Test Stress Banca Española 2014

2014 EU-wide Stress Test
Bank Name
ES - Banco Santander, S.A.
LEI Code
5493006QMFDDMYWIAM13
ES
NUK_WL_NR_XX
version
1809014
No restructuring
http://www.economiaciudadana.org/
Summary Adverse Scenario
Summary Baseline Scenario
Actual figures as of 31 December 2013

Operating profit before impairments
mln EUR, %
22,620
14,922
Impairment losses on financial and non-financial assets in the banking book

Common Equity Tier 1 capital
(1)
Total Risk Exposure (1)

Common Equity Tier 1 ratio, %
(1)
Outcome of the adverse scenario as of 31 December 2016

56,086
540,248
10.4%
mln EUR, %
mln EUR, %
22,620
14,922
56,086
(1)
540,248
(1)
Outcome of the baseline scenario as of 31 December 2016
10.4%
mln EUR, %
3 yr cumulative operating profit before impairments

3 yr cumulative impairment losses on financial and non-financial assets in the banking book
38,788
36,661

3 yr cumulative losses from the stress in the trading book
2,758
2,209
Valuation losses due to sovereign shock after tax and prudential filters
1,424
66,063
50,426
Total Risk Exposure
563,935
Common Equity Tier 1 ratio, % (1)
12.0%
Memorandum items
Common EU wide CET1 Threshold (8.0%)
mln EUR
44,081

Total Risk Exposure
(1)
(1)
(1)
(1)
51,192
25,991
551,008
8.9%
Memorandum items
mln EUR
31,016
Total amount of instruments with mandatory conversion into ordinary shares upon a fixed date in
the 2014 -2016 period (cumulative conversions) (2)
(1) According to CRR/CRD4 definition transitional arrangements as per reporting date. Figures as of 31/12/2013 computed as of first day of application:
01/01/2014.
Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital under the CRR provisions
that convert into Common Equity Tier 1 or are written down upon a trigger event (3)
4,102
Of which: eligible instruments whose trigger is above CET1 capital ratio in the adverse
scenario (3)
01/01/2014.
(2) Conversions not considered for CET1 computation
(3) Excluding instruments with mandatory conversion into ordinary shares upon a fixed date in the 2014 -2016 period

Credit Risk
Exposure values (as of 31/12/2013)
F-IRB
LTV % (as of
31/12/2013)
A-IRB
Risk exposure amounts (as of 31/12/2013)

STA
F-IRB
A-IRB
Value adjustments and provisions (as of 31/12/2013)

STA
F-IRB
A-IRB
Baseline Scenario
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
2,504
13,741
0
3,319
0
0
0
0
0
0
0
0
1,351
2,420
0
20,016
92
0
0
473
0
44
0
0
0
0
0
0
0
0
0
0
0
473
0
15,341
36,842
128,396
0
22,999
285,654
259,700
2,002
257,698
9,599
16,355
4,462
11,893
1,817
0
0
468,049
0
112
21
15,978
0
4,086
8,857
7,479
586
6,893
136
1,241
571
670
0
0
0
24,968
0
136,572
24,233
99,084
21,532
6,270
177,444
59,233
3,068
56,165
14,111
104,100
16,351
87,749
2,340
2,438
61,654
503,765
45
9
3
3,426
1,263
291
4,931
2,087
91
1,996
292
2,552
511
2,041
0
0
5,057
13,427
0
0
690
8,867
0
2,486
0
0
0
0
0
0
0
0
4,546
2,110
0
16,213
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4,371
9,954
69,378
0
13,778
57,161
44,115
390
43,725
3,202
9,845
2,229
7,616
5,045
0
0
145,911
22
3
2,024
0
480
829
563
34
529
33
233
124
109
0
0
0
2,878
3,102
5,864
94,198
20,684
4,401
106,360
20,473
1,519
18,954
10,182
75,705
8,559
67,145
2,063
1,460
49,081
262,127
14
1
2,571
3
323
5,382
2,067
91
1,976
333
2,981
605
2,376
0
0
5,284
13,251
0
1
58
0
13
0
0
0
0
0
0
0
0
0
17
0
76
0
0
0
221
0
23
0
0
0
0
0
0
0
0
0
0
0
221
0
88
36
1,307
0
566
1,810
993
24
969
143
675
227
448
41
0
0
3,283
0
32
9
8,507
0
2,037
2,803
1,658
233
1,425
79
1,066
523
543
0
0
0
11,351
0
0
5
1,313
404
184
2,799
554
197
357
464
1,781
377
1,404
0
27
229
4,374
0
5
0
2,969
674
843
4,954
776
163
612
693
3,486
552
2,933
0
0
64
7,992
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
(mln EUR, %)
Central banks and central governments

Institutions
Corporates
Corporates - Of Which: Specialised Lending
Corporates - Of Which: SME
Retail
Retail - Secured on real estate property
Retail - Secured on real estate property - Of
Which:- SME
Retail
Secured on real estate property - Of
Which: non-SME
Retail - Qualifying
Revolving
Retail - Other Retail
Retail - Other Retail - Of Which: SME
Retail - Other Retail - Of Which: non-SME
Equity
Securitisation
Other non-credit obligation assets
TOTAL
Securitisation and re-securitisations positions deducted from capital *
59.0%
46.3%
59.2%
Adverse Scenario
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Impairment Stock of Coverage Ratio - Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Impairment rate
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.18%
0.02%
0.95%
0.36%
2.52%
1.50%
0.19%
1.00%
0.18%
5.34%
4.20%
6.44%
3.73%
0.00%
28
64
16,678
1,156
4,495
19,392
4,651
668
3,983
2,651
12,090
3,020
9,070
41
39.92%
21.35%
47.67%
32.98%
49.59%
46.07%
21.21%
41.64%
19.56%
82.53%
64.14%
70.16%
62.34%
-
0.18%
0.02%
0.84%
0.32%
2.20%
1.39%
0.16%
0.82%
0.15%
5.30%
4.04%
5.70%
3.70%
0.00%
57
75
18,678
1,224
5,163
25,669
5,195
708
4,487
3,833
16,641
4,100
12,542
41
40.05%
19.01%
45.62%
31.83%
47.05%
47.48%
19.63%
38.16%
18.21%
86.10%
64.28%
70.48%
62.47%
-
0.18%
0.02%
0.73%
0.31%
1.82%
1.28%
0.14%
0.73%
0.13%
5.15%
3.87%
5.16%
3.61%
0.00%
85
87
20,434
1,311
5,679
31,711
5,645
742
4,903
5,040
21,026
5,023
16,003
41
40.17%
18.07%
44.30%
31.81%
45.33%
48.65%
18.36%
35.60%
17.09%
90.15%
65.20%
70.52%
63.68%
-
0.90%
0.04%
1.13%
0.46%
2.79%
1.74%
0.33%
1.09%
0.32%
5.61%
4.71%
6.49%
4.34%
0.00%
145
75
17,349
1,224
4,597
21,067
5,306
673
4,634
2,716
13,045
3,029
10,016
41
38.69%
20.82%
48.40%
35.01%
49.62%
48.39%
23.25%
41.53%
21.90%
82.87%
69.12%
70.16%
68.81%
-
0.92%
0.04%
1.50%
0.56%
3.62%
1.81%
0.36%
1.35%
0.34%
6.29%
4.98%
6.81%
4.61%
0.00%
290
95
21,288
1,344
5,788
29,314
6,532
746
5,785
4,115
18,667
4,336
14,331
41
39.40%
19.13%
47.27%
33.68%
48.18%
49.57%
22.08%
38.93%
20.97%
86.72%
69.83%
71.84%
69.25%
-
0.94%
0.04%
1.22%
0.46%
3.09%
1.65%
0.34%
1.34%
0.33%
6.16%
4.61%
5.84%
4.37%
0.00%
435
115
24,137
1,468
6,630
37,147
7,695
817
6,879
5,544
23,907
5,402
18,505
41
40.10%
18.34%
45.74%
33.43%
46.50%
50.27%
21.12%
37.40%
20.12%
90.98%
71.19%
72.60%
70.79%
-
1.19%
36,203
46.79%
1.09%
44,520
46.59%
0.99%
52,357
46.75%
1.41%
38,676
48.28%
1.56%
51,028
48.40%
1.37%
61,874
48.19%
(*) Refers to the part of Securitization exposure that is deducted from capital and is not included in RWA
LTV % (as of
31/12/2013)
(mln EUR, %)
Spain

Institutions
Corporates
Retail
Which:
Retail - SME
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
56.7%
49.2%
57.1%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
1,128
1,185
0
2,313
11
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
15,094
28,103
76,090
0
20,490
75,210
59,957
2,002
57,955
3,750
11,503
3,771
7,732
1,743
0
0
196,240
0
Defaulted
111
19
15,036
0
3,779
4,060
3,161
586
2,574
38
861
427
434
0
0
0
19,226
0
STA
Non-defaulted
36,079
2,296
15,857
11,166
988
4,330
2,717
0
2,717
547
1,066
285
781
175
51
20,598
79,385
0
F-IRB
9
3
1,118
656
8
55
37
0
37
3
14
1
13
0
0
4,203
5,388
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3,771
767
0
4,538

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
4,087
7,297
44,468
0
11,790
20,715
13,840
390
13,451
742
6,132
1,908
4,224
4,837
0
0
81,405
Defaulted
21
3
1,850
0
430
462
289
34
255
9
163
92
72
0
0
0
2,336

F-IRB
A-IRB
STA
STA
Non-defaulted
41
585
15,109
10,882
733
2,264
1,095
0
1,095
8
1,161
149
1,011
175
17
22,605
40,796
14
0
584
3
8
70
50
0
50
3
17
1
16
0
0
4,262
4,930
0
0
0
0
0
0
0
0
0
0
0
0
0
0
10
0
10
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
87
34
1,217
0
513
1,284
618
24
594
72
593
209
384
39
0
0
2,661
0
Defaulted
32
9
8,215
0
1,964
1,953
1,128
233
895
41
784
415
369
0
0
0
10,209
0
Non-defaulted
0
1
582
344
12
53
29
0
29
2
22
5
18
0
26
163
825
0
as of 31/12/2014
Defaulted
5
0
506
403
42
76
19
0
19
20
38
13
25
0
0
0
587
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Impairment rate
Coverage
Coverage
Stock
Stock
as of 31/12/2016
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.20%
0.01%
1.43%
0.55%
2.59%
0.67%
0.45%
2.04%
0.40%
1.31%
1.55%
1.20%
1.72%
0.00%
23
47
11,832
807
3,087
3,898
2,075
298
1,776
191
1,633
690
942
39
39.78%
33.83%
48.99%
38.88%
45.99%
43.37%
32.47%
38.98%
31.23%
68.04%
75.31%
84.46%
68.84%
-
0.20%
0.01%
1.16%
0.48%
2.12%
0.55%
0.34%
1.71%
0.29%
1.21%
1.43%
1.00%
1.63%
0.00%
46
49
12,855
860
3,503
4,328
2,281
330
1,950
242
1,805
730
1,076
39
39.88%
30.53%
46.95%
39.46%
43.05%
40.47%
30.22%
38.22%
28.83%
61.68%
68.40%
77.09%
63.07%
-
0.20%
0.01%
0.94%
0.45%
1.65%
0.48%
0.26%
1.54%
0.22%
1.16%
1.39%
0.89%
1.64%
0.00%
69
52
13,648
909
3,803
4,693
2,436
358
2,078
289
1,968
764
1,204
39
39.98%
28.66%
45.50%
39.90%
41.12%
38.38%
28.36%
37.37%
26.88%
58.88%
64.08%
71.52%
59.90%
-
1.03%
0.04%
1.63%
0.66%
2.89%
1.10%
0.98%
2.11%
0.95%
1.38%
1.58%
1.25%
1.73%
0.00%
121
53
12,086
861
3,151
4,365
2,535
300
2,236
194
1,636
692
943
39
38.95%
28.08%
49.41%
42.85%
45.88%
42.87%
34.06%
39.20%
33.33%
67.54%
75.42%
84.81%
68.80%
-
1.06%
0.03%
1.96%
0.77%
3.50%
1.09%
0.94%
2.50%
0.89%
1.51%
1.69%
1.48%
1.79%
0.00%
242
60
14,096
946
3,872
5,218
3,107
354
2,753
258
1,853
763
1,090
39
39.48%
25.66%
48.34%
43.72%
43.19%
39.16%
31.38%
39.72%
30.40%
60.92%
68.95%
78.53%
62.95%
-
1.09%
0.02%
1.66%
0.67%
3.14%
0.93%
0.74%
2.55%
0.68%
1.38%
1.71%
1.51%
1.81%
0.00%
363
66
15,470
1,018
4,416
5,913
3,538
402
3,136
314
2,061
827
1,234
39
40.00%
24.64%
46.74%
44.30%
41.57%
36.75%
29.33%
39.89%
28.22%
58.29%
65.08%
74.01%
59.87%
-
0.88%
15,839
47.69%
0.72%
17,316
45.35%
0.59%
18,501
43.65%
1.18%
16,664
47.60%
1.31%
19,655
45.59%
1.11%
21,851
43.60%
LTV % (as of
31/12/2013)
(mln EUR, %)
United Kingdom

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
61.6%
54.0%
61.6%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
4,414
0
2,219
0
0
0
0
0
0
0
0
6
1,148
0
5,568
81
0
0
128
0
38
0
0
0
0
0
0
0
0
0
0
0
128
0
0
7,681
17,740
0
0
192,547
184,842
0
184,842
5,390
2,315
0
2,315
0
0
0
217,967
0
0
0
0
0
0
3,849
3,745
0
3,745
64
40
0
40
0
0
0
3,849
0
34,890
2,476
21,915
6,533
682
9,455
1,581
1,476
105
2,908
4,966
460
4,507
29
0
10,940
79,706
0
0
0
499
307
39
311
85
0
85
28
199
0
199
0
0
0
810
0
0
0
3,435
0
1,634
0
0
0
0
0
0
0
0
22
1,251
0
4,707
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1,897
4,413
0
0
32,381
27,315
0
27,315
2,350
2,716
0
2,716
0
0
0
38,692
0
0
0
0
0
235
206
0
206
17
12
0
12
0
0
0
235
0
750
21,261
6,207
439
6,560
744
707
37
2,181
3,635
256
3,380
29
0
3,000
31,600
0
0
260
0
39
409
85
0
85
49
275
0
275
0
0
0
669
0
0
13
0
3
0
0
0
0
0
0
0
0
0
7
0
20
0
0
0
83
0
22
0
0
0
0
0
0
0
0
0
0
0
83
0
0
1
4
0
0
421
318
0
318
66
37
0
37
0
0
0
426
0
0
0
0
0
0
392
332
0
332
20
40
0
40
0
0
0
392
0
0
0
122
41
2
237
160
160
0
35
42
0
42
0
0
0
359
0
0
0
375
228
52
174
113
0
113
42
19
0
19
0
0
0
549
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Baseline Scenario
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.01%
0.25%
0.07%
0.36%
0.25%
0.05%
0.00%
0.05%
1.97%
3.24%
0.08%
3.45%
0.00%
0
2
707
273
89
1,725
1,024
160
864
326
375
0
374
0
20.70%
32.08%
32.35%
37.10%
15.84%
9.33%
10.85%
9.31%
72.02%
55.43%
2.08%
57.24%
-
0.01%
0.24%
0.06%
0.34%
0.25%
0.05%
0.00%
0.05%
2.00%
3.41%
0.08%
3.64%
0.00%
0
3
811
277
99
2,217
1,115
160
955
488
614
1
613
0
20.70%
27.14%
27.05%
29.50%
17.33%
8.41%
10.85%
8.35%
78.87%
65.80%
2.09%
68.68%
-
0.01%
0.25%
0.06%
0.36%
0.25%
0.05%
0.00%
0.05%
1.97%
3.61%
0.09%
3.85%
0.00%
0
3
917
281
109
2,705
1,204
160
1,044
645
856
1
855
0
20.70%
24.48%
23.65%
25.25%
18.25%
7.85%
10.85%
7.76%
81.98%
70.96%
2.09%
74.46%
-
0.03%
0.31%
0.09%
0.42%
0.28%
0.07%
0.00%
0.07%
2.37%
3.29%
0.08%
3.50%
0.00%
0
4
733
275
92
1,812
1,074
160
914
359
379
0
378
0
20.70%
30.86%
31.18%
35.37%
16.42%
9.77%
10.85%
9.75%
74.12%
55.70%
2.09%
57.53%
-
0.03%
0.38%
0.09%
0.50%
0.35%
0.09%
0.00%
0.09%
3.45%
3.64%
0.09%
3.88%
0.00%
0
6
900
283
106
2,525
1,254
160
1,094
638
634
1
633
0
20.70%
25.45%
24.86%
26.97%
18.15%
8.96%
10.85%
8.90%
82.39%
66.46%
2.09%
69.40%
-
0.02%
0.39%
0.09%
0.54%
0.39%
0.10%
0.00%
0.10%
4.22%
3.83%
0.09%
4.08%
0.00%
0
7
1,062
288
121
3,309
1,453
160
1,293
966
890
1
889
0
20.70%
22.87%
20.99%
22.72%
18.96%
8.42%
10.85%
8.35%
85.92%
71.61%
2.09%
75.18%
-
0.24%
2,434
19.19%
0.24%
3,031
19.42%
0.24%
3,625
19.61%
0.27%
2,548
19.49%
0.34%
3,431
19.78%
0.38%
4,379
19.83%
LTV % (as of
31/12/2013)
(mln EUR, %)
Brazil

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
78.6%
0.0%
78.6%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
18,519
0
0
0
0
0
0
0
0
0
0
0
0
0
18,519
0
Defaulted
0
0
198
0
0
0
0
0
0
0
0
0
0
0
0
0
198
0
STA
Non-defaulted
29,867
4,472
16,201
674
2,818
36,791
4,175
0
4,175
5,837
26,779
7,063
19,716
914
488
12,637
101,370
44
F-IRB
0
0
477
0
209
1,139
65
0
65
168
906
48
858
0
0
85
1,701
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
10,463
0
0
0
0
0
0
0
0
0
0
0
0
0
10,463
Defaulted
0
0
31
0
0
0
0
0
0
0
0
0
0
0
0
0
31

F-IRB
A-IRB
STA
STA
Non-defaulted
157
1,488
14,601
660
1,990
24,134
1,236
0
1,236
4,379
18,518
3,600
14,918
914
891
10,925
53,111
0
0
525
0
234
1,335
56
0
56
184
1,095
53
1,042
0
0
89
1,949
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
2
371
6
150
901
34
0
34
274
592
207
386
0
0
2
1,276
0
as of 31/12/2014
Defaulted
0
0
1,135
0
605
1,728
37
0
37
510
1,180
144
1,036
0
0
15
2,878
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Impairment rate
Coverage
Coverage
Stock
Stock
as of 31/12/2016
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.22%
0.00%
1.44%
0.49%
7.23%
9.03%
0.21%
0.21%
10.66%
10.05%
15.11%
8.24%
0.00%
0
2
2,011
10
964
5,956
81
0
81
1,410
4,465
1,418
3,047
0
45.44%
52.37%
60.63%
45.72%
77.91%
76.48%
28.71%
28.71%
93.02%
74.06%
88.39%
68.90%
-
0.22%
0.00%
1.48%
0.44%
7.45%
8.90%
0.17%
0.17%
11.00%
9.95%
14.21%
8.54%
0.00%
1
2
2,515
12
1,158
8,890
88
0
88
1,990
6,812
2,249
4,564
0
45.55%
47.65%
59.18%
45.72%
79.87%
80.40%
24.08%
24.08%
99.16%
77.86%
88.75%
73.41%
-
0.22%
0.00%
1.29%
0.43%
6.77%
8.56%
0.11%
0.11%
10.92%
9.68%
13.59%
8.47%
0.00%
1
2
2,938
15
1,316
11,786
92
0
92
2,607
9,087
2,917
6,170
0
45.67%
45.18%
58.22%
45.72%
80.76%
84.84%
20.83%
20.83%
106.66%
81.92%
88.82%
79.00%
-
0.79%
0.00%
1.72%
0.80%
7.76%
10.31%
0.33%
0.33%
10.87%
11.74%
15.11%
10.53%
0.00%
2
2
2,129
12
989
6,700
86
0
86
1,422
5,192
1,418
3,773
0
44.88%
51.15%
61.42%
50.30%
79.27%
86.72%
29.65%
29.65%
93.21%
87.06%
88.39%
86.58%
-
0.80%
0.00%
3.04%
0.84%
12.91%
11.21%
0.45%
0.45%
11.96%
12.93%
16.99%
11.58%
0.00%
4
2
3,258
17
1,383
10,390
106
0
106
2,051
8,234
2,416
5,818
0
45.28%
46.06%
62.96%
50.30%
88.11%
91.33%
27.10%
27.10%
99.60%
91.57%
90.58%
91.99%
-
0.82%
0.00%
2.05%
0.44%
10.07%
10.48%
0.45%
0.45%
11.56%
12.20%
15.48%
11.20%
0.00%
5
2
3,911
20
1,604
13,875
124
0
124
2,711
11,040
3,155
7,885
0
45.68%
43.47%
61.50%
50.30%
88.80%
96.26%
25.35%
25.35%
107.70%
96.16%
90.85%
98.46%
-
4.99%
7,969
71.90%
4.77%
11,407
74.76%
4.37%
14,727
78.05%
5.72%
8,832
79.16%
6.57%
13,654
82.65%
5.59%
17,793
85.85%
LTV % (as of
31/12/2013)
(mln EUR, %)
Chile

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
40.3%
36.1%
40.7%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3,136
0
0
0
0
0
0
0
0
0
0
0
0
0
3,136
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2,020
3,199
7,303
82
222
17,182
8,555
714
7,841
1,672
6,956
2,370
4,586
43
0
2,349
32,095
0
0
0
132
0
13
1,229
584
41
543
15
629
251
378
0
0
29
1,389
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1,339
0
0
0
0
0
0
0
0
0
0
0
0
0
1,339
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
144
558
7,061
82
145
9,214
2,927
257
2,670
1,254
5,034
1,182
3,852
43
0
1,060
18,080
0
0
158
0
15
1,364
587
41
546
15
761
333
428
0
0
44
1,565
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
10
0
0
0
0
0
0
0
0
0
0
0
0
0
10
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
36
0
1
279
31
30
1
89
159
34
124
0
0
0
314
0
0
0
129
0
14
380
55
6
49
11
315
92
223
0
0
0
509
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.01%
0.08%
1.04%
1.03%
1.04%
1.91%
0.35%
0.46%
0.34%
5.69%
2.93%
2.43%
3.19%
0.00%
0
1
283
1
17
988
115
39
76
195
678
184
493
0
43.41%
14.57%
44.52%
39.85%
49.63%
28.44%
9.19%
12.80%
8.84%
64.78%
36.36%
29.09%
40.44%
-
0.01%
0.08%
1.05%
1.05%
1.05%
1.88%
0.20%
0.18%
0.21%
5.95%
3.06%
2.55%
3.32%
0.00%
0
3
389
2
19
1,294
132
40
91
286
876
241
636
0
43.41%
14.57%
43.00%
39.88%
48.22%
30.19%
8.48%
11.22%
8.19%
66.66%
37.87%
30.22%
42.14%
-
0.01%
0.08%
1.04%
1.04%
1.04%
1.74%
0.06%
0.00%
0.06%
5.87%
3.02%
2.52%
3.28%
0.00%
0
4
492
3
21
1,575
145
41
104
367
1,063
295
768
0
43.42%
14.57%
42.25%
39.89%
47.16%
31.10%
7.86%
10.14%
7.61%
67.43%
38.93%
31.19%
43.22%
-
0.01%
0.09%
1.15%
1.15%
1.15%
1.98%
0.51%
0.77%
0.49%
5.63%
2.90%
2.39%
3.16%
0.00%
0
2
300
1
17
999
130
42
88
194
675
184
492
0
42.31%
14.57%
46.08%
41.34%
51.49%
28.99%
10.81%
15.64%
10.34%
64.70%
36.32%
29.06%
40.40%
-
0.01%
0.10%
1.25%
1.24%
1.25%
2.19%
0.77%
1.26%
0.73%
6.04%
3.10%
2.60%
3.36%
0.00%
0
3
427
2
20
1,382
217
53
165
286
878
241
637
0
42.31%
14.57%
44.47%
41.39%
49.90%
32.66%
15.43%
21.42%
14.79%
66.68%
37.93%
30.26%
42.21%
-
0.01%
0.10%
1.13%
1.13%
1.13%
2.05%
0.79%
1.30%
0.74%
5.65%
2.91%
2.40%
3.17%
0.00%
0
5
538
3
23
1,831
355
67
287
369
1,107
318
789
0
42.32%
14.57%
43.72%
41.37%
48.80%
37.19%
21.92%
27.45%
21.29%
68.36%
41.01%
34.11%
44.82%
-
1.46%
1,272
31.16%
1.44%
1,686
32.50%
1.34%
2,071
33.18%
1.54%
1,301
31.97%
1.69%
1,812
34.89%
1.55%
2,374
38.39%
LTV % (as of
31/12/2013)
(mln EUR, %)
Mexico

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
53.9%
0.0%
53.9%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
2,504
9,327
0
1,100
0
0
0
0
0
0
0
0
109
0
0
11,941
0
0
0
345
0
6
0
0
0
0
0
0
0
0
0
0
0
345
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
7,642
227
2,662
1,284
0
10,186
4,870
0
4,870
2,211
3,105
1,651
1,454
18
0
2,918
23,653
0
0
0
87
82
0
251
134
0
134
51
66
34
32
0
0
24
361
0
0
690
5,432
0
851
0
0
0
0
0
0
0
0
379
0
0
6,502
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
241
106
2,500
1,123
0
4,969
1,417
0
1,417
1,658
1,894
803
1,091
18
0
2,213
10,047
0
0
5
0
0
226
109
0
109
51
66
34
32
0
0
31
262
0
1
45
0
11
0
0
0
0
0
0
0
0
0
0
0
46
0
0
0
139
0
1
0
0
0
0
0
0
0
0
0
0
0
139
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
8
6
0
93
10
0
10
40
43
0
43
0
0
0
101
0
0
0
6
6
0
230
95
0
95
59
76
40
36
0
0
0
235
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.05%
0.22%
0.32%
0.31%
0.45%
4.64%
0.42%
0.42%
10.71%
6.94%
4.01%
10.26%
0.00%
1
7
237
16
17
795
126
0
126
336
334
106
228
0
42.58%
14.02%
34.98%
10.03%
35.83%
62.77%
32.03%
32.03%
83.59%
71.48%
58.27%
81.81%
-
0.05%
0.22%
0.32%
0.29%
0.46%
4.28%
0.29%
0.29%
10.64%
6.53%
3.91%
9.67%
0.00%
2
13
275
19
22
1,203
140
0
140
544
519
166
353
0
42.61%
14.06%
36.33%
12.85%
38.11%
65.99%
27.10%
27.10%
88.60%
74.52%
59.32%
86.00%
-
0.05%
0.21%
0.33%
0.28%
0.48%
4.12%
0.20%
0.20%
10.87%
6.55%
3.93%
9.85%
0.00%
3
19
373
46
29
1,634
149
0
149
759
727
243
484
0
42.63%
14.08%
45.68%
35.85%
42.44%
69.82%
23.38%
23.38%
93.95%
80.11%
65.21%
91.29%
-
0.10%
0.25%
0.37%
0.50%
0.47%
4.85%
0.46%
0.46%
11.38%
7.09%
4.01%
10.59%
0.00%
2
8
251
19
17
817
128
0
128
350
339
106
233
0
42.64%
14.03%
37.12%
12.69%
36.03%
63.26%
31.97%
31.97%
84.42%
71.84%
58.27%
82.24%
-
0.10%
0.28%
0.41%
0.57%
0.51%
5.03%
0.52%
0.52%
12.47%
7.45%
3.94%
11.67%
0.00%
4
15
300
26
23
1,296
152
0
152
594
550
167
383
0
42.69%
14.06%
38.77%
17.54%
38.39%
66.76%
27.18%
27.18%
90.00%
75.84%
59.34%
87.41%
-
0.10%
0.31%
0.33%
0.35%
0.42%
4.57%
0.60%
0.60%
10.54%
7.68%
4.03%
12.39%
0.00%
7
24
410
59
29
1,782
186
0
186
803
793
250
544
0
42.74%
14.09%
49.65%
43.13%
43.20%
70.62%
25.53%
25.53%
95.32%
82.51%
66.49%
93.42%
-
1.91%
1,041
52.95%
1.72%
1,493
56.60%
1.62%
2,029
62.00%
2.02%
1,078
53.85%
2.04%
1,615
57.68%
1.77%
2,222
63.26%

Credit Risk
(mln EUR, %)
United States

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
LTV % (as of
31/12/2013)
LTV % (as of
31/12/2013)
61.1%
0.0%
61.1%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
47
0
0
47
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
6,750
0
0
0
0
0
0
0
0
0
0
0
0
0
6,750
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
7,568
6,316
15,909
1,120
0
31,179
17,020
0
17,020
146
14,013
0
14,013
646
1,675
5,760
69,052
0
F-IRB
Defaulted
Non-defaulted
0
0
265
0
0
528
324
0
324
0
203
0
203
0
0
47
840
0
0
0
0
0
0
0
0
0
0
0
0
0
0
164
0
0
164

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
4,020
0
0
0
0
0
0
0
0
0
0
0
0
0
4,020
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
257
1,126
16,004
1,120
0
15,732
5,074
0
5,074
109
10,548
0
10,548
369
507
4,224
38,218
Defaulted
Non-defaulted
0
0
268
0
0
531
327
0
327
0
203
0
203
0
0
70
869
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
344
203
0
203
5
136
0
136
0
1
60
406
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
160
0
0
443
134
0
134
2
308
0
308
0
0
0
604
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.01%
0.01%
0.20%
0.04%
2.41%
0.16%
0.16%
6.73%
5.10%
5.10%
0.00%
0
1
206
0
0
1,549
364
0
364
17
1,169
0
1,169
0
40.86%
21.48%
32.39%
27.58%
49.87%
29.75%
29.75%
77.67%
55.46%
55.46%
-
0.01%
0.01%
0.18%
0.05%
2.24%
0.21%
0.21%
6.85%
4.91%
4.91%
0.00%
0
1
246
1
0
2,215
400
0
400
26
1,789
0
1,789
0
40.87%
21.68%
28.32%
25.80%
50.37%
30.09%
30.09%
77.52%
54.50%
54.50%
-
0.01%
0.01%
0.18%
0.06%
2.01%
0.20%
0.20%
6.70%
4.62%
4.62%
0.00%
0
2
286
2
0
2,785
434
0
434
34
2,317
0
2,317
0
40.87%
21.75%
25.55%
24.50%
50.52%
30.20%
30.20%
77.12%
54.13%
54.13%
-
0.01%
0.04%
0.57%
0.21%
2.90%
0.33%
0.33%
7.77%
5.97%
5.97%
0.00%
0
2
383
2
0
1,708
393
0
393
18
1,297
0
1,297
0
39.82%
21.76%
48.38%
37.92%
50.73%
30.96%
30.96%
77.61%
56.37%
56.37%
-
0.01%
0.03%
0.92%
0.51%
3.13%
0.53%
0.53%
8.02%
6.62%
6.62%
0.00%
0
4
587
8
0
2,637
482
0
482
29
2,126
0
2,126
0
39.83%
21.83%
41.16%
36.48%
51.46%
32.05%
32.05%
77.49%
56.01%
56.01%
-
0.01%
0.02%
0.88%
0.39%
2.79%
0.66%
0.66%
7.32%
5.98%
5.98%
0.00%
0
5
777
12
0
3,407
591
0
591
37
2,779
0
2,779
0
39.83%
21.85%
37.92%
35.61%
51.25%
32.74%
32.74%
77.12%
55.67%
55.67%
-
1.32%
1,756
46.24%
1.21%
2,462
46.20%
1.07%
3,072
45.86%
1.72%
2,093
50.12%
1.94%
3,228
48.92%
1.73%
4,189
47.81%
LTV % (as of
31/12/2013)
(mln EUR, %)
Portugal

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
63.6%
0.0%
63.6%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
87
0
87
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
247
1,057
6,161
0
2,509
17,897
14,901
0
14,901
458
2,538
691
1,846
0
0
0
25,362
0
0
2
744
0
307
948
574
0
574
35
339
144
195
0
0
0
1,695
0
6,117
190
2,227
632
425
928
53
1
52
0
875
140
735
105
0
1,984
11,552
0
0
0
304
218
0
39
21
1
20
0
18
3
14
0
0
251
594
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
92
0
92
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
284
760
4,675
0
1,989
4,065
2,959
0
2,959
109
997
321
676
0
0
0
9,784
0
0
143
0
50
133
68
0
68
7
58
33
25
0
0
0
276
34
84
2,010
581
213
655
25
0
25
0
629
78
551
105
0
2,249
5,137
0
0
112
0
0
51
32
2
31
0
19
4
15
0
0
252
415
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
1
76
0
53
106
57
0
57
5
45
17
27
0
0
0
184
0
0
0
292
0
73
458
198
0
198
19
241
108
133
0
0
0
750
0
0
0
21
7
7
13
0
0
0
0
13
0
13
0
0
0
34
0
0
0
63
38
0
48
0
0
0
0
48
12
36
0
0
0
111
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.62%
0.01%
1.05%
0.55%
1.20%
0.62%
0.39%
0.00%
0.39%
1.79%
1.48%
2.20%
1.25%
0.00%
4
1
542
49
170
807
377
0
377
32
397
155
242
0
39.36%
2.70%
31.56%
15.78%
24.23%
45.34%
35.66%
0.00%
35.71%
45.13%
60.87%
67.25%
57.18%
-
0.63%
0.01%
1.01%
0.45%
1.17%
0.65%
0.45%
0.00%
0.45%
1.72%
1.42%
2.18%
1.18%
0.00%
7
1
627
51
204
958
475
0
475
39
444
172
271
0
39.68%
3.56%
31.43%
16.47%
24.62%
42.50%
35.03%
0.00%
35.06%
41.44%
55.29%
62.56%
51.31%
-
0.64%
0.01%
1.02%
0.62%
1.17%
0.65%
0.46%
0.00%
0.46%
1.62%
1.39%
2.20%
1.13%
0.00%
11
1
707
55
235
1,082
549
0
549
46
487
189
298
0
39.99%
3.98%
31.27%
17.36%
24.74%
40.02%
33.36%
0.00%
33.38%
39.51%
51.82%
59.45%
47.76%
-
3.39%
0.02%
1.25%
0.85%
1.37%
0.72%
0.47%
0.00%
0.47%
1.88%
1.63%
2.42%
1.38%
0.00%
20
1
583
54
177
872
435
0
435
32
404
157
247
0
36.39%
3.28%
33.59%
17.74%
25.03%
48.78%
41.51%
0.00%
41.55%
45.10%
60.72%
66.84%
57.19%
-
3.74%
0.02%
1.40%
1.21%
1.52%
0.83%
0.60%
0.00%
0.60%
1.90%
1.72%
2.52%
1.46%
0.00%
39
2
703
62
222
1,077
574
0
574
41
462
177
285
0
38.17%
4.01%
33.72%
19.49%
25.85%
46.84%
42.29%
0.00%
42.32%
41.35%
55.00%
62.15%
51.17%
-
4.12%
0.03%
1.50%
0.89%
1.70%
0.85%
0.66%
0.00%
0.66%
2.02%
1.60%
2.47%
1.33%
0.00%
59
2
822
67
268
1,251
691
0
691
49
511
195
316
0
40.00%
4.36%
33.66%
20.62%
26.24%
45.05%
41.69%
0.00%
41.72%
39.46%
51.51%
59.01%
47.61%
-
0.72%
1,354
38.63%
0.73%
1,593
37.34%
0.73%
1,801
36.04%
0.90%
1,476
41.25%
1.02%
1,821
40.53%
1.06%
2,134
39.68%
LTV % (as of
31/12/2013)
(mln EUR, %)
Germany

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
69.5%
0.0%
69.5%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
1,194
711
3,179
0
0
26,639
6,142
0
6,142
0
20,496
0
20,496
5
0
516
32,245
0
F-IRB
0
0
136
0
0
215
57
0
57
0
158
0
158
0
0
0
351
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
142
3,179
0
0
17,700
2,328
0
2,328
0
15,372
0
15,372
5
0
411
21,438
0
0
182
0
0
220
51
0
51
0
169
0
169
0
0
0
403
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
14
0
0
264
3
0
3
0
261
0
261
0
0
0
278
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
22
0
0
750
33
0
33
0
717
0
717
0
0
0
772
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.01%
0.16%
0.67%
0.31%
0.31%
0.77%
0.77%
0.00%
0
0
41
0
0
1,191
54
0
54
0
1,137
0
1,137
0
21.08%
15.73%
69.00%
30.74%
30.74%
74.47%
74.47%
-
0.01%
0.15%
0.66%
0.30%
0.30%
0.77%
0.77%
0.00%
0
0
46
0
0
1,365
73
0
73
0
1,292
0
1,292
0
21.08%
17.21%
64.23%
28.59%
28.59%
70.15%
70.15%
-
0.01%
0.14%
0.65%
0.30%
0.30%
0.76%
0.76%
0.00%
0
0
83
0
0
1,534
91
0
91
0
1,444
0
1,444
0
21.08%
34.71%
61.23%
27.49%
27.49%
67.34%
67.34%
-
0.04%
0.20%
0.76%
0.44%
0.44%
0.85%
0.85%
0.00%
0
0
46
0
0
1,275
74
0
74
0
1,200
0
1,200
0
21.08%
18.34%
74.42%
41.22%
41.22%
79.30%
79.30%
-
0.03%
0.21%
0.81%
0.52%
0.52%
0.90%
0.90%
0.00%
0
0
53
0
0
1,487
106
0
106
0
1,381
0
1,381
0
21.08%
20.37%
68.86%
37.99%
37.99%
74.43%
74.43%
-
0.02%
0.21%
0.88%
0.64%
0.64%
0.95%
0.95%
0.00%
0
1
102
0
0
1,714
144
0
144
0
1,570
0
1,570
0
21.08%
42.92%
65.10%
36.27%
36.27%
71.17%
71.17%
-
0.60%
1,233
62.96%
0.59%
1,411
59.66%
0.59%
1,617
58.93%
0.68%
1,321
68.07%
0.73%
1,540
64.18%
0.79%
1,817
63.20%
LTV % (as of
31/12/2013)
(mln EUR, %)
Poland

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
52.4%
29.6%
53.8%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
5,900
1,340
7,974
0
197
12,903
7,277
437
6,840
119
5,507
1,241
4,266
213
0
992
29,322
0
F-IRB
0
0
361
0
7
237
119
10
109
1
117
62
55
0
0
16
614
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
8
341
6,944
0
167
7,116
3,052
232
2,820
90
3,975
674
3,301
213
0
656
15,279
0
0
425
0
9
228
103
10
93
1
123
66
57
0
0
23
676
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
105
0
0
157
62
0
62
0
95
13
82
0
0
0
262
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
440
0
16
578
118
24
94
34
426
172
255
0
0
0
1,017
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.06%
0.01%
0.45%
1.88%
1.85%
0.69%
1.58%
0.63%
2.97%
3.35%
4.98%
2.87%
0.00%
0
0
592
0
20
988
230
31
199
39
719
246
472
0
39.43%
20.87%
53.05%
54.72%
65.25%
46.07%
65.76%
43.20%
95.18%
71.89%
67.24%
74.97%
-
0.06%
0.01%
0.45%
1.87%
1.83%
0.64%
1.44%
0.59%
3.14%
3.44%
4.87%
3.04%
0.00%
0
0
651
0
23
1,216
276
37
239
43
898
301
597
0
39.46%
20.87%
53.07%
48.28%
62.08%
44.42%
63.57%
41.83%
90.86%
68.13%
64.33%
70.44%
-
0.06%
0.01%
0.47%
1.83%
1.90%
0.62%
1.43%
0.57%
3.43%
3.71%
5.16%
3.32%
0.00%
0
0
689
0
26
1,444
319
43
277
47
1,078
354
724
0
39.49%
20.87%
51.29%
44.65%
60.24%
43.46%
62.13%
41.04%
87.21%
65.91%
62.56%
67.82%
-
0.20%
0.03%
0.72%
2.10%
2.06%
0.88%
1.73%
0.82%
3.17%
3.61%
5.45%
3.07%
0.00%
0
0
612
0
22
1,025
246
31
214
40
739
252
487
0
39.39%
20.87%
51.33%
60.04%
65.41%
46.28%
65.47%
43.66%
96.98%
72.49%
66.84%
76.28%
-
0.20%
0.03%
0.90%
2.35%
2.36%
1.01%
2.07%
0.94%
3.53%
4.20%
7.03%
3.41%
0.00%
0
0
701
0
26
1,318
317
40
277
44
956
331
626
0
39.49%
20.87%
49.45%
52.27%
61.55%
44.31%
62.70%
42.04%
92.29%
68.26%
63.26%
71.53%
-
0.20%
0.02%
0.57%
2.67%
2.27%
1.00%
1.74%
0.96%
3.56%
4.08%
6.54%
3.45%
0.00%
0
1
744
0
31
1,591
387
47
340
49
1,155
394
761
0
39.59%
20.87%
47.57%
47.66%
59.78%
43.24%
61.31%
41.21%
89.82%
66.56%
61.59%
69.68%
-
1.25%
1,580
60.15%
1.23%
1,867
58.70%
1.27%
2,133
57.13%
1.48%
1,637
59.39%
1.71%
2,020
56.82%
1.53%
2,336
55.38%
LTV % (as of
31/12/2013)
(mln EUR, %)
Please, select the country

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

P&L
Baseline Scenario
31/12/2013
Adverse Scenario
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
27,668
26,728
25,480
25,878
22,747
19,988
660
1,102
1,322
385
937
1,213
-1,105
-663
-442
-1,379
-828
-552
3,130
-571
-571
-571
-571
-571
-571
22,620
17,567
17,326
16,299
15,278
12,978
10,532
-14,495
-9,376
-8,323
-7,841
-11,883
-12,382
-10,866
-14,262
-9,374
-8,322
-7,841
-11,852
-12,363
-10,854
-234
-2
-1
-1
-31
-19
-13
-427
-225
-135
-90
-765
-459
-306
7,698
7,966
8,867
8,367
2,630
137
-640
100
Pre-Tax profit
7,797
7,966
8,867
8,367
2,630
137
-640
Tax
-2,276
-2,390
-2,660
-2,510
-789
-41
Net income
5,522
5,576
6,207
5,857
1,841
96
-640
Attributable to owners of the parent
4,370
4,554
5,285
5,132
1,041
-451
-961
3,526
3,643
4,228
4,106
833
-451
-961
208
(mln EUR)
Net interest income
27,671
Net trading income

of which trading losses from stress scenarios
Other operating income
Impairment of financial assets (-)
Impairment of financial assets other than instruments designated at fair value
through P&L (-)
Impairment Financial assets designated at fair value through P&L (-)
Impairment on non financial assets (-)
Operating profit after impairments from stress scenarios
Other Income and expenses
of which carried over to capital through retained earnings
911
1,057
1,026
844
of which distributed as dividends
In the figures above, the original (official published) 2013 P&L figures may have been adjusted as part of the ECB Comprehensive Assessment join-up calculation.

RWA
(mln EUR)
Risk exposure amount for credit risk
Baseline Scenario
Adverse Scenario
as of 31/12/2013
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
442,467
447,108
450,128
453,127
450,657
455,336
458,398
5,656
7,834
8,565
9,051
10,008
12,041
13,377
436,810
439,274
441,563
444,075
440,648
443,295
445,021
Risk exposure amount for market risk
31,546
31,646
31,646
31,646
39,363
39,363
39,301
Risk exposure amount for operational risk
65,943
65,943
65,943
65,943
65,943
65,943
65,943
293
293
293
293
293
293
293
540,248
544,990
548,010
551,008
556,256
560,935
563,935
Risk exposure amount Securitisation and re-securitisations

Risk exposure amount Other credit risk
Transitional floors for Risk exposure amount

AQR adjustments (for SSM countries only)
Total Risk exposure amount

Securitisation
(mln EUR)
Exposure values
Risk exposure values
Impairments
Banking Book
Trading Book (excl. correlation trading positions under CRM)
Correlation Trading Portfolio (CRM)
Total
Banking Book
Total
Hold to Maturity porfolio
Available for Sale porfolio
Held for trading portfolio
Total
Baseline scenario
Adverse scenario
as of 31/12/2013
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
4,884
810
0
5,694
3,571
2,086
5,656
0
43
5,274
2,560
7,834
0
50
5,766
2,798
8,565
0
55
6,093
2,958
9,051
0
59
7,106
2,902
10,008
0
54
8,697
3,344
12,041
0
65
9,740
3,637
13,377
0
73
43
50
55
59
54
65
73
2014 EU-wide Stress Test - Sovereign Exposure

VALUES AS OF 31/12/2013
(mln EUR)
GROSS DIRECT LONG

NET DIRECT POSITIONS (gross exposures (long) net of cash short
EXPOSURES (accounting value gross positions of sovereign debt to other counterpaties only where there
of provisions)
is a maturity matching)
(1)
(1)
Residual Maturity
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES (1)
INDIRECT SOVEREIGN EXPOSURES (3) (on and off balance sheet)
Derivatives with positive fair value at

31/12/2013
Derivatives with negative fair value at

31/12/2013
Derivatives with positive fair value

at 31/12/2013
Derivatives with negative fair

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Belgium
Bulgaria
Cyprus
Czech Republic
Denmark
Estonia
Finland
France
2
27
0
1
43
28
50
151
42
18
0
10
39
52
24
185
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
0
0
0
5
0
0
0
0
0
0
0
0
0
2
0
5
2
48
9
66
5
50
121
58
118
147
110
609
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
2
27
-26
1
5
-39
20
-11
42
18
-28
-220
7
20
-8
-169
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
0
0
0
5
0
0
0
0
0
0
0
0
0
2
-17
5
-2
23
2
13
5
-112
-174
-363
-196
-82
6
-916
2
0
0
0
0
0
0
2
10
0
0
0
0
0
0
10
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
70
0
0
0
0
70
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
27
-26
1
5
-39
20
-13
32
18
-28
-220
7
20
-8
-179
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
0
0
0
5
0
0
0
0
0
0
0
0
0
2
-17
5
-2
23
2
13
5
-112
-244
-363
-196
-82
6
-986
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at 31/12/2013
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
110
210
450
0
0
150
0
920
0
2
1
3
2
30
394
430
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
5
8
0
0
21
0
35
0
0
0
0
0
0
0
0
0
0
100
0
0
0
0
100
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
361
0
0
0
361
0
0
0
0
0
0
0
0
0
0
-6
0
0
0
0
-6
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-2
0
0
0
-2
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
29
0
0
191
0
0
0
220
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
22
0
0
22
0
0
0
0
0
0
0
0
0
0
0
0
22
0
0
22
104
243
360
426
59
0
0
1,192
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
5
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
1
1
0
0
0
3
0
0
0
0
0
0
0
0
-29
0
0
-42
0
0
0
-71
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-22
0
0
-22
0
0
0
0
0
0
0
0
0
0
0
0
-22
0
0
-22
-104
-36
-36
-103
15
0
0
-265
0
0
0
0
0
0
0
0
0
0
0
-1
0
0
0
-1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-1
0
0
0
-1

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Germany
Croatia
Greece
Hungary
Iceland
Ireland
Italy
Latvia
Liechtenstein
18
188
424
294
617
482
60
2,083
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
50
1,324
647
276
148
146
56
2,648
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
18
187
-425
177
-94
-56
14
-179
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
50
1,249
94
39
36
-78
-5
1,387
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
77
0
0
0
77
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
18
187
-425
177
-94
-56
14
-179
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
50
1,249
94
-38
36
-78
-5
1,310
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
110
150
0
0
350
610
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
59
0
0
0
0
0
0
59
0
0
0
0
0
0
0
0
370
1,000
600
750
1,350
744
0
4,814
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4
12
0
0
68
84
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
0
1
0
0
0
0
0
0
0
0
6
16
23
34
100
22
0
200
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
771
50
821
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
131
0
0
0
0
0
0
131
0
0
0
0
0
0
0
0
0
108
0
0
0
0
0
108
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-71
-5
-76
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-2
0
0
0
0
0
0
-2
0
0
0
0
0
0
0
0
0
-1
0
0
0
0
0
-1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
163
0
0
36
22
0
0
222
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-3
0
0
0
0
0
-3
0
0
0
0
0
0
0
0
0
0
4
0
0
0
0
4
0
193
87
-71
-18
0
0
191
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
1
3
0
0
0
5
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-163
0
0
-54
-22
0
0
-240
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3
0
0
0
0
0
3
0
0
0
0
0
0
0
0
0
0
-4
0
0
0
0
-4
0
-270
-160
91
115
0
0
-224
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-1
-1
0
0
0
0
-3
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Lithuania
Luxembourg
Malta
Netherlands
Norway
Poland
Portugal
Romania
Slovakia
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
20
19
62
70
49
75
3
297
96
0
0
0
0
0
0
96
1,424
494
567
249
917
1,079
349
5,079
327
774
59
109
663
774
102
2,808
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3
1
1
7
10
8
6
36
43
24
17
109
162
127
101
583
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
20
19
46
60
-13
41
-58
115
96
0
0
0
0
0
0
96
1,424
494
567
249
893
1,053
349
5,030
327
774
59
109
663
774
102
2,808
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
96
0
0
0
0
0
0
96
1,373
474
497
221
863
1,037
305
4,770
278
634
17
0
501
647
0
2,076
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
20
19
46
60
-13
41
-58
115
0
0
0
0
0
0
0
0
48
17
70
21
20
3
38
216
6
117
25
0
0
0
1
149
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
742
1,122
2,802
1,496
12,333
0
0
18,495
0
0
0
0
0
0
0
0
101
0
83
0
0
0
0
184
0
8
0
0
0
0
10
18
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
17
19
107
91
932
0
0
1,166
0
0
0
0
0
0
0
0
1
0
8
0
0
0
0
9
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
500
917
2,753
0
1,750
6,635
3,431
15,986
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
16
0
0
0
0
14
30
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-12
-13
-95
0
-105
-598
-513
-1,337
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
30
4
0
0
11
0
0
45
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-7
-163
0
0
0
0
-170
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2
0
0
0
0
2
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-30
-4
0
0
-11
0
0
-45
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
7
145
0
0
0
0
152
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-2
0
0
0
0
-2
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Slovenia
Spain
Sweden
United Kingdom
Australia
Canada
Hong Kong
Japan
U.S.
0
0
0
0
0
0
0
0
1,035
3,331
1,771
4,384
6,436
17,841
5,647
40,446
0
0
0
0
0
0
0
0
204
99
5
2,322
889
1,287
506
5,312
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
599
0
0
0
0
0
0
599
4,453
108
0
0
0
0
0
4,561
795
28
466
21
36
652
1,243
3,241
0
0
0
0
0
0
0
0
869
475
344
2,183
3,266
2,561
2,022
11,720
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4
2
1
9
14
11
8
49
of which: AFS
banking book
0
0
0
0
0
0
0
0
1,035
3,312
1,474
4,154
5,841
17,607
4,943
38,367
0
0
0
0
0
0
0
0
-510
-110
-172
1,862
307
1,185
-160
2,402
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
599
0
0
0
0
0
0
599
4,453
108
0
0
0
0
0
4,561
795
28
381
9
28
193
1,237
2,671
0
0
0
0
0
0
0
0
0
0
131
1,702
2,507
13,717
3,087
21,144
0
0
0
0
0
0
0
0
204
0
0
1,958
874
741
0
3,777
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
599
0
0
0
0
0
0
599
0
0
0
0
0
0
0
0
761
26
0
1
0
81
1,220
2,089
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
123
67
49
308
461
362
285
1,655
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
43
2,579
128
-89
-473
968
-452
2,704
0
0
0
0
0
0
0
0
-714
-110
-172
-96
-567
444
-160
-1,375
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4,453
108
0
0
0
0
0
4,561
30
0
379
0
15
102
-6
519
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
1,656
499
753
1,158
2,324
2,433
1,643
10,466
0
0
0
0
0
0
0
0
0
0
18
10
0
0
30
58
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
32
11
29
42
128
108
267
617
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
7
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1,444
361
191
372
553
1,910
1,332
6,162
0
0
0
0
0
0
0
0
12
0
0
0
0
0
0
12
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-17
-2
-5
-22
-20
-434
-271
-771
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
47
36
0
0
0
83
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
100
0
-75
-50
0
0
0
-25
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
0
2
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-47
-36
0
0
0
-83
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-100
0
75
50
0
0
0
25
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-1
-1
0
0
0
-2
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
China
Switzerland
Other advanced economies

non EEA
Other Central and eastern

Europe countries non EEA
Middle East
Latin America and the

Caribbean
Africa
Others
0
0
0
0
0
0
0
0
407
244
0
0
0
0
0
652
0
4
0
0
0
0
0
4
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5,097
4,418
4,710
5,621
8,153
3,361
2,964
34,324
8
4
3
19
29
22
18
103
4
2
2
10
14
11
9
52
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
264
144
105
664
994
779
615
3,566
7
4
3
18
27
22
17
99
4
2
1
9
14
11
9
49
of which: AFS
banking book
0
0
0
0
0
0
0
0
407
244
0
0
0
0
0
652
0
4
0
0
0
0
0
4
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3,453
4,009
3,760
3,752
7,617
2,703
2,779
28,074
8
4
3
19
29
22
18
103
4
2
2
10
14
11
9
52
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4
0
0
0
0
0
4
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
495
866
2,012
709
5,467
1,634
1,736
12,919
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
1
0
2
4
3
2
13
0
0
0
1
1
1
1
4
0
0
0
0
1
0
0
2
0
0
0
0
0
0
0
0
407
244
0
0
0
0
0
652
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2,693
2,998
1,643
2,377
1,153
287
425
11,576
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
515
168
41
192
68
19
8
1,010
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3
2
0
22
6
7
0
40
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
763
2,938
17
41
298
0
68
4,125
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-20
-116
0
0
-16
0
-2
-155
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
138
155
-564
86
0
0
-185
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
5
24
9
0
0
39
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-73
-645
-1,479
-1,216
-90
0
0
-3,503
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-4
-13
-21
-7
0
0
-45
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notes and definitions

(1) The exposures reported cover only exposures to central, regional and local governments on immediate borrower basis, and do not include exposures to other counterparts with full or partial government guarantees
(2) The banks disclose the exposures in the "Financial assets held for trading" portfolio after offsetting the cash short positions having the same maturities.
(3) The exposures reported include the positions towards counterparts (other than sovereign) on sovereign credit risk (i.e. CDS, financial guarantees) booked in all the accounting portfolio (on-off balance sheet).
'Irrespective of the denomination and or accounting classification of the positions the economic substance over the form must be used as a criteria for the identification of the exposures to be included in this column. This item does not include exposures to counterparts (other than sovereign) with full or partial government guarantees by central, regional and local governments

Capital
Baseline Scenario
CRR / CRDIV DEFINITION OF CAPITAL
(mln EUR)
A
As of 31/12/2013
Adverse Scenario
As of 31/12/2014 As of 31/12/2015 As of 31/12/2016 As of 31/12/2014 As of 31/12/2015 As of 31/12/2016
OWN FUNDS
63,219
67,718
71,329
74,605
64,111
62,226
58,967
A.1
COMMON EQUITY TIER 1 CAPITAL (net of deductions and after applying

transitional adjustments)
56,086
60,368
63,248
66,063
56,762
54,146
A.1.1
Capital instruments eligible as CET1 Capital (including share premium and net own
capital instruments)
42,390
42,390
42,390
42,390
42,390
42,390
A.1.1.1
Of which: CET1 instruments subscribed by Government
COREP CODE
REGULATION
CA1 {1}
Articles 4(118) and 72 of CRR
50,426
CA1 {1.1.1}
Article 50 of CRR
42,390
CA1 {1.1.1.1}
Articles 26(1) points (a) and (b), 27 to 29, 36(1) point (f)
and 42 of CRR
A.1.2
Retained earnings
41,782
45,425
49,653
53,759
42,615
42,164
41,202
CA1 {1.1.1.2}
Articles 26(1) point (c), 26(2) and 36 (1) points (a) and (l)
of CRR
A.1.3
Accumulated other comprehensive income
-15,386
-15,275
-15,045
-15,025
-16,647
-15,675
-16,123
CA1 {1.1.1.3}
Articles 4(100), 26(1) point (d) and 36 (1) point (l) of CRR
-379
-379
-379
-379
-2,740
-2,081
-2,373
425
384
291
229
-35
-309
-493
CA1 {1.1.1.4}
Articles 4(117) and 26(1) point (e) of CRR
A.1.3.1
A.1.3.2
Of which: arising from unrealised gains/losses from Sovereign exposure in AFS

portfolio
Of which: arising from unrealised gains/losses from the rest of AFS portfolio
A.1.4
Other Reserves
A.1.5
Funds for general banking risk
A.1.6
Minority interest given recognition in CET1 capital
A.1.7
A.1.8
CA1 {1.1.1.5}
Articles 4(112), 26(1) point (f) and 36 (1) point (l) of CRR
6,012
6,390
6,733
7,003
6,308
6,511
6,630
CA1 {1.1.1.7}
Article 84 of CRR
Adjustments to CET1 due to prudential filters excluding those from unrealised

gains/losses from AFS portfolio
326
326
326
326
326
326
326
CA1 {1.1.1.9}
Articles 32 to 35 of and 36 (1) point (l) of CRR
Adjustments to CET1 due to prudential filters from unrealised gains/losses from

Sovereign Exposure in AFS portfolio
379
303
227
152
2,192
1,249
949
CA1 {1.1.1.10 +
1.1.1.11}
Articles 4(113), 36(1) point (b) and 37 of CRR. Articles

4(115), 36(1) point (b) and 37 point (a) of CCR
A.1.9
(-) Intangible assets (including Goodwill)
-26,739
-25,974
-25,209
-24,444
-25,974
-25,209
-24,444
A.1.10
(-) DTAs that rely on future profitability and do not arise from temporary
differences net of associated DTLs
-4,828
-4,801
-4,760
-4,749
-4,720
-4,642
-4,649
CA1 {1.1.1.12}
Articles 36(1) point (c) and 38 of CRR
A.1.11
(-) IRB shortfall of credit risk adjustments to expected losses
CA1 {1.1.1.13}
Articles 36(1) point (d), 40 and 159 of CRR
A.1.12
(-) Defined benefit pension fund assets
-148
-158
-201
-334
-338
-1,045
-1,620
CA1 {1.1.1.14}
Articles 4(109), 36(1) point (e) and 41 of CRR
A.1.13
(-) Reciprocal cross holdings in CET1 Capital
CA1 {1.1.1.15}
Articles 4(122), 36(1) point (g) and 44 of CRR
A.1.14
(-) Excess deduction from AT1 items over AT1 Capital
CA1 {1.1.1.16}
Article 36(1) point (j) of CRR
A.1.15
(-) Deductions related to assets which can alternatively be subject to a 1.250% risk
weight
-70
-70
-70
-70
-70
-70
-70
CA1 {1.1.1.17 to
1.1.1.21}
Articles 4(36), 36(1) point (k) (i) and 89 to 91 of CRR;

Articles 36(1) point (k) (ii), 243(1) point (b), 244(1) point
(b) and 258 of CRR; Articles 36(1) point k) (iii) and 379(3)
of CRR; Articles 36(1) point k) (iv) and 153(8) of CRR and
CA1 {1.1.1.18.1}
(b) and 258 of CRR
OWN FUNDS
A.1.15.1
A.1.16
(-) Holdings of CET1 capital instruments of financial sector entities where the
institiution does not have a significant investment
CA1 {1.1.1.22}
Articles 4(27), 36(1) point (h); 43 to 46, 49 (2) and (3) and
79 of CRR
A.1.17
(-) Deductible DTAs that rely on future profitability and arise from temporary
differences
-2,320
-1,813
-1,242
-754
-2,962
-2,945
-3,267
CA1 {1.1.1.23}
Articles 36(1) point (c) and 38; Articles 48(1) point (a) and
48(2) of CRR
A.1.18
institiution has a significant investment
CA1 {1.1.1.24}
Articles 4(27); 36(1) point (i); 43, 45; 47; 48(1) point (b);
49(1) to (3) and 79 of CRR
A.1.19
(-) Amount exceding the 17.65% threshold
CA1 {1.1.1.25}
A.1.20
Transitional adjustments
10,445
7,810
13,642
11,092
9,102
CA1 {1.1.1.6}
Article 470 of CRR
CA1 {1.1.1.6 + 1.1.8 +

1.1.26}
A.1.20.2
Transitional adjustments due to additional minority interests (+/-)
2,242
2,348
1,832
1,258
2,325
1,786
1,207
CA1 {1.1.1.8}
A.1.20.3
Other transitional adjustments to CET1 Capital excl. adjustments for Sovereign

exposure in AFS (+/-)
12,446
11,277
8,613
6,551
11,317
9,306
7,894
CA1 {1.1.1.26}
Articles 483(1) to (3), and 484 to 487 of CRR
Articles 479 and 480 of CRR
Articles 469 to 472, 478 and 481 of CRR
A.2
ADDITIONAL TIER 1 CAPITAL (net of deductions and after transitional

adjustments)
30
562
1,292
1,756
562
1,292
1,755
CA1 {1.1.2}
A.2.1
Of which: (+) Other existing support government measures
60,930
64,540
67,819
57,324
55,437
52,182
CA1 {1.1}
Article 25 of CRR
CA1 {1.2}
Article 71 of CRR
CA2 {1}
Articles 92(3), 95, 96 and 98 of CRR
A.3
TIER 1 CAPITAL (net of deductions and after transitional adjustments)
56,115
A.4
7,104
6,787
6,789
6,786
6,787
6,789
6,785
540,248
544,990
548,010
551,008
556,256
560,935
563,935
B.3
B.4
B.5
B.6
13,625
Transitional adjustments due to grandfathered CET1 Capital instruments (+/-)
B.2
CAPITAL RATIOS (%)

Transitional period
14,688
A.1.20.1
B.1
OWN FUNDS
REQUIREMENTS
Of which: from securitisation positions (-)
TOTAL RISK EXPOSURE AMOUNT

of which: stemming from exposures that fall below the 10% / 15% limits for
CET1 deduction (+)
of which: stemming from from CVA capital requirements (+)
of which: stemming from higher asset correlation parameter against exposures
to large financial institutions under IRB the IRB approaches to credit risk (+)
of which: stemming from the application of the supporting factor to increase
lending to SMEs (-)
of which: stemming from the effect of exposures that were previously part of
Risk Exposure amount and receive a deduction treatment under CRR/CRDIV ()
of which: others subject to the discretion of National Competent Authorities
Article 61 of CRR
18,466
Articles 36(1) points (a) and (i); Article 38 and Article 48 of

CRR
1,625
Article 381 to 386 of CRR
Articles 153(2) of CRR
-7,785
Recital (44) of CRR
C.1
Common Equity Tier 1 Capital ratio
10.38%
11.08%
11.54%
11.99%
10.20%
9.65%
8.94%
CA3 {1}
C.2
Tier 1 Capital ratio
10.39%
11.18%
11.78%
12.31%
10.31%
9.88%
9.25%
CA3 {3}
C.3
Total Capital ratio
11.70%
12.43%
13.02%
13.54%
11.53%
11.09%
10.46%
CA3 {5}
43,599
43,841
44,081
30,594
30,851
31,016
4,102
4,102
4,102
Common Equity Tier 1 Capital Threshold
Total amount of instruments with mandatory conversion into ordinary shares upon
a fixed date in the 2014 -2016 period (cumulative conversions) (1)
Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital under
the CRR provisions that convert into Common Equity Tier 1 or are written down
upon a trigger event (2)
Memorandum items
F.1
Of which: eligible instruments whose trigger is above CET1 capital ratio in the
adverse scenario (2)
Fully Loaded Common Equity Tier 1 Capital ratio (3)
10.57%

(2) Excluding instruments included in E
(3) Memorandum item based on a fully implemented CRR/CRD IV definition of Common Equity Tier 1 capital including 60% of unrealised gains/losses from Sovereign Exposure in AFS portfolio
7.33%
2014 EU-wide Stress Test - Restructuring scenarios

Effects of mandatory restructuring plans publicly announced before 31 December 2013 and formally agreed with the European Commission.
Baseline scenario
(mln EUR)
2013
2014
2015
2016
Total
Adverse scenario
CET1 impact
Risk exposure
amount impact
CET1 impact
Risk exposure
amount impact
0
0
Narrative description of the transactions. (type, date of

completion/commitment, portfolios, subsidiaries, branches)

Outcome of the Stress Test based on the Restructuring plan for banks whose plan was formally agreed with the European Commission after 31 December 2013
Baseline scenario
(mln EUR)
Adverse scenario
As of
31/12/2013
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
COMMON EQUITY TIER 1 CAPITAL (net of deductions and after applying transitional adjustments)
COMMON EQUITY TIER 1 RATIO

Major Capital Measures from 1 January to 30 September 2014
Major Capital Measures Impacting Tier 1 and Tier 2 Eligible Capital from 1 January 2014 to 30 September 2014
Impact on Common
Equity Tier 1
Million EUR
Issuance of CET 1 Instruments

Raising of capital instruments eligible as CET1 capital (+)
Repayment of CET1 capital, buybacks (-)
Conversion to CET1 of hybrid instruments becoming effective between 1 January and 30 September 2014 (+)
Net issuance of Additional Tier 1 and T2 Instruments

Net issuance of Additional Tier 1 and T2 Instruments with a trigger at or above bank's post stress test CET1 ratio in the adverse
scenario during the stress test horizon (+/-)
Net issuance of Additional Tier 1 and T2 Instrument with a trigger below bank's post stress test CET1 ratio in the adverse
Losses
Impact on Additional
Tier 1 and Tier 2
Million EUR
0
4,192
Million EUR
Realized fines/litigation costs from 1 January to 30 September 2014 (net of provisions) (-)
Other material losses and provisions from 1 January to 30 September 2014 (-)

Bank Name
ES - Banco Bilbao Vizcaya Argentaria, S.A.
LEI Code
K8MS7FD7N5Z2WQ51AZ71
ES
NUK_WL_NR_XX
version
1809014
No restructuring

mln EUR, %
9,266
7,748

(1)

(1)

36,383
345,041
10.5%
mln EUR, %
mln EUR, %
9,266
7,748
36,383
(1)
345,041
(1)
10.5%
mln EUR, %

17,981
15,880

2,079
1,630
38,028
736
Total Risk Exposure
(1)
(1)
(1)
20,065
11,004
34,196
Total Risk Exposure
381,341
10.6%
Memorandum items
mln EUR
28,687
(1)
358,592
9.0%
Memorandum items
mln EUR
20,974
scenario (3)
01/01/2014.
01/01/2014.

Credit Risk
F-IRB
LTV % (as of
31/12/2013)
A-IRB

STA
F-IRB
A-IRB

STA
F-IRB
A-IRB
Baseline Scenario
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
8,443
0
0
8,443
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3,077
85,346
79,189
11,722
9,470
83,013
68,364
1,013
67,352
9,101
5,547
0
5,547
375
910
0
251,911
0
37
212
10,455
468
6,340
4,696
4,106
225
3,881
172
418
0
418
0
0
0
15,400
0
96,387
18,750
69,552
0
19,005
93,552
50,180
6,140
44,040
6,082
37,290
11,903
25,386
0
4,783
27,139
310,164
0
125
86
2,551
0
2,101
5,657
2,889
1,879
1,010
105
2,663
1,696
967
0
0
256
8,675
0
0
0
0
0
0
0
0
0
0
0
0
0
0
12,147
0
0
12,147
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
178
13,441
48,140
11,167
9,097
20,129
9,621
315
9,306
7,540
2,968
0
2,968
1,338
1,189
0
84,414
36
167
7,084
0
4,453
3,269
3,015
173
2,842
110
144
0
144
0
0
0
10,556
20,666
5,679
66,706
0
18,228
50,159
19,010
2,668
16,342
4,598
26,552
8,327
18,225
0
1,726
28,037
172,973
122
94
2,509
0
2,035
6,125
3,574
2,466
1,108
102
2,450
1,650
800
0
0
245
9,096
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2
42
550
35
212
489
82
2
80
365
41
0
41
0
0
0
1,083
0
0
34
6,167
265
3,580
1,077
594
41
553
167
316
0
316
0
0
0
7,279
0
77
26
1,225
11
515
1,572
746
72
674
87
739
200
539
0
0
70
2,970
0
18
34
928
0
419
3,398
1,383
467
917
97
1,917
1,009
908
0
0
75
4,453
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
(mln EUR, %)
ES - Banco Bilbao Vizcaya

Argentaria, S.A.

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
63.1%
70.8%
62.5%
Adverse Scenario
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Impairment rate
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.14%
0.05%
0.44%
1.10%
0.28%
0.62%
0.26%
4.46%
2.20%
1.93%
2.30%
0.00%
113
267
10,991
0
0
11,626
5,011
1,765
3,245
1,453
5,162
2,198
2,964
0
29.50%
31.26%
55.05%
51.98%
41.76%
62.94%
34.04%
68.76%
63.29%
62.07%
64.37%
-
0.14%
0.03%
0.40%
0.95%
0.20%
0.56%
0.18%
3.86%
2.06%
1.72%
2.20%
0.00%
158
301
11,601
0
0
13,271
5,255
1,806
3,449
2,007
6,009
2,394
3,616
0
32.39%
27.89%
53.26%
50.36%
39.18%
61.93%
31.75%
66.69%
60.53%
59.71%
61.14%
-
0.14%
0.02%
0.35%
0.87%
0.18%
0.55%
0.16%
3.54%
1.99%
1.60%
2.14%
0.00%
203
318
12,127
0
0
14,748
5,475
1,845
3,631
2,482
6,790
2,569
4,221
0
34.02%
26.07%
51.93%
49.22%
37.23%
61.07%
30.07%
65.64%
58.78%
58.07%
59.24%
-
0.73%
0.10%
0.63%
1.45%
0.46%
0.91%
0.43%
5.15%
2.87%
2.55%
2.99%
0.00%
314
313
11,279
0
0
12,238
5,228
1,786
3,442
1,559
5,451
2,272
3,180
0
37.65%
27.61%
55.14%
53.04%
42.24%
63.01%
34.96%
70.59%
64.88%
63.12%
66.38%
-
0.76%
0.15%
0.81%
1.59%
0.55%
1.25%
0.51%
5.05%
3.37%
3.17%
3.44%
0.00%
554
476
12,548
0
0
15,085
5,929
1,892
4,037
2,290
6,866
2,630
4,236
0
38.67%
23.57%
52.99%
51.76%
39.67%
62.20%
33.09%
68.89%
63.08%
60.98%
64.56%
-
0.75%
0.07%
0.70%
1.28%
0.41%
1.06%
0.37%
4.05%
2.95%
2.47%
3.14%
0.00%
786
551
13,576
0
0
17,225
6,413
1,965
4,448
2,817
7,995
2,892
5,103
0
39.06%
22.33%
51.73%
50.52%
37.64%
61.17%
31.50%
67.48%
61.68%
59.73%
62.89%
-
0.58%
22,996
52.84%
0.49%
25,331
50.99%
0.44%
27,395
49.71%
0.82%
24,145
53.07%
0.93%
28,663
50.90%
0.76%
32,137
49.54%
LTV % (as of
31/12/2013)
(mln EUR, %)
Spain

Institutions
Corporates
Retail
Which:
Retail - SME
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
63.1%
70.8%
62.5%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
4,738
0
0
4,738
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
413
41,817
48,181
4,631
9,312
75,187
67,912
993
66,918
1,740
5,534
0
5,534
375
910
0
166,883
0
Defaulted
0
204
10,033
162
6,336
4,528
4,089
224
3,865
21
418
0
418
0
0
0
14,765
0
STA
Non-defaulted
47,909
7,506
8,814
0
3,341
24,442
14,966
2,803
12,163
758
8,717
4,317
4,400
0
229
10,441
99,340
0
F-IRB
55
57
2,116
0
1,889
4,215
2,360
1,818
543
61
1,793
1,445
348
0
0
230
6,673
0
0
0
0
0
0
0
0
0
0
0
0
0
0
6,261
0
0
6,261

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
15
7,986
30,951
4,328
8,947
12,595
9,431
292
9,139
200
2,964
0
2,964
1,338
1,189
0
54,074
Defaulted
0
167
7,015
0
4,450
3,155
3,002
173
2,829
9
144
0
144
0
0
0
10,337

F-IRB
A-IRB
STA
STA
Non-defaulted
3,070
1,347
8,646
0
3,339
11,104
5,376
1,007
4,368
569
5,159
2,641
2,517
0
637
6,909
31,713
60
62
2,097
0
1,851
4,953
3,103
2,402
701
57
1,793
1,445
348
0
0
221
7,394
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
1
32
494
16
212
126
82
2
79
3
41
0
41
0
0
0
652
0
Defaulted
0
26
5,936
106
3,579
922
591
41
550
16
316
0
316
0
0
0
6,885
0
Non-defaulted
10
6
366
0
309
289
228
4
223
1
60
7
53
0
0
0
670
0
as of 31/12/2014
Defaulted
0
7
476
0
227
2,079
819
397
422
40
1,220
751
469
0
0
17
2,580
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Impairment rate
Coverage
Coverage
Stock
Stock
as of 31/12/2016
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.20%
0.08%
0.52%
0.38%
0.19%
0.15%
0.19%
0.60%
1.48%
1.82%
1.33%
0.00%
70
188
8,927
0
0
6,332
3,724
1,571
2,153
100
2,507
1,489
1,018
0
40.00%
31.58%
55.68%
48.66%
42.77%
63.27%
33.62%
59.61%
60.20%
62.11%
57.25%
-
0.20%
0.05%
0.42%
0.29%
0.13%
0.11%
0.13%
0.50%
1.26%
1.60%
1.11%
0.00%
113
212
9,175
0
0
6,623
3,829
1,575
2,254
112
2,681
1,555
1,126
0
40.00%
29.24%
54.56%
46.90%
40.98%
62.72%
32.09%
56.38%
58.16%
60.48%
54.88%
-
0.20%
0.01%
0.32%
0.24%
0.10%
0.08%
0.10%
0.45%
1.04%
1.14%
1.00%
0.00%
157
218
9,357
0
0
6,857
3,913
1,578
2,335
123
2,821
1,600
1,221
0
40.00%
28.78%
53.82%
45.57%
39.61%
62.26%
30.96%
54.08%
56.66%
59.39%
53.11%
-
1.06%
0.17%
0.85%
0.71%
0.38%
0.37%
0.38%
1.03%
2.58%
2.88%
2.45%
0.00%
261
232
9,122
0
0
6,661
3,885
1,579
2,306
111
2,665
1,535
1,130
0
40.00%
27.88%
55.77%
49.52%
43.17%
63.25%
34.60%
61.94%
61.94%
63.33%
59.92%
-
1.06%
0.28%
0.99%
0.78%
0.42%
0.45%
0.42%
1.03%
2.89%
3.56%
2.61%
0.00%
489
367
9,697
0
0
7,427
4,230
1,596
2,634
136
3,060
1,681
1,380
0
40.00%
24.01%
54.44%
48.08%
41.24%
62.51%
33.52%
60.18%
61.18%
62.66%
59.32%
-
1.06%
0.11%
0.65%
0.57%
0.27%
0.31%
0.27%
0.86%
2.35%
2.84%
2.14%
0.00%
711
418
10,060
0
0
7,973
4,452
1,608
2,844
157
3,365
1,790
1,575
0
40.00%
23.38%
53.66%
46.97%
39.80%
61.95%
32.53%
58.78%
60.41%
62.00%
58.57%
-
0.33%
15,517
51.98%
0.26%
16,123
50.40%
0.20%
16,589
49.31%
0.65%
16,276
51.94%
0.73%
17,980
49.83%
0.52%
19,163
48.66%
LTV % (as of
31/12/2013)
(mln EUR, %)
Mexico

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
1,116
0
0
1,116
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
347
185
569
23
31
7,359
7
0
7
7,351
1
0
1
0
0
0
8,460
0
0
0
0
0
0
151
0
0
0
151
0
0
0
0
0
0
151
0
17,682
2,210
11,708
0
3,903
15,586
9,106
569
8,537
7
6,473
1,613
4,860
0
70
6,292
53,549
0
0
0
88
0
71
834
268
20
248
0
566
119
447
0
0
0
922
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1,353
0
0
1,353
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2
24
393
21
47
7,343
4
0
4
7,339
0
0
0
0
0
0
7,763
0
0
0
0
0
101
0
0
0
101
0
0
0
0
0
0
101
1,153
1,059
10,507
0
3,502
8,321
3,462
336
3,126
5
4,854
1,209
3,645
0
58
2,519
23,618
0
0
56
0
44
576
224
17
207
0
352
74
277
0
0
0
632
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
362
0
0
0
362
0
0
0
0
0
0
363
0
0
0
0
0
0
151
0
0
0
151
0
0
0
0
0
0
151
0
27
8
112
11
47
407
201
14
187
0
206
22
185
0
0
0
554
0
0
0
127
0
102
522
291
10
281
0
231
88
143
0
0
0
649
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Baseline Scenario
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.27%
0.80%
4.00%
1.26%
4.02%
1.08%
7.37%
4.00%
3.10%
4.30%
0.00%
0
15
340
0
0
2,882
622
62
560
1,061
1,199
251
948
0
100.00%
20.00%
41.40%
65.28%
38.36%
75.42%
36.10%
71.86%
85.76%
81.08%
87.27%
-
0.17%
0.59%
3.23%
0.90%
2.86%
0.77%
6.24%
3.29%
2.49%
3.56%
0.00%
0
19
410
0
0
3,568
699
77
622
1,468
1,401
289
1,111
0
100.00%
20.00%
38.54%
62.20%
34.09%
72.47%
31.70%
69.74%
82.95%
78.20%
84.42%
-
0.19%
0.62%
3.08%
0.94%
3.01%
0.80%
5.80%
3.34%
2.56%
3.60%
0.00%
0
24
483
0
0
4,179
776
93
683
1,808
1,595
327
1,268
0
100.00%
20.00%
37.20%
60.22%
31.49%
70.68%
29.02%
68.74%
80.95%
76.13%
82.40%
-
0.30%
0.85%
4.52%
1.53%
4.74%
1.32%
8.33%
4.38%
3.57%
4.65%
0.00%
0
16
346
0
0
3,002
647
66
581
1,131
1,224
259
965
0
100.00%
20.00%
40.96%
66.50%
39.29%
78.96%
36.86%
73.62%
86.97%
82.82%
88.32%
-
0.26%
0.80%
4.10%
1.44%
4.12%
1.27%
7.77%
3.95%
3.22%
4.19%
0.00%
0
22
443
0
0
3,867
769
88
682
1,632
1,465
308
1,157
0
100.00%
20.00%
38.22%
63.21%
35.28%
76.30%
32.71%
71.23%
84.26%
80.41%
85.46%
-
0.26%
0.83%
3.55%
1.46%
3.98%
1.29%
6.25%
3.81%
3.10%
4.05%
0.00%
0
28
540
0
0
4,556
886
108
779
1,985
1,684
353
1,331
0
100.00%
20.00%
37.39%
61.06%
33.20%
74.18%
30.59%
70.00%
82.07%
78.31%
83.21%
-
2.64%
3,237
61.49%
2.07%
3,997
58.40%
1.96%
4,686
56.43%
2.96%
3,364
62.43%
2.65%
4,331
59.07%
2.29%
5,124
56.97%
LTV % (as of
31/12/2013)
(mln EUR, %)
United States

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
99
0
0
99
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
591
1,770
4,056
881
27
16
15
0
14
1
1
0
1
0
0
0
6,434
0
Defaulted
0
0
12
12
0
0
0
0
0
0
0
0
0
0
0
0
12
0
STA
Non-defaulted
6,172
2,456
23,973
0
8,553
15,554
11,128
0
11,128
549
3,877
1,441
2,436
0
4,484
2,290
54,930
0
F-IRB
66
28
91
0
48
204
117
0
117
13
74
73
1
0
0
0
389
0
0
0
0
0
0
0
0
0
0
0
0
0
0
316
0
0
316

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
1
781
2,757
1,697
4
3
3
0
3
0
0
0
0
0
0
0
3,542
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
991
413
22,804
0
8,136
7,783
4,327
0
4,327
549
2,908
1,081
1,827
0
1,031
845
33,868
58
31
95
0
48
174
89
0
89
13
72
71
1
0
0
0
357
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
4
8
5
0
0
0
0
0
0
0
0
0
0
0
0
12
0
Defaulted
0
0
3
3
0
0
0
0
0
0
0
0
0
0
0
0
3
0
Non-defaulted
24
6
197
0
66
296
66
0
66
24
206
73
134
0
0
0
522
0
as of 31/12/2014
Defaulted
15
24
19
0
5
105
66
0
66
11
28
28
0
0
0
0
163
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Impairment rate
Coverage
Coverage
Stock
Stock
as of 31/12/2016
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.00%
0.02%
0.14%
0.39%
0.22%
0.21%
0.22%
2.05%
0.65%
0.42%
0.79%
0.00%
26
35
325
0
0
467
156
0
156
50
261
107
154
0
18.47%
44.13%
42.63%
35.25%
30.99%
34.14%
30.99%
63.64%
35.38%
29.72%
50.61%
-
0.00%
0.01%
0.10%
0.31%
0.15%
0.15%
0.15%
1.82%
0.56%
0.34%
0.69%
0.00%
26
35
354
0
0
515
173
0
173
60
282
112
170
0
18.40%
43.03%
39.55%
37.35%
32.20%
35.51%
32.20%
63.91%
38.09%
30.62%
50.32%
-
0.00%
0.01%
0.09%
0.29%
0.14%
0.14%
0.14%
1.75%
0.53%
0.31%
0.66%
0.00%
26
36
379
0
0
559
188
0
188
69
302
116
186
0
18.34%
42.15%
37.78%
38.61%
32.88%
36.15%
32.88%
64.00%
39.61%
31.26%
50.11%
-
0.00%
0.02%
0.22%
0.49%
0.30%
0.27%
0.30%
2.25%
0.77%
0.53%
0.91%
0.00%
26
35
347
0
0
482
165
0
165
51
265
109
156
0
18.40%
43.78%
47.06%
37.42%
33.42%
37.72%
33.42%
64.97%
37.33%
30.78%
54.33%
-
0.00%
0.07%
0.48%
0.83%
0.63%
0.57%
0.63%
3.02%
1.11%
0.87%
1.25%
0.00%
26
39
487
0
0
626
243
0
243
67
315
121
194
0
18.34%
39.90%
42.68%
43.91%
39.95%
53.12%
39.94%
65.80%
44.87%
33.29%
61.21%
-
0.00%
0.06%
0.35%
0.68%
0.48%
0.45%
0.48%
2.76%
0.96%
0.72%
1.11%
0.00%
26
41
582
0
0
733
301
0
301
81
351
131
220
0
18.27%
37.05%
39.66%
45.18%
41.64%
49.26%
41.64%
65.81%
45.52%
34.31%
57.92%
-
0.20%
852
36.61%
0.15%
930
37.03%
0.14%
999
37.22%
0.27%
890
39.27%
0.52%
1,177
41.91%
0.40%
1,383
41.34%
LTV % (as of
31/12/2013)
(mln EUR, %)
Venezuela

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
63
0
0
63
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
58
3
15
0
0
15
13
0
13
1
1
0
1
0
0
0
92
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
10,829
727
3,732
0
0
6,819
896
423
472
1,417
4,506
299
4,207
0
0
916
23,023
0
0
0
52
0
0
87
11
5
6
18
57
4
53
0
0
6
144
0
0
0
0
0
0
0
0
0
0
0
0
0
0
120
0
0
120
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
6
0
0
5
4
0
4
0
0
0
0
0
0
0
12
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
10,772
379
3,678
0
0
4,845
403
201
202
1,062
3,380
224
3,155
0
0
437
20,111
0
0
52
0
0
85
11
5
6
18
56
4
52
0
0
5
142
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
81
0
0
135
18
9
9
28
89
6
83
0
0
0
216
0
0
0
44
0
0
73
10
5
5
15
48
3
45
0
0
0
116
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.00%
0.83%
2.39%
0.71%
1.13%
0.34%
3.09%
2.51%
1.37%
2.59%
0.00%
0
0
184
0
0
410
35
19
16
98
277
14
263
0
58.93%
58.23%
36.93%
48.39%
26.74%
66.90%
58.59%
47.31%
59.25%
-
0.00%
1.74%
3.39%
1.49%
2.39%
0.71%
4.28%
3.50%
2.04%
3.61%
0.00%
0
0
248
0
0
631
48
29
19
156
427
20
407
0
20.00%
49.75%
54.43%
30.39%
43.17%
19.15%
63.76%
55.45%
43.24%
56.15%
-
0.00%
1.74%
3.31%
1.47%
2.35%
0.70%
4.17%
3.43%
2.02%
3.53%
0.00%
0
0
309
0
0
832
61
38
22
208
563
26
538
0
20.00%
46.66%
52.84%
28.42%
41.49%
16.95%
62.25%
54.08%
41.68%
54.79%
-
0.00%
1.16%
2.95%
1.03%
1.65%
0.49%
3.82%
3.06%
1.70%
3.16%
0.00%
0
0
197
0
0
448
38
22
17
108
302
15
287
0
20.00%
55.97%
58.90%
35.15%
47.39%
24.30%
68.82%
59.60%
47.17%
60.33%
-
0.00%
2.87%
4.44%
2.47%
3.95%
1.17%
5.50%
4.51%
2.74%
4.64%
0.00%
0
0
311
0
0
738
63
41
22
182
493
23
470
0
20.00%
49.13%
54.41%
31.19%
46.99%
17.33%
64.69%
55.84%
42.89%
56.60%
-
0.00%
2.87%
4.32%
2.42%
3.88%
1.15%
5.32%
4.39%
2.69%
4.52%
0.00%
0
0
408
0
0
991
82
55
27
246
663
30
633
0
20.00%
45.99%
52.52%
28.84%
43.89%
15.66%
62.84%
54.29%
41.36%
55.06%
-
1.71%
594
58.42%
2.59%
879
53.17%
2.53%
1,140
51.16%
2.15%
645
58.08%
3.59%
1,050
52.83%
3.49%
1,399
50.53%
LTV % (as of
31/12/2013)
(mln EUR, %)
Turkey

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
53
0
0
53
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
121
39
53
0
0
0
0
0
0
0
0
0
0
0
0
0
214
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4,756
1,098
6,244
0
605
5,185
1,496
600
896
1,266
2,422
891
1,531
0
0
976
18,258
0
0
0
30
0
0
48
13
5
8
10
26
13
13
0
0
18
95
0
0
0
0
0
0
0
0
0
0
0
0
0
0
103
0
0
103
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2
13
27
0
0
0
0
0
0
0
0
0
0
0
0
0
42
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
957
256
6,240
0
605
3,403
614
300
314
973
1,817
668
1,148
0
0
194
11,052
0
0
32
0
0
54
14
6
8
11
29
14
14
0
0
16
102
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
53
0
0
85
23
9
14
17
46
23
23
0
0
0
139
0
0
0
68
0
0
108
29
11
17
22
58
29
29
0
0
0
176
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.01%
0.29%
0.80%
0.15%
0.15%
0.15%
0.50%
1.35%
0.17%
2.04%
0.00%
0
0
155
0
0
247
53
21
32
49
144
60
84
0
1.00%
62.94%
55.69%
63.07%
63.07%
63.07%
61.85%
52.14%
81.03%
42.90%
-
0.01%
0.32%
0.81%
0.17%
0.17%
0.17%
0.52%
1.38%
0.19%
2.11%
0.00%
0
0
175
0
0
287
56
22
33
56
176
62
114
0
1.05%
52.98%
48.04%
57.99%
57.99%
57.99%
53.02%
44.87%
75.68%
38.32%
-
0.01%
0.32%
0.78%
0.16%
0.16%
0.16%
0.52%
1.33%
0.18%
2.10%
0.00%
0
0
195
0
0
326
58
23
35
62
206
64
142
0
1.03%
47.70%
44.26%
54.33%
54.33%
54.33%
48.29%
41.60%
71.46%
36.50%
-
0.01%
0.45%
1.05%
0.27%
0.27%
0.27%
0.66%
1.74%
0.25%
2.61%
0.00%
0
0
164
0
0
260
55
22
33
51
154
61
93
0
1.00%
61.28%
56.83%
63.34%
63.34%
63.34%
62.32%
53.71%
80.17%
45.58%
-
0.01%
0.48%
1.06%
0.29%
0.29%
0.29%
0.68%
1.75%
0.27%
2.67%
0.00%
0
0
194
0
0
313
60
24
36
59
194
63
131
0
1.03%
52.43%
50.24%
59.07%
59.07%
59.07%
54.42%
47.46%
74.56%
41.83%
-
0.01%
0.46%
1.00%
0.28%
0.28%
0.28%
0.66%
1.67%
0.26%
2.62%
0.00%
0
0
222
0
0
362
64
26
38
68
231
66
165
0
1.02%
48.13%
47.11%
56.25%
56.25%
56.25%
50.36%
44.73%
70.43%
40.36%
-
0.47%
402
56.88%
0.49%
463
48.08%
0.47%
521
43.68%
0.65%
425
56.78%
0.67%
508
49.03%
0.63%
585
45.37%

Credit Risk
(mln EUR, %)
Peru

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
LTV % (as of
31/12/2013)
LTV % (as of
31/12/2013)
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
14
0
0
14
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
147
1
337
181
0
1
1
0
1
0
0
0
0
0
0
0
486
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
3,475
649
4,331
0
1,544
6,615
2,697
535
2,162
435
3,483
2,324
1,159
0
0
1,004
16,074
0
F-IRB
Defaulted
Non-defaulted
0
0
11
0
1
71
0
0
0
0
71
12
59
0
0
0
82
0
0
0
0
0
0
0
0
0
0
0
0
0
0
39
0
0
39

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
14
0
180
127
0
0
0
0
0
0
0
0
0
0
0
0
195
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
1,148
309
4,328
0
1,544
4,078
1,139
278
861
326
2,612
1,743
869
0
0
278
10,142
Defaulted
Non-defaulted
0
0
11
0
1
71
0
0
0
0
71
12
59
0
0
0
82
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
6
5
86
0
31
165
67
13
54
11
87
58
29
0
0
0
261
0
as of 31/12/2014
Defaulted
0
0
25
0
3
155
0
0
0
0
155
27
129
0
0
0
181
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Impairment rate
Coverage
Coverage
Stock
Stock
as of 31/12/2016
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.02%
0.04%
1.74%
0.18%
0.58%
0.08%
4.63%
2.59%
2.52%
2.72%
0.00%
0
5
115
0
0
435
72
16
56
31
332
143
189
0
20.00%
58.62%
55.64%
15.13%
43.36%
8.15%
65.87%
58.48%
48.78%
65.66%
-
0.02%
0.03%
1.54%
0.14%
0.45%
0.06%
4.22%
2.35%
2.29%
2.46%
0.00%
0
5
117
0
0
533
76
19
57
48
409
193
216
0
20.00%
52.00%
52.39%
15.16%
43.38%
8.18%
65.87%
55.23%
46.63%
64.05%
-
0.03%
0.05%
1.73%
0.19%
0.62%
0.09%
4.74%
2.66%
2.59%
2.80%
0.00%
0
5
119
0
0
638
81
22
59
66
492
247
245
0
20.00%
45.43%
50.35%
15.24%
43.46%
8.26%
65.89%
53.39%
45.73%
62.87%
-
0.05%
0.10%
2.14%
0.30%
0.94%
0.14%
5.54%
3.15%
3.06%
3.33%
0.00%
0
5
118
0
0
462
75
18
57
35
352
156
196
0
20.00%
51.36%
53.67%
15.50%
43.71%
8.51%
65.97%
57.69%
48.32%
65.36%
-
0.21%
0.32%
3.10%
0.71%
2.23%
0.33%
7.72%
4.48%
4.33%
4.78%
0.00%
0
8
136
0
0
676
106
37
69
72
497
249
248
0
31.96%
35.58%
49.18%
21.68%
61.06%
11.93%
73.84%
53.60%
45.96%
63.02%
-
0.03%
0.06%
1.73%
0.20%
0.62%
0.09%
4.75%
2.68%
2.61%
2.83%
0.00%
0
8
139
0
0
775
111
40
71
89
575
299
276
0
30.87%
34.23%
48.38%
20.75%
58.40%
11.43%
72.02%
52.55%
45.51%
62.24%
-
0.98%
555
55.86%
0.85%
655
52.30%
0.95%
763
49.94%
1.23%
585
53.35%
1.82%
819
47.46%
0.93%
922
46.74%
LTV % (as of
31/12/2013)
(mln EUR, %)
Chile

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
66
0
0
66
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4
32
306
51
0
2
2
0
2
0
0
0
0
0
0
0
344
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
548
1,304
4,752
0
938
6,443
3,885
552
3,333
230
2,327
253
2,074
0
0
1,083
14,130
0
0
0
38
0
5
132
91
13
78
2
40
3
36
0
0
0
170
0
0
0
0
0
0
0
0
0
0
0
0
0
0
126
0
0
126
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
23
158
36
0
1
1
0
1
0
0
0
0
0
0
0
181
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
122
475
4,535
0
938
3,536
1,619
297
1,321
172
1,745
190
1,556
0
0
162
8,830
0
0
42
0
5
147
101
14
87
2
44
4
40
0
0
0
189
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
83
0
22
44
44
11
33
0
0
0
0
0
0
0
128
0
0
0
29
0
4
101
70
10
60
1
30
3
28
0
0
0
130
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Baseline Scenario
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.33%
1.28%
1.86%
0.20%
0.71%
0.11%
5.88%
4.24%
2.28%
4.47%
0.00%
0
5
185
0
0
270
122
25
97
15
133
8
124
0
20.00%
68.50%
41.50%
29.74%
37.63%
28.44%
58.35%
51.95%
32.11%
54.21%
-
0.26%
1.00%
1.68%
0.17%
0.61%
0.10%
5.43%
3.98%
2.23%
4.19%
0.00%
0
8
234
0
0
373
128
28
100
26
218
14
204
0
20.00%
71.96%
41.14%
24.87%
35.95%
23.04%
58.87%
52.84%
31.47%
55.34%
-
0.23%
0.91%
1.57%
0.16%
0.57%
0.09%
5.27%
3.86%
2.17%
4.07%
0.00%
0
11
279
0
0
465
134
31
103
36
295
18
276
0
20.00%
73.69%
40.99%
22.12%
35.04%
19.98%
59.07%
53.25%
31.27%
55.84%
-
0.35%
1.39%
2.18%
0.28%
1.09%
0.15%
6.01%
4.98%
3.29%
5.18%
0.00%
0
5
190
0
0
290
125
27
98
15
150
11
139
0
20.00%
70.21%
44.54%
30.36%
42.31%
28.38%
58.53%
57.88%
41.34%
59.77%
-
0.41%
1.71%
2.53%
0.40%
1.62%
0.20%
6.40%
5.90%
4.39%
6.09%
0.00%
0
11
276
0
0
445
140
36
105
29
276
21
255
0
21.66%
76.17%
45.46%
24.97%
45.04%
21.65%
59.15%
62.14%
45.48%
64.09%
-
0.85%
3.51%
3.33%
0.76%
3.07%
0.38%
8.19%
7.66%
5.67%
7.91%
0.00%
0
22
447
0
0
638
168
52
117
44
426
33
393
0
20.83%
79.76%
43.99%
20.71%
47.23%
16.31%
59.41%
64.13%
47.34%
66.11%
-
1.46%
459
46.46%
1.25%
615
46.59%
1.15%
755
46.66%
1.67%
486
49.16%
1.97%
733
51.06%
3.12%
1,108
51.33%
LTV % (as of
31/12/2013)
(mln EUR, %)
Colombia

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
138
0
0
138
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
61
63
0
0
2
1
0
1
0
1
0
1
0
0
0
125
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
1,586
631
1,645
0
83
6,899
2,916
391
2,526
404
3,579
731
2,848
0
0
1,045
11,805
0
F-IRB
3
0
100
0
67
11
0
0
0
0
11
11
0
0
0
0
114
0
0
0
0
0
0
0
0
0
0
0
0
0
0
197
0
0
197
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
16
26
0
0
0
0
0
0
0
0
0
0
0
0
0
43
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
3
410
1,645
0
83
4,071
1,084
198
886
303
2,684
548
2,136
0
0
386
6,513
3
0
102
0
68
11
0
0
0
0
11
11
0
0
0
0
116
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
6
0
172
0
0
54
54
8
46
0
0
0
0
0
0
0
233
0
as of 31/12/2014
Defaulted
2
0
73
0
0
8
0
0
0
0
8
8
0
0
0
0
82
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Impairment rate
Coverage
Coverage
Stock
Stock
as of 31/12/2016
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.15%
0.85%
1.62%
0.26%
0.74%
0.18%
4.56%
2.41%
3.41%
2.15%
0.00%
2
1
295
0
0
180
61
11
51
18
100
39
61
0
100.00%
20.00%
63.27%
43.88%
16.42%
43.86%
12.18%
57.40%
48.63%
51.92%
46.74%
-
0.17%
0.95%
1.69%
0.30%
0.84%
0.21%
4.79%
2.53%
3.58%
2.28%
0.00%
2
2
311
0
0
294
71
14
57
36
187
63
124
0
100.00%
21.51%
60.22%
42.83%
17.48%
46.41%
13.01%
57.42%
47.52%
48.54%
47.02%
-
0.18%
1.01%
1.72%
0.32%
0.90%
0.23%
4.92%
2.60%
3.67%
2.35%
0.00%
2
4
327
0
0
403
80
18
62
53
270
86
184
0
100.00%
20.96%
58.01%
42.18%
17.22%
45.55%
12.85%
57.47%
47.10%
47.25%
47.02%
-
0.15%
0.95%
1.86%
0.39%
0.83%
0.32%
4.94%
2.71%
3.68%
2.46%
0.00%
2
1
297
0
0
196
65
11
54
20
111
41
70
0
100.00%
20.00%
63.63%
48.27%
22.82%
46.51%
19.15%
61.00%
52.86%
53.81%
52.31%
-
0.59%
2.55%
3.05%
1.11%
2.48%
0.90%
7.46%
4.20%
5.44%
3.89%
0.00%
2
8
340
0
0
464
120
27
92
55
289
78
211
0
100.00%
31.64%
58.50%
52.46%
32.41%
68.88%
26.78%
70.46%
58.31%
49.84%
62.19%
-
0.33%
1.55%
2.14%
0.52%
1.45%
0.37%
5.88%
3.16%
4.34%
2.87%
0.00%
2
10
364
0
0
595
133
32
101
75
387
103
283
0
100.00%
28.17%
56.29%
48.48%
27.68%
61.35%
22.47%
66.63%
54.68%
48.25%
57.48%
-
1.35%
478
51.97%
1.42%
609
48.05%
1.44%
736
46.11%
1.54%
496
54.54%
2.73%
814
53.80%
1.85%
972
50.04%
LTV % (as of
31/12/2013)
(mln EUR, %)
United Kingdom

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
68
0
0
68
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
38
17,818
1,851
805
4
172
169
4
164
1
2
0
2
0
0
0
19,878
0
Defaulted
STA
Non-defaulted
0
0
102
89
0
7
7
0
7
0
0
0
0
0
0
0
110
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
241
0
0
241
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
1
1,147
954
604
3
65
64
7
57
0
1
0
1
0
0
0
2,167
Defaulted
0
0
13
0
0
6
6
0
6
0
0
0
0
0
0
0
19

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
3
1
0
0
0
0
0
0
0
0
0
0
0
0
3
0
Defaulted
0
0
61
56
0
1
1
0
1
0
0
0
0
0
0
0
63
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Impairment rate
Coverage
Coverage
Stock
Stock
as of 31/12/2016
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.00%
1.04%
0.25%
0.25%
1.42%
0.22%
0.17%
0.14%
0.14%
0.00%
0
0
83
0
0
2
2
0
2
0
0
0
0
0
1.00%
38.10%
15.83%
15.68%
8.22%
16.21%
63.08%
52.21%
52.21%
-
0.00%
1.04%
0.23%
0.23%
1.34%
0.20%
0.17%
0.14%
0.14%
0.00%
0
0
101
0
0
2
2
0
2
0
0
0
0
0
1.07%
31.48%
14.21%
14.08%
8.22%
14.64%
61.72%
44.28%
44.28%
-
0.00%
1.00%
0.22%
0.22%
1.34%
0.20%
0.19%
0.15%
0.15%
0.00%
0
1
118
0
0
3
3
0
3
0
0
0
0
0
1.05%
28.35%
13.29%
13.17%
8.22%
13.70%
60.67%
39.43%
39.43%
-
0.00%
1.20%
0.65%
0.66%
3.28%
0.58%
0.35%
0.27%
0.27%
0.00%
0
0
86
0
0
3
3
0
3
0
0
0
0
0
1.00%
39.48%
18.51%
18.37%
14.90%
18.64%
64.53%
47.92%
47.92%
-
0.00%
1.46%
0.91%
0.92%
4.09%
0.85%
0.57%
0.43%
0.43%
0.00%
0
1
111
0
0
4
4
0
4
0
0
0
0
0
1.20%
32.40%
17.95%
17.83%
14.90%
18.11%
64.05%
38.39%
38.39%
-
0.00%
1.58%
1.12%
1.13%
4.67%
1.07%
0.74%
0.55%
0.55%
0.00%
0
1
137
0
0
6
6
0
6
0
0
0
0
0
1.12%
29.16%
17.70%
17.59%
14.90%
17.84%
63.77%
34.10%
34.10%
-
0.10%
85
35.39%
0.09%
104
28.86%
0.09%
121
25.72%
0.12%
89
35.56%
0.14%
117
28.28%
0.14%
144
25.07%
LTV % (as of
31/12/2013)
(mln EUR, %)
France

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
11
0
0
11
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
3
12,593
4,581
1,442
89
28
26
1
25
1
1
0
1
0
0
0
17,205
0
Defaulted
0
0
7
0
4
2
2
0
2
0
0
0
0
0
0
0
9
0
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
43
0
0
43

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
616
2,395
1,066
90
16
15
2
13
0
0
0
0
0
0
0
3,027
Defaulted
0
0
6
0
2
2
1
0
1
0
0
0
0
0
0
0
7
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
5
2
0
0
0
0
0
0
0
0
0
0
0
0
5
0
Defaulted
0
0
3
0
2
0
0
0
0
0
0
0
0
0
0
0
3
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Impairment rate
Coverage
Coverage
Stock
Stock
as of 31/12/2016
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.00%
0.45%
0.84%
0.57%
0.57%
0.57%
6.68%
1.77%
1.77%
0.00%
0
0
29
0
0
1
1
0
1
0
0
0
0
0
1.00%
44.96%
23.65%
21.02%
16.84%
21.09%
56.33%
44.74%
44.74%
-
0.00%
0.45%
0.83%
0.59%
0.59%
0.59%
6.59%
1.74%
1.74%
0.00%
0
0
49
0
0
1
1
0
1
0
0
0
0
0
1.00%
44.83%
23.05%
19.95%
16.84%
20.03%
55.64%
39.65%
39.65%
-
0.00%
0.60%
0.92%
0.64%
0.64%
0.64%
8.03%
2.20%
2.20%
0.00%
0
0
76
0
0
1
1
0
1
0
0
0
0
0
1.10%
44.78%
22.71%
19.29%
16.84%
19.37%
55.37%
36.38%
36.38%
-
0.00%
0.68%
1.56%
1.21%
1.21%
1.21%
9.24%
2.53%
2.53%
0.00%
0
0
40
0
0
1
1
0
1
0
0
0
0
0
1.00%
50.89%
29.27%
26.44%
31.86%
26.34%
63.96%
44.93%
44.93%
-
0.00%
0.88%
2.01%
1.64%
1.64%
1.64%
11.30%
3.20%
3.20%
0.00%
0
0
86
0
0
1
1
0
1
0
0
0
0
0
1.09%
56.11%
31.39%
28.31%
35.96%
28.10%
63.49%
39.76%
39.76%
-
0.00%
1.14%
2.41%
2.05%
2.05%
2.05%
12.79%
3.71%
3.71%
0.00%
0
1
137
0
0
2
2
0
2
0
0
0
0
0
1.06%
54.21%
32.28%
29.30%
34.31%
29.13%
63.34%
37.24%
37.24%
-
0.12%
30
39.26%
0.12%
51
39.02%
0.16%
78
37.45%
0.19%
41
40.75%
0.24%
88
44.76%
0.30%
140
44.08%

P&L
Baseline Scenario
31/12/2013
Adverse Scenario
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
14,279
13,433
13,637
14,613
13,166
12,586
-171
155
318
-395
21
229
-815
-489
-326
-1,040
-624
-416
-699
-701
-763
-890
-704
-814
-949
9,266
6,994
6,414
6,657
6,907
5,785
5,289
-6,705
-6,590
-2,342
-2,072
-7,752
-4,555
-3,534
-6,669
-6,590
-2,342
-2,072
-7,752
-4,555
-3,534
-36
-1,043
-20
-12
-8
1,518
403
4,072
4,585
-865
1,218
1,748
544
930
926
928
930
926
928
2,061
1,334
4,998
5,513
65
2,144
2,676
244
-400
-1,499
-1,654
-20
-643
-803
Net income
2,305
933
3,499
3,859
46
1,501
1,873
1,552
295
3,001
3,365
-499
1,275
1,666
819
200
1,703
1,614
-499
954
1,248
321
418
(mln EUR)
Net interest income
14,613
Net trading income

through P&L (-)
Pre-Tax profit
Tax
95
1,298
1,751
733

RWA
(mln EUR)
Baseline Scenario
Adverse Scenario
as of 31/12/2013
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
289,273
298,807
300,763
302,290
307,697
318,167
321,186
3,001
4,165
4,864
5,328
6,908
9,252
10,812
286,271
294,641
295,900
296,962
300,789
308,915
310,374
25,212
25,356
25,503
25,745
29,210
29,357
29,599
30,256
30,256
30,256
30,256
30,256
30,256
30,256
300
300
300
300
300
300
300
345,041
354,719
356,823
358,592
367,463
378,080
381,341



Securitisation
(mln EUR)
Exposure values
Impairments
Banking Book
Total
Banking Book
Total
Total
Baseline scenario
Adverse scenario
as of 31/12/2013
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
5,619
224
0
5,844
2,915
86
3,001
0
542
4,019
147
4,165
0
556
4,681
183
4,864
0
562
5,121
207
5,328
0
571
6,658
249
6,908
0
568
8,905
347
9,252
0
606
10,400
412
10,812
0
665
542
556
562
571
568
606
665

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Belgium
Bulgaria
Cyprus
Czech Republic
Denmark
Estonia
Finland
France
2
1
0
6
0
7
2
17
3
96
115
7
44
11
52
327
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
39
627
154
0
10
35
10
874
0
0
0
0
0
0
0
0
0
0
0
0
0
0
33
33
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
2
1
0
6
0
1
2
10
3
17
108
-47
37
-80
44
82
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
29
601
154
-220
-12
-6
-3
543
0
0
0
4
0
0
0
4
0
4
19
0
15
0
0
38
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2
1
0
1
0
1
2
6
3
14
89
-47
22
-80
11
11
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
29
601
154
-220
-12
-6
-3
543
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3
87
15
0
0
0
104
0
1
65
22
192
532
0
811
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
22
0
0
0
22
47
12
183
1
65
10
0
318
0
0
0
0
0
0
0
0
0
0
0
0
2
14
0
17
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
1
0
2
0
4
87
7
0
0
0
98
0
1
65
22
240
597
0
924
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
22
0
0
0
22
44
13
246
3
123
40
0
468
0
0
0
0
0
0
0
0
0
0
0
0
-1
-7
0
-9
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-1
-1
0
-2

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Germany
Croatia
Greece
Hungary
Iceland
Ireland
Italy
Latvia
Liechtenstein
41
612
6
94
42
247
22
1,064
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
20
6
39
0
65
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
71
275
495
1,121
495
500
557
3,514
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
6
0
4
4
0
77
0
91
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
39
578
-412
-30
-9
136
21
322
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
20
6
39
0
65
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
47
228
220
1,019
454
295
504
2,769
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
20
6
39
0
65
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
6
359
1,117
426
283
500
2,691
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
39
578
-412
-30
-9
136
21
322
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
41
222
-143
-102
29
-64
4
-13
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
163
0
131
0
219
0
0
512
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
1
0
0
0
0
0
0
0
0
11
11
0
0
0
0
0
22
0
8
794
216
194
325
21
1,558
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
2
15
1
19
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
163
0
131
0
255
0
0
549
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3
0
0
0
0
3
0
0
0
0
0
0
0
0
11
11
0
0
0
0
0
22
0
7
855
197
245
392
54
1,751
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-1
0
0
-1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-1
0
-3
-20
-1
-25
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Lithuania
Luxembourg
Malta
Netherlands
Norway
Poland
Portugal
Romania
Slovakia
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
15
1,046
3
61
4
11
8
1,149
0
0
0
0
0
0
0
0
0
11
4
77
0
90
4
187
0
320
6
7
5
41
6
386
1
3
7
16
17
40
0
83
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
302
0
0
0
0
0
302
0
3
0
0
0
1
0
4
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
-28
-1
0
-3
-19
-89
-62
-203
0
0
0
0
0
0
0
0
1
1,012
-105
23
2
6
-6
934
0
0
0
0
0
0
0
0
0
11
4
77
0
90
4
187
0
320
6
2
5
40
1
375
1
0
7
16
17
39
0
79
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4
0
0
0
0
2
0
6
0
0
0
0
0
0
0
0
0
11
4
77
0
90
4
187
0
0
0
0
0
19
0
19
1
0
1
0
16
39
0
57
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-28
-1
0
-3
-19
-89
-62
-203
0
0
0
0
0
0
0
0
-3
1,012
-105
23
2
3
-6
927
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
18
6
2
5
21
1
53
0
0
6
16
1
0
0
23
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
73
0
0
73
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
75
33
0
75
0
0
183
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3
0
0
3
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
207
0
0
207
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
75
33
0
75
0
0
183
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-3
0
0
-3
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Slovenia
Spain
Sweden
United Kingdom
Australia
Canada
Hong Kong
Japan
U.S.
0
0
0
0
0
0
0
0
6,431
5,384
2,942
6,850
12,809
11,741
6,861
53,019
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
8
8
0
37
0
0
0
0
0
37
0
0
0
0
0
0
0
0
471
19
2,204
19
87
352
2,072
5,224
0
0
0
0
0
0
0
0
5,627
3,407
716
974
3,379
4,015
4,048
22,165
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2,059
0
0
0
891
2,950
of which: AFS
banking book
0
0
0
0
0
0
0
0
6,431
5,169
2,502
6,772
12,682
11,737
6,498
51,791
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
8
8
0
37
0
0
0
0
0
37
0
0
0
0
0
0
0
0
471
19
2,197
11
47
338
2,067
5,150
0
0
0
0
0
0
0
0
45
801
1,712
5,679
8,133
5,469
2,501
24,339
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
8
8
0
37
0
0
0
0
0
37
0
0
0
0
0
0
0
0
80
19
141
19
20
155
993
1,427
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
759
961
74
118
693
1,467
-51
4,022
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
391
0
-5
-8
-25
21
0
373
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
202
231
825
271
420
904
966
3,819
0
0
0
0
0
0
0
0
0
9
0
0
0
0
0
9
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
20
0
31
0
52
0
0
0
0
0
0
0
0
9
2
17
8
24
76
170
306
0
0
0
0
0
0
0
0
0
9
0
0
0
0
0
9
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
2
0
2
0
0
0
0
0
0
0
0
600
71
550
44
20
512
75
1,872
0
0
0
0
0
0
0
0
0
41
0
0
0
0
0
41
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-1
-2
-5
-3
0
-29
-8
-48
0
0
0
0
0
0
0
0
0
-22
0
0
0
0
0
-22
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
173
173
0
0
0
0
0
0
0
0
0
0
73
0
199
0
0
272
0
0
28
0
80
0
0
107
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
20
0
39
0
0
59
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4
0
0
4
0
0
0
0
2
0
0
2
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
48
48
0
0
0
0
0
0
0
0
0
0
92
0
197
0
0
289
0
0
55
0
78
0
0
133
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
39
0
38
0
0
77
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-25
-25
0
0
0
0
0
0
0
0
0
0
0
0
-1
0
0
-1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
China
Switzerland

non EEA

Middle East

Caribbean
Africa
Others
0
7
0
0
0
0
0
7
0
0
0
0
0
0
0
0
0
27
0
0
0
0
0
27
67
561
271
297
384
1,125
53
2,758
0
0
0
0
0
0
0
0
556
4,361
3,269
3,282
5,526
5,152
7,473
29,619
0
0
0
0
0
0
0
0
328
35
31
36
59
130
145
763
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
421
0
54
0
5,867
6,342
0
0
0
0
0
0
0
0
0
0
9
0
19
0
76
104
of which: AFS
banking book
0
7
0
0
0
0
0
7
0
0
0
0
0
0
0
0
0
27
0
0
0
0
0
27
67
561
271
297
384
1,125
53
2,758
0
0
0
0
0
0
0
0
540
4,118
3,187
3,219
5,155
4,858
6,448
27,525
0
0
0
0
0
0
0
0
328
35
21
11
57
121
107
680
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3
0
0
0
0
0
3
66
554
270
296
384
1,124
52
2,745
0
0
0
0
0
0
0
0
129
1,555
1,541
608
2,973
1,712
236
8,754
0
0
0
0
0
0
0
0
0
0
0
0
3
2
2
7
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
7
0
0
0
0
0
7
0
0
0
0
0
0
0
0
0
24
0
0
0
0
0
24
1
7
1
1
1
2
1
13
0
0
0
0
0
0
0
0
412
2,564
764
2,595
2,128
2,112
345
10,919
0
0
0
0
0
0
0
0
328
35
12
11
35
119
29
569
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
14
75
55
55
115
185
0
499
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3
15
10
8
12
7
0
55
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
497
384
1,267
692
19
93
174
3,128
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-1
0
-2
-10
-13
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
51
44
421
0
0
515
0
0
0
0
0
0
0
0
0
0
0
87
87
0
0
174
0
0
0
0
0
0
0
0
0
0
0
0
45
0
0
45
61
34
0
68
58
7
0
228
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
1
0
0
1
0
9
0
0
10
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
1
61
1
0
0
0
0
0
63
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
102
44
437
0
0
582
0
0
0
0
0
0
0
0
0
0
0
65
87
0
0
152
0
0
0
0
0
0
0
0
0
0
0
0
62
0
0
62
0
8
4
68
61
4
0
145
0
0
0
0
0
0
0
0
0
2
0
0
0
0
0
2
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-9
0
0
0
0
0
-9
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0


Capital
Baseline Scenario
(mln EUR)
A
As of 31/12/2013
Adverse Scenario
OWN FUNDS
45,028
44,957
45,998
46,591
43,581
43,298
42,705
A.1

36,383
36,321
37,238
38,028
34,988
34,613
A.1.1
24,692
24,692
24,692
24,692
24,692
24,692
756
956
2,659
4,273
-3,658
-4,210
-4,430
510
510
510
186
-367
19,935
A.1.1.1
A.1.2
Retained earnings
A.1.3
A.1.3.1
A.1.3.2

portfolio
A.1.4
Other Reserves
A.1.5
COREP CODE
REGULATION
CA1 {1}
34,196
CA1 {1.1.1}
Article 50 of CRR
24,692
CA1 {1.1.1.1}
and 42 of CRR
257
1,211
2,459
CA1 {1.1.1.2}
of CRR
-4,577
-7,181
-6,940
-7,509
CA1 {1.1.1.3}
510
-1,863
-1,043
-1,226
-587
-733
-964
-1,543
-1,928
19,935
19,935
19,935
19,935
19,935
19,935
CA1 {1.1.1.4}
CA1 {1.1.1.5}
A.1.6
934
934
934
934
934
934
934
CA1 {1.1.1.7}
Article 84 of CRR
A.1.7

-186
367
352
293
771
926
771
CA1 {1.1.1.9}
A.1.8

-510
-510
-306
-204
1,490
626
490
A.1.9
-8,034
-8,034
-8,034
-8,034
-8,034
-8,034
-8,034
CA1 {1.1.1.10 +
1.1.1.11}

A.1.10
-1,057
-1,057
-1,057
-1,057
-1,057
-1,057
-1,057
CA1 {1.1.1.12}
A.1.11
-39
-57
-5
CA1 {1.1.1.13}
A.1.12
CA1 {1.1.1.14}
A.1.13
CA1 {1.1.1.15}
A.1.14
CA1 {1.1.1.16}
A.1.15
weight
-126
-126
-126
-126
-126
-126
-126
CA1 {1.1.1.17 to
1.1.1.21}

-73
-73
-73
-73
-73
-73
-73
CA1 {1.1.1.18.1}
(b) and 258 of CRR
OWN FUNDS
A.1.15.1
A.1.16
CA1 {1.1.1.22}
79 of CRR
A.1.17
differences
CA1 {1.1.1.23}
48(2) of CRR
A.1.18
-252
-274
-124
-643
-520
-443
CA1 {1.1.1.24}
49(1) to (3) and 79 of CRR
A.1.19
-630
-647
-533
-396
-930
-836
-777
CA1 {1.1.1.25}
A.1.20
4,518
4,296
3,277
2,295
4,918
3,859
2,865
CA1 {1.1.1.6 + 1.1.8 +

1.1.26}
CA1 {1.1.1.6}
A.1.20.1
A.1.20.2
1,043
780
517
255
780
517
255
CA1 {1.1.1.8}
A.1.20.3

3,475
3,516
2,759
2,041
4,138
3,341
2,610
CA1 {1.1.1.26}

973
969
1,219
1,450
947
1,182
1,423
CA1 {1.1.2}
A.2.1
37,290
38,457
39,479
35,935
35,795
35,619
CA1 {1.1}
Article 25 of CRR
CA1 {1.2}
Article 71 of CRR
CA2 {1}
Article 61 of CRR
A.3
37,356
A.4
7,672
7,667
7,540
7,113
7,646
7,504
7,085
345,041
354,719
356,823
358,592
367,463
378,080
381,341

CRR
Recital (44) of CRR
B.3
B.4
B.5
B.6

adjustments)
B.2
CAPITAL RATIOS (%)

Transitional period
Article 470 of CRR
A.2
B.1
OWN FUNDS
REQUIREMENTS

CET1 deduction (+)
lending to SMEs (-)
C.1
10.54%
10.24%
10.44%
10.60%
9.52%
9.15%
8.97%
CA3 {1}
C.2
10.83%
10.51%
10.78%
11.01%
9.78%
9.47%
9.34%
CA3 {3}
C.3
Total Capital ratio
13.05%
12.67%
12.89%
12.99%
11.86%
11.45%
11.20%
CA3 {5}
28,378
28,546
28,687
20,210
20,794
20,974
Memorandum items
F.1
9.96%

8.22%

Baseline scenario
(mln EUR)
2013
2014
2015
2016
Total
Adverse scenario
CET1 impact
Risk exposure
amount impact
CET1 impact
Risk exposure
amount impact
0
0


Baseline scenario
(mln EUR)
Adverse scenario
As of
31/12/2013
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!

Impact on Common
Equity Tier 1
Million EUR


Losses
Tier 1 and Tier 2
Million EUR
0
1,500
Million EUR

Bank Name
ES - Caja de Ahorros y Pensiones de Barcelona
LEI Code
7CUNS533WID6K7DGFI87
ES
NUK_WL_NR_XX
version
1809014
No restructuring

mln EUR, %
740
5,445

(1)

(1)
17,544
170,679
10.3%
mln EUR, %


2,751
7,186
17,544
(1)
170,679
(1)

400
-34

Total Risk Exposure
(1)
(1)
mln EUR, %
740
5,445
(1)
10.3%
mln EUR, %
3,550
2,523
327
20,056
16,474
Total Risk Exposure
176,317
11.6%
Memorandum items
mln EUR
13,878
(1)
173,474
9.3%
Memorandum items
mln EUR
9,697
1,923
scenario (3)
01/01/2014.
01/01/2014.

Credit Risk
F-IRB
LTV % (as of
31/12/2013)
A-IRB
STA
F-IRB
A-IRB

STA
F-IRB
A-IRB
Baseline Scenario
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
19,038
0
0
19,038
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
35,923
0
11,603
110,888
98,505
7,191
91,313
3,109
9,274
3,843
5,432
0
118
0
146,930
0
0
0
14,135
0
8,260
8,395
7,874
2,285
5,589
14
507
306
201
0
0
0
22,530
0
48,658
8,692
19,325
7,866
1,641
13,631
9,591
297
9,294
102
3,938
695
3,243
0
301
19,062
109,669
0
192
0
1,463
322
446
745
648
128
520
2
95
27
68
0
0
8,393
10,794
0
0
0
0
0
0
0
0
0
0
0
0
0
0
43,992
0
0
43,992
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
27,628
0
6,452
24,808
20,363
2,677
17,686
839
3,606
1,579
2,027
0
3
0
52,438
0
0
1,321
0
729
698
672
198
474
0
26
22
4
0
0
0
2,019
1,832
1,749
14,938
6,727
1,557
5,451
3,708
221
3,486
87
1,656
378
1,278
0
245
20,626
44,840
280
0
942
244
196
560
457
74
382
1
102
8
94
0
0
9,681
11,464
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1,352
0
549
710
590
97
493
1
118
47
72
0
0
0
2,061
0
0
0
6,564
0
3,442
2,039
1,737
620
1,117
9
293
185
108
0
0
0
8,603
0
32
2
1,924
103
934
1,309
1,005
407
598
17
287
105
181
0
25
877
4,170
0
5
0
1,536
342
390
412
322
64
257
3
88
68
20
0
0
6,078
8,032
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
(mln EUR, %)
ES - Caja de Ahorros y
Pensiones de Barcelona

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
54.3%
46.8%
54.8%
Adverse Scenario
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
Coverage
Coverage
Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Impairment rate
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.30%
0.12%
1.10%
0.64%
1.72%
0.62%
0.59%
1.18%
0.54%
0.37%
0.91%
1.19%
0.76%
0.00%
127
12
11,730
494
5,436
5,188
4,203
1,263
2,940
45
941
450
490
0
22.53%
22.52%
44.85%
46.30%
40.74%
24.71%
21.97%
26.52%
20.55%
80.26%
58.06%
55.70%
61.28%
-
0.30%
0.14%
0.78%
0.52%
1.18%
0.40%
0.35%
0.80%
0.32%
0.33%
0.77%
0.97%
0.66%
0.00%
216
24
11,966
532
5,513
5,592
4,511
1,310
3,201
56
1,026
487
539
0
28.58%
22.51%
43.30%
43.63%
39.77%
23.67%
20.93%
25.60%
19.59%
78.96%
55.41%
51.85%
60.17%
-
0.29%
0.15%
0.60%
0.44%
0.91%
0.30%
0.25%
0.63%
0.22%
0.32%
0.70%
0.87%
0.61%
0.00%
305
36
12,153
565
5,574
5,893
4,723
1,345
3,378
66
1,104
520
584
0
31.50%
22.51%
42.25%
42.02%
39.07%
23.08%
20.28%
24.89%
19.01%
77.81%
53.80%
49.42%
59.54%
-
0.97%
0.19%
1.72%
1.12%
2.65%
0.98%
0.95%
1.82%
0.88%
0.46%
1.35%
1.85%
1.10%
1.58%
332
18
12,788
579
5,891
5,827
4,722
1,358
3,364
51
1,054
506
548
244
32.12%
22.51%
48.74%
50.94%
44.53%
27.64%
24.51%
28.84%
23.21%
94.31%
66.36%
62.38%
71.82%
90.00%
0.97%
0.31%
1.56%
1.33%
2.19%
0.78%
0.72%
1.54%
0.65%
0.51%
1.37%
1.85%
1.13%
1.58%
620
43
13,612
678
6,214
6,680
5,400
1,474
3,926
67
1,214
578
635
484
35.55%
22.51%
47.68%
46.54%
44.72%
26.89%
23.77%
28.57%
22.50%
92.59%
63.38%
57.70%
71.12%
90.00%
0.97%
0.30%
1.20%
1.14%
1.65%
0.60%
0.53%
1.20%
0.49%
0.50%
1.14%
1.50%
0.96%
1.58%
900
66
14,041
760
6,341
7,294
5,868
1,542
4,326
83
1,343
634
709
719
36.88%
22.51%
46.23%
44.39%
43.88%
26.35%
23.19%
27.90%
22.02%
92.51%
61.64%
54.94%
70.72%
90.00%
0.63%
17,057
36.48%
0.44%
17,798
34.73%
0.34%
18,386
33.66%
1.17%
19,208
40.15%
1.02%
21,438
38.92%
0.84%
23,022
37.83%
LTV % (as of
31/12/2013)
(mln EUR, %)
Spain

Institutions
Corporates
Retail
Which:
Retail - SME
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
53.6%
46.6%
54.2%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
17,603
0
0
17,603
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
34,971
0
11,585
110,870
98,504
7,191
91,313
3,109
9,256
3,842
5,414
0
118
0
145,960
0
Defaulted
0
0
14,115
0
8,259
8,395
7,874
2,285
5,588
14
507
306
201
0
0
0
22,509
0
STA
Non-defaulted
48,237
7,734
18,676
7,189
1,674
13,671
9,625
311
9,314
103
3,944
699
3,245
0
301
19,062
107,681
0
F-IRB
192
0
1,489
314
459
753
654
130
524
2
97
29
68
0
0
8,393
10,827
0
0
0
0
0
0
0
0
0
0
0
0
0
0
41,505
0
0
41,505

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
26,047
0
6,234
24,530
20,110
2,672
17,437
834
3,586
1,578
2,008
0
3
0
50,580
Defaulted
0
0
1,314
0
727
692
666
198
468
0
26
22
4
0
0
0
2,006

F-IRB
A-IRB
STA
STA
Non-defaulted
1,831
1,528
13,042
5,499
1,542
5,359
3,617
221
3,396
87
1,655
378
1,278
0
245
20,626
42,631
280
0
903
210
191
544
441
74
367
1
102
8
94
0
0
9,681
11,409
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
1,304
0
529
693
578
94
484
1
115
45
70
0
0
0
1,997
0
Defaulted
0
0
6,330
0
3,321
1,967
1,676
599
1,077
8
283
178
104
0
0
0
8,296
0
Non-defaulted
31
2
1,868
100
901
1,268
971
393
578
17
281
102
179
0
25
877
4,071
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
5
0
1,491
330
377
402
314
62
252
3
85
66
19
0
0
6,078
7,975
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.30%
0.11%
1.12%
0.62%
1.72%
0.62%
0.59%
1.18%
0.54%
0.37%
0.91%
1.19%
0.76%
0.00%
126
10
11,348
473
5,253
5,095
4,134
1,222
2,912
44
917
437
480
0
22.49%
22.52%
43.51%
46.38%
39.40%
24.42%
21.78%
25.71%
20.55%
78.73%
56.54%
54.10%
59.89%
-
0.30%
0.13%
0.79%
0.49%
1.18%
0.40%
0.35%
0.80%
0.32%
0.33%
0.77%
0.97%
0.66%
0.00%
215
20
11,584
507
5,333
5,501
4,444
1,269
3,174
54
1,002
474
529
0
28.55%
22.51%
42.08%
43.84%
38.52%
23.42%
20.77%
24.87%
19.60%
77.89%
54.18%
50.55%
59.06%
-
0.29%
0.14%
0.61%
0.41%
0.90%
0.30%
0.25%
0.63%
0.22%
0.32%
0.70%
0.87%
0.61%
0.00%
303
30
11,769
535
5,394
5,802
4,657
1,305
3,352
65
1,081
506
574
0
31.48%
22.51%
41.10%
42.31%
37.88%
22.86%
20.13%
24.21%
19.01%
76.98%
52.75%
48.30%
58.60%
-
0.97%
0.18%
1.74%
1.06%
2.65%
0.98%
0.95%
1.82%
0.88%
0.46%
1.36%
1.85%
1.10%
1.66%
331
15
12,374
551
5,696
5,731
4,653
1,316
3,337
50
1,028
491
537
232
32.10%
22.51%
47.34%
51.19%
43.11%
27.34%
24.32%
28.00%
23.22%
92.53%
64.74%
60.71%
70.29%
90.00%
0.97%
0.29%
1.56%
1.24%
2.19%
0.78%
0.72%
1.54%
0.65%
0.51%
1.37%
1.85%
1.13%
1.66%
618
36
13,181
636
6,017
6,587
5,333
1,431
3,902
66
1,188
564
624
459
35.54%
22.51%
46.44%
47.00%
43.37%
26.65%
23.62%
27.82%
22.50%
91.43%
62.15%
56.44%
69.97%
90.00%
0.97%
0.28%
1.19%
1.04%
1.64%
0.60%
0.53%
1.20%
0.49%
0.50%
1.14%
1.50%
0.96%
1.66%
899
55
13,600
705
6,146
7,203
5,803
1,500
4,304
82
1,317
620
698
683
36.87%
22.51%
45.10%
44.90%
42.61%
26.14%
23.06%
27.23%
22.02%
91.62%
60.63%
53.88%
69.77%
90.00%
0.64%
16,579
35.57%
0.44%
17,319
33.93%
0.35%
17,905
32.93%
1.17%
18,683
39.20%
1.02%
20,881
38.12%
0.84%
22,440
37.12%
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

Credit Risk
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
LTV % (as of
31/12/2013)
LTV % (as of
31/12/2013)
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

P&L
Baseline Scenario
31/12/2013
(mln EUR)
Net interest income
3,203
Net trading income

Adverse Scenario
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
3,203
3,203
3,203
3,155
3,203
3,203
-163
-98
-65
-199
-120
-80
-164
-98
-65
-200
-120
-80
322
-248
-248
-248
-314
-314
-314
740
1,109
1,191
1,250
833
912
1,005
-4,214
-1,185
-746
-592
-3,344
-2,246
-1,596
-4,214
-1,185
-746
-592
-3,344
-2,246
-1,596
-1,231
-4,705
-76
445
658
-2,511
-1,333
-590
4,119
1,526
1,696
1,962
1,261
1,402
1,584
Pre-Tax profit
-586
1,450
2,141
2,620
-1,250
69
994
Tax
1,488
193
37
-27
896
542
346
Net income
902
1,643
2,178
2,593
-354
611
1,340
745
1,222
1,576
1,871
-119
517
1,003
395
872
1,226
1,521
-469
167
653
350
350
350

through P&L (-)
350
350
350
350

RWA
(mln EUR)
Baseline Scenario
Adverse Scenario
as of 31/12/2013
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
154,753
155,577
156,125
156,592
156,033
157,093
158,135
248
526
554
571
591
658
701
154,505
155,051
155,572
156,021
155,442
156,436
157,434
5,027
5,027
5,027
5,027
6,631
6,723
6,784

10,899
11,591
11,745
11,855
11,074
11,223
11,397
170,679
172,194
172,897
173,474
173,738
175,039
176,317

Securitisation
(mln EUR)
Exposure values
Impairments
Banking Book
Total
Banking Book
Total
Total
Baseline scenario
Adverse scenario
as of 31/12/2013
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
419
0
0
419
248
0
248
11
0
526
0
526
19
0
554
0
554
25
0
571
0
571
29
0
591
0
591
28
0
658
0
658
44
0
701
0
701
56
0
11
19
25
29
28
44
56

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Belgium
Bulgaria
Cyprus
Czech Republic
Denmark
Estonia
Finland
France
0
0
0
0
0
0
0
0
0
10
0
0
0
0
0
10
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
200
0
349
2
0
0
552
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
10
0
0
0
0
0
10
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
200
0
349
1
0
0
551
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
349
0
0
0
349
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
10
0
0
0
0
0
10
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
200
0
0
1
0
0
201
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Germany
Croatia
Greece
Hungary
Iceland
Ireland
Italy
Latvia
Liechtenstein
0
0
0
72
0
0
0
73
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3
36
13
27
11
10
1
100
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
72
0
0
0
73
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3
19
0
27
54
10
1
114
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
72
0
0
0
72
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3
19
0
27
54
10
1
114
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Lithuania
Luxembourg
Malta
Netherlands
Norway
Poland
Portugal
Romania
Slovakia
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Slovenia
Spain
Sweden
United Kingdom
Australia
Canada
Hong Kong
Japan
U.S.
0
0
0
0
0
0
0
0
3,099
7,059
11,675
3,513
6,106
6,570
2,466
40,487
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1,260
1,798
509
747
1,893
2,167
1,792
10,166
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
2,667
6,813
11,531
3,442
3,739
5,782
2,096
36,070
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
824
1,093
6,463
1,483
1,663
3,454
368
15,348
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
262
81
0
25
0
368
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
251
6
21
0
68
70
2
419
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
23
0
1
0
2
5
0
30
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
250
0
0
0
45
252
2
549
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-2
0
0
0
-1
-23
0
-26
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
China
Switzerland

non EEA

Middle East

Caribbean
Africa
Others
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
20
1
0
0
0
0
0
21
11
0
0
0
8
0
0
19
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
20
0
0
0
0
0
0
20
11
0
0
0
8
0
0
19
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
1
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0


Capital
Baseline Scenario
(mln EUR)
A
As of 31/12/2013
Adverse Scenario
COREP CODE
REGULATION
OWN FUNDS
28,970
27,243
27,120
26,811
25,417
24,026
23,417
CA1 {1}
A.1

17,544
18,638
19,346
20,056
16,850
16,206
16,474
CA1 {1.1.1}
Article 50 of CRR
A.1.1
CA1 {1.1.1.1}
and 42 of CRR
A.1.1.1
A.1.2
Retained earnings
353
1,225
2,451
3,972
-117
51
704
CA1 {1.1.1.2}
of CRR
A.1.3
788
467
275
147
-284
-323
-552
CA1 {1.1.1.3}

portfolio
503
503
503
503
-122
107
57
548
228
36
-93
102
-166
-345
15,756
15,756
15,756
15,756
15,756
15,756
15,756
CA1 {1.1.1.4}
A.1.3.1
A.1.3.2
A.1.4
Other Reserves
A.1.5
A.1.6
A.1.7

A.1.8

CA1 {1.1.1.5}
6,073
6,098
6,114
6,117
6,650
6,693
6,533
CA1 {1.1.1.7}
Article 84 of CRR
CA1 {1.1.1.9}
-503
-503
-302
-201
122
-64
-23
CA1 {1.1.1.10 +
1.1.1.11}

A.1.9
-5,841
-5,741
-5,641
-5,540
-5,741
-5,641
-4,988
A.1.10
-2,341
-2,341
-2,341
-2,341
-2,341
-2,341
-2,341
CA1 {1.1.1.12}
A.1.11
CA1 {1.1.1.13}
A.1.12
-12
-12
-12
-12
-12
-12
-12
CA1 {1.1.1.14}
A.1.13
CA1 {1.1.1.15}
A.1.14
CA1 {1.1.1.16}
A.1.15
weight
-253
-291
-291
-293
-289
-286
-287
CA1 {1.1.1.17 to
1.1.1.21}

-84
-120
-120
-120
-120
-120
-120
CA1 {1.1.1.18.1}
(b) and 258 of CRR
OWN FUNDS
A.1.15.1
A.1.16
-145
-124
-127
-115
-245
-294
-296
CA1 {1.1.1.22}
79 of CRR
A.1.17
differences
CA1 {1.1.1.23}
48(2) of CRR
A.1.18
-718
-736
-822
-918
-867
-988
-1,064
CA1 {1.1.1.24}
49(1) to (3) and 79 of CRR
A.1.19
-136
-100
-48
-221
-229
-189
CA1 {1.1.1.25}
A.1.20
4,522
4,939
4,331
3,481
4,438
3,883
3,230
CA1 {1.1.1.6 + 1.1.8 +

1.1.26}
CA1 {1.1.1.6}
A.1.20.1
A.1.20.2
1,304
1,483
1,198
849
539
208
78
CA1 {1.1.1.8}
A.1.20.3

3,218
3,455
3,133
2,633
3,900
3,675
3,152
CA1 {1.1.1.26}
1,253
1,328
1,485
1,571
1,283
1,424
1,599
CA1 {1.1.2}
A.2

adjustments)
A.2.1

Article 61 of CRR
19,966
20,831
21,627
18,133
17,629
18,073
CA1 {1.1}
Article 25 of CRR
CA1 {1.2}
Article 71 of CRR
CA2 {1}
A.4
10,173
7,277
6,289
5,184
7,284
6,396
5,344
170,679
172,194
172,897
173,474
173,738
175,039
176,317
6,229

CRR
1,017
B.3
B.4
B.5
B.6
A.3
B.2
CAPITAL RATIOS (%)

Transitional period
Article 470 of CRR
18,797
B.1
OWN FUNDS
REQUIREMENTS

CET1 deduction (+)
lending to SMEs (-)
-3,279
Recital (44) of CRR
C.1
10.28%
10.82%
11.19%
11.56%
9.70%
9.26%
9.34%
CA3 {1}
C.2
11.01%
11.60%
12.05%
12.47%
10.44%
10.07%
10.25%
CA3 {3}
C.3
Total Capital ratio
16.97%
15.82%
15.69%
15.46%
14.63%
13.73%
13.28%
CA3 {5}
13,776
13,832
13,878
9,556
9,627
9,697
1,923
1,923
1,923
1,923
1,923
1,923
Memorandum items
F.1
9.55%

7.51%

Baseline scenario
Adverse scenario
CET1 impact
Risk exposure
amount impact
2013
2014
587
2015
2016
Total
(mln EUR)
CET1 impact
Risk exposure
amount impact
587
587
587
587
587
1,762
1,762

Net impact (70%) of 839 Mn non-recurring expenses in 2013 from a

restructuring plan following the merger with Banca Cvica

Baseline scenario
(mln EUR)
Adverse scenario
As of
31/12/2013
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!

Impact on Common
Equity Tier 1
Million EUR

1,923
Tier 1 and Tier 2
Million EUR
Losses
Million EUR

Bank Name
ES - Kutxabank, S.A.
LEI Code
549300U4LIZV0REEQQ46
ES
NUK_WL_NR_XX
version
1809014
No restructuring

mln EUR, %
447
373

(1)

(1)
4,375
36,027
12.1%
mln EUR, %


684
780
4,375
(1)
36,027
(1)

-7

Total Risk Exposure
(1)
(1)
(1)
12.1%
mln EUR, %
979
402
2
4,739
4,283
Total Risk Exposure
36,062
13.1%
Memorandum items
mln EUR
2,883
11.9%
Memorandum items
mln EUR
mln EUR, %
447
373
1,983
scenario (3)
(1)
36,042
01/01/2014.
01/01/2014.

Credit Risk
F-IRB
LTV % (as of
31/12/2013)
A-IRB
STA
F-IRB
A-IRB

STA
F-IRB
A-IRB
Baseline Scenario
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3,557
2,491
6,395
0
3,927
36,230
31,803
922
30,882
190
4,236
2,488
1,748
3,405
31
4,836
56,947
0
19
21
3,318
0
3,012
2,196
1,463
208
1,255
18
715
612
103
0
0
0
5,554
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
14
1,480
5,460
0
3,278
15,087
12,229
236
11,993
143
2,715
1,390
1,325
3,766
62
4,173
30,042
28
14
1,573
0
1,432
1,526
1,089
158
931
2
435
383
52
0
0
0
3,141
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
7
586
0
567
38
18
5
13
0
20
18
2
0
23
1
655
0
0
7
1,816
0
1,638
734
373
62
311
17
344
283
61
0
0
0
2,556
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
45.2%
30.8%
46.0%
Adverse Scenario
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
Coverage
Coverage
Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Impairment rate
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.00%
0.00%
0.43%
0.26%
0.30%
0.19%
1.08%
0.16%
0.57%
1.14%
1.66%
0.40%
0.00%
0
14
2,430
0
2,215
880
451
77
373
18
412
342
70
0
0.00%
25.58%
53.62%
53.30%
30.49%
23.75%
28.41%
22.99%
78.50%
42.62%
40.89%
53.55%
-
0.00%
0.00%
0.44%
0.26%
0.27%
0.17%
1.02%
0.15%
0.54%
1.05%
1.55%
0.38%
0.00%
0
14
2,457
0
2,225
977
504
86
418
19
454
378
76
0
0.00%
21.42%
52.71%
52.38%
28.74%
22.67%
27.41%
21.90%
70.45%
39.55%
37.92%
50.05%
-
0.00%
0.00%
0.41%
0.24%
0.25%
0.16%
0.97%
0.14%
0.53%
0.98%
1.46%
0.36%
0.00%
0
14
2,483
0
2,234
1,066
555
94
461
20
492
409
83
0
0.00%
18.55%
51.96%
51.61%
27.53%
21.90%
26.73%
21.13%
64.71%
37.57%
36.02%
47.60%
-
0.74%
0.00%
0.68%
0.49%
0.45%
0.26%
1.51%
0.23%
0.67%
1.81%
2.75%
0.47%
0.00%
18
14
2,445
0
2,224
933
475
81
394
18
440
369
71
0
40.00%
18.49%
53.48%
53.09%
31.26%
24.79%
29.32%
24.04%
78.92%
42.07%
40.30%
54.30%
-
0.74%
0.00%
0.99%
0.67%
0.40%
0.26%
1.59%
0.22%
0.67%
1.51%
2.30%
0.48%
0.00%
28
14
2,507
0
2,249
1,076
557
95
462
19
500
420
79
0
40.00%
13.69%
52.13%
51.63%
30.02%
24.33%
28.87%
23.58%
70.91%
39.41%
37.77%
51.14%
-
0.74%
0.00%
1.03%
0.69%
0.37%
0.25%
1.46%
0.22%
0.66%
1.36%
2.09%
0.48%
0.00%
38
14
2,572
0
2,276
1,208
636
107
529
20
551
464
88
0
40.00%
11.26%
51.10%
50.42%
29.22%
24.00%
28.58%
23.26%
65.27%
37.93%
36.39%
48.86%
-
0.28%
3,324
43.15%
0.26%
3,448
41.10%
0.24%
3,562
39.52%
0.45%
3,410
43.33%
0.45%
3,625
41.35%
0.43%
3,831
39.97%
LTV % (as of
31/12/2013)
(mln EUR, %)
Spain

Institutions
Corporates
Retail
Which:
Retail - SME
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
45.2%
30.8%
46.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
3,557
2,200
6,323
0
3,877
35,915
31,662
920
30,742
190
4,064
2,483
1,581
3,405
31
4,836
56,268
0
F-IRB
19
21
3,318
0
3,012
2,165
1,436
208
1,229
18
711
610
100
0
0
0
5,523
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
14
1,324
5,392
0
3,231
14,902
12,174
236
11,939
142
2,586
1,385
1,200
3,766
62
4,073
29,534
28
14
1,573
0
1,432
1,509
1,074
158
916
2
432
382
50
0
0
0
3,124
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
7
584
0
567
38
18
5
13
0
20
18
2
0
23
1
653
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
7
1,816
0
1,638
724
365
62
303
17
342
282
60
0
0
0
2,547
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.00%
0.00%
0.43%
0.26%
0.30%
0.19%
1.08%
0.16%
0.57%
1.17%
1.66%
0.40%
0.00%
0
14
2,427
0
2,215
870
443
77
365
18
409
341
68
0
0.00%
26.23%
53.64%
53.31%
30.49%
23.68%
28.42%
22.89%
78.40%
42.65%
40.86%
54.32%
-
0.00%
0.00%
0.44%
0.25%
0.27%
0.17%
1.02%
0.15%
0.54%
1.08%
1.55%
0.38%
0.00%
0
14
2,454
0
2,224
965
496
86
410
19
451
377
74
0
0.00%
22.31%
52.73%
52.40%
28.73%
22.60%
27.43%
21.80%
70.33%
39.58%
37.90%
50.89%
-
0.00%
0.00%
0.41%
0.24%
0.25%
0.16%
0.97%
0.14%
0.53%
1.00%
1.46%
0.36%
0.00%
0
14
2,479
0
2,233
1,053
546
94
452
20
488
408
80
0
0.00%
19.53%
51.99%
51.65%
27.51%
21.83%
26.74%
21.04%
64.58%
37.60%
36.00%
48.46%
-
0.74%
0.00%
0.68%
0.48%
0.45%
0.26%
1.51%
0.23%
0.67%
1.86%
2.75%
0.47%
0.00%
18
14
2,443
0
2,223
922
467
81
386
18
437
368
69
0
40.00%
19.47%
53.49%
53.10%
31.27%
24.73%
29.34%
23.96%
78.82%
42.08%
40.28%
55.03%
-
0.74%
0.00%
0.99%
0.66%
0.40%
0.26%
1.59%
0.22%
0.67%
1.55%
2.30%
0.48%
0.00%
28
14
2,503
0
2,248
1,064
549
95
454
19
496
419
77
0
40.00%
14.69%
52.15%
51.65%
30.01%
24.28%
28.88%
23.51%
70.80%
39.42%
37.75%
51.91%
-
0.74%
0.00%
1.03%
0.68%
0.37%
0.25%
1.46%
0.22%
0.66%
1.39%
2.09%
0.48%
0.00%
38
14
2,568
0
2,274
1,194
627
107
520
20
547
463
84
0
40.00%
12.19%
51.13%
50.46%
29.20%
23.95%
28.59%
23.19%
65.15%
37.94%
36.37%
49.63%
-
0.28%
3,311
43.23%
0.26%
3,433
41.18%
0.24%
3,546
39.60%
0.45%
3,397
43.42%
0.45%
3,609
41.43%
0.44%
3,813
40.05%
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

Credit Risk
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
LTV % (as of
31/12/2013)
LTV % (as of
31/12/2013)
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

P&L
Baseline Scenario
31/12/2013
Adverse Scenario
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
603
667
713
543
608
586
-1
-1
-3
-2
-1
24
-34
-35
-35
-49
-50
-50
447
264
335
380
187
259
238
-78
-136
-124
-114
-223
-214
-207
-78
-136
-124
-114
-223
-214
-207
-295
-18
-5
-4
-59
-44
-32
74
110
205
261
-95
-1
23
42
38
45
37
34
41
Pre-Tax profit
96
152
244
306
-58
34
39
Tax
12
-5
-32
-49
49
29
30
Net income
108
147
211
257
-9
64
69
108
146
211
257
-9
63
69
81
110
158
193
-9
48
52
16
17
(mln EUR)
Net interest income
721
Net trading income

through P&L (-)
37
53
64
27

RWA
(mln EUR)
Baseline Scenario
Adverse Scenario
as of 31/12/2013
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
33,183
33,190
33,191
33,191
33,216
33,217
33,218
62
69
70
70
70
71
72
33,121
33,121
33,121
33,121
33,146
33,146
33,146
2,844
2,844
2,855
2,851
2,844
2,855
2,844
36,027
36,034
36,045
36,042
36,060
36,072
36,062

Securitisation
(mln EUR)
Exposure values
Impairments
Banking Book
Total
Banking Book
Total
Total
Baseline scenario
Adverse scenario
as of 31/12/2013
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
31
0
0
31
62
0
62
0
23
69
0
69
0
23
70
0
70
0
23
70
0
70
0
23
70
0
70
0
23
71
0
71
0
23
72
0
72
0
23
23
23
23
23
23
23
23

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Belgium
Bulgaria
Cyprus
Czech Republic
Denmark
Estonia
Finland
France
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Germany
Croatia
Greece
Hungary
Iceland
Ireland
Italy
Latvia
Liechtenstein
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Lithuania
Luxembourg
Malta
Netherlands
Norway
Poland
Portugal
Romania
Slovakia
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Slovenia
Spain
Sweden
United Kingdom
Australia
Canada
Hong Kong
Japan
U.S.
0
0
0
0
0
0
0
0
780
834
744
612
401
509
56
3,936
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
703
288
158
89
238
248
55
1,779
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
780
834
744
612
401
509
56
3,936
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
77
547
586
524
163
217
1
2,114
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
10
0
10
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
81
0
0
0
81
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
China
Switzerland

non EEA

Middle East

Caribbean
Africa
Others
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0


Capital
Baseline Scenario
(mln EUR)
A
As of 31/12/2013
Adverse Scenario
COREP CODE
REGULATION
OWN FUNDS
4,375
4,485
4,610
4,739
4,357
4,337
4,283
CA1 {1}
A.1

4,375
4,485
4,610
4,739
4,357
4,337
4,283
CA1 {1.1.1}
Article 50 of CRR
A.1.1
4,546
4,546
4,546
4,546
4,546
4,546
4,546
CA1 {1.1.1.1}
and 42 of CRR
349
542
72
119
171
CA1 {1.1.1.2}
of CRR
A.1.1.1
A.1.2
Retained earnings
81
191
A.1.3
223
107
57
23
24
-51
-119
CA1 {1.1.1.3}

portfolio
48
48
48
48
19
12
192
76
25
-8
38
-54
-115
A.1.3.1
A.1.3.2
A.1.4
Other Reserves
23
23
23
23
23
23
23
CA1 {1.1.1.4}
A.1.5
CA1 {1.1.1.5}
A.1.6
CA1 {1.1.1.7}
Article 84 of CRR
A.1.7

-4
-4
-4
-4
-4
-4
-4
CA1 {1.1.1.9}
A.1.8

-38
-38
-29
-19
-2
-11
-5
A.1.9
-302
-302
-302
-302
-302
-302
-302
CA1 {1.1.1.10 +
1.1.1.11}

A.1.10
-455
-455
-455
-455
-455
-455
-455
CA1 {1.1.1.12}
A.1.11
CA1 {1.1.1.13}
A.1.12
CA1 {1.1.1.14}
A.1.13
CA1 {1.1.1.15}
A.1.14
CA1 {1.1.1.16}
A.1.15
weight
CA1 {1.1.1.17 to
1.1.1.21}

CA1 {1.1.1.18.1}
(b) and 258 of CRR
OWN FUNDS
A.1.15.1
A.1.16
CA1 {1.1.1.22}
79 of CRR
A.1.17
differences
CA1 {1.1.1.23}
48(2) of CRR
A.1.18
CA1 {1.1.1.24}
49(1) to (3) and 79 of CRR
A.1.19
CA1 {1.1.1.25}
A.1.20
425
386
455
472
428
CA1 {1.1.1.6}
A.1.20.2
38
38
31
18
38
31
18
CA1 {1.1.1.8}
A.1.20.3

263
379
394
367
417
442
410
CA1 {1.1.1.26}
A.2

adjustments)
A.2.1
Article 470 of CRR
CA1 {1.1.1.6 + 1.1.8 +

1.1.26}

CA1 {1.1.2}
Article 61 of CRR
4,485
4,610
4,739
4,357
4,337
4,283
CA1 {1.1}
Article 25 of CRR
CA1 {1.2}
Article 71 of CRR
CA2 {1}
A.3
4,375
A.4
36,027
36,034
36,045
36,042
36,060
36,072
36,062
1,358

CRR
100
B.3
B.4
B.5
B.6
418
B.2
CAPITAL RATIOS (%)

Transitional period
302
A.1.20.1
B.1
OWN FUNDS
REQUIREMENTS

CET1 deduction (+)
lending to SMEs (-)
-680
Recital (44) of CRR
C.1
12.14%
12.45%
12.79%
13.15%
12.08%
12.02%
11.88%
CA3 {1}
C.2
12.14%
12.45%
12.79%
13.15%
12.08%
12.02%
11.88%
CA3 {3}
C.3
Total Capital ratio
12.14%
12.45%
12.79%
13.15%
12.08%
12.02%
11.88%
CA3 {5}
2,883
2,884
2,883
1,983
1,984
1,983
Memorandum items
F.1
12.08%

10.69%

Baseline scenario
(mln EUR)
2013
2014
2015
2016
Total
Adverse scenario
CET1 impact
Risk exposure
amount impact
CET1 impact
Risk exposure
amount impact
0
0


Baseline scenario
(mln EUR)
Adverse scenario
As of
31/12/2013
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!

Impact on Common
Equity Tier 1
Million EUR

Tier 1 and Tier 2
Million EUR
Losses
Million EUR

Bank Name
ES - Bankinter, S.A.
LEI Code
VWMYAEQSTOPNV0SUGU82
ES
NUK_WL_NR_XX
version
1809014
No restructuring

mln EUR, %
571
513

(1)

(1)
2,781
23,831
11.7%
mln EUR, %


1,160
1,581
2,781
(1)
23,831
(1)

46
15

Total Risk Exposure
(1)
(1)
(1)
11.7%
mln EUR, %
1,204
968
9
3,175
2,708
Total Risk Exposure
24,635
12.9%
Memorandum items
mln EUR
1,976
11.0%
Memorandum items
mln EUR
mln EUR, %
571
513
1,355
13
scenario (3)
(1)
24,701
01/01/2014.
01/01/2014.

Credit Risk
F-IRB
LTV % (as of
31/12/2013)
A-IRB
STA
F-IRB
A-IRB

STA
F-IRB
A-IRB
Baseline Scenario
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
239
239
0
0
0
0
0
0
0
0
0
0
612
0
851
0
0
0
82
82
0
0
0
0
0
0
0
0
0
0
0
0
82
0
0
0
45
0
0
18,124
15,617
1,071
14,546
0
2,507
2,030
477
0
0
0
18,170
0
0
0
6
0
0
1,012
725
224
501
0
287
241
46
0
0
0
1,018
0
6,788
3,239
11,991
61
6,169
2,991
1,969
20
1,949
485
537
84
453
166
47
1,557
26,779
0
0
127
701
17
364
202
27
1
27
14
161
51
110
0
0
0
1,031
0
0
0
310
310
0
0
0
0
0
0
0
0
0
0
422
0
733
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
67
0
0
3,401
2,236
460
1,777
0
1,165
880
285
0
0
0
3,468
0
0
3
0
0
550
462
193
269
0
88
85
2
0
0
0
553
837
968
10,208
92
4,680
1,744
938
12
926
369
437
86
352
207
32
1,942
15,938
0
191
841
18
418
231
31
1
30
15
185
57
129
0
0
0
1,264
0
0
2
2
0
0
0
0
0
0
0
0
0
0
4
0
6
0
0
0
25
25
0
0
0
0
0
0
0
0
0
0
0
0
25
0
0
0
0
0
0
8
5
2
3
0
3
3
0
0
0
0
8
0
0
0
3
0
0
212
62
25
37
0
150
114
36
0
0
0
216
0
0
0
44
2
10
3
1
0
1
1
1
0
1
0
0
0
47
0
0
0
561
8
265
94
4
1
4
34
55
28
27
0
0
0
655
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
54.5%
55.7%
54.4%
Adverse Scenario
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
Coverage
Coverage
Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Impairment rate
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.37%
0.35%
1.46%
0.57%
0.29%
1.89%
0.19%
2.79%
1.84%
2.10%
1.26%
0.00%
22
10
977
0
0
539
209
93
116
48
282
205
77
0
39.55%
6.51%
45.07%
28.45%
18.34%
26.49%
14.98%
69.81%
40.43%
43.12%
35.05%
-
0.36%
0.35%
1.05%
0.45%
0.24%
1.54%
0.16%
2.03%
1.46%
1.64%
1.04%
0.00%
43
19
1,102
0
0
633
251
110
141
58
325
238
87
0
39.52%
11.11%
43.88%
27.75%
18.05%
26.53%
14.69%
69.14%
39.72%
42.09%
34.68%
-
0.36%
0.34%
0.82%
0.39%
0.21%
1.35%
0.14%
2.13%
1.22%
1.37%
0.89%
0.00%
64
29
1,200
0
0
719
292
124
168
67
359
265
95
0
39.49%
14.54%
43.10%
27.49%
18.19%
26.83%
14.89%
68.71%
39.14%
41.35%
34.31%
-
0.82%
0.80%
1.95%
0.79%
0.43%
2.36%
0.30%
3.45%
2.47%
2.76%
1.81%
0.00%
49
22
1,070
0
0
618
252
101
150
54
312
224
88
0
39.97%
12.35%
47.93%
30.83%
20.73%
28.01%
17.88%
74.40%
43.14%
45.53%
38.35%
-
0.82%
0.80%
1.97%
0.73%
0.39%
2.50%
0.26%
3.26%
2.39%
2.71%
1.67%
0.00%
96
44
1,323
0
0
783
328
135
193
69
386
281
105
0
39.96%
18.85%
48.19%
30.97%
21.04%
30.57%
17.48%
74.38%
43.71%
45.78%
39.22%
-
0.81%
0.79%
1.49%
0.62%
0.33%
2.05%
0.23%
3.25%
1.99%
2.23%
1.47%
0.00%
142
66
1,490
0
0
907
383
154
230
84
440
322
118
0
39.93%
22.82%
47.48%
30.40%
20.60%
30.36%
17.13%
73.95%
43.35%
45.29%
38.97%
-
0.78%
1,548
35.75%
0.60%
1,798
35.00%
0.50%
2,012
34.58%
1.13%
1,760
38.28%
1.10%
2,248
38.73%
0.90%
2,605
38.22%
LTV % (as of
31/12/2013)
(mln EUR, %)
Spain

Institutions
Corporates
Retail
Which:
Retail - SME
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
54.5%
55.7%
54.4%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
239
239
0
0
0
0
0
0
0
0
0
0
612
0
851
0
0
0
82
82
0
0
0
0
0
0
0
0
0
0
0
0
82
0
Non-defaulted
0
0
45
0
0
18,124
15,617
1,071
14,546
0
2,507
2,030
477
0
0
0
18,170
0
Defaulted
0
0
6
0
0
1,012
725
224
501
0
287
241
46
0
0
0
1,018
0
STA
Non-defaulted
6,788
3,239
11,991
61
6,169
2,991
1,969
20
1,949
485
537
84
453
166
47
1,557
26,779
0
F-IRB
0
127
701
17
364
202
27
1
27
14
161
51
110
0
0
0
1,031
0
0
0
310
310
0
0
0
0
0
0
0
0
0
0
422
0
733

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
67
0
0
3,401
2,236
460
1,777
0
1,165
880
285
0
0
0
3,468
Defaulted
0
0
3
0
0
550
462
193
269
0
88
85
2
0
0
0
553

F-IRB
A-IRB
STA
STA
Non-defaulted
837
968
10,208
92
4,680
1,744
938
12
926
369
437
86
352
207
32
1,942
15,938
0
191
841
18
418
231
31
1
30
15
185
57
129
0
0
0
1,264
0
0
2
2
0
0
0
0
0
0
0
0
0
0
4
0
6
0
Defaulted
0
0
25
25
0
0
0
0
0
0
0
0
0
0
0
0
25
0
Non-defaulted
0
0
0
0
0
8
5
2
3
0
3
3
0
0
0
0
8
0
Defaulted
0
0
3
0
0
212
62
25
37
0
150
114
36
0
0
0
216
0
Non-defaulted
0
0
44
2
10
3
1
0
1
1
1
0
1
0
0
0
47
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
561
8
265
94
4
1
4
34
55
28
27
0
0
0
655
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.37%
0.35%
1.46%
0.57%
0.29%
1.89%
0.19%
2.79%
1.84%
2.10%
1.26%
0.00%
22
10
977
0
0
539
209
93
116
48
282
205
77
0
39.55%
6.51%
45.07%
28.45%
18.34%
26.49%
14.98%
69.81%
40.43%
43.12%
35.05%
-
0.36%
0.35%
1.05%
0.45%
0.24%
1.54%
0.16%
2.03%
1.46%
1.64%
1.04%
0.00%
43
19
1,102
0
0
633
251
110
141
58
325
238
87
0
39.52%
11.11%
43.88%
27.75%
18.05%
26.53%
14.69%
69.14%
39.72%
42.09%
34.68%
-
0.36%
0.34%
0.82%
0.39%
0.21%
1.35%
0.14%
2.13%
1.22%
1.37%
0.89%
0.00%
64
29
1,200
0
0
719
292
124
168
67
359
265
95
0
39.49%
14.54%
43.10%
27.49%
18.19%
26.83%
14.89%
68.71%
39.14%
41.35%
34.31%
-
0.82%
0.80%
1.95%
0.79%
0.43%
2.36%
0.30%
3.45%
2.47%
2.76%
1.81%
0.00%
49
22
1,070
0
0
618
252
101
150
54
312
224
88
0
39.97%
12.35%
47.93%
30.83%
20.73%
28.01%
17.88%
74.40%
43.14%
45.53%
38.35%
-
0.82%
0.80%
1.97%
0.73%
0.39%
2.50%
0.26%
3.26%
2.39%
2.71%
1.67%
0.00%
96
44
1,323
0
0
783
328
135
193
69
386
281
105
0
39.96%
18.85%
48.19%
30.97%
21.04%
30.57%
17.48%
74.38%
43.71%
45.78%
39.22%
-
0.81%
0.79%
1.49%
0.62%
0.33%
2.05%
0.23%
3.25%
1.99%
2.23%
1.47%
0.00%
142
66
1,490
0
0
907
383
154
230
84
440
322
118
0
39.93%
22.82%
47.48%
30.40%
20.60%
30.36%
17.13%
73.95%
43.35%
45.29%
38.97%
-
0.78%
1,548
35.75%
0.60%
1,798
35.00%
0.50%
2,012
34.58%
1.13%
1,760
38.28%
1.10%
2,248
38.73%
0.90%
2,605
38.22%
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

Credit Risk
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
LTV % (as of
31/12/2013)
LTV % (as of
31/12/2013)
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

P&L
Baseline Scenario
31/12/2013
(mln EUR)
Net interest income
591
Net trading income

Adverse Scenario
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
591
591
591
591
591
591
15
17
18
-3
11
-5
-3
-2
-23
-14
-9
140
-28
-28
-28
-28
-28
-28
571
400
402
403
381
387
392
-420
-489
-252
-216
-702
-491
-357
-420
-488
-252
-216
-702
-491
-357
-93
-11
-20
-10
-1
58
-100
149
187
-341
-114
34
126
124
124
124
124
123
123
Pre-Tax profit
183
24
274
311
-217
157
Tax
-52
-7
-82
-93
65
-3
-47
Net income
132
17
191
218
-152
110
132
17
191
218
-152
110
78
13
144
163
-152
82
27

through P&L (-)
4
48
54
54

RWA
(mln EUR)
Baseline Scenario
Adverse Scenario
as of 31/12/2013
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
21,922
22,565
22,574
22,766
22,607
22,581
22,696
454
558
568
585
589
555
683
21,468
22,007
22,007
22,180
22,018
22,026
22,012
294
294
294
294
294
294
294
1,614
1,583
1,609
1,609
1,609
1,612
1,613
32
32
32
32
32
32
32
23,831
24,500
24,510
24,701
24,545
24,520
24,635

Securitisation
(mln EUR)
Exposure values
Impairments
Banking Book
Total
Banking Book
Total
Total
Baseline scenario
Adverse scenario
as of 31/12/2013
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
659
0
0
659
454
0
454
4
0
558
0
558
12
0
568
0
568
15
0
585
0
585
17
0
589
0
589
14
0
555
0
555
18
0
683
0
683
18
0
12
15
17
14
18
18

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Belgium
Bulgaria
Cyprus
Czech Republic
Denmark
Estonia
Finland
France
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Germany
Croatia
Greece
Hungary
Iceland
Ireland
Italy
Latvia
Liechtenstein
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Lithuania
Luxembourg
Malta
Netherlands
Norway
Poland
Portugal
Romania
Slovakia
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Slovenia
Spain
Sweden
United Kingdom
Australia
Canada
Hong Kong
Japan
U.S.
0
0
0
0
0
0
0
0
544
550
694
809
2,386
2,620
424
8,027
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
156
220
123
200
1,512
100
30
2,341
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
313
314
499
419
433
2,323
78
4,380
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
17
6
0
0
295
514
0
832
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-57
232
96
44
52
83
-90
359
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
China
Switzerland

non EEA

Middle East

Caribbean
Africa
Others
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0


Capital
Baseline Scenario
(mln EUR)
A
As of 31/12/2013
Adverse Scenario
COREP CODE
REGULATION
OWN FUNDS
3,085
3,149
3,279
3,419
2,953
2,906
2,940
CA1 {1}
A.1

2,781
2,848
3,005
3,175
2,661
2,648
2,708
CA1 {1.1.1}
Article 50 of CRR
A.1.1
1,390
1,390
1,390
1,390
1,390
1,390
1,390
CA1 {1.1.1.1}
and 42 of CRR
78
91
235
398
-74
-69
13
CA1 {1.1.1.2}
of CRR
A.1.1.1
A.1.2
Retained earnings
A.1.3
43
40
41
42
-34
-5
-8
CA1 {1.1.1.3}

portfolio
21
21
21
21
-44
-20
-25
22
19
20
21
10
15
17
A.1.3.1
A.1.3.2
A.1.4
Other Reserves
1,697
1,705
1,713
1,721
1,705
1,713
1,721
CA1 {1.1.1.4}
A.1.5
CA1 {1.1.1.5}
A.1.6
CA1 {1.1.1.7}
Article 84 of CRR
A.1.7

-23
-20
-12
-8
-11
-9
-7
CA1 {1.1.1.9}
A.1.8

-21
-21
-13
-8
35
12
10
A.1.9
-217
-209
-202
-194
-209
-202
-194
A.1.10
A.1.11
A.1.12
A.1.13
CA1 {1.1.1.10 +
1.1.1.11}

CA1 {1.1.1.12}
-175
-113
-101
-95
-116
-118
-118
CA1 {1.1.1.13}
CA1 {1.1.1.14}
CA1 {1.1.1.15}
A.1.14
CA1 {1.1.1.16}
A.1.15
weight
CA1 {1.1.1.17 to
1.1.1.21}

CA1 {1.1.1.18.1}
(b) and 258 of CRR
OWN FUNDS
A.1.15.1
A.1.16
CA1 {1.1.1.22}
79 of CRR
A.1.17
differences
CA1 {1.1.1.23}
48(2) of CRR
A.1.18
-219
-210
-193
-175
-235
-231
-221
CA1 {1.1.1.24}
49(1) to (3) and 79 of CRR
A.1.19
CA1 {1.1.1.25}
A.1.20
147
105
211
166
122
CA1 {1.1.1.6}
A.1.20.2
CA1 {1.1.1.8}
A.1.20.3

227
195
147
105
211
166
122
CA1 {1.1.1.26}
A.2

adjustments)
A.2.1
Article 470 of CRR
CA1 {1.1.1.6 + 1.1.8 +

1.1.26}

CA1 {1.1.2}
Article 61 of CRR
2,848
3,005
3,175
2,661
2,648
2,708
CA1 {1.1}
Article 25 of CRR
CA1 {1.2}
Article 71 of CRR
A.3
2,781
A.4
304
300
273
244
292
258
231
23,831
24,500
24,510
24,701
24,545
24,520
24,635

CRR
Recital (44) of CRR
B.3
B.4
B.5
B.6
195
B.2
CAPITAL RATIOS (%)

Transitional period
227
A.1.20.1
B.1
OWN FUNDS
REQUIREMENTS

CET1 deduction (+)
lending to SMEs (-)
CA2 {1}
C.1
11.67%
11.63%
12.26%
12.85%
10.84%
10.80%
10.99%
CA3 {1}
C.2
11.67%
11.63%
12.26%
12.85%
10.84%
10.80%
10.99%
CA3 {3}
C.3
Total Capital ratio
12.95%
12.85%
13.38%
13.84%
12.03%
11.85%
11.93%
CA3 {5}
1,960
1,961
1,976
1,350
1,349
1,355
13
13
13
13
13
13
Memorandum items
F.1
12.43%

10.50%

Baseline scenario
(mln EUR)
2013
2014
2015
2016
Total
Adverse scenario
CET1 impact
Risk exposure
amount impact
CET1 impact
Risk exposure
amount impact
0
0


Baseline scenario
(mln EUR)
Adverse scenario
As of
31/12/2013
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!

Impact on Common
Equity Tier 1
Million EUR

13
Tier 1 and Tier 2
Million EUR
Losses
Million EUR
-4

Bank Name
ES - Banco Popular Espaol, S.A.
LEI Code
80H66LPTVDLM0P28XF25
ES
NUK_WL_NR_XX
version
1809014
No restructuring

mln EUR, %
2,771
3,034

(1)

(1)
8,481
84,293
10.1%
mln EUR, %


2,867
5,194
8,481
(1)
84,293
(1)

107
342

Total Risk Exposure
(1)
(1)
mln EUR, %
2,771
3,034
(1)
10.1%
mln EUR, %
4,924
3,065
69
9,258
6,434
Total Risk Exposure
85,052
10.9%
Memorandum items
mln EUR
6,773
(1)
84,664
7.6%
Memorandum items
mln EUR
4,678
773
500
scenario (3)
01/01/2014.
01/01/2014.

Credit Risk
F-IRB
LTV % (as of
31/12/2013)
A-IRB
STA
F-IRB
A-IRB

STA
F-IRB
A-IRB
Baseline Scenario
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
2,959
10,725
0
1,341
0
0
0
0
0
0
0
0
0
0
0
13,684
0
0
2
588
0
230
0
0
0
0
0
0
0
0
0
0
0
591
0
0
0
17,571
0
13,428
28,261
22,215
3,241
18,975
0
6,046
6,046
0
0
363
0
46,195
27
0
0
7,511
0
6,811
3,333
2,745
1,145
1,600
0
588
588
0
0
0
0
10,844
0
16,120
7,659
10,946
1,949
4,972
18,154
10,669
2,772
7,897
469
7,016
4,497
2,519
400
97
13,506
66,884
28
22
30
4,830
103
3,293
1,263
1,063
598
465
10
189
129
60
0
0
0
6,145
0
0
669
7,989
0
1,101
0
0
0
0
0
0
0
0
0
0
0
8,657
0
0
147
0
0
0
0
0
0
0
0
0
0
0
0
0
148
0
0
12,686
0
9,495
9,477
7,540
1,660
5,880
0
1,937
1,937
0
0
283
0
22,446
0
0
1,263
0
1,191
317
292
135
157
0
25
25
0
0
0
0
1,579
281
2,251
9,949
1,914
4,532
9,270
4,228
1,186
3,041
352
4,690
2,786
1,904
540
121
14,853
37,265
8
30
5,437
103
3,811
1,307
1,096
616
479
10
201
134
67
0
0
0
6,782
0
0
120
0
25
0
0
0
0
0
0
0
0
0
0
0
120
0
0
0
210
0
86
0
0
0
0
0
0
0
0
0
0
0
210
0
0
0
337
0
297
31
28
17
11
0
3
3
0
0
0
0
368
0
0
0
2,828
0
2,499
829
406
245
160
0
424
424
0
0
12
0
3,669
0
1
9
392
3
289
33
21
11
10
0
12
4
8
0
0
0
434
0
0
4
3,226
37
2,367
479
208
117
91
10
261
206
56
0
4
0
3,714
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
(mln EUR, %)
ES - Banco Popular Espaol,

S.A.

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
63.7%
56.7%
65.4%
Adverse Scenario
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
Coverage
Coverage
Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Impairment rate
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.07%
0.38%
1.65%
0.80%
0.58%
1.22%
0.43%
1.29%
1.33%
1.36%
1.22%
0.00%
14
45
8,517
0
0
2,079
1,080
665
414
21
978
846
132
0
44.16%
30.70%
38.01%
26.52%
16.49%
21.36%
12.87%
68.38%
62.25%
61.76%
66.08%
-
0.07%
0.30%
1.08%
0.57%
0.39%
0.86%
0.28%
1.12%
0.99%
0.97%
1.05%
0.00%
18
67
9,064
0
0
2,379
1,234
741
493
26
1,119
960
159
0
44.39%
31.94%
38.02%
26.07%
16.51%
21.95%
12.75%
65.24%
58.73%
58.02%
63.89%
-
0.07%
0.26%
0.84%
0.43%
0.28%
0.66%
0.20%
0.97%
0.80%
0.77%
0.92%
0.00%
21
85
9,446
0
0
2,596
1,337
791
546
30
1,228
1,045
183
0
44.25%
32.43%
37.82%
25.61%
16.31%
22.06%
12.50%
62.66%
56.30%
55.50%
61.85%
-
0.41%
0.67%
2.02%
0.95%
0.69%
1.46%
0.51%
1.44%
1.60%
1.66%
1.36%
0.00%
31
66
8,952
0
0
2,191
1,147
697
449
22
1,023
886
137
0
42.03%
33.72%
39.56%
27.49%
17.38%
22.28%
13.73%
69.94%
62.98%
62.38%
67.77%
-
0.40%
0.67%
1.87%
0.86%
0.61%
1.40%
0.44%
1.35%
1.46%
1.50%
1.27%
0.00%
50
114
9,921
0
0
2,639
1,384
813
571
28
1,226
1,056
170
0
41.62%
34.72%
39.94%
27.20%
17.68%
23.31%
13.82%
67.73%
58.82%
57.84%
66.37%
-
0.39%
0.59%
1.49%
0.69%
0.47%
1.13%
0.34%
1.18%
1.22%
1.25%
1.11%
0.00%
69
155
10,506
0
0
2,969
1,550
890
659
34
1,386
1,186
199
0
41.31%
34.99%
39.51%
26.60%
17.46%
23.48%
13.58%
65.64%
55.72%
54.54%
64.71%
-
1.06%
10,654
35.07%
0.71%
11,528
34.73%
0.55%
12,148
34.32%
1.32%
11,240
36.46%
1.20%
12,724
36.39%
0.96%
13,700
35.73%
LTV % (as of
31/12/2013)
(mln EUR, %)
Spain

Institutions
Corporates
Retail
Which:
Retail - SME
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
63.2%
56.2%
65.2%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
2,079
10,032
0
945
0
0
0
0
0
0
0
0
0
0
0
12,111
0
0
2
483
0
125
0
0
0
0
0
0
0
0
0
0
0
485
0
Non-defaulted
0
0
17,069
0
13,004
26,634
20,608
3,236
17,372
0
6,027
6,027
0
0
363
0
44,067
27
Defaulted
0
0
7,404
0
6,715
3,034
2,447
1,145
1,302
0
587
587
0
0
0
0
10,438
0
STA
Non-defaulted
14,570
6,980
7,957
1,613
4,481
13,846
8,082
2,279
5,803
423
5,341
3,157
2,184
343
87
13,385
57,169
26
F-IRB
22
30
4,794
96
3,284
1,148
973
592
381
8
167
114
53
0
0
0
5,994
0
0
520
7,386
0
724
0
0
0
0
0
0
0
0
0
0
0
7,907

A-IRB
Defaulted
0
0
147
0
0
0
0
0
0
0
0
0
0
0
0
0
148
Non-defaulted
0
0
12,212
0
9,083
8,855
6,924
1,657
5,268
0
1,931
1,931
0
0
283
0
21,350
Defaulted
0
0
1,257
0
1,185
290
266
135
131
0
25
25
0
0
0
0
1,547

F-IRB
A-IRB
STA
STA
Non-defaulted
281
2,033
7,536
1,574
4,147
6,911
2,991
938
2,053
318
3,602
1,935
1,667
496
115
14,832
32,203
8
30
5,398
96
3,785
1,194
1,007
611
397
8
178
119
59
0
0
0
6,630
0
0
120
0
25
0
0
0
0
0
0
0
0
0
0
0
120
0
Defaulted
0
0
161
0
37
0
0
0
0
0
0
0
0
0
0
0
161
0
Non-defaulted
0
0
328
0
288
30
27
17
10
0
3
3
0
0
0
0
358
0
Defaulted
0
0
2,778
0
2,454
793
370
245
125
0
423
423
0
0
12
0
3,583
0
Non-defaulted
1
9
383
3
279
32
20
11
9
0
12
4
7
0
0
0
425
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
4
3,140
35
2,358
329
141
94
47
7
181
142
39
0
4
0
3,477
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.07%
0.40%
1.63%
0.80%
0.58%
1.23%
0.43%
1.26%
1.33%
1.36%
1.19%
0.00%
14
43
8,230
0
0
1,829
944
635
309
17
867
758
110
0
44.17%
30.26%
37.88%
25.92%
15.85%
20.64%
11.61%
70.32%
61.53%
61.10%
65.16%
-
0.07%
0.32%
1.07%
0.57%
0.39%
0.87%
0.28%
1.09%
1.00%
0.99%
1.03%
0.00%
18
64
8,726
0
0
2,091
1,080
706
374
22
989
857
132
0
44.41%
31.52%
37.97%
25.60%
16.01%
21.34%
11.68%
66.37%
58.20%
57.61%
62.87%
-
0.07%
0.27%
0.83%
0.44%
0.28%
0.66%
0.20%
0.95%
0.81%
0.79%
0.90%
0.00%
21
81
9,070
0
0
2,282
1,172
753
419
26
1,085
933
152
0
44.26%
32.01%
37.84%
25.22%
15.89%
21.53%
11.53%
63.38%
55.92%
55.26%
60.86%
-
0.41%
0.72%
2.00%
0.95%
0.69%
1.47%
0.50%
1.40%
1.60%
1.66%
1.33%
0.00%
31
64
8,644
0
0
1,925
1,002
665
337
18
905
792
113
0
42.04%
33.42%
39.46%
26.87%
16.74%
21.56%
12.47%
71.87%
62.19%
61.67%
66.78%
-
0.40%
0.72%
1.86%
0.86%
0.61%
1.41%
0.43%
1.32%
1.47%
1.52%
1.25%
0.00%
50
109
9,530
0
0
2,318
1,212
774
438
24
1,082
941
141
0
41.63%
34.46%
40.00%
26.76%
17.22%
22.75%
12.79%
68.82%
58.28%
57.45%
65.33%
-
0.39%
0.64%
1.48%
0.70%
0.48%
1.14%
0.33%
1.14%
1.23%
1.27%
1.09%
0.00%
69
148
10,055
0
0
2,609
1,359
847
512
29
1,222
1,056
166
0
41.32%
34.73%
39.67%
26.27%
17.11%
23.03%
12.69%
66.29%
55.37%
54.35%
63.76%
-
1.05%
10,116
35.02%
0.71%
10,899
34.78%
0.55%
11,454
34.43%
1.31%
10,664
36.43%
1.20%
12,007
36.53%
0.96%
12,881
35.96%
LTV % (as of
31/12/2013)
(mln EUR, %)
Portugal

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
70.1%
67.8%
70.6%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
370
0
244
0
0
0
0
0
0
0
0
0
0
0
370
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
87
0
77
38
31
2
29
0
7
7
0
0
0
0
124
0
0
0
7
0
4
4
4
0
4
0
0
0
0
0
0
0
11
0
1,282
593
1,851
160
1,500
3,599
2,117
362
1,754
12
1,470
1,304
166
57
10
0
7,393
2
0
0
25
7
0
33
15
6
9
0
18
15
3
0
0
0
57
0
0
0
316
0
223
0
0
0
0
0
0
0
0
0
0
0
316
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
76
0
70
13
11
1
10
0
2
2
0
0
0
0
89
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
198
1,552
160
1,257
2,107
1,142
248
895
9
956
831
125
44
6
0
3,906
0
0
25
7
0
33
15
6
9
0
18
15
3
0
0
0
57
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4
0
4
0
0
0
0
0
0
0
0
0
0
0
4
0
0
0
7
0
4
1
0
0
0
0
0
0
0
0
0
0
8
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
80
2
3
138
61
24
38
1
76
64
12
0
0
0
218
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.17%
0.57%
1.71%
0.87%
0.55%
1.16%
0.42%
1.33%
1.33%
1.34%
1.25%
0.00%
0
1
137
0
0
181
79
30
49
1
102
87
15
0
40.00%
40.15%
52.59%
57.55%
46.87%
53.06%
43.74%
75.07%
69.70%
67.90%
82.31%
-
0.17%
0.45%
1.07%
0.59%
0.36%
0.79%
0.27%
1.14%
0.92%
0.90%
1.07%
0.00%
0
2
164
0
0
208
89
34
55
1
118
101
17
0
40.00%
40.09%
47.16%
50.09%
38.76%
45.41%
35.58%
72.96%
63.98%
61.82%
80.39%
-
0.17%
0.38%
0.83%
0.45%
0.26%
0.60%
0.19%
1.00%
0.71%
0.69%
0.93%
0.00%
0
2
183
0
0
226
95
36
59
1
130
111
19
0
40.00%
40.07%
44.13%
45.82%
34.54%
41.30%
31.40%
70.42%
60.05%
57.80%
77.69%
-
1.06%
0.93%
2.13%
1.05%
0.65%
1.37%
0.50%
1.48%
1.62%
1.65%
1.39%
0.00%
0
2
149
0
0
191
82
31
51
1
108
92
16
0
40.00%
40.10%
52.92%
58.24%
47.15%
52.72%
44.29%
77.13%
70.83%
68.96%
84.47%
-
1.06%
0.95%
1.78%
0.89%
0.56%
1.26%
0.42%
1.39%
1.37%
1.38%
1.29%
0.00%
0
3
191
0
0
230
97
37
60
1
131
113
18
0
40.00%
40.05%
46.22%
49.48%
37.85%
43.97%
34.89%
75.54%
63.80%
61.51%
82.95%
-
1.06%
0.85%
1.43%
0.72%
0.44%
1.03%
0.33%
1.21%
1.13%
1.13%
1.12%
0.00%
0
4
222
0
0
256
107
40
67
1
148
128
20
0
40.00%
40.04%
42.73%
44.38%
33.02%
39.37%
30.08%
72.94%
58.78%
56.41%
79.96%
-
1.17%
319
55.27%
0.75%
373
48.72%
0.58%
411
45.03%
1.44%
342
55.72%
1.21%
424
47.89%
0.97%
483
43.57%
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

Credit Risk
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
LTV % (as of
31/12/2013)
LTV % (as of
31/12/2013)
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

P&L
Baseline Scenario
31/12/2013
(mln EUR)
Net interest income
2,410
Net trading income

Adverse Scenario
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
2,250
2,392
2,367
1,861
2,103
2,004
55
69
75
36
57
68
-34
-21
-14
-53
-32
-21
1,298
212
212
212
-82
-82
-82
2,771
1,544
1,705
1,674
813
1,079
975
-1,890
-1,551
-883
-631
-2,142
-1,501
-992
-1,890
-1,551
-883
-631
-2,142
-1,501
-992
-1,144
-416
-86
-57
-264
-7
822
1,043
-1,745
-507
-75
78
30
36
39
36
137
-185
23
857
1,082
-1,741
-472
62
53
-1
-244
-311
511
155
Net income
-132
22
613
771
-1,230
-316
66
-135
22
613
771
-1,230
-316
66
-175
21
577
724
-1,230
-316
66

through P&L (-)
Pre-Tax profit
Tax
1
37
46
40

RWA
(mln EUR)
Baseline Scenario
Adverse Scenario
as of 31/12/2013
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
76,875
77,070
77,187
77,246
77,268
77,503
77,634
404
599
717
776
797
1,033
1,163
76,470
76,470
76,470
76,470
76,470
76,470
76,470
714
714
714
714
714
714
714
6,521
6,521
6,521
6,521
6,521
6,521
6,521
184
184
184
184
184
184
184
84,293
84,488
84,605
84,664
84,686
84,921
85,052

Securitisation
(mln EUR)
Exposure values
Impairments
Banking Book
Total
Banking Book
Total
Total
Baseline scenario
Adverse scenario
as of 31/12/2013
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
465
0
0
465
404
0
404
16
0
599
0
599
27
0
717
0
717
37
0
776
0
776
47
0
797
0
797
33
0
1,033
0
1,033
49
0
1,163
0
1,163
65
0
16
27
37
47
33
49
65

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Belgium
Bulgaria
Cyprus
Czech Republic
Denmark
Estonia
Finland
France
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Germany
Croatia
Greece
Hungary
Iceland
Ireland
Italy
Latvia
Liechtenstein
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
223
0
0
0
0
0
223
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
223
0
0
0
0
0
223
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
223
0
0
0
0
0
223
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Lithuania
Luxembourg
Malta
Netherlands
Norway
Poland
Portugal
Romania
Slovakia
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
38
0
38
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
38
0
38
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
38
0
38
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Slovenia
Spain
Sweden
United Kingdom
Australia
Canada
Hong Kong
Japan
U.S.
0
0
0
0
0
0
0
0
1,149
445
191
940
2,029
3,607
1,794
10,157
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2
9
22
33
0
0
0
0
0
0
0
0
1,019
75
154
72
194
229
46
1,790
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
1,149
445
191
940
2,029
3,607
1,794
10,157
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2
9
22
33
0
0
0
0
0
0
0
0
130
352
37
868
1,835
3,379
1,748
8,349
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2
9
22
33
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
18
0
0
0
0
0
18
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
China
Switzerland

non EEA

Middle East

Caribbean
Africa
Others
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0


Capital
Baseline Scenario
(mln EUR)
A
As of 31/12/2013
Adverse Scenario
COREP CODE
REGULATION
OWN FUNDS
8,844
9,184
9,446
9,751
8,127
7,494
7,001
CA1 {1}
A.1

8,481
8,616
8,864
9,258
7,555
6,903
6,434
CA1 {1.1.1}
Article 50 of CRR
A.1.1
8,038
8,038
8,038
8,038
8,038
8,038
8,038
CA1 {1.1.1.1}
and 42 of CRR
A.1.1.1
A.1.2
Retained earnings
-156
-136
441
1,165
-1,386
-1,703
-1,637
CA1 {1.1.1.2}
of CRR
A.1.3
-368
-421
-453
-474
-921
-723
-830
CA1 {1.1.1.3}

portfolio
-381
-381
-381
-381
-797
-517
-570
12
-40
-72
-93
-124
-205
-260
3,603
3,603
3,603
3,603
3,603
3,603
3,603
CA1 {1.1.1.4}
A.1.3.1
A.1.3.2
A.1.4
Other Reserves
A.1.5
CA1 {1.1.1.5}
A.1.6
CA1 {1.1.1.7}
Article 84 of CRR
A.1.7

CA1 {1.1.1.9}
A.1.8

305
305
228
152
638
310
228
A.1.9
-3,251
-3,251
-3,251
-3,251
-2,979
-2,998
-3,112
CA1 {1.1.1.10 +
1.1.1.11}

A.1.10
-669
-669
-669
-669
-669
-669
-669
CA1 {1.1.1.12}
A.1.11
-837
-304
-249
-215
-296
-219
-168
CA1 {1.1.1.13}
A.1.12
CA1 {1.1.1.14}
A.1.13
CA1 {1.1.1.15}
A.1.14
CA1 {1.1.1.16}
A.1.15
weight
-55
-40
-30
-26
-24
-5
-1
CA1 {1.1.1.17 to
1.1.1.21}

-55
-40
-30
-26
-24
-5
-1
CA1 {1.1.1.18.1}
(b) and 258 of CRR
OWN FUNDS
A.1.15.1
A.1.16
CA1 {1.1.1.22}
79 of CRR
A.1.17
differences
CA1 {1.1.1.23}
48(2) of CRR
A.1.18
CA1 {1.1.1.24}
49(1) to (3) and 79 of CRR
A.1.19
CA1 {1.1.1.25}
A.1.20
1,199
928
1,545
1,261
975
CA1 {1.1.1.6}
A.1.20.2
34
34
25
16
34
25
16
CA1 {1.1.1.8}
A.1.20.3

1,832
1,451
1,174
911
1,510
1,236
959
CA1 {1.1.1.26}
69
CA1 {1.1.2}
A.2

adjustments)
A.2.1
Article 470 of CRR
CA1 {1.1.1.6 + 1.1.8 +

1.1.26}

Article 61 of CRR
8,616
8,864
9,262
7,555
6,903
6,503
CA1 {1.1}
Article 25 of CRR
CA1 {1.2}
Article 71 of CRR
CA2 {1}
A.3
8,481
A.4
362
568
582
489
572
591
498
84,293
84,488
84,605
84,664
84,686
84,921
85,052
2,127

CRR
181
B.3
B.4
B.5
B.6
1,485
B.2
CAPITAL RATIOS (%)

Transitional period
1,866
A.1.20.1
B.1
OWN FUNDS
REQUIREMENTS

CET1 deduction (+)
lending to SMEs (-)
368
-226
Recital (44) of CRR
C.1
10.06%
10.20%
10.48%
10.93%
8.92%
8.13%
7.56%
CA3 {1}
C.2
10.06%
10.20%
10.48%
10.94%
8.92%
8.13%
7.65%
CA3 {3}
C.3
Total Capital ratio
10.49%
10.87%
11.16%
11.52%
9.60%
8.82%
8.23%
CA3 {5}
6,759
6,768
6,773
4,658
4,671
4,678
125
773
773
125
773
773
500
500
500
Memorandum items
F.1
9.84%

6.42%

Baseline scenario
(mln EUR)
2013
2014
2015
2016
Total
Adverse scenario
CET1 impact
Risk exposure
amount impact
CET1 impact
Risk exposure
amount impact
0
0


Baseline scenario
(mln EUR)
Adverse scenario
As of
31/12/2013
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
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#DIV/0!

Impact on Common
Equity Tier 1
Million EUR

120
Tier 1 and Tier 2
Million EUR
Losses
Million EUR

Bank Name
ES - Banco de Sabadell, S.A.
LEI Code
SI5RG2M0WQQLZCXKRM20
ES
NUK_WL_NR_XX
version
1809014
No restructuring

mln EUR, %
2,111
1,726

(1)

(1)
8,227
80,189
10.3%
mln EUR, %


2,530
3,927
8,227
(1)
80,189
(1)

92
610

Total Risk Exposure
(1)
(1)
mln EUR, %
2,111
1,726
(1)
10.3%
mln EUR, %
2,788
2,107
47
8,375
6,661
Total Risk Exposure
79,914
10.2%
Memorandum items
mln EUR
6,560
(1)
81,997
8.3%
Memorandum items
mln EUR
4,395
01/01/2014.
842
scenario (3)
01/01/2014.

Credit Risk
F-IRB
LTV % (as of
31/12/2013)
A-IRB
STA
F-IRB
A-IRB

STA
F-IRB
A-IRB
Baseline Scenario
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
2,937
0
0
0
0
0
0
0
0
0
0
0
930
0
0
3,866
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
26,043
0
12,765
25,289
18,145
4,093
14,052
793
6,350
5,396
954
0
0
0
51,332
0
0
0
8,281
0
5,902
2,564
2,077
1,157
920
0
487
465
22
0
0
0
10,845
0
23,973
1,934
10,888
3,822
5,074
33,605
30,542
3,343
27,199
262
2,801
1,138
1,663
0
2
17,875
88,276
0
58
0
3,703
453
3,077
4,316
4,233
1,254
2,979
1
82
51
30
0
0
31
8,108
0
0
1,108
0
0
0
0
0
0
0
0
0
0
0
1,959
0
0
3,067
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
17,237
0
6,958
5,158
2,996
963
2,033
75
2,087
1,731
356
0
0
0
22,395
0
0
3,251
0
2,302
1,026
770
448
322
0
256
242
14
0
0
0
4,277
783
750
7,340
3,169
3,056
12,505
10,586
880
9,706
197
1,722
599
1,123
0
1
16,711
38,090
68
1
1,564
71
1,401
3,236
3,162
743
2,419
1
73
44
29
0
0
37
4,905
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
861
0
358
298
271
37
234
6
20
7
13
0
0
0
1,158
0
0
0
3,880
0
2,605
889
520
372
148
0
369
351
19
0
0
0
4,769
0
1
5
469
87
277
921
850
87
763
6
65
24
41
0
0
5,286
6,682
0
14
3
3,239
281
2,708
2,026
1,652
624
1,027
3
371
238
133
0
0
230
5,512
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
55.2%
46.7%
56.7%
Adverse Scenario
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
Coverage
Coverage
Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Impairment rate
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.42%
0.37%
0.97%
0.50%
0.27%
0.50%
0.23%
0.59%
1.70%
1.65%
1.83%
0.00%
57
12
8,877
0
0
4,485
3,502
1,216
2,286
26
958
705
252
0
35.96%
37.12%
43.90%
28.14%
23.45%
28.36%
20.80%
40.91%
63.23%
65.28%
56.97%
-
0.35%
0.30%
0.69%
0.33%
0.15%
0.28%
0.13%
0.42%
1.31%
1.24%
1.50%
0.00%
92
22
9,191
0
0
4,755
3,630
1,268
2,363
32
1,094
800
293
0
40.44%
40.26%
43.45%
27.34%
22.51%
27.29%
20.00%
41.73%
60.19%
62.76%
53.13%
-
0.30%
0.25%
0.52%
0.26%
0.12%
0.20%
0.10%
0.32%
1.04%
0.95%
1.28%
0.00%
122
29
9,462
0
0
5,083
3,841
1,320
2,521
39
1,203
873
330
0
42.39%
41.47%
43.30%
27.11%
22.23%
26.95%
19.82%
41.81%
58.46%
61.35%
51.03%
-
1.06%
0.44%
1.40%
0.82%
0.61%
1.12%
0.51%
0.73%
1.98%
1.94%
2.07%
0.00%
122
15
9,132
0
0
4,838
3,820
1,314
2,506
28
990
730
260
0
39.57%
38.26%
44.90%
30.84%
26.42%
30.77%
24.09%
41.62%
63.30%
65.26%
57.30%
-
1.04%
0.42%
1.19%
0.62%
0.41%
0.75%
0.35%
0.63%
1.74%
1.69%
1.87%
0.00%
225
28
9,654
0
0
5,281
4,073
1,406
2,666
36
1,172
861
311
0
42.35%
41.29%
44.70%
30.39%
25.84%
29.96%
23.69%
42.84%
60.45%
62.83%
53.81%
-
0.97%
0.35%
0.90%
0.48%
0.32%
0.57%
0.28%
0.47%
1.39%
1.32%
1.58%
0.00%
319
38
10,061
0
0
5,759
4,397
1,487
2,911
45
1,317
961
356
0
43.13%
42.32%
44.63%
30.19%
25.57%
29.64%
23.50%
43.17%
58.87%
61.49%
51.97%
-
0.64%
13,431
37.65%
0.45%
14,060
36.85%
0.35%
14,697
36.52%
1.02%
14,107
39.32%
0.84%
15,187
38.85%
0.66%
16,178
38.60%
LTV % (as of
31/12/2013)
(mln EUR, %)
Spain

Institutions
Corporates
Retail
Which:
Retail - SME
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
55.4%
46.4%
57.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
2,084
0
0
0
0
0
0
0
0
0
0
0
930
0
0
3,014
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
24,478
0
11,399
24,063
16,980
4,020
12,959
776
6,308
5,357
951
0
0
0
48,542
0
Defaulted
0
0
8,187
0
5,825
2,462
1,976
1,153
823
0
486
464
22
0
0
0
10,648
0
STA
Non-defaulted
23,045
1,498
8,135
3,046
3,296
30,576
27,804
3,117
24,687
261
2,511
941
1,570
0
2
17,860
81,116
0
F-IRB
58
0
3,637
440
3,025
4,119
4,040
1,246
2,794
1
78
50
28
0
0
30
7,845
0
0
593
0
0
0
0
0
0
0
0
0
0
0
1,959
0
0
2,552

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
16,149
0
6,038
4,934
2,785
937
1,849
74
2,075
1,720
355
0
0
0
21,083
Defaulted
0
0
3,224
0
2,291
995
739
447
292
0
256
242
14
0
0
0
4,218

F-IRB
A-IRB
STA
STA
Non-defaulted
781
583
5,370
2,548
1,852
11,367
9,562
806
8,756
196
1,609
526
1,082
0
1
16,697
34,799
68
0
1,521
71
1,358
3,058
2,987
736
2,251
1
70
43
27
0
0
36
4,684
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
814
0
317
268
242
36
206
6
19
6
13
0
0
0
1,082
0
Defaulted
0
0
3,845
0
2,584
796
427
363
64
0
368
350
19
0
0
0
4,640
0
Non-defaulted
1
2
360
63
194
627
582
69
513
6
39
16
23
0
0
5,286
6,276
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
14
0
3,189
275
2,663
1,868
1,497
589
908
3
367
237
131
0
0
229
5,299
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.42%
0.30%
0.98%
0.51%
0.28%
0.51%
0.23%
0.59%
1.70%
1.65%
1.83%
0.00%
56
6
8,602
0
0
4,076
3,124
1,189
1,935
26
926
691
235
0
35.81%
45.16%
43.96%
28.59%
23.75%
28.37%
21.08%
40.34%
63.63%
65.61%
57.46%
-
0.35%
0.23%
0.69%
0.35%
0.16%
0.28%
0.13%
0.42%
1.31%
1.24%
1.49%
0.00%
90
10
8,887
0
0
4,334
3,246
1,240
2,006
31
1,057
783
274
0
40.34%
45.26%
43.51%
27.81%
22.84%
27.33%
20.31%
41.38%
60.57%
63.08%
53.53%
-
0.31%
0.19%
0.52%
0.27%
0.12%
0.21%
0.11%
0.32%
1.04%
0.95%
1.27%
0.00%
119
14
9,132
0
0
4,652
3,451
1,292
2,159
38
1,163
854
309
0
42.32%
45.30%
43.36%
27.59%
22.57%
27.00%
20.13%
41.55%
58.81%
61.66%
51.37%
-
1.05%
0.38%
1.43%
0.84%
0.62%
1.14%
0.52%
0.73%
1.98%
1.95%
2.06%
0.00%
118
7
8,843
0
0
4,408
3,424
1,285
2,138
27
958
716
242
0
39.38%
45.24%
44.96%
31.24%
26.68%
30.77%
24.33%
41.13%
63.71%
65.61%
57.79%
-
1.03%
0.35%
1.22%
0.64%
0.42%
0.76%
0.36%
0.63%
1.74%
1.69%
1.86%
0.00%
216
14
9,319
0
0
4,831
3,663
1,377
2,287
35
1,133
842
291
0
42.25%
45.35%
44.76%
30.83%
26.13%
30.00%
23.96%
42.56%
60.84%
63.18%
54.22%
-
0.96%
0.28%
0.92%
0.50%
0.33%
0.58%
0.28%
0.47%
1.39%
1.32%
1.57%
0.00%
305
19
9,689
0
0
5,288
3,972
1,457
2,515
44
1,272
937
335
0
43.06%
45.37%
44.69%
30.65%
25.88%
29.70%
23.79%
42.97%
59.24%
61.83%
52.33%
-
0.65%
12,739
37.98%
0.45%
13,322
37.19%
0.35%
13,917
36.86%
1.04%
13,377
39.62%
0.85%
14,380
39.16%
0.67%
15,302
38.91%
LTV % (as of
31/12/2013)
(mln EUR, %)
United States

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
59.6%
56.8%
60.4%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
44
0
0
0
0
0
0
0
0
0
0
0
0
0
0
44
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
223
0
192
25
20
0
19
1
4
4
1
0
0
0
247
0
0
0
0
0
0
1
1
0
1
0
0
0
0
0
0
0
1
0
656
30
1,731
439
1,189
1,014
899
207
692
0
115
80
34
0
0
1
3,432
0
0
0
14
0
14
12
10
5
5
0
2
1
1
0
0
0
26
0
0
26
0
0
0
0
0
0
0
0
0
0
0
0
0
0
26
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
127
0
119
4
3
0
2
0
1
1
0
0
0
0
131
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
11
1,269
334
863
396
329
69
260
0
67
39
28
0
0
1
1,677
0
0
14
0
14
12
10
5
5
0
2
1
1
0
0
0
26
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
4
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
73
17
56
174
168
16
151
0
7
3
4
0
0
0
247
0
0
0
6
0
6
8
7
4
2
0
2
1
1
0
0
0
14
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.22%
0.23%
0.79%
0.25%
0.09%
0.20%
0.06%
0.18%
1.69%
1.88%
1.29%
-
1
0
98
0
0
187
176
21
155
0
10
6
5
0
44.85%
45.00%
35.87%
26.52%
22.51%
28.69%
17.84%
36.41%
46.55%
54.76%
34.32%
-
0.22%
0.18%
0.59%
0.18%
0.04%
0.11%
0.03%
0.13%
1.33%
1.45%
1.08%
-
2
0
110
0
0
189
177
22
155
0
12
7
5
0
44.85%
45.00%
36.42%
23.05%
18.35%
23.53%
14.82%
37.91%
46.54%
53.78%
35.12%
-
0.22%
0.15%
0.47%
0.14%
0.03%
0.08%
0.02%
0.10%
1.09%
1.16%
0.93%
-
2
0
120
0
0
192
178
22
156
0
13
8
5
0
44.85%
45.00%
36.91%
22.05%
17.18%
21.76%
14.24%
38.13%
46.47%
53.41%
35.38%
-
1.19%
0.29%
1.09%
0.45%
0.26%
0.57%
0.18%
0.23%
2.13%
2.39%
1.53%
-
4
0
104
0
0
189
178
22
156
0
11
6
5
0
44.85%
45.00%
38.98%
30.54%
27.14%
31.60%
23.77%
37.50%
47.50%
55.23%
35.08%
-
1.19%
0.28%
1.00%
0.36%
0.17%
0.40%
0.11%
0.21%
2.04%
2.29%
1.48%
-
8
0
123
0
0
194
181
23
157
0
13
8
5
0
44.85%
45.00%
39.61%
27.00%
22.79%
25.94%
20.62%
39.27%
48.06%
54.68%
36.36%
-
1.19%
0.23%
0.79%
0.28%
0.13%
0.30%
0.09%
0.16%
1.67%
1.85%
1.28%
-
12
0
138
0
0
198
182
24
158
0
15
10
6
0
44.85%
45.00%
39.81%
25.68%
21.22%
23.85%
19.50%
39.73%
48.07%
54.32%
36.75%
-
0.54%
286
31.95%
0.40%
301
30.96%
0.32%
314
30.89%
0.87%
298
35.99%
0.79%
326
35.22%
0.65%
349
34.96%
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

Credit Risk
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
LTV % (as of
31/12/2013)
LTV % (as of
31/12/2013)
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

P&L
Baseline Scenario
31/12/2013
(mln EUR)
Net interest income
1,803
Net trading income

Adverse Scenario
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
1,803
1,803
1,803
1,743
1,803
1,797
84
93
98
61
79
89
-23
-14
-9
-46
-27
-18
1,467
183
183
183
183
183
183
2,111
919
932
937
788
870
873
-1,140
-841
-629
-637
-1,517
-1,081
-990
-1,140
-841
-629
-637
-1,517
-1,081
-990
-586
-170
-102
-68
385
77
304
300
-899
-313
-185
43
60
38
42
197
88
70
Pre-Tax profit
428
137
342
342
-702
-225
-115
Tax
-128
-41
-102
-103
211
67
34
Net income
300
96
239
240
-491
-157
-80
300
96
239
240
-491
-157
-80
260
72
120
120
-491
-157
-80

through P&L (-)
24
120
120
40

RWA
(mln EUR)
Baseline Scenario
Adverse Scenario
as of 31/12/2013
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
72,734
73,770
74,223
74,542
72,490
72,246
72,459
72,734
73,770
74,223
74,542
72,490
72,246
72,459
540
540
540
540
540
540
540
6,915
6,915
6,915
6,915
6,915
6,915
6,915
80,189
81,225
81,678
81,997
79,945
79,701
79,914

Securitisation
(mln EUR)
Exposure values
Impairments
Banking Book
Total
Banking Book
Total
Total
Baseline scenario
Adverse scenario
as of 31/12/2013
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Belgium
Bulgaria
Cyprus
Czech Republic
Denmark
Estonia
Finland
France
0
54
0
0
0
0
0
54
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
54
0
0
0
0
0
54
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
54
0
0
0
0
0
54
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Germany
Croatia
Greece
Hungary
Iceland
Ireland
Italy
Latvia
Liechtenstein
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
23
23
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
23
23
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
23
23
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Lithuania
Luxembourg
Malta
Netherlands
Norway
Poland
Portugal
Romania
Slovakia
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
19
49
68
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
98
0
98
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
19
49
68
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
98
0
98
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
19
49
68
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
98
0
98
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Slovenia
Spain
Sweden
United Kingdom
Australia
Canada
Hong Kong
Japan
U.S.
0
0
0
0
0
0
0
0
669
584
277
486
1,991
6,139
5,241
15,386
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
16
0
16
0
0
0
0
0
0
0
0
662
475
195
117
415
370
182
2,416
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
669
584
188
440
1,985
6,133
5,241
15,239
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
16
0
16
0
0
0
0
0
0
0
0
0
3
37
254
1,391
5,755
5,035
12,477
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
16
0
16
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
6
105
-44
69
180
7
24
347
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
China
Switzerland

non EEA

Middle East

Caribbean
Africa
Others
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
12
2
0
1
0
0
0
15
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
6
0
0
0
0
0
0
6
0
1
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
6
0
0
0
0
0
0
6
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
12
2
0
1
0
0
0
15
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
6
0
0
0
0
0
0
6
0
1
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
12
2
0
1
0
0
0
15
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
1
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0


Capital
Baseline Scenario
(mln EUR)
A
As of 31/12/2013
Adverse Scenario
COREP CODE
REGULATION
OWN FUNDS
9,742
9,728
9,747
9,762
8,883
8,528
8,040
CA1 {1}
A.1

8,227
8,273
8,300
8,375
7,432
7,088
6,661
CA1 {1.1.1}
Article 50 of CRR
A.1.1
6,205
6,164
6,132
6,132
6,205
6,205
6,205
CA1 {1.1.1.1}
and 42 of CRR
3,036
3,108
3,227
3,347
2,544
2,387
2,307
CA1 {1.1.1.2}
of CRR
A.1.1.1
A.1.2
Retained earnings
A.1.3
168
122
94
76
-1,511
-1,019
-1,170
CA1 {1.1.1.3}

portfolio
85
85
85
85
-1,477
-914
-1,018
83
37
10
-9
-34
-105
-152
106
106
106
106
106
106
106
CA1 {1.1.1.4}
A.1.3.1
A.1.3.2
A.1.4
Other Reserves
A.1.5
CA1 {1.1.1.5}
A.1.6
11
11
11
11
11
11
11
CA1 {1.1.1.7}
Article 84 of CRR
A.1.7

29
29
29
29
29
29
29
CA1 {1.1.1.9}
A.1.8

A.1.9
A.1.10
A.1.11
A.1.12
-68
-68
-51
-34
1,183
549
408
-1,539
-1,470
-1,400
-1,331
-1,470
-1,400
-1,331
CA1 {1.1.1.10 +
1.1.1.11}

-315
-315
-315
-315
-315
-315
-315
CA1 {1.1.1.12}
CA1 {1.1.1.13}
-1
-1
-1
-1
-1
-1
-1
CA1 {1.1.1.14}
A.1.13
CA1 {1.1.1.15}
A.1.14
CA1 {1.1.1.16}
A.1.15
weight
CA1 {1.1.1.17 to
1.1.1.21}

CA1 {1.1.1.18.1}
(b) and 258 of CRR
OWN FUNDS
A.1.15.1
A.1.16
CA1 {1.1.1.22}
79 of CRR
A.1.17
differences
CA1 {1.1.1.23}
48(2) of CRR
A.1.18
CA1 {1.1.1.24}
49(1) to (3) and 79 of CRR
A.1.19
CA1 {1.1.1.25}
A.1.20
468
355
651
536
413
CA1 {1.1.1.6}
A.1.20.2
30
30
22
16
30
22
16
CA1 {1.1.1.8}
A.1.20.3

566
557
445
340
621
514
397
CA1 {1.1.1.26}
624
680
783
841
680
783
841
CA1 {1.1.2}
A.2

adjustments)
A.2.1
Article 470 of CRR
CA1 {1.1.1.6 + 1.1.8 +

1.1.26}

Article 61 of CRR
8,952
9,084
9,216
8,112
7,871
7,501
CA1 {1.1}
Article 25 of CRR
CA1 {1.2}
Article 71 of CRR
A.3
8,852
A.4
890
775
663
546
772
656
539
80,189
81,225
81,678
81,997
79,945
79,701
79,914
2,054

CRR
Recital (44) of CRR
B.3
B.4
B.5
B.6
586
B.2
CAPITAL RATIOS (%)

Transitional period
596
A.1.20.1
B.1
OWN FUNDS
REQUIREMENTS

CET1 deduction (+)
lending to SMEs (-)
CA2 {1}
C.1
10.26%
10.18%
10.16%
10.21%
9.30%
8.89%
8.33%
CA3 {1}
C.2
11.04%
11.02%
11.12%
11.24%
10.15%
9.88%
9.39%
CA3 {3}
C.3
Total Capital ratio
12.15%
11.98%
11.93%
11.91%
11.11%
10.70%
10.06%
CA3 {5}
6,498
6,534
6,560
4,397
4,384
4,395
18
773
842
18
773
842
Memorandum items
F.1
9.78%

7.82%

Baseline scenario
Adverse scenario
CET1 impact
Risk exposure
amount impact
2013
2014
10
2015
2016
Total
(mln EUR)
CET1 impact
Risk exposure
amount impact
-244
10
-244
-244
-244
13
-488
13
-488

Restructuring plan in Banco Gallego (decrease in branches and offices) and

restructuring plan of Banco CAM (decrease in real estate exposure)

Baseline scenario
(mln EUR)
Adverse scenario
As of
31/12/2013
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!

Impact on Common
Equity Tier 1
Million EUR

Tier 1 and Tier 2
Million EUR
Losses
Million EUR

Bank Name
ES - Banco Financiero y de Ahorros, S.A.
LEI Code
549300GT0XFTFHGOIS94
ES
NUK_WL_NR_XX
version
1809014
No restructuring

mln EUR, %
2,336
1,450

(1)

(1)
11,175
105,414
10.6%
mln EUR, %


4,203
5,374
11,175
(1)
105,414
(1)

456
535

Total Risk Exposure
(1)
(1)
(1)
10.6%
mln EUR, %
6,155
3,015
283
13,490
10,225
Total Risk Exposure
99,309
14.3%
Memorandum items
mln EUR
7,550
10.3%
Memorandum items
mln EUR
mln EUR, %
2,336
1,450
5,462
scenario (3)
(1)
94,372
01/01/2014.
01/01/2014.

Credit Risk
F-IRB
LTV % (as of
31/12/2013)
A-IRB
STA
F-IRB
A-IRB

STA
F-IRB
A-IRB
Baseline Scenario
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
2,728
0
0
0
0
0
0
0
0
0
0
0
2,107
2,835
0
7,670
0
0
212
0
0
0
0
0
0
0
0
0
0
0
76
0
0
288
0
0
9,030
25,332
0
6,485
54,024
47,530
1,332
46,198
2,806
3,688
1,694
1,994
0
0
0
88,386
22
0
153
6,627
0
3,110
5,201
4,661
618
4,042
21
519
294
224
0
0
0
11,981
0
79,020
7,560
9,950
6,372
2,789
27,256
25,129
2,173
22,956
170
1,957
1,006
952
0
2,010
12,512
138,308
18
0
43
3,744
1,214
1,962
2,120
1,996
429
1,566
4
120
83
37
0
0
2,464
8,371
0
0
2,270
0
0
0
0
0
0
0
0
0
0
0
5,646
770
0
8,686
0
0
0
0
0
0
0
0
0
0
0
0
0
193
0
0
193
0
3,134
15,184
0
4,303
17,758
15,168
533
14,635
715
1,875
858
1,017
0
0
0
36,075
0
71
1,844
0
729
1,236
1,146
69
1,077
1
89
73
16
0
0
0
3,150
760
1,232
8,591
5,439
2,007
11,772
10,273
1,594
8,679
127
1,372
609
764
0
1,715
14,335
38,405
0
52
2,669
0
2,076
2,223
2,085
451
1,634
4
134
94
39
0
0
2,485
7,429
0
22
0
0
0
0
0
0
0
0
0
0
0
0
96
0
118
0
0
84
0
0
0
0
0
0
0
0
0
0
0
0
0
0
84
0
0
4
636
0
181
194
166
22
143
3
25
18
7
0
0
0
834
0
0
29
3,302
0
1,671
1,706
1,446
224
1,221
11
249
141
108
0
0
0
5,037
0
33
14
397
113
216
162
120
36
83
1
42
13
28
0
174
1,094
1,873
0
0
12
2,892
726
1,819
1,142
1,029
250
779
4
109
83
26
0
0
19
4,067
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
(mln EUR, %)
ES - Banco Financiero y de
Ahorros, S.A.

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
59.3%
49.5%
59.9%
Adverse Scenario
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
Coverage
Coverage
Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Impairment rate
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.28%
0.50%
1.14%
0.39%
0.33%
0.20%
0.34%
0.68%
1.01%
1.07%
0.96%
3.90%
136
218
7,606
0
0
3,637
3,080
554
2,527
43
514
285
230
82
36.25%
32.61%
54.54%
37.48%
35.64%
44.15%
34.20%
55.14%
54.14%
56.15%
51.41%
49.00%
0.29%
0.41%
0.97%
0.34%
0.28%
0.31%
0.28%
0.62%
1.00%
1.13%
0.89%
2.47%
241
266
7,982
0
0
3,882
3,261
556
2,705
60
561
307
255
94
36.21%
33.61%
52.75%
36.15%
34.20%
43.44%
32.78%
53.24%
53.12%
55.16%
50.51%
730.17%
0.29%
0.34%
0.81%
0.31%
0.26%
0.27%
0.26%
0.56%
0.92%
1.06%
0.80%
1.81%
343
310
8,321
0
0
4,112
3,430
563
2,867
74
607
328
279
99
36.18%
34.20%
51.14%
35.15%
33.12%
42.60%
31.75%
52.38%
52.10%
53.89%
49.89%
531.31%
0.78%
0.60%
1.61%
0.64%
0.54%
0.36%
0.55%
0.94%
1.75%
2.26%
1.28%
5.06%
322
228
7,770
0
0
3,985
3,378
563
2,815
50
556
317
240
107
42.55%
32.26%
53.65%
38.61%
36.92%
42.85%
35.92%
54.28%
53.07%
54.61%
50.81%
54.70%
0.93%
0.65%
1.92%
0.66%
0.57%
0.63%
0.57%
0.88%
1.74%
2.18%
1.39%
3.86%
650
302
8,428
0
0
4,460
3,747
574
3,173
75
639
360
279
124
42.43%
33.27%
50.89%
36.72%
34.86%
41.53%
33.87%
52.91%
52.07%
53.72%
49.80%
628.53%
0.93%
0.61%
1.62%
0.63%
0.56%
0.63%
0.56%
0.77%
1.59%
2.03%
1.26%
2.84%
972
374
8,989
0
0
4,896
4,090
587
3,502
94
712
398
314
132
42.46%
33.85%
48.66%
35.32%
33.38%
40.34%
32.44%
52.24%
50.92%
52.33%
49.03%
462.76%
0.57%
11,679
46.85%
0.48%
12,465
45.42%
0.43%
13,185
43.98%
0.92%
12,411
46.75%
1.00%
13,964
44.66%
0.93%
15,365
42.82%
LTV % (as of
31/12/2013)
(mln EUR, %)
Spain

Institutions
Corporates
Retail
Which:
Retail - SME
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
59.4%
46.9%
60.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
2,728
0
0
0
0
0
0
0
0
0
0
0
2,107
1,835
0
6,669
0
0
212
0
0
0
0
0
0
0
0
0
0
0
76
0
0
288
0
Non-defaulted
0
4,312
22,432
0
6,126
53,615
47,149
1,330
45,819
2,793
3,673
1,683
1,990
0
0
0
80,359
22
Defaulted
0
141
6,155
0
2,734
5,134
4,596
610
3,986
21
517
294
223
0
0
0
11,430
0
STA
Non-defaulted
60,284
7,525
7,514
4,160
2,605
25,482
23,643
1,708
21,935
169
1,670
751
919
0
2,010
10,937
113,753
18
F-IRB
0
43
3,114
628
1,918
2,038
1,915
426
1,489
4
119
82
37
0
0
2,464
7,659
0
0
2,270
0
0
0
0
0
0
0
0
0
0
0
5,646
693
0
8,608

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
193
0
0
193
Non-defaulted
0
2,631
13,903
0
4,067
17,636
15,058
532
14,525
711
1,867
853
1,015
0
0
0
34,170
Defaulted
0
65
1,685
0
610
1,216
1,126
66
1,060
1
89
73
15
0
0
0
2,965

F-IRB
A-IRB
STA
STA
Non-defaulted
575
1,232
6,596
3,618
1,871
10,997
9,641
1,364
8,278
127
1,229
482
747
0
1,715
12,889
34,003
0
52
2,619
0
2,028
2,139
2,003
448
1,555
4
132
93
39
0
0
2,485
7,295
0
22
0
0
0
0
0
0
0
0
0
0
0
0
6
0
28
0
Defaulted
0
84
0
0
0
0
0
0
0
0
0
0
0
0
0
0
84
0
Non-defaulted
0
4
598
0
174
191
163
22
141
3
24
18
7
0
0
0
793
0
Defaulted
0
20
2,933
0
1,343
1,682
1,423
219
1,204
11
247
141
107
0
0
0
4,636
0
Non-defaulted
33
14
323
43
212
148
109
32
77
1
39
11
28
0
174
1,094
1,786
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
12
2,626
494
1,784
1,109
998
249
749
4
107
82
26
0
0
19
3,767
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.30%
0.79%
1.26%
0.40%
0.34%
0.23%
0.34%
0.68%
1.04%
1.14%
0.95%
3.90%
135
208
6,839
0
0
3,558
3,009
543
2,466
42
506
279
227
82
36.15%
32.17%
54.24%
37.53%
35.68%
44.30%
34.22%
55.12%
54.17%
56.24%
51.39%
49.00%
0.31%
0.64%
1.07%
0.34%
0.28%
0.31%
0.28%
0.62%
1.00%
1.13%
0.89%
2.47%
238
255
7,204
0
0
3,806
3,190
548
2,643
59
556
302
253
94
36.11%
33.63%
52.39%
36.16%
34.20%
43.34%
32.78%
53.23%
52.82%
54.70%
50.43%
730.17%
0.30%
0.54%
0.88%
0.31%
0.26%
0.27%
0.26%
0.56%
0.92%
1.06%
0.80%
1.81%
339
297
7,533
0
0
4,033
3,358
555
2,803
74
601
324
277
99
36.07%
34.56%
50.76%
35.17%
33.13%
42.50%
31.76%
52.38%
51.84%
53.47%
49.82%
531.31%
0.66%
0.93%
1.76%
0.64%
0.54%
0.41%
0.55%
0.94%
1.78%
2.38%
1.27%
5.06%
255
217
6,989
0
0
3,895
3,299
552
2,747
50
546
309
237
107
37.25%
32.06%
53.34%
38.68%
36.99%
43.07%
35.96%
54.25%
53.13%
54.76%
50.79%
54.70%
0.80%
1.02%
2.09%
0.66%
0.57%
0.62%
0.57%
0.88%
1.73%
2.18%
1.39%
3.86%
516
288
7,620
0
0
4,371
3,665
566
3,099
74
631
354
277
124
37.50%
33.82%
50.54%
36.75%
34.90%
41.44%
33.92%
52.91%
51.73%
53.19%
49.73%
628.53%
0.80%
0.97%
1.77%
0.62%
0.55%
0.62%
0.55%
0.75%
1.56%
1.99%
1.24%
2.84%
772
357
8,162
0
0
4,794
3,997
580
3,417
93
704
391
312
132
37.60%
34.90%
48.31%
35.43%
33.50%
40.25%
32.57%
52.25%
50.67%
51.93%
48.99%
462.76%
0.61%
10,821
46.36%
0.51%
11,597
44.93%
0.45%
12,300
43.52%
0.94%
11,464
46.22%
1.01%
12,919
44.06%
0.94%
14,216
42.24%
LTV % (as of
31/12/2013)
(mln EUR, %)
Luxembourg

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
42.3%
2.7%
42.6%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
66
332
0
0
1
1
0
1
0
0
0
0
0
0
0
400
0
0
0
33
0
33
1
1
0
1
0
0
0
0
0
0
0
34
0
15,075
34
35
0
0
1
1
0
1
0
0
0
0
0
0
0
15,146
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
162
0
0
0
0
0
0
0
0
0
0
0
0
0
162
0
0
8
0
8
0
0
0
0
0
0
0
0
0
0
0
9
0
0
35
0
0
1
1
0
0
0
0
0
0
0
0
0
36
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
25
0
25
0
0
0
0
0
0
0
0
0
0
0
26
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.13%
0.48%
0.06%
0.04%
0.12%
0.04%
0.59%
0.81%
3.92%
0.64%
-
0
0
26
0
0
0
0
0
0
0
0
0
0
0
32.80%
70.76%
41.53%
41.53%
6.52%
41.56%
48.82%
28.68%
47.08%
26.17%
-
0.13%
0.49%
0.05%
0.04%
0.12%
0.04%
0.55%
0.76%
3.76%
0.60%
-
0
0
27
0
0
0
0
0
0
0
0
0
0
0
32.60%
65.38%
41.06%
41.06%
6.53%
41.10%
48.81%
26.68%
51.25%
23.51%
-
0.13%
0.46%
0.05%
0.04%
0.11%
0.03%
0.51%
0.71%
3.71%
0.55%
-
0
0
28
0
0
0
0
0
0
0
0
0
0
0
32.41%
60.46%
40.65%
40.65%
6.54%
40.70%
48.83%
25.86%
53.88%
22.39%
-
0.22%
0.71%
0.09%
0.07%
0.20%
0.07%
0.69%
0.97%
5.35%
0.72%
-
0
0
26
0
0
0
0
0
0
0
0
0
0
0
34.09%
68.32%
45.84%
45.85%
6.99%
45.89%
49.30%
29.06%
53.54%
25.44%
-
0.32%
0.91%
0.10%
0.08%
0.23%
0.08%
0.79%
1.06%
5.25%
0.84%
-
0
0
28
0
0
0
0
0
0
0
0
0
0
0
34.34%
60.06%
44.97%
44.97%
6.99%
45.05%
49.48%
27.19%
54.32%
23.43%
-
0.31%
0.88%
0.08%
0.07%
0.21%
0.06%
0.67%
0.93%
5.12%
0.72%
-
0
1
29
0
0
0
0
0
0
0
0
0
0
0
34.14%
53.61%
44.31%
44.32%
7.00%
44.42%
49.48%
26.46%
55.22%
22.58%
-
0.36%
27
69.77%
0.37%
27
64.40%
0.35%
28
59.54%
0.54%
27
67.40%
0.71%
29
59.17%
0.69%
30
52.83%
LTV % (as of
31/12/2013)
(mln EUR, %)
United States

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
59.7%
60.0%
59.1%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
396
48
0
24
14
13
0
13
1
1
0
0
0
0
0
458
0
Defaulted
STA
Non-defaulted
0
0
16
0
16
0
0
0
0
0
0
0
0
0
0
0
17
0
1,145
0
450
334
116
994
708
459
249
0
285
254
32
0
0
1,574
4,163
0
F-IRB
0
0
440
435
4
7
7
1
5
0
1
0
0
0
0
0
447
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
36
23
0
17
3
2
0
2
0
0
0
0
0
0
0
62
Defaulted
0
0
8
0
8
0
0
0
0
0
0
0
0
0
0
0
8

F-IRB
A-IRB
STA
STA
Non-defaulted
183
0
366
298
68
495
353
229
124
0
142
126
16
0
0
1,446
2,489
0
0
6
0
5
7
6
1
5
0
1
1
0
0
0
0
13
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
1
0
1
0
0
0
0
0
0
0
0
0
0
0
1
0
Defaulted
0
0
16
0
16
0
0
0
0
0
0
0
0
0
0
0
16
0
Non-defaulted
0
0
15
14
1
11
8
4
4
0
3
2
0
0
0
0
26
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
142
139
2
3
2
1
2
0
0
0
0
0
0
0
144
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.01%
0.04%
0.34%
0.16%
0.01%
0.00%
0.02%
0.77%
0.56%
0.43%
1.56%
-
0
0
175
0
0
16
11
5
6
0
5
4
1
0
36.25%
25.33%
34.78%
30.59%
24.44%
20.78%
29.44%
89.13%
41.89%
41.94%
41.67%
-
0.01%
0.04%
0.18%
0.27%
0.15%
0.15%
0.70%
1.67%
1.72%
1.47%
-
0
0
176
0
0
9
8
2
6
0
1
1
0
0
36.25%
25.69%
35.61%
77.40%
73.65%
73.65%
100.00%
100.00%
100.00%
100.00%
-
0.01%
0.03%
0.17%
0.25%
0.14%
0.14%
0.63%
1.57%
1.64%
1.31%
-
0
0
178
0
0
9
8
2
6
0
1
1
0
0
36.25%
25.29%
35.75%
74.01%
70.53%
70.53%
85.86%
94.29%
94.59%
91.59%
-
0.01%
0.08%
0.77%
0.34%
0.01%
0.00%
0.02%
0.88%
1.19%
1.11%
1.77%
-
0
0
178
0
0
17
11
5
6
0
6
6
1
0
37.17%
26.17%
34.86%
30.57%
23.85%
20.41%
30.08%
88.09%
42.26%
42.37%
41.68%
-
0.02%
0.09%
0.84%
0.45%
0.25%
0.25%
0.97%
2.82%
3.04%
1.91%
-
0
1
181
0
0
8
7
1
6
0
1
1
0
0
37.17%
26.59%
35.91%
78.46%
73.90%
73.90%
100.00%
100.00%
100.00%
100.00%
-
0.02%
0.09%
0.46%
0.38%
0.21%
0.21%
0.81%
2.51%
2.75%
1.59%
-
0
1
184
0
0
8
7
1
6
0
1
1
0
0
37.17%
26.32%
36.11%
74.57%
70.28%
70.28%
85.96%
94.30%
94.57%
91.20%
-
0.12%
191
34.50%
0.11%
186
35.96%
0.09%
188
36.07%
0.26%
195
34.50%
0.43%
190
36.29%
0.23%
193
36.44%
LTV % (as of
31/12/2013)
(mln EUR, %)
France

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
51.2%
38.5%
51.4%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
940
315
0
0
17
15
0
15
1
1
1
0
0
0
0
1,271
0
0
0
31
0
0
2
2
0
2
0
0
0
0
0
0
0
33
0
1,514
1
94
94
0
18
18
0
18
0
0
0
0
0
0
0
1,627
0
0
0
6
0
6
2
2
0
2
0
0
0
0
0
0
0
8
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
19
143
0
0
4
4
0
3
0
0
0
0
0
0
0
167
0
0
14
0
0
1
1
0
1
0
0
0
0
0
0
0
15
0
0
73
73
0
7
7
0
7
0
0
0
0
0
0
0
80
0
0
9
0
9
2
2
0
2
0
0
0
0
0
0
0
11
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
18
0
0
0
0
0
0
0
0
0
0
0
0
0
18
0
0
0
18
0
0
1
1
0
1
0
0
0
0
0
0
0
19
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
1
1
1
0
1
0
0
0
0
0
0
0
2
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.02%
0.01%
0.33%
0.17%
0.13%
0.80%
0.12%
0.94%
0.76%
0.72%
0.97%
-
0
0
40
0
0
2
2
0
2
0
0
0
0
0
45.00%
3.13%
50.07%
41.08%
40.68%
18.71%
40.80%
55.52%
71.33%
48.76%
82.32%
-
0.02%
0.01%
0.37%
0.15%
0.11%
0.68%
0.10%
0.84%
0.91%
0.91%
0.89%
-
1
0
43
0
0
2
2
0
2
0
0
0
0
0
45.00%
3.11%
49.15%
39.78%
39.33%
18.53%
39.53%
52.77%
62.96%
47.24%
77.85%
-
0.02%
0.01%
0.39%
0.14%
0.10%
0.64%
0.09%
0.75%
0.94%
0.96%
0.83%
-
1
0
46
0
0
2
2
0
2
0
0
0
0
0
45.00%
3.09%
48.10%
38.77%
38.26%
18.41%
38.52%
51.73%
58.47%
46.43%
74.62%
-
3.93%
0.01%
1.04%
0.35%
0.29%
1.38%
0.27%
1.12%
1.58%
1.67%
1.08%
-
63
0
41
0
0
2
2
0
2
0
0
0
0
0
98.02%
3.31%
50.10%
41.78%
41.39%
18.50%
41.60%
54.93%
64.63%
49.06%
80.79%
-
4.09%
0.02%
1.21%
0.41%
0.30%
1.16%
0.29%
1.23%
2.86%
3.16%
1.23%
-
127
0
47
0
0
2
2
0
2
0
0
0
0
0
98.02%
3.34%
49.12%
38.83%
38.28%
18.27%
38.56%
52.59%
56.22%
48.46%
74.93%
-
4.27%
0.02%
1.10%
0.36%
0.26%
1.08%
0.25%
1.01%
2.88%
3.23%
1.05%
-
190
0
51
0
0
2
2
0
2
0
0
0
0
0
98.02%
3.32%
47.74%
37.01%
36.32%
18.11%
36.64%
51.76%
53.03%
47.77%
71.21%
-
0.05%
42
47.08%
0.05%
45
44.56%
0.05%
49
42.38%
2.33%
107
74.95%
2.36%
176
79.38%
2.34%
244
81.15%
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

Credit Risk
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
LTV % (as of
31/12/2013)
LTV % (as of
31/12/2013)
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

P&L
Baseline Scenario
31/12/2013
Adverse Scenario
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
2,936
3,129
3,144
2,533
2,533
2,533
-171
-114
-86
-257
-166
-120
-142
-85
-57
-228
-137
-91
743
-202
-193
-186
-203
-194
-187
2,336
1,807
2,142
2,205
1,283
1,437
1,483
-1,393
-1,253
-830
-730
-2,017
-1,613
-1,420
-1,385
-1,253
-830
-730
-2,017
-1,613
-1,420
-8
-57
-118
-42
-42
-171
-76
-76
886
436
1,270
1,433
-906
-252
-13
376
1,047
59
44
894
1,262
1,483
1,329
1,477
-12
-244
-13
835
-315
-386
-430
121
73
Net income
2,097
1,168
943
1,047
109
-171
-9
1,919
945
671
758
196
-93
36
1,919
945
671
758
196
-93
36
(mln EUR)
Net interest income
2,533
Net trading income

through P&L (-)
Pre-Tax profit
Tax
0
0
0
0

RWA
(mln EUR)
Baseline Scenario
Adverse Scenario
as of 31/12/2013
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
93,938
88,200
85,970
82,896
90,147
89,223
87,306
2,485
3,732
4,086
4,322
5,066
6,220
6,989
91,452
84,467
81,884
78,574
85,081
83,003
80,317
2,742
2,742
2,742
2,742
3,268
3,268
3,268
8,666
8,666
8,666
8,666
8,666
8,666
8,666
69
69
69
69
69
69
69
105,414
99,676
97,446
94,372
102,150
101,226
99,309

Securitisation
(mln EUR)
Exposure values
Impairments
Banking Book
Total
Banking Book
Total
Total
Baseline scenario
Adverse scenario
as of 31/12/2013
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
4,846
0
0
4,846
2,485
0
2,485
270
0
3,732
0
3,732
283
0
4,086
0
4,086
295
0
4,322
0
4,322
305
0
5,066
0
5,066
291
0
6,220
0
6,220
314
0
6,989
0
6,989
334
0
270
283
295
305
291
314
334

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Belgium
Bulgaria
Cyprus
Czech Republic
Denmark
Estonia
Finland
France
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
998
792
1,790
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
998
792
1,790
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Germany
Croatia
Greece
Hungary
Iceland
Ireland
Italy
Latvia
Liechtenstein
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1,038
0
0
0
0
1,038
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1,038
0
0
0
0
1,038
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Lithuania
Luxembourg
Malta
Netherlands
Norway
Poland
Portugal
Romania
Slovakia
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Slovenia
Spain
Sweden
United Kingdom
Australia
Canada
Hong Kong
Japan
U.S.
0
0
0
0
0
0
0
0
645
5,796
3,214
9,075
2,572
7,711
8,500
37,513
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
1
0
0
0
0
0
0
0
0
610
903
541
323
426
1,004
1,096
4,903
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
630
5,788
3,214
9,009
2,564
7,649
8,447
37,301
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
1
0
0
0
0
0
0
0
0
1
3,756
2,430
7,093
1,130
6,363
4,242
25,015
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
1
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
9
13
2
5
-1
-38
25
16
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
4
15
3
21
410
392
0
846
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2
13
60
75
149
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
23
0
25
0
48
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
China
Switzerland

non EEA

Middle East

Caribbean
Africa
Others
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0


Capital
Baseline Scenario
(mln EUR)
A
As of 31/12/2013
Adverse Scenario
OWN FUNDS
11,548
12,727
13,619
14,305
11,489
11,068
10,593
A.1

11,175
12,287
12,983
13,490
11,177
10,677
A.1.1
17,959
17,959
17,959
17,959
17,959
17,959
1,919
2,864
3,535
4,293
A.1.1.1
COREP CODE
REGULATION
CA1 {1}
10,225
CA1 {1.1.1}
Article 50 of CRR
17,959
CA1 {1.1.1.1}
and 42 of CRR
2,115
2,022
2,058
CA1 {1.1.1.2}
of CRR
A.1.2
Retained earnings
A.1.3
723
725
729
732
-950
-544
-784
CA1 {1.1.1.3}

portfolio
230
230
230
230
-1,248
-727
-891
493
495
500
503
297
183
107
-11,775
-11,751
-11,751
-11,751
-11,751
-11,751
-11,751
CA1 {1.1.1.4}
CA1 {1.1.1.5}
2,947
2,668
2,617
2,549
3,103
2,959
3,076
CA1 {1.1.1.7}
Article 84 of CRR
CA1 {1.1.1.9}
A.1.3.1
A.1.3.2
A.1.4
Other Reserves
A.1.5
A.1.6
A.1.7

A.1.8

-230
-230
-138
-92
998
436
356
A.1.9
-311
-228
-228
-228
-228
-228
-228
A.1.10
-2,065
-2,065
-2,065
-2,065
-2,065
-2,130
-2,130
CA1 {1.1.1.12}
A.1.11
CA1 {1.1.1.13}
A.1.12
CA1 {1.1.1.14}
A.1.13
CA1 {1.1.1.15}
A.1.14
-2
-11
CA1 {1.1.1.16}
A.1.15
weight
-39
-39
-39
-39
-39
-39
-39
CA1 {1.1.1.17 to
1.1.1.21}

-39
-39
-39
-39
-39
-39
-39
CA1 {1.1.1.18.1}
(b) and 258 of CRR
CA1 {1.1.1.10 +
1.1.1.11}

OWN FUNDS
A.1.15.1
A.1.16
CA1 {1.1.1.22}
79 of CRR
A.1.17
differences
CA1 {1.1.1.23}
48(2) of CRR
A.1.18
CA1 {1.1.1.24}
49(1) to (3) and 79 of CRR
A.1.19
CA1 {1.1.1.25}
A.1.20
A.1.20.1
A.1.20.2
A.1.20.3

2,364
2,132
2,046
1,992
1,708
CA1 {1.1.1.6}
370
742
750
643
147
150
35
CA1 {1.1.1.8}
1,680
1,642
1,613
1,489
1,899
1,842
1,673
CA1 {1.1.1.26}
Article 470 of CRR
CA1 {1.1.1.6 + 1.1.8 +

1.1.26}

0
27
131
228
84
69
CA1 {1.1.2}
A.2.1
12,315
13,114
13,718
11,177
10,761
10,295
CA1 {1.1}
Article 25 of CRR
CA1 {1.2}
Article 71 of CRR
Article 61 of CRR
A.3
11,175
A.4
373
412
505
586
312
307
298
105,414
99,676
97,446
94,372
102,150
101,226
99,309
2,246

CRR
1,166
B.3
B.4
B.5
B.6
2,384

adjustments)
B.2
CAPITAL RATIOS (%)

Transitional period
2,050
A.2
B.1
OWN FUNDS
REQUIREMENTS

CET1 deduction (+)
lending to SMEs (-)
CA2 {1}
750
-1,651
Recital (44) of CRR
C.1
10.60%
12.33%
13.32%
14.29%
10.94%
10.55%
10.30%
CA3 {1}
C.2
10.60%
12.35%
13.46%
14.54%
10.94%
10.63%
10.37%
CA3 {3}
C.3
Total Capital ratio
10.96%
12.77%
13.98%
15.16%
11.25%
10.93%
10.67%
CA3 {5}
7,974
7,796
7,550
5,618
5,567
5,462
Memorandum items
F.1
12.04%

8.58%

Baseline scenario
Adverse scenario
CET1 impact
Risk exposure
amount impact
2013
2014
1,173
2015
2016
Total
(mln EUR)
CET1 impact
Risk exposure
amount impact
-7,092
794
-7,133
622
-183
194
-433
626
-844
190
-741
2,421
-8,119
1,177
-8,307

Balance sheet deleveraging, cost savings (branch and workforce reduction)

and sale of equity stakes.

Baseline scenario
(mln EUR)
Adverse scenario
As of
31/12/2013
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!

Impact on Common
Equity Tier 1
Million EUR

1,158
-167
Tier 1 and Tier 2
Million EUR
Losses
Million EUR

Bank Name
ES - Liberbank, S.A.
LEI Code
635400XT3V7WHLSFYY25
ES
NUK_WL_NR_XX
version
1809014
No restructuring

mln EUR, %
418
668

(1)

(1)
Total Risk Exposure
7.8%
659
1,092
2
18,143
113
(1)
(1)
1,419
mln EUR, %


1,419
(1)
18,143
(1)

mln EUR, %
418
668
(1)
1,040
Total Risk Exposure
18,511
(1)
7.8%
mln EUR, %
1,096
437
77
1,762
18,773
9.4%
5.6%
Memorandum items
mln EUR
1,018
Memorandum items
435
scenario (3)
mln EUR
1,502
01/01/2014.
01/01/2014.

Credit Risk
F-IRB
LTV % (as of
31/12/2013)
A-IRB
STA
F-IRB
A-IRB

STA
F-IRB
A-IRB
Baseline Scenario
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
15,163
1,953
2,898
520
1,228
17,398
15,552
772
14,779
152
1,695
749
945
553
49
3,514
41,528
18
2,082
0
649
53
313
963
804
161
643
4
155
122
33
0
0
1
3,695
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
270
526
2,747
511
1,192
7,461
6,211
493
5,718
113
1,137
428
709
553
148
2,595
14,299
7
0
656
48
315
1,024
854
172
682
4
166
133
32
0
0
1
1,688
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
45
1
90
8
17
21
15
7
8
0
7
3
4
0
0
0
157
0
1,566
0
674
142
256
373
207
53
154
14
153
105
48
0
0
0
2,614
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
65.2%
53.4%
65.9%
Adverse Scenario
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
Coverage
Coverage
Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Impairment rate
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.00%
0.00%
3.65%
0.31%
0.16%
0.45%
0.14%
1.09%
1.63%
1.94%
1.39%
0.00%
1,613
1
1,033
0
0
507
300
63
237
16
191
122
69
0
42.93%
0.10%
48.13%
27.38%
20.96%
19.47%
21.40%
76.53%
44.91%
40.31%
56.83%
-
0.00%
0.00%
2.88%
0.18%
0.08%
0.27%
0.08%
0.80%
1.18%
1.38%
1.05%
0.00%
1,613
1
1,110
0
0
541
316
66
250
18
207
130
77
0
42.91%
0.10%
47.26%
26.28%
20.02%
17.70%
20.73%
73.89%
43.07%
38.42%
54.57%
-
0.00%
0.00%
2.34%
0.14%
0.05%
0.18%
0.05%
0.61%
0.93%
1.06%
0.82%
0.00%
1,613
1
1,169
0
0
564
325
67
258
19
220
137
84
0
42.90%
0.10%
46.78%
25.68%
19.45%
16.66%
20.34%
72.08%
41.83%
37.10%
53.25%
-
1.25%
0.00%
5.29%
0.51%
0.29%
0.80%
0.26%
1.73%
2.40%
2.69%
2.18%
0.00%
1,781
1
1,129
0
0
581
356
67
289
18
207
129
79
0
43.84%
0.20%
51.08%
29.26%
23.32%
19.44%
24.43%
77.84%
45.58%
40.34%
58.33%
-
0.68%
0.00%
4.66%
0.37%
0.20%
0.55%
0.18%
1.71%
2.16%
2.13%
2.18%
0.00%
1,875
1
1,246
0
0
641
385
71
314
20
235
140
95
0
44.00%
0.15%
50.21%
27.65%
21.70%
17.64%
22.86%
74.07%
43.95%
38.47%
55.96%
-
1.30%
0.00%
4.13%
0.29%
0.12%
0.40%
0.11%
1.35%
1.80%
1.81%
1.79%
0.00%
1,974
1
1,338
0
0
685
403
73
330
22
259
151
108
0
44.88%
0.13%
49.78%
26.94%
20.89%
16.57%
22.17%
71.75%
42.90%
37.23%
54.72%
-
0.44%
3,155
40.50%
0.29%
3,265
39.84%
0.27%
3,348
39.45%
1.13%
3,492
42.07%
0.77%
3,763
41.36%
0.85%
3,998
41.38%
LTV % (as of
31/12/2013)
(mln EUR, %)
Spain

Institutions
Corporates
Retail
Which:
Retail - SME
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.00%
0.00%
3.65%
0.31%
0.16%
0.45%
0.14%
1.09%
1.63%
1.94%
1.39%
0.00%
1,613
1
1,033
0
0
507
300
63
237
16
191
122
69
0
42.93%
0.00%
48.13%
27.38%
20.96%
19.47%
21.40%
76.53%
44.91%
40.31%
56.83%
-
0.00%
0.00%
2.88%
0.18%
0.08%
0.27%
0.08%
0.80%
1.18%
1.38%
1.05%
0.00%
1,613
1
1,110
0
0
541
316
66
250
18
207
130
77
0
42.91%
0.01%
47.26%
26.28%
20.02%
17.70%
20.73%
73.89%
43.07%
38.42%
54.57%
-
0.00%
0.00%
2.34%
0.14%
0.05%
0.18%
0.05%
0.61%
0.93%
1.06%
0.82%
0.00%
1,613
1
1,169
0
0
564
325
67
258
19
220
137
84
0
42.90%
0.10%
46.78%
25.68%
19.45%
16.66%
20.34%
72.08%
41.83%
37.10%
53.25%
-
1.25%
0.00%
5.29%
0.51%
0.29%
0.80%
0.26%
1.73%
2.40%
2.69%
2.18%
0.00%
1,780
1
1,129
0
0
581
356
67
289
18
207
129
79
0
43.80%
0.10%
51.08%
29.26%
23.32%
19.44%
24.43%
77.84%
45.58%
40.34%
58.33%
-
0.69%
0.00%
4.66%
0.37%
0.20%
0.55%
0.18%
1.71%
2.16%
2.13%
2.18%
0.00%
1,874
1
1,246
0
0
641
385
71
314
20
235
140
95
0
43.97%
0.05%
50.21%
27.65%
21.70%
17.64%
22.86%
74.07%
43.95%
38.47%
55.96%
-
1.31%
0.00%
4.13%
0.29%
0.12%
0.40%
0.11%
1.35%
1.80%
1.81%
1.79%
0.00%
1,973
1
1,338
0
0
685
403
73
330
22
259
151
108
0
44.85%
0.03%
49.78%
26.94%
20.89%
16.57%
22.17%
71.75%
42.90%
37.23%
54.72%
-
0.44%
3,155
40.50%
0.29%
3,265
39.84%
0.27%
3,348
39.45%
1.14%
3,491
42.05%
0.77%
3,762
41.35%
0.85%
3,997
41.37%
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

Credit Risk
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
LTV % (as of
31/12/2013)
LTV % (as of
31/12/2013)
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

P&L
Baseline Scenario
31/12/2013
(mln EUR)
Net interest income
417
Net trading income

Adverse Scenario
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
474
482
545
374
364
459
33
48
56
15
38
49
-39
-23
-15
-56
-34
-23
284
11
36
48
-17
19
36
418
289
352
455
138
191
330
-666
-193
-160
-84
-533
-320
-238

through P&L (-)
-634
-193
-160
-84
-533
-320
-238
-32
-2
-250
96
193
371
-396
-129
92
53
39
88
42
40
88
42
-197
135
281
413
-356
-41
135
Tax
102
-31
-72
-112
119
37
-29
Net income
-95
104
208
302
-237
-5
106
-84
104
208
302
-237
-5
106
-84
104
208
302
-237
-5
106

Pre-Tax profit
0
0
0
0

RWA
(mln EUR)
Baseline Scenario
Adverse Scenario
as of 31/12/2013
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
16,222
16,097
16,470
17,240
16,035
16,444
17,250
148
173
180
186
186
202
212
16,074
15,924
16,289
17,054
15,849
16,242
17,038
1
1,196
1,857
1,546
1,463
1,470
1,451
1,268
63
63
63
63
63
63
63
18,143
17,706
17,997
18,773
17,550
17,776
18,511

Securitisation
(mln EUR)
Exposure values
Impairments
Banking Book
Total
Banking Book
Total
Total
Baseline scenario
Adverse scenario
as of 31/12/2013
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
49
0
0
49
148
0
148
49
0
173
0
173
51
0
180
0
180
53
0
186
0
186
54
0
186
0
186
52
0
202
0
202
55
0
212
0
212
58
0
49
51
53
54
52
55
58

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Belgium
Bulgaria
Cyprus
Czech Republic
Denmark
Estonia
Finland
France
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Germany
Croatia
Greece
Hungary
Iceland
Ireland
Italy
Latvia
Liechtenstein
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
10
10
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
10
10
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Lithuania
Luxembourg
Malta
Netherlands
Norway
Poland
Portugal
Romania
Slovakia
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Slovenia
Spain
Sweden
United Kingdom
Australia
Canada
Hong Kong
Japan
U.S.
0
0
0
0
0
0
0
0
1,626
916
3,253
1,398
2,762
2,175
491
12,622
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
111
196
127
100
234
311
264
1,344
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
1,626
916
3,253
1,398
2,762
2,175
491
12,622
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
91
1,260
319
51
0
0
1,720
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3
16
0
19
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
China
Switzerland

non EEA

Middle East

Caribbean
Africa
Others
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0


Capital
Baseline Scenario
(mln EUR)
A
As of 31/12/2013
Adverse Scenario
COREP CODE
REGULATION
OWN FUNDS
1,594
1,715
1,764
2,031
1,308
1,228
1,275
CA1 {1}
A.1

1,419
1,527
1,532
1,762
1,155
1,037
1,040
CA1 {1.1.1}
Article 50 of CRR
A.1.1
2,523
2,523
2,399
2,399
2,523
2,523
2,523
CA1 {1.1.1.1}
and 42 of CRR
124
124
124
124
124
-1,048
-944
-735
-434
-1,285
-1,289
-1,184
CA1 {1.1.1.2}
of CRR
-46
-61
-69
-75
-88
-97
-113
CA1 {1.1.1.3}
-10
-3
-52
-66
-75
-81
-84
-103
-116
A.1.1.1
A.1.2
Retained earnings
A.1.3
A.1.3.1
A.1.3.2

portfolio
A.1.4
Other Reserves
CA1 {1.1.1.4}
A.1.5
CA1 {1.1.1.5}
A.1.6
93
93
93
93
93
93
93
CA1 {1.1.1.7}
Article 84 of CRR
A.1.7

CA1 {1.1.1.9}
A.1.8

A.1.9
-127
-127
-127
-127
-127
-127
-127
CA1 {1.1.1.10 +
1.1.1.11}

A.1.10
-457
-457
-457
-457
-457
-457
-457
CA1 {1.1.1.12}
A.1.11
CA1 {1.1.1.13}
A.1.12
-18
-18
-18
-18
-18
-18
-18
CA1 {1.1.1.14}
A.1.13
CA1 {1.1.1.15}
A.1.14
CA1 {1.1.1.16}
A.1.15
weight
-18
-18
-18
-18
-18
-18
-18
CA1 {1.1.1.17 to
1.1.1.21}

-18
-18
-18
-18
-18
-18
-18
CA1 {1.1.1.18.1}
(b) and 258 of CRR
OWN FUNDS
A.1.15.1
A.1.16
-1
-8
-11
-2
CA1 {1.1.1.22}
79 of CRR
A.1.17
differences
CA1 {1.1.1.23}
48(2) of CRR
A.1.18
-111
-99
-79
-50
-133
-136
-127
CA1 {1.1.1.24}
49(1) to (3) and 79 of CRR
A.1.19
-29
-22
-5
-52
-51
-42
CA1 {1.1.1.25}
A.1.20
658
656
548
448
717
625
511
CA1 {1.1.1.6 + 1.1.8 +

1.1.26}
A.1.20.1
CA1 {1.1.1.6}
A.1.20.2
CA1 {1.1.1.8}
A.1.20.3

658
656
548
448
717
625
511
CA1 {1.1.1.26}
175
188
232
270
154
191
235
CA1 {1.1.2}
A.2

adjustments)
A.2.1

Article 61 of CRR
1,715
1,764
2,031
1,308
1,228
1,275
CA1 {1.1}
Article 25 of CRR
CA1 {1.2}
Article 71 of CRR
CA2 {1}
A.4
18,143
17,706
17,997
18,773
17,550
17,776
18,511
346

CRR
235
B.3
B.4
B.5
B.6
A.3
B.2
CAPITAL RATIOS (%)

Transitional period
Article 470 of CRR
1,594
B.1
OWN FUNDS
REQUIREMENTS

CET1 deduction (+)
lending to SMEs (-)
-263
Recital (44) of CRR
253
C.1
7.82%
8.62%
8.51%
9.38%
6.58%
5.83%
5.62%
CA3 {1}
C.2
8.79%
9.69%
9.80%
10.82%
7.46%
6.91%
6.89%
CA3 {3}
C.3
Total Capital ratio
8.79%
9.69%
9.80%
10.82%
7.46%
6.91%
6.89%
CA3 {5}
1,416
1,440
1,502
965
978
1,018
435
Memorandum items
F.1
7.00%

2.86%

Baseline scenario
Adverse scenario
CET1 impact
Risk exposure
amount impact
2013
2014
94
2015
2016
Total
(mln EUR)
CET1 impact
Risk exposure
amount impact
-292
54
-364
104
-92
58
-191
151
-9
91
-92
349
-393
203
-647

Less RWAs due to Operating profit. Higher result due to reduction in

operational costs. Higher NIM due to increase in profitability

Baseline scenario
(mln EUR)
Adverse scenario
As of
31/12/2013
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!

Impact on Common
Equity Tier 1
Million EUR

575
62
Tier 1 and Tier 2
Million EUR
Losses
Million EUR
-21
0

Bank Name
ES - Banco Mare Nostrum, S.A.
LEI Code
549300PY124PITBSWN73
ES
NUK_WL_NR_XX
version
1809014
No restructuring

mln EUR, %
718
653

(1)

(1)
1,930
21,419
9.0%
mln EUR, %


1,289
1,491
1,930
(1)
21,419
(1)

73
107

Total Risk Exposure
(1)
(1)
mln EUR, %
718
653
(1)
9.0%
mln EUR, %
1,880
577
46
2,359
1,662
Total Risk Exposure
20,555
11.5%
Memorandum items
mln EUR
1,638
(1)
20,471
8.1%
Memorandum items
mln EUR
1,131
scenario (3)
01/01/2014.
01/01/2014.

Credit Risk
F-IRB
LTV % (as of
31/12/2013)
A-IRB
STA
F-IRB
A-IRB

STA
F-IRB
A-IRB
Baseline Scenario
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5,654
11,227
2,642
0
2,178
19,229
15,475
865
14,610
165
3,589
1,571
2,018
795
161
4,420
44,127
0
0
6
883
0
793
1,278
974
174
801
5
299
192
106
0
0
1
2,169
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
198
1,115
2,088
0
1,740
7,955
5,482
212
5,270
124
2,349
845
1,504
907
646
4,102
17,010
0
9
985
1
886
1,274
898
146
753
5
370
238
131
0
0
0
2,267
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
35
0
18
61
57
7
50
0
3
1
3
0
17
0
113
0
0
3
604
0
542
631
368
128
240
18
245
155
91
0
0
1
1,238
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
54.9%
57.6%
65.4%
Adverse Scenario
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
Coverage
Coverage
Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Impairment rate
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.02%
0.02%
3.71%
0.43%
0.24%
1.39%
0.17%
1.19%
1.21%
1.75%
0.79%
2.84%
1
5
884
0
0
798
464
150
315
20
313
196
117
9
100.00%
45.40%
34.71%
30.51%
24.84%
40.74%
20.56%
73.87%
41.94%
42.28%
41.33%
18.94%
0.02%
0.02%
3.13%
0.35%
0.18%
1.18%
0.12%
0.99%
1.01%
1.51%
0.66%
2.48%
1
7
973
0
0
879
493
161
332
22
363
231
132
13
100.00%
54.06%
34.41%
29.52%
23.47%
38.65%
19.34%
71.00%
41.46%
42.64%
39.35%
19.06%
0.02%
0.02%
2.50%
0.27%
0.14%
0.99%
0.10%
0.79%
0.80%
1.26%
0.53%
1.97%
2
9
1,044
0
0
944
515
170
345
24
405
260
145
15
100.00%
59.50%
34.69%
29.06%
22.68%
37.54%
18.62%
68.72%
41.44%
43.38%
38.10%
18.97%
0.85%
0.69%
5.45%
0.84%
0.56%
2.24%
0.46%
1.88%
1.99%
2.67%
1.46%
4.53%
24
83
964
0
0
892
519
157
362
22
351
218
134
15
101.45%
100.00%
36.79%
31.98%
26.17%
40.67%
22.37%
73.77%
43.86%
44.29%
43.11%
23.78%
0.83%
0.69%
5.80%
0.84%
0.54%
2.20%
0.45%
2.22%
2.01%
2.73%
1.52%
4.86%
48
157
1,130
0
0
1,075
603
175
428
26
445
277
168
21
100.72%
100.00%
38.04%
31.56%
25.30%
38.51%
21.98%
71.01%
44.10%
45.70%
41.51%
24.45%
0.75%
0.83%
4.71%
0.68%
0.41%
2.06%
0.34%
1.71%
1.73%
2.57%
1.27%
4.11%
72
231
1,258
0
0
1,221
666
190
476
30
525
327
197
24
100.48%
100.00%
39.52%
31.59%
24.93%
37.43%
21.82%
68.35%
44.60%
47.14%
40.68%
24.45%
0.51%
1,697
32.40%
0.38%
1,873
31.73%
0.29%
2,014
31.61%
1.13%
1,978
35.51%
1.06%
2,432
36.55%
0.90%
2,806
37.76%
LTV % (as of
31/12/2013)
(mln EUR, %)
Spain

Institutions
Corporates
Retail
Which:
Retail - SME
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
55.2%
58.7%
54.9%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
5,654
11,227
2,569
0
2,101
18,619
14,890
860
14,030
164
3,565
1,567
1,998
795
161
4,419
43,443
0
F-IRB
0
6
903
0
812
1,216
913
155
758
5
298
192
106
0
0
19
2,143
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
198
1,115
2,015
0
1,663
7,735
5,276
210
5,066
123
2,336
843
1,493
907
646
4,101
16,717
0
9
977
0
878
1,207
835
127
708
4
369
238
130
0
0
18
2,211
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
35
0
18
60
57
7
50
0
3
1
3
0
17
0
112
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
3
575
0
514
614
352
127
225
17
244
155
90
0
0
1
1,193
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.02%
0.02%
3.74%
0.43%
0.24%
1.39%
0.17%
1.19%
1.21%
1.75%
0.79%
2.84%
1
5
852
0
0
779
447
149
298
19
312
196
117
9
161.01%
44.69%
33.57%
30.70%
24.92%
40.73%
20.44%
73.03%
41.96%
42.28%
41.38%
18.94%
0.02%
0.02%
3.16%
0.35%
0.18%
1.18%
0.12%
0.93%
1.01%
1.50%
0.66%
2.48%
1
7
938
0
0
858
475
160
314
21
362
231
131
13
130.10%
53.05%
33.40%
29.70%
23.52%
38.60%
19.23%
69.86%
41.46%
42.62%
39.39%
19.06%
0.02%
0.02%
2.51%
0.28%
0.14%
0.99%
0.10%
0.79%
0.80%
1.26%
0.53%
1.97%
2
9
1,007
0
0
923
496
169
327
23
404
260
144
15
119.32%
58.71%
33.74%
29.24%
22.72%
37.46%
18.51%
67.65%
41.45%
43.35%
38.14%
18.97%
0.84%
0.74%
5.48%
0.84%
0.57%
2.24%
0.46%
1.88%
1.94%
2.67%
1.37%
4.53%
24
83
930
0
0
869
500
157
343
20
349
218
131
15
101.45%
100.00%
35.63%
32.08%
26.23%
40.71%
22.24%
72.99%
43.61%
44.29%
42.40%
23.78%
0.83%
0.74%
5.90%
0.85%
0.54%
2.20%
0.45%
2.23%
2.02%
2.73%
1.53%
4.86%
48
157
1,091
0
0
1,048
581
175
406
25
442
277
165
21
100.72%
100.00%
37.04%
31.67%
25.33%
38.55%
21.84%
69.75%
43.93%
45.70%
41.03%
24.45%
0.76%
0.83%
4.72%
0.70%
0.42%
2.06%
0.34%
1.72%
1.73%
2.57%
1.27%
4.11%
72
231
1,214
0
0
1,192
641
189
452
29
522
327
194
24
100.48%
100.00%
38.55%
31.70%
24.95%
37.44%
21.71%
66.76%
44.45%
47.14%
40.29%
24.45%
0.52%
1,646
31.98%
0.39%
1,818
31.37%
0.29%
1,955
31.28%
1.15%
1,920
35.08%
1.10%
2,366
36.23%
0.91%
2,733
37.50%
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

Credit Risk
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
LTV % (as of
31/12/2013)
LTV % (as of
31/12/2013)
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

P&L
Baseline Scenario
31/12/2013
(mln EUR)
Net interest income
599
Net trading income

Adverse Scenario
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
559
573
534
537
599
573
31
41
45
18
32
40
-23
-14
-9
-37
-22
-15
284
144
229
227
23
22
22
718
557
674
649
368
469
452
-672
-248
-188
-141
-536
-469
-377
-672
-248
-188
-141
-536
-469
-377
18
-60
-33
-16
65
309
486
508
-228
-33
59
-32
16
-8
-10
Pre-Tax profit
33
325
492
500
-222
-25
49
-98
-148
-150
67
-15
Net income
39
228
344
350
-155
-17
34
39
228
344
350
-155
-17
34
39
228
224
-155
-17
34

through P&L (-)
Tax
0
120
344
0

RWA
(mln EUR)
Baseline Scenario
Adverse Scenario
as of 31/12/2013
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
19,373
19,089
18,835
18,425
19,191
18,896
18,509
646
681
702
716
729
779
812
18,728
18,408
18,133
17,709
18,462
18,117
17,697
127
127
127
127
127
127
127
1,882
1,882
1,882
1,882
1,882
1,882
1,882
38
38
38
38
38
38
38
21,419
21,135
20,881
20,471
21,237
20,942
20,555

Securitisation
(mln EUR)
Exposure values
Impairments
Banking Book
Total
Banking Book
Total
Total
Baseline scenario
Adverse scenario
as of 31/12/2013
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
178
0
0
178
646
0
646
0
0
681
0
681
8
0
702
0
702
8
0
716
0
716
9
0
729
0
729
13
0
779
0
779
16
0
812
0
812
18
0
13
16
18

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Belgium
Bulgaria
Cyprus
Czech Republic
Denmark
Estonia
Finland
France
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Germany
Croatia
Greece
Hungary
Iceland
Ireland
Italy
Latvia
Liechtenstein
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Lithuania
Luxembourg
Malta
Netherlands
Norway
Poland
Portugal
Romania
Slovakia
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Slovenia
Spain
Sweden
United Kingdom
Australia
Canada
Hong Kong
Japan
U.S.
0
0
0
0
0
0
0
0
0
0
0
0
29
2,527
0
2,556
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
29
2,527
0
2,556
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
29
2,527
0
2,556
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
China
Switzerland

non EEA

Middle East

Caribbean
Africa
Others
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0


Capital
Baseline Scenario
(mln EUR)
A
As of 31/12/2013
Adverse Scenario
COREP CODE
REGULATION
OWN FUNDS
1,930
2,176
2,377
2,359
1,752
1,699
1,662
CA1 {1}
A.1

1,930
2,176
2,377
2,359
1,752
1,699
1,662
CA1 {1.1.1}
Article 50 of CRR
A.1.1
2,843
2,843
2,843
2,843
2,843
2,843
2,843
CA1 {1.1.1.1}
and 42 of CRR
1,645
1,645
1,645
1,645
1,645
1,645
1,645
A.1.1.1
A.1.2
Retained earnings
-807
-579
-355
-349
-962
-979
-945
CA1 {1.1.1.2}
of CRR
A.1.3
-80
-66
-80
-89
-326
-248
-277
CA1 {1.1.1.3}
-252
-158
-176
-92
-73
-83
-89
-92
-114
-128
A.1.3.1
A.1.3.2

portfolio
A.1.4
Other Reserves
CA1 {1.1.1.4}
A.1.5
CA1 {1.1.1.5}
A.1.6
CA1 {1.1.1.7}
Article 84 of CRR
A.1.7

CA1 {1.1.1.9}
A.1.8

-2
-2
-2
-2
201
94
69
A.1.9
-85
-81
-76
-71
-81
-76
-71
CA1 {1.1.1.10 +
1.1.1.11}

A.1.10
-56
-56
-56
-56
-56
-56
-56
CA1 {1.1.1.12}
A.1.11
CA1 {1.1.1.13}
A.1.12
CA1 {1.1.1.14}
A.1.13
CA1 {1.1.1.15}
A.1.14
CA1 {1.1.1.16}
A.1.15
weight
CA1 {1.1.1.17 to
1.1.1.21}

CA1 {1.1.1.18.1}
(b) and 258 of CRR
OWN FUNDS
A.1.15.1
A.1.16
-16
CA1 {1.1.1.22}
79 of CRR
A.1.17
differences
CA1 {1.1.1.23}
48(2) of CRR
A.1.18
CA1 {1.1.1.24}
49(1) to (3) and 79 of CRR
A.1.19
A.1.20
CA1 {1.1.1.25}
100
81
130
119
96
CA1 {1.1.1.6 + 1.1.8 +

1.1.26}
CA1 {1.1.1.6}
A.1.20.2
CA1 {1.1.1.8}
A.1.20.3

130
114
100
81
130
119
96
CA1 {1.1.1.26}
CA1 {1.1.2}
A.2

adjustments)
A.2.1
2,176
2,377
2,359
1,752
1,699
1,662
CA1 {1.1}
Article 25 of CRR
CA1 {1.2}
Article 71 of CRR
A.4
21,419
21,135
20,881
20,471
21,237
20,942
20,555
B.4
B.5
B.6

lending to SMEs (-)
Article 61 of CRR
B.3
A.3

CET1 deduction (+)
Article 470 of CRR
1,930
114
B.2
CAPITAL RATIOS (%)

Transitional period
130
A.1.20.1
B.1
OWN FUNDS
REQUIREMENTS
CA2 {1}
66

CRR
96
-448
Recital (44) of CRR
C.1
9.01%
10.30%
11.39%
11.52%
8.25%
8.11%
8.09%
CA3 {1}
C.2
9.01%
10.30%
11.39%
11.52%
8.25%
8.11%
8.09%
CA3 {3}
C.3
Total Capital ratio
9.01%
10.30%
11.39%
11.52%
8.25%
8.11%
8.09%
CA3 {5}
1,691
1,670
1,638
1,168
1,152
1,131
Memorandum items
F.1
11.13%

7.62%

Baseline scenario
(mln EUR)
2013
2014
2015
Adverse scenario
CET1 impact
Risk exposure
amount impact
39
121
-541
-294
CET1 impact
23
61
Risk exposure
amount impact

-610
- Reduction of the Loan book size and the Balance sheet size pursuant to the
Term Sheet commitments
- Subsidiaries Portfolio divestment meeting the Term Sheet commitments
- Projections of the balance sheet items in line with those foreseen in the
Restructuring Plan timeline
- Reduction of branches, FTEs and staff expenses in line with the calendar
execution included in the Restructuring Plan
- Projection of P&L positions in line with the methodology for banks exempted
from the static balance sheet assumption
-509
2016
23
-411
92
-517
Total
182
-1,246
176
-1,635

Baseline scenario
(mln EUR)
Adverse scenario
As of
31/12/2013
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!

Impact on Common
Equity Tier 1
Million EUR

Tier 1 and Tier 2
Million EUR
Losses
Million EUR
-1

Bank Name
ES - Caja de Ahorros y M.P. de Zaragoza, Aragn y Rioja
LEI Code
549300OLBL49CW8CT155
ES
NUK_WL_NR_XX
version
1809014
No restructuring

mln EUR, %
398
548

(1)

(1)
Total Risk Exposure
10.0%
209
1,070
-25
26,475
(1)
(1)
2,655
mln EUR, %


2,655
(1)
26,475
(1)

mln EUR, %
398
548
(1)
10.0%
mln EUR, %
520
427
1
2,852
2,178
Total Risk Exposure
27,647
10.6%
Memorandum items
mln EUR
2,158
(1)
26,970
7.9%
Memorandum items
mln EUR
1,521
scenario (3)
01/01/2014.
01/01/2014.

Credit Risk
F-IRB
LTV % (as of
31/12/2013)
A-IRB
STA
F-IRB
A-IRB

STA
F-IRB
A-IRB
Baseline Scenario
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
10,757
4,634
4,771
59
3,183
26,728
22,777
777
22,000
149
3,803
1,619
2,184
1,200
2,093
2,451
52,635
21
5
4
1,077
1
713
1,017
932
126
806
0
84
45
40
0
0
773
2,875
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
170
725
3,895
59
2,602
11,116
8,286
262
8,024
112
2,719
1,095
1,624
1,614
1,111
2,615
21,247
7
4
1,122
1
752
936
841
124
716
0
96
50
46
0
0
790
2,859
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
303
0
200
86
17
2
15
0
68
37
31
326
12
78
806
0
0
19
1,494
36
972
515
202
40
162
6
306
145
162
0
0
532
2,560
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
(mln EUR, %)
ES - Caja de Ahorros y M.P. de

Zaragoza, Aragn y Rioja

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
58.5%
47.7%
59.0%
Adverse Scenario
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
Coverage
Coverage
Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Impairment rate
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.00%
0.03%
1.70%
3.66%
2.25%
0.24%
0.13%
0.42%
0.12%
0.34%
0.88%
1.46%
0.44%
0.00%
0
3
1,878
38
1,248
663
248
46
202
7
409
206
202
82
0.01%
29.88%
54.75%
85.11%
55.21%
28.87%
15.51%
22.68%
14.44%
86.13%
66.95%
63.29%
71.02%
-
0.00%
0.03%
1.70%
3.78%
2.24%
0.20%
0.09%
0.26%
0.09%
0.22%
0.81%
1.52%
0.29%
0.00%
0
4
1,956
40
1,319
715
269
48
222
7
439
230
209
82
0.01%
29.65%
52.77%
77.48%
53.80%
26.64%
14.39%
21.92%
13.37%
80.86%
60.71%
56.26%
66.50%
-
0.00%
0.03%
1.56%
3.63%
2.06%
0.16%
0.07%
0.19%
0.07%
0.18%
0.73%
1.44%
0.24%
0.00%
0
5
2,024
42
1,379
758
285
49
236
7
466
252
214
82
0.01%
29.53%
51.44%
72.54%
52.89%
25.42%
13.75%
21.46%
12.77%
77.36%
56.79%
52.20%
63.44%
-
1.52%
0.09%
2.35%
4.59%
3.13%
0.38%
0.24%
1.14%
0.20%
0.55%
1.21%
1.90%
0.70%
0.00%
142
5
1,910
39
1,278
702
273
51
222
7
421
213
208
82
0.01%
29.50%
53.84%
85.00%
54.55%
28.71%
15.90%
22.21%
14.88%
83.94%
66.39%
63.79%
69.21%
-
0.91%
0.07%
3.15%
6.14%
4.16%
0.43%
0.23%
1.14%
0.20%
0.55%
1.57%
2.76%
0.70%
0.00%
227
8
2,052
42
1,405
813
325
60
266
8
480
257
223
82
0.01%
29.36%
50.97%
75.78%
52.51%
26.20%
14.86%
21.06%
13.92%
75.67%
58.51%
55.66%
62.19%
-
0.61%
0.06%
3.17%
6.29%
4.19%
0.42%
0.23%
1.14%
0.20%
0.55%
1.57%
2.85%
0.70%
0.00%
284
11
2,179
45
1,518
920
376
67
309
9
536
298
238
82
0.01%
29.30%
49.05%
70.27%
51.11%
24.66%
14.22%
20.32%
13.33%
70.15%
53.92%
51.51%
57.37%
-
0.33%
2,625
44.09%
0.29%
2,757
41.52%
0.25%
2,868
39.95%
0.80%
2,840
43.31%
0.77%
3,182
39.94%
0.68%
3,475
37.70%
LTV % (as of
31/12/2013)
(mln EUR, %)
Spain

Institutions
Corporates
Retail
Which:
Retail - SME
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
58.8%
48.0%
59.2%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
10,348
4,539
4,682
57
3,175
26,642
22,695
777
21,919
149
3,798
1,619
2,179
1,117
2,093
2,451
51,871
21
F-IRB
5
4
1,077
1
713
1,009
925
126
798
0
84
45
39
0
0
773
2,868
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
170
700
3,817
57
2,594
11,083
8,256
262
7,994
112
2,715
1,095
1,620
1,493
1,111
2,615
20,990
7
4
1,122
1
752
932
836
124
712
0
95
50
46
0
0
790
2,855
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
303
0
200
85
17
2
15
0
68
37
31
318
12
78
797
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
1
1,478
36
960
510
198
40
157
6
306
145
161
0
0
532
2,521
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.00%
0.03%
1.70%
3.66%
2.24%
0.24%
0.13%
0.42%
0.12%
0.34%
0.88%
1.46%
0.44%
0.00%
0
3
1,855
38
1,229
641
236
40
197
7
398
196
202
82
0.01%
29.88%
54.48%
85.53%
54.79%
28.27%
14.95%
20.31%
14.17%
86.15%
66.52%
62.36%
70.98%
-
0.00%
0.03%
1.69%
3.78%
2.23%
0.20%
0.09%
0.26%
0.09%
0.22%
0.81%
1.52%
0.29%
0.00%
0
4
1,933
40
1,299
693
257
42
216
7
428
220
208
82
0.01%
29.65%
52.53%
78.08%
53.41%
26.10%
13.90%
19.72%
13.13%
80.86%
60.27%
55.36%
66.46%
-
0.00%
0.03%
1.56%
3.63%
2.05%
0.16%
0.07%
0.19%
0.07%
0.18%
0.73%
1.45%
0.24%
0.00%
0
5
2,000
42
1,359
735
273
43
230
7
455
242
213
82
0.01%
29.53%
51.22%
73.22%
52.52%
24.93%
13.31%
19.35%
12.55%
77.36%
56.35%
51.36%
63.41%
-
1.59%
0.09%
2.35%
4.59%
3.12%
0.38%
0.24%
1.14%
0.20%
0.55%
1.21%
1.90%
0.70%
0.00%
142
5
1,888
39
1,258
679
261
45
216
7
411
204
207
82
0.01%
29.51%
53.57%
85.42%
54.14%
28.14%
15.38%
20.15%
14.63%
83.95%
65.97%
62.91%
69.18%
-
0.95%
0.07%
3.15%
6.14%
4.15%
0.43%
0.23%
1.14%
0.20%
0.55%
1.56%
2.76%
0.70%
0.00%
227
8
2,028
42
1,385
790
313
54
260
8
469
247
222
82
0.01%
29.36%
50.74%
76.40%
52.14%
25.74%
14.46%
19.37%
13.72%
75.67%
58.09%
54.87%
62.16%
-
0.64%
0.06%
3.17%
6.29%
4.18%
0.42%
0.23%
1.14%
0.20%
0.55%
1.57%
2.85%
0.70%
0.00%
284
11
2,154
44
1,497
897
364
61
303
8
525
288
237
82
0.01%
29.30%
48.85%
70.95%
50.78%
24.27%
13.88%
18.87%
13.16%
70.14%
53.54%
50.82%
57.34%
-
0.33%
2,581
43.74%
0.30%
2,711
41.19%
0.26%
2,822
39.65%
0.81%
2,796
42.96%
0.78%
3,135
39.64%
0.69%
3,427
37.43%
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

Credit Risk
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
LTV % (as of
31/12/2013)
LTV % (as of
31/12/2013)
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

P&L
Baseline Scenario
31/12/2013
(mln EUR)
Net interest income
596
Net trading income

Adverse Scenario
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
515
473
431
439
428
340
-1
-3
-2
-1
251
63
63
63
33
32
31
398
199
180
140
91
102
16
-443
-153
-134
-114
-372
-348
-299
-443
-153
-134
-114
-372
-348
-299
-105
-10
-8
-8
-22
-16
-12
-150
36
37
19
-303
-261
-296
75
131
101
103
131
101
103
Pre-Tax profit
-75
168
138
122
-172
-160
-193
Tax
50
-42
-33
-28
55
51
61
Net income
-25
126
105
93
-117
-109
-132
-21
110
93
82
-103
-96
-116
-21
94
74
66
-103
-96
-116

through P&L (-)
17
19
16
0

RWA
(mln EUR)
Baseline Scenario
Adverse Scenario
as of 31/12/2013
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
24,106
24,341
24,496
24,601
24,603
24,967
25,278
1,111
1,226
1,295
1,340
1,406
1,583
1,701
22,995
23,116
23,202
23,260
23,197
23,384
23,577
2,369
2,369
2,369
2,369
2,369
2,369
2,369
26,475
26,711
26,865
26,970
26,972
27,336
27,647

Securitisation
(mln EUR)
Exposure values
Impairments
Banking Book
Total
Banking Book
Total
Total
Baseline scenario
Adverse scenario
as of 31/12/2013
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
793
0
0
793
1,111
0
1,111
12
0
1,226
0
1,226
16
0
1,295
0
1,295
19
0
1,340
0
1,340
21
0
1,406
0
1,406
20
0
1,583
0
1,583
27
0
1,701
0
1,701
33
0
12
16
19
21
20
27
33

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Belgium
Bulgaria
Cyprus
Czech Republic
Denmark
Estonia
Finland
France
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Germany
Croatia
Greece
Hungary
Iceland
Ireland
Italy
Latvia
Liechtenstein
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Lithuania
Luxembourg
Malta
Netherlands
Norway
Poland
Portugal
Romania
Slovakia
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Slovenia
Spain
Sweden
United Kingdom
Australia
Canada
Hong Kong
Japan
U.S.
0
0
0
0
0
0
0
0
67
425
388
711
241
152
81
2,065
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
43
123
43
80
111
135
80
614
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
24
302
345
631
131
17
1
1,451
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
24
301
345
631
131
17
1
1,450
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
China
Switzerland

non EEA

Middle East

Caribbean
Africa
Others
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0


Capital
Baseline Scenario
(mln EUR)
A
As of 31/12/2013
Adverse Scenario
COREP CODE
REGULATION
OWN FUNDS
2,832
2,922
2,943
2,933
2,702
2,505
2,258
CA1 {1}
A.1

2,655
2,761
2,829
2,852
2,540
2,391
2,178
CA1 {1.1.1}
Article 50 of CRR
A.1.1
407
407
407
387
407
407
387
CA1 {1.1.1.1}
and 42 of CRR
407
407
407
387
407
407
387
2,171
2,265
2,339
2,404
2,069
1,973
1,857
CA1 {1.1.1.2}
of CRR
A.1.1.1
A.1.2
Retained earnings
A.1.3
113
94
82
74
47
13
-13
CA1 {1.1.1.3}

portfolio
63
63
63
63
49
47
41
50
31
20
12
-2
-33
-54
17
17
17
17
17
17
17
CA1 {1.1.1.4}
A.1.3.1
A.1.3.2
A.1.4
Other Reserves
A.1.5
A.1.6
A.1.7

A.1.8
CA1 {1.1.1.5}
241
243
245
249
245
251
259
CA1 {1.1.1.7}
Article 84 of CRR
CA1 {1.1.1.9}

-63
-50
-38
-25
-39
-28
-17
A.1.9
-215
-226
-215
-205
-226
-215
-205
CA1 {1.1.1.10 +
1.1.1.11}

A.1.10
-292
-264
-276
-286
-311
-361
-419
CA1 {1.1.1.12}
A.1.11
CA1 {1.1.1.13}
A.1.12
CA1 {1.1.1.14}
A.1.13
CA1 {1.1.1.15}
A.1.14
CA1 {1.1.1.16}
A.1.15
weight
-21
-21
-21
-21
-21
-21
-21
CA1 {1.1.1.17 to
1.1.1.21}

-21
-21
-21
-21
-21
-21
-21
CA1 {1.1.1.18.1}
(b) and 258 of CRR
OWN FUNDS
A.1.15.1
A.1.16
CA1 {1.1.1.22}
79 of CRR
A.1.17
differences
CA1 {1.1.1.23}
48(2) of CRR
A.1.18
CA1 {1.1.1.24}
49(1) to (3) and 79 of CRR
A.1.19
CA1 {1.1.1.25}
A.1.20
289
258
353
355
331
CA1 {1.1.1.6}
A.1.20.2
50
58
49
35
35
15
CA1 {1.1.1.8}
A.1.20.3

246
238
240
223
318
340
331
CA1 {1.1.1.26}
A.2

adjustments)
A.2.1
Article 470 of CRR
CA1 {1.1.1.6 + 1.1.8 +

1.1.26}

CA1 {1.1.2}
Article 61 of CRR
2,761
2,829
2,852
2,540
2,391
2,178
CA1 {1.1}
Article 25 of CRR
CA1 {1.2}
Article 71 of CRR
CA2 {1}
A.3
2,655
A.4
177
162
114
80
162
114
80
26,475
26,711
26,865
26,970
26,972
27,336
27,647
399

CRR
198
B.3
B.4
B.5
B.6
296
B.2
CAPITAL RATIOS (%)

Transitional period
296
A.1.20.1
B.1
OWN FUNDS
REQUIREMENTS

CET1 deduction (+)
lending to SMEs (-)
-423
Recital (44) of CRR
C.1
10.03%
10.34%
10.53%
10.58%
9.42%
8.75%
7.88%
CA3 {1}
C.2
10.03%
10.34%
10.53%
10.58%
9.42%
8.75%
7.88%
CA3 {3}
C.3
Total Capital ratio
10.70%
10.94%
10.96%
10.87%
10.02%
9.17%
8.17%
CA3 {5}
2,137
2,149
2,158
1,483
1,504
1,521
Memorandum items
F.1
9.62%

6.68%

Baseline scenario
(mln EUR)
2013
2014
2015
2016
Total
Adverse scenario
CET1 impact
Risk exposure
amount impact
CET1 impact
Risk exposure
amount impact
64
86
-39
64
-39
-2
86
-2
88
88
238
-42
238
-42

Ref: Explanatory Note

Baseline scenario
(mln EUR)
Adverse scenario
As of
31/12/2013
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!

Impact on Common
Equity Tier 1
Million EUR

Tier 1 and Tier 2
Million EUR
Losses
Million EUR

Bank Name
ES - Cajas Rurales Unidas, Sociedad Cooperativa de Crdito
LEI Code
635400CE9HHFB55PEY43
ES
NUK_WL_NR_XX
version
1809014
No restructuring

mln EUR, %
434
679

(1)

(1)
2,198
22,098
9.9%
mln EUR, %


674
1,157
2,198
(1)
22,098
(1)

19
137

Total Risk Exposure
(1)
(1)
mln EUR, %
434
679
(1)
9.9%
mln EUR, %
851
569
13
2,382
1,900
Total Risk Exposure
23,789
10.2%
Memorandum items
mln EUR
1,867
(1)
23,332
8.0%
Memorandum items
mln EUR
1,308
scenario (3)
01/01/2014.
01/01/2014.

Credit Risk
F-IRB
LTV % (as of
31/12/2013)
A-IRB
STA
F-IRB
A-IRB

STA
F-IRB
A-IRB
Baseline Scenario
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3,868
3,895
3,863
6
2,768
21,353
14,475
703
13,772
115
6,763
5,238
1,525
185
221
3,698
37,083
0
3
5
2,226
8
1,800
1,544
953
129
824
1
590
487
103
0
0
0
3,778
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
6
113
3,333
6
2,291
9,068
5,263
244
5,018
86
3,719
2,683
1,036
191
159
2,462
15,331
5
5
3,531
8
1,985
1,504
871
127
743
1
633
515
117
0
0
0
5,046
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
184
0
163
76
38
5
33
0
37
32
6
0
10
1,085
1,355
0
0
6
1,710
16
1,386
763
335
63
273
6
421
330
92
0
0
0
2,479
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
(mln EUR, %)
ES - Cajas Rurales Unidas,

Sociedad Cooperativa de
Crdito

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
61.6%
63.1%
61.5%
Adverse Scenario
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
Coverage
Coverage
Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Impairment rate
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.01%
0.01%
-3.38%
0.41%
0.19%
0.63%
0.17%
0.74%
0.87%
0.95%
0.61%
0.00%
0
8
1,912
0
0
1,177
440
101
338
8
729
582
147
0
2.07%
52.23%
39.08%
36.45%
25.72%
38.27%
23.49%
90.57%
49.15%
48.12%
53.75%
-
0.01%
0.01%
0.84%
0.34%
0.15%
0.45%
0.13%
0.88%
0.76%
0.84%
0.46%
0.00%
0
8
1,950
0
0
1,269
474
111
363
10
785
630
155
0
3.60%
52.07%
38.91%
35.08%
24.85%
37.42%
22.60%
90.03%
46.93%
45.84%
52.00%
-
0.01%
0.01%
0.76%
0.31%
0.11%
0.36%
0.10%
0.85%
0.73%
0.82%
0.44%
0.00%
0
9
1,980
0
0
1,363
514
120
394
11
838
675
163
0
4.83%
51.87%
38.77%
34.46%
24.89%
37.37%
22.66%
88.73%
45.23%
44.13%
50.57%
-
1.06%
0.19%
-2.66%
0.65%
0.38%
0.88%
0.36%
1.14%
1.23%
1.32%
0.90%
0.00%
11
14
1,974
0
0
1,304
483
103
380
9
812
638
174
0
35.51%
42.79%
39.95%
39.01%
26.80%
37.92%
24.91%
96.68%
53.92%
51.86%
63.09%
-
1.06%
0.19%
2.03%
0.66%
0.43%
0.74%
0.42%
1.36%
1.13%
1.24%
0.79%
0.00%
21
24
2,043
0
0
1,462
556
115
441
12
895
707
188
0
37.59%
45.23%
39.45%
37.63%
26.43%
36.80%
24.71%
97.50%
51.32%
49.27%
60.79%
-
1.06%
0.19%
2.04%
0.65%
0.43%
0.60%
0.42%
1.27%
1.13%
1.26%
0.70%
0.00%
32
34
2,110
0
0
1,619
632
131
502
14
973
772
201
0
38.34%
46.31%
39.13%
36.72%
26.45%
38.17%
24.56%
95.53%
49.27%
47.25%
59.03%
-
-0.14%
3,096
38.06%
0.35%
3,227
37.33%
0.31%
3,352
36.91%
0.19%
3,303
39.58%
0.78%
3,551
38.71%
0.76%
3,794
38.12%
LTV % (as of
31/12/2013)
(mln EUR, %)
Spain

Institutions
Corporates
Retail
Which:
Retail - SME
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
61.6%
63.1%
61.5%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
3,868
3,895
3,863
6
2,768
21,353
14,475
703
13,772
115
6,763
5,238
1,525
185
221
3,698
37,083
0
F-IRB
3
5
2,226
8
1,800
1,544
953
129
824
1
590
487
103
0
0
0
3,778
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
6
113
3,333
6
2,291
9,068
5,263
244
5,018
86
3,719
2,683
1,036
191
159
2,462
15,331
5
5
3,531
8
1,985
1,504
871
127
743
1
633
515
117
0
0
0
5,046
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
184
0
163
76
38
5
33
0
37
32
6
0
10
1,085
1,355
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
6
1,710
16
1,386
763
335
63
273
6
421
330
92
0
0
0
2,479
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.01%
0.01%
-3.38%
0.41%
0.19%
0.63%
0.17%
0.74%
0.87%
0.95%
0.61%
0.00%
0
8
1,912
0
0
1,177
440
101
338
8
729
582
147
0
2.07%
52.23%
39.08%
36.45%
25.72%
38.27%
23.49%
90.57%
49.15%
48.12%
53.75%
-
0.01%
0.01%
0.84%
0.34%
0.15%
0.45%
0.13%
0.88%
0.76%
0.84%
0.46%
0.00%
0
8
1,950
0
0
1,269
474
111
363
10
785
630
155
0
3.60%
52.07%
38.91%
35.08%
24.85%
37.42%
22.60%
90.03%
46.93%
45.84%
52.00%
-
0.01%
0.01%
0.76%
0.31%
0.11%
0.36%
0.10%
0.85%
0.73%
0.82%
0.44%
0.00%
0
9
1,980
0
0
1,363
514
120
394
11
838
675
163
0
4.83%
51.87%
38.77%
34.46%
24.89%
37.37%
22.66%
88.73%
45.23%
44.13%
50.57%
-
1.06%
0.19%
-2.66%
0.65%
0.38%
0.88%
0.36%
1.14%
1.23%
1.32%
0.90%
0.00%
11
14
1,974
0
0
1,304
483
103
380
9
812
638
174
0
35.51%
42.79%
39.95%
39.01%
26.80%
37.92%
24.91%
96.68%
53.92%
51.86%
63.09%
-
1.06%
0.19%
2.03%
0.66%
0.43%
0.74%
0.42%
1.36%
1.13%
1.24%
0.79%
0.00%
21
24
2,043
0
0
1,462
556
115
441
12
895
707
188
0
37.59%
45.23%
39.45%
37.63%
26.43%
36.80%
24.71%
97.50%
51.32%
49.27%
60.79%
-
1.06%
0.19%
2.04%
0.65%
0.43%
0.60%
0.42%
1.27%
1.13%
1.26%
0.70%
0.00%
32
34
2,110
0
0
1,619
632
131
502
14
973
772
201
0
38.34%
46.31%
39.13%
36.72%
26.45%
38.17%
24.56%
95.53%
49.27%
47.25%
59.03%
-
-0.14%
3,096
38.06%
0.35%
3,227
37.33%
0.31%
3,352
36.91%
0.19%
3,303
39.58%
0.78%
3,551
38.71%
0.76%
3,794
38.12%
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

Credit Risk
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
LTV % (as of
31/12/2013)
LTV % (as of
31/12/2013)
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

P&L
Baseline Scenario
31/12/2013
(mln EUR)
Net interest income
626
Net trading income

Adverse Scenario
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
493
521
491
463
472
468
-4
-2
-7
-3
-2
-7
-4
-3
-9
-6
-4
159
126
130
133
119
119
118
434
268
304
278
221
229
224
-557
-60
-131
-125
-267
-249
-243
-557
-60
-131
-125
-267
-249
-243
-122
-96
-84
-72
-151
-132
-114
-245
112
89
81
-197
-153
-133
15
15
15
15
-230
127
104
96
-191
-146
-127
89
-38
-31
-29
58
44
38
Net income
-141
89
72
67
-133
-102
-89
-141
89
72
67
-133
-102
-89
-216
33
-134
-103
-90

through P&L (-)
Pre-Tax profit
Tax
56
63
66
75

RWA
(mln EUR)
Baseline Scenario
Adverse Scenario
as of 31/12/2013
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
20,377
20,998
21,336
21,612
21,049
21,582
22,068
159
185
201
212
217
253
276
20,218
20,812
21,135
21,400
20,832
21,329
21,792
0
1,646
1,646
1,646
1,646
1,646
1,646
1,646
75
75
75
75
75
75
75
22,098
22,718
23,056
23,332
22,769
23,302
23,789

Securitisation
(mln EUR)
Exposure values
Impairments
Banking Book
Total
Banking Book
Total
Total
Baseline scenario
Adverse scenario
as of 31/12/2013
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
211
0
0
211
159
0
159
1
0
185
0
185
1
0
201
0
201
2
0
212
0
212
2
0
217
0
217
2
0
253
0
253
2
0
276
0
276
3
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Belgium
Bulgaria
Cyprus
Czech Republic
Denmark
Estonia
Finland
France
0
0
2
0
0
0
0
2
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
2
0
0
0
0
2
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2
0
0
0
0
2
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Germany
Croatia
Greece
Hungary
Iceland
Ireland
Italy
Latvia
Liechtenstein
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Lithuania
Luxembourg
Malta
Netherlands
Norway
Poland
Portugal
Romania
Slovakia
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Slovenia
Spain
Sweden
United Kingdom
Australia
Canada
Hong Kong
Japan
U.S.
0
0
0
0
0
0
0
0
628
139
149
42
28
992
1,542
3,521
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
281
115
99
28
19
92
183
817
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
628
139
149
42
28
992
1,542
3,521
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
340
13
47
12
5
896
1,359
2,672
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
China
Switzerland

non EEA

Middle East

Caribbean
Africa
Others
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0


Capital
Baseline Scenario
(mln EUR)
A
As of 31/12/2013
Adverse Scenario
COREP CODE
REGULATION
OWN FUNDS
2,262
2,349
2,366
2,403
2,130
2,024
1,921
CA1 {1}
A.1

2,198
2,311
2,346
2,382
2,092
2,004
1,900
CA1 {1.1.1}
Article 50 of CRR
A.1.1
2,341
2,341
2,341
2,341
2,341
2,341
2,341
CA1 {1.1.1.1}
and 42 of CRR
A.1.1.1
A.1.2
Retained earnings
130
163
173
174
-4
-107
-197
CA1 {1.1.1.2}
of CRR
A.1.3
10
-1
-7
-11
-353
-249
-280
CA1 {1.1.1.3}

portfolio
-2
-2
-2
-2
-341
-223
-244
12
-5
-9
-12
-26
-36
A.1.3.1
A.1.3.2
A.1.4
Other Reserves
71
71
71
71
71
71
71
CA1 {1.1.1.4}
A.1.5
CA1 {1.1.1.5}
A.1.6
CA1 {1.1.1.7}
Article 84 of CRR
A.1.7

CA1 {1.1.1.9}
A.1.8

282
145
108
CA1 {1.1.1.10 +
1.1.1.11}

A.1.9
-289
-241
-193
-145
-223
-158
-92
A.1.10
-252
-178
-97
-28
-199
-144
-93
CA1 {1.1.1.12}
A.1.11
CA1 {1.1.1.13}
A.1.12
-1
-1
-1
-1
-1
-1
-1
CA1 {1.1.1.14}
A.1.13
CA1 {1.1.1.15}
A.1.14
CA1 {1.1.1.16}
A.1.15
weight
-54
-54
-54
-54
-54
-54
-54
CA1 {1.1.1.17 to
1.1.1.21}

-54
-54
-54
-54
-54
-54
-54
CA1 {1.1.1.18.1}
(b) and 258 of CRR
OWN FUNDS
A.1.15.1
A.1.16
CA1 {1.1.1.22}
79 of CRR
A.1.17
differences
CA1 {1.1.1.23}
48(2) of CRR
A.1.18
CA1 {1.1.1.24}
49(1) to (3) and 79 of CRR
A.1.19
A.1.20
CA1 {1.1.1.25}
113
36
232
160
97
CA1 {1.1.1.6 + 1.1.8 +

1.1.26}
CA1 {1.1.1.6}
A.1.20.2
CA1 {1.1.1.8}
A.1.20.3

241
210
113
36
232
160
97
CA1 {1.1.1.26}
CA1 {1.1.2}
A.2

adjustments)
A.2.1
Article 470 of CRR

Article 61 of CRR
2,311
2,346
2,382
2,092
2,004
1,900
CA1 {1.1}
Article 25 of CRR
CA1 {1.2}
Article 71 of CRR
CA2 {1}
A.3
2,198
A.4
63
38
20
20
38
20
20
22,098
22,718
23,056
23,332
22,769
23,302
23,789
347

CRR
121
B.3
B.4
B.5
B.6
210
B.2
CAPITAL RATIOS (%)

Transitional period
241
A.1.20.1
B.1
OWN FUNDS
REQUIREMENTS

CET1 deduction (+)
lending to SMEs (-)
-1,130
Recital (44) of CRR
C.1
9.95%
10.17%
10.17%
10.21%
9.19%
8.60%
7.99%
CA3 {1}
C.2
9.95%
10.17%
10.17%
10.21%
9.19%
8.60%
7.99%
CA3 {3}
C.3
Total Capital ratio
10.23%
10.34%
10.26%
10.30%
9.35%
8.69%
8.07%
CA3 {5}
1,817
1,844
1,867
1,252
1,282
1,308
Memorandum items
F.1
10.06%

7.58%

Baseline scenario
(mln EUR)
2013
2014
2015
2016
Total
Adverse scenario
CET1 impact
Risk exposure
amount impact
CET1 impact
Risk exposure
amount impact
0
0


Baseline scenario
(mln EUR)
Adverse scenario
As of
31/12/2013
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!

Impact on Common
Equity Tier 1
Million EUR

50
Tier 1 and Tier 2
Million EUR
Losses
Million EUR

Bank Name
ES - Catalunya Banc, S.A.
LEI Code
549300I84DXMIK4UUL30
ES
NUK_WL_NR_XX
version
1809014
No restructuring

mln EUR, %
655
2,167

(1)

(1)
2,599
21,283
12.2%
mln EUR, %


36
1,829
2,599
(1)
21,283
(1)

39
15

Total Risk Exposure
(1)
(1)
mln EUR, %
655
2,167
(1)
12.2%
mln EUR, %
413
1,120
14
2,211
1,415
Total Risk Exposure
17,647
12.5%
Memorandum items
mln EUR
1,412
(1)
17,647
8.0%
Memorandum items
mln EUR
971
scenario (3)
01/01/2014.
01/01/2014.

Credit Risk
F-IRB
LTV % (as of
31/12/2013)
A-IRB
STA
F-IRB
A-IRB

STA
F-IRB
A-IRB
Baseline Scenario
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
1,264
1,022
2
200
114
1
1
0
0
113
113
0
107
0
0
2,507
0
0
32
730
1
93
12
0
0
0
0
12
12
0
0
0
0
774
0
0
0
1,020
1
569
20,026
19,172
554
18,618
0
854
444
410
0
13
0
21,059
0
0
0
1,642
2
399
4,387
4,179
136
4,043
0
208
34
174
0
0
0
6,029
0
17,927
9,831
2,156
732
304
1,645
1,209
54
1,155
232
204
24
180
147
1,350
2,016
35,072
0
0
68
201
46
48
54
50
0
50
2
2
0
2
0
0
0
323
0
0
609
1,062
3
236
86
1
1
0
0
85
85
0
393
0
0
2,150
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1,010
1
559
4,774
4,429
344
4,085
0
345
192
153
0
64
0
5,848
0
0
609
2
109
453
431
42
389
0
22
7
15
0
0
0
1,062
3,470
820
2,068
728
266
761
451
28
423
172
138
13
125
365
368
1,748
9,600
0
70
210
45
51
40
36
1
35
2
2
0
2
0
0
0
320
0
14
68
0
19
2
0
0
0
0
2
2
0
0
0
0
84
0
0
13
477
0
69
8
0
0
0
0
8
8
0
0
0
0
498
0
0
0
50
0
29
428
412
11
401
0
16
7
9
0
0
0
478
0
0
0
1,040
2
209
1,807
1,632
46
1,586
0
175
23
152
0
0
0
2,847
0
0
9
511
66
25
39
30
1
29
7
2
1
1
0
0
0
559
0
0
40
667
158
150
73
38
0
38
21
14
0
14
0
0
0
780
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
56.3%
38.6%
56.9%
Adverse Scenario
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
Coverage
Coverage
Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Impairment rate
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.13%
0.84%
1.79%
1.80%
1.59%
0.99%
1.61%
2.17%
5.75%
1.80%
10.55%
6.47%
29
91
2,538
0
0
2,739
2,413
64
2,349
41
285
52
233
7
42.07%
38.69%
68.10%
34.01%
31.50%
29.27%
31.56%
77.31%
82.81%
57.90%
90.78%
90.00%
0.11%
0.54%
1.20%
1.03%
0.90%
0.56%
0.91%
1.72%
3.30%
1.29%
5.88%
4.81%
51
99
2,603
0
0
2,923
2,559
67
2,491
46
318
60
258
9
44.72%
39.45%
67.59%
32.92%
30.34%
27.10%
30.44%
72.41%
82.55%
55.93%
92.22%
90.00%
0.10%
0.45%
1.12%
0.65%
0.54%
0.42%
0.55%
1.58%
2.38%
1.05%
4.13%
-
70
106
2,658
0
0
3,027
2,635
69
2,566
50
341
68
273
9
46.53%
39.85%
67.11%
32.11%
29.48%
25.87%
29.58%
69.34%
82.33%
56.39%
92.45%
90.00%
0.44%
1.14%
2.64%
2.40%
2.14%
1.41%
2.16%
2.67%
7.11%
2.45%
12.78%
8.31%
98
96
2,583
0
0
2,864
2,521
68
2,453
43
300
56
244
9
40.78%
39.20%
68.07%
34.21%
31.67%
29.72%
31.72%
77.93%
84.15%
57.21%
93.44%
90.00%
0.40%
0.99%
2.75%
1.93%
1.77%
1.06%
1.79%
2.49%
4.74%
2.41%
7.71%
7.94%
174
111
2,707
0
0
3,204
2,808
74
2,734
49
348
71
276
13
44.45%
40.31%
67.20%
33.37%
30.78%
27.21%
30.89%
73.07%
84.08%
56.39%
95.71%
90.00%
0.35%
0.72%
2.01%
1.19%
1.06%
0.67%
1.08%
2.13%
3.16%
1.74%
5.00%
-
240
121
2,790
0
0
3,381
2,951
77
2,874
54
377
82
294
13
47.45%
40.75%
66.61%
33.10%
30.49%
25.89%
30.63%
70.01%
83.81%
57.08%
96.11%
90.00%
1.02%
5,404
44.99%
0.60%
5,685
43.56%
0.41%
5,870
42.62%
1.50%
5,649
44.84%
1.24%
6,209
43.51%
0.81%
6,545
43.05%
LTV % (as of
31/12/2013)
(mln EUR, %)
Spain

Institutions
Corporates
Retail
Which:
Retail - SME
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.13%
0.84%
1.82%
1.81%
1.59%
0.99%
1.61%
2.17%
5.74%
1.80%
10.55%
6.47%
29
91
2,474
0
0
2,713
2,388
64
2,324
41
284
52
232
7
42.06%
38.68%
68.28%
33.94%
31.42%
29.27%
31.48%
77.24%
82.79%
57.91%
90.79%
90.00%
0.11%
0.54%
1.23%
1.03%
0.90%
0.56%
0.91%
1.72%
3.30%
1.29%
5.88%
4.81%
51
99
2,537
0
0
2,896
2,533
67
2,465
46
317
60
257
9
44.72%
39.44%
67.79%
32.87%
30.27%
27.10%
30.37%
72.35%
82.52%
55.93%
92.22%
90.00%
0.10%
0.44%
1.12%
0.65%
0.55%
0.42%
0.55%
1.58%
2.38%
1.05%
4.13%
-
70
105
2,590
0
0
2,999
2,608
69
2,539
50
341
68
272
9
46.53%
39.84%
67.31%
32.06%
29.42%
25.87%
29.52%
69.29%
82.31%
56.40%
92.46%
90.00%
0.44%
1.14%
2.68%
2.41%
2.15%
1.41%
2.17%
2.67%
7.10%
2.45%
12.78%
8.31%
98
96
2,517
0
0
2,837
2,495
68
2,427
42
299
56
243
9
40.78%
39.19%
68.26%
34.14%
31.59%
29.72%
31.65%
77.86%
84.13%
57.22%
93.44%
90.00%
0.40%
0.98%
2.78%
1.94%
1.78%
1.06%
1.80%
2.49%
4.74%
2.41%
7.71%
7.94%
174
111
2,637
0
0
3,174
2,779
74
2,705
49
347
71
275
13
44.45%
40.29%
67.41%
33.32%
30.72%
27.21%
30.82%
73.02%
84.06%
56.40%
95.72%
90.00%
0.35%
0.72%
2.00%
1.19%
1.07%
0.67%
1.08%
2.13%
3.16%
1.73%
5.00%
-
240
121
2,716
0
0
3,350
2,921
77
2,844
54
376
82
293
13
47.45%
40.74%
66.82%
33.06%
30.43%
25.89%
30.57%
69.96%
83.79%
57.08%
96.13%
90.00%
1.02%
5,314
44.92%
0.60%
5,592
43.49%
0.41%
5,773
42.55%
1.50%
5,556
44.77%
1.24%
6,108
43.44%
0.81%
6,439
42.97%
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

Credit Risk
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
LTV % (as of
31/12/2013)
LTV % (as of
31/12/2013)
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

P&L
Baseline Scenario
31/12/2013
(mln EUR)
Net interest income
500
Net trading income

Adverse Scenario
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
396
393
352
217
379
361
-9
-7
-5
-22
-14
-10
-7
-4
-3
-20
-12
-8
581
78
24
15
78
24
15
655
144
146
124
-69
62
43
-2,058
-613
-323
-185
-874
-616
-336
-2,058
-613
-323
-185
-874
-616
-336
-110
-1
-1
-1
-1,513
-469
-177
-61
-944
-555
-294
-7
75
56
22
73
53
22
-1,519
-394
-121
-39
-871
-501
-272
2,032
118
36
12
245
150
82
Net income
513
-276
-85
-28
-626
-351
-191
513
-276
-85
-28
-626
-351
-191
513
-276
-85
-28
-626
-351
-191

through P&L (-)
Pre-Tax profit
Tax
0
0
0
0

RWA
(mln EUR)
Baseline Scenario
Adverse Scenario
as of 31/12/2013
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
18,987
17,453
15,937
15,352
17,454
15,937
15,352
404
449
248
134
520
317
169
18,583
17,004
15,689
15,218
16,934
15,620
15,183
264
264
264
264
264
264
264
2,015
2,015
2,015
2,015
2,015
2,015
2,015
16
16
16
16
16
16
16
21,283
19,749
18,233
17,647
19,750
18,233
17,647

Securitisation
(mln EUR)
Exposure values
Impairments
Banking Book
Total
Banking Book
Total
Total
Baseline scenario
Adverse scenario
as of 31/12/2013
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
1,363
0
0
1,363
404
0
404
0
0
449
0
449
1
0
248
0
248
1
0
134
0
134
1
0
520
0
520
1
0
317
0
317
1
0
169
0
169
1
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Belgium
Bulgaria
Cyprus
Czech Republic
Denmark
Estonia
Finland
France
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4
4
1
10
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4
4
1
10
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4
4
1
10
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Germany
Croatia
Greece
Hungary
Iceland
Ireland
Italy
Latvia
Liechtenstein
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Lithuania
Luxembourg
Malta
Netherlands
Norway
Poland
Portugal
Romania
Slovakia
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Slovenia
Spain
Sweden
United Kingdom
Australia
Canada
Hong Kong
Japan
U.S.
0
0
0
0
0
0
0
0
968
1,553
2,772
1,512
1,906
1,062
674
10,446
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
968
640
35
128
129
293
198
2,390
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
968
1,553
2,772
1,512
1,906
1,062
674
10,446
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
118
631
174
531
0
0
1,454
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
10
0
0
0
0
0
11
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
25
17
6
17
0
64
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
2
0
3
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
2
0
7
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
China
Switzerland

non EEA

Middle East

Caribbean
Africa
Others
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0


Capital
Baseline Scenario
(mln EUR)
A
OWN FUNDS
As of 31/12/2013
2,658
Adverse Scenario

2,372
2,281
2,252
2,013
1,654
COREP CODE
REGULATION
1,457
CA1 {1}
A.1

2,599
2,323
2,239
2,211
1,965
1,612
1,415
CA1 {1.1.1}
Article 50 of CRR
A.1.1
10,286
10,286
10,286
10,286
10,286
10,286
10,286
CA1 {1.1.1.1}
and 42 of CRR
-7,668
-7,944
-8,028
-8,056
-8,294
-8,645
-8,836
CA1 {1.1.1.2}
of CRR
A.1.1.1
A.1.2
Retained earnings
A.1.3
-1
-41
-25
-28
CA1 {1.1.1.3}

portfolio
-36
-22
-26
-2
-1
-1
-5
-3
-2
A.1.3.1
A.1.3.2
A.1.4
Other Reserves
CA1 {1.1.1.4}
A.1.5
CA1 {1.1.1.5}
A.1.6
CA1 {1.1.1.7}
Article 84 of CRR
A.1.7

CA1 {1.1.1.9}
A.1.8

-1
-1
-1
29
13
10
A.1.9
-19
-19
-19
-19
-19
-19
-19
A.1.10
CA1 {1.1.1.12}
A.1.11
CA1 {1.1.1.13}
A.1.12
CA1 {1.1.1.14}
A.1.13
CA1 {1.1.1.15}
A.1.14
CA1 {1.1.1.16}
A.1.15
weight
CA1 {1.1.1.17 to
1.1.1.21}

CA1 {1.1.1.18.1}
(b) and 258 of CRR
CA1 {1.1.1.10 +
1.1.1.11}

OWN FUNDS
A.1.15.1
A.1.16
CA1 {1.1.1.22}
79 of CRR
A.1.17
differences
CA1 {1.1.1.23}
48(2) of CRR
A.1.18
CA1 {1.1.1.24}
49(1) to (3) and 79 of CRR
A.1.19
CA1 {1.1.1.25}
A.1.20
-1
CA1 {1.1.1.6 + 1.1.8 +

1.1.26}
A.1.20.1
CA1 {1.1.1.6}
A.1.20.2
CA1 {1.1.1.8}
A.1.20.3

-1
CA1 {1.1.1.26}
CA1 {1.1.2}
A.2

adjustments)
A.2.1
2,239
2,211
1,965
1,612
1,415
CA1 {1.1}
Article 25 of CRR
CA1 {1.2}
Article 71 of CRR
59
49
43
41
49
42
42
21,283
19,749
18,233
17,647
19,750
18,233
17,647
B.3
B.5
B.6
2,323

CET1 deduction (+)
lending to SMEs (-)
Article 61 of CRR
A.4
B.4
CAPITAL RATIOS (%)

Transitional period
A.3
B.2
Article 470 of CRR
2,599
B.1
OWN FUNDS
REQUIREMENTS
CA2 {1}
366

CRR
90
-522
Recital (44) of CRR
C.1
12.21%
11.76%
12.28%
12.53%
9.95%
8.84%
8.02%
CA3 {1}
C.2
12.21%
11.76%
12.28%
12.53%
9.95%
8.84%
8.02%
CA3 {3}
C.3
Total Capital ratio
12.49%
12.01%
12.51%
12.76%
10.19%
9.07%
8.26%
CA3 {5}
1,580
1,459
1,412
1,086
1,003
971
Memorandum items
F.1
12.53%

8.01%

Baseline scenario
Adverse scenario
CET1 impact
Risk exposure
amount impact
2013
2014
-29
2015
2016
Total
-34
(mln EUR)

CET1 impact
Risk exposure
amount impact
-1,568
-6
-1,568
Includes a mandatory reduction on the non defaulted exposure of 2013
10
-1,482
215
-1,482
-14
-585
209
-585
-3,635
419
-3,635

Baseline scenario
(mln EUR)
Adverse scenario
As of
31/12/2013
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!

Impact on Common
Equity Tier 1
Million EUR

Tier 1 and Tier 2
Million EUR
Losses
Million EUR
-1

Bank Name
ES - MPCA Ronda, Cdiz, Almera, Mlaga, Antequera y Jan
LEI Code
5493007SJLLCTM6J6M37
ES
NUK_WL_NR_XX
version
1809014
No restructuring

mln EUR, %
840
901

(1)

(1)
3,627
33,351
10.9%
mln EUR, %


905
1,438
3,627
(1)
33,351
(1)

31

Total Risk Exposure
(1)
(1)
mln EUR, %
840
901
(1)
10.9%
mln EUR, %
1,415
525
3
3,942
2,990
Total Risk Exposure
33,647
11.9%
Memorandum items
mln EUR
2,658
(1)
33,224
8.9%
Memorandum items
mln EUR
1,851
scenario (3)
01/01/2014.
01/01/2014.

Credit Risk
F-IRB
LTV % (as of
31/12/2013)
A-IRB
STA
F-IRB
A-IRB

STA
F-IRB
A-IRB
Baseline Scenario
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
19,316
4,685
4,736
0
1,384
27,105
22,763
944
21,819
634
3,708
1,300
2,408
1,606
3,366
4,977
65,791
1
1
0
769
0
429
1,302
1,147
172
975
7
148
101
47
0
0
0
2,072
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
199
1,093
4,700
0
1,335
12,804
9,645
488
9,157
441
2,717
830
1,887
1,540
587
5,934
26,857
0
0
992
0
518
1,117
861
190
671
31
225
143
82
0
0
0
2,109
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2
409
0
191
271
193
52
141
3
75
57
18
0
2
1,085
1,769
0
0
2
1,360
0
567
947
518
161
358
56
373
259
114
0
0
0
2,309
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
(mln EUR, %)
ES - MPCA Ronda, Cdiz,

Almera, Mlaga, Antequera y
Jan

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
49.5%
44.6%
50.8%
Adverse Scenario
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
Coverage
Coverage
Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Impairment rate
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.17%
0.10%
1.80%
0.41%
0.29%
0.38%
0.28%
1.63%
0.98%
1.63%
0.60%
0.00%
23
8
1,843
0
0
1,384
833
215
619
69
481
335
146
0
39.30%
21.83%
53.92%
38.48%
29.69%
41.80%
27.05%
82.59%
62.79%
63.34%
61.58%
-
0.39%
0.09%
1.52%
0.32%
0.21%
0.04%
0.22%
1.10%
0.86%
1.70%
0.40%
0.13%
73
11
1,875
0
0
1,461
877
213
663
76
509
354
155
1
39.78%
20.38%
50.87%
35.51%
27.23%
38.89%
24.92%
79.97%
58.43%
58.51%
58.25%
100.00%
0.51%
0.08%
1.63%
0.27%
0.17%
0.18%
0.17%
0.91%
0.78%
1.61%
0.32%
0.00%
139
14
1,911
0
0
1,525
911
214
697
82
533
371
162
1
39.89%
19.72%
49.00%
33.82%
25.86%
37.37%
23.73%
78.27%
55.48%
55.22%
56.09%
100.00%
0.37%
0.25%
2.56%
0.68%
0.52%
1.10%
0.49%
2.50%
1.38%
2.13%
0.95%
6.81%
49
14
1,878
0
0
1,452
882
219
663
75
495
342
154
57
39.68%
20.99%
54.43%
38.36%
29.78%
38.73%
27.71%
83.58%
62.75%
63.62%
60.96%
100.00%
0.80%
0.21%
3.29%
0.72%
0.52%
1.10%
0.49%
2.49%
1.71%
3.07%
0.95%
4.13%
154
21
1,964
0
0
1,628
987
224
763
90
551
376
175
89
39.90%
20.23%
51.49%
35.08%
27.19%
34.08%
25.71%
80.86%
57.34%
57.80%
56.39%
100.00%
1.58%
0.18%
3.30%
0.72%
0.51%
1.10%
0.49%
2.48%
1.71%
3.17%
0.95%
3.31%
355
27
2,040
0
0
1,796
1,088
229
859
105
604
409
195
114
39.96%
19.92%
49.53%
33.01%
25.58%
31.05%
24.47%
79.11%
53.90%
54.12%
53.44%
100.00%
0.44%
3,257
45.74%
0.42%
3,422
42.48%
0.42%
3,590
40.61%
0.84%
3,450
46.08%
0.97%
3,855
42.67%
1.16%
4,332
40.51%
LTV % (as of
31/12/2013)
(mln EUR, %)
Spain

Institutions
Corporates
Retail
Which:
Retail - SME
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
49.5%
44.6%
50.8%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
19,316
4,685
4,736
0
1,384
27,105
22,763
944
21,819
634
3,708
1,300
2,408
1,606
3,366
4,977
65,791
1
F-IRB
1
0
769
0
429
1,302
1,147
172
975
7
148
101
47
0
0
0
2,072
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
199
1,093
4,700
0
1,335
12,804
9,645
488
9,157
441
2,717
830
1,887
1,540
587
5,934
26,857
0
0
992
0
518
1,117
861
190
671
31
225
143
82
0
0
0
2,109
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
2
409
0
191
271
193
52
141
3
75
57
18
0
2
1,085
1,769
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
2
1,360
0
567
947
518
161
358
56
373
259
114
0
0
0
2,309
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.17%
0.10%
1.80%
0.41%
0.29%
0.38%
0.28%
1.63%
0.98%
1.63%
0.60%
0.00%
23
8
1,843
0
0
1,384
833
215
619
69
481
335
146
0
39.30%
21.83%
53.92%
38.48%
29.69%
41.80%
27.05%
82.59%
62.79%
63.34%
61.58%
-
0.39%
0.09%
1.52%
0.32%
0.21%
0.04%
0.22%
1.10%
0.86%
1.70%
0.40%
0.13%
73
11
1,875
0
0
1,461
877
213
663
76
509
354
155
1
39.78%
20.38%
50.87%
35.51%
27.23%
38.89%
24.92%
79.97%
58.43%
58.51%
58.25%
100.00%
0.51%
0.08%
1.63%
0.27%
0.17%
0.18%
0.17%
0.91%
0.78%
1.61%
0.32%
0.00%
139
14
1,911
0
0
1,525
911
214
697
82
533
371
162
1
39.89%
19.72%
49.00%
33.82%
25.86%
37.37%
23.73%
78.27%
55.48%
55.22%
56.09%
100.00%
0.37%
0.25%
2.56%
0.68%
0.52%
1.10%
0.49%
2.50%
1.38%
2.13%
0.95%
6.81%
49
14
1,878
0
0
1,452
882
219
663
75
495
342
154
57
39.68%
20.99%
54.43%
38.36%
29.78%
38.73%
27.71%
83.58%
62.75%
63.62%
60.96%
100.00%
0.80%
0.21%
3.29%
0.72%
0.52%
1.10%
0.49%
2.49%
1.71%
3.07%
0.95%
4.13%
154
21
1,964
0
0
1,628
987
224
763
90
551
376
175
89
39.90%
20.23%
51.49%
35.08%
27.19%
34.08%
25.71%
80.86%
57.34%
57.80%
56.39%
100.00%
1.58%
0.18%
3.30%
0.72%
0.51%
1.10%
0.49%
2.48%
1.71%
3.17%
0.95%
3.31%
355
27
2,040
0
0
1,796
1,088
229
859
105
604
409
195
114
39.96%
19.92%
49.53%
33.01%
25.58%
31.05%
24.47%
79.11%
53.90%
54.12%
53.44%
100.00%
0.44%
3,257
45.74%
0.42%
3,422
42.48%
0.42%
3,590
40.61%
0.84%
3,450
46.08%
0.97%
3,855
42.67%
1.16%
4,332
40.51%
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

Credit Risk
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
LTV % (as of
31/12/2013)
LTV % (as of
31/12/2013)
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

P&L
Baseline Scenario
31/12/2013
(mln EUR)
Net interest income
988
Net trading income

Adverse Scenario
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
722
790
805
651
722
773
-3
-1
-2
-1
-1
-4
-2
-2
301
85
85
85
-7
-7
-7
840
411
503
502
226
322
357
-860
-184
-170
-170
-401
-426
-499
-863
-184
-170
-170
-401
-426
-499
-42
-50
-35
-27
-61
227
333
332
-226
-140
-168
-77
46
45
42
36
29
20
-138
272
378
373
-190
-111
-148
Tax
64
-82
-113
-112
57
33
45
Net income
-75
191
265
261
-133
-78
-104
-75
178
235
228
-133
-77
-103
-75
159
214
204
-133
-77
-103

through P&L (-)
Pre-Tax profit
18
21
24
0

RWA
(mln EUR)
Baseline Scenario
Adverse Scenario
as of 31/12/2013
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
30,093
30,284
30,240
29,965
30,460
30,498
30,388
1,231
1,325
1,381
1,418
1,518
1,691
1,806
28,862
28,960
28,860
28,547
28,942
28,807
28,582
118
118
118
118
118
118
118
3,111
3,110
3,110
3,113
3,110
3,110
3,112
30
30
30
30
30
30
30
33,351
33,543
33,501
33,224
33,718
33,758
33,647

Securitisation
(mln EUR)
Exposure values
Impairments
Banking Book
Total
Banking Book
Total
Total
Baseline scenario
Adverse scenario
as of 31/12/2013
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
3,713
21
0
3,734
1,221
10
1,231
0
22
1,313
12
1,325
5
22
1,368
12
1,381
8
22
1,405
13
1,418
11
22
1,504
15
1,518
30
22
1,673
17
1,691
48
22
1,787
19
1,806
69
22
22
27
30
33
52
69
91

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Belgium
Bulgaria
Cyprus
Czech Republic
Denmark
Estonia
Finland
France
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Germany
Croatia
Greece
Hungary
Iceland
Ireland
Italy
Latvia
Liechtenstein
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
322
0
0
0
0
322
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
322
0
0
0
0
322
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
322
0
0
0
0
322
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Lithuania
Luxembourg
Malta
Netherlands
Norway
Poland
Portugal
Romania
Slovakia
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Slovenia
Spain
Sweden
United Kingdom
Australia
Canada
Hong Kong
Japan
U.S.
0
0
0
0
0
0
0
0
2,809
2,302
3,078
1,097
966
2,648
1,464
14,364
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1,880
122
89
91
115
256
298
2,852
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
2,809
2,302
3,078
1,097
966
2,634
1,464
14,350
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
822
1,775
1,208
283
265
329
47
4,729
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
1
0
228
14
0
244
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
China
Switzerland

non EEA

Middle East

Caribbean
Africa
Others
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0


Capital
Baseline Scenario
(mln EUR)
A
As of 31/12/2013
Adverse Scenario
COREP CODE
REGULATION
OWN FUNDS
3,764
3,865
3,985
4,079
3,526
3,333
3,097
CA1 {1}
A.1

3,627
3,731
3,848
3,942
3,416
3,228
2,990
CA1 {1.1.1}
Article 50 of CRR
A.1.1
621
621
621
621
621
621
621
CA1 {1.1.1.1}
and 42 of CRR
604
604
604
604
604
604
604
-75
84
298
502
-209
-286
-388
CA1 {1.1.1.2}
of CRR
A.1.1.1
A.1.2
Retained earnings
A.1.3
17
15
11
-171
-191
-238
CA1 {1.1.1.3}

portfolio
18
18
18
18
-77
-42
-51
-1
-3
-7
-10
-93
-148
-186
2,434
2,434
2,434
2,434
2,434
2,434
2,434
CA1 {1.1.1.4}
A.1.3.1
A.1.3.2
A.1.4
Other Reserves
A.1.5
A.1.6
A.1.7

A.1.8
CA1 {1.1.1.5}
408
387
353
309
492
561
613
CA1 {1.1.1.7}
Article 84 of CRR
CA1 {1.1.1.9}

-18
-15
-11
-7
62
25
20
A.1.9
-40
-38
-36
-34
-38
-36
-34
CA1 {1.1.1.10 +
1.1.1.11}

A.1.10
-344
-313
-269
-229
-368
-386
-409
CA1 {1.1.1.12}
A.1.11
CA1 {1.1.1.13}
A.1.12
CA1 {1.1.1.14}
A.1.13
CA1 {1.1.1.15}
A.1.14
CA1 {1.1.1.16}
A.1.15
weight
CA1 {1.1.1.17 to
1.1.1.21}

CA1 {1.1.1.18.1}
(b) and 258 of CRR
OWN FUNDS
A.1.15.1
A.1.16
CA1 {1.1.1.22}
79 of CRR
A.1.17
differences
CA1 {1.1.1.23}
48(2) of CRR
A.1.18
-13
-4
-34
-52
-75
CA1 {1.1.1.24}
49(1) to (3) and 79 of CRR
A.1.19
-34
-22
-50
-62
-78
CA1 {1.1.1.25}
A.1.20
671
582
448
339
677
600
525
CA1 {1.1.1.6 + 1.1.8 +

1.1.26}
CA1 {1.1.1.6}
A.1.20.1
A.1.20.2
280
241
202
152
157
76
30
CA1 {1.1.1.8}
A.1.20.3

391
340
246
187
520
524
494
CA1 {1.1.1.26}

90
88
90
90
76
74
75
CA1 {1.1.2}
A.2.1
3,819
3,938
4,032
3,491
3,302
3,065
CA1 {1.1}
Article 25 of CRR
CA1 {1.2}
Article 71 of CRR
Article 61 of CRR
A.3
3,717
A.4
47
46
47
47
34
31
32
33,351
33,543
33,501
33,224
33,718
33,758
33,647
2,950

CRR
B.3
B.4
B.5
B.6

adjustments)
B.2
CAPITAL RATIOS (%)

Transitional period
Article 470 of CRR
A.2
B.1
OWN FUNDS
REQUIREMENTS

CET1 deduction (+)
lending to SMEs (-)
CA2 {1}
-460
Recital (44) of CRR
C.1
10.88%
11.12%
11.49%
11.87%
10.13%
9.56%
8.89%
CA3 {1}
C.2
11.15%
11.39%
11.75%
12.14%
10.35%
9.78%
9.11%
CA3 {3}
C.3
Total Capital ratio
11.29%
11.52%
11.89%
12.28%
10.46%
9.87%
9.20%
CA3 {5}
2,683
2,680
2,658
1,855
1,857
1,851
Memorandum items
F.1
10.85%

7.33%

Baseline scenario
Adverse scenario
CET1 impact
Risk exposure
amount impact
2013
2014
45
2015
2016
Total
(mln EUR)
CET1 impact
Risk exposure
amount impact
-336
-1
-343
78
-213
69
-222
75
-345
73
-347
198
-894
141
-913

Reduction of Branches and FTE, Portfolio Disvestments, No new loans in

legacy Unit
Reduction of Branches and FTE, Portfolio Disvestments, No new loans in
legacy Unit
Portfolio Disvestments No new loans in legacy Unit

Baseline scenario
(mln EUR)
Adverse scenario
As of
31/12/2013
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!

Impact on Common
Equity Tier 1
Million EUR

Tier 1 and Tier 2
Million EUR
Losses
Million EUR

Bank Name
ES - NCG Banco, S.A.
LEI Code
54930056IRBXK0Q1FP96
ES
NUK_WL_NR_XX
version
1809014
No restructuring

mln EUR, %
855
974

(1)

(1)
2,643
25,958
10.2%
mln EUR, %


747
1,506
2,643
(1)
25,958
(1)

13

Total Risk Exposure
(1)
(1)
mln EUR, %
855
974
(1)
10.2%
mln EUR, %
1,207
726
6
2,981
2,043
Total Risk Exposure
22,340
13.9%
Memorandum items
mln EUR
1,717
(1)
21,467
9.1%
Memorandum items
mln EUR
1,229
scenario (3)
01/01/2014.
01/01/2014.

Credit Risk
F-IRB
LTV % (as of
31/12/2013)
A-IRB
STA
F-IRB
A-IRB

STA
F-IRB
A-IRB
Baseline Scenario
STA
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
19,820
1,540
5,321
279
2,693
15,818
13,419
452
12,967
163
2,236
1,040
1,196
748
870
4,362
48,479
0
6
31
1,294
99
701
1,728
1,311
9
1,302
0
417
335
82
0
0
14
3,074
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
279
1,353
5,034
282
2,441
7,602
5,743
191
5,552
125
1,734
829
905
988
1,288
4,552
21,097
2
25
1,361
117
583
1,677
1,200
5
1,195
1
476
383
93
0
0
12
3,077
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
233
12
96
275
217
19
198
4
54
40
14
0
0
1
514
0
6
10
1,445
131
789
1,007
639
10
629
1
368
284
83
0
0
9
2,477
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
67.6%
42.4%
68.4%
Adverse Scenario
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
Coverage
Coverage
Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
as of 31/12/2015
as of 31/12/2016
Coverage
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Impairment rate
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0.33%
0.26%
2.33%
0.38%
0.23%
0.43%
0.22%
2.09%
1.18%
1.75%
0.68%
0.00%
51
19
1,802
0
0
1,355
877
30
847
9
469
352
117
0
66.86%
18.66%
51.15%
41.22%
37.87%
35.29%
37.92%
81.34%
47.80%
46.63%
51.89%
-
0.30%
0.25%
2.31%
0.38%
0.23%
0.35%
0.23%
2.28%
1.19%
1.71%
0.74%
0.00%
92
22
1,910
0
0
1,463
950
31
919
13
501
367
133
0
71.26%
17.21%
51.27%
44.32%
41.33%
31.27%
41.59%
86.42%
49.90%
48.10%
55.86%
-
0.26%
0.24%
2.09%
0.33%
0.18%
0.28%
0.17%
2.13%
1.16%
1.73%
0.69%
0.00%
128
25
2,000
0
0
1,561
1,018
32
986
16
527
387
141
0
81.27%
16.45%
50.95%
45.95%
43.37%
29.54%
43.77%
84.99%
50.57%
49.26%
54.72%
-
1.12%
0.57%
3.10%
0.41%
0.24%
0.78%
0.22%
2.36%
1.31%
1.91%
0.76%
5.01%
158
23
2,050
0
0
1,363
882
35
847
10
472
354
118
13
44.01%
16.30%
58.14%
41.33%
38.07%
44.78%
37.92%
80.80%
47.65%
46.54%
51.49%
100.00%
1.04%
0.50%
4.04%
0.45%
0.26%
0.80%
0.24%
2.97%
1.47%
2.07%
0.96%
0.00%
297
29
2,242
0
0
1,523
975
38
937
15
534
386
148
13
50.74%
15.10%
57.24%
45.96%
42.40%
38.26%
42.53%
95.12%
52.46%
49.96%
60.55%
100.00%
0.89%
0.44%
3.93%
0.39%
0.22%
0.80%
0.20%
2.45%
1.37%
2.08%
0.79%
0.50%
412
34
2,402
0
0
1,624
1,034
41
994
19
571
415
156
14
69.07%
14.69%
56.18%
47.28%
43.63%
35.16%
43.96%
91.80%
53.80%
52.16%
58.86%
100.00%
0.65%
3,227
46.47%
0.61%
3,488
48.12%
0.52%
3,714
48.89%
1.12%
3,608
49.57%
1.18%
4,104
51.42%
1.03%
4,486
52.78%
LTV % (as of
31/12/2013)
(mln EUR, %)
Spain

Institutions
Corporates
Retail
Which:
Retail - SME
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
68.7%
43.0%
69.5%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
19,807
1,461
5,094
279
2,476
15,290
12,962
419
12,543
163
2,165
980
1,186
748
853
4,355
47,608
0
F-IRB
6
31
1,090
99
518
1,703
1,301
2
1,299
0
403
322
81
0
0
14
2,845
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
277
1,336
4,826
282
2,243
7,324
5,523
176
5,347
125
1,677
780
897
988
1,265
4,548
20,565
2
25
1,079
117
326
1,649
1,196
3
1,193
0
453
362
91
0
0
12
2,767
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
5
224
12
87
271
215
18
197
4
52
39
14
0
0
1
501
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
6
10
1,234
131
584
975
633
5
628
0
342
262
80
0
0
9
2,234
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0.33%
0.26%
2.30%
0.38%
0.23%
0.43%
0.22%
2.09%
1.18%
1.75%
0.68%
0.00%
51
19
1,798
0
0
1,355
877
30
847
9
469
352
117
0
66.86%
18.66%
51.46%
41.22%
37.87%
35.29%
37.92%
81.34%
47.80%
46.63%
51.89%
-
0.30%
0.25%
2.28%
0.38%
0.23%
0.35%
0.23%
2.28%
1.19%
1.71%
0.74%
0.00%
92
22
1,905
0
0
1,463
950
31
919
13
501
367
133
0
71.26%
17.21%
51.60%
44.32%
41.33%
31.27%
41.59%
86.42%
49.90%
48.10%
55.86%
-
0.26%
0.24%
2.06%
0.33%
0.18%
0.28%
0.17%
2.13%
1.16%
1.73%
0.69%
0.00%
128
25
1,993
0
0
1,561
1,018
32
986
16
527
387
141
0
81.27%
16.45%
51.29%
45.95%
43.37%
29.54%
43.77%
84.99%
50.57%
49.26%
54.72%
-
1.12%
0.57%
3.06%
0.41%
0.24%
0.78%
0.22%
2.36%
1.31%
1.91%
0.76%
5.01%
158
23
2,044
0
0
1,363
882
35
847
10
472
354
118
13
44.01%
16.30%
58.43%
41.33%
38.07%
44.78%
37.92%
80.80%
47.65%
46.54%
51.49%
100.00%
1.04%
0.50%
3.99%
0.45%
0.26%
0.80%
0.24%
2.97%
1.47%
2.07%
0.96%
0.00%
297
29
2,233
0
0
1,523
975
38
937
15
534
386
148
13
50.74%
15.10%
57.54%
45.96%
42.40%
38.26%
42.53%
95.12%
52.46%
49.96%
60.55%
100.00%
0.89%
0.44%
3.89%
0.39%
0.22%
0.80%
0.20%
2.45%
1.37%
2.08%
0.79%
0.50%
412
34
2,393
0
0
1,624
1,034
41
994
19
571
415
156
14
69.07%
14.69%
56.48%
47.28%
43.63%
35.16%
43.96%
91.80%
53.80%
52.16%
58.86%
100.00%
0.65%
3,223
46.61%
0.61%
3,482
48.28%
0.52%
3,707
49.06%
1.11%
3,602
49.68%
1.17%
4,096
51.55%
1.03%
4,477
52.92%
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

Credit Risk
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
LTV % (as of
31/12/2013)
LTV % (as of
31/12/2013)
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
STA
F-IRB

A-IRB

F-IRB
A-IRB
STA
STA
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
Non-defaulted
as of 31/12/2016
Coverage
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Impairment rate
Coverage
as of 31/12/2016
Coverage
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
Stock
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
Non-defaulted
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
LTV % (as of
31/12/2013)
(mln EUR, %)

Institutions
Corporates
Retail
Which:- SME
Retail
Which: non-SME
Retail - Qualifying
Revolving
Equity
Securitisation
TOTAL
0.0%
0.0%
0.0%

A-IRB
F-IRB
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
F-IRB
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

A-IRB
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

F-IRB
A-IRB
STA
STA
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Non-defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Baseline Scenario
as of 31/12/2015
as of 31/12/2014
Defaulted
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
as of 31/12/2016
Adverse Scenario
as of 31/12/2015
as of 31/12/2014
Coverage
Coverage
Stock
Stock

Impairment Stock of
Ratio - Default
Ratio - Default
Default Stock
rate
Provisions
rate
Provisions
rate
Provisions
Impairment rate
as of 31/12/2016
Coverage
Coverage
Stock
Stock
Coverage
Stock of
Impairment Stock of
Impairment Stock of
Ratio - Default
Ratio - Default
Ratio - Default
Provisions
rate
Provisions
rate
Provisions
Stock
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

P&L
Baseline Scenario
31/12/2013
(mln EUR)
Net interest income
635
Net trading income

Adverse Scenario
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
590
613
620
453
533
506
-5
-3
-3
-8
-5
-4
-3
-2
-1
-6
-4
-3
655
90
85
75
55
52
44
855
372
407
428
189
284
274
-844
-234
-264
-229
-615
-500
-386

through P&L (-)
-619
-234
-264
-229
-615
-500
-386
-225
-130
-2
-2
-2
-119
138
144
199
-428
-218
-114
-322
-1
-1
-1
Pre-Tax profit
-441
138
144
199
-429
-219
-115
441
-41
-43
-60
129
66
34
Net income
97
101
139
-300
-153
-80
97
101
139
-300
-153
-80
97
101
139
-300
-153
-80
Tax
0
0
0
0

RWA
(mln EUR)
Baseline Scenario
Adverse Scenario
as of 31/12/2013
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
as of 31/12/2014
as of 31/12/2015
as of 31/12/2016
24,175
22,028
21,000
19,684
22,567
21,758
20,557
1,288
1,341
1,368
1,384
1,486
1,598
1,669
22,887
20,688
19,632
18,300
21,081
20,160
18,888
38
38
38
38
38
38
38
1,731
1,731
1,731
1,731
1,731
1,731
1,731
14
14
14
14
14
14
14
25,958
23,811
22,782
21,467
24,350
23,541
22,340

Securitisation
(mln EUR)
Exposure values
Impairments
Banking Book
Total
Banking Book
Total
Total
Baseline scenario
Adverse scenario
as of 31/12/2013
31/12/2014
31/12/2015
31/12/2016
31/12/2014
31/12/2015
31/12/2016
870
0
0
871
1,288
0
1,288
0
0
1,340
0
1,341
3
1
1,367
0
1,368
5
2
1,384
0
1,384
7
3
1,486
0
1,486
3
1
1,598
0
1,598
6
3
1,669
0
1,669
9
4
10
13

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Belgium
Bulgaria
Cyprus
Czech Republic
Denmark
Estonia
Finland
France
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Germany
Croatia
Greece
Hungary
Iceland
Ireland
Italy
Latvia
Liechtenstein
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
48
0
0
58
0
0
106
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
8
0
0
8
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
48
0
0
58
0
0
106
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Lithuania
Luxembourg
Malta
Netherlands
Norway
Poland
Portugal
Romania
Slovakia
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4
0
0
0
6
9
19
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
6
9
15
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4
0
0
0
6
9
19
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4
0
0
0
0
0
4
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
Slovenia
Spain
Sweden
United Kingdom
Australia
Canada
Hong Kong
Japan
U.S.
0
0
0
0
0
0
0
0
1,092
3,415
994
2,086
1,283
546
130
9,546
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
187
284
83
63
258
263
97
1,233
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
1,092
3,415
994
2,086
1,283
546
130
9,546
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
77
211
310
661
54
228
3
1,544
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

(mln EUR)
GROSS DIRECT LONG

of provisions)
(1)
(1)
Residual Maturity

31/12/2013

31/12/2013

at 31/12/2013

value at 31/12/2013
Country / Region
of which: loans
and advances
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
[ 0 - 3M [
[ 3M - 1Y [
[ 1Y - 2Y [
[ 2Y - 3Y [
[3Y - 5Y [
[5Y - 10Y [
[10Y - more
Tot
Austria
China
Switzerland

non EEA

Middle East

Caribbean
Africa
Others
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: AFS
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
of which: FVO
of which: Financial
(designated at fair
assets held for
value through
trading
profit&loss)
(2)
banking book
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Notional value
Fair-value at
31/12/2013 (+)
Notional value
(-)
Notional value
Fair-value at
31/12/2013 (+)
Notional value
Fair-value at
31/12/2013 (-)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0


Capital
Baseline Scenario
(mln EUR)
A
As of 31/12/2013
Adverse Scenario
COREP CODE
REGULATION
OWN FUNDS
2,643
2,739
2,845
2,981
2,330
2,155
2,043
CA1 {1}
A.1

2,643
2,739
2,845
2,981
2,330
2,155
2,043
CA1 {1.1.1}
Article 50 of CRR
A.1.1
7,848
7,848
7,848
7,848
7,848
7,848
7,848
CA1 {1.1.1.1}
and 42 of CRR
97
198
337
-300
-453
-533
CA1 {1.1.1.2}
of CRR
A.1.1.1
A.1.2
Retained earnings
A.1.3
16
-3
-8
-86
-100
-121
CA1 {1.1.1.3}

portfolio
21
21
21
21
-26
-5
-4
41
30
22
18
-15
-48
-71
-5,190
-5,190
-5,190
-5,190
-5,190
-5,190
-5,190
CA1 {1.1.1.4}
A.1.3.1
A.1.3.2
A.1.4
Other Reserves
A.1.5
CA1 {1.1.1.5}
A.1.6
23
23
23
23
23
23
23
CA1 {1.1.1.7}
Article 84 of CRR
A.1.7

55
55
55
55
55
55
55
CA1 {1.1.1.9}
A.1.8

A.1.9
A.1.10
CA1 {1.1.1.12}
A.1.11
CA1 {1.1.1.13}
A.1.12
-20
-20
-20
-20
-20
-20
-20
CA1 {1.1.1.14}
A.1.13
CA1 {1.1.1.15}
A.1.14
CA1 {1.1.1.16}
A.1.15
weight
CA1 {1.1.1.17 to
1.1.1.21}

CA1 {1.1.1.18.1}
(b) and 258 of CRR
-44
-44
-44
-44
-44
-44
-44
CA1 {1.1.1.10 +
1.1.1.11}

OWN FUNDS
A.1.15.1
A.1.16
CA1 {1.1.1.22}
79 of CRR
A.1.17
differences
CA1 {1.1.1.23}
48(2) of CRR
A.1.18
CA1 {1.1.1.24}
49(1) to (3) and 79 of CRR
A.1.19
A.1.20
CA1 {1.1.1.25}
-23
-21
44
35
24
CA1 {1.1.1.6 + 1.1.8 +

1.1.26}
CA1 {1.1.1.6}
A.1.20.2
-5
-5
-9
-14
-5
-9
-14
CA1 {1.1.1.8}
A.1.20.3

-42
-30
-14
-7
48
44
38
CA1 {1.1.1.26}
Article 470 of CRR
A.2

adjustments)
CA1 {1.1.2}
A.2.1
2,739
2,845
2,981
2,330
2,155
2,043
CA1 {1.1}
Article 25 of CRR
CA1 {1.2}
Article 71 of CRR
CA2 {1}
A.3
2,643
A.4
25,958
B.3
B.4
B.5
B.6
-35
B.2
CAPITAL RATIOS (%)

Transitional period
-47
A.1.20.1
B.1
OWN FUNDS
REQUIREMENTS

CET1 deduction (+)
lending to SMEs (-)
Article 61 of CRR
23,811
22,782
21,467
24,350
23,541
22,340

CRR
154
-164
Recital (44) of CRR
C.1
10.18%
11.50%
12.49%
13.89%
9.57%
9.15%
9.14%
CA3 {1}
C.2
10.18%
11.50%
12.49%
13.89%
9.57%
9.15%
9.14%
CA3 {3}
C.3
Total Capital ratio
10.18%
11.50%
12.49%
13.89%
9.57%
9.15%
9.14%
CA3 {5}
1,905
1,823
1,717
1,339
1,295
1,229
Memorandum items
F.1
13.99%

9.03%

Baseline scenario
Adverse scenario
CET1 impact
Risk exposure
amount impact
CET1 impact
Risk exposure
amount impact
2013
2014
44
-2,773
62
-2,748
2015
-916
80
-908
2016
113
-1,263
99
-1,229
Total
164
-4,953
241
-4,885
(mln EUR)

There are three limits on the Restructuring Plan approved by the European
Commission which affect directly the stress test exercise: Total balance sheet,
gross loans and RWA. Impact in 2014

Baseline scenario
(mln EUR)
Adverse scenario
As of
31/12/2013
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
As of
31/12/2014
As of
31/12/2015
As of
31/12/2016
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!

Impact on Common
Equity Tier 1
Million EUR

Tier 1 and Tier 2
Million EUR
Losses
Million EUR

Test Stress Banca Española 2014

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Test Stress Banca Española 2014

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2014 EU-wide Stress Test

ES - Banco Santander, S.A.

2014 EU-wide Stress Test

2014 EU-wide Stress Test

Summary Adverse Scenario

Summary Baseline Scenario

ES - Banco Santander, S.A.

ES - Banco Santander, S.A.

Actual figures as of 31 December 2013

Impairment losses on financial and non-financial assets in the banking book

Total Risk Exposure (1)

Outcome of the adverse scenario as of 31 December 2016

Actual figures as of 31 December 2013

Common Equity Tier 1 capital

Total Risk Exposure (1)

Common Equity Tier 1 ratio, %

Outcome of the baseline scenario as of 31 December 2016

3 yr cumulative operating profit before impairments

3 yr cumulative operating profit before impairments

3 yr cumulative losses from the stress in the trading book

3 yr cumulative losses from the stress in the trading book

Common Equity Tier 1 capital

Total Risk Exposure

Common Equity Tier 1 ratio, % (1)

Common Equity Tier 1 capital

Common Equity Tier 1 ratio, % (1)

Common EU wide CET1 Threshold (5.5%)

2014 EU-wide Stress Test

Risk exposure amounts (as of 31/12/2013)

Value adjustments and provisions (as of 31/12/2013)

ES - Banco Santander, S.A.

Central banks and central governments

Central banks and central governments

Exposure values (as of 31/12/2013)

Risk exposure amounts (as of 31/12/2013)

Value adjustments and provisions (as of 31/12/2013)

Impairment Stock of Coverage Ratio - Impairment Stock of

Central banks and central governments

Exposure values (as of 31/12/2013)

Risk exposure amounts (as of 31/12/2013)

Value adjustments and provisions (as of 31/12/2013)

Impairment Stock of Coverage Ratio - Impairment Stock of

Central banks and central governments

Exposure values (as of 31/12/2013)

Risk exposure amounts (as of 31/12/2013)

Value adjustments and provisions (as of 31/12/2013)

Impairment Stock of Coverage Ratio - Impairment Stock of

Central banks and central governments

Exposure values (as of 31/12/2013)

Risk exposure amounts (as of 31/12/2013)

Value adjustments and provisions (as of 31/12/2013)

Impairment Stock of Coverage Ratio - Impairment Stock of

Central banks and central governments

Exposure values (as of 31/12/2013)

Risk exposure amounts (as of 31/12/2013)

Value adjustments and provisions (as of 31/12/2013)

Impairment Stock of Coverage Ratio - Impairment Stock of

2014 EU-wide Stress Test

Central banks and central governments

Exposure values (as of 31/12/2013)

Risk exposure amounts (as of 31/12/2013)

Value adjustments and provisions (as of 31/12/2013)

Impairment Stock of Coverage Ratio - Impairment Stock of

Central banks and central governments