Annex I

United Kingdom

C 01.00 — OWN FUNDS (CA1)

Rows	ID	Item
010	1	OWN FUNDS
015	1.1	TIER 1 CAPITAL
020	1.1.1	COMMON EQUITY TIER 1 CAPITAL
030	1.1.1.1	Capital instruments eligible as CET1 Capital
040	1.1.1.1.1	Paid up capital instruments
045	1.1.1.1.1*	Of which: Capital instruments subscribed by public authorities in emergency situations
050	1.1.1.1.2*	Memorandum item: Capital instruments not eligible
060	1.1.1.1.3	Share premium
070	1.1.1.1.4	(-) Own CET1 instruments
080	1.1.1.1.4.1	(-) Direct holdings of CET1 instruments
090	1.1.1.1.4.2	(-) Indirect holdings of CET1 instruments
091	1.1.1.1.4.3	(-) Synthetic holdings of CET1 instruments
092	1.1.1.1.5	(-) Actual or contingent obligations to purchase own CET1 instruments
130	1.1.1.2	Retained earnings
140	1.1.1.2.1	Previous years retained earnings
150	1.1.1.2.2	Profit or loss eligible
160	1.1.1.2.2.1	Profit or loss attributable to owners of the parent
170	1.1.1.2.2.2	(-) Part of interim or year-end profit not eligible
180	1.1.1.3	Accumulated other comprehensive income
200	1.1.1.4	Other reserves
210	1.1.1.5	Funds for general banking risk
220	1.1.1.6	Transitional adjustments due to grandfathered CET1 Capital instruments
230	1.1.1.7	Minority interest given recognition in CET1 capital
240	1.1.1.8	Transitional adjustments due to additional minority interests
250	1.1.1.9	Adjustments to CET1 due to prudential filters
260	1.1.1.9.1	(-) Increases in equity resulting from securitised assets
270	1.1.1.9.2	Cash flow hedge reserve
280	1.1.1.9.3	Cumulative gains and losses due to changes in own credit risk on fair valued liabilities
285	1.1.1.9.4	Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities
290	1.1.1.9.5	(-) Value adjustments due to the requirements for prudent valuation
300	1.1.1.10	(-) Goodwill
310	1.1.1.10.1	(-) Goodwill accounted for as intangible asset
320	1.1.1.10.2	(-) Goodwill included in the valuation of significant investments
330	1.1.1.10.3	Deferred tax liabilities associated to goodwill
340	1.1.1.11	(-) Other intangible assets
350	1.1.1.11.1	(-) Other intangible assets before deduction of deferred tax liabilities
360	1.1.1.11.2	Deferred tax liabilities associated to other intangible assets
370	1.1.1.12	(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities
380	1.1.1.13	(-) IRB shortfall of credit risk adjustments to expected losses
390	1.1.1.14	(-) Defined benefit pension fund assets
400	1.1.1.14.1	(-) Defined benefit pension fund assets
410	1.1.1.14.2	Deferred tax liabilities associated to defined benefit pension fund assets
420	1.1.1.14.3	Defined benefit pension fund assets which the institution has an unrestricted ability to use
430	1.1.1.15	(-) Reciprocal cross holdings in CET1 Capital
440	1.1.1.16	(-) Excess of deduction from AT1 items over AT1 Capital
450	1.1.1.17	(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight
460	1.1.1.18	(-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight
470	1.1.1.19	(-) Free deliveries which can alternatively be subject to a 1 250 % risk weight
471	1.1.1.20	(-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight
472	1.1.1.21	(-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight
480	1.1.1.22	(-) CET1 instruments of financial sector entites where the institution does not have a significant investment
490	1.1.1.23	(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences
500	1.1.1.24	(-) CET1 instruments of financial sector entities where the institution has a significant investment
510	1.1.1.25	(-) Amount exceeding the 17,65 % threshold
520	1.1.1.26	Other transitional adjustments to CET1 Capital
524	1.1.1.27	(-) Additional deductions of CET1 Capital due to Article 3 CRR
529	1.1.1.28	CET1 capital elements or deductions — other
530	1.1.2	ADDITIONAL TIER 1 CAPITAL
540	1.1.2.1	Capital instruments eligible as AT1 Capital
550	1.1.2.1.1	Paid up capital instruments
560	1.1.2.1.2*	Memorandum item: Capital instruments not eligible
570	1.1.2.1.3	Share premium
580	1.1.2.1.4	(-) Own AT1 instruments
590	1.1.2.1.4.1	(-) Direct holdings of AT1 instruments
620	1.1.2.1.4.2	(-) Indirect holdings of AT1 instruments
621	1.1.2.1.4.3	(-) Synthetic holdings of AT1 instruments
622	1.1.2.1.5	(-) Actual or contingent obligations to purchase own AT1 instruments
660	1.1.2.2	Transitional adjustments due to grandfathered AT1 Capital instruments
670	1.1.2.3	Instruments issued by subsidiaries that are given recognition in AT1 Capital
680	1.1.2.4	Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries
690	1.1.2.5	(-) Reciprocal cross holdings in AT1 Capital
700	1.1.2.6	(-) AT1 instruments of financial sector entities where the institution does not have a significant investment
710	1.1.2.7	(-) AT1 instruments of financial sector entities where the institution has a significant investment
720	1.1.2.8	(-) Excess of deduction from T2 items over T2 Capital
730	1.1.2.9	Other transitional adjustments to AT1 Capital
740	1.1.2.10	Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)
744	1.1.2.11	(-) Additional deductions of AT1 Capital due to Article 3 CRR
748	1.1.2.12	AT1 capital elements or deductions — other
750	1.2	TIER 2 CAPITAL
760	1.2.1	Capital instruments and subordinated loans eligible as T2 Capital
770	1.2.1.1	Paid up capital instruments and subordinated loans
780	1.2.1.2*	Memorandum item: Capital instruments and subordinated loans not eligible
790	1.2.1.3	Share premium
800	1.2.1.4	(-) Own T2 instruments
810	1.2.1.4.1	(-) Direct holdings of T2 instruments
840	1.2.1.4.2	(-) Indirect holdings of T2 instruments
841	1.2.1.4.3	(-) Synthetic holdings of T2 instruments
842	1.2.1.5	(-) Actual or contingent obligations to purchase own T2 instruments
880	1.2.2	Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans
890	1.2.3	Instruments issued by subsidiaries that are given recognition in T2 Capital
900	1.2.4	Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries
910	1.2.5	IRB Excess of provisions over expected losses eligible
920	1.2.6	SA General credit risk adjustments
930	1.2.7	(-) Reciprocal cross holdings in T2 Capital
940	1.2.8	(-) T2 instruments of financial sector entities where the institution does not have a significant investment
950	1.2.9	(-) T2 instruments of financial sector entities where the institution has a significant investment
960	1.2.10	Other transitional adjustments to T2 Capital
970	1.2.11	Excess of deduction from T2 items over T2 Capital (deducted in AT1)
974	1.2.12	(-) Additional deductions of T2 Capital due to Article 3 CRR
978	1.2.13	T2 capital elements or deductions — other

C 04.00 — MEMORANDUM ITEMS (CA4)

Row	ID	Item	Column
Deferred tax assest and liabilities			010
010	1	Total deferred tax assets
020	1.1	Deferred tax assets that do not rely on future profitability
030	1.2	Deferred tax assets that rely on future profitability and do not arise from temporary differences
040	1.3	Deferred tax assets that rely on future profitability and arise from temporary differences
050	2	Total deferred tax liabilities
060	2.1	Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability
070	2.2	Deferred tax liabilities deductible from deferred tax assets that rely on future profitability
080	2.2.1	Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences
090	2.2.2	Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences
Credit risk adjustments and expected losses
100	3	IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures
110	3.1	Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount
120	3.1.1	General credit risk adjustments
130	3.1.2	Specific credit risk adjustments
131	3.1.3	Additional value adjustments and other own funds reductions
140	3.2	Total expected losses eligible
145	4	IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures
150	4.1	Specific credit risk adjustments and positions treated similarily
155	4.2	Total expected losses eligible
160	5	Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2
170	6	Total gross provisions eligible for inclusion in T2 capital
180	7	Risk weighted exposure amounts for calculating the cap to the provision eligible as T2
Thresholds for Common Equity Tier 1 deductions
190	8	Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment
200	9	10 % CET1 threshold
210	10	17,65 % CET1 threshold
225	11.1	Eligible capital for the purposes of qualifying holdings outside the financial sector
226	11.2	Eligible capital for the purposes of large exposures
Investments in the capital of financial sector entities where the institution does not have a significant investment
230	12	Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions
240	12.1	Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
250	12.1.1	Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
260	12.1.2	(-) Permitted offsetting short positions in relation to the direct gross holdings included above
270	12.2	Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
280	12.2.1	Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
290	12.2.2	(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
291	12.3	Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
292	12.3.1	Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
293	12.3.2	(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
300	13	Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions
310	13.1	Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
320	13.1.1	Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
330	13.1.2	(-) Permitted offsetting short positions in relation to the direct gross holdings included above
340	13.2	Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
350	13.2.1	Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
360	13.2.2	(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
361	13.3	Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
362	13.3.1	Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
363	13.3.2	(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
370	14	Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions
380	14.1	Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment
390	14.1.1	Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment
400	14.1.2	(-) Permitted offsetting short positions in relation to the direct gross holdings included above
410	14.2	Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment
420	14.2.1	Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment
430	14.2.2	(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
431	14.3	Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment
432	14.3.1	Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment
433	14.3.2	(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
Investments in the capital of financial sector entities where the institution has a significant investment
440	15	Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions
450	15.1	Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment
460	15.1.1	Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment
470	15.1.2	(-) Permitted offsetting short positions in relation to the direct gross holdings included above
480	15.2	Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment
490	15.2.1	Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment
500	15.2.2	(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
501	15.3	Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment
502	15.3.1	Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment
503	15.3.2	(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
510	16	Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions
520	16.1	Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment
530	16.1.1	Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment
540	16.1.2	(-) Permitted offsetting short positions in relation to the direct gross holdings included above
550	16.2	Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment
560	16.2.1	Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment
570	16.2.2	(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
571	16.3	Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment
572	16.3.1	Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment
573	16.3.2	(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
580	17	Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions
590	17.1	Direct holdings of T2 capital of financial sector entities where the institution has a significant investment
600	17.1.1	Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment
610	17.1.2	(-) Permitted offsetting short positions in relation to the direct gross holdings included above
620	17.2	Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment
630	17.2.1	Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment
640	17.2.2	(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
641	17.3	Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment
642	17.3.1	Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment
643	17.3.2	(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
Total risk exposure amounts of holdings not deducted from the corresponding capital category:
650	18	Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital
660	19	Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital
670	20	Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital
Temporary waiver from deduction from own funds
680	21	Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived
690	22	Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived
700	23	Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived
710	24	Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived
720	25	Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived
730	26	Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived
Capital buffers
740	27	Combined buffer requirement
750		Capital conservation buffer
760		Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State
770		Institution specific countercyclical capital buffer
780		Systemic risk buffer
790		Systemical important institution buffer
800		Global Systemically Important Institution buffer
810		Other Systemically Important Institution buffer
Pillar II requirements
820	28	Own funds requirements related to Pillar II adjustments
Additional information for investment firms
830	29	Initial capital
840	30	Own funds based on Fixed Overheads
Additional information for calculation of reporting thresholds
850	31	Non-domestic original exposures
860	32	Total original exposures
Basel I floor
870		Adjustments to total own funds
880		Own funds fully adjusted for Basel I floor
890		Own funds requirements for Basel I floor
900		Own funds requirements for Basel I floor — SA alternative

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

ENTITIES WITHIN SCOPE OF CONSOLIDATION							INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS
NAME	CODE	LEI code	INSTITUTION OR EQUIVALENT (YES/NO)	SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP)	COUNTRY CODE	SHARE OF HOLDING (%)	TOTAL RISK EXPOSURE AMOUNT
NAME	CODE	LEI code	INSTITUTION OR EQUIVALENT (YES/NO)		COUNTRY CODE	SHARE OF HOLDING (%)	TOTAL RISK EXPOSURE AMOUNT	CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK	POSITION, FX AND COMMODITIES RISKS	OPERATIONAL RISK	OTHER RISK EXPOSURE AMOUNTS
010	020	025	030	040	050	060	070	080	090	100	110

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS
OWN FUNDS
			TOTAL TIER 1 CAPITAL								TIER 2 CAPITAL
						COMMON EQUITY TIER 1 CAPITAL			ADDITIONAL TIER 1 CAPITAL
	OF WHICH: QUALIFYING OWN FUNDS	RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS		OF WHICH: QUALIFYING TIER 1 CAPITAL	RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS	COMMON EQUITY TIER 1 CAPITAL	OF WHICH: MINORITY INTERESTS	RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES	ADDITIONAL TIER 1 CAPITAL	OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL		OF WHICH: QUALIFYING TIER 2 CAPITAL
120	130	140	150	160	170	180	190	200	210	220	230	240

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP
TOTAL RISK EXPOSURE AMOUNT					QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS						CONSOLIDATED OWN FUNDS
	CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK	POSITION, FX AND COMMODITIES RISKS	OPERATIONAL RISK	OTHER RISK EXPOSURE AMOUNTS		QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL			QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL	MEMORANDUM ITEM: GOODWILL (-) /(+) NEGATIVE GOODWILL		OF WHICH: COMMON EQUITY TIER 1
		POSITION, FX AND COMMODITIES RISKS	OPERATIONAL RISK	OTHER RISK EXPOSURE AMOUNTS			MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL	QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL		MEMORANDUM ITEM: GOODWILL (-) /(+) NEGATIVE GOODWILL		OF WHICH: COMMON EQUITY TIER 1
250	260	270	280	290	300	310	320	330	340	350	360	370

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP			CAPITAL BUFFERS
			COMBINED BUFFER REQUIRE-MENTS
OF WHICH: ADDITIONAL TIER 1	OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT	OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL	COMBINED BUFFER REQUIRE-MENTS	CAPITAL CONSERVATION BUFFER	INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER	CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE	SYSTEMIC RISK BUFFER	SYSTEMICAL IMPORTANT INSTITUTION BUFFER	GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER	OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER
380	390	400	410	420	430	440	450	460	470	480

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

SA Exposure class

		ORIGINAL EXPOSURE PRE CONVERSION FACTORS	(-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE	EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
					UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)
					(-) GUARANTEES	(-) CREDIT DERIVATIVES
		010	030	040	050	060
010	TOTAL EXPOSURES
020	of which: SME
030	of which: Exposures subject to SME-supporting factor
040	of which: Secured by mortgages on immovable property — Residential property
050	of which: Exposures under the permanent partial use of the standardised approach
060	of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
070	On balance sheet exposures subject to credit risk
080	Off balance sheet exposures subject to credit risk
	Exposures/Transactions subject to counterparty credit risk
090	Securities Financing Transactions
100	of which: centrally cleared through a QCCP
110	Derivatives & Long Settlement Transactions
120	of which: centrally cleared through a QCCP
130	From Contractual Cross Product Netting
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:
140	0 %
150	2 %
160	4 %
170	10 %
180	20 %
190	35 %
200	50 %
210	70 %
220	75 %
230	100 %
240	150 %
250	250 %
260	370 %
270	1 250 %
280	Other risk weights
MEMORANDUM ITEMS
290	Exposures secured by mortgages on commercial immovable property
300	Exposures in default subject to a risk weight of 100 %
310	Exposures secured by mortgages on residential property
320	Exposures in default subject to a risk weight of 150 %

		CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE				NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS
		FUNDED CREDIT PROTECTION		SUBSTITUTION OF THE EXPOSURE DUE TO CRM
		(-) FINANCIAL COLLATERAL: SIMPLE METHOD	(-) OTHER FUNDED CREDIT PROTECTION	(-) TOTAL OUTFLOWS	TOTAL INFLOWS (+)
		070	080	090	100	110
010	TOTAL EXPOSURES
020	of which: SME
030	of which: Exposures subject to SME-supporting factor
040	of which: Secured by mortgages on immovable property — Residential property
050	of which: Exposures under the permanent partial use of the standardised approach
060	of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
070	On balance sheet exposures subject to credit risk
080	Off balance sheet exposures subject to credit risk
	Exposures/Transactions subject to counterparty credit risk
090	Securities Financing Transactions
100	of which: centrally cleared through a QCCP
110	Derivatives & Long Settlement Transactions
120	of which: centrally cleared through a QCCP
130	From Contractual Cross Product Netting
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:
140	0 %
150	2 %
160	4 %
170	10 %
180	20 %
190	35 %
200	50 %
210	70 %
220	75 %
230	100 %
240	150 %
250	250 %
260	370 %
270	1 250 %
280	Other risk weights
MEMORANDUM ITEMS
290	Exposures secured by mortgages on commercial immovable property
300	Exposures in default subject to a risk weight of 100 %
310	Exposures secured by mortgages on residential property
320	Exposures in default subject to a risk weight of 150 %

		CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD			*FULLY ADJUSTED EXPOSURE VALUE (E)**	BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS
		VOLATILITY ADJUSTMENT TO THE EXPOSURE	(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)			0 %	20 %	50 %	100 %
		VOLATILITY ADJUSTMENT TO THE EXPOSURE		(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS		0 %	20 %	50 %	100 %
		120	130	140	150	160	170	180	190
010	TOTAL EXPOSURES
020	of which: SME
030	of which: Exposures subject to SME-supporting factor
040	of which: Secured by mortgages on immovable property — Residential property
050	of which: Exposures under the permanent partial use of the standardised approach
060	of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
070	On balance sheet exposures subject to credit risk
080	Off balance sheet exposures subject to credit risk
	Exposures/Transactions subject to counterparty credit risk
090	Securities Financing Transactions
100	of which: centrally cleared through a QCCP
110	Derivatives & Long Settlement Transactions
120	of which: centrally cleared through a QCCP
130	From Contractual Cross Product Netting
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:
140	0 %
150	2 %
160	4 %
170	10 %
180	20 %
190	35 %
200	50 %
210	70 %
220	75 %
230	100 %
240	150 %
250	250 %
260	370 %
270	1 250 %
280	Other risk weights
MEMORANDUM ITEMS
290	Exposures secured by mortgages on commercial immovable property
300	Exposures in default subject to a risk weight of 100 %
310	Exposures secured by mortgages on residential property
320	Exposures in default subject to a risk weight of 150 %

		EXPOSURE VALUE		RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
		EXPOSURE VALUE	OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK	RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR		OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI	OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT
		200	210	215	220	230	240
010	TOTAL EXPOSURES				Cell linked to CA
020	of which: SME
030	of which: Exposures subject to SME-supporting factor
040	of which: Secured by mortgages on immovable property — Residential property
050	of which: Exposures under the permanent partial use of the standardised approach
060	of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
070	On balance sheet exposures subject to credit risk
080	Off balance sheet exposures subject to credit risk
	Exposures/Transactions subject to counterparty credit risk
090	Securities Financing Transactions
100	of which: centrally cleared through a QCCP
110	Derivatives & Long Settlement Transactions
120	of which: centrally cleared through a QCCP
130	From Contractual Cross Product Netting
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:
140	0 %
150	2 %
160	4 %
170	10 %
180	20 %
190	35 %
200	50 %
210	70 %
220	75 %
230	100 %
240	150 %
250	250 %
260	370 %
270	1 250 %
280	Other risk weights
MEMORANDUM ITEMS
290	Exposures secured by mortgages on commercial immovable property
300	Exposures in default subject to a risk weight of 100 %
310	Exposures secured by mortgages on residential property
320	Exposures in default subject to a risk weight of 150 %

C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

		INTERNAL RATING SYSTEM	ORIGINAL EXPOSURE PRE CONVERSION FACTORS		CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE					EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS
		INTERNAL RATING SYSTEM	ORIGINAL EXPOSURE PRE CONVERSION FACTORS		UNFUNDED CREDIT PROTECTION		(-) OTHER FUNDED CREDIT PROTECTION	SUBSTITUTION OF THE EXPOSURE DUE TO CRM
		PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)		OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES	(-) GUARANTEES	(-) CREDIT DERIVATIVES	(-) OTHER FUNDED CREDIT PROTECTION	(-) TOTAL OUTFLOWS	TOTAL INFLOWS (+)		OF WHICH: OFF BALANCE SHEET ITEMS
		010	020	030	040	050	060	070	080	090	100
010	TOTAL EXPOSURES
015	of which: Exposures subject to SME-supporting factor
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
020	On balance sheet items subject to credit risk
030	Off balance sheet items subject to credit risk
	Exposures/Transactions subject to counterparty credit risk
040	Securities Financing Transactions
050	Derivatives & Long Settlement Transactions
060	From Contractual Cross Product Netting
070	EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL
080	SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL
BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:
090	RISK WEIGHT: 0 %
100	50 %
110	70 %
120	Of which: in category 1
130	90 %
140	115 %
150	250 %
160	ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE
170	EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS
180	DILUTION RISK: TOTAL PURCHASED RECEIVABLES

		EXPOSURE VALUE				CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT
						OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION		FUNDED CREDIT PROTECTION
			OF WHICH: OFF BALANCE SHEET ITEMS	OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK	OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES	GUARANTEES	CREDIT DERIVATIVES	OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION	ELIGIBLE FINANCIAL COLLATERAL	OTHER ELIGIBLE COLLATERAL
			OF WHICH: OFF BALANCE SHEET ITEMS	OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK		GUARANTEES	CREDIT DERIVATIVES		ELIGIBLE FINANCIAL COLLATERAL	REAL ESTATE	OTHER PHYSICAL COLLATERAL	RECEIVABLES
		110	120	130	140	150	160	170	180	190	200	210
010	TOTAL EXPOSURES
015	of which: Exposures subject to SME-supporting factor
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
020	On balance sheet items subject to credit risk
030	Off balance sheet items subject to credit risk
	Exposures/Transactions subject to counterparty credit risk
040	Securities Financing Transactions
050	Derivatives & Long Settlement Transactions
060	From Contractual Cross Product Netting
070	EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL
080	SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL
BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:
090	RISK WEIGHT: 0 %
100	50 %
110	70 %
120	Of which: in category 1
130	90 %
140	115 %
150	250 %
160	ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE
170	EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS
180	DILUTION RISK: TOTAL PURCHASED RECEIVABLES

		SUBJECT TO DOUBLE DEFAULT TREATMENT	EXPOSURE WEIGHTED AVERAGE LGD (%)	EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES	EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)	RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR		MEMORANDUM ITEMS:
		UNFUNDED CREDIT PROTECTION							EXPECTED LOSS AMOUNT	(-) VALUE ADJUSTMENTS AND PROVISIONS	NUMBER OF OBLIGORS
		UNFUNDED CREDIT PROTECTION						OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES	EXPECTED LOSS AMOUNT	(-) VALUE ADJUSTMENTS AND PROVISIONS	NUMBER OF OBLIGORS
		220	230	240	250	255	260	270	280	290	300
010	TOTAL EXPOSURES						Cell linked to CA
015	of which: Exposures subject to SME-supporting factor
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
020	On balance sheet items subject to credit risk
030	Off balance sheet items subject to credit risk
	Exposures/Transactions subject to counterparty credit risk
040	Securities Financing Transactions
050	Derivatives & Long Settlement Transactions
060	From Contractual Cross Product Netting
070	EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL
080	SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL
BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:
090	RISK WEIGHT: 0 %
100	50 %
110	70 %
120	Of which: in category 1
130	90 %
140	115 %
150	250 %
160	ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE
170	EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS
180	DILUTION RISK: TOTAL PURCHASED RECEIVABLES

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

Country:

		ORIGINAL EXPOSURE PRE CONVERSION FACTORS	Exposures in default	Observed new defaults for the period	General credit risk adjustments	Specific credit risk adjustments	Of which: write off	Credit risk adjustments/write-offs for observed new defaults	EXPOSURE VALUE	RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
		010	020	040	050	055	060	070	075	080	090
010	Central governments or central banks
020	Regional governments or local authorities
030	Public sector entities
040	Multilateral Development Banks
050	International Organisations
060	Institutions
070	Corporates
075	of which: SME
080	Retail
085	of which: SME
090	Secured by mortgages on immovable property
095	of which: SME
100	Exposures in default
110	Items associated with particularly high risk
120	Covered bonds
130	Claims on institutions and corporates with a short-term credit assessment
140	Collective investments undertakings (CIU)
150	Equity exposures
160	Other exposures
	Total exposures

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

Country:

		ORIGINAL EXPOSURE PRE CONVERSION FACTORS	Of which: defaulted	Observed new defaults for the period	General credit risk adjustments	Specific credit risk adjustments	Of which: write off	Credit risk adjustments/write-offs for observed new defaults	PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)
		010	030	040	050	055	060	070	080
010	Central governments or central banks
020	Institutions
030	Corporates
040	Of Which: Specialised Lending
050	Of Which: SME
060	Retail
070	Secured by real estate property
080	SME
090	Non-SME
100	Qualifying Revolving
110	Other Retail
120	SME
130	Non-SME
140	Equity
	Total exposures

		EXPOSURE WEIGHTED AVERAGE LGD (%)	Of which: defaulted	EXPOSURE VALUE	RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR	Of which: defaulted	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR	EXPECTED LOSS AMOUNT
		090	100	105	110	120	125	130
010	Central governments or central banks
020	Institutions
030	Corporates
040	Of Which: Specialised Lending
050	Of Which: SME
060	Retail
070	Secured by real estate property
080	SME
090	Non-SME
100	Qualifying Revolving
110	Other Retail
120	SME
130	Non-SME
140	Equity
	Total exposures

C 09.03 — GEOGRAPHICAL BREAKDOWN OF RELEVANT CREDIT EXPOSURES FOR THE PURPOSE OF CALCULATION OF THE INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER (CR GB 3)

Country:

		Amount
		010
010	Own fund requirements

C 17.00 — OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR Details)

MAPPING OF LOSSES TO BUSINESS LINES			EVENT TYPES							TOTAL EVENT TYPES	MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION
MAPPING OF LOSSES TO BUSINESS LINES			INTERNAL FRAUD	EXTERNAL FRAUD	EMPLOYMENT PRACTICES AND WORKPLACE SAFETY	CLIENTS, PRODUCTS & BUSINESS PRACTICES	DAMAGE TO PHYSICAL ASSETS	BUSINESS DISRUPTION AND SYSTEM FAILURES	EXECUTION, DELIVERY & PROCESS MANAGEMENT	TOTAL EVENT TYPES	LOWEST	HIGHEST
Rows			010	020	030	040	050	060	070	080	090	100
010	CORPORATE FINANCE [CF]	Number of events
020		Total loss amount
030		Maximum single loss
040		Sum of the five largest losses
050		Total loss recovery
110	TRADING AND SALES [TS]	Number of events
120		Total loss amount
130		Maximum single loss
140		Sum of the five largest losses
150		Total loss recovery
210	RETAIL BROKERAGE [RBr]	Number of events
220		Total loss amount
230		Maximum single loss
240		Sum of the five largest losses
250		Total loss recovery
310	COMMERCIAL BANKING [CB]	Number of events
320		Total loss amount
330		Maximum single loss
340		Sum of the five largest losses
350		Total loss recovery
410	RETAIL BANKING [RB]	Number of events
420		Total loss amount
430		Maximum single loss
440		Sum of the five largest losses
450		Total loss recovery
510	PAYMENT AND SETTLEMENT [PS]	Number of events
520		Total loss amount
530		Maximum single loss
540		Sum of the five largest losses
550		Total loss recovery
610	AGENCY SERVICES [AS]	Number of events
620		Total loss amount
630		Maximum single loss
640		Sum of the five largest losses
650		Total loss recovery
710	ASSET MANAGEMENT [AM]	Number of events
720		Total loss amount
730		Maximum single loss
740		Sum of the five largest losses
750		Total loss recovery
810	CORPORATE ITEMS [CI]	Number of events
820		Total loss amount
830		Maximum single loss
840		Sum of the five largest losses
850		Total loss recovery
910	TOTAL BUSINESS LINES	Number of events. Of which:
911		≥ 10 000 and < 20 000
912		≥ 20 000 and < 100 000
913		≥ 100 000 and < 1 000 000
914		≥ 1 000 000
920		Total loss amount. Of which:
921		≥ 10 000 and < 20 000
922		≥ 20 000 and < 100 000
923		≥ 100 000 and < 1 000 000
924		≥ 1 000 000
930		Maximum single loss
940		Sum of the five largest losses
950		Total loss recovery

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

National market:

		POSITIONS					OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		ALL POSITIONS		NET POSITIONS		POSITIONS SUBJECT TO CAPITAL CHARGE
		LONG	SHORT	LONG	SHORT	POSITIONS SUBJECT TO CAPITAL CHARGE
		010	020	030	040	050	060	070
010	EQUITIES IN TRADING BOOK							Cell linked to CA
020	General risk
021	Derivatives
022	Other assets and liabilities
030	Exchange traded stock-index futures broadly diversified subject to particular approach
040	Other equities than exchange traded stock-index futures broadly diversified
050	Specific risk
080	Particular approach for position risk in CIUs
090	Additional requirements for options (non-delta risks)
100	Simplified method
110	Delta plus approach — additional requirements for gamma risk
120	Delta plus approach — additional requirements for vega risk
130	Scenario matrix approach

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

		ALL POSITIONS		NET POSITIONS		POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in currencies subject to special treatment for matched positions)			OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		LONG	SHORT	LONG	SHORT	LONG	SHORT	MATCHED	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		020	030	040	050	060	070	080	090	100
010	TOTAL POSITIONS IN NON-REPORTING CURRENCIES									Cell linked to CA
020	Currencies closely correlated
030	All other currencies (including CIUs treated as different currencies)
040	Gold
050	Additional requirements for options (non-delta risks)
060	Simplified method
070	Delta plus approach — additional requirements for gamma risk
080	Delta plus approach — additional requirements for vega risk
090	Scenario matrix approach
BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES
100	Other assets and liabilities other than off-balance sheet items and derivatives
110	Off-balance sheet items
120	Derivatives
Memorandum items: CURRENCY POSITIONS
130	Euro
140	Lek
150	Argentine Peso
160	Australian Dollar
170	Brazilian Real
180	Bulgarian Lev
190	Canadian Dollar
200	Czech Koruna
210	Danish Krone
220	Egyptian Pound
230	Pound Sterling
240	Forint
250	Yen
270	Lithuanian Litas
280	Denar
290	Mexican Peso
300	Zloty
310	Rumanian Leu
320	Russian Ruble
330	Serbian Dinar
340	Swedish Krona
350	Swiss Franc
360	Turkish Lira
370	Hryvnia
380	US Dollar
390	Iceland Krona
400	Norwegian Krone
410	Hong Kong Dollar
420	New Taiwan Dollar
430	New Zealand Dollar
440	Singapore Dollar
450	Won
460	Yuan Renminbi
470	Other
480	Croatian Kuna