Article 428o CRR.
  4. All sight deposits shall be reported in the bucket referring to liabilities with a residual maturity of less than six months.
  5. According to Article 428j(2) CRR, institutions shall take into account existing options to determine the residual maturity of a liability or of own funds. They shall do so on the assumption that the counterparty will redeem call options at the earliest possible date. For options exercisable at the discretion of the institution, the institution and the competent authorities shall take into account reputational factors that may limit an institution’s ability not to exercise the option, in particular market expectations that institutions should redeem certain liabilities before their maturity.
  6. Furthermore, as established in Article 428o CRR, additional Tier 1 items, Tier 2 items and any other capital instruments with explicit or embedded options that, if exercised (even if they are not exercised yet on the reporting reference date), would reduce the effective residual maturity at the reporting reference date to less than one year shall not receive a 100 % ASF factor.
  7. According to Article 428j(3) CRR, institutions shall treat deposits with fixed notice periods in accordance with their notice period, and shall treat term deposits in accordance with their residual maturity. By way of derogation from paragraph 21, institutions shall not take into account options for early withdrawals, where the depositor has to pay a material penalty for early withdrawals which occur in less than one year, such penalty as laid down in Article 25(4) of Delegated Regulation (EU) 2015/61, to determine the residual maturity of term retail deposits.
  8. The decision tree for reporting template C 81.00 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, i.e., institutions shall always comply with the rest of the instructions. For the sake of simplicity the decision tree ignores totals, subtotals and of which items; this however does not mean that they shall not be reported as well.
§ Article 428d

7Interdependent liability?YesAllocate into one relevant item of ID 2.8No# 88Liabilities and committed facilities within a group or an IPS for which the competent authority has granted a preferential treatment?YesID 2.4No# 99NSFR derivative liabilities?YesID 2.7No# 1010Deferred tax liabilities?YesID 2.9.2No# 1111Minority interests?YesID 2.9.3No# 1212Stable retail deposits?YesID 2.2.1No# 1313Other retail deposits?YesID 2.2.2No# 1414Liabilities where the counterparty cannot be determined?YesID 2.6No# 1515Liabilities provided by central banks?YesAllocate into ID 2.5.1 or 2.5.2No# 1616Liabilities provided by financial customers?YesAllocate into one relevant item of ID 2.5.3No# 1717Liabilities from non-financial customers other than central banks?YesAllocate into relevant item of ID 2.3No# 1818Any other liabilities not considered in the above categories?YesID 2.9.4NoDo not report. 2. Instructions concerning specific columns ColumnLegal references and instructions0010-0030 Amount Institutions shall report in columns 0010-0030 the amount of liabilities and own funds allocated to the applicable residual maturity bucket. 0040-0060 Standard ASF factor The standard factors in columns 0040-0060 are those specified in Chapter 3 of Title IV of Part Six CRR by default that would determine the part of the amount of the liabilities and own funds that constitutes available stable funding. They shall be provided for information only and are not meant to be filled in by institutions. 0070-0090 Applicable ASF factor Chapter 2 and Chapter 3 of Title IV of Part Six CRR. Institutions shall report in columns 0070-0090 the applicable ASF factors in Chapter 3 of Title IV of Part Six CRR as weights that, multiplied by the amount of the liabilities or own funds, would determine the amount of the relevant available stable funding. Applicable factors 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 factors may reflect, but are not limited to, firm-specific and national discretions. 0100 Available Stable Funding Institutions shall report in column 0100 the value of the available stable funding in accordance with the definition set out in Article 428i CRR. This shall be calculated using the following formula: c0100 = SUM{(c0010 c 0070), (c0020 c 0080), (c0030 c 0090)}. 3. Instructions concerning specific rows RowLegal references and instructions0010 2. AVAILABLE STABLE FUNDING Chapter 3 of Title IV of Part Six CRR 0020 2.1 ASF from capital items and instruments Institutions shall report here the sum of items reported under 2.1.1 to 2.1.4. 0030 2.1.1 Common Equity Tier 1 Point (a) of Article 428o CRR; Common Equity Tier 1 items before the application of prudential filters, deductions and exemption or alternatives stipulated in Articles 32 to 36, 48, 49 and 79 CRR 0040 2.1.2 Additional Tier 1 Point (b) of Article 428o and point (d) of Article 428k(3) CRR; additional Tier 1 items before the application of the deductions and exemptions stipulated in Articles 56 and 79 CRR.

§ Article 428d

0050 2.1.3 Tier 2 Point (c) of Article 428o and point (d) of Article 428k(3) CRR; Tier 2 items before the application of the deductions and exemptions stipulated in Articles 66 and 79 CRR and having a residual maturity of one year or more at the reporting reference date 0060 2.1.4 Other capital instruments Point (d) of Article 428o and point (d) of Article 428k(3) CRR; other capital instruments with a residual maturity of one year or more at the reporting reference date 0070 2.2. ASF from retail deposits Institutions shall report here the sum of items reported under 2.2.1 and 2.2.2. This item includes both unsecured and secured liabilities. 0080 2.2.0.1 of which, retail bonds

§ Article 428i

Article 428i CRR Institutions shall report here bonds and other debt securities issued which are sold exclusively in the retail market and held in a retail account. These retail bonds shall be reported also within the corresponding category of retail deposits as stable retail deposits or other retail deposits under items 2.2.1 and 2.2.2 respectively. 0090 2.2.1. Stable retail deposits

§ Article 428n

Article 428n CRR 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 the Commission delegated Regulation (EU) 2015/61 respectively and where: These deposits do not fulfill the criteria for a higher outflow rate in accordance with Article 25 paragraphs 2, 3, or 5 of the Commission delegated Regulation (EU) 2015/61 in which case they shall be reported as other retail deposits; or These 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 as other retail deposits. 0100 2.2.0.2 of which with a material early withdrawable penalty

§ Article 428j

Article 428j(3) CRR Stable retail deposits that can be early withdrawn before one year upon the payment of a penalty that has been assessed as material in line with Article 25(4) of Delegated Regulation (EU) 2015/61. 0110 2.2.2 Other retail deposits

§ Article 428m

Article 428m CRR Institutions shall report the amount of other retail deposits than those captured as stable retail deposits under item 2.2.1. 0120 2.2.0.3 of which with a material early withdrawable penalty Other retail deposits that can be early withdrawn before one year upon the payment of a penalty that has been assessed as material in line with Article 25(4) of Delegated Regulation (EU) 2015/61 0130 2.3 ASF from other non-financial customers (except central banks)

§ Article 428l

Article 428l CRR; liabilities provided by wholesale non-financial customers (except central banks) Institutions shall report here the sum of items under 2.3.1 to 2.3.6. 0140 2.3.0.1 of which, securities financing transactions Articles 428e, point (g) of Article 428r(1) and point (b) of Article 428s(1) CRR; the amount reported under 2.3 that is related to monies due from securities financing transactions with non-financial customers 0150 2.3.0.2 of which, operational deposits The amount reported under 2.3 that is provided in the form of operational deposits and is required for the provision of operational services as set out in Article 27 of Delegated Regulation (EU) 2015/61 0160 2.3.1 Liabilities provided by the central government of a Member State or a third country Point (b)(i) of Article 428l CRR; the amount reported under 2.3 that is provided by the central government of a Member State or a third country 0170 2.3.2 Liabilities provided by regional governments or local authorities of a Member State or a third country Point (b)(ii) of Article 428l CRR; the amount reported under 2.3 that is provided by regional governments or local authorities of a Member State or a third country 0180 2.3.3 Liabilities provided by public sector entities of a Member State or a third country Point (b)(iii) of Article 428l CRR; the amount reported under 2.3 that is provided by public sector entities of a Member State or a third country 0190 2.3.4 Liabilities provided by multilateral development banks and international organisations Point (b)(iv) of Article 428l CRR; the amount reported under 2.3 that is provided by multilateral development banks and international organisations 0200 2.3.5 Liabilities provided by non-financial corporate customers Point (b)(v) of Article 428l CRR; the amount reported under 2.3 that is provided by non-financial corporate customers 0210 2.3.6 Liabilities provided by credit unions, personal investment companies and deposit brokers Point (b)(vi) of Article 428l CRR; the amount reported under 2.3 that is provided by credit unions, personal investment companies and deposit brokers 0220 2.4 ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment

§ Article 428h

Article 428h CRRInstitutions shall report here liabilities and committed facilities for which the competent authority has granted the preferential treatment referred to in Article 428h CRR. 0230 2.5 ASF from financial customers and central banks Institutions shall report here the sum of items reported under 2.5.1 to 2.5.3. 0240 2.5.0.1 of which sight deposits provided by network member to central institution

§ Article 428g

Article 428g CRR Central institutions in an IPS or in cooperative networks shall report the sight deposits received by institutions belonging to that IPS or cooperative network that are treated as liquid assets by the depositing institution in accordance with Article 16 of Delegated Regulation (EU) 2015/61. 0250 2.5.1 Liabilities provided by the ECB or the central bank of a Member State Point (c)(i) of Article 428k(3) and point (c)(i) of Article 428l CRR; liabilities provided by the ECB or the central bank of a Member State irrespective of whether or not they are related to securities financing transactions 0260 2.5.2 Liabilities provided by the central bank of a third country Point (c)(ii) of Article 428k(3) and point (c)(ii) of Article 428l CRR; liabilities provided by the central bank of a third country irrespective of whether or not they are related to securities financing transactions 0270 2.5.3 Liabilities provided by financial customers Point (c)(iii) of Article 428k(3) and point (c)(iii) of Article 428l CRR; liabilities provided by financial customers irrespective of whether or not they are related to securities financing transactions 0280 2.5.3.1 Operational deposits Point (a) of Article 428l CRR Institutions shall report here the part of the operational deposits from financial customers, in accordance with Article 27 of Delegated Regulation (EU) 2015/61, which is 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 in accordance with Article 27(5) of Delegated Regulation (EU) 2015/61 shall be reported under item 2.5.3.3. Operational deposits as per point (c) of Article 27(1) of the Commission Delegated Regulation (EU) 2015/61 shall not be reported here but within item 2.3. ASF from other non-financial customers (except central banks). 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 item 2.5.3.2. 0290 2.5.3.2 Excess operational deposits Institutions shall report here the part of the operational deposits from financial customers in excess of those required for the provision of operational services. Operational deposits as per point (c) of Article 27(1) of the Commission Delegated Regulation (EU) 2015/61 shall not be reported here but within item 2.3. ASF from other non-financial customers (except central banks). 0300 2.5.3.3 Other liabilities Institutions shall report here liabilities provided by financial customer that are not operational deposits where the counterparty can be identified. 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 item 2.5.3.2. 0310 2.6 ASF from liabilities provided where the counterparty cannot be determined Point (d) of Article 428k(3) and point (d) of Article 428l CRR

§ Article 428g

Institutions shall report here liabilities where the counterparty cannot be determined, including securities issued where the holder cannot be identified. 0320 2.7 ASF from net derivatives liabilities The negative difference between netting sets calculated in accordance with Article 428k(4) CRR 0330 2.8 ASF from interdependent liabilities Institutions shall report here liabilities that are interdependent with assets in accordance with Article 428f CRR. Institutions shall report here the sum of items 2.8.1 to 2.8.5. 0340 2.8.1 Centralised regulated savings Liabilities related to centralized regulated savings to be treated as interdependent with assets in accordance with point (a) of Article 428f(2) CRR 0350 2.8.2 Promotional loans and relevant credit and liquidity facilities Liabilities related to promotional loans and credit and liquidity facilities that are interdependent with assets in accordance with point (b) of Article 428f(2) CRR. 0360 2.8.3 Eligible covered bonds Liabilities related to covered bonds to be treated as interdependent with assets in accordance with point (c) of Article 428f(2) CRR 0370 2.8.4 Derivatives client clearing activities Liabilities related to derivatives client clearing activities to be treated as interdependent with assets in accordance with point (d) of Article 428f(2) CRR 0380 2.8.5 Others Liabilities that fulfil all the conditions established in Article 428f(1) CRR and to be treated as interdependent with assets in accordance with Article 428f(1) CRR 0390 2.9 ASF from other liabilities Institutions shall report here the sum of items reported under 2.9.1 to 2.9.4. 0400 2.9.1 Trade date payables Point (a) of Article 428k(3) CRR Institutions shall report here trade date payables arising from purchases of financial instruments, foreign currencies and commodities that are expected to settle within the standard settlement cycle or period that is customary for the relevant exchange or type of transactions or that have failed to, but are still expected to settle. 0410 2.9.2 Deferred tax liabilities Point (a) of Article 428k(1) CRR Institution shall report here deferred tax liabilities and shall consider the nearest possible date on which their amount can be realised as residual maturity. 0420 2.9.3 Minority interests Point (b) of Article 428k(1) CRR Institution shall report here minority interests and shall consider the term of the instrument as residual maturity. 0430 2.9.4 Other liabilities Articles 428k(1) and 428k(3) CRR Institutions shall report here other liabilities, including short positions and open maturity positions. PART IV: SIMPLIFIED REQUIRED STABLE FUNDING

  1. Specific remarks
  2. Institutions shall report in the appropriate category all assets on which they retain beneficial ownership even if they are not accounted for in their balance sheet. Assets on which institutions do not retain beneficial ownership shall not be reported even if these assets are accounted for in their balance sheet.
  3. In accordance with Article 428aq CRR, unless specified otherwise in Chapter 7 of Title IV of Part Six CRR, the amount of required stable funding (RSF) shall be calculated by multiplying the amount of assets and off-balance sheet items by the required stable funding factors.
§ Article 428g
  1. Assets that are eligible as liquid assets (HQLA) in accordance with Delegated Regulation (EU) 2015/61 shall be reported as such, regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation. Those assets shall be reported in designated columns regardless of their residual maturity.
  2. All non-HQLA assets and off-balance sheet items shall be reported with a breakdown by their residual maturity in accordance with Article 428ar CRR. The maturity buckets of the amount, standard factors and applicable factors are the following: i. Residual maturity of less than one year or without stated maturity; ii. Residual maturity of one year or more.
  3. When calculating the residual maturity of non-HQLA assets and off-balance sheet items, institutions shall take options into account, based on the assumption that the issuer or counterparty will exercise any option to extend the asset's maturity. For options exercisable at the discretion of the institution, the institution and competent authority shall take into account reputational factors that may limit the institution's ability not to exercise the option, in particular considering markets’ and clients’ expectations that the institution should extend the maturity of certain assets at their maturity date.
  4. For some items, institutions shall report assets according to status of and/or maturity of encumbrance of that asset in accordance with paragraphs (4), (5) and (6) of Article 428aq CRR.
  5. The decision tree for reporting template C 82.00 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, i.e., 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.
  6. As specified under Article 428aq(5) CRR, where an institution re-uses or re-pledges an asset that was borrowed, including in securities financing transactions, and that is accounted for off-balance sheet, the transaction through which the that assets has been borrowed shall be treated as encumbered to the extent that this transaction cannot mature without the institution returning the asset borrowed. 3An asset or an off-balance sheet item posted as contribution to CCP default fund?YesID 1.8No# 44An item on which the institution retains beneficial ownership?Yes# 5No# 195An asset associated with collateral posted as initial or variation margin for derivatives or as contribution to CCP default fund?YesDo not report.No# 66Non-performing assets or defaulted securities?YesID 1.9No# 77Trade date receivables?YesID 1.9No# 88Interdependent assets?YesAllocate into one relevant item of ID 1.5No# 99Assets within a group or an IPS for which the competent authority has granted the preferential treatment?YesID 1.6No# 1010Central bank assets?YesAllocate into one relevant item of ID 1.1No# 1111Liquid assets?YesAllocate into one relevant item of ID 1.2.1 to 1.2.4No# 1212Non-liquid asset securities?YesID 1.3No# 1313Trade finance on-balance sheet products?YesID 1.4.3No# 1414NSFR derivative assets?YesID 1.7.2No# 1515Loans?Yes# 16No# 20
§ Article 428g

16Loans to non-financial customers?YesID 1.4.1No# 1717Loans to financial customers?YesID 1.4.2No# 1818Any other asset not considered in the above categories?YesID 1.9NoDo not report.19An off-balance sheet exposure?Yes# 20NoDo not report.20Non-performing exposure?YesID 1.10.4No# 2121Committed facilities?Yes# 22No# 2322Committed facilities for which the competent authority has granted the preferential treatment?YesID 1.10.1NoID 1.10.223Trade finance off-balance sheet item?YesID 1.10.3No# 2424Other off-balance sheet exposure for which the competent authority has determined the RSF factor?YesID 1.10.5NoDo not report. 2. Instructions concerning specific columns ColumnLegal references and instructions0010-0020 Amount of non-HQLA Institutions shall report in columns 0010-0020 the amount, unless specified otherwise in Chapter 7 of Title IV of Part Six CRR, of the assets and off-balance sheet items referred to in Section 2 of Chapter 7 of Title IV of Part Six CRR. The amount shall be reported in columns 0010-0020 when the corresponding item is not eligible as liquid asset pursuant to Delegated Regulation (EU) 2015/61, regardless of whether they comply with the operational requirements referred to in Article 8 of that Delegated Regulation. 0030 Amount of HQLA See instructions in columns 0010-0020. The amount shall be reported in column 0030 when the corresponding item is eligible as liquid asset pursuant to Delegated Regulation (EU) 2015/61, regardless of whether they comply with the operational requirements referred to in Article 8 of that Delegated Regulation. 0040-0060 Standard RSF factor Section 2 of Chapter 7 of Title IV of Part Six CRR The standard factors in columns 0040-0060 are those specified in Chapter 7 of Title IV of Part Six CRR by default that would determine the part of the amount of the assets and off-balance sheet items that is required stable funding. They are provided for information only and are not meant to be filled in by institutions. 0070-0900 Applicable RSF factor Chapter 2 and Chapter 7 CRR Institutions shall report in columns 0070-0900 the applicable factor applied to items in Chapter 7 of Title IV of Part Six CRR. Applicable factors 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 factors may reflect, but are not limited to, firm-specific and national discretions. 0100 Required stable funding: Institutions shall report in Column 0100 the required stable funding in accordance with Chapter 7 of Title IV of Part Six CRR. This shall be calculated using the following formula: c0100 = SUM{(c0010 c 0070), (c0020 c 0080), (c0030 c 0090)}. 3. Instructions concerning specific rows RowLegal references and instructions0010 1 REQUIRED STABLE FUNDING Institutions shall report here items subject to the required stable funding in accordance with Chapter 7 of Title IV of Part Six CRR. 0020 1.1 RSF from central bank assets

§ Article 428g

Points (b) and (c) of Article 428as(1) and point (d) of Article 428ad CRR Institutions shall report here central bank assets. A reduced RSF factor may apply in accordance with Article 428aq(7) CRR. 0030 1.1.1 cash, reserves and HQLA exposures to central banks Institutions shall report here cash and reserves at central banks, including excess reserves. Institutions shall also report here any other exposures to central banks that are considered as liquid assets pursuant to Delegated Regulation (EU) 2015/61 regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation. Minimum reserves that are not considered as liquid assets pursuant to Delegated Regulation (EU) 2015/61 shall be reported in the relevant non-HQLA column. 0040 1.1.2 other non-HQLA central bank exposures Institutions shall report here any other claims on central banks other than those reported under item 1.1.1. 0050 1.2 RSF from liquid assets Articles 428ar to 428av and Article 428ax CRR Institutions shall report here liquid assets pursuant to Delegated Regulation (EU) 2015/61 regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation. 0060 1.2.1 level 1 assets eligible for 0 % LCR haircut Institutions shall report here assets that are eligible as level 1 liquid assets pursuant to Article 10 of Delegated Regulation (EU) 2015/61. 0070 1.2.1.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months. 0080 1.2.1.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.1 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year. 0090 1.2.1.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.1 that is related to assets that are encumbered for a residual maturity of one year or more. 0100 1.2.2 level 1 assets eligible for 7 % LCR haircut Institutions shall report here level 1 assets that are eligible for a 7 % haircut pursuant to Delegated Regulation (EU) 2015/61 as well as shares or units in CIUs that are eligible for a 5 % haircut pursuant to Delegated Regulation (EU) 2015/61. 0110 1.2.2.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.2 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months. 0120 1.2.2.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.2 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year. 0130 1.2.2.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.2 that is related to assets that are encumbered for a residual maturity of one year or more.

§ Article 428g

0140 1.2.3 level 2A assets eligible for 15 % LCR haircut and shares or units in CIUs eligible for 0-20 % LCR haircuts Institutions shall report here assets that are eligible as Level 2A assets pursuant to Delegated Regulation (EU) 2015/61 and shares or units in CIUs eligible for 0-20 % LCR haircuts pursuant to Delegated Regulation (EU) 2015/61. 0150 1.2.3.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.5 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months 0160 1.2.3.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.5 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year 0170 1.2.3.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.5 that is related to assets that are encumbered for a residual maturity of one year or more 0180 1.2.4 level 2B assets eligible for 25 % LCR haircut and shares or units in CIUs eligible for 30-55 % haircuts Institutions shall report here level 2B assets that are eligible for a haircut of 25 % pursuant to Delegated Regulation (EU) 2015/61 and shares or units in CIUs eligible for 30-55 % haircuts pursuant to Delegated Regulation (EU) 2015/61. 0190 1.2.4.1 unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.2.4 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year 0200 1.2.4.2 encumbered for a residual maturity of one year or more The amount reported under 1.2.4 that is related to assets that are encumbered for a residual maturity of one year or more 0210 1.3 RSF from securities other than liquid assets Point (b) of Article 428aw, point (d) of Article 428ay and point (b) of Article 428az(1) CRR Institutions shall report here securities that are not in default in accordance with Article 178 CRR and that are not liquid assets pursuant to Delegated Regulation (EU) 2015/61 regardless if they comply with the operational requirements laid down therein. 0220 1.3.1 unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.3 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year 0230 1.3.2 encumbered for a residual maturity of one year or more The amount reported under 1.3 that is related to assets that are encumbered for a residual maturity of one year or more 0240 1.4 RSF from loans Institutions shall report here monies due from loans that are not in default in accordance with Article 178 CRR. As specified under Article 428ar(4) CRR, for amortizing loans with a residual contractual maturity of one year or more, any portion that matures in less than six months and any portion that matures between six months and less than one year shall be treated as having a residual maturity of less than six months and between six months and less than one year respectively.

§ Article 428g

0250 1.4.1 loans to non-financials The amount reported under 1.4 that is related to loans to non-financial customers 0260 1.4.1.1 unencumbered or encumbered for a residual maturity of less than one year Point (a) of Article 428aw and point (b) of Article 428ay CRR; the amount reported under 1.4.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year. 0270 1.4.1.2 encumbered for a residual maturity of one year or more Point (b) of Article 428az(1) CRR; the amount reported under 1.4.1 that is related to assets that are encumbered for a residual maturity of one year or more 0280 1.4.2 loans to financials The amount reported under 1.4 that is related to loans to financial customers 0290 1.4.2.1 unencumbered or encumbered for a residual maturity of less than one year Point (a) of Articles 428aw and point (b) of Article 428az(1) CRR; the amount reported under 1.4.2 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year 0300 1.4.2.2 encumbered for a residual maturity of one year or more Point (b) of Article 428az(1) CRR; the amount reported under 1.4.2 that is related to assets that are encumbered for a residual maturity of one year or more 0310 1.4.3 trade finance on-balance sheet products Point (b) of Article 428aw and point (c) of Article 428ay CRR; the amount reported under 1.4 arising from trade finance on-balance sheet products 0320 1.5 RSF from interdependent assets

§ Article 428f

Article 428f and point (f) of Article 428r(1) CRR; institutions shall report here assets that are interdependent with liabilities in accordance with Article 428f CRR 0330 1.6 RSF from assets within a group or an IPS if subject to preferential treatment Institutions shall report here assets for which the competent authority has granted the preferential treatment referred to in Article 428h CRR. 0340 1.7 RSF from derivatives

§ Article 428d

Article 428d, Article 428at(2), point (a) of Article 428ay and Article 428az(2) CRR Institutions shall report here the amount of required stable funding arising from derivatives. 0350 1.7.1 required stable funding for derivative liabilities

§ Article 428a

Article 428at(2) CRR; the amount reported under 1.7 which is the absolute fair value of netting sets with a negative fair value calculated in accordance with Article 428at(2) CRR. 0360 1.7.2 NSFR derivative assets Articles 428d; the amount reported under 1.7 which is the positive difference between netting sets calculated in accordance with Article 428az(2) CRR 0370 1.7.3 initial margin posted Point (a) of Article 428ay CRR; the amount reported under 1.7 that is related to initial margin for derivative contracts 0380 1.8 RSF from contributions to CCP default fund Point (a) of Article 428ay CRR Institutions shall report here items posted as contribution to the default fund of a CCP. 0390 1.9 RSF from other assets Institutions shall report here any asset not referred to in items 1.1 to 1.8. 0400 1.10 RSF from OBS items Institutions shall report here the amount of off-balance sheet items not referred to in items 1.1 to 1.8 that are subject to the required stable funding requirements. 0410 1.10.1 committed facilities within a group or an IPS if subject to preferential treatment The amount reported in 1.10 that is related to committed facilities for which the competent authority has granted the preferential treatment referred to in Article 428h CRR 0420 1.10.2 committed facilities

§ Article 428a

Article 428at(1) CRR; the amount reported under 1.10 that is committed facilities in accordance with Delegated Regulation (EU) 2015/61 that are not considered under item 1.10.1. 0430 1.10.3 trade finance off-balance sheet items Point (b) of Article 428au CRR; the amount reported under 1.10 that is trade finance off-balance sheet related product as referred to in Annex I CRR 0440 1.10.4 non-performing off-balance sheet items The amount reported under 1.10 that is related to non-performing exposures 0450 1.10.5 other off-balance sheet exposures determined by competent authorities The amount reported under 1.10 that is off-balance sheet exposures for which the competent authority has determined RSF factors in accordance with Article 428aq(10) CRR PART V: SIMPLIFIED AVAILABLE STABLE FUNDING

  1. Specific remarks
  2. All liabilities and own funds shall be reported with a breakdown by their residual contractual maturity in accordance with Article 428ak CRR. The maturity buckets of the amounts, standard available stable funding (ASF) factors and applicable ASF factors are the following: i. Residual maturity of less than one year or without stated maturity; ii. Residual maturity of one year or more.
  3. All liabilities with a residual maturity of one year or more shall be subject to a 100 % ASF factor, unless otherwise specified in Articles 428al to 428ao CRR, in accordance with Article 428ap CRR.
  4. All sight deposits shall be reported in the bucket referring to liabilities with a residual maturity of less than one year.
  5. According to Article 428ak(2) CRR institutions shall take into account existing options to determine the residual maturity of a liability or of own funds. They shall do so on the assumption that the counterparty will redeem call options at the earliest possible date. For options exercisable at the discretion of the institution, the institution and the competent authorities shall take into account reputational factors that may limit an institution’s ability not to exercise the option, in particular market expectations that institutions should redeem certain liabilities before their maturity.
  6. Furthermore, as established in Article 428ap CRR, additional Tier 1 items, Tier 2 items and any other capital instruments with explicit or embedded options that, if exercised (even if they are not exercised yet on the reporting reference date), would reduce the effective residual maturity at the reporting reference date to less than one year shall not receive a 100 % ASF factor.
  7. According to Article 428ak(3) CRR, institutions shall treat deposits with fixed notice periods in accordance with their notice period, and shall treat term deposits in accordance with their residual maturity. By way of derogation from paragraph 36, institutions shall not take into account options for early withdrawals, where the depositor has to pay a material penalty for early withdrawals which occur in less than one year, such penalty as laid down in Article 25(4) of Delegated Regulation (EU) 2015/61, to determine the residual maturity of term retail deposits.
§ Article 428a
  1. The decision tree for reporting template C 83.00 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, i.e., 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. 10Deferred tax liabilities?YesID 2.9No# 1111Minority interest?YesID 2.9No# 1212Stable retail deposits?YesID 2.2.1No# 1313Other retail deposits?YesID 2.2.2No# 1414Operational deposits provided by financial or non-financial customers?YesID 2.4No# 1515Liabilities where the counterparty cannot be determined?YesID 2.7No# 1616Liabilities provided by central banks?YesID 2.6No# 1717Liabilities provided by financial customers?YesID 2.6No# 1818Liabilities from non-financial customers other than central banks?YesID 2.3No# 1919Any other liabilities not considered in the above categories?YesID 2.9NoDo not report.
  2. Instructions concerning specific columns ColumnLegal references and instructions0010-0020 Amount Institutions shall report in columns 0010-0020 the amount of liabilities and own funds allocated to the applicable residual maturity bucket. 0030-0040 Standard ASF factor Section 2 of Chapter 6 of Title IV of Part Six CRR The standard factors in columns 0030-0040 shall be those specified in Chapter 8 of Title IV of Part Six CRR by default that would determine the part of the amount of the liabilities and own funds that is available stable funding. They shall provided for information only and are not meant to be filled in by institutions. 0050-0060 Applicable ASF factor Chapter 2 and Chapter 6 of Title IV of Part Six CRR Institutions shall report in columns 0050-0060 the applicable ASF factors in Chapter 6 of Title IV Part Six CRR as weights that, multiplied by the amount of the liabilities or own funds, would determine the amount of the relevant available stable funding. Applicable factors 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 factors may reflect, but are not limited to, firm-specific and national discretions. 0070 Available Stable Funding Institutions shall report in column 0070 the value of the available stable funding in accordance with the definition set out in Article 428aj CRR. This shall be calculated using the following formula: c0070 = SUM{(c0010 c 0050), (c0020 c 0060)}.
  3. Instructions concerning specific rows RowLegal references and instructions0010
  4. AVAILABLE STABLE FUNDING Chapter 6 of Title IV of Part Six CRR 0020 2.1 ASF from capital items and instruments Common Equity Tier 1 Point (a) of Article 428ap CRR; Common Equity Tier 1 items before the application of prudential filters, deductions and exemption or alternatives stipulated in Articles 32 to 36, 48, 49 and 79 CRR
§ Article 428a

Additional Tier 1 Point (b) of Article 428ap CRR; additional Tier 1 items before the application of the deductions and exemptions stipulated in Articles 56 and 79 CRR Tier 2 Point (c) of Article 428ap CRR; Tier 2 items before the application of the deductions and exemptions stipulated in Articles 66 and 79 CRR Other capital instruments Point (d) of Article 428ap and point (d) of Article 428al(3) CRR; other capital instruments not referred to in any of the abovementioned categories 0030 2.2 ASF from retail deposits Institutions shall reporting the following: bonds and other debt securities issued which are sold exclusively in the retail market and held in a retail account. These retail bonds shall be reported also within the corresponding category of retail deposits as stable retail deposits or other retail deposits under items 2.2.1 and 2.2.2 respectively; see Article 428aj(2); retail deposits maturing not before one year that can be early withdrawn before one year upon the payment of a penalty that has been assessed as material within the corresponding category of retail deposits as stable retail deposits or other retail deposits under items 2.2.1 and 2.2.2 respectively, in line with Article 25(4) of Delegated Regulation (EU) 2015/61; see Article 428ak(3) CRR. This item shall include both unsecured and secured liabilities 0040 2.2.1 Stable retail deposits

§ Article 428a

Article 428ao CRR 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 the Commission delegated Regulation (EU) 2015/61 respectively and where: these deposits do not fulfill the criteria for a higher outflow rate in accordance with Article 25 paragraphs 2, 3, or 5 of Delegated Regulation (EU) 2015/61 in which case they shall be reported as other retail deposits; or these 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 as other retail deposits. 0050 2.2.2 Other retail deposits

§ Article 428a

Article 428an CRR Institutions shall report the amount of other retail deposits than those that are stable retail deposits under item 2.2.1. 0060 2.3 ASF from other non-financial customers (except central banks) Institutions shall report liabilities provided by wholesale non-financial customers (except central banks) that include: liabilities provided by the central government of a Member State or a third country; see point (b)(i) of Article 428am CRR; liabilities provided by regional governments or local authorities of a Member State or a third country; see point (b)(ii) of Article 428am CRR; liabilities provided by public sector entities of a Member State or a third country; see point (b)(iii) of Article 428am CRR; liabilities provided by multilateral development banks and international organisations; see point (b)(iv) of Article 428am CRR; liabilities provided by non-financial corporate customers; see point (b)(v) of Article 428am CRR; liabilities provided by credit unions, personal investment companies and deposit brokers; see point (b)(vi) of Article 428am CRR. 0070 2.4 ASF from operational deposits Point (a) of Article 428am CRR; deposits received for the provision of operational services that fulfil the criteria for operational deposits set out in Article 27 of Delegated Regulation (EU) 2015/61. 0080 2.5 ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment Institutions shall report here liabilities and committed facilities for which the competent authority has granted the preferential treatment referred to in Article 428h CRR. 0090 2.6 ASF from financial customers and central banks Institutions shall report the following liabilities: liabilities provided by the ECB or the central bank of a Member State (see point (c) of Article 428al(3)): (i) liabilities provided by the ECB or the central bank of a Member State irrespective of whether or not they are securities financing transactions; see point (c)(i) of Article 428al(3) CRR; (ii) liabilities provided by the central bank of a third country; liabilities provided by the central bank of a third country irrespective of whether or not they are securities financing transactions; see point (c)(ii) of Article 428al(3) CRR; (iii) liabilities provided by financial customers; liabilities provided by financial customers irrespective of whether or not they are securities financing transactions; see point (c)(iii) of Article 428al(3) CRR; liabilities provided by financial customers and central banks with a residual maturity of one year or more; see point (e) of Article 428ap CRR. 0100 2.7 ASF from liabilities provided where the counterparty cannot be determined Point (d) of Article 428al(3) and point (e) of Article 428ap CRR Institutions shall report here liabilities where the counterparty cannot be determined, including securities issued where the holder cannot be identified. 0110 2.8 ASF from interdependent liabilities Institutions shall report the following liabilities:

§ Article 428a

liabilities that are interdependent with assets in accordance with Article 428f CRR; see also point (b) of Article 428al(3) CRR liabilities linked to centralized regulated savings to be treated as interdependent with assets in accordance with point (a) of Article 428f(2) CRR; liabilities linked to promotional loans and credit and liquidity facilities to be treated as interdependent with assets in accordance with point (b) of Article 428f(2) CRR. liabilities linked to covered bonds to be treated as interdependent with assets in accordance with point (c) of Article 428f(2) CRR; liabilities linked to derivatives client clearing activities to be treated as interdependent with assets in accordance with point (d) of Article 428f(2) CRR; liabilities that fulfil all the conditions set out in Article 428f(1) CRR and are interdependent with assets in accordance with Article 428f(1) CRR. 0120 2.9 ASF from other liabilities Institutions shall report the following: trade date payables arising from purchases of financial instruments, foreign currencies and commodities that are expected to settle within the standard settlement cycle or period that is customary for the relevant exchange or type of transactions or that have failed to, but are still expected to settle; see point (a) of Article 428al(3) CRR; deferred tax liabilities; the nearest possible date on which their amount can be realised as residual maturity shall be used; see point (a) of Article 428al(1) CRR; minority interests; the term of the instrument shall be used as residual maturity; see point (b) of Article 428al(1) CRR; other liabilities without a stated maturity, including short positions and open maturity positions unless otherwise specified in this Section; see article 428al(1) CRR; the negative difference between netting sets calculated in accordance with Article 428al(4) CRR; all derivative liabilities shall be reported as if having a residual maturity of less than one year; any other liabilities not referred to in Articles 428al to 428ap CRR; all capital items shall be reported under item 2.1 regardless of their residual maturity; see also point (d) of Article 428al(3) CRR. PART VI: SUMMARY NSFR

  1. Specific remarks
  2. The purpose of this template is to provide information on the net stable funding ratio, both for institutions reporting the fully-fledged NSFR (reporting templates C 80.00 and C 81.00) and for institutions reporting the simplified NSFR (reporting templates C 82.00 and C 83.00).
  3. In accordance with Article 428b(1) CRR, the net stable funding requirement laid down in Article 413(1) CRR shall be equal to the ratio of the institution’s available stable funding as referred to in Chapter 3 and 6 to the institution’s required stable funding as referred to in Chapter 4 and 7, and shall be expressed as a percentage. The rules for the calculation of the ratio are laid down in Chapter 2.
  4. The items in rows 0010 to 0210 shall be the same as the equivalent ones reported in reporting templates C 80.00 to C 83.00.
§ Article 428a
  1. Instructions concerning specific columns ColumnLegal references and instructions0010 Amount Institutions shall report in column 0010 the amount of assets, off-balance sheet items, liabilities and own funds allocated to the sum of all applicable residual maturity and HQLA buckets. The amounts to be reported shall be those before application of the relevant ASF and RSF factors. 0020 Required Stable Funding Institutions shall report in column 0020 the required stable funding calculated in accordance with Chapters 4 and 7 of Title IV of Part Six CRR. 0030 Available Stable Funding Institutions shall report in column 0030 the available stable funding calculated in accordance with Chapters 3 and 6 of Title IV of Part Six CRR. 0040 Ratio Institutions shall report in column 0040 the NSFR ratio in accordance to Article 428b(1) CRR.
  2. Instructions concerning specific rows RowLegal references and instructions0010
  3. REQUIRED STABLE FUNDING Item 1 of reporting templates C 80.00 and C 82.00 0020 1.1 RSF from central bank assets Item 1.1 of reporting templates C 80.00 and C 82.00 0030 1.2 RSF from liquid assets Item 1.2 of reporting templates C 80.00 and C 82.00 0040 1.3 RSF from securities other than liquid assets Item 1.3 of reporting templates C 80.00 and C 82.00 0050 1.4 RSF from loans Item 1.4 of reporting templates C 80.00 and C 82.00 0060 1.5 RSF from interdependent assets Item 1.5 of reporting templates C 80.00 and C 82.00 0070 1.6 RSF from assets within a group or an IPS if subject to preferential treatment Item 1.6 of reporting templates C 80.00 and C 82.00 0080 1.7 RSF from derivatives Item 1.7 of reporting templates C 80.00 and C 82.00 0090 1.8 RSF from contributions to CCP default fund Item 1.8 of reporting templates C 80.00 and C 82.00 0100 1.9 RSF from other assets Item 1.9 of reporting templates C 80.00 and C 82.00 0110 1.10 RSF from OBS items Item 1.10 of reporting templates C 80.00 and C 82.00 0120
  4. AVAILABLE STABLE FUNDING Item 2 of reporting templates C 81.00 and C 83.00 0130 2.1 ASF from capital items and instruments Item 2.1 of reporting templates C 81.00 and C 83.00 0140 2.2 ASF from retail deposits Item 2.2 of reporting templates C 81.00 and C 83.00 0150 2.3 ASF from other non-financial customers (except central banks) Item 2.3 (except 2.3.0.2) of reporting template C 81.00 and reporting template C 83.00 0160 2.4 ASF from operational deposits Items 2.3.0.2 and 2.5.3.1 of reporting template C 81.00 and 2.4 of reporting template C 83.00 0170 2.5 ASF from liabilities within a group or an IPS if subject to preferential treatment Item 2.4 of reporting template C 81.00 and 2.5 of reporting template C 83.00 0180 2.6 ASF from financial customers and central banks Item 2.5 (except 2.5.3.1) of reporting template C 81.00 and 2.6 of reporting template C 83.00 0190 2.7 ASF from liabilities provided where the counterparty cannot be determined Item 2.6 of reporting template C 81.00 and 2.7 of reporting template C 83.00 0200 2.8 ASF from interdependent liabilities
§ Article 428a

Item 2.8 of reporting template C 81.00 and reporting template C 83.00 0210 2.9 ASF from other liabilities Item 2.7 and 2.9 of reporting template C 81.00 and 2.9 of reporting template C 83.00 0220 3. NSFR NSFR calculated in accordance with Article 428b(1) CRR

Annex

ANNEX XIV Single Data Point Model All data items set out in the Annexes to this Regulation shall be transformed into a single data point model which is the basis for uniform IT systems of institutions and competent authorities. The single data point model shall meet the following criteria: (a) provide a structured representation of all data items set out in the Annexes to this Regulation; (b) identify all the business concepts set out in the Annexes to this Regulation; (c) provide a data dictionary identifying table labels, ordinate labels, axis labels, domain labels, dimension labels and member labels; (d) provide metrics which define the property or amount of data points; (e) provide data point definitions that are expressed as a composition of characteristics that univocally identify the financial concept; (f) contain all the relevant technical specifications necessary for developing IT reporting solutions producing uniform supervisory data.

Annex

ANNEX XV Validation Rules The data items set out in the Annexes to this Regulation shall be subject to validation rules ensuring data quality and consistency. The validation rules shall meet the following criteria: (a) define the logical relationships between relevant data points; (b) include filters and preconditions that define a set of data to which a validation rule applies; (c) check the consistency of the reported data; (d) check the accuracy of the reported data; (e) set default values which shall be applied where the relevant information has not been reported.

Annex

ANNEX XVI REPORTING TEMPLATES ON ASSET ENCUMBRANCE ASSET ENCUMBRANCE TEMPLATESTemplate numberTemplate codeName of the template /group of templatesShort namePART A - ENCUMBRANCE OVERVIEW32,1F 32.01ASSETS OF THE REPORTING INSTITUTIONAE-ASS32,2F 32.02COLLATERAL RECEIVEDAE-COL32,3F 32.03OWN COVERED BONDS AND SECURITISATIONS ISSUED AND NOT YET PLEDGEDAE-NPL32,4F 32.04SOURCES OF ENCUMBRANCEAE-SOUPART B - MATURITY DATA33F 33.00MATURITY DATAAE-MATPART C - CONTINGENT ENCUMBRANCE34F 34.00CONTINGENT ENCUMBRANCEAE-CONTPART D - COVERED BONDS35F 35.00COVERED BONDS ISSUANCEAE-CBPART E - ADVANCED DATA36,1F 36.01ADVANCED DATA. PART IAE-ADV136,2F 36.02ADVANCED DATA. PART IIAE-ADV2 F 32.01 - ASSETS OF THE REPORTING INSTITUTION (AE-ASS) Carrying amount of encumbered assetsFair value of encumbered assetsCarrying amount of non-encumbered assetsFair value of non-encumbered assetsof which: issued by other entities of the groupof which: central bank's eligibleof which notionally eligible EHQLA and HQLAof which: central bank's eligibleof which notionally eligible EHQLA and HQLAof which: issued by other entities of the groupof which: central bank's eligibleof which EHQLA and HQLAof which: central bank's eligibleof which EHQLA and HQLA010020030035040050055060070080085090100105010Assets of the reporting institution020Loans on demand030Equity instruments040Debt securities050of which: covered bonds060of which: securitisations070of which: issued by general governments080of which: issued by financial corporations090of which: issued by non-financial corporations100Loans and advances other than loans on demand110of which: Loans collateralised with Immovable Property120Other assets

§ Article 428a

F 32.02 - COLLATERAL RECEIVED (AE-COL) Fair value of encumbered collateral received or own debt securities issuedNon-encumberedFair value of collateral received or own debt securities issued available for encumbranceNominal of collateral received or own debt securities issued non available for encumbranceof which: issued by other entities of the groupof which: central bank's eligibleof which notionally eligible EHQLA and HQLAof which: issued by other entities of the groupof which: central bank's eligibleof which EHQLA and HQLA010020030035040050060065070130Collateral received by the reporting institution140Loans on demand150Equity instruments160Debt securities170of which: covered bonds180of which: securitisations190of which: issued by general governments200of which: issued by financial corporations210of which: issued by non-financial corporations220Loans and advances other than loans on demand230Other collateral received 240Own debt securities issued other than own covered bonds or securitisations245Own covered bonds and securitisation issued and not yet pledged250TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED F 32.03 - OWN COVERED BONDS AND SECURITISATIONS ISSUED AND NOT YET PLEDGED (AE-NPL) Non-encumberedCarrying amount of the underlying pool of assetsFair value of debt securities issued available for encumbranceNominal of own debt securities issued non available for encumbranceof which: central bank's eligibleof which notionally eligible EHQLA and HQLA010020030035040010Own covered bonds and asset-backed securities issued and not yet pledged020Retained covered bonds issued030Retained asset-backed securities issued040Senior050Mezzanine060First Loss F 32.04 - SOURCES OF ENCUMBRANCE (AE-SOU) Matching liabilities, contingent liabilities or securities lentAssets, collateral received and own debt securities issued other than covered bonds and securitisations encumberedof which: from other entities of the groupof which: collateral received re-usedof which: own debt securities encumbered010020030040050010Carrying amount of selected financial liabilities020Derivatives030of which: Over-The-Counter040Deposits050Repurchase agreements060of which: central banks070Collateralised deposits other than repurchase agreements080of which: central banks090Debt securities issued100of which: covered bonds issued110of which:securitisations issued120Other sources of encumbrance130Nominal of loan commitments received140Nominal of financial guarantees received150Fair value of securities borrowed with non cash-collateral160Other170TOTAL SOURCES OF ENCUMBRANCENot to be filled on a consolidated basis templateNot to be filled in any case F 33.00 - MATURITY DATA (AE-MAT) Open maturityOvernight>1day <=1wk>1wk <=2wks>2wks <=1mth>1mth <=3mths>3mths <=6mths>6mths <=1yr>1yr <=2yrs>2yrs <=3yrs3yrs <=5yrs5yrs <=10yrs>10yrsResidual maturity of liabilities010020030040050060070080090100110120130010Encumbered assets020Collateral received re-used (receiving leg)030Collateral received re-used (re-using leg)

§ Article 428a

F 34.00 - CONTINGENT ENCUMBRANCE (AE-CONT) Matching liabilities, contingent liabilities or securities lentContingent EncumbranceA. Decrease by 30% of the fair value of encumbered assetsB. Net effect of a 10% depreciation of significant currenciesAdditional amount of encumbered assetsAdditional amount of encumbered assets Significant currency 1 Significant currency 2 ... Significant currency n 010020030040050010Carrying amount of selected financial liabilities020Derivatives030of which: Over-The-Counter040Deposits050Repurchase agreements060of which: central banks070Collateralised deposits other than repurchase agreements080of which: central banks090Debt securities issued100of which: covered bonds issued110of which: securitisations issued120Other sources of encumbrance170TOTAL SOURCES OF ENCUMBRANCE F 35.00 - COVERED BONDS ISSUANCE (AE-CB) z-axis Cover pool identifier (open) Compliance with Art. 129 CRR?Covered bond liabilitiesCover poolReporting date+ 6 months+12 months+ 2 years+5 years+ 10 yearsCover pool derivative positions with net negative market valueExternal credit rating on covered bondReporting date+ 6 months+12 months+ 2 years+5 years+ 10 yearsCover pool derivative positions with net positive market valueCover pool amount in excess of minimum coverage requirements[YES/NO]If YES, indicate primary asset class of cover poolas per the relevant statutory covered bond regimeas per credit rating agencies' methodology to maintain current external credit rating of covered bondReporting dateCredit rating agency 1Credit rating 1Credit rating agency 2Credit rating 2Credit rating agency 3Credit rating 3Reporting dateCredit rating agency 1Credit rating agency 2Credit rating agency 3010012020030040050060070080090100110120130140150160170180190200210220230240250010Nominal amount020Present value (swap) / Market value030Asset-specific value040Carrying amount F 36.01 - ADVANCED DATA. PART I (AE-ADV-1) Sources of encumbranceAssets/LiabilitiesCollateral Type - Classification by Asset typeTotalLoans on demandEquity instrumentsDebt SecuritiesLoans and advances other than loans on demand Other assets Totalof which: covered bondsof which: securitisationsof which: issued by general governmentsof which: issued by financial corporationsof which: issued by non financial corporationsCentral banks and general governmentsFinancial corporationsNon financial CorporationsHouseholdsof which: issued by other entities of the groupof which: issued by other entities of the groupof which: Loans collateralised with Immovable Propertyof which: Loans collateralised with Immovable Property010020030040050060070080090100110120130140150160170180010Central bank funding (of all types, including e.g. repos)Encumbered assets020Matching liabilities030Exchange traded derivativesEncumbered assets040Matching liabilities050Over-the-counter derivativesEncumbered assets060Matching liabilities070Repurchase agreementsEncumbered assets080Matching liabilities090Collateralised deposits other than repurchase agreementsEncumbered assets100Matching liabilities110Covered bonds securities issuedEncumbered assets120Matching liabilities130Securitisations issuedEncumbered assets140Matching liabilities

§ Article 428a

150Debt securities issued other than covered bonds and securitisationsEncumbered assets160Matching liabilities170Other sources of encumbranceEncumbered assets180Contingent liabilities or securities lent190Total encumbered assets200of which central bank eligible210Total non-encumbered Assets220of which central bank eligible230Encumbered + Non-encumbered Assets F 36.02 - ADVANCE DATA. PART II (AE-ADV-2) Sources of encumbranceAssets/LiabilitiesCollateral Type - Classification by Asset typeTotalLoans on demandEquity instrumentsDebt SecuritiesLoans and advances other than loans on demandOther collateral receivedOwn debt securities issued other than own covered bonds or securitisationsTotalof which: covered bondsof which: securitisationsof which: issued by general governmentsof which: issued by financial corporationsof which: issued by non financial corporationsCentral banks and general governmentsFinancial corporationsNon financial CorporationsHouseholdsof which: issued by other entities of the groupof which: issued by other entities of the groupof which: Loans collateralised with Immovable Propertyof which: Loans collateralised with Immovable Property010020030040050060070080090100110120130140150160170180190010Central bank funding (of all types, including e.g. repos)Encumbered collateral received020Matching liabilities030Exchange traded DerivativesEncumbered collateral received040Matching liabilities050Over-the-counter derivativesEncumbered collateral received060Matching liabilities070Repurchase agreementsEncumbered collateral received080Matching liabilities090Collateralised deposits other than repurchase agreementsEncumbered collateral received100Matching liabilities110Covered bonds securities issuedEncumbered collateral received120Matching liabilities130Securitisations issuedEncumbered collateral received140Matching liabilities 150Debt securities issued other than Covered bonds and securitisationsEncumbered collateral received160Matching liabilities170Other sources of encumbranceEncumbered collateral received180Contingent liabilities or securities lent190Total encumbered collateral received200of which central bank eligible210Total non-encumbered collateral received220of which central bank eligible230Encumbered + Non-encumbered collateral receivedNot to be filled on a consolidated basis templateNot to be filled in any case

Annex

ANNEX XVII INSTRUCTION FOR REPORTING ON ASSET ENCUMBRANCE Table of Contents GENERAL INSTRUCTIONS 1548

  1. STRUCTURE AND CONVENTIONS 1548 1.1. STRUCTURE 1548 1.2. ACCOUNTING STANDARD 1548 1.3. NUMBERING CONVENTION 1585 1.4. SIGN CONVENTION 1585 1.5. LEVEL OF APPLICATION 1585 1.6. PROPORTIONALITY 1585 1.7. DEFINITION OF ENCUMBRANCE 1585 TEMPLATE-RELATED INSTRUCTIONS 1586
  2. PART A: ENCUMBRANCE OVERVIEW 1586 2.1. TEMPLATE AE-ASS. ASSETS OF THE REPORTING INSTITUTION 1586 2.1.1. GENERAL REMARKS 1586 2.1.2. INSTRUCTIONS CONCERNING SPECIFIC ROWS 1588 2.1.3. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 1590 2.2. TEMPLATE: AE-COL. COLLATERAL RECEIVED BY THE REPORTING INSTITUTION
§ Article 428a

1592 2.2.1. GENERAL REMARKS 1592 2.2.2. INSTRUCTIONS CONCERNING SPECIFIC ROWS 1593 2.2.3. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 1595 2.3. TEMPLATE: AE-NPL. OWN COVERED BONDS AND SECURITISATIONS ISSUED AND NOT YET PLEDGED 1597 2.3.1. GENERAL REMARKS 1597 2.3.2. INSTRUCTIONS CONCERNING SPECIFIC ROWS 1597 2.3.3. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 1598 2.4. TEMPLATE: AE-SOU. SOURCES OF ENCUMBRANCE 1599 2.4.1. GENERAL REMARKS 1599 2.4.2. INSTRUCTIONS CONCERNING SPECIFIC ROWS 1599 2.4.3. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 1601 3. PART B: MATURITY DATA 1602 3.1. GENERAL REMARKS 1602 3.2. TEMPLATE: AE-MAT. MATURITY DATA 1602 3.2.1. INSTRUCTIONS CONCERNING SPECIFIC ROWS 1602 3.2.2. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 1603 4. PART C: CONTINGENT ENCUMBRANCE 1603 4.1. GENERAL REMARKS 1603 4.1.1. SCENARIO A: DECREASE OF 30 % OF ENCUMBERED ASSETS 1604 4.1.2. SCENARIO B: DEPRECIATION OF 10 % IN SIGNIFICANT CURRENCIES 1604 4.2. TEMPLATE: AE-CONT. CONTINGENT ENCUMBRANCE 1604 4.2.1. INSTRUCTIONS CONCERNING SPECIFIC ROWS 1604 4.2.2. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 1605 5. PART D: COVERED BONDS 1605 5.1. GENERAL REMARKS 1605 5.2. TEMPLATE: AE-CB. COVERED BONDS ISSUANCE 1606 5.2.1. INSTRUCTIONS CONCERNING Z-AXIS 1606 5.2.2. INSTRUCTIONS CONCERNING SPECIFIC ROWS 1606 5.2.3. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 1606 6. PART E: ADVANCED DATA 1609 6.1. GENERAL REMARKS 1609 6.2. TEMPLATE: AE-ADV1. ADVANCED TEMPLATE FOR ASSETS OF THE REPORTING INSTITUTION 1610 6.2.1. INSTRUCTIONS CONCERNING SPECIFIC ROWS 1610 6.2.2. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 1611 6.3. TEMPLATE: AE-ADV2. ADVANCED TEMPLATE FOR COLLATERAL RECEIVED BY THE REPORTING INSTITUTION 1613 6.3.1. INSTRUCTIONS CONCERNING SPECIFIC ROWS 1613 6.3.2. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 1613 GENERAL INSTRUCTIONS

  1. STRUCTURE AND CONVENTIONS 1.1. Structure
  2. The framework consists of five sets of templates which comprise a total of nine templates according to the following scheme: (a) Part A: Encumbrance overview: AE-ASS template. Assets of the reporting institution; AE-COL template. Collateral received by the reporting institution; AE-NPL template. Own covered bonds and securitisations issued and not yet pledged; AE-SOU template. Sources of encumbrance; (b) Part B: Maturity data: AE-MAT template. Maturity data; (c) Part C: Contingent encumbrance: AE-CONT template. Contingent encumbrance; (d) Part D: Covered bonds: AE-CB template. Covered bonds issuance; (e) Part E: Advanced data: AE-ADV-1 template. Advanced template for assets of the reporting institution; AE-ADV-2 template. Advanced template for collateral received by the reporting institution.
  3. For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting. 1.2. Accounting standard
  4. Institutions shall report carrying amounts under the accounting framework they use for the reporting of financial information in accordance with Articles 9 to 11. Institutions that are not required to report financial information shall use their respective accounting framework. In AE-SOU, institutions shall generally report carrying amounts gross of accounting netting, if any, in line with the reporting on a gross basis of encumbrance of assets and collateral.
§ Article 428a
  1. For the purposes of this Annex, IAS and IFRS refer to the international accounting standards as defined in Article 2 of Regulation (EC) No 1606/2002. For institutions which report under IFRS standards, references have been inserted to the relevant IFRS standards. 1.3. Numbering convention
  2. The following general notation is used in these instructions to refer to the columns, rows and cells of a template: {Template; Row; Column}. An asterisk sign is used to indicate that the validation is applied to the whole row or column. For example {AE-ASS; ; 2} refers to the data point of any row for column 2 of the AE-ASS template.
  3. In the case of validations within a template the following notation is used to refer to data points from that template: {Row; Column}. 1.4. Sign convention
  4. Templates in Annex XVI shall follow the sign convention described in paragraphs 9 and 10 of Part 1 of Annex V. 1.5. Level of application
  5. The level of application of the reporting on asset encumbrance follows that of the reporting requirements on own funds under the first subparagraph of Article 99(1) of Regulation (EU) No 575/2013 (CRR). Consequently, institutions that are not subject to prudential requirements in accordance with Article 7 of CRR are not required to report information on asset encumbrance. 1.6. Proportionality
  6. For the purpose of Article 16a(2)(b), the asset encumbrance level shall be calculated as follows: Carrying amount of encumbered assets and collateral = {AE-ASS;010;010}+{AE-COL;130;010}; Total assets and collateral = {AE-ASS;010;010} + {AE-ASS;010;060}+{AE-COL;130;010}+{AE-COL;130;040}; Asset encumbrance ratio = (Carrying amount of encumbered assets and collateral)/(Total assets and collateral).
  7. For the purpose of Article 16a(2)(a), the sum of total assets shall be calculated as follows: Total assets = {AE-ASS;010;010} + {AE-ASS;010;060} 1.7. Definition of encumbrance
  8. For the purpose of this Annex and Annex XVI, an asset shall be treated as encumbered if it has been pledged or if it is subject to any form of arrangement to secure, collateralise or credit enhance any transaction from which it cannot be freely withdrawn. It is important to note, that assets pledged that are subject to any restrictions in withdrawal, such as for instance assets that require prior approval before withdrawal or replacement by other assets, shall be considered encumbered. The definition is not based on an explicit legal definition, such as title transfer, but rather on economic principles, as the legal frameworks may differ in this respect across countries. The definition is however closely linked to contractual conditions. The EBA sees the following types of contracts being well covered by the definition (this is a non-exhaustive list): secured financing transactions, including repurchase contracts and agreements, securities lending and other forms of secured lending; various collateral agreements, for instance collateral placed for the market value of derivatives transactions;
§ Article 428a

financial guarantees that are collateralised. It should be noted, that if there is no impediment to withdrawal of collateral, such as prior approval, for the unused part of guarantee, then only the used amount shall be allocated (on a pro-rata allocation); collateral placed at clearing systems, CCPs and other infrastructure institutions as a condition for access to service. This includes default funds and initial margins; central bank facilities. Pre-positioned assets shall not be considered encumbered, unless the central bank does not allow withdrawal of any assets placed without prior approval. As for unused financial guarantees, the unused part, i.e. above the minimum amount required by the central bank, shall be allocated on a pro-rata basis among the assets placed at the central bank; underlying assets from securitisation structures, where the financial assets have not been de-recognised from the institution’s financial assets. The assets that are underlying retained securities do not count as encumbered, unless these securities are pledged or provided as collateral in any way to secure a transaction; assets in cover pools used for covered bond issuance. The assets that are underlying covered bonds count as encumbered, except in certain situations where the institution holds the corresponding covered bonds (own-issued bonds); as a general principle, assets which are being placed at facilities that are not used and can be freely withdrawn shall not be considered encumbered. TEMPLATE-RELATED INSTRUCTIONS 2. PART A: ENCUMBRANCE OVERVIEW 12. The encumbrance overview templates differentiate assets which are used to support funding or collateral needs at the balance sheet date (point-in time encumbrance) from those assets which are available for potential funding needs. 13. The overview template shows the amount of encumbered and non-encumbered assets of the reporting institution in a tabular format by products. The same breakdown also applies to collateral received and own debt securities issued other than covered bonds and securitisations. 2.1. Template AE-ASS. Assets of the reporting institution 2.1.1. General remarks 14. This paragraph sets out instructions that apply to the main types of transaction that are relevant when completing the AE templates: All transactions that increase the level of encumbrance of an institution have two aspects that shall be reported independently throughout the AE templates. Such transactions shall be reported both as a source of encumbrance and as an encumbered asset or collateral. The following examples describe how to report a type of transaction of this Part but the same rules apply to the other AE templates. (a) Collateralised deposit A collateralised deposit shall be reported as follows: (i) the carrying amount of the deposit is registered as a source of encumbrance in {AE-SOU; r070; c010}; (ii) where the collateral is an asset of the reporting institution: its carrying amount shall be reported in {AE-ASS; ; c010} and {AE-SOU; r070; c030}; its fair value shall be reported in {AE-ASS; ; c040};

§ Article 428a

(iii) where the collateral has been received by the reporting institution, its fair value shall reported in {AE-COL; ; c010}, {AE-SOU; r070; c030} and {AE-SOU; r070; c040}. (b) Repo/matching repos A repurchase agreement (hereinafter repo) shall be reported as follows: (i) the gross carrying amount of the repo shall be reported as a source of encumbrance in {AE-SOU; r050; c010}; (ii) the collateral of the repo shall be reported as follows: where the collateral is an asset of the reporting institution: its carrying amount shall be reported in {AE-ASS; ; c010} and {AE-SOU; r050; c030}; its fair value shall be reported in {AE-ASS; ; c040}; where the collateral has been received by the reporting institution through a previous reverse repurchase agreement (matching repo), its fair value shall be reported in {AE-COL; ; c010}, {AE-SOU; r050; c030} and in {AE-SOU; r050; c040}. (c) Central bank funding As collateralised central bank funding is only a specific case of a collateralised deposit or a repo transaction in which the counterparty is a central bank, the rules in i) and ii) above apply. For operations where it is not possible to identify the specific collateral to each operation, as collateral is pooled together, the collateral breakdown must be done on a proportional basis, based on the composition of the pool of collateral. Assets that have been pre-positioned with central banks are not encumbered assets unless the central bank does not allow withdrawal of any assets placed without prior approval. For unused financial guarantees, the unused part, i.e. the amount above the minimum required by the central bank, is allocated on a pro-rata basis among the assets placed at the central bank. (d) Securities lending For securities lending with cash collateral the rules for repos/matching repos apply. Securities lending without cash collateral shall be reported as follows: (i) the fair value of the securities borrowed shall be reported as a source of encumbrance in {AE-SOU; r150; c010}. When the lender does not receive any securities in return for the securities lent but receives a fee instead, {AE-SOU; r150; c010} shall reported as zero; (ii) where the securities lent as collateral are an asset of the reporting institution: their carrying amount shall be reported in {AE-ASS; ; c010} and {AE-SOU; r150; c030}; their fair value shall reported in {AE-ASS; ; c040}; (iii) where the securities lent as collateral are received by the reporting institution, their fair value shall be reported in {AE-COL; ; c010}, {AE-SOU; r150; c030} and {AE-SOU; r150; c040}. (e) Derivatives (liabilities) Collateralised derivatives with a negative fair value shall be reported as follows: (i) the carrying amount of the derivative shall be reported as a source of encumbrance in {AE-SOU; r020; c010}; (ii) the collateral (initial margins required to open the position and any collateral placed for the market value of derivatives transactions) shall be reported as follows: where it is an asset of the reporting institution: its carrying amount shall be reported in {AE-ASS; ; c010} and {AE-SOU; r020; c030}; its fair value shall be reported in {AE-ASS; ; c040};

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where it is collateral received by the reporting institution, its fair value shall be reported in {AE-COL; ; c010}, {AE-SOU; r020; c030} and {AE-SOU; r020; c040}. (f) Covered bonds Covered bonds for the entire asset encumbrance reporting are instruments referred to in the first subparagraph of Article 52(4) of the Directive 2009/65/EU, irrespective of whether these instruments take the legal form of a security or not. No specific rules apply to covered bonds where there is no retention of part of the securities issued by the reporting institution. In case of retention of part of the issuance and in order to avoid double counting, the proposed treatment below shall apply: (i) where the own covered bonds are not pledged, the amount of the cover pool that is backing those securities retained and not yet pledged shall be reported in the AE-ASS templates as non-encumbered assets. Additional information about the retained covered bonds not yet pledged (underlying assets, fair value and eligibility of those available for encumbrance and nominal of those non-available for encumbrance) shall be reported in the AE-NPL template; (ii) where the own covered bonds are pledged, then the amount of the cover pool that is backing those securities retained and pledged shall be included in the AE-ASS template as encumbered assets. The following table sets out how to report covered bond issuance of EUR 100 of which 15 % is retained and not pledged and 10 % is retained and pledged as collateral in a EUR 11 repo transaction with a central bank, where the cover pool comprises unsecured loans and the carrying amount of the loans is EUR 150. (g) Securitisations Securitisations mean debt securities held by the reporting institution originated in a securitisation transaction as defined in Article 4(61) of CRR. For securitisations that remain in the balance sheet (non-derecognised), the rules for covered bonds apply. For derecognised securitisations, there is no encumbrance where the institution holds some securities. Those securities will appear in the trading book or in the banking book of the reporting institutions as any other security issued by a third party. 2.1.2. Instructions concerning specific rows RowsLegal references and instructions010 Assets of the reporting institution IAS 1.9 (a), Implementation Guidance (IG) 6; total assets of the reporting institution registered in its balance sheet. 020 Loans on demand IAS 1.54 (i) Institutions shall report the balances receivable on demand at central banks and other institutions. Cash on hand, that is, the holding of national and foreign banknotes and coins in circulation that are commonly used to make payments shall be included in the row other assets. 030 Equity instruments Equity instruments held by the reporting institution as defined in IAS 32.1 040 Debt securities Annex V, Part 1, paragraph 31 Institutions shall report debt instruments held by the reporting institution issued as securities that are not loans in accordance with the ECB BSI Regulation.

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050 of which: covered bonds Debt securities held by the reporting institution that are bonds referred to in the first subparagraph of Article 52(4) of Directive 2009/65/EC 060 of which: securitisations Debt securities held by the reporting institution that are securitisations as defined in Article 4(61) of CRR 070 of which: issued by general governments Debt securities held by the reporting institution which are issued by general governments 080 of which: issued by financial corporations Debt securities held by the reporting institution issued by financial corporations as defined in Annex V, Part 1, paragraph 42, points (c) and (d) 090 of which: issued by non-financial corporations Debt securities held by the reporting institution issued by non-financial corporations as defined in Annex V, Part 1, paragraph 42, point (e) 100 Loans and advances other than loans on demand Loans and advances that are debt instruments other than securities held by the reporting institutions; other than balances receivable on demand 110 of which: Loans collateralised with Immovable Property Loans and advances other than loans on demand that are collateralised with Immovable Property according to Annex V, part 2, paragraph 86 120 Other assets Other assets of the reporting institution registered in the balance sheet other than those mentioned in the above rows and different from own debt securities and own debt equity instruments that may not be derecognised from the balance sheet by a non-IFRS institution In this case, own debt instruments shall be included in row 240 of the AE-COL template and own equity instruments excluded from the asset encumbrance reporting. 2.1.3. Instructions concerning specific columns 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). ColumnsLegal references and instructions010 Carrying amount of encumbered assets Institutions shall report the carrying amount of its assets that are encumbered in accordance with the definition of asset encumbrance referred to in paragraph 11 of this Annex. The carrying amount shall mean the amount reported in the asset side of the balance sheet. 020 of which: issued by other entities of the group Carrying amount of encumbered assets held by the reporting institution that are issued by any entity within the prudential scope of consolidation 030 of which: central bank eligible Carrying amount of encumbered assets held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

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035 of which notionally eligible EHQLA and HQLA The carrying amount of encumbered assets which are notionally eligible to the qualification of assets of extremely high liquidity and credit quality (EHQLA) and assets of high liquidity and credit quality (HQLA) For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the assets that are listed in Articles 10, 11, 12 and 13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with Annex XVII to Implementing Regulation (EU) No 680/2014. Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Delegated Regulation (EU) 2015/61. The carrying amount of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the carrying amount before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61. 040 Fair value of encumbered assets IFRS 13 and Article 8 of Directive 2013/34/EU of the European Parliament and of the Council for non-IFRS institutions Institutions shall report the fair value of its debt securities that are encumbered in accordance with the definition of asset encumbrance referred to in paragraph 11 of this Annex. Fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (see IFRS 13 Fair Value Measurement). 050 of which: central bank eligible Fair value of the encumbered debt securities held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. 055 of which notionally eligible EHQLA and HQLA Fair value of encumbered assets that are notionally eligible to the qualification of EHQLA and HQLA For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the assets that are listed in Articles 10, 11, 12 and 13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with Annex XVII to Implementing Regulation (EU) No 680/2014. Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.

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060 Carrying amount of non-encumbered assets Institutions shall report the carrying amount of its assets that are non-encumbered in accordance with the definition of asset encumbrance referred to in paragraph 11 of this Annex. Carrying amount shall mean the amount reported in the asset side of the balance sheet 070 of which: issued by other entities of the group Carrying amount of non-encumbered assets held by the reporting institution that are issued by any entity within the prudential scope of consolidation 080 of which: central bank eligible Carrying amount of non-encumbered assets held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. 085 of which EHQLA and HQLA Carrying amount of unencumbered EHQLA and HQLA that are listed in Articles 10, 11, 12 and 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation as well as with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of that Delegated Regulation The carrying amount of EHQLA and HQLA shall be the carrying amount before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61. 090 Fair value of non-encumbered assets IFRS 13 and Article 8 of Directive 2013/34/EU for non-IFRS institutions Institutions shall report the fair value of its debt securities that are non-encumbered in accordance with the definition of asset encumbrance referred to in paragraph 11 of this Annex. Fair value of a financial instrument shall be the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (see IFRS 13 Fair Value Measurement). 100 of which: central bank eligible Fair value of the non-encumbered debt securities held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. 105 of which EHQLA and HQLA Fair value of unencumbered EHQLA and HQLA that are listed in Articles 10, 11, 12 and 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation as well as with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of that Delegated Regulation

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The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61. 2.2. Template: AE-COL. Collateral received by the reporting institution 2.2.1. General remarks 15. For the collateral received by the reporting institution and the own debt securities issued other than own covered bonds or securitisations, the category of non-encumbered assets is split between those available for encumbrance or potentially eligible to be encumbered and those non-available for encumbrance. 16. Assets are non-available for encumbrance when they have been received as collateral and the reporting institution is not permitted to sell or re-pledge the collateral, except in the case of a default by the owner of the collateral. Own debt securities issued other than own covered bonds or securitisations are non-available for encumbrance when there is any restriction in the terms of the issuance to sell or re-pledge the securities held. 17. For the purpose of the asset encumbrance reporting, securities borrowed in exchange for a fee without providing cash-collateral or non-cash collateral shall be reported as collateral received. 2.2.2. Instructions concerning specific rows RowsLegal references and instructions130 Collateral received by the reporting institution All classes of collateral received by the reporting institution 140 Loans on demand Collateral received by the reporting institution that comprises loans on demand See legal references and instructions regarding row 020 of the AE-ASS template. 150 Equity instruments Collateral received by the reporting institution that comprises equity instruments See legal references and instructions regarding row 030 of the AE-ASS template. 160 Debt securities Collateral received by the reporting institution that comprises debt securities See legal references and instructions regarding row 040 of the AE-ASS template. 170 of which: covered bonds Collateral received by the reporting institution that comprises covered bonds See legal references and instructions regarding row 050 of the AE-ASS template. 180 of which: securitisations Collateral received by the reporting institution that comprises securitisations See legal references and instructions regarding row 060 of the AE-ASS template. 190 of which: issued by general governments Collateral received by the reporting institution that comprises debt securities issued by general governments See legal references and instructions regarding row 070 of the AE-ASS template. 200 of which: issued by financial corporations Collateral received by the reporting institution that comprises debt securities issued by financial corporations See legal references and instructions regarding row 080 of the AE-ASS template. 210 of which: issued by non-financial corporations Collateral received by the reporting institution that comprises debt securities issued by non-financial corporations See legal references and instructions regarding row 090 of the AE-ASS template.

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220 Loans and advances other than loans on demand Collateral received by the reporting institution that comprises loans and advances other than loans on demand See legal references and instructions regarding row 100 of the AE-ASS template. 230 Other collateral received Collateral received by the reporting institution that comprises other assets See legal references and instructions regarding row 120 of the AE-ASS template. 240 Own debt securities issued other than own covered bonds or securitisations Own debt securities issued retained by the reporting institution that are not own covered bonds issued or own securitisations issued. As the retained or repurchased own debt securities issued, according to IAS 39.42, decrease the relating financial liabilities, these securities shall not be included in the category of assets of the reporting institution (row 010 of the AE-ASS template). Own debt securities that may not be derecognised from the balance sheet by a non-IFRS institution shall be included in this row. Own covered bonds issued or own securitisations issued shall not be reported in this category since different rules apply to those cases to avoid double counting: (a) where the own debt securities are pledged, the amount of the cover pool/underlying assets that are backing those securities retained and pledged shall be reported in the AE-ASS template as encumbered assets; (b) where the own debt securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities retained and not yet pledged shall be reported in the AE-ASS templates as non-encumbered assets. Additional information about this second type of own debt securities not yet pledged (underlying assets, fair value and eligibility of those available for encumbrance and nominal of those non-available for encumbrance) shall be reported in the AE-NPL template. 245 Own covered bonds and securitisation issued and not yet pledged Own covered bonds and securitisations issued that are retained by the reporting institution and not encumbered To avoid double counting, the following rule applies in relation to own covered bonds and securitisations issued and retained by the reporting institution: (a) where those securities are pledged, the amount of the cover pool/underlying assets that are backing them shall be reported in Template AE-ASS (F32.01) as encumbered assets. The source of funding in the event of pledging own covered bonds and securitisations is the new transaction in which the securities are being pledged (central bank funding or other type of secured funding) and not the original issuance of covered bonds or securitisations; (b) where those securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities shall be reported in Template AE-ASS (F32.01) as non-encumbered assets. 250 TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED All assets of the reporting institution registered in its balance sheet, all classes of collateral received by the reporting institution and own debt securities issued retained by the reporting institution that are not own covered bonds issued or own securitisations issued.

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2.2.3. Instructions concerning specific columns ColumnsLegal references and instructions010 Fair value of encumbered collateral received or own debt securities issued Institutions shall report the fair value of the collateral received or own debt securities it holds/retains, which are encumbered in accordance with the definition of asset encumbrance referred to in paragraph 11 of this Annex. The fair value of a financial instrument shall be the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (see IFRS 13 Fair Value Measurement). 020 of which: issued by other entities of the group Fair value of the encumbered collateral received or own debt securities issued held/retained by the reporting institution that are issued by any entity within the prudential scope of consolidation 030 of which: central bank eligible Fair value of the encumbered collateral received or own debt securities issued held/retained by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. 035 of which notionally eligible EHQLA and HQLA Fair value of the encumbered collateral received, including in any securities borrowing transaction, or own debt securities issued held/retained by the institution that are notionally eligible to the qualification of EHQLA and HQLA For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the items of collateral received or own debt securities issued held/retained by the institution that are listed in Articles 10, 11, 12 and 13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with Annex XVII to Implementing Regulation (EU) No 680/2014. Notionally eligible encumbered EHQLA and encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61. 040 Fair value of collateral received or own debt securities issued available for encumbrance Fair value of the collateral received by the reporting institution that are non-encumbered but are available for encumbrance since the reporting institution is permitted to sell or re-pledge it in absence of default by the owner of the collateral. It also includes the fair value of own debt securities issued, other than own covered bonds or securitisations that are non-encumbered but available for encumbrance.

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050 of which: issued by other entities of the group Fair value of collateral received or own debt securities issued other than own covered bonds or securitisations available for encumbrance that are issued by any entity within the prudential scope of consolidation 060 of which: central bank eligible Fair value of collateral received or own debt securities issued other than own covered bonds or securitisations available for encumbrance, which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. 065 of which EHQLA and HQLA Fair value of the unencumbered collateral received or own debt securities issued held/retained by the institution other than own covered bonds or securitisation positions available for encumbrance which qualify as EHQLA and HQLA that are listed in Articles 10, 11, 12 and 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of that Delegated Regulation The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61. 070 Nominal of collateral received or own debt securities issued non available for encumbrance Nominal amount of the collateral received held by the reporting institution that are non-encumbered and non-available for encumbrance It shall include the nominal amount of the own debt securities issued other than own covered bonds or securitisations retained by the reporting institution that are non-encumbered and also non-available for encumbrance. 2.3. Template: AE-NPL. Own covered bonds and securitisations issued and not yet pledged 2.3.1. General remarks 18. To avoid double counting, the following rule applies in relation to own covered bonds and securitisations issued and retained by the reporting institution: (a) where those securities are pledged, the amount of the cover pool/underlying assets that are backing them shall be reported in the AE-ASS template as encumbered assets. The source of funding in the event of pledging own covered bonds and securitisations is the new transaction in which the securities are being pledged (central bank funding or other type of secured funding) and not the original issuance of covered bonds or securitisations; (b) where those securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities shall be reported in the AE-ASS template as non-encumbered assets.

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2.3.2. Instructions concerning specific rows RowsLegal references and instructions010 Own covered bonds and securitisations issued and not yet pledged Own covered bonds and securitisations issued that are retained by the reporting institution and not encumbered 020 Retained covered bonds issued Own covered bonds issued that are retained by the reporting institution and not encumbered 030 Retained securitisations issued Own securitisations issued that are retained by the reporting institution and not encumbered 040 Senior Senior tranches of the own securitisations issued that are retained by the reporting institution and not encumbered See Article 4(67) of CRR. 050 Mezzanine Mezzanine tranches of the own securitisations issued that are retained by the reporting institution and not encumbered All tranches that are not senior tranches, i.e. the last to absorb the loss or first loss tranches, shall be considered mezzanine tranches. See Article 4(67) of CRR. 060 First loss First loss tranches of the own securitisations issued that are retained by the reporting institution and are not encumbered See Article 4(67) of CRR. 2.3.3. Instructions concerning specific columns ColumnsLegal references and instructions010 Carrying amount of the underlying pool of assets Carrying amount of the cover pool/underlying assets that back the own covered bonds and own securitisations retained and are not yet pledged 020 Fair value of debt securities issued available for encumbrance Fair value of the own covered bonds and own securitisations retained that are non-encumbered but available for encumbrance 030 Of which: central bank eligible Fair value of the own covered bonds and own securitisations retained that meet each of the following conditions: (i) they are non-encumbered; (ii) they are available for encumbrance; (iii) they are eligible for operations with those central banks to which the reporting institution has access Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. 035 of which notionally eligible EHQLA and HQLA Fair value of the encumbered collateral received, including in any securities borrowing transaction, or own debt securities issued held/retained by the institution that are notionally eligible to the qualification of EHQLA and HQLA For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the items of collateral received or own debt securities issued held/retained by the institution that are listed in Articles 10, 11, 12 and 13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with Annex XVII to Implementing Regulation (EU) No 680/2014. Notionally eligible encumbered EHQLA and encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.

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040 Nominal of own debt securities issued non-available for encumbrance Nominal amount of the own covered bonds and own securitisations retained that are non-encumbered and also non-available for encumbrance 2.4. Template: AE-SOU. Sources of encumbrance 2.4.1. General remarks 19. This template provides information on the importance for the reporting institution of the different sources of encumbrance, including those with no associated funding as loans commitments or financial guarantees received and securities lending with non-cash collateral. 20. The total amounts of assets and collateral received in the AE-ASS and the AE-COL templates meet the following validation rule: {AE-SOU; r170; c030} = {AE-ASS; r010; c010} + {AE-COL; r130; c010} + {AE-COL; r240; c010}. 2.4.2. Instructions concerning specific rows RowsLegal references and instructions010 Carrying amount of selected financial liabilities Carrying amount of selected collateralised financial liabilities of the reporting institution insofar as these liabilities entail asset encumbrance for that institution 020 Derivatives Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, that is, with a negative fair value, insofar as these derivatives entail asset encumbrance for that institution 030 of which: over-the-counter Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities which are traded over-the-counter, insofar as these derivatives entail asset encumbrance 040 Deposits Carrying amount of the collateralised deposits of the reporting institution insofar as these deposits entail asset encumbrance for that institution 050 Repurchase agreements Gross carrying amount (without any netting allowed in the accounting framework) of the repurchase agreements of the reporting institution insofar as these transactions entail asset encumbrance for that institution Repurchase agreements (repos) shall be the transactions in which the reporting 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. The following variants of repo-type operations are all required to be reported as repurchase agreements: – amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral and – amounts received in exchange for securities temporarily transferred to a third party in the form of a sale/buy-back agreement. 060 of which: central banks Carrying amount of the repurchase agreements of the reporting institution with central banks insofar as these transactions entail asset encumbrance 070 Collateralised deposits other than repurchase agreements Carrying amount of the of the collateralised deposits other than repurchase agreements of the reporting institution insofar as these deposits entail asset encumbrance for that institution

§ Article 428a

080 of which: central banks Carrying amount of the collateralised deposits other than repurchase agreements of the reporting institution with central banks insofar as these deposits entail asset encumbrance for that institution 090 Debt securities issued Carrying amount of the debt securities issued by the reporting institution insofar as these securities issued entail asset encumbrance for that institution The retained part of any issuance shall follow the specific treatment set out in point (vi) of paragraph 15 of Part A so that only the percentage of debt securities placed outside the entities of the group are to be included under this category. 100 of which: covered bonds issued Carrying amount of covered bonds the assets of which are originated by the reporting institution insofar as these securities issued entail asset encumbrance for that institution 110 of which: securitisations issued Carrying amount of the securitisations issued by the reporting institution insofar as these securities issued entail asset encumbrance for that institution 120 Other sources of encumbrance Amount of collateralised transactions of the reporting institution other than financial liabilities, insofar as these transactions entail asset encumbrance for that institution 130 Nominal of loan commitments received Nominal amount of the loan commitments received by the reporting institution, insofar as these commitments received entail asset encumbrance for that institution 140 Nominal of financial guarantees received Nominal amount of the financial guarantees received by the reporting institution, insofar as these guarantees received entail asset encumbrance for that institution 150 Fair value of securities borrowed with non-cash collateral Fair value of the securities borrowed by the reporting institution without cash collateral, insofar as these transactions entail asset encumbrance for that institution 160 Other Amount of collateralised transactions of the reporting institution other than financial liabilities, not covered by the above items, insofar as these transactions entail asset encumbrance for that institution 170 TOTAL SOURCES OF ENCUMBRANCE Amount of all collateralised transactions of the reporting institution insofar as these transactions entail asset encumbrance for that institution 2.4.3. Instructions concerning specific columns ColumnsLegal references and instructions010 Matching liabilities, contingent liabilities or securities lent Amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non-cash collateral, insofar as these transactions entail asset encumbrance for that institution Financial liabilities shall be reported at their carrying amount; contingent liabilities shall be reported at their nominal value; and securities lent with non-cash collateral shall be reported at their fair value. 020 of which: from other entities of the group Amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non-cash collateral, insofar as the counterparty is any other entity within the prudential scope of consolidation and the transaction entail for the reporting institution asset encumbrance.

§ Article 428a

For rules applying to amount types, see instructions for column 010. 030 Assets, collateral received and own securities issued other than covered bonds and securitisations encumbered Amount of the assets, collateral received and own securities issued other than covered bonds and securitisations that are encumbered as a result of the different type of transactions specified in the rows To ensure consistency with the criteria in the templates AE-ASS and AE-COL, assets of the reporting institution registered in the balance sheet shall be reported at their carrying amount, re-used collateral received and encumbered own securities issued other than covered bonds and securitisations shall be reported at their fair value. 040 of which: collateral received re-used Fair value of the collateral received that are re-used/encumbered as a result of the different type of transactions specified in the rows 050 Of which: own debt securities encumbered Fair value of the own securities issued other than covered bonds and securitisations that are encumbered as a result of the different type of transactions specified in the rows 3. PART B: MATURITY DATA 3.1. General remarks 21. The template included in Part B shows a general overview of the amount of encumbered assets and collateral received re-used that fall under the defined intervals of the matching liabilities’ residual maturity. 3.2. Template: AE-MAT. Maturity data 3.2.1. Instructions concerning specific rows RowsLegal references and instructions010 Encumbered assets For the purpose of this template, encumbered assets shall include all of the following: (a) the assets of the reporting institution (see instruction for row 010 of the AE-ASS template), which shall be reported at their carrying amount; (b) own debt securities issued other than covered bonds or securitisations (see instruction for row 240 of the AE-COL template), which shall be reported at fair value. These amounts shall be distributed among the set of residual maturity buckets specified in the columns according to the residual maturity of the source of its encumbrance (matching liability, contingent liability or securities lending transaction). 020 Collateral received re-used (receiving leg) See instructions for row 130 of the AE-COL template and column 040 of the AE-SOU template. Institutions shall report the amounts at fair value and distribute among the set of residual maturity buckets specified in the columns according to the residual maturity of the transaction that generated for the entity the reception of the collateral that is being re-used (receiving leg). 030 Collateral received re-used (re-using leg) See instructions for row 130 of the AE-COL template and column 040 of the AE-SOU template Institutions shall report the amounts at fair value and distribute among the set of residual maturity buckets specified in the columns according to the residual maturity of the source of its encumbrance (re-using leg): matching liability, contingent liability or securities lending transaction.

§ Article 428a

3.2.2. Instructions concerning specific columns ColumnsLegal references and instructions010 Open maturity On demand, without a specific maturity date 020 Overnight Due date earlier or equal to 1 day 030 1 day<=1wk Due date later than 1 day and earlier than or equal to 1 week 040 1 wk<=2wks Due date later than 1 week and earlier than or equal to 2 weeks 050 2wks <=1mth Due date later than 2 weeks and earlier than or equal to 1 month 060 1mth <=3mths Due date later than 1 month and earlier than or equal to 3 months 070 3mths <=6mths Due date later than 3 months and earlier than or equal to 6 months 080 6mths<=1yr Due date later than 6 months and earlier than or equal to 1 year 090 1yr <=2yrs Due date later than 1 year and earlier than or equal to 2 years 100 2yrs <=3yrs Due date later than 2 years and earlier than or equal to 3 years 110 3yrs <=5yrs Due date later than 3 years and earlier than or equal to 5 years 120 5yrs <=10yrs Due date later than 5 years and earlier than or equal to 10 years 130 10yrs Due date later than 10 years 4. PART C: CONTINGENT ENCUMBRANCE 4.1. General remarks 22. This template requires institutions to calculate the level of asset encumbrance in a number of stressed scenarios. 23. Contingent encumbrance refers to the additional assets which may need to be encumbered when the reporting institutions faces adverse developments triggered by an external event over which the reporting institution has no control (including a downgrade, decrease of the fair value of the encumbered assets or a general loss of confidence). In these cases, the reporting institution will need to encumber additional assets as a consequence of already existing transactions. The additional amount of encumbered assets shall be net of the impact of the institution’s hedge transactions against the events described under the aforementioned stressed scenarios. 24. This template includes the following two scenarios for reporting contingent encumbrance which are set out in more detail in points 4.1.1. and 4.1.2. The information reported shall be the institution’s reasonable estimate based on the best available information. (a) Decrease of the fair value of the encumbered assets by 30 %. This scenario only covers a change in the underlying fair value of the assets, and not any other change which may affect its carrying amount such as foreign exchange gains or losses or potential impairment. The reporting institution may then be forced to post more collateral in order to keep the value of the collateral constant. (b) A 10 % depreciation in each currency in which the institution has aggregate liabilities amounting to or exceeding 5 % of the institution’s total liabilities. 25. The scenarios shall be reported independently of each other, and significant currency depreciations shall also be reported independently of depreciations of other significant currencies. Consequently institutions shall not take correlations between the scenarios into account. 4.1.1. Scenario A: Decrease of 30 % of encumbered assets

§ Article 428a
  1. It shall be assumed that all encumbered assets decrease 30 % in value. The need of additional collateral arising from such a decrease shall take into account existing levels of over-collateralisation, such that only the minimum collateralisation level is maintained. The need of additional collateral shall also take into account the contractual requirements of the contracts and agreements impacted, including threshold triggers.
  2. Only contracts and agreements, where there is a legal obligation to supply additional collateral shall be included. This shall include covered bond issues where there is a legal requirement to uphold minimum levels of over collateralisation but no requirement to maintain existing rating levels on the covered bond. 4.1.2. Scenario B: Depreciation of 10 % in significant currencies
  3. A currency shall be a significant currency if the reporting institution has aggregate liabilities in that currency amounting to or exceeding 5 % of the institution’s total liabilities.
  4. The calculation of a 10 % depreciation shall take into account both changes on the asset and liability side, i.e. focus the asset-liability mismatches. For instance a repo transactions in USD based on USD assets does not cause additional encumbrance, whereas a repo transaction in USD based on a EUR asset causes additional encumbrance.
  5. All transactions which have a cross-currency element shall be covered by this calculation. 4.2. Template: AE-CONT. Contingent encumbrance 4.2.1. Instructions concerning specific rows
  6. See instructions concerning specific rows of the AE-SOU template in point 2.4.2The content of the rows in AE-CONT template does not differ from the AE-SOU template. 4.2.2. Instructions concerning specific columns ColumnsLegal references and instructions010 Matching liabilities, contingent liabilities or securities lent Same instructions and data as for column 010 of the AE-SOU template; amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non–cash collateral, insofar as these transactions entail asset encumbrance for that institution As referred for each row in the template, institutions shall report financial liabilities at their carrying amount, contingent liabilities at their nominal and securities lent with non-cash collateral at their fair value. 020 A. Additional amount of encumbered assets Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of occurrence of scenario A Following the instructions laid down in Part A of this Annex, institutions shall report these amounts at their carrying amount if the amount is related to assets of the reporting institution or at their fair value if related to collateral received. Amounts exceeding the non-encumbered assets and collateral of the institution shall be reported at fair value. 030 B. Additional amount of encumbered assets. Significant currency 1
§ Article 428a

Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of a depreciation of significant currency number 1 in scenario B See rules for amount types in row 020. 040 B. Additional amount of encumbered assets. Significant currency 2 Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of a depreciation of significant currency number 2 in scenario B See rules for amount types in row 020. 5. PART D: COVERED BONDS 5.1. General remarks 32. The information in this template shall be reported for all UCITS-compliant covered bonds issued by the reporting institution. UCITS-compliant covered bonds are the bonds referred to in the first subparagraph of Article 52(4) of Directive 2009/65/EC. These are covered bonds issued by the reporting institution if the reporting institution is in relation to the covered bond subject by law to special public supervision designed to protect bond-holders and if for such covered bond it is required that sums deriving from the issue of those bonds shall be invested in accordance with the law in assets which, during the whole period of validity of the bonds, are capable of covering claims attaching to the bonds and which, in the event of failure of the issuer, would be used on a priority basis for the reimbursement of the principal and payment of the accrued interest. 33. Covered bonds issued by or on behalf of the reporting institution that are not UCITS-compliant covered bonds shall not be reported within the AE-CB templates. 34. The reporting shall be based on the statutory covered bond regime, i.e. the legal framework which applies the to the covered bond programme. 5.2. Template: AE-CB. Covered bonds issuance 5.2.1. Instructions concerning z-axis z-axisLegal references and instructions010 Cover pool identifier (open) The cover pool identifier shall consist of the name or unambiguous abbreviation of the cover pool issuing entity and the designation of the cover pool that individually is subject to the relevant covered bond protective measures. 5.2.2. Instructions concerning specific rows RowsLegal references and instructions010 Nominal amount Nominal amount shall be the sum of claims to payment of principal, determined in accordance with the respective statutory covered bond regime’s rules that apply for determining sufficient coverage. 020 Present value (swap)/Market value Present value (swap) shall be the sum of claims to payment of principal and interest, as discounted by a foreign exchange-specific risk-free yield curve, determined in accordance with the relevant statutory covered bond regime’s rules that apply for determining sufficient coverage. For columns 080 and 210 referring to cover pool derivative positions, the market value shall be reported. 030 Asset-specific value The asset-specific value shall be the economic value of the cover pool assets, as may be described by a fair value in accordance with IFRS 13, a market value observable from executed transactions in liquid markets, or a present value that would discount future cash flows of an asset by an asset-specific interest rate curve.

§ Article 428a

040 Carrying amount Carrying amount of a covered bond liability or a cover pool asset shall be the accounting value at the covered bond issuer. 5.2.3. Instructions concerning specific columns 010 Compliance with Article 129 of CRR? [YES/NO] Institutions shall specify whether the cover pool meets the requirements set out in Article 129 of CRR in order to be eligible for the preferential treatment set out in Article 129(4) and (5) of that Regulation. 012 If YES, indicate primary asset class of the cover pool If the cover pool is eligible for the preferential treatment set out in Article 129(4) and (5) of CRR (answer YES in column 011), the primary asset class of the cover pool shall be indicated in this cell. The classification in Article 129(1) of that Regulation shall be used for this purpose and codes a, b, c, d, e, f and g shall be indicated accordingly. Code h will be applied when the primary asset class of the cover pool does not fall under any of the previous categories. 020-140 Covered bond liabilities Covered bond liabilities shall be the liabilities of the issuing entity incurred by issuing covered bonds and extends to all positions as defined by the respective statutory covered bond regime that are subject to the relevant covered bond protective measures (this may, for instance, include securities in circulation as well as the position of counterparts of the covered bond issuer in derivative positions with, from the perspective of the covered bond issuer, a negative market value attributed to the cover pool and treated as covered bond liabilities in accordance with the relevant statutory covered bond regime). 020 Reporting date Amounts of covered bond liabilities, excluding cover pool derivative positions, according to the different future date ranges 030

  • 6 months The date + 6 months shall be the point in time 6 months after the reporting reference date. Amounts shall be provided assuming no change in covered bond liabilities compared to the reporting reference date except for amortization. In the absence of a fixed payment schedule, for amounts outstanding at future dates the expected maturity shall be used in a consistent manner. 040-070
  • 12 months – + 10 years As for + 6 months (column 030) for the respective point in time from the reporting reference date 080 Cover pool derivative positions with net negative market value Net negative market value of cover pool derivative positions which from the perspective of the covered bond issuer have a net negative market value The cover pool derivative positions shall be such net derivative positions that in accordance with the relevant statutory covered bond regime have been included in the cover pool and are subject to the respective covered bond protective measures in that such derivative positions with a negative market value require coverage by eligible cover pool assets. The net negative market value shall be reported for the reporting reference date only. 090-140 External credit rating on covered bond
§ Article 428a

Institutions shall provide information on external credit ratings on the respective covered bond, as existing on the reporting date. 090 Credit rating agency 1 If a credit rating of at least one credit rating agency exists as of the reporting date, institutions shall provide the name of one of these credit rating agencies. If credit ratings by more than three credit rating agencies exist as of the reporting date, the three credit rating agencies to whom information is provided shall be selected based on their respective market prevalence. 100 Credit rating 1 The credit rating issued by the credit rating agency reported in column 090 on the covered bond as of the reporting reference date If long- and short-term credit ratings by the same credit rating agency exist, the long-term credit rating shall be reported. The credit rating to be reported shall include any modifiers. 110, 130 Credit rating agency 2 and credit rating agency 3 As for credit rating agency 1 (column 090) for further credit rating agencies that have issued credit ratings on the covered bond as of the reporting reference date 120, 140 Credit rating 2 and credit rating 3 As for credit rating 1 (column 100) for further credit ratings issued by credit rating agencies 2 and 3 on the covered bond existing as of the reporting reference date 150-250 Cover pool The cover pool shall consist of all positions, including cover pool derivative positions, from the perspective of the covered bond issuer, with a net positive market value, that are subject to the respective covered bond protective measures. 150 Reporting date Amounts of assets in the cover pool, excluding cover pool derivative positions This amount shall include minimum over-collateralisation requirements plus any additional over-collateralisation in excess of the minimum, to the extent subject to the respective covered bond protective measures. 160

  • 6 months The reporting date + 6 months shall be the point in time 6 months after the reporting reference date. Institutions shall report the amounts assuming no change in cover pool compared to the reporting date except for amortization. In the absence of a fixed payment schedule, for amounts outstanding at future dates expected maturity shall be used in a consistent manner. 170-200
  • 12 months – + 10 years As for + 6 months (column 160) for the respective point in time from the reporting reference date 210 Cover pool derivative positions with net positive market value The net positive market value of cover pool derivative positions which, from the perspective of the covered bond issuer, have a net positive market value The cover pool derivative positions shall be such net derivative positions that in accordance with the relevant statutory covered bond regime have been included in the cover pool and are subject to the respective covered bond protective measures in that such derivative positions with a positive market value would not form part of the covered bond issuer’s general insolvency estate.
§ Article 428a

The net positive market value shall be reported for the reporting date only. 220-250 Cover pool amounts in excess of minimum coverage requirements Amounts of cover pool, including cover pool derivative positions with net positive market values, in excess of requirements of minimum coverage (over-collateralisation) 220 As per the relevant statutory covered bond regime Amounts of over-collateralisation compared with the minimum coverage required by the relevant statutory covered bond regime 230-250 As per credit rating agencies’ methodology to maintain current external credit rating on covered bond Amounts of over-collateralisation compared with the level that, according to information on the respective credit rating agency’s methodology available to the covered bond issuer, would at a minimum be required to support the existing credit rating issued by the respective credit rating agency 230 Credit rating agency 1 Amounts of over-collateralisation compared with the level that, according to information on the methodology of credit rating agency 1 (column 090) available to the covered bond issuer, would at a minimum be required to support credit rating 1 (column 100). 240-250 Credit rating agency 2 and credit rating agency 3 The instructions for credit rating agency 1 (column 230) shall also apply to credit rating agency 2 (column 110) and credit rating agency 3 (column 130). 6. PART E: ADVANCED DATA 6.1. General remarks 35. Part E follows the same structure as in the encumbrance overview templates in Part A with different templates for the encumbrance of the assets of the reporting institution and for the collateral received: AE-ADV1 and AE-ADV2 respectively. Consequently, matching liabilities correspond to the liabilities that are secured by the encumbered assets and no one-to-one relation has to exist. 6.2. Template: AE-ADV1. Advanced template for assets of the reporting institution 6.2.1. Instructions concerning specific rows RowsLegal references and instructions010-020 Central bank funding (of all types, including repos) All types of liabilities of the reporting institution in which the counterparty of the transaction is a central bank Assets that have been pre-positioned with central banks shall not be treated as encumbered assets unless the central bank does not allow withdrawal of any asset placed without prior approval. For unused financial guarantees, the unused part, i.e., the amount above the minimum required by the central bank, shall be allocated on a pro-rata basis among the assets placed at the central bank. 030-040 Exchanged traded derivatives Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, insofar as these derivatives are listed or traded on a recognised or designated investment exchange and they entail asset encumbrance for that institution 050-060 Over-the counter derivatives Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, insofar as these derivatives are traded over-the-counter and they entail asset encumbrance for that institution; same instruction in row 030 of the AE-SOU template

§ Article 428a

070-080 Repurchase agreements Carrying amount of the repurchase agreements of the reporting institution in which the counterparty of the transaction is not a central bank, insofar as these transactions entail asset encumbrance for that institution For tri-party repurchase agreements, the same treatment shall be followed as for the repurchase agreements insofar as these transactions entail asset encumbrance for the reporting institution. 090-100 Collateralised deposits other than repurchase agreements Carrying amount of the collateralised deposits other than repurchase agreements of the reporting institution in which the counterparty of the transaction is not a central bank, insofar as these deposits entail asset encumbrance for that institution 110-120 Covered bonds securities issued See instructions in row 100 of the AE-SOU template. 130-140 Securitisations issued See instructions in row 110 of the AE-SOU template. 150-160 Debt securities issued other than covered bonds and securitisations Carrying amount of the debt securities issued by the reporting institution other than covered bonds and securitisations insofar as these securities issued entail asset encumbrance for that institution In the event that the reporting institution had retained some of the debt securities issued, either from the issuance date or thereafter as a result of a repurchase, these retained securities shall not be included under this item. Additionally, the collateral assigned to them shall be classified as non-encumbered for the purpose of this template. 170-180 Other sources of encumbrance See instructions in row 120 of the AE-SOU template. 190 Total encumbered assets For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution that are encumbered 200 of which: central bank eligible For each type of asset specified in the rows of the AE-ADV1 template, carrying amount of the assets held by the reporting institution that are encumbered and which are eligible for operations with those central banks to which the reporting institution has access Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. 210 Total non-encumbered assets For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution that are non-encumbered The carrying amount shall means the amount reported in the asset side of the balance sheet. 220 of which: central bank eligible For each type of asset specified in the rows of the AE-ADV1 template, carrying amount of the assets held by the reporting institution that are non-encumbered and which are eligible for operations with those central banks to which the reporting institution has access

§ Article 428a

Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. 230 Encumbered + non-encumbered assets For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution 6.2.2. Instructions concerning specific columns ColumnsLegal references and instructions010 Loans on demand See instructions for row 020 of the AE-ASS template. 020 Equity instruments See instructions for row 030 of the AE-ASS template. 030 Total See instructions for row 040 of the AE-ASS template. 040 of which: covered bonds See description instructions for row 050 of the AE-ASS template. 050 of which: issued by other entities of the group Covered bonds as described in the instructions for row 050 of the AE-ASS template that are issued by any entity within the prudential scope of consolidation 060 of which: securitisations See instructions for row 060 of the AE-ASS template. 070 of which: issued by other entities of the group Securitisations as described in the instructions for row 060 of the AE-ASS template that are issued by any entity within the prudential scope of consolidation 080 of which: issued by general governments See instructions for row 070 of the AE-ASS template. 090 of which: issued by financial corporations See instructions for row 080 of the AE-ASS template. 100 of which: issued by non-financial corporations See instructions for row 090 of the AE-ASS template. 110 Central banks and general governments Loans and advances other than loans on demand to a central bank or a general government 120 Financial corporations Loans and advances other than loans on demand to financial corporations 130 Non-financial corporations Loans and advances other than loans on demand to non-financial corporations 140 of which: Loans collateralised with Immovable Property Loans and advances other than loans on demand guaranteed with a Loan collateralised with Immovable Property given to non-financial corporations 150 Households Loans and advances other than loans on demand given to households 160 of which: Loans collateralised with Immovable Property Loans and advances other than loans on demand guaranteed with a Loan collateralised with Immovable Property given to households 170 Other assets See instruction for row 120 of the AE-ASS template. 180 Total See instruction for row 010 of the AE-ASS template. 6.3. Template: AE-ADV2. Advanced template for collateral received by the reporting institution 6.3.1. Instructions concerning specific rows 36. See point 6.2.1 as instructions are similar for both templates. 6.3.2. Instructions concerning specific columns ColumnsLegal references and instructions010 Loans on demand

§ Article 428a

See instructions for row 140 of the AE-COL template. 020 Equity instruments See instructions for row 150 of the AE-COL template. 030 Total See instructions for row 160 of the AE-COL template. 040 of which: covered bonds See instructions in row 170 of the AE-COL template. 050 of which: issued by other entities of the group Collateral received by the reporting institution that are covered bonds issued by any entity within the prudential scope of consolidation 060 of which: securitisations See instructions for row 180 of the AE-COL template. 070 of which: issued by other entities of the group Collateral received by the reporting institution that are securitisations issued by any entity within the prudential scope of consolidation 080 of which: issued by general governments See instructions for row 190 of the AE-COL template. 090 of which: issued by financial corporations See instructions for row 200 of the AE-COL template. 100 of which: issued by non-financial corporations See instructions for row 210 of the AE-COL template. 110 Central banks and general governments Collateral received by the reporting institution that are loans and advances other than loans on demand to a central bank or a general government 120 Financial corporations Collateral received by the reporting institution that are loans and advances other than loans on demand to financial corporations 130 Non-financial corporations Collateral received by the reporting institution that are loans and advances other than loans on demand to non-financial corporations 140 of which: Loans collateralised with Immovable Property Collateral received by the reporting institution that are loans and advances collateralised with immovable property given to non-financial corporations, excluding loans on demand 150 Households Collateral received by the reporting institution that are loans and advances other than loans on demand given to households 160 of which: Loans collateralised with Immovable Property Collateral received by the reporting institution that are loans and advances other than loans on demand guaranteed with a Loan collateralised with Immovable Property given to households 170 Other assets See instructions for row 230 of the AE-COL template. 180 Own debt securities issued other than own covered bonds or securitisations See instructions for row 240 of the AE-COL template. 190 Total See instructions for rows 130 and 140 of the AE-COL template.

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 NameCodeType of codeNational codeCounterparty SectorResidence of CounterpartyProduct TypeAmount ReceivedWeighted average original maturityWeighted average residual maturityRowID010015016017030040050060070080010

§ Article 428a
  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 in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third countryAmount not covered by a Deposit Guarantee Scheme in accordance with 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 funding 1202.1.1of 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 entities1502.2Secured 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 funding
§ Article 428a

1301.44Total funding1401.4.1Retail funding1501.4.2Unsecured wholesale funding1601.4.3Secured funding1701.55Total funding1801.5.1Retail funding1901.5.2Unsecured wholesale funding2001.5.3Secured funding2101.66Total funding2201.6.1Retail funding2301.6.2Unsecured wholesale funding2401.6.3Secured funding 2501.77Total 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 funding 4901.1313Total funding5001.13.1Retail funding5101.13.2Unsecured wholesale funding5201.13.3Secured funding5301.1414Total funding5401.14.1Retail funding5501.14.2Unsecured wholesale funding5601.14.3Secured funding5701.1515Total funding5801.15.1Retail funding5901.15.2Unsecured wholesale funding6001.15.3Secured funding 6101.1616Total 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 funding 7301.1919Total funding7401.19.1Retail funding7501.19.2Unsecured wholesale funding7601.19.3Secured funding7701.2020Total funding7801.20.1Retail funding7901.20.2Unsecured wholesale funding8001.20.3Secured funding8101.2121Total funding8201.21.1Retail funding8301.21.2Unsecured wholesale funding8401.21.3Secured funding 8501.2222Total 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 funding 10901.2828Total funding11001.28.1Retail funding11101.28.2Unsecured wholesale funding11201.28.3Secured funding11301.2929Total funding11401.29.1Retail funding11501.29.2Unsecured wholesale funding11601.29.3Secured funding11701.3030Total funding11801.30.1Retail funding11901.30.2Unsecured wholesale funding12001.30.3Secured funding 12101.3131Total funding12201.31.1Retail funding12301.31.2Unsecured wholesale funding12401.31.3Secured funding

Annex

ANNEX XIX INSTRUCTIONS FOR REPORTING ON ADDITIONAL LIQUIDITY MONITORING METRICS

§ Article 428a
  1. Additional Monitoring Metrics 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.
  10. 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)
  11. 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.
  12. 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.
  13. 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.
  14. Institutions shall report the total of all other remaining funding in section 2.
§ Article 428a
  1. 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).
  2. For each counterparty, institutions shall report all of the columns 010 to 080.
  3. 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.
  4. 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 counterparty. For institutions and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value. 016 Type of code The institutions shall identify the type of code reported in column 015 as a LEI code or Non-LEI code. The type of code shall always be reported. 017 National code Institutions may additionally report the national code when they report LEI code as identifier as in the Code column. 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:
§ Article 428a

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 575/2013 or 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
  2. Retail funding Retail deposits as defined in Article 3(8) of Delegated Regulation (EU) 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:
§ Article 428a

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 (EU) 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 (EU) 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 (EU) 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.

§ Article 428a
  1. 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.
  2. 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.
  3. 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 in accordance with 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 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 in accordance with 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 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. 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.
§ Article 428a

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. 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: overnight in columns 010 and 020; greater than overnight and less than or equal to 1 week (columns 030 and 040); greater than 1 week and less than or equal to 1 month in columns 050 and 060; greater than 1 month and less than or equal to 3 months in columns 070 and 080; greater than 3 months and less than or equal to 6 months in columns 090 and 100; greater than 6 months and less than or equal to 1 year in columns 110 and 120; greater than 1 year and less than or equal to 2 years in columns 130 and 140; greater than 2 years and less than or equal to 5 years in columns 150 and 160; greater than 5 years and less than or equal to 10 years in columns 170 and 180. In case of currency revaluations, no new funding is obtained in the original currency and the reporting institution has not paid anything beyond the original price at the initial deposit of the funds. Thus, a positive increment caused by the currency revaluation shall not be reported in this template.
  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 a similar index for other currencies, 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.
§ Article 428a
  1. 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.
  2. 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.
  3. 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.
  4. In the column volume, institutions shall provide the amounts representing the carrying amount of the new funding obtained in the applicable time bucket in accordance with original maturity.
  5. 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 C 69.00 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.
  6. Deposits placed by retail customers shall consist of deposits as defined in Article 3(8) of Delegated Regulation (EU) 2015/61.
  7. 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 C 69.00, funding that rolled-over and is still there at the end of the reporting period shall be considered to represent new funding.
  8. 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.
  9. Where there is nothing to report, cells relating to spreads shall be left empty.
  10. Instructions concerning specific rows: RowLegal references and instructions010
  11. Total Funding Total volume and weighted average spread of all funding shall be obtained for all of the following lengths of time as follows: overnight in columns 010 and 020;
§ Article 428a

greater than overnight and less than or equal to 1 week in columns 030 and 040; greater than 1 week and less than or equal to 1 month in columns 050 and 060; greater than 1 month and less than or equal to 3 months in columns 070 and 080; greater than 3 months and less than or equal to 6 months in columns 090 and 100; greater than 6 months and less than or equal to 1 year in columns 110 and 120; greater than 1 year and less than or equal to 2 years in columns 130 and 140; greater than 2 years and less than or equal to 5 years in columns 150 and 160; 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)

  1. 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.
  2. Institutions shall report, in calendar days, the funding they have maturing in accordance with the following time buckets in accordance with the original maturity: overnight in columns 010 to 040); between 1 and 7 days in columns 050 to 080); between 7 and 14 days in columns 090 to 120); between 14 and 1 month in columns 130 to 160); between 1 and 3 months in columns 170 to 200); between 3 and 6 months in columns 210 to 240); in more than 6 months in columns 250 to 280).
  3. 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.
  4. 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.
  5. The average term of funding, in days, for maturing term funds shall be reported in column 300.
§ Article 428a
  1. The average term of funding, in days, of funds rolled over shall be reported in column 310
  2. The average term of funding, in days, for new term funds shall be reported in column 320.
  3. 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.
  4. 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 in accordance with the new maturity.
  5. 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.
  6. 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.
  7. 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.
§ Article 428a

090 to 120 7 days ≤ 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.

§ Article 428a

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 XX REPORTING ON COUNTERBALANCING CAPACITY AMM TEMPLATESTemplate numberTemplate codeName of the template /group of templatesCONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATES71C 71.00CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER C 71.00 - CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER Total and significant currencies Concentration of counterbalancing capacity by issuerIssuerLEI codeIssuer SectorResidence of IssuerProduct TypeCurrencyCredit quality stepMtM value/nominalCollateral value CB-eligibleRowID010020030040050060070080090010

  1. TOP TEN ISSUERS 0201,010301,020401,030501,040601,050701,060801,07 0901,081001,091101,10120
  2. ALL OTHER ITEMS USED AS COUNTERBALANCING CAPACITY

Annex

ANNEX XXI INSTRUCTIONS FOR REPORTING ON CONCENTRATION OF COUNTERBALANCING CAPACITY

  1. In order to collect information about the reporting institutions’ concentration of counterbalancing capacity by the ten largest holdings of assets or liquidity lines granted to the institution for this purpose under template C 71.00, institutions shall apply the instructions contained in this Annex.
  2. Where an issuer or counterparty is assigned to more than one product type, currency or credit quality step, the total amount shall be reported. The product type, currency or credit quality step to be reported shall be the ones that are relevant to the largest proportion of the counterbalancing capacity concentration.
§ Article 428a
  1. The counterbalancing capacity in C 71.00 shall be the same as that in C 66.01 with the qualification that the assets reported as counterbalancing capacity for the purposes of C 71.00 shall be unencumbered to be available for the institution to convert into cash on the reporting reference date.
  2. For calculating the concentrations for the purpose of reporting template C 71.00 by significant currency, institutions shall use the concentrations in all currencies.
  3. When an issuer or counterparty belongs to several groups of connected clients, it shall be reported only once in the group with the higher counterbalancing capacity concentration.
  4. Except for row 120, concentrations of counterbalancing capacity with a central bank as issuer or counterparty shall not be reported in this template. In the event that an institution has pre-positioned assets at a central bank for standard liquidity operations and to the extent that these assets fall under the top ten issuers or counterparties of unencumbered counterbalancing capacity, the institution shall report the original issuer and the original product type. ColumnLegal references and instructions010 Issuer Name The name of the top ten issuers of unencumbered assets or counterparties of undrawn committed liquidity lines granted to the institution shall be recorded in column 010 in a descending fashion. The largest item will be recorded in 1.01, the second in line item 1.02, and so on. Issuers and counterparties forming a group of connected clients shall be reported as one single concentration. The issuer or counterparty name recorded shall be the full name of the legal entity which issued the assets or granted the liquidity lines, including any references to the company type in accordance with the national company law. 020 LEI code The legal entity identifier code of the counterparty 030 Issuer Sector One sector shall be allocated to each issuer or counterparty on the basis of FINREP economic sector classes: (i) General Governments; (ii) Credit institutions; (iii) Other financial corporations; (iv) Non-financial corporations; (v) Households. For groups of connected clients, no sector shall be reported. 040 Residence of Issuer ISO code 3166-1-alpha-2 of the country of incorporation of the issuer or counterparty shall be used, including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat’s Balance of Payments Vademecum. For groups of connected clients, no country shall be reported. 050 Product Type Issuers/Counterparties recorded in column 010 shall be assigned a product type corresponding to the product in which the asset is held or the liquidity stand-by facility has been received, using the following codes indicated in bold: SrB (Senior Bond); SubB (Subordinated Bond); CP (Commercial Paper); CB (Covered Bonds); US (UCITS-security, i.e. financial instruments representing a share in or asecurity issued by an Undertaking for Collective Investments of transferable securities);
§ Article 428a

ABS (Asset Backed Security); CrCl (Credit Claim); Eq (Equity); Gold (if physical gold, which can be treated as a single counterparty); LiqL (Undrawn committed liquidity line granted to the institution); OPT (Other product type). 060 Currency Issuer or counterparties recorded in column 010 shall be assigned a currency ISO code in column 060 corresponding to the denomination of the asset received or undrawn committed liquidity lines granted to the institution. The three-letter currency unit code in accordance with ISO 4217 shall be reported. Where a multicurrency line is part of a concentration in counterbalancing capacity, the line shall be counted in the currency that is the predominant one in the rest of the concentration. With regard to the separate reporting in significant currencies as specified under Article 415(2) of Regulation (EU) No 575/2013, institutions shall make an assessment of the currency in which the flow is likely to occur and shall report the item only in that significant currency, in line with the instructions for the separate reporting of significant currencies in the LCR, in accordance with Regulation (EU) 2016/322. 070 Credit quality step The appropriate credit quality step shall be assigned in accordance with Regulation (EU) No 575/2013, which shall be the same as that of the items reported in the maturity ladder. Where there is no rating, the step of non-rated shall be assigned. 080 MtM value/nominal The market value or fair value of the assets, or, where applicable, the nominal value of the undrawn liquidity line granted to the institution 090 Collateral value CB-eligible The collateral value in accordance with the central bank rules for standing facilities for the specific assets For assets denominated in a currency included in Regulation (EU) 2015/233 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank.

Annex

ANNEX XXII REPORTING ON AMM MATURITY LADDER AMM TEMPLATESTemplate numberTemplate codeName of the template /group of templatesMATURITY LADDER TEMPLATE66C 66.01MATURITY LADDER TEMPLATE C 66.01 - MATURITY LADDER Total and significant currencies CodeIDItemContractual Flow Maturity010020030040050060070080090100110120130140150160170180190200210220010-3801OUTFLOWSOvernightGreater than overnight up to 2 daysGreater than 2 days up to 3 daysGreater than 3 days up to 4 daysGreater than 4 days up to 5 daysGreater than 5 days up to 6 daysGreater than 6 days up to 7 daysGreater than 7 days up to 2 weeksGreater than 2 weeks up to 3 weeksGreater than 3 weeks up to 30 daysGreater than 30 days up to 5 weeksGreater than 5 weeks up to 2 monthsGreater than 2 months up to 3 monthsGreater than 3 months up to 4 monthsGreater than 4 months up to 5 monthsGreater than 5 months up to 6 monthsGreater than 6 months up to 9 monthsGreater than 9 months up to 12 monthsGreater than 12 months up to 2 yearsGreater than 2 years up to 5 yearsGreater than 5 years0101.1Liabilities resulting from securities issued (if not treated as retail deposits)0201.1.1unsecured bonds due0301.1.2regulated covered bonds0401.1.3securitisations due0501.1.4other0601.2Liabilities resulting from secured lending and capital market driven transactions collateralised by:0701.2.1Level 1 tradable assets0801.2.1.1Level 1 excluding covered bonds0901.2.1.1.1Level 1 central bank1001.2.1.1.2Level 1 (CQS 1)1101.2.1.1.3Level 1 (CQS2, CQS3)

§ Article 428a

1201.2.1.1.4Level 1 (CQS4+)1301.2.1.2Level 1 covered bonds (CQS1)1401.2.2Level 2A tradable assets1501.2.2.1Level 2A corporate bonds (CQS1)1601.2.2.2Level 2A covered bonds (CQS1, CQS2)1701.2.2.3Level 2A public sector (CQS1, CQS2)1801.2.3Level 2B tradable assets1901.2.3.1Level 2B Asset Backed Securities (ABS) (CQS1)2001.2.3.2Level 2B covered bonds (CQS1-6)2101.2.3.3Level 2B: corporate bonds (CQ1-3)2201.2.3.4Level 2B shares2301.2.3.5Level 2B public sector (CQS 3-5)2401.2.4other tradable assets2501.2.5other assets 2601.3Liabilities not reported in 1.2, resulting from deposits received (excluding deposits received as collateral)2701.3.1stable retail deposits2801.3.2other retail deposits2901.3.3operational deposits3001.3.4non-operational deposits from credit institutions3101.3.5non-operational deposits from other financial customers3201.3.6non-operational deposits from central banks3301.3.7non-operational deposits from non-financial corporates3401.3.8non-operational deposits from other counterparties3501.4FX-swaps maturing3601.5Derivatives amount payables other than those reported in 1.43701.6Other outflows3801.7Total outflows 390-7202INFLOWSOvernightGreater than overnight up to 2 daysGreater than 2 days up to 3 daysGreater than 3 days up to 4 daysGreater than 4 days up to 5 daysGreater than 5 days up to 6 daysGreater than 6 days up to 7 daysGreater than 7 days up to 2 weeksGreater than 2 weeks up to 3 weeksGreater than 3 weeks up to 30 daysGreater than 30 days up to 5 weeksGreater than 5 weeks up to 2 monthsGreater than 2 months up to 3 monthsGreater than 3 months up to 4 monthsGreater than 4 months up to 5 monthsGreater than 5 months up to 6 monthsGreater than 6 months up to 9 monthsGreater than 9 months up to 12 monthsGreater than 12 months up to 2 yearsGreater than 2 years up to 5 yearsGreater than 5 years3902.1Monies due from secured lending and capital market driven transactions collateralised by:4002.1.1Level 1 tradable assets4102.1.1.1Level 1 excluding covered bonds4202.1.1.1.1Level 1 central bank4302.1.1.1.2Level 1 (CQS 1)4402.1.1.1.3Level 1 (CQS2, CQS3)4502.1.1.1.4Level 1 (CQS4+)4602.1.1.2Level 1 covered bonds (CQS1)4702.1.2Level 2A tradable assets4802.1.2.1Level 2A corporate bonds (CQS1)4902.1.2.2Level 2A covered bonds (CQS1, CQS2)5002.1.2.3Level 2A public sector (CQS1, CQS2) 5102.1.3Level 2B tradable assets5202.1.3.1Level 2B ABS (CQS1)5302.1.3.2Level 2B covered bonds (CQS1-6)5402.1.3.3Level 2B: corporate bonds (CQ1-3)5502.1.3.4Level 2B shares5602.1.3.5Level 2B public sector (CQS 3-5)5702.1.4other tradable assets5802.1.5other assets5902.2Monies due not reported in 2.1 resulting from loans and advances granted to:6002.2.1retail customers 6102.2.2non-financial corporates6202.2.3credit institutions6302.2.4other financial customers6402.2.5central banks6502.2.6other counterparties6602.3FX-swaps maturing6702.4Derivatives amount receivables other than those reported in 2.36802.5Paper in own portfolio maturing6902.6Other inflows7002.7Total inflows7102.8Net contractual gap7202.9Cumulated net contractual gap

§ Article 428a

730-10803COUNTERBALANCING CAPACITYInitial stockOvernightGreater than overnight up to 2 daysGreater than 2 days up to 3 daysGreater than 3 days up to 4 daysGreater than 4 days up to 5 daysGreater than 5 days up to 6 daysGreater than 6 days up to 7 daysGreater than 7 days up to 2 weeksGreater than 2 weeks up to 3 weeksGreater than 3 weeks up to 30 daysGreater than 30 days up to 5 weeksGreater than 5 weeks up to 2 monthsGreater than 2 months up to 3 monthsGreater than 3 months up to 4 monthsGreater than 4 months up to 5 monthsGreater than 5 months up to 6 monthsGreater than 6 months up to 9 monthsGreater than 9 months up to 12 monthsGreater than 12 months up to 2 yearsGreater than 2 years up to 5 yearsGreater than 5 years7303.1coins and bank notes7403.2Withdrawable central bank reserves7503.3Level 1 tradable assets7603.3.1Level 1 excluding covered bonds7703.3.1.1Level 1 central bank7803.3.1.2Level 1 (CQS 1)7903.3.1.3Level 1 (CQS2, CQS3)8003.3.1.4Level 1 (CQS4+)8103.3.2Level 1 covered bonds (CQS1) 8203.4Level 2A tradable assets8303.4.1Level 2A corporate bonds (CQS1)8403.4.3Level 2A covered bonds (CQS 1, CQS2)8503.4.4Level 2A public sector (CQS1, CQS2)8603.5Level 2B tradable assets8703.5.1Level 2B ABS (CQS1)8803.5.2Level 2B covered bonds (CQS1-6)8903.5.3Level 2B corporate bonds (CQ1-3)9003.5.4Level 2B shares 9103.5.5Level 2B public sector (CQS 3-5)9203.6other tradable assets9303.6.1central government (CQS1)9403.6.2central government (CQS 2 & 3)9503.6.3shares9603.6.4covered bonds9703.6.5ABS9803.6.6other tradable assets9903.7non tradable assets eligible for central banks10003.8undrawn committed facilities received10103.8.1Level 1 facilities10203.8.2Level 2B restricted use facilities10303.8.3Level 2B IPS facilities 10403.8.4other facilities10503.8.4.1from intragroup counterparties10603.8.4.2from other counterparties10703.9Net change of Counterbalancing Capacity10803.10Cumulated Counterbalancing Capacity1090-11304CONTINGENCIESOvernightGreater than overnight up to 2 daysGreater than 2 days up to 3 daysGreater than 3 days up to 4 daysGreater than 4 days up to 5 daysGreater than 5 days up to 6 daysGreater than 6 days up to 7 daysGreater than 7 days up to 2 weeksGreater than 2 weeks up to 3 weeksGreater than 3 weeks up to 30 daysGreater than 30 days up to 5 weeksGreater than 5 weeks up to 2 monthsGreater than 2 months up to 3 monthsGreater than 3 months up to 4 monthsGreater than 4 months up to 5 monthsGreater than 5 months up to 6 monthsGreater than 6 months up to 9 monthsGreater than 9 months up to 12 monthsGreater than 12 months up to 2 yearsGreater than 2 years up to 5 yearsGreater than 5 years10904.1Outflows from committed facilities11004.1.1Committed credit facilities11104.1.1.1considered as Level 2B by the receiver11204.1.1.2other11304.1.2Liquidity facilities11404.2Outflows due to downgrade triggers 1150-1290MEMORANDUM ITEMSInitial stockOvernightGreater than overnight up to 2 daysGreater than 2 days up to 3 daysGreater than 3 days up to 4 daysGreater than 4 days up to 5 daysGreater than 5 days up to 6 daysGreater than 6 days up to 7 daysGreater than 7 days up to 2 weeksGreater than 2 weeks up to 3 weeksGreater than 3 weeks up to 30 daysGreater than 30 days up to 5 weeksGreater than 5 weeks up to 2 monthsGreater than 2 months up to 3 monthsGreater than 3 months up to 4 monthsGreater than 4 months up to 5 monthsGreater than 5 months up to 6 monthsGreater than 6 months up to 9 monthsGreater than 9 months up to 12 monthsGreater than 12 months up to 2 yearsGreater than 2 years up to 5 yearsGreater than 5 years120010Intragroup or IPS outflows (excluding FX)121011Intragroup or IPS inflows (excluding FX and maturing securities)122012Intragroup or IPS inflows from maturing securities123013HQLA central bank eligible124014non-HQLA central bank eligible127017Behavioural outflows from deposits128018Behavioural inflows from loans and advances129019Behavioural draw-downs of committed facilities

§ Article 428a

Annex

ANNEX XXIII INSTRUCTIONS FOR REPORTING ON THE MATURITY LADDER PART I: GENERAL INSTRUCTIONS 1714 PART II: INSTRUCTIONS CONCERNING SPECIFIC ROWS 1716 PART I: GENERAL INSTRUCTIONS

  1. In order to capture the maturity mismatch of an institution’s activities (maturity ladder) in the template of Annex XXII, institutions shall apply the instructions contained in this Annex.
  2. The maturity ladder monitoring tool shall cover contractual flows and contingent outflows. The contractual flows resulting from legally binding agreements and the residual maturity from the reporting date shall be reported in accordance with the provisions of those legal agreements.
  3. Institutions shall not double count inflows.
  4. In the column initial stock, the stock of items at the reporting date shall be reported.
  5. Only the blank white cells of the template in Annex XXII shall be completed.
  6. The section of the maturity ladder template entitled Outflows and inflows shall cover future contractual cash flows from all on- and off- balance sheet items. Only outflows and inflows pursuant to contracts valid at the reporting date shall be reported.
  7. The section of the maturity ladder template entitled Counterbalancing capacity shall represent the stock of unencumbered assets or other funding sources which are legally and practically available to the institution at the reporting date to cover potential contractual gaps. Only outflows and inflows pursuant to contracts existing at the reporting date shall be reported.
  8. Cash outflows and inflows in the respective sections outflows and inflows shall be reported on a gross basis with a positive sign. Amounts due to be paid and received shall be reported respectively in the outflow and inflow sections.
  9. For the section of the maturity ladder template entitled counterbalancing capacity outflows and inflows shall be reported on a net basis with a positive sign if they represent inflows and with a negative sign if they represent outflows. For cash flows, amounts due shall be reported. Securities flows shall be reported at current market value. Flows arising on credit and liquidity lines shall be reported at the contractual available amounts.
  10. Contractual flows shall be allocated across the twenty-two time buckets in accordance with their residual maturity, with days referring to calendar days.
  11. All contractual flows shall be reported, including all material cash-flows from non-financial activities such as taxes, bonuses, dividends and rents.
  12. In order for institutions to apply a conservative approach in determining contractual maturities of flows, they shall ensure all of the following: (a) where an option to defer payment or receive an advance payment exists, the option shall be presumed to be exercised where it would advance outflows from the institution or defer inflows to the institution; (b) where the option to advance outflows from the institution is solely at the discretion of the institution, the option shall be presumed to be exercised only where there is a market expectation that the institution will do so. The option shall be presumed not to be exercised where it would advance inflows to the institution or defer outflows from the institution. Any cash outflow that would be contractually triggered by this inflow – as in pass-through financing – shall be reported at the same date as this inflow;
§ Article 428a

(c) all sight and non-maturing deposits shall be reported as overnight in column 020; (d) open repos or reverse repos and similar transactions which can be terminated by either party on any day shall be considered to mature overnight unless the notice period is longer than one day in which case they shall be reported in the relevant time bucket in accordance with the notice period; (e) retail term deposits with an early withdrawal option shall be considered to mature in the time period during which the early withdrawal of the deposit would not incur a penalty in accordance with point (b) of Article 25(4) of Delegated Regulation (EU) 2015/61. (f) where the institution is not able to establish a minimum contractual payment schedule for a particular item or part thereof following the rules set out in this paragraph, it shall report the item or part thereof as greater than 5 years in column 220. 13. Interest outflows and inflows from all on and off balance sheet instruments shall be included in all relevant items of the outflows and inflows sections. 14. Foreign Exchange (FX) swaps maturing shall reflect the maturing notional value of cross-currency swaps, FX forward transactions and unsettled FX spot agreements in the applicable time buckets of the template. 15. Cash flows from unsettled transactions shall be reported, in the short period before settlement, in the appropriate rows and buckets. 16. Items where the institution has no underlying business, such as where it has no deposits of a certain category, shall be left blank. 17. Past due items and items for which the institution has a reason to expect non- performance shall not be reported. 18. Where the collateral received is re-hypothecated in a transaction that matures beyond the transaction in which the institution received the collateral, a securities outflow in the amount of the fair value of the collateral received shall be reported in the counterbalancing capacity section in the relevant bucket in accordance with the maturity of the transaction that generated the reception of the collateral. 19. Intragroup items shall not affect the reporting on a consolidated basis. PART II: INSTRUCTIONS CONCERNING SPECIFIC ROWS http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A32015R0233 RowLegal references and instructions010 to 380 1 OUTFLOWS The total amount of cash outflows shall be reported in the following sub- categories below: 010 1.1 Liabilities resulting from securities issued Cash outflows arising from debt securities issued by the reporting institution, i.e. own issuances 020 1.1.1 unsecured bonds due The amount of cash outflows resulting from securities issued reported in row 010, which is unsecured debt issued by the reporting institution to third parties 030 1.1.2 regulated covered bonds The amount of cash outflows resulting from securities issued, reported in row 010, which is bonds eligible for the treatment set out in Article 129(4) or (5) of Regulation (EU) No 575/2013 or Article 52(4) of Directive 2009/65/EC

§ Article 428a

040 1.1.3 securitisations due The amount of cash outflows resulting from securities issued, reported in row 010, which is securitisation transactions with third parties, in accordance with point (61) of Article 4(1) of Regulation (EU) No 575/2013 050 1.1.4 other The amount of cash outflows resulting from securities issued reported in row 010, other than those reported in the above subcategories 060 1.2 Liabilities resulting from secured lending and capital market driven transactions, collateralised by: Total amount of all cash outflows arising from secured lending and capital market driven transactions as defined in Article 192 of Regulation (EU) No 575/2013 Institutions shall report only cash flows. Securities flows with regard to secured lending and capital market driven transactions shall be reported in the counterbalancing capacity section. 070 1.2.1 Level 1 tradable assets The amount of cash outflows reported in row 070 that is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 10 of Delegated Regulation (EU) 2015/61 if they were not securing the particular transaction CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets. 080 1.2.1.1 Level 1 excluding covered bonds The amount of cash outflows reported in row 070 that is collateralised by assets that are not covered bonds 090 1.2.1.1.1 Level 1 central bank The amount of cash outflows reported in row 080 that is collateralised by assets representing claims on or guaranteed by central banks 100 1.2.1.1.2 Level 1 (CQS 1) The amount of cash outflows reported in row 080 other than those reported in row 090 that is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 1 by a nominated ECAI 110 1.2.1.1.3 Level 1 (CQS 2, CQS3) The amount of cash outflows reported in row 080 other than those reported in row 090 that is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 2 or 3 by a nominated ECAI 120 1.2.1.1.4 Level 1 (CQS 4+) The amount of cash outflows reported in row 080 other than those reported in row 090 that is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 4 or worse by a nominated ECAI 130 1.2.1.2 Level 1 covered bonds (CQS1) The amount of cash outflows reported in row 070 that is collateralised by assets that are covered bonds In accordance with point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 only CQS 1 covered bonds shall be eligible as Level 1 assets. 140 1.2.2 Level 2A tradable assets The amount of cash outflows reported in row 060 that is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 11 of Delegated Regulation (EU) 2015/61 if they were not securing the particular transaction

§ Article 428a

CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets. 150 1.2.2.1 Level 2A corporate bond (CQS 1) The amount of cash outflows reported in row 140 that is collateralised by corporate bonds that are assigned credit quality step 1 by a nominated ECAI 160 1.2.2.2 Level 2A covered bonds (CQS1, CQS2) The amount of cash outflows reported in row 140 that is collateralised by covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI 170 1.2.2.3 Level 2A public sector (CQS1, CQS2) The amount of cash outflows reported in row 140 that is collateralised by assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities In accordance with points (a) and (b) of Article 11(1) of Delegated Regulation (EU) 2015/61 all public sector assets eligible as Level 2A shall be either credit quality step 1 or credit quality step 2. 180 1.2.3 Level 2B tradable assets The amount of cash outflows reported row 060 that is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 12 or 13 of Delegated Regulation (EU) 2015/61 if they were not securing the particular transaction CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets. 190 1.2.3.1 Level 2B Asset Backed Securities-ABS (CQS 1) The amount of cash outflows reported in row 180 that is collateralised by asset backed securities, including RMBS. In accordance with point (a) of Article 13(2) of Delegated Regulation (EU) 2015/61 all asset backed securities qualifying as Level 2B shall have credit quality step 1. 200 1.2.3.2 Level 2B covered bonds (CQS 1-6) The amount of cash outflows reported in row 180 that is collateralised by covered bonds 210 1.2.3.3 Level 2B corporate bonds (CQS 1-3) The amount of cash outflows reported in row 180 that is collateralised by corporate debt securities 220 1.2.3.4 Level 2B shares The amount of cash outflows reported in row 180 that is collateralised by shares 230 1.2.3.5 Level 2B public sector (CQS 3-5) The amount of cash outflows reported in row 180 that is collateralised by Level 2B assets not reported in row 190 to 220. 240 1.2.4 other tradable assets The amount of cash outflows reported in row 060 that is collateralised by tradable assets not reported in rows 070, 140 or 180. 250 1.2.5 other assets The amount of cash outflows reported in row 060 that is collateralised by assets not reported in rows 070, 140, 180 or 240. 260 1.3 Liabilities not reported under 1.2, resulting from deposits received excluding deposits received as collateral Cash outflows arising from all deposits received with the exception of outflows reported in row 060 and deposits received as collateral

§ Article 428a

Cash outflows arising from derivative transactions shall be reported in row 350 or 360. Deposits shall be reported in accordance with their earliest possible contractual maturity date. Deposits that can be withdrawn immediately without notice (sight deposits) or non-maturing deposits shall be reported in the overnight bucket. 270 1.3.1 stable retail deposits The amount of cash outflows reported in row 260 that derives from retail deposits in accordance with point (8) of Article 3 and Article 24 of Delegated Regulation (EU) 2015/61 280 1.3.2 other retail deposits The amount of cash outflows reported in row 260 that derives from retail deposits in accordance with point (8) of Article 3 of Delegated Regulation (EU) 2015/61 other than those reported in row 270. 290 1.3.3 operational deposits The amount of cash outflows reported in row 260 that derives from operational deposits in accordance with Article 27 of Delegated Regulation (EU) 2015/61. 300 1.3.4 non-operational deposits from credit institutions The amount of cash outflows reported in row 260 that derives from deposits by credit institutions other than those reported in row 290. 310 1.3.5 non-operational deposits from other financial customers The amount of cash outflows reported in row 260 that derives from deposits from financial customers other than those reported in row 290 and 300 320 1.3.6 non-operational deposits from central banks The amount of cash outflows reported in row 260 that derives from non- operational deposits placed by central banks 330 1.3.7 non-operational deposits from non-financial corporates The amount of cash outflows reported in row 260 that derives from non- operational deposits placed by non-financial corporates. 340 1.3.8 non-operational deposits from other counterparties The amount of cash outflows reported in row 260 that derives from deposits not reported in rows 270 to 330. 350 1.4 FX-swaps maturing Total amount of cash outflows resulting from the maturity of FX-swap transactions such as the exchange of principal amounts at the end of the contract. 360 1.5 Derivatives amount payables other than those reported under 1.4 Total amount of cash outflows resulting from derivatives payables positions from the contracts listed in Annex II to Regulation (EU) No 575/2013 with the exception of outflows resulting from maturing FX swaps which shall be reported in row 350. The total amount shall reflect settlement amounts including unsettled margin calls as of the reporting date. The total amount shall be the sum of (1) and (2) as follows, across the various time buckets: (1) cash and securities flows related to derivatives for which there is a collateral agreement in place requiring full or adequate collateralisation of counterparty exposures, shall be excluded from the maturity ladder templates; all flows of cash, securities, cash collateral and securities collateral related to those derivatives shall be excluded from the templates. Stocks of cash and securities collateral that have already been received or provided in the context of collateralised derivatives shall not be included in the stock column of section 3 of the maturity ladder covering the counterbalancing capacity, with the exception of cash and securities flows in the context of margin calls (cash or securities collateral flows) which are payable in due course but have not yet been settled. The latter shall be reflected in lines 1.5 derivatives cash-outflows and 2.4 derivatives cash- inflows for cash collateral and in section 3 counterbalancing capacity for securities collateral;

§ Article 428a

(2) for cash and securities inflows and outflows related to derivatives for which there is no collateral agreement in place or where only partial collateralisation is required, a distinction shall be made between contracts that involve optionality and other contracts: (a) flows related to option-like derivatives shall be included only where the strike price is below the market price for a call, or above the market price for a put option (in the money). These flows shall be proxied by applying both of the following: (i) including the current market value or net present value of the contract as inflow in line 2.4 of the maturity ladder derivatives cash- inflows at the latest exercise date of the option where the bank has the right to exercise the option; (ii) including the current market value or net present value of the contract as outflow in line 1.5 of the maturity ladder derivatives cash-outflows at the earliest exercise date of the option where the bank’s counterparty has the right to exercise the option; (b) flows related to other contracts than those referred to in point (a) shall be included by projecting the gross contractual flows of cash in the respective time buckets in lines 1.5 derivatives cash- outflows and 2.4 derivatives cash-inflows and the contractual flows of liquid securities in the counterbalancing capacity of the maturity ladder, using the current market-implied forward rates applicable on the reporting date where the amounts are not yet fixed. 370 1.6 Other outflows Total amount of all other cash outflows, not reported row 010, 060, 260, 350 or 360. Contingent outflows shall not be reported here. 380 1.7 Total outflows The sum of outflows reported in row 010, 060, 260, 350,360 and 370. 390 to 7002 INFLOWS390 2.1 Monies due from secured lending and capital market driven transactions collateralised by: Total amount of cash inflows from secured lending and capital market driven transactions as defined in Article 192 of Regulation (EU) No 575/2013 Only cash flows shall be reported here, securities flows relating to secured lending and capital market driven transactions shall be reported in the counterbalancing capacity section. 400 2.1.1 Level 1 tradable assets The amount of cash inflows reported in row 390 that is collateralised by tradable assets in accordance with Articles 7, 8 and 10 of Delegated Regulation (EU) 2015/61 CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets. 410 2.1.1.1 Level 1 excluding covered bonds The amount of cash inflows reported in row 400 that is collateralised by assets that are not covered bonds 420 2.1.1.1.1 Level 1 central bank The amount of cash inflows reported in in row 410 that is collateralised by assets representing claims on or guaranteed by central banks 430 2.1.1.1.2 Level 1 (CQS 1) The amount of cash inflows reported in row 410 other than those reported in row 420 that is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 1 by a nominated ECAI

§ Article 428a

440 2.1.1.1.3 Level 1 (CQS 2, CQS3) The amount of cash inflows reported in row 410 other than those reported in row 420 that is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 2 or 3 by a nominated ECAI 450 2.1.1.1.4 Level 1 (CQS 4+) The amount of cash inflows reported in row 410 other than those reported in row 420 that is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 4 or worse by a nominated ECAI 460 2.1.1.2 Level 1 covered bonds (CQS1) The amount of cash inflows reported in row 400 that is collateralised by assets that are covered bonds In accordance with point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 only CQS 1 covered bonds shall be eligible as Level 1 assets. 470 2.1.2 Level 2A tradable assets The amount of cash inflows reported in row 390 that is collateralised by tradable assets in accordance with Articles 7, 8 and 11 of Delegated Regulation (EU) 2015/61 CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets. 480 2.1.2.1 Level 2A corporate bond (CQS 1) The amount of cash inflows reported in row 470 that is collateralised by corporate bonds that are assigned credit quality step 1 by a nominated ECAI 490 2.1.2.2 Level 2A covered bonds (CQS1, CQS2) The amount of cash inflows reported in row 470 that is collateralised by covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI 500 2.1.2.3 Level 2A public sector (CQS1, CQS2) The amount of cash inflows reported in row 470 that is collateralised by assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities In accordance with points (a) and (b) of Article 11(1) of Delegated Regulation (EU) 2015/61 all public sector assets eligible as Level 2A shall be either credit quality step 1 or credit quality step 2. 510 2.1.3 Level 2B tradable assets The amount of cash inflows reported in row 390 that is collateralised by tradable assets in accordance with Articles 7, 8 and 12 or 13 of Delegated Regulation (EU) 2015/61 CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets. 520 2.1.3.1 Level 2B ABS (CQS 1) The amount of cash inflows reported in row 510 that is collateralised by asset backed securities, including RMBS. 530 2.1.3.2 Level 2B covered bonds (CQS 1-6) The amount of cash inflows reported in row 510 that is collateralised by covered bonds. 540 2.1.3.3 Level 2B corporate bonds (CQS 1-3) The amount of cash inflows reported in row 510 that is collateralised by corporate debt securities. 550 2.1.3.4 Level 2B shares The amount of cash inflows reported in row 510 that is collateralised by shares.

§ Article 428a

560 2.1.3.5 Level 2B public sector (CQS 3-5) The amount of cash inflows reported in row 510 that is collateralised by Level 2B assets not reported in row 520 to 550 570 2.1.4 other tradable assets The amount of cash inflows reported in row 390 that is collateralised by tradable assets not reported in rows 400, 470 or 510. 580 2.1.5 other assets The amount of cash inflows reported in row 390 that is collateralised by assets not reported in rows 400, 470, 510 or 570. 590 2.2 Monies due not reported under item 2.1 resulting from loans and advances granted to: Cash inflows from loans and advances Cash inflows shall be reported at the latest contractual date for repayment. For revolving facilities, the existing loan shall be assumed to be rolled-over and any remaining balances shall be treated as committed facilities. 600 2.2.1 retail customers The amount of cash inflows reported in row 590 that derives from natural persons or SMEs in accordance with point (8) of Article 3 of Delegated Regulation (EU) 2015/61 610 2.2.2 non-financial corporates The amount of cash inflows reported in row 590 that derives from non- financial corporates 620 2.2.3 credit institutions The amount of cash inflows reported in row 590 that derives from credit institutions 630 2.2.4 other financial customers The amount of cash inflows reported in row 590 that derives from financial customers in accordance with point (9) of Article 3 of Delegated Regulation (EU) 2015/61 other than those reported in row 620 640 2.2.5 central banks The amount of cash inflows reported in row 590 that derives from central banks 650 2.2.6 other counterparties The amount of cash inflows reported in row 590 that derives from other counterparties not referred to in sections 2.2.1-2.2.5. 660 2.3 FX-swaps maturing Total amount of contractual cash inflows resulting from the maturity of FX Swap transactions such as the exchange of principal amounts at the end of the contract. This reflects the maturing notional value of cross-currency swaps, FX spot and forward transactions in the applicable time buckets of the template. 670 2.4. Derivatives amount receivables other than those reported in 2.3 Total amount of contractual cash inflows resulting from derivatives receivables positions from the contracts listed in Annex II to Regulation (EU) No 575/2013 with the exception of inflows resulting from maturing FX swaps which shall be reported in item 2.3. The total amount shall include settlement amounts including unsettled margin calls as of the reporting date. The total amount shall be the sum of (1) and (2) as follows, across the various time buckets:

  1. cash and securities flows related to derivatives for which there is a collateral agreement in place that requires full or adequate collateralisation of counterparty exposures shall be excluded from the maturity ladder template, and all flows of cash, securities, cash collateral and securities collateral related to those derivatives shall be excluded from the template. Stocks of cash and securities collateral that have already been received or provided in the context of collateralised derivatives shall not be included in the stock column of section 3 of the maturity ladder covering the counterbalancing capacity with the exception of cash and securities flows in the context of margin calls which are payable in due course but have not yet been settled. The latter shall be reflected in lines 1.5 derivatives cash-outflows and 2.4 derivatives cash- inflows for cash collateral and in section 3 counterbalancing capacity for securities collateral in the maturity ladder;
§ Article 428a
  1. for cash and securities inflows and outflows related to derivatives for which there is no collateral agreement in place or where only partial collateralisation is required, a distinction shall be made between contracts that involve optionality and other contracts: (a) flows related to option-like derivatives shall be included only if they are in the money. These flows shall be proxied by applying both of the folloowing: (i) including the current market value or net present value of the contract as inflow in line 2.4 of the maturity ladder derivatives cash-inflows at the latest exercise date of the option where the bank has the right to exercise the option; (ii) including the current market value or net present value of the contract as outflow in line 1.5 of the maturity ladder derivatives cash-outflows at the earliest exercise date of the option where the bank’s counterparty has the right to exercise the option; (b) flows related to other contracts than those referred to in point (a) shall be included by projecting the gross contractual flows of cash in the respective time buckets in lines 1.5 derivatives cash- outflows and 2.4 derivatives cash-inflows and the contractual flows of securities in the counterbalancing capacity of the maturity ladder, using the current market- implied forward rates applicable on the reporting date where the amounts are not yet fixed. 680 2.5 Paper in own portfolio maturing The amount of inflows which is principal repayment from own investments due taken in bonds reported in accordance with their residual contractual maturity This item shall include cash inflows from maturing securities reported in the counterbalancing capacity. Therefore, once a security matures, it shall be reported as securities outflow in the counterbalancing capacity and consequently as a cash inflow here. 690 2.6 Other inflows Total amount of all other cash inflows that are not reported in rows 390, 590, 660, 670 or 680 Contingent inflows shall not be reported. 700 2.7 Total inflows Sum of inflows reported in rows 390, 590, 660, 670, 680 and 690 710 2.8 Net contractual gap Total inflows reported in row 700 less total outflows reported in row 380 720 2.9 Cumulated net contractual gap Cumulated net contractual gap from the reporting date to the upper limit of a relevant time bucket 730-1080 3 COUNTERBALANCING CAPACITY The Counterbalancing Capacity of the maturity ladder shall contain information on the development of an institution’s holdings of assets of varying degrees of liquidity, amongst which tradable assets and central bank eligible assets, as well as facilities contractually committed to the institution. For reporting at the consolidated level on central bank eligibility, the rules of central bank eligibility which apply to each consolidated institution in its jurisdiction of incorporation shall form the basis. Where the counterbalancing capacity refers to tradable assets, institutions shall report tradable assets traded in large, deep and active repo or cash markets characterised by a low level of concentration.
§ Article 428a

Assets reported in the columns of the counterbalancing capacity shall include only unencumbered assets available to the institution to convert into cash at any time to fill contractual gaps between cash inflows and outflows during the time horizon. For those purposes, the definition of encumbered assets in accordance with Commission Delegated Regulation (EU) 2015/61 shall apply. The assets shall not be used to provide credit enhancements in structured transactions or to cover operational costs, such as rents and salaries, and shall be managed with the clear and sole intent for use as a source of contingent funds. Assets that the institution received as collateral in reverse repo and Securities Financing Transactions (SFT) can be considered as part of the counterbalancing capacity if they are held at the institution, have not been rehypothecated, and are legally and contractually available for the institution’s use. In order to avoid double counting, where the institution reports prepositioned assets under items 3.1 to 3.7, it shall not report the related capacity of those facilities under item 3.8. Institutions shall report assets, where they meet the description of a row and are available at the reporting date, as an initial stock in column 010. Columns 020 to 220 shall contain contractual flows in the counterbalancing capacity. Where an institution has entered into a repo transaction, the asset which has been repoed out shall be re-entered as a security inflow in the maturity bucket where the repo transaction matures. Correspondingly, the cash outflow following from the maturing repo shall be reported in the relevant cash outflow bucket under item 1.2. Where an institution has entered into a reverse repo transaction, the asset which has been repoed in shall be re- entered as a security outflow in the maturity bucket where the repo transaction matures. Correspondingly, the cash inflow following from the maturing repo shall be reported in the relevant cash inflow bucket under item 2.1. Collateral swaps shall be reported as contractual inflows and outflows of securities in the counterbalancing capacity section in accordance with the relevant maturity bucket in which these swaps mature. A change to the contractually available amount of credit and liquidity lines reported under item 3.8 shall be reported as a flow in the relevant time bucket. Where an institution has an overnight deposit at a central bank, the amount of the deposit shall be reported as an initial stock under item 3.2 and as a cash outflow in the maturity bucket overnight for this item. Correspondingly, the resultant cash inflow shall be reported under item 2.2.5. Maturing securities in the counterbalancing capacity shall be reported based on their contractual maturity. When a security matures, it shall be removed from the asset category it was initially reported in, it shall be treated as an outflow of securities, and the resultant cash inflow shall be reported under item 2.5. All security values shall be reported in the relevant bucket at current market values.

§ Article 428a

Only contractually available amounts shall be reported under item 3.8. To avoid double counting, cash-inflows shall not be accounted for under item 3.1 or 3.2 of the counterbalancing capacity. Items in the counterbalancing capacity shall be reported in the following sub- categories below: 730 3.1 Coins and bank notes Total amount of cash arising from coins and banknotes 740 3.2 Withdrawable central bank reserves Total amount of reserves at central banks in accordance with point (b)(iii) of Article 10(1) of Delegated Regulation (EU) 2015/61 withdrawable overnight at the latest Securities representing claims on or guaranteed by central banks shall not be reported here. 750 3.3 Level 1 tradable assets The market value of tradable assets in accordance with Articles 7, 8 and 10 of Delegated Regulation (EU) 2015/61 CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets. 760 3.3.1 Level 1 excluding covered bonds The amount reported in row 750 that is not covered bonds 770 3.3.1.1 Level 1 central bank The amount reported in row 760 that is assets representing claims on or guaranteed by central banks 780 3.3.1.2 Level 1 (CQS 1) The amount reported in row 760 other than the amount reported in row 770 that is assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 1 by a nominated ECAI 790 3.3.1.3 Level 1 (CQS 2, CQS3) The amount reported in row 760 other than those reported in row 770 that is assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 2 or 3 by a nominated ECAI 800 3.3.1.4 Level 1 (CQS 4+) The amount reported in row 760 other than those reported in row 770 that is assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 4 or worse by a nominated ECAI 810 3.3.2 Level 1 covered bonds (CQS1) The amount reported in row 750 that is covered bonds In accordance with point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 only CQS 1 covered bonds shall be eligible as Level 1 assets. 820 3.4 Level 2A tradable assets The market value of tradable assets in accordance with Articles 7, 8 and 11 of Delegated Regulation (EU) 2015/61 CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets. 830 3.4.1 Level 2A corporate bond (CQS 1) The amount reported in row 820 that is corporate bonds that are assigned credit quality step 1 by a nominated ECAI 840 3.4.2 Level 2A covered bonds (CQS 1, CQS2) The amount reported in row 820 that is covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI 850 3.4.3 Level 2A public sector (CQS1, CQS2) The amount reported in row 820 that is assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities

§ Article 428a

In accordance with points (a) and (b) of Article 11(1) of Delegated Regulation (EU) 2015/61 all public sector assets eligible as Level 2A shall be either credit quality step 1 or credit quality step 2. 860 3.5 Level 2B tradable assets The market value of tradable assets in accordance with Articles 7, 8 and 12 or 13 of Delegated Regulation (EU) 2015/61 CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets. 870 3.5.1 Level 2B ABS (CQS 1) The amount reported in row 860 that is asset backed securities (including RMBS) In accordance with point (a) of Article 13(2) of Delegated Regulation (EU) 2015/61 all asset backed securities qualifying as Level 2B shall have credit quality step 1. 880 3.5.2 Level 2B covered bonds (CQS 1-6) The amount reported in row 860 that is covered bonds 890 3.5.3 Level 2B corporate bonds (CQS 1-3) The amount reported in row 860 that is corporate debt securities 900 3.5.4 Level 2B shares The amount reported in row 860 that is shares 910 3.5.5 Level 2B public sector (CQS 3-5) The amount reported in row 860 that is Level 2B assets not reported in items 3.5.1 to 3.5.4 920 3.6 other tradable assets The market value of tradable assets other than those reported in rows 750, 820 and 860. Securities and securities flows from other tradable assets in the form of intragroup or own issuances shall not be reported in the counterbalancing capacity. Nevertheless, cash flows from such items shall be reported in the relevant part of section 1 and 2 of the template. 930 3.6.1 central government (CQS1) The amount reported in row 920 that is an asset representing a claim on or guaranteed by a central government that is assigned credit quality step 1 by a nominated ECAI. 940 3.6.2 central government (CQS2-3) The amount reported in row 920 that is an asset representing a claim on or guaranteed by a central government that is assigned credit quality step 2 or 3 by a nominated ECAI 950 3.6.3 shares The amount reported in row 920 that is shares 960 3.6.4 covered bonds The amount reported in row 920 that is covered bonds 970 3.6.5 ABS The amount reported in row 920 that is ABS 980 3.6.6 other tradable assets The amount reported in row 920 that is other tradable asset not reported in rows 930 to 970 990 3.7 non-tradable assets eligible for central bank The carrying amount of non-tradable assets that are eligible collateral for standard liquidity operations of the central bank to which the institution has direct access at its level of consolidation For assets denominated in a currency included in the Annex to Commission Implementing Regulation (EU) 2015/233 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank. Securities and securities flows from other tradable assets in the form of intragroup or own issuances shall not be reported in the counterbalancing capacity. Nevertheless, cash flows from such items shall be reported in the relevant part of section 1 and 2 of the template.

§ Article 428a

1000 3.8 Undrawn committed facilities received Total amount of undrawn committed facilities extended to the reporting institution These shall include contractually irrevocable facilities. Institutions shall report a reduced amount where the potential collateral needs for drawing on these facilities exceeds the availability of collateral. In order to avoid double-counting, facilities where the reporting institution has already prepositioned assets as collateral, for an undrawn credit facility, and has already reported the assets in rows 730 to 990, shall not be reported in row 1000. The same shall apply for cases where the reporting institution may need to preposition assets as collateral in order to draw as reported in this field. 1010 3.8.1 Level 1 facilities The amount reported in row 1000 that is central bank facility in accordance with point (b) of Article 19(1) of Delegated Regulation (EU) 2015/61 1020 3.8.2 Level 2B restricted use facilities The amount reported in row 1000 that is facilities in accordance with Article 14 of Delegated Regulation (EU) 2015/61 1030 3.8.3 Level 2B IPS facilities The amount reported in row 1000 that is liquidity funding in accordance with Article 16(2) of Delegated Regulation (EU) 2015/61 1040 3.8.4 Other facilities The amount reported in row 1000 other than the amount reported in rows 1010 to 1030 1050 3.8.4.1 from intragroup counterparties The amount reported in row 1040 where the counterparty is a parent or a subsidiary of the 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 as 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) 1060 3.8.4.2 from other counterparties The amount reported in row 1040 other than the amount reported in row 1050. 1070 3.9 Net change of Counterbalancing Capacity Net change in exposures referred to in items 3.2, 3.3, 3.4 and 3.5, 3.6, 3.7 and 3.8 representing, respectively, central banks, securities flows and committed credit lines in a given time bucket shall be reported. 1080 3.10 Cumulated Counterbalancing Capacity Cumulated amount of Counterbalancing Capacity from the reporting date to the upper limit of a relevant time bucket. 1090-1140 4 CONTINGENCIES The Contingencies of the maturity ladder shall contain information on contingent outflows. 1090 4.1 Outflows from committed facilities Cash outflows arising from committed facilities Institutions shall report as an outflow the maximum amount that can be drawn in a given time period. For revolving credit facilities, only the amount above the existing loan shall be reported. 1100 4.1.1 Committed credit facilities The amount reported in row 1090 that derives from committed credit facilities in accordance with Article 31 of Delegated Regulation (EU) 2015/61

§ Article 428a

1110 4.1.1.1 considered as Level 2B by the receiver The amount reported in row 1100 that is considered liquidity funding in accordance with Article 16(2) of Delegated Regulation (EU) 2015/61 1120 4.1.1.2 other The amount reported in row 1100, other than the amount reported in row 1110 1130 4.1.2 Liquidity facilities The amount reported in row 1090 that derives from liquidity facilities in accordance with Article 31 of Delegated Regulation (EU) 2015/61 1140 4.2 Outflows due to downgrade triggers Institutions shall report here the effect of a material deterioration of the credit quality of the institution corresponding to a downgrade in its external credit assessment by at least three notches. Positive amounts shall represent contingent outflows and negative amounts shall represent a reduction of the original liability. Where the effect of the downgrade is an early redemption of outstanding liabilities, the concerned liabilities shall be reported with a negative sign in a time band where they are reported in item 1 and simultaneously with a positive sign in a time band when the liability becomes due, should the effects of the downgrade become applicable at the reporting date. Where the effect of the downgrade is a margin call, the market value of the collateral required to be posted shall be reported with a positive sign in a time band when the requirement becomes due, should the effects of the downgrade become applicable at the reporting date. Where the effect of the downgrade is a change in the re-hypothecation rights of the securities received as collateral from the counterparties, the market value of the affected securities shall be reported with a positive sign in a time band when the securities cease to be available to the reporting institution, should the effects of the downgrade become applicable at the reporting date. 1150-12905 MEMORANDUM ITEMS1200 10 Intragroup or IPS outflows (excluding FX) Sum of outflows reported in rows 010, 060, 260, 360, 370 where the counterparty is a parent or a subsidiary of the 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) 1210 11 Intragroup or IPS inflows (excluding FX and maturing securities) Sum of inflows reported in rows 390, 590, 670, 690 where the counterparty is a parent or a subsidiary of the 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)

§ Article 428a

1220 12 Intragroup or IPS inflows from maturing securities Sum of inflows in row 680 where the counterparty is a parent or a subsidiary of the 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). 1230 13 HQLA central bank eligible Sum of the amounts reported in rows 750, 820 and 860 that is eligible collateral for standard liquidity operations of the central bank to which the institution has direct access at its level of consolidation For assets denominated in a currency included in the Annex to Regulation (EU) 2015/233 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank. 1240 14 non-HQLA central bank eligible The sum of: i) The sum of the amounts reported in row 920 that is eligible collateral for standard liquidity operations of the central bank to which the institution has direct access at its level of consolidation; ii) The own issuances which are eligible collateral for standard liquidity operations of a the central bank to which the institution has direct access at its level of consolidation. For assets denominated in a currency included in Regulation (EU) 2015/233 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank. 1270 17 Behavioural outflows from deposits The amount reported in row 260 redistributed into the time buckets in accordance with the behavioural maturity on a business as usual basis used for the purpose of the liquidity risk management of the reporting institution For the purposes of this field, business as usual shall mean ‘a situation without any liquidity stress assumption. The distribution shall reflect the stickiness of the deposits. The item does not reflect business plan assumptions and therefore shall not include information relating to new business activities. Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, not all time buckets need to be filled in. 1280 18 Behavioural inflows from loans and advances The amount reported in row 590 redistributed into the time buckets in accordance with the behavioural maturity on a business as usual basis used for the purpose of the liquidity risk management of the reporting institution For the purposes of this field, business as usual shall mean a situation without any liquidity stress assumption. The item does not reflect business plan assumptions and therefore shall not consider new business activities. Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, not all time buckets must necessarily be filled in. 1290 19 Behavioural draw-downs of committed facilities

§ Article 428a

The amount reported in row 1090 redistributed into the time buckets in accordance with the behavioural level of draw-downs and resulting liquidity needs on a business as usual basis used for the purpose of the liquidity risk management of the reporting institution For the purposes of this field, business as usual means a situation without any liquidity stress assumption. The item does not reflect business plan assumptions and therefore shall not consider new business activities. Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, not all time buckets need to be filled in.

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 9001000200030004000101TOTAL UNADJUSTED LIQUID ASSETS00201.1Total unadjusted level 1 assets00301.1.1Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds00401.1.1.1Coins and banknotes1,0000501.1.1.2Withdrawable central bank reserves1,0000601.1.1.3Central bank assets1,0000701.1.1.4Central government assets1,0000801.1.1.5Regional government / local authorities assets1,0000901.1.1.6Public Sector Entity assets1,0001001.1.1.7Recognisable domestic and foreign currency central government and central bank assets1,0001101.1.1.8Credit institution (protected by Member State government, promotional lender) assets1,0001201.1.1.9Multilateral development bank and international organisations assets1,0001301.1.1.10Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure1,00 01401.1.1.11Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely high quality covered bonds0,9501501.1.1.12Alternative Liquidity Approaches: Central bank credit facility1,0001601.1.1.13Central institutions: Level 1 assets excl. EHQ CB which are considered liquid assets for the depositing credit institution01701.1.1.14Alternative Liquidity Approaches: Level 2A assets recognised as Level 10,8001801.1.2Total unadjusted LEVEL 1 extremely high quality covered bonds01901.1.2.1Extremely high quality covered bonds0,9302001.1.2.2Qualifying CIU shares/units: underlying is extremely high quality covered bonds0,8802101.1.2.3Central institutions: Level 1 EHQ covered bonds which are considered liquid assets for the depositing credit institution02201.2Total unadjusted level 2 assets02301.2.1Total unadjusted LEVEL 2A assets02401.2.1.1Regional government / local authorities or Public Sector Entity assets (Member State, RW20%)0,8502501.2.1.2Central bank or central / regional government or local authorities or Public Sector Entity assets (Third Country, RW20%)0,85

§ Article 428a

02601.2.1.3High quality covered bonds (CQS2)0,8502701.2.1.4High quality covered bonds (Third Country, CQS1)0,8502801.2.1.5Corporate debt securities (CQS1)0,8502901.2.1.6Qualifying CIU shares/units: underlying is Level 2A assets0,8003001.2.1.7Central institutions: Level 2A assets which are considered liquid assets for the depositing credit institution03101.2.2Total unadjusted LEVEL 2B assets03201.2.2.1Asset-backed securities (residential, CQS1)0,7503301.2.2.2Asset-backed securities (auto, CQS1)0,7503401.2.2.3High quality covered bonds (RW35%)0,7003501.2.2.4Asset-backed securities (commercial or individuals, Member State, CQS1)0,6503601.2.2.5Corporate debt securities (CQS2/3)0,5003701.2.2.6Corporate debt securities - non-interest bearing assets (held by credit institutions for religious reasons) (CQS1/2/3)0,50 03801.2.2.7Shares (major stock index)0,5003901.2.2.8Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)0,5004001.2.2.9Restricted-use central bank committed liquidity facilities1,0004101.2.2.10Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1)0,7004201.2.2.11Qualifying CIU shares/units: underlying is High quality covered bonds (RW35%)0,6504301.2.2.12Qualifying CIU shares/units: underlying is asset-backed securities (commercial or individuals, Member State, CQS1)0,6004401.2.2.13Qualifying 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)0,4504501.2.2.14Deposits by network member with central institution (no obligated investment)0,7504601.2.2.15Liquidity funding available to network member from central institution (non-specified collateralisation)0,7504701.2.2.16Central institutions: Level 2B assets which are considered liquid assets for the depositing credit institution MEMORANDUM ITEMS04852Deposits by network member with central institution (obligated investment)05803Level 1/2A/2B assets excluded due to currency reasons05904Level 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 WeightOutflowRowIDItem01002003004005006000101OUTFLOWS00201.1Outflows from unsecured transactions/deposits00301.1.1Retail deposits00351.1.1.1deposits exempted from the calculation of outflows0,0000401.1.1.2deposits where the payout has been agreed within the following 30 days1,0000501.1.1.3deposits subject to higher outflows00601.1.1.3.1category 10,10-0,1500701.1.1.3.2category 20,15-0,2000801.1.1.4stable deposits0,0500901.1.1.5derogated stable deposits0,0301001.1.1.6deposits in third countries where a higher outflow is applied01101.1.1.7other retail deposits0,10 01201.1.2Operational deposits01301.1.2.1maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship01401.1.2.1.1covered by DGS0,0501501.1.2.1.2not covered by DGS0,2501601.1.2.2maintained in the context of IPS or a cooperative network01701.1.2.2.1not treated as liquid assets for the depositing institution0,2501801.1.2.2.2treated as liquid assets for the depositing credit institution1,0001901.1.2.3maintained in the context of an established operational relationship (other) with non-financial customers0,2502001.1.2.4maintained to obtain cash clearing and central credit institution services within a network0,2502031.1.3Excess operational deposits02041.1.3.1deposits by financial customers1,0002051.1.3.2deposits by other customers

§ Article 428a

02061.1.3.2.1covered by DGS0,2002071.1.3.2.2not covered by DGS0,4002101.1.4Non-operational deposits02201.1.4.1correspondent banking and provisions of prime brokerage deposits1,0002301.1.4.2deposits by financial customers1,0002401.1.4.3deposits by other customers02501.1.4.3.1covered by DGS0,2002601.1.4.3.2not covered by DGS0,4002701.1.5Additional outflows02801.1.5.1collateral other than Level 1 assets collateral posted for derivatives0,2002901.1.5.2Level 1 EHQ Covered Bonds assets collateral posted for derivatives0,1003001.1.5.3material outflows due to deterioration of own credit quality1,00 03101.1.5.4impact of an adverse market scenario on derivatives transactions1,0003401.1.5.5outflows from derivatives1,0003501.1.5.6short positions03601.1.5.6.1covered by collateralized SFT0,0003701.1.5.6.2other1,0003801.1.5.7callable excess collateral1,0003901.1.5.8due collateral1,0004001.1.5.9liquid asset collateral exchangable for non-liquid asset collateral1,0004101.1.5.10loss of funding on structured financing activites04201.1.5.10.1structured financing instruments1,0004301.1.5.10.2financing facilites1,0004501.1.5.11internal netting of client's positions0,50 04601.1.6Committed facilities04701.1.6.1credit facilities04801.1.6.1.1to retail customers0,0504901.1.6.1.2to non-financial customers other than retail customers0,1005001.1.6.1.3to credit institutions05101.1.6.1.3.1for funding promotional loans of retail customers0,0505201.1.6.1.3.2for funding promotional loans of non-financial customers0,1005301.1.6.1.3.3other0,4005401.1.6.1.4to regulated financial institutions other than credit institutions0,4005501.1.6.1.5within a group or an IPS if subject to preferential treatment05601.1.6.1.6within IPS or cooperative network if treated as liquid asset by the depositing institution0,7505701.1.6.1.7to other financial customers1,00 05801.1.6.2liquidity facilities05901.1.6.2.1to retail customers0,0506001.1.6.2.2to non-financial customers other than retail customers0,3006101.1.6.2.3to personal investment companies0,4006201.1.6.2.4to SSPEs06301.1.6.2.4.1to purchase assets other than securities from non-financial customers0,1006401.1.6.2.4.2other1,0006501.1.6.2.5to credit institutions06601.1.6.2.5.1for funding promotional loans of retail customers0,0506701.1.6.2.5.2for funding promotional loans of non-financial customers0,3006801.1.6.2.5.3other0,4006901.1.6.2.6within a group or an IPS if subject to preferential treatment 07001.1.6.2.7within IPS or cooperative network if treated as liquid asset by the depositing institution0,7507101.1.6.2.8to other financial customers1,0007201.1.7Other products and services07311.1.7.1Uncommitted funding facilities07401.1.7.2undrawn loans and advances to wholesale counterparties07501.1.7.3mortgages that have been agreed but not yet drawn down07601.1.7.4credit cards07701.1.7.5overdrafts07801.1.7.6planned outflows related to renewal or extension of new retail or wholesale loans08501.1.7.7derivatives payables08601.1.7.8trade finance off-balance sheet related products08701.1.7.9others

§ Article 428a

08851.1.8Other liabilities and due commitments08901.1.8.1liabilities resulting from operating expenses0,0009001.1.8.2in the form of debt securities if not treated as retail deposits1,0009121.1.8.4the excess of funding to non-financial customers09131.1.8.4.1the excess of funding to retail customers1,0009141.1.8.4.2the excess of funding to non financial corporates1,0009151.1.8.4.3the excess of funding to sovereigns, MLDBs and PSEs1,0009161.1.8.4.4the excess of funding to other legal entities1,0009171.1.8.5assets borrowed on an unsecured basis1,0009181.1.8.6others1,0009201.2Outflows from secured lending and capital market-driven transactions09301.2.1Counterparty is central bank 09401.2.1.1level 1 excl. EHQ Covered Bonds collateral0,0009451.2.1.1.1of which collateral extended meets operational requirements09501.2.1.2level 1 EHQ Covered Bonds collateral0,0009551.2.1.2.1of which collateral extended meets operational requirements09601.2.1.3level 2A collateral0,0009651.2.1.3.1of which collateral extended meets operational requirements09701.2.1.4level 2B asset-backed securities (residential or automobile, CQS1) collateral0,0009751.2.1.4.1of which collateral extended meets operational requirements09801.2.1.5level 2B covered bonds0,0009851.2.1.5.1of which collateral extended meets operational requirements09901.2.1.6level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral0,0009951.2.1.6.1of which collateral extended meets operational requirements 10001.2.1.7other 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 requirements10401.2.2.2level 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 requirements 10701.2.2.5level 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 swapsMEMORANDUM 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 institutions 11903.2provided 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

§ Article 428a

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 inflowsRowIDItem001000200030004000500060007000800090010001100120013001400150016000101TOTAL INFLOWS00201.1Inflows from unsecured transactions/deposits00301.1.1monies due from non-financial customers (except for central banks)00401.1.1.1monies due from non-financial customers (except for central banks) not corresponding to principal repayment1,0000501.1.1.2other monies due from non-financial customers (except for central banks)00601.1.1.2.1monies due from retail customers0,5000701.1.1.2.2monies due from non-financial corporates0,5000801.1.1.2.3monies due from sovereigns, multilateral development banks and public sector entities0,5000901.1.1.2.4monies due from other legal entities0,5001001.1.2monies due from central banks and financial customers01101.1.2.1monies due from financial customers being classified as operational deposits01201.1.2.1.1monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate 01301.1.2.1.2monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate0,0501401.1.2.2monies due from central banks and financial customers not being classified as operational deposits01501.1.2.2.1monies due from central banks1,0001601.1.2.2.2monies due from financial customers1,0001701.1.3inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/611,0001801.1.4monies due from trade financing transactions1,0001901.1.5monies due from securities maturing within 30 days1,0002011.1.6loans with an undefined contractual end date0,2002101.1.7monies due from positions in major index equity instruments provided that there is no double counting with liquid assets1,0002301.1.8inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets1,0002401.1.9inflows from derivatives1,0002501.1.10inflows 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 rate

§ Article 428a

02601.1.11other inflows1,0002631.2Inflows from secured lending and capital market-driven transactions02651.2.1Counterparty is central bank02671.2.1.1collateral that qualifies as a liquid asset02691.2.1.1.1Level 1 collateral excluding extremely high quality covered bonds0,0002711.2.1.1.1.1of which collateral received meets operational requirements02731.2.1.1.2Level 1 collateral which is extremely high quality covered bonds0,0702751.2.1.1.2.1of which collateral received meets operational requirements02771.2.1.1.3Level 2A collateral0,1502791.2.1.1.3.1of which collateral received meets operational requirements02811.2.1.1.4Level 2B asset backed securities (residential or auto) collateral0,2502831.2.1.1.4.1of which collateral received meets operational requirements 02851.2.1.1.5Level 2B high quality covered bonds collateral0,3002871.2.1.1.5.1of which collateral received meets operational requirements02891.2.1.1.6Level 2B asset backed securities (commercial or individuals) collateral0,3502911.2.1.1.6.1of which collateral received meets operational requirements02931.2.1.1.7Level 2B collateral not already captured in section 1.2.1.1.4, 1.2.1.1.5 or 1.2.1.1.60,5002951.2.1.1.7.1of which collateral received meets operational requirements02971.2.1.2collateral is used to cover a short position02991.2.1.3collateral that does not qualify as a liquid asset03011.2.1.3.1collateral is non-liquid equity1,0003031.2.1.3.2all other non-liquid collateral1,0003051.2.2Counterparty is non-central bank03071.2.2.1collateral that qualifies as a liquid asset 03091.2.2.1.1Level 1 collateral excluding extremely high quality covered bonds0,0003111.2.2.1.1.1of which collateral received meets operational requirements03131.2.2.1.2Level 1 collateral which is extremely high quality covered bonds0,0703151.2.2.1.2.1of which collateral received meets operational requirements03171.2.2.1.3Level 2A collateral0,1503191.2.2.1.3.1of which collateral received meets operational requirements03211.2.2.1.4Level 2B asset backed securities (residential or auto) collateral0,2503231.2.2.1.4.1of which collateral received meets operational requirements03251.2.2.1.5Level 2B high quality covered bonds collateral0,3003271.2.2.1.5.1of which collateral received meets operational requirements03291.2.2.1.6Level 2B asset backed securities (commercial or individuals) collateral0,3503311.2.2.1.6.1of which collateral received meets operational requirements 03331.2.2.1.7Level 2B collateral not already captured in section 1.2.2.1.4, 1.2.2.1.5 or 1.2.2.1.60,5003351.2.2.1.7.1of which collateral received meets operational requirements03371.2.2.2collateral is used to cover a short position03391.2.2.3collateral that does not qualify as a liquid asset03411.2.2.3.1margin loans: collateral is non-liquid0,5003431.2.2.3.2collateral is non-liquid equity1,0003451.2.2.3.3all other non-liquid collateral1,0004101.3Total inflows from collateral swaps04201.4(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)04301.5(Excess inflows from a related specialised credit institution)MEMORANDUM ITEMS04502FX inflows

§ Article 428a

04603Inflows within a group or an institutional protection scheme04703.1Monies due from non-financial customers (except for central banks)04803.2Monies due from financial customers04903.3Secured transactions05003.4Monies due from maturing securities within 30 days05103.5Any other inflows within a group or an institutional protection scheme4Secured lending waived from Article 17 (2) and (3)05304.1of which: secured by L1 excl. EHQCB05404.2of which: secured by L1 EHQCB05504.3of which: secured by L2A05604.4of which: secured by L2B05704.5of 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 bonds0,3001201.1.5.1Of which collateral swapped meets operational requirements 01301.1.6Level 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 assets0,08 02501.2.3.1Of which collateral swapped meets operational requirements02601.2.4Level 2B: asset-backed securities (residential or automobile, CQS1)0,1802701.2.4.1Of 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)0,00

§ Article 428a

03801.3.1.1Of 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 requirements04301.3.4Level 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 requirements 04901.3.7Other 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 requirements05801.4.3Level 2A assets0,0005901.4.3.1Of which collateral swapped meets operational requirements06001.4.4Level 2B: asset-backed securities (residential or automobile, CQS1)0,00 06101.4.4.1Of 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 requirements 07301.5.2Level 1: extremely high quality covered bonds0,0007401.5.2.1Of 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 requirements

§ Article 428a

08501.5.8Non-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)0,0008901.6.1.1Of 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 bonds0,00 09701.6.5.1Of 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 requirements10401.7Totals 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 requirements 10901.7.3Level 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 requirements11901.7.8Non-liquid assets0,5012001.7.8.1Of which collateral swapped meets operational requirements 12101.8Totals 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)0,00

§ Article 428a

13301.8.6.1Of which collateral swapped meets operational requirements13401.8.7Other 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 requirements 14502.1.4Level 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 requirements14902.1.6Level 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)0,07 15702.2.1.1Of 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 requirements16402.2.5Level 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 2B0,43 16902.2.7.1Of 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 requirements17902.3.4Level 2B: asset-backed securities (residential or automobile, CQS1)0,1018002.3.4.1Of which collateral swapped meets operational requirements

§ Article 428a

18102.3.5Level 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 requirements19202.4.2Level 1: extremely high quality covered bonds0,18 19302.4.2.1Of 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 assets0,75 20502.4.8.1Of 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 requirements20902.5.2Level 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 requirements 21702.5.6Level 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 requirements22302.6Totals 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 assets0,20

§ Article 428a

22902.6.3.1Of 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 requirements23802.6.8Non-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)0,75 26502.8.4.1Of which collateral swapped meets operational requirements26602.8.5Level 2B: high quality covered bonds0,7026702.8.5.1Of which collateral swapped meets operational requirements26802.8.6Level 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 ITEMS27303Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions27404Total collateral swaps with intragroup counterparties5Collateral swaps waived from Article 17 (2) and (3)

§ Article 428a

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, ratio00101Liquidity buffer00202Net liquidity outflow00303Liquidity coverage ratio (%)Numerator calculations00404L1 excl. EHQCB liquidity buffer (value in accordance with Article 9): unadjusted00505L1 excl. EHQCB collateral 30 day outflows00606L1 excl. EHQCB collateral 30 day inflows00707Secured cash 30 day ouflows00808Secured cash 30 day inflows00919L1 excl. EHQCB adjusted amount010010L1 EHQCB value in accordance with Article 9: unadjusted 011011L1 EHQCB collateral 30 day outflows012012L1 EHQCB collateral 30 day inflows013113L1 EHQCB adjusted amount016014L2A value in accordance with Article 9: unadjusted017015L2A collateral 30 day outflows018016L2A collateral 30 day inflows019117L2A adjusted amount022018L2B value in accordance with Article 9: unadjusted023019L2B collateral 30 day outflows024020L2B collateral 30 day inflows025121L2B adjusted amount028022Excess liquid asset amount 029023Liquidity bufferDenominator calculations030024Total Outflows031025Fully Exempt Inflows032026Inflows Subject to 90% Cap033027Inflows Subject to 75% Cap034028Reduction for Fully Exempt Inflows035029Reduction for Inflows Subject to 90% Cap036030Reduction for Inflows Subject to 75% Cap037031Net liquidity outflowPillar 2038032Pillar 2 requirement as set out in Article 105 CRD C 77.00 — LIQUIDITY COVERAGE — PERIMETER Parent or subsidiaryNameCodeType of codeNational codeCountry codeType of entity0005001000200021002200400050

Annex

ANNEX XXV INSTRUCTIONS FOR COMPLETING LIQUIDITY TEMPLATES OF ANNEX XXIV 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 institution (OJ L 11, 17.1.2015, p. 1). . Items which do not need to be completed by credit institutions are coloured grey.
  3. Assets reported shall comply with the requirements set out in Title II of Delegated Regulation (EU) 2015/61.
  4. 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.
§ Article 428a
  1. Credit institutions shall report the template in the corresponding currencies in accordance with Article 415(2) of Regulation (EU) No 575/2013.
  2. 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.
  3. 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.
  4. 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
  5. 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
  6. 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
  7. 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
  8. 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.
§ Article 428a

1.2.5. Liquid assets sub template 1.2.5.1. Instructions concerning specific columns ColumnLegal references and instructions0010 Amount/Market value Credit institutions shall report in column 0010 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 0010: 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. 0020 Standard weight Column 0020 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. 0030 Applicable weight Credit institutions shall report in column 0030 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 0030 shall not exceed the figure in column 0020. 0040 Value in accordance with Article 9 Credit institutions shall report in column 0040 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 instructions0010

  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 column 0010. Credit institutions shall report the total value calculated in accordance with Article 9 of their Liquid assets in column 0040. 0020 1.1. Total unadjusted level 1 assets Articles 10, 15, 16 and 19 of Delegated Regulation (EU) 2015/61
§ Article 428a

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 column 0010. Credit institutions shall report the total value calculated in accordance with Article 9 of their Level 1 Liquid assets in column 0040. 0030 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 0010 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 0040 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. 0040 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. 0050 1.1.1.2. Withdrawable central bank reserves Point (b)(iii) of Article 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 (b)(iii) of Article 10(1) of Delegated Regulation (EU) 2015/61. 0060 1.1.1.3. Central bank assets Points (b)(i) and (b)(ii) 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. 0070 1.1.1.4. Central government assets Points (c)(i) and (c)(ii) of Article 10(1) of Delegated Regulation (EU) 2015/61

§ Article 428a

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. 0080 1.1.1.5. Regional government/local authorities assets Points (c)(iii) and (c)(iv) 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. 0090 1.1.1.6. Public Sector Entity assets Points (c)(v) and (c)(vi) 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. 0100 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 (d)(ii) 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.

§ Article 428a

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 (d)(ii) 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. 0110 1.1.1.8. Credit institution (protected by Member State government, promotional lender) assets Points (e)(i) and (e)(ii) 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 (e)(ii) 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. 0120 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. 0130 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. 0140 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. 0150 1.1.1.12. Alternative Liquidity Approaches: Central bank credit facility Point (b) of Article 19(1) of Delegated Regulation (EU) 2015/61

§ Article 428a

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 points (b)(i) to (b)(iii) of Article 19(1) of Delegated Regulation (EU) 2015/61. 0160 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

Article 27(3) of Delegated Regulation (EU) 2015/61 In accordance with 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. 0170 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. 0180 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 0010 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 0040 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. 0190 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. 0200 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. 0210 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

Article 27(3) of Delegated Regulation (EU) 2015/61 In accordance with 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) 2015/61 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 1 extremely high quality covered bonds. 0220 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 column 0010. Credit institutions shall report the total value calculated in accordance with Article 9 of their Level 2 Liquid assets in column 0040. 0230 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 0010 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 0040 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. 0240 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 %. 0250 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. 0260 1.2.1.3. High quality covered bonds (CQS2) Point (c) of Article 11(1) of Delegated Regulation (EU) 2015/61

§ Article 27

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. 0270 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. 0280 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. 0290 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. 0300 1.2.1.7. Central credit institutions: Level 2A assets which are considered liquid assets for the depositing credit institution

§ Article 27

Article 27(3) of Delegated Regulation (EU) 2015/61 In accordance with 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. 0310 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 0010 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 0040 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. 0320 1.2.2.1. Asset-backed securities (residential, CQS1) Point (a) of Article 12(1) and points (g)(i) and (g)(ii) 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 (g)(i) and (g)(ii) 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. 0330 1.2.2.2. Asset-backed securities (auto, CQS1) Point (a) of Article 12(1) and point (g)(iv) 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 (g)(iv) of Article 13(2) of Delegated Regulation (EU) 2015/61. 0340 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.

§ Article 27

0350 1.2.2.4. Asset-backed securities (commercial or individuals, Member State, CQS1) Point (a) of Article 12(1) and points (g)(iii) and (g)(v) 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 (g)(iii) and (g)(v) of Article 13(2) of Delegated Regulation (EU) 2015/61. Note that for the purpose of point (g)(iii) of Article 13(2), at least 80 % of the borrowers in the pool shall be SMEs at the time of issuance of the securitisation. 0360 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 0370 1.2.2.6. Corporate debt securities – non-interest bearing assets (held by credit institutions for religious reasons) (CQS1/2/3)

§ Article 12

Article 12(3) of Delegated Regulation (EU) 2015/61 A competent authority may allow credit institutions which, in accordance with their statutes of incorporation, are unable to hold interest bearing assets for reasons of religious observance, to derogate from points (b)(ii) and (b)(iii) 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 (b)(i) of Article 12(1) of Delegated Regulation (EU) 2015/61 and have received proper derogation from their competent authority. 0380 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. 0390 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, in accordance with 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. 0400 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. 0410 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 (g)(i), (g)(ii) and (g)(iv) of Article 13(2) of Delegated Regulation (EC) No 2015/61. 0420 1.2.2.11. Qualifying CIU shares/units: underlying is High quality covered bonds (RW35 %)

§ Article 12

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. 0430 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 (g)(iii) and (g)(v) of Article 13(2) of Delegated Regulation (EU) 2015/61. Note that for the purpose of point (g)(iii) of Article 13(2), at least 80 % of the borrowers in the pool shall be SMEs at the time of issuance of the securitisation. 0440 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. 0450 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. 0460 1.2.2.15. Liquidity funding available to network member from central institution (non-specified collateralisation)

§ Article 16

Article 16(2) of Delegated Regulation (EU) 2015/61 Undrawn amount of limited liquidity funding that complies with Article 16(2) of Delegated Regulation (EU) 2015/61. 0470 1.2.2.16. Central credit institutions: Level 2B assets which are considered liquid assets for the depositing credit institution

§ Article 27

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 ITEMS0485 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. 0580 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). 0590 4. Level 1/2A/2B assets excluded for operational reasons except for currency reasons

§ Article 8

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 0580 for currency reasons. 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) No 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.
§ Article 8
  1. In the case of separate reporting as referred to in Article 415(2) of Regulation (EU) No 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 0040 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, in accordance with 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.
§ Article 8

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. 10Deposit 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# 36

§ Article 8

36Within 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# 50 50Other 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 instructions0010 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 0010 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. 0020 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 assets in accordance with point (c)(ii) 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;

§ Article 8

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). 0030 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 0020 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 0030 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. 0040 Standard Weight Articles 24 to 31a of Delegated Regulation (EU) 2015/61 The standard weights in column 0040 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only. 0050 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. 0060 Outflow Both unsecured and secured: Credit institutions shall report here the outflows. Those outflows are calculated by multiplying column 0010 C 73.00 of Annex XXIV by column 0050 C 73.00 of Annex XXIV. 1.4. Instructions concerning specific rows RowLegal references and instructions0010

  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. 0020 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) and (4) of that Delegated Regulation. 0030 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) No 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 8

0035 1.1.1.1. deposits exempted from the calculation of outflows

§ Article 25

Article 25(4) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here those categories of retail deposits exempted from the calculation of outflows if the conditions of points (a) and (b) of Article 25(4) have been met. 0040 1.1.1.2. deposits where the pay-out has been agreed within the following 30 days

§ Article 25

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. 0050 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. 0060 1.1.1.3.1. Category 1

§ Article 25

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. 0070 1.1.1.3.2. Category 2

§ Article 25

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. 0080 1.1.1.4. stable deposits

§ Article 24

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. 0090 1.1.1.5. Derogated stable deposits

§ Article 24

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. 0100 1.1.1.6. deposits in third countries where a higher outflow is applied

§ Article 25

Article 25(5) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of retail deposits taken in a third country where a higher outflow is applied in accordance with the national law which sets out liquidity requirements in that third country. 0110 1.1.1.7. other retail deposits

§ Article 25

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. 0120 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. 0130 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. 0140 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. 0150 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

§ Article 25

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. 0160 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. 0170 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) of Article 27(1) of Delegated Regulation (EU) 2015/61, provided those deposits are not recognised as liquid assets for the depositing credit institution. 0180 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. 0190 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.

§ Article 25

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. 0200 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. 0203 1.1.3 Excess operational deposits

§ Article 27

Article 27(4) of Delegated Regulation (EU) 2015/61. Credit institutions shall report here the part of the operational deposits in excess of those required for the provision of operational services. 0204 1.1.3.1 deposits by financial customers

§ Article 27

Article 27(4) and 31a(1) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the part of the operational deposits from financial customers in excess of those required for the provision of the operational services in accordance with Article 27(4) of Delegated Regulation (EU) 2015/61. 0205 1.1.3.2 deposits by other customers

§ Article 27

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). 0206 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. 0207 1.1.3.2.2 not covered by DGS

§ Article 27

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. 0210 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. 0220 1.1.4.1. correspondent banking and provisions of prime brokerage deposits

§ Article 27

Article 27(5) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of deposits arising out of correspondent banking relationship or from the provision of prime brokerage, as referred to in Article 27(5) of Delegated Regulation (EU) 2015/61. 0230 1.1.4.2. deposits by financial customers

§ Article 31a

Article 31a(1) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of deposits maintained by financial customers to the extent they are not considered as operational deposits in accordance with Article 27 of Delegated Regulation (EU) 2015/61. 0240 1.1.4.3. deposits by other customers

§ Article 28

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). 0250 1.1.4.3.1. covered by DGS

§ Article 28

Article 28(1) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the entire amount of the outstanding balance of those 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. 0260 1.1.4.3.2. not covered by DGS

§ Article 28

Article 28(1) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the entire amount of the outstanding balance of these 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. 0270 1.1.5. Additional outflows

§ Article 30

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. 0280 1.1.5.1. collateral other than Level 1 assets posted for derivatives

§ Article 30

Article 30(1) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of collateral other than Level 1 collateral which is posted for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives. 0290 1.1.5.2. level 1 EHQ Covered Bonds assets collateral posted for derivatives

§ Article 30

Article 30(1) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of level 1 EHQ Covered Bonds collateral which is posted for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives. 0300 1.1.5.3. material outflows due to deterioration of own credit quality

§ Article 30

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 0300 such that the sum of the outflows is 100 % outflow in total for the transaction. 0310 1.1.5.4. impact of an adverse market scenario on derivatives transactions

§ Article 30

Article 30(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of outflows calculated in accordance with Commission Delegated Regulation (EU) 2017/208. 0340 1.1.5.5. outflows from derivatives

§ Article 30

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). 0350 1.1.5.6. short positions

§ Article 30

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. 0360 1.1.5.6.1. covered by collateralised SFT (securities financing transactions)

§ Article 30

Article 30(5) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of securities or other assets sold short that are 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. 0370 1.1.5.6.2. other

§ Article 30

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. 0380 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. 0390 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. 0400 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. 0410 1.1.5.10. loss of funding on structured financing activities

§ Article 30

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. 0420 1.1.5.10.1. structured financing instruments

§ Article 30

Article 30(8) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the current outstanding amount of own liabilities or liabilities of sponsored conduits or SPVs from asset backed securities, covered bonds and other structured financing instruments maturing within the 30 calendar day period. 0430 1.1.5.10.2. financing facilities

§ Article 30

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. 0450 1.1.5.11. internal netting of client's positions

§ Article 30

Article 30(12) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here the market value of the non-liquid assets of a client that, in relation to prime brokerage services, the credit institution has used to cover short sales of another client by internally matching them. 0460 1.1.6. Committed facilities

§ Article 31

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. 0470 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. 0480 1.1.6.1.1. to retail customers

§ Article 31

Article 31(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities to retail customers as defined in Article 411(2) of Regulation (EU) No 575/2013. 0490 1.1.6.1.2. to non-financial customers other than retail customers

§ Article 31

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) No 575/2013 nor retail customers in accordance with Article 411(2) of Regulation (EU) No 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. 0500 1.1.6.1.3. to credit institutions Credit institutions shall report here on committed credit facilities provided to credit institutions. 0510 1.1.6.1.3.1. for funding promotional loans of retail customers

§ Article 31

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) No 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. 0520 1.1.6.1.3.2. for funding promotional loans of non-financial customers

§ Article 31

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) No 575/2013 nor retail customers in accordance with Article 411(2) of Regulation (EU) No 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. 0530 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. 0540 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. 0550 1.1.6.1.5. within a group or an IPS if subject to preferential treatment

§ Article 29

Article 29 of Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities for which they have received permission to apply a lower outflow rate in accordance with Article 29 of Delegated Regulation (EU) 2015/61. 0560 1.1.6.1.6. within an IPS or cooperative network if treated as liquid asset by the depositing institution

§ Article 31

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) of the same Delegated Regulation. 0570 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. 0580 1.1.6.2. liquidity facilities

§ Article 31

Article 31(1) of Delegated Regulation (EU) 2015/61 Credit institutions shall report here on committed liquidity facilities as defined in Article 31(1) of Delegated Regulation (EU) 2015/61. 0590 1.1.6.2.1. to retail customers

§ Article 31

Article 31(3) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities to retail customers as defined in Article 411(2) of Regulation (EU) No 575/2013. 0600 1.1.6.2.2. to non-financial customers other than retail customers

§ Article 31

Article 31(5) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities to customers that are neither financial customers in accordance with Article 411(1) of Regulation (EU) No 575/2013 nor retail customers in accordance with Article 411(2) of Regulation (EU) No 575/2013. 0610 1.1.6.2.3. to personal investment companies

§ Article 31

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. 0620 1.1.6.2.4. to SSPEs (securitization special purpose vehicle) Credit institutions shall report here on committed liquidity facilities provided to SSPEs. 0630 1.1.6.2.4.1. to purchase assets other than securities from non-financial customers

§ Article 31

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. 0640 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. 0650 1.1.6.2.5. to credit institutions Credit institutions shall report here on committed liquidity facilities provided to credit institutions. 0660 1.1.5.2.5.1. for funding promotional loans of retail customers

§ Article 31

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) No 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. 0670 1.1.6.2.5.2. for funding promotional loans of non-financial customers

§ Article 31

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) No 575/2013 nor retail customers in accordance with Article 411(2) of Regulation (EU) No 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. 0680 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. 0690 1.1.6.2.6. within a group or an IPS if subject to preferential treatment

§ Article 29

Article 29 of Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities for which they have received permission to apply a lower outflow rate in accordance with Article 29 of Delegated Regulation (EU) 2015/61. 0700 1.1.6.2.7. within an IPS or cooperative network if treated as liquid asset by the depositing institution

§ Article 31

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) of the same Delegated Regulation. 0710 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. 0720 1.1.7. Other products and services

§ Article 23

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. 0731 1.1.7.1. Uncommitted funding facilities

§ Article 23

Article 23(2) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of uncommitted funding facilities referred to in Article 23(1) of Delegated Regulation (EU) 2015/61. Guarantees shall not be reported in this row. 0740 1.1.7.2. undrawn loans and advances to wholesale counterparties

§ Article 23

Article 23(2) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of undrawn loans and advances to wholesale counterparties referred to in Article 23(1) of Delegated Regulation (EU) 2015/61. 0750 1.1.7.3. mortgages that have been agreed but not yet drawn down

§ Article 23

Article 23(2) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of mortgages that have been agreed but not yet drawn down referred to in Article 23(1) of Delegated Regulation (EU) 2015/61. 0760 1.1.7.4. credit cards

§ Article 23

Article 23(2) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of credit cards referred to in Article 23(1) of Delegated Regulation (EU) 2015/61. 0770 1.1.7.5. overdrafts

§ Article 23

Article 23(2) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of overdrafts referred to in Article 23(1) of Delegated Regulation (EU) 2015/61. 0780 1.1.7.6. planned outflows related to renewal or extension of new retail or wholesale loans

§ Article 23

Article 23(2) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of planned outflows related to renewal or extension of new retail or wholesale loans referred to in Article 23(1) of Delegated Regulation (EU) 2015/61. 0850 1.1.7.7. Derivatives payables

§ Article 23

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. 0860 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. 0870 1.1.7.9. others

§ Article 23

Article 23(2) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of other products or services than those cited above referred to in Article 23(1) of Delegated Regulation (EU) 2015/61. Guarantees, among other items, shall be reported in this row. Contingent outflows due to triggers other than downgrade triggers referred to in Article 30(2) of Delegated Regulation (EU) 2015/61 shall be reported in this row. 0885 1.1.8. Other liabilities and due commitments

§ Article 28

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 (b)(iii) of Article 10(1) of Delegated Regulation (EU) 2015/61. 0890 1.1.8.1. liabilities resulting from operating expenses

§ Article 28

Article 28(2) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of liabilities resulting from the credit institution’s own operating expenses as referred to in Article 28(2) of Delegated Regulation (EU) 2015/61. 0900 1.1.8.2. in the form of debt securities if not treated as retail deposits

§ Article 28

Article 28(6) of Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of notes, bonds and other debt securities, issued by the credit institution other than that reported as retail deposits as referred to in Article 28(6) of Delegated Regulation (EU) 2015/61. This amount includes also coupons that come due in the next 30 calendar days referred to all these securities. 0912 1.1.8.4 Excess of funding to non-financial customers

§ Article 31a

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) of that Delegated Regulation when the former exceeds the latter. 0913 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) of Delegated Regulation (EU) 2015/61 when the former exceeds the latter. 0914 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) of Delegated Regulation (EU) 2015/61 when the former exceeds the latter. 0915 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) of Delegated Regulation (EU) 2015/61 when the former exceeds the latter. 0916 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) of Delegated Regulation (EU) 2015/61 when the former exceeds the latter. 0917 1.1.8.5 Assets borrowed on an unsecured basis

§ Article 28

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. 0918 1.1.8.6 Others

§ Article 31a

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. 0920 1.2. Outflows from secured lending and capital market-driven transactions

§ Article 28

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. 0930 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. 0940 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. 0945 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) 2015/61 as liquid asset. 0950 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) 2015/61 as liquid asset. 0955 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. 0960 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. 0965 1.2.1.3.1

§ Article 28

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. 0970 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 (b)(i), (b)(ii) or (b)(iv) 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. 0975 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. 0980 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. 0985 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. 0990 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 (g)(iii) or (g)(v) of 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.

§ Article 28

0995 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.

§ Article 28

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 (g)(i), (g)(ii) or (g)(iv) 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.

§ Article 28

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 (f)(iii) or (f)(v) 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) 2015/61 as 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 0060. MEMORANDUM ITEMS1170 2. Liquidity outflows to be netted by interdependent inflows

§ Article 26

Article 26 of Delegated Regulation (EU) 2015/61 Credit institutions shall report in column 0010 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 0060 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.

§ Article 26

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).

§ Article 26

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). 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) No 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 0460-0510).
§ Article 26
  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) No 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).
§ Article 26
  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) No 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 (c)(ii) 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.
§ Article 26

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; r0260} (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; r0260} (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; r0260} (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; r0260} (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.

§ Article 26

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# 88Monies 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# 10 10Loans 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 201, 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.

§ Article 26

20Inflows from financial customers being classified as operational deposits (Article 32(3)(d))Yes# 21No# 2221Credit 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 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 1.2.1.1.7 30Collateral 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

§ Article 26

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 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 11Secured 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 0010# 16.2Market value of collateral receivedColumn 0040# 16.3Applicable WeightColumn 0080# 16.4 Value of collateral received in accordance with Article 9 [only if the collateral received meets the operational requirements] Column 0110# 16.5InflowColumn 014017Inflow 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 0020# 18.2Market value of collateral receivedColumn 0050# 18.3Applicable WeightColumn 0090 Value of collateral received in accordance with Article 9 [only if the collateral received meets the operational requirements] Column 0120# 18.5InflowColumn 015019Inflows that are fully exempted from the cap on inflows (Article 33(2)-(3))# 19.1Monies dueColumn 0030# 19.2Market value of collateral receivedColumn 0060# 19.3Applicable WeightColumn 0100# 19.4

§ Article 26

Value of collateral received in accordance with Article 9 [only if the collateral received meets the operational requirements] Column 0130# 19.5InflowColumn 0160 1.5. Inflows sub template 1.5.1. Instructions concerning specific columns ColumnLegal references and instructions0010 Amount – Subject to the 75 % cap on inflows

§ Article 32

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269-0297, 0301-0303, 0309-0337, 0341-0345, 0450 and 0470-0510, credit institutions shall report in Column 0010 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 0020 or 0030 and the part of the amount not subject to the exemption shall be reported in column 0010. 0020 Amount – Subject to the 90 % cap on inflows

§ Article 32

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269-0297, 0301-0303, 0309-0337, 0341-0345, 0450 and 0470-0510, credit institutions shall report in Column 0020 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 0020 or 0030 and the part of the amount not subject to the exemption shall be reported in column 0010. 0030 Amount – Exempted from the cap on inflows

§ Article 32

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269-0297, 0301-0303, 0309-0337, 0341-0345, 0450 and 0470-0510, credit institutions shall report in Column 0030 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 0020 or 0030 and the part of the amount not subject to the exemption shall be reported in column 0010. 0040 Market value of collateral received – Subject to the 75 % cap on inflows

§ Article 32

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows 0269-0295, 0309-0335 and for row 0490, credit institutions shall report in column 0040 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 0050 or 0060 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 0040. 0050 Market value of collateral received – Subject to the 90 % cap on inflows

§ Article 32

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows 0269-0295, 0309-0335 and for row 0490, credit institutions shall report in column 0050 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 0050 or 0060 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 0040. 0060 Market value of collateral received – Exempted from the cap on inflows

§ Article 32

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows 0269-0295, 0309-0335 and for row 0490, credit institutions shall report in column 0060 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 0050 or 0060 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 0040. 0070 Standard Weight

§ Article 32

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 The standard weights in column 0070 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only. 0080 Applicable Weight- Subject to the 75 % cap on inflows

§ Article 32

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 0040, 0060-0090, 0120-0130, 0150-0260, 0269, 0273, 0277, 0281, 0285, 0289, 0293, 0301-0303, 0309, 0313, 0317, 0321, 0325, 0329, 0333, 0341-0345, 0450 and 0470-0510, credit institutions shall report in column 0080 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. 0090 Applicable Weight- Subject to the 90 % cap on inflows

§ Article 32

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 0040, 0060-0090, 0120-0130, 0150-0260, 0269, 0273, 0277, 0281, 0285, 0289, 0293, 0301-0303, 0309, 0313, 0317, 0321, 0325, 0329, 0333, 0341-0345, 0450 and 0470-0510, credit institutions shall report in column 0090 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. 0100 Applicable Weight – Exempted from the cap on inflows

§ Article 32

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 0040, 0060-0090, 0120-0130, 0150-0260, 0269, 0273, 0277, 0281, 0285, 0289, 0293, 0301-0303, 0309, 0313, 0317, 0321, 0325, 0329, 0333, 0341-0345, 0450 and 0470 –0510, credit institutions shall report in column 0100 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. 0110 Value of collateral received in accordance with Article 9 – Subject to the 75 % cap on inflows

§ Article 32

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows 0271, 0275, 0279, 0283, 0287, 0291, 0295, 0311, 0315, 0319, 0323, 0327, 0331 and 0335, credit institutions shall report in column 0110 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 0120 or 0130 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 0110. 0120 Value of collateral received in accordance with Article 9 – Subject to the 90 % cap on inflows

§ Article 32

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows 0271, 0275, 0279, 0283, 0287, 0291, 0295, 0311, 0315, 0319, 0323, 0327, 0331 and 0335, credit institutions shall report in column 0120 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 0120 or 0130 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 0110. 0130 Value of collateral received in accordance with Article 9 – Exempted from the cap on inflows

§ Article 32

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows 0271, 0275, 0279, 0283, 0287, 0291, 0295, 0311, 0315, 0319, 0323, 0327, 0331 and 0335, credit institutions shall report in column 0130 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 0120 or 0130 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 0110. 0140 Inflow – Subject to the 75 % cap on inflows

§ Article 32

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269, 0273, 0277, 0281, 0285, 0289, 0293, 0301-0303, 0309, 0313, 0317, 0321, 0325, 0329, 0333, 0341-0345, 0450 and 0470-510, credit institutions shall report in column 0140 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 0010 with the relevant weight from column 0080. For row 0170, credit institutions shall report in column 0140 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. 0150 Inflow – Subject to the 90 % cap on inflows

§ Article 32

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269, 0273, 0277, 0281, 0285, 0289, 0293, 0301-0303, 0309, 0313, 0317, 0321, 0325, 0329, 0333, 0341-0345, 0450 and 0470-0510, credit institutions shall report in column 0150 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 0020 with the relevant weight from column 0090. For row 0170, credit institutions shall report in column 0150 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. 0160 Inflow – Exempted from the cap on inflows

§ Article 32

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269, 0273, 0277, 0281, 0285, 0289, 0293, 0301-0303, 0309, 0313, 0317, 0321, 0325, 0329, 0333, 0341-0345, 0450 and 0470-0510, credit institutions shall report in column 0160 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 0030 with the relevant weight from column 0100. For row 0170, credit institutions shall report in column 0160 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 instructions0010

  1. TOTAL INFLOWS
§ Article 32

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 0010 of C 74.00 of Annex XXIV for each column 0010, 0020 and 0030 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 0140 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 0150 and 0160 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. 0020 1.1. Inflows from unsecured transactions/deposits Articles 32, 33 and 34 of Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 0020 of C 74.00 of Annex XXIV for each column 0010, 0020 and 0030 the total amount of assets/monies due/maximum amount that can be drawn from unsecured transactions/deposits; and for each column 0140, 0150 and 0160 total inflows from unsecured transactions/deposits. 0030 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 0030 of C 74.00 of Annex XXIV for each column 0010, 0020 and 0030 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 0140, 0150 and 0160 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.

§ Article 32

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. 0040 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 days 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. 0050 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 0050 of C 74.00 of Annex XXIV for each column 0010, 0020 and 0030 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 0140, 0150 and 0160 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. 0060 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. 0070 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. 0080 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. 0090 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.

§ Article 32

0100 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 0100 of C 74.00 of Annex XXIV for each column 0010, 0020 and 0030 the total amount of monies due from central banks and financial customers (operational as well as non-operational deposits); and for each column 0140, 0150 and 0160 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. 0110 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 0110 of C 74.00 of Annex XXIV for each column 0010, 0020 and 0030 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 0140, 0150 and 0160 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. 0120 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. 0130 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

§ Article 32

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. 0140 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 0010, 0020 and 0030 the total amount of monies due from central banks and financial customers not being classified as operational deposits and for each column 0140, 0150 and 0160 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. 0150 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. 0160 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. 0170 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. 0180 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. 0190 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.

§ Article 32

0201 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. 0210 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. 0230 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

Article 32(4) of Delegated Regulation (EU) 2015/61 Inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets in accordance with Article 32(4) of Delegated Regulation (EU) 2015/61. Inflows shall only be considered if these balances are maintained in liquid assets as specified in Title II of Delegated Regulation (EU) 2015/61. 0240 1.1.9. inflows from derivatives

§ Article 32

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) No 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. 0250 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 34

Article 34 of Delegated Regulation (EU) 2015/61 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 higher inflow rate in accordance with Article 34 of Delegated Regulation (EU) 2015/61. 0260 1.1.11. other inflows

§ Article 32

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. 0263 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 0263 of C 74.00 of Annex XXIV for each column 0010, 0020 and 0030 the total amount of monies due from secured lending and capital market-driven transactions; and for each column 0140, 0150 and 0160 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. 0265 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 0265 of C 74.00 of Annex XXIV for each column 0010, 0020 and 0030 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 0140, 0150 and 0160 total inflows from secured lending and capital market driven transactions where the counterparty is a central bank. 0267 1.2.1.1. collateral that qualifies as a liquid asset Credit institutions shall report in row 0267 of C 74.00 of Annex XXIV for each column 0010, 0020 and 0030 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 0140, 0150 and 0160 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. 0269 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).

§ Article 32

0271 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. 0273 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). 0275 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. 0277 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. 0279 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. 0281 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 (g)(i), (g)(ii) or (g)(iv) of Article 13(2). 0283 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.

§ Article 32

0285 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). 0287 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. 0289 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 (g)(iii) or (g)(v) of Article 13(2). 0291 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. 0293 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). 0295 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. 0297 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.

§ Article 32

0299 1.2.1.3. collateral that does not qualify as a liquid asset Credit institutions shall report in row 0299 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 0010, 0020 and 0030 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 0140, 0150 and 0160 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. 0301 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. 0303 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. 0305 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 0305 of C 74.00 of Annex XXIV for each column 0010, 0020 and 0030 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 0140, 0150 and 0160 total inflows from secured lending and capital market driven transactions where the counterparty is not a central bank. 0307 1.2.2.1. collateral that qualifies as a liquid asset Credit institutions shall report in row 0307 of C 74.00 of Annex XXIV for each column 0010, 0020 and 0030 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 0140, 0150 and 0160 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.

§ Article 32

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. 0309 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). 0311 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. 0313 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). 0315 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. 0317 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. 0319 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.

§ Article 32

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. 0321 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 (g)(i), (g)(ii) or (g)(iv) of Article 13(2). 0323 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. 0325 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). 0327 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. 0329 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 (g)(iii) or (g)(v) of Article 13(2). 0331 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. 0333 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.

§ Article 32

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). 0335 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. 0337 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. 0339 1.2.2.3. collateral that does not qualify as a liquid asset Credit institutions shall report in row 0339 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 0010, 0020 and 0030 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 0140, 0150 and 0160 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. 0341 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. 0343 1.2.2.3.2. collateral is non-liquid equity Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

§ Article 32

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. 0345 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. 0410 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. 0420 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

Article 32(8) of Delegated Regulation (EU) 2015/61 Institutions shall report in the relevant column 0140, 0150 and 0160 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. 0430 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 0140, 0150 or 0160, 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 ITEMS0450 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) No 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. 0460 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 0460 of C 74.00 of Annex XXIV for each column 0010, 0020 and 0030 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 0140, 0150 and 0160 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. 0470 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.

§ Article 32

0480 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. 0490 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. 0500 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. 0510 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).

§ Article 32

0530 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). 0540 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). 0550 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). 0560 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). 0570 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). 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.
§ Article 32
  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 Chapter 2 of Title II 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) No 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.
§ Article 32
  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 (c)(ii) 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.
§ Article 32

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
§ Article 32

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)

§ Article 32

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.

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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.

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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

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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)

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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

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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

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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)

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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)

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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

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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

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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

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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.

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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)

§ Article 32

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

§ Article 32

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.

§ Article 32

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

§ Article 32

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

§ Article 32

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

§ Article 32

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)

§ Article 32

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.

§ Article 32

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.

§ Article 32

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.

§ Article 32

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)

§ Article 32

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

§ Article 32

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.

§ Article 32

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.

§ Article 32

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.

§ Article 32
  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).
§ Article 32

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). 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; r0130; c0040} refers to Liquid Assets template; row 0130; column 0040. 1.3. Calculations sub template – Instructions concerning specific rows RowLegal references and instructionsCALCULATIONS Numerator, Denominator, Ratio
§ Article 4

Article 4 of Delegated Regulation (EU) 2015/61 The Liquidity Coverage Ratio numerator, denominator and ratio. Enter all below data into column 0010 of given row. 0010

  1. Liquidity Buffer Institutions shall report figure from {C 76.00; r0290; c0010}. 0020
  2. Net Liquidity Outflow Institutions shall report figure from {C 76.00; r0370; c0010}. 0030
  3. Liquidity Coverage Ratio (%) Institutions shall 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; r0020; c0010} is zero (causing a ratio of infinity) then report the value 999999. Numerator calculations
§ Article 17

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 0010 of given row. 0040 4. L1 excl. EHQCB liquidity buffer (value in accordance with Article 9): unadjusted Institutions shall report figure from {C 72.00; r0030; c0040}. 0050 5. L1 excl. EHQCB collateral 30 day outflows Institutions shall 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. 0060 6. L1 excl. EHQCB collateral 30 day inflows Institutions shall 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. 0070 7. Secured cash outflows Institutions shall 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. 0080 8. Secured cash inflows Institutions shall 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. 0091 9. L1 excl. EHQCB adjusted amount This is referred to in subparagraph (a) of Annex I (3) Institutions shall report the adjusted non-covered bond level 1 asset amount before cap application. The adjusted amount shall take 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. 0100 10. L1 EHQCB value in accordance with Article 9: unadjusted Institutions shall report figure from {C 72.00; r0180; c0040}. 0110 11. L1 EHQCB collateral 30 day outflows Institutions shall 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. 0120 12. L1 EHQCB collateral 30 day inflows Institutions shall 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.

§ Article 17

0131 13. L1 EHQCB adjusted amount This is referred to by subparagraph (b) of Annex I (3) Institutions shall report the adjusted covered bond level 1 asset amount before cap application. The adjusted amount shall take 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. 0160 14. L2A value in accordance with Article 9: unadjusted Institutions shall report figure from {C 72.00; r0230; c0040}. 0170 15. L2A collateral 30 day outflows Institutions shall 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. 0180 16. L2A collateral 30 day inflows Institutions shall 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. 0191 17. L2A adjusted amount This is referred to by subparagraph (c) in Annex I (3). Institutions shall report the adjusted level 2A asset amount before cap application. The adjusted amount shall take 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. 0220 18. L2B value in accordance with Article 9: unadjusted Institutions shall report figure from {C 72.00; r0310; c0040}. 0230 19. L2B collateral 30 day outflows Institutions shall 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. 0240 20. L2B collateral 30 day inflows Institutions shall 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. 0251 21. L2B adjusted amount This is referred to by subparagraph (d) in Annex I (3). Institutions shall report the adjusted level 2B asset amount before cap application. The adjusted amount shall take 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. 0280 22. Excess liquid asset amount

§ Article 17

Annex I(4) Institutions shall 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). 0290 23. LIQUIDITY BUFFER Annex I (2) Institutions shall 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 Institutions shall enter all below data in to column 0010 of a given row. 0300 24. Total Outflows TO = from Outflow sheet Institutions shall report figure from {C 73.00; r0010; c0060}. 0310 25. Fully Exempt Inflows FEI = from Inflows sheet Institutions shall report figure from {C 74.00; r0010; c0160}. 0320 26. Inflows Subject to 90 % Cap IHC = from Inflows sheet Institutions shall report figure from {C 74.00; r0010; c0150}. 0330 27. Inflows Subject to 75 % Cap IC = from Inflows sheet Institutions shall report figure from {C 74.00; r0010; c0140}. 0340 28. Reduction for Fully Exempt Inflows Institutions shall report the following part of the NLO calculation: = MIN (FEI, TO). 0350 29. Reduction for Inflows Subject to 90 % Cap Institutions shall report the following part of the NLO calculation: = MIN (IHC, 0.9MAX(TO-FEI, 0)). 0360 30. Reduction for Inflows Subject to 75 % Cap Institutions shall report the following part of the NLO calculation: = MIN (IC, 0.75MAX(TO-FEI-IHC/0.9, 0)). 0370 31. NET LIQUIDITY OUTFLOW Institutions shall 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 20380 32. PILLAR 2 REQUIREMENT

§ Article 105

Article 105 CRD Institutions shall report the Pillar 2 requirement. 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) No 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 shall 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) No 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) No 575/2013; the relevant institution required to comply with the LCR on a sub-consolidated basis as per Article 11(5) of Regulation (EU) No 575/2013; the EU central institution. Subsidiary shall be reported in the rest of the rows. 0010 Name The name of each entity in the perimeter of consolidation shall be reported in column 0010. 0020 Code The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value. 0021 Type of code The institutions shall identify the type of code reported in column 0020 as a LEI code or Non-LEI code. The type of code shall always be reported. 0022 National code Institutions may additionally report the national code when they report LEI code as identifier as in the Code column. 0040 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 0020. 0050 Type of entity Entities reported in column 0010 shall be assigned an entity type corresponding to its legal form as per the following list: Credit institution; Investment firm; Other.

Annex

ANNEX XXVI SUPPLEMENTARY REPORTING FOR THE PURPOSE OF IDENTIFYING AND ASSIGNING G-SII BUFFER RATES TEMPLATESTemplate numberTemplate codeName of the template /group of templatesShort nameG-SII INDICATORS AND EBU ITEMS1G 01.00G-SII INDICATORS AND EBU ITEMSGSII G 01.00 - G-SII indicators and EBU items RowsItemAmountG-SII indicators0010Total exposures0020Intra-financial system assets0030Intra-financial system liabilities0040Securities outstanding0050Payment activity0060Assets under custody0070Underwriting activity0080Trading volume0090OTC derivatives0100Trading and AFS securities0110Level 3 assets0120Cross-jurisdictional claims0130Cross-jurisdictional liabilitiesItems considering the European Banking Union as a single jurisdiction0140Total foreign claims on an ultimate risk basis0150Foreign derivatives claims on an ultimate risk basis0160Foreign liabilities on an immediate risk basis, including derivatives0170of which: Foreign derivatives liabilities on an immediate risk basis

§ Article 105

Annex

ANNEX XXVII REPORTING INSTRUCTIONS FOR THE PURPOSE OF IDENTIFYING AND ASSIGNING G-SII BUFFER RATES PART I GENERAL INSTRUCTIONS 1.1.1. Structure and conventions 2.1.1.1. Structure

  1. This framework consists of one template capturing information on indicators of global systemic importance and particular items needed for the application of the EU’s methodology for identifying globally systemically important institutions (G-SIIs) and assigning corresponding G-SII buffer rates. 3.1.1.2. Numbering convention
  2. The document follows the labelling convention set in points 3 to 5, when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules.
  3. The following general notation is followed in the instructions: {Template; Row; Column}.
  4. In the case of references inside a template, in which only data points of that template are used, notations do not refer to a template: {Row; Column}. In the case of templates with only one column, only rows are referred to {Template; Row}.
  5. An asterisk sign is used to express that the reference captures the rows or columns specified before. 4.1.1.3. Sign convention
  6. Any amount that increases the value of the indicator, the assets, liabilities or exposures shall be reported as a positive figure. Any amount that reduces the the value of the indicator, the assets, liabilities or exposures 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. 5.1.1.4. Abbreviations
  7. 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 and 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. PART II TEMPLATE RELATED INSTRUCTIONS 6.1.1. General remarks
  8. The template is divided into two sections. The upper section on G-SII indicators includes the indicators for identifying globally systemically important institutions as defined in the methodology developed by the Basel Committee on Banking Supervision. The lower section contains a number of items needed to calculate the relevant indicators in accordance with the methodology defined on the basis of Article 131(18) CRD.
  9. Where relevant, the information provided in this template shall be consistent with the information provided to relevant authorities for the purposes of the collection of the indicator values by relevant authorities as set out in Article 3(2) of Commission Delegated Regulation (EU) No 1222/2014.
§ Article 105

7.1.2. Instructions concerning specific positions Regulation (EU) No 806/2014 of the European Parliament and of the Council of 15 July 2014 establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund and amending Regulation (EU) No 1093/2010 (OJ L 225, 30.7.2014, p. 1). RowLegal references and instructions0010 – 0120 G-SII indicators The definition of the indicators shall be the same as the definition applied for the purposes of determining the information listed in the Annex to Commission Delegated Regulation (EU) No 1222/2014. In case of changes to the methodolgy, the same methodology applicable for determing the indicators values as of the end of the financial year shall be used for the purposes of reporting information as of the end of the first, second and third quarter of that same financial year. Indicators that are flow measures shall be reported on a cumulative basis since the beginning of the calendar or financial year, as applicable. 0010Cross-jurisdictional claims0020Cross-jurisdictional liabilities0030Total exposures (leverage ratio)0040Intra-financial system assets0050Intra-financial system liabilities0060Securities outstanding0070Assets under custody0080Payments activity0090Underwritten transactions in debt and equity markets0100Trading volume0110Notional amount of OTC derivatives0120Level 3 assets0130Trading and available-for-sale securities0140 – 0170 Items considering the European Banking Union as a single jurisdiction For the purposes of determining the items specified below and in the absence of specifications in the instructions below, the definitions and concepts applied shall be aligned, to the extent possible, with the definitions and concepts defined in the Guidelines for reporting the BIS international banking statistics. By derogation from that, the reporting entities’ activities across participating Member States as referred to in Article 4 of Regulation (EU) No 806/2014 of the European Parliament and of the Council shall be excluded, i.e. the Participating Members States shall be considered as one single jurisdiction. 0140 Total foreign claims on an ultimate risk basis Total foreign claims shall be the sum of cross-border claims and local claims of foreign affiliates in local or foreign currency. Claims from positions in derivative contracts shall be excluded. Claims, cross-border claims, local claims of foreign affiliates in foreign and local currency shall have the same meaning as defined in the Guidelines for reporting the BIS international banking statistics. On an ultimate risk basis shall mean that, for the purposes of determining whether a claim ia a cross-border or local claim, the position is allocated to a third party that has contracted to assume the debts or obligations of the primary counterparty if that party fails to perform, where such a third party exists. This allocation shall be made in accordance with the provisions on risk transfers provided in the Guidelines for reporting the BIS international banking statistics.

§ Article 105

0150 Foreign derivatives claims on an ultimate risk basis The positive fair value of all derivative claims that are cross-border claims, or local claims of foreign affiliates in local or foreign currency. Derivatives include forwards, swaps, and options related to foreign exchange, interest rate, equity, commodity, and credit instruments. This includes purchased credit derivatives that hedge or offset credit protection sold or are held for trading purposes. In case of such purchased credit derivatives, the value of shall not be capped at the value of the immediate claim it was purchased to guarantee. The positive fair values of derivative contracts may be offset against negative fair values only if the positions were executed with the same counterparty under a legally enforceable netting agreement. Only netting sets with a positive value shall be included in this item. The derivative claims shall be reported gross of any cash collateral. For the purposes of reporting information on an ultimate risk basis, the following shall apply: a) When the final risk lies with the counterparty, a derivative is considered foreign if the counterparty is not in the reporting entities’ home jurisdiction. b) When the final risk lies with the guarantor, a derivative is considered foreign if the guarantor is not in the reporting entities’ home jurisdiction. 0160 Foreign liabilities on an immediate risk basis, including derivatives Foreign liabilities, including derivatives, shall be the sum of foreign liabilities and foreign liabilities arising from derivatives. Securities liabilities that are tradable financial assets issued by the reporting institution shall be excluded from this item. The definition of derivatives shall be the same as applied for row 0140. The negative fair values of derivative contracts may be offset against positive fair values only if the positions were executed with the same counterparty under a legally enforceable netting agreement. Derivatives liabilities shall be reported gross of any collateral (cash and non-cash). On an immediate risk basis shall mean that, for the purposes of determining whether a claim is a cross-border or local claim, the position is allocated to the direct counterparty of the contract. 0170 of which: Foreign derivatives liabilities on an immediate risk basis Subset of row 0160 that are derivatives liabilities

Metadata

Type
Forordning
År
2021
Ikrafttrædelsesdato
1. januar 1970
Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014Text with EEA relevance | TheLawyer.sh