Annex I REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTSF1

ANNEX I Table 1: rows 1 - 50

C 01.00 – OWN FUNDS (CA1)

ANNEX I Table 2: rows 1 - 101

C 02.00 – OWN FUNDS REQUIREMENTS (CA2)

ANNEX I Table 3: rows 1 - 78

C 03.00 – CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

ANNEX I Table 4: rows 1 - 17

C 04.00 – MEMORANDUM ITEMS (CA4)

ANNEX I Table 5: rows 1 - 128

C 05.01 – TRANSITIONAL PROVISIONS (CA5.1)

ANNEX I Table 6: rows 1 - 62

C 05.02 – GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)

ANNEX I Table 7: rows 1 - 17

C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)

ANNEX I Table 8: rows 1 - 6

C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

ANNEX I Table 9: rows 1 - 7

C 07.00 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)

SA Exposure class

ANNEX I Table 10: rows 1 - 41

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:

ANNEX I Table 11: rows 1 - 27

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:

ANNEX I Table 12: rows 1 - 6

C 09.01 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)

Country:

ANNEX I Table 13: rows 1 - 23

C 09.02 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)

Country:

ANNEX I Table 14: rows 1 - 19

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:

ANNEX I Table 15: rows 1 - 23

C 10.01 – CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)

ANNEX I Table 16: rows 1 - 13

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)

C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)

ANNEX I Table 18: rows 1 - 14

C 13.01 – CREDIT RISK: SECURITISATIONS (CR SEC)

ANNEX I Table 19: rows 1 - 73

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC Details)

ANNEX I Table 20: rows 1 - 6

C 14.01 – DETAILED INFORMATION ON SECURITISATIONS BY APPROACH (SEC Details Approach)

Approach:

ANNEX I Table 21: rows 1 - 7

C 16.00 – OPERATIONAL RISK (OPR)

ANNEX I Table 22: rows 1 - 18

C 17.01 – OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND LOSS EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1)

ANNEX I Table 23: rows 1 - 95

C 17.02 – OPERATIONAL RISK: LARGE LOSS EVENTS (OPR DETAILS 2)

ANNEX I Table 24: rows 1 - 4

C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)

Currency:

ANNEX I Table 25: rows 1 - 49

C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)

ANNEX I Table 26: rows 1 - 17

C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

ANNEX I Table 27: rows 1 - 17

C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)

National market:

ANNEX I Table 28: rows 1 - 18

C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

ANNEX I Table 29: rows 1 - 54

C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

ANNEX I Table 30: rows 1 - 19

C 24.00 – MARKET RISK INTERNAL MODELS (MKR IM)

ANNEX I Table 31: rows 1 - 15

C 25.00 – CREDIT VALUE ADJUSTMENT RISK (CVA)

ANNEX I Table 32: rows 1 - 7

C 32.01 – PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)

ANNEX I Table 33: rows 1 - 24

C 32.02 – PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)

ANNEX I Table 34: rows 1 - 25

C 32.03 – PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)

ANNEX I Table 35: rows 1 - 4

C 32.04 – PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)

C 33.00 – GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV)

Country:

ANNEX I Table 37: rows 1 - 31