Basel Committee on Banking Supervision Basel III implementation monitoring template

81696535.xls General Info

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A 1

General information

v2.2.2

2 A) General bank data 3 1) Reporting data 4 Country code 5 Region code 6 Bank number 7 CMG-relevant 8 Bank is a single legal entity 9 Bank is a subsidiary of a banking group 10 Bank is a subsidiary with a non-EU parent (EU only) 11 12 13 14 15 16 17 18 19 20 21 22 23 Bank type Bank group Bank type (numeric) Conversion rate (in Euros/reporting currency) Submission date (yyyy-mm-dd) Use capital data Use leverage ratio data Use liquidity data Reporting date (yyyy-mm-dd) Reporting currency (ISO code) Unit (1, 1000, 1000000) Accounting standard

No No No No Joint stock company

1.0000 Yes Yes Yes

24 2) Approaches to credit risk 25 Basel I 26 Basel II/III standardised approach 27 Basel II/III FIRB approach 28 Basel II/III AIRB approach 29 30

The Basel III implementation monitoring workbook available for download on the Committees website is for information purposes only. While the structure of the workbooks used for this data collection exercise is the same in all participating countries, it is important that banks only use the workbook obtained from their respective national supervisory agency to submit their returns. Only these workbooks are adjusted to reflect the particularities of the regulatory frameworks in participating countries.

No No No No

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31 B) Current capital applying rules as of 32 Data in cells C37 to C48 must be in line with regulatory reporting. 33 34 35 36 Total capital 37 Total Common Equity Tier 1 capital 38 Prior to regulatory adjustments 39 Regulatory adjustments 40 Additional Tier 1 capital 41 Prior to regulatory adjustments 42 Regulatory adjustments 43 Tier 1 capital 44 Tier 2 capital 45 Prior to regulatory adjustments 46 Regulatory adjustments 47 Tier 3 capital 48 RWA impact of applying future definition of capital rules 49 50 51 C) Capital distribution data (for the six months period ending on the reporting date) 52 53 Income 54 Profit after tax 55 Profit after tax prior to the deduction of relevant (ie expensed) distributions below 56 Distributions 57 Common share dividends 58 Other coupon/dividend payments on Tier 1 instruments 59 Common stock share buybacks 60 Other Tier 1 buyback or repayment (gross) 61 Discretionary staff compensation/bonuses 62 Capital raised (gross) 63 CET1 64 Other Tier 1 65 Tier 2 66 67

Reporting date Amount

2022 Amount

Amount

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68 D) Overall capital requirements and actual capital ratios 69 Data in green cells can typically be provided by national supervisors based on regulatory reporting data. Enter 0 for capital charges not in force at a particular reporting date. 70 71 1) Data for all banks 72 a) Credit risk (including CCR and non-trading credit risk) 73 74 75

RWA According to rules at reporting date Basel I Basel II/III standardised approach Basel II/III IRB approaches

Basel 2.5/Basel III rules Basel II/III standardised approach Basel II/III IRB approaches

76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106

Corporate (not including receivables); of which: Counterparty credit risk exposures (not including CVA charges or charges for exposures to CCPs) Specialised lending exposures Other exposures Sovereign; of which: Counterparty credit risk exposures (not including CVA charges or charges for exposures to CCPs) Other exposures Bank; of which: Counterparty credit risk exposures (not including CVA charges or charges for exposures to CCPs) Other exposures Retail; of which: Counterparty credit risk exposures (not including CVA charges or charges for exposures to CCPs) Other exposures Equity Purchased receivables Securitisations Related entities Funds/collective investment schemes Other assets Partial use (if not assigned to a portfolio) Trading book counterparty credit risk exposures (if not included above) CVA capital charge (risk-weighted asset equivalent); of which: Advanced CVA risk capital charge Standardised CVA risk capital charge Exposures to CCPs; of which: Trade-related exposures Capital charge for default fund exposures (risk-weighted asset equivalent) Credit risk-weighted assets which the bank is unable to assign to one of the above categories Total Total risk-weighted assets for credit risk

0 0

0 0

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107 b) Market risk 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134

Capital charge Rules as at reporting date Basel 2.5 rules

Standardised measurement method, general interest rate and equity position risk Standardised measurement method, specific interest rate and equity position risk; of which: Specific interest rate risk Specific equity position risk Standardised measurement method, foreign exchange and commodities risk Internal model method, without the specific risk surcharge, actual capital charge Current 10-day 99% value-at-risk (without applying the multiplier) 10-day 99% stressed value-at-risk (without applying the multiplier) Internal model method, specific risk surcharge (2011 only) Incremental risk capital charge Correlation trading portfolio Comprehensive risk model, before application of the floor Standardised measurement method (100%) for exposures subject to the CRM Net long exposures Net short exposures Standardised measurement method for exposures not subject to the CRM Net long exposures Net short exposures Standardised measurement method for other securitisation exposures and n-th-to-default credit derivatives Net long exposures Net short exposures Other Pillar 1 requirements for market risk Market risk capital charge which the bank is unable to assign to one of the above categories Total capital charge for market risk

135 c) Other Pillar 1 capital requirements 136 137 Settlement risk 138 Other Pillar 1 requirements

RWA

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139 2) Data for Basel II/III banks 140 a) Operational risk 141 142 Basic indicator approach 143 Standardised approach 144 Alternative standardised approach 145 Advanced measurement approach 146 Total risk-weighted assets for operational risk

RWA

147 b) Data on transitional floors 148 149 Additional risk-weighted assets to adjust for the transitional floor 150 151 152 Level of the floor according to the national implementation 153 Actual CET1 capital ratio (after application of the transitional floor) 154 Actual Tier 1 capital ratio (after application of the transitional floor) 155 Actual total capital ratio (after application of the transitional floor)

RWA

[%]

156 c) Additional data on CCR RWA 157 158 Number of counterparties to which the ACVA is applied 159 Number of counterparties to which the SCVA is applied 160 Number of counterparties to which both the ACVA and SCVA are applied 161 Total number of counterparties for which a CVA charge is calculated 162 163 Total EAD that entered the ACVA calculation 164 Total EAD that entered the SCVA calculation 165 Total EAD for CVA charge 166 167 Number of ACVA counterparts that have actively traded credit spreads (ie liquid CDS) 168 Number of ACVA counterparts where a proxy was used to determine a counterparty's credit spreads 169 170 RWA from VaR component for ACVA 171 RWA from stressed VaR component for ACVA 172 Start of stress period used for exposure for stressed VaR component of ACVA (yyyy-mm-dd) 173 Start of stress period used for spreads for stressed VaR component of ACVA (yyyy-mm-dd) 174 175 Sum of CVA EADs belonging to margined netting sets 176 Sum of CVA EADs for CCPs (if not excluded by the national supervisor per paragraph 99 of Basel III) 177 Sum of CVA EADs for repo lending EADs (if not excluded by the national supervisor per paragraph 99 of Basel III) 178 Sum of CVA EADs belonging to non-margined netting sets 179 180 Advanced CVA banks only 181 Did you set the full maturity adjustment to 1 while calculating Basel III RWA?

No

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182 3) Risk-weighted assets and capital ratios (Basel II banks: before application of the Basel II floors) 183 184 Rules as at reporting date Impact of Basel III definition of capital Total risk-weighted assets (Basel II/III banks: before application of the transitional floors)

RWA Basel III rules (partial application)

185 186 187 188 189 190 191 192 193 194 195

[%] Rules as at reporting date Basel III rules (partial application)

Capital ratios (actual capital, rules as of the relevant date) CET1 (Basel II/III banks: before application of the transitional floor) Tier 1 (Basel II/III banks: before application of the transitional floor) Total (Basel II/III banks: before application of the transitional floor)

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81696535.xls DefCapB3

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A 1

Basel III definition of capital

2 A) Change in risk-weighted assets due to the application of the definition of capital (including changes related to the 10%/15% thresholds) 3 4 Increases in risk-weighted assets to be reported as a positive value and decreases as a negative value. 5 6 Goodwill 7 Other intangibles (excluding goodwill and mortgage servicing rights) 8 Own shares 9 Defined benefit pension fund assets 10 Deferred tax assets (assuming full deduction prior to application of 10/15% thresholds) 11 Mortgage servicing rights (assuming full deduction prior to application of 10/15% thresholds) 12 Significant investments in the common stock of other financial entities (assuming full deduction prior to application of 10/15% thresholds) 13 Investments in the Additional Tier 1 capital of other financial entities in which bank has significant common stock investment 14 Investments in the Tier 2 capital of other financial entities in which bank has significant common stock investment 15 Investments in the capital of financial entities where the bank does not own more than 10% of the issued common share capital (assuming full deduction of all such investments including amounts in cells D198 to D200) 16 Risk-weighted assets resulting from amounts below the 10/15% thresholds and the threshold for investements in the capital of financial entities where the bank does not more than 10% of the issued common share capital 17 Impact on RWA due to Basel II 50:50 deductions; of which 18 Securitisation exposures (except securitisation gain on sale) 19 Equity exposures under the PD/LGD approach 20 Non-payment/delivery on non-DvP and non-PvP transactions 21 Significant investments in commercial entities 22 Other 23 Total 24 25

RWA

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26 B) Definition of capital 27 1) Common Equity Tier 1 capital 28 29 Basel III para ref 52, 53 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 52, 53 Item Paid in capital This should be equal to the sum of common stock (andrelated surplus only) and other instruments for non joint stock companies, both of which must meet the common stock critieria. This should be net of treasury stock and other investments in own shares to the extent that these are already derecognised on the balance sheet under the relevant accounting standards. Other paid in capital elements must be excluded. All minority interest must be excluded. Retained earnings This should be the full amount prior to the application of all regulatory adjustments Accumulated other comprehensive income (and other reserves); of which: This should be the full amount prior to the application of all filters and deductions 52, 53 52, 53 52, 53 52, 53 52, 53 52, 53 52, 53 6264 unrealised gains and losses on available for sale items (if applicable) gains and losses on derivatives held as cash flow hedges (if applicable) gains and losses resulting from converting foreign currency subsidiaries to the parent currency (if applicable) actuarial reserve (if applicable) unrealised gains and losses from a foreign currency hedge of a net investment in a foreign operation (if applicable) property revaluation reserve (if applicable) all other reserves (if applicable) Total Common Equity Tier 1 capital attributable to parent company common shareholders Total minority interest given recognition in Common Equity Tier 1 capital (sum of relevant output of DefCapB3-MI worksheet after application to every subsidary that has issued capital held by third parties) Total group Common Equity Tier 1 capital prior to regulatory adjustments Goodwill, net of related deferred tax liability Intangibles other than mortgage servicing rights, net of related deferred tax liability Deferred tax assets (excluding temporary differences only), net of related deferred tax liabilities Investments in own shares (excluding amounts already derecognised under the relevant accounting standards) Reciprocal cross holdings in common equity Shortfall of provisions to expected losses Cash flow hedge reserve Cumulative gains and losses due to changes in own credit risk on fair valued liabilities Defined benefit pension fund assets Securitisation gain on sale (expected future margin income) as set out in paragraph 562 of the Basel II framework Total Common Equity Tier 1 capital after the regulatory adjustments above Investments in the capital of financial entities where the bank does not own more than 10% of the issued common share capital (amount above the 10% threshold) Total Common Equity Tier 1 capital after the regulatory adjustments above Significant investments in the common stock of financial entities (amount above 10% threshold) Mortgage servicing rights (amount above 10% threshold) Deferred tax assets arising from temporary differences (amount above 10% threshold) Total Common Equity Tier 1 capital after the regulatory adjustments above Regulatory adjustments to be applied to Common Equity Tier 1 due to insufficient Additional Tier 1 to cover deductions Total Common Equity Tier 1 capital after the regulatory adjustments above Amount exceeding the 15% threshold Common Equity Tier 1 capital Amount

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64 2) Tier 1 capital 65 66 67 68 69 70 71 72 73 74 75 Basel III para ref 55, 56 6264 Item Total common equity Tier 1 capital Additional Tier 1 instruments issued by parent company of group (and any related surplus), including any compliant capital issued via SPVs as determined by paragraph 65 of Basel III Instruments that meet the Additional Tier 1 criteria issued by subsidiaries to third parties that are given recognition in group Additional Tier 1 capital (sum of relevant output of DefCapB3-MI worksheet after application to every subsidary that has issued capital held by third parties) Total Tier 1 capital prior to regulatory adjustments Regulatory adjustments to be deducted from Additional Tier 1 capital Tier 2 regulatory adjustments which have to be deducted from Additional Tier 1 capital Total regulatory adjustments to Additional Tier 1 capital; of which Regulatory adjustments actually made to Additional Tier 1 capital Tier 1 capital Amount

76 3) Total capital 77 78 79 80 81 82 83 84 85 86 87 Basel III para ref 58, 59 6264 Item Tier 1 capital Tier 2 capital instruments issued by parent company of group (and any related surplus), including any compliant capital issued via SPVs as determined by paragraph 65 of Basel III Instruments that meet the Tier 2 criteria issued by subsidiaries to third parties that are given recogntion in Tier 2 capital (sum of relevant output of DefCapB3-MI worksheet after application to every subsidary that has issued capital held by third parties) Provisions included in Tier 2 capital Total capital prior to regulatory adjustments Regulatory adjustments to be deducted from Tier 2 capital; of which Regulatory adjustments actually made to Tier 2 capital instruments Total capital Amount

88 C) Regulatory adjustments 89 1) Goodwill 90 91 92 93 94 Basel III para ref 6768 6768 Item Total gross value of goodwill Associated deferred tax liability which would be extinguished if the goodwill becomes impaired or derecognised under the relevant accounting standards Goodwill net of related tax liability (amount to be deducted from Common Equity Tier 1 capital) Amount

95 2) Intangibles (excluding goodwill and mortgage servicing rights only) 96 97 98 99 100 Basel III para ref 6768 6768 Item Total gross value of all assets classified as intangible under the relevant accounting standards (excluding goodwill and mortgage servicing rights) Associated deferred tax liability which would be extinguished if the intangible becomes impaired or derecognised under the relevant accounting standards Intangibles (excluding goodwill and mortgage servicing rights) net of related tax liability (amount to be deducted from Common Equity Tier 1 capital) Amount

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101 3) Deferred tax assets 102 103 104 105 106 107 108 109 110 111 112 113 Basel III para ref 70 70 Deferred tax assets which do not rely on the future profitability of the bank to be realised Total value of deferred tax assets which do not rely on the future profitability of the bank to be realised (gross amount) Total value of deferred tax assets which do not rely on the future profitability of the bank to be realised (net amount) Deferred tax assets which do rely on the future profitability of the bank to be realised Total value of deferred tax assets which do rely on the future profitability of the bank to be realised (gross amount) Total value of deferred tax assets which do rely on the future profitability of the bank to be realised (net amount); of which: amounts arising from carryforwards of unused tax losses, unused tax credits and all other (net of pro rata share of any DTLs) amounts arising from temporary differences (net of pro rata share of any DTLs) Amount to be deducted from Common Equity Tier 1 capital in full Amount to be subject to the threshold for deduction Item Amount

69 69 69

114 4) Investments in own shares, own Additional Tier 1 and own Tier 2 capital 115 116 117 118 119 120 121 122 123 124 125 126 127 128 Basel III para ref 78 78 78 78 78 78 78 78 78 Item Direct investments in own shares, net of any short positions if the short positions involve no counterparty risk Indirect investments in own shares (eg through holdings of index securities in which the bank itself is a constituent), net of any short positions For own shares which the group could be contractually obliged to purchase, the total potential purchase cost Total amount to be deducted from Common Equity Tier 1 capital Direct investments in own Additional Tier 1 capital, net of any short positions if the short positions involve no counterparty risk Indirect investments in own Additional Tier 1 capital (eg through holdings of index securities in which the bank itself is a constituent), net of any short positions For own Additional Tier 1 capital which the group could be contractually obliged to purchase, the total potential purchase cost Total amount to be deducted from Additional Tier 1 capital Direct investments in own Tier 2 capital, net of any short positions if the short positions involve no counterparty risk Indirect investments in own Tier 2 capital (eg through holdings of index securities in which the bank itself is a constituent), net of any short positions For own Tier 2 capital which the group could be contractually obliged to purchase, the total potential purchase cost Total amount to be deducted from Tier 2 capital Amount

129 5) Reciprocal cross holdings in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation 130 131 132 133 134 Basel III para ref 79 79 79 Item Holdings of common stock that are part of a reciprocal cross holding arrangement Holdings of Additional Tier 1 capital or similar instruments that are part of a reciprocal cross holding arrangement (= amount to be deducted from Additional Tier 1 capital) Holdings of Tier 2 capital or similar instruments that are part of a reciprocal cross holding arrangement (= amount to be deducted from Tier 2 capital) Amount

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135 6) Provisions and expected losses 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 Basel III para ref 73 73 61 Item For IRB portfolios Total gross provisions eligible for inclusion in the adjustment to capital in respect of the difference between expected loss and provisions Total expected loss eligible for inclusion in the adjustment to capital in respect of the difference between expected loss and provisions Shortfall of provisions to expeced losses to be deducted from Common Equity Tier 1 capital (gross of any tax adjustement) Cap for inclusion of excess provisions in Tier 2 capital (0.6% of credit risk-weighted assets) Excess of provisions to expected losses related to IRB portfolios to be included in Tier 2 capital For standardised approach portfolios Total gross provisions eligible for inclusion in Tier 2 capital Cap for inclusion of provisions in Tier 2 capital (1.25% of credit risk-weighted assets) Total provisions related to standardised approach to be included in Tier 2 capital For portfolios subject to Basel I Total gross provisions eligible for inclusion in Tier 2 capital Cap for inclusion of provisions in Tier 2 capital (1.25% of credit risk-weighted assets) Total provisions related to Basel I portfolios to be included in Tier 2 capital Total amount in respect of provisions to be included in Tier 2 Amount

60 60

153 7) Cash flow hedge reserve 154 155 156 157 158 159 160 161 Basel III para ref 7172 7172 7172 7172 Item Total positive or negative value of the cash flow hedge reserve as stated on the balance sheet; of which: positive or negative amount that relates to the hedging of projected cash flows that are not recognised on the balance sheet (if gain report as positive; if loss report as negative) positive or negative amount that relates to the hedging of projected cash flows on assets that are recognised on the balance sheet but are not fair valued on the balance sheet (eg loans and receivable) (if gain report as positive; if loss report as negative) positive or negative amount that relates to the hedging of projected cash flows on liabilities that are recognised on the balance sheet but are not fair valued on the balance sheet (if gain report as positive; if loss report as negative) other items, including those related to projected cash flows on assets and liabilities which are recognised on the balance sheet and are fair valued (if gain report as positive; if loss report as negative) Amount to be deducted from (or added to if negative) Common Equity Tier 1 capital Amount

162 8) Cumulative gains and losses due to changes in own credit risk on fair valued liabilities 163 164 165 Basel III para ref 75 Item Total cumulative net gains and (losses) in equity due to changes in the fair value of liabilities that are due to a change in the bank's own credit risk. Amount to be deducted from (or added to if negative) Common Equity Tier 1 capital (if gain report as positive; if loss report as negative) Amount

166 9) Defined benefit pension fund assets 167 168 169 170 171 172 Basel III para ref 7677 7677 7677 Item For every separate defined benefit pension scheme which gives rise to a net asset on the balance sheet, the total of such net assets less any associated deferred tax liability that would be extinguished if the asset should be impaired Amount by which the above deduction from capital can be reduced by demonstrating unrestricted and unfettered access to assets in the relevant funds Amount to be included in risk-weighted assets in respect of the amounts used above to offset the deduction of pension fund assets Total amount to be deducted from Common Equity Tier 1 capital Amount

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173 10) Securitisation gain on sale (expected future margin income) as set out in paragraph 562 of the Basel II framework 174 175 176 Basel III para ref 74 Item Securitisation gain on sale (expected future margin income) as set out in paragraph 562 of the Basel II framework Amount

177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205

11) Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation and where the bankdoes not own more than 10% of the issued common share capital (excluding amounts held for underwriting purposes only if held for 5 working days or less)
Basel III para ref 8083 8083 8083 8083 8083 8083

Item Gross holdings of common stock Permitted offsetting short positions in relation to the specific gross holdings included above Holdings of common stock net of short positions Gross holdings of Additional Tier 1 capital Permitted offsetting short positions in relation to the specific gross holdings included above Holdings of Additional Tier 1 capital net of short positions Gross holdings of Tier 2 capital Permitted offsetting short positions in relation to the specific gross holdings included above Holdings of Tier 2 capital net of short positions Sum of all net holdings where the bank does not own more than 10% of the issued share capital Common Equity Tier 1 capital after all regulatory adjustments that do not depend on a threshold Amount by which the sum of all holdings exceeds 10% of the Common Equity Tier 1 capital of the bank after all deductions that do not depend on a threshold (this is the amount to be deducted from regulatory capital) Allocation of the deduction to Common Equity Tier 1 capital Allocation of the deduction to Additional Tier 1 capital Allocation of the deduction to Tier 2 capital Amounts not deducted (to be subject to relevant risk weighting with amounts below allocated on a pro rata basis in accordance with paragraph 83 of Basel III) Holdings of common stock net of short positions Holdings of Additional Tier 1 capital net of short positions Holdings of Tier 2 capital net of short positions Total risk weighted assets of amounts not deducted set out in cells D198 to D200); of which amounts that relate to: Holdings of common stock net of short positions (ie risk weighted assets of exposures in cell D198) Holdings of Additional Tier 1 capital net of short positions (ie risk weighted assets of exposures in cell D199) Holdings of Tier 2 capital net of short positions (ie risk weighted assets of exposures in cell D200)

Amount

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206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222

12) Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation (ie where the bank owns more than 10% of the issued common share capital or where the entity is an affiliate), excluding amounts held for underwriting purposes only if held for 5 working days or less
Basel III para ref 8486 8486 8486 8486 8486 8486

Item Gross holdings of common stock Permitted offsetting short positions in relation to the specific gross holdings included above Holdings of common stock net of short positions Gross holdings of Additional Tier 1 capital Permitted offsetting short positions in relation to the specific gross holdings included above Holdings of Additional Tier 1 capital net of short positions Gross holdings of Tier 2 capital Permitted offsetting short positions in relation to the specific gross holdings included above Holdings of Tier 2 capital net of short positions Common Equity Tier 1 capital after all regulatory adjustments except significant investments in financials, MSRs and DTA temporary difference) Amount to be deducted from Common Equity Tier 1 capital as a result of application of 10% cap Amount to be deducted from Additional Tier 1 capital Amount to be deducted from Tier 2 capital

Amount

223 13) Mortgage servicing rights 224 225 226 227 228 229 230 Basel III para ref 87 87 Item Total mortgage servicing rights classified as intangible Associated deferred tax liability which would be extinguished if the intangible becomes impaired or derecognised under the relevant accounting standards Mortgage servicing rights net of related tax liability Common Equity Tier 1 after all regulatory adjustments except significant investments in financials, MSRs and DTA temporary difference) Amount to be deducted from Common Equity Tier 1 capital as a result of application of 10% cap Amount

231 14) Deferred tax assets due to temporary differences 232 Net deferred tax assets due to temporary differences 233 Common Equity Tier 1 capital after all regulatory adjustments except significant investments in financials, MSRs and DTA temporary differences) 234 Amount to be deducted from Common Equity Tier 1 capital as a result of application of 10% cap 235

Amount

236 15) Aggregate of items subject to the 15% limit (significant investments in financial institutions, mortgage servicing rights and DTAs that arise from temporary differences) 237 Significant investments in the common equity of financial entities not deducted as part of the 10% cap 238 Mortgage servicing rights not deducted as part of the 10% cap 239 Deferred tax assets due to temporary differences not deducted as part of the 10% cap 240 Sum of significant investments in financials, mortgage servicing rights and DTA temporary differences not deducted as a result of the 10% cap 241 Deduction from Common Equity Tier 1 capital in respect of amounts above the 15% cap 242 243 Assumed amounts not deducted (to be subject to 250% risk weighting) 244 Significant investments in the common equity of financial entities 245 Mortgage servicing rights 246 Deferred tax assets due to temporary differences 247 Total 248 249

Amount

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A 1

Basel III definition of capital minority interest calculation

(A separate column should be completed for each subsidairy issuing capital to third parties)

2 D) Capital issued out of subsidiaries to third parties (paragraphs 62-65)

3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 Basel III para ref 62 62 62 63 63 63 64 64 64 6264 6264 Item Total Common Equity Tier 1 capital of the subsidiary net of deductions (if the subsidiary is not a bank, as defined in footnote 23 of the rules text, zero must be entered into this cell with the common equity to be included in the Total Tier 1 cell below); paid in amount plus related reserves/retained earnings owned by group gross of all deductions paid in amount plus related reserves/retained earnings owned by third parties gross of all deductions Total Tier 1 (CET1 + AT1) of the subsidiary net of deductions paid in amount plus related reserves/retained earnings owned by group gross of all deductions paid in amount plus related reserves/retained earnings owned by third parties gross of all deductions Total capital (CET1 + AT1 + T2) of the subsidiary net of deductions paid in amount plus related reserves/retained earnings owned by group gross of all deductions paid in amount plus related reserves/retained earnings owned by third parties gross of all deductions Total risk-weighted assets of the subsidiary Risk-weighted assets of the consolidated group that relate to the subsidiary (ie risk-weighted assets of the subsidiary excluding intra-group transactions) Lower of the risk-weighted assets of the subsidiary and the contribution to consolidated risk-weighted assets Common Equity Tier 1 capital Surplus Common Equity Tier 1 capital of the subsidiary; of which amount attributable to third parties Total Common Equity Tier 1 capital of the subsidiary held by third parties less surplus attributable to third party investors Total Tier 1 capital Surplus Total Tier 1 capital of the subsidiary; of which amount attributable to third parties Total Tier 1 capital of the subsidiary held by third parties less surplus attributable to third party investors Total capital Surplus Total capital of the subsidiary; of which amount attributable to third parties Total capital of the subsidiary held by third parties less surplus attributable to third party investors Amount of Common Equity Tier 1 capital held by third parties to be included in consolidated Common Equity Tier 1 capital Amount of Tier 1 capital held by third parties to be included in consolidated Additional Tier 1 capital Amount of Total capital held by third parties to be included in consolidated Tier 2 capital Amount 1 2 3 4 5 6 7 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 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0

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M 1 2

AA

AB

AC

AD

AE

AF

AG

AH

AI

3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 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 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0

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81696535.xls Leverage Ratio

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A 1

Leverage ratio

2 A) On-balance sheet items 3 Amounts should be net of specific provisions and valuations adjustments. 4 5 6 Basel III para ref 160, 161 Derivatives: Credit derivatives (protection sold) Credit derivatives (protection bought) Financial derivatives Securities financing transactions Other assets Totals Accounting balance sheet value

Previous quarter Gross value (assume no netting or CRM) Value with Basel II netting rules Accounting balance sheet value

Reporting date Gross value (assume no netting or CRM) Value with Basel II netting rules

7 8 9 10 11 12 13 14 15

159 157, 158

16 B) Derivatives and off-balance sheet items 17 18

Previous quarter Regulatory Regulatory potential exposure potential exposure (Current exposure (Current exposure method; apply method; assume Basel II netting no netting or CRM) rules)

Reporting date Regulatory Regulatory potential exposure potential exposure (Current exposure (Current exposure method; apply method; assume Basel II netting no netting or CRM) rules)

Basel III para ref

Notional amount

Notional amount

19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35

161

162, 163 164 164

B1 ) Derivatives Derivatives: Credit derivatives (protection sold) Credit derivatives (protection bought) Financial derivatives B2) Off-balance sheet items Off-balance sheet items with a 0% CCF in the RSA; of which: Unconditionally cancellable credit cards commitments Other unconditionally cancellable commitments Off-balance sheet items with a 20% CCF in the RSA Off-balance sheet items with a 50% CCF in the RSA Off-balance sheet items with a 100% CCF in the RSA Total off-balance sheet items Check: Unconditionally cancellable commitments should not exceed off-balance items with a 0% CCF

Yes

Yes

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36 C) On- and off-balance sheet items additional breakdown of exposures 37 38

Previous quarter

Reporting date

Basel III para ref

On-balance sheet exposures: EAD/solvencybased value

Off-balance sheet exposures: notional x regulatory CCF

On-balance sheet exposures: EAD/solvencybased value

Off-balance sheet exposures: notional x regulatory CCF

39 40 41 42 43 44 45 46 47 48 49 51 165 Total on- and off-balance sheet exposures belonging to the banking book (breakdown according to the effective risk weight): = 0% > 0 and 12% > 12 and 20% > 20 and 50% > 50 and 75% > 75 and 100% > 100 and 425% > 425 and 1250% Defaulted exposures under the IRB approach

52 D) Reconciliation (following relevant accounting standards) 53 54 Basel III para ref 55 56 57 58 59 60 61 62 63 64 Accounting total assets Check: Total equals total accounting values in panel A Reverse out on-balance sheet netting Reverse out derivatives netting Reverse out SFT netting Reverse out other netting and other adjustments Totals Check: Total equals total gross values in panel A Amount

Previous quarter Amount

Reporting date

Yes

Yes

Yes

Yes

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65 E) Offsetting 66 67

Previous quarter Notional amount (same reference name and counterparty or CCP) Notional amount (same reference name and bought protection from CCP)

Reporting date Notional amount (same reference name and counterparty or CCP) Notional amount (same reference name and bought protection from CCP)

Basel III para ref 68 69 70 71 72 74 75 76 77 78 79

Notional amount

Notional amount (same reference name)

Notional amount

Notional amount (same reference name)

165

Credit derivatives: Credit derivatives (protection sold) Credit derivatives (protection bought) Credit derivatives (protection sold less protection bought) Check: Sum of total credit derivatives should be the same as that in panel B Check: Credit derivatives (protection sold) should be the same as that in panel B Check: Credit derivatives (protection bought) should be the same as that in panel B Check: Credit derivatives purchased are consistently filled-in (see reporting instructions for more details) Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes

80 F) Calculation of the leverage ratio 81 82 83 84 85 86 87 88 89 90 Basel III para ref 154 156 155 153 Tier 1 capital Total exposures Total additional assets to be included due to paragraph 156 Regulatory adjustments Total exposures for the calculation of the leverage ratio Leverage ratio Amount

Previous quarter Amount

Reporting date

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91 G) Business model categorisation 92 Total on and off balance sheet exposures. Amounts shown should be the LR exposure measure values. 93 94 Total exposures; of which: 95 Total trading book exposures; of which: 96 Derivatives, SFTs 97 Other trading book exposures 98 Total banking book exposures; of which: 99 Derivatives, SFTs 100 Investments in covered bonds 101 Other banking book exposures; of which: 102 Sovereigns; of which: 103 Public sector entities (PSEs); of which: 104 PSEs guaranteed by central government 105 PSEs not guaranteed by central government but treated as a sovereign under paragraph 229 of the Basel II framework 106 Check: PSEs in the two rows above should be less than overall PSEs 107 MDBs 108 Other sovereign exposures 109 Banks 110 Retail exposures; of which; 111 Residential real estate exposures 112 SME exposures 113 Qualifying revolving retail exposures 114 Other retail exposures 115 Corporate; of which; 116 Financial 117 Non-financial; of which: 118 SME exposures 119 Commercial real estate 120 Other corporate non-financial 121 Other exposures (eg equity and other non-credit obligation assets); of which: 122 Securitisation exposures 123 Check: Securitisation exposures should be lower than total other exposures 124 Check: Total value in cell H95 should equal total in cell H85. 125 126 Memo item: trade finance exposures 127 128

Reporting date Amount

Yes

Yes Yes

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81696535.xls LCR

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A 1

LCR

2 A) Stock of high quality liquid assets 3 a) Level 1 assets 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 Paragraph nr in rules doc Cash Central bank reserves; of which: part of central bank reserves that can be drawn in times of stress Check: row 8 row 7 Securities with a zero risk weight: issued by sovereigns guaranteed by sovereigns issued or guaranteed by central banks issued or guaranteed by non-central government PSEs issued or guaranteed by BIS, IMF, EC, or MDBs For non-0% risk-weighted sovereigns: sovereign or central bank debt securities issued in domestic currencies by the sovereign or central bank in the country in which the liquidity risk is being taken or in the banks home country domestic sovereign or central bank debt securities issued in foreign currencies, to the extent that holding of such debt matches the currency needs of the banks operations in that jurisdiction Total stock of Level 1 assets Adjustment to stock of Level 1 assets Adjusted amount of Level 1 assets 40 (a) 40 (b) Pass 40 (c) 40 (c) 40 (c) 40 (c) 40 (c) 40 (c) 1.00 1.00 1.00 1.00 1.00 Amount/ market value Weight 1.00 1.00 Weighted amount

40 (d) 40 (e) 39 37 37

1.00 1.00

22 b) Level 2 assets 23 24 25 26 27 28 29 30 31 32 33 34 35 Paragraph nr in rules doc Securities with a 20% risk weight: issued by sovereigns guaranteed by sovereigns issued or guaranteed by central banks issued or guaranteed by non-central government PSEs issued or guaranteed by MDBs Non-financial corporate bonds, rated AA- or better Covered bonds, not self-issued, rated AA- or better Total stock of Level 2 assets Adjustment to stock of Level 2 assets Adjusted amount of Level 2 assets Adjustment to stock of high quality liquid assets due to cap on Level 2 assets 42 (a) 42 (a) 42 (a) 42 (a) 42 (a) 42 (a) 42 (b) 42 (b) 42 (a),(b) 37 37 3637, 41 Market value Weight Weighted amount

0.85 0.85 0.85 0.85 0.85 0.85 0.85

0.85

36 c) Total stock of high quality liquid assets 37 38 39 40 41 42 43 44 45 46 47 Weighted amount Total stock of high quality liquid assets Paragraph nr in rules doc Assets held at the entity level, but excluded from the consolidated stock of high quality liquid assets of which, can be included in the consolidated stock by the time the standard is implemented Check: row 43 row 42 Assets excluded from the stock of high quality liquid assets due to operational restrictions as per pargaphs 28 and 29 of the rules text of which, can be brought back into the qualifying stock by the time the standard is implemented Check: row 46 row 45 30, 193194 Pass 28-29 Pass Market value Level 1 Level 2

Pass

Pass

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48 d) Treatment for jurisdictions with insufficient liquid assets 49 Panel d) to be filled in in your jurisdiction: 50 51 52 53 54 55 56 57 58 59 60

No Paragraph nr in rules doc

Amount

Weight 0.00 0.00 0.00 0.00

Weighted amount

Option 1 Contractual committed liquidity facilities from the relevant central bank Option 2 Foreign currency liquid assets; of which: Level 1 assets Level 2 assets Option 3 Additional use of Level 2 assets at a higher haircut Total usage of alternative treatment (post-haircut) before applying the cap Cap on usage of alternative treatment Total usage of alternative treatment (post-haircut) after applying the cap

47 48

49

61 e) Total stock of high quality liquid assets plus usage of alternative treatment 62 Total stock of high quality liquid assets plus usage of alternative treatment 63 64 65 B) Net cash outflows 66 1) Cash outflows 67 a) Retail deposit run-off 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 Paragraph nr in rules doc Total retail deposits: Insured deposits; of which: in transactional accounts in non-transactional accounts with established relationships that make deposit withdrawal highly unlikely in non-transactional and non-relationship accounts Uninsured deposits Additional deposit categories with higher run-off rates as specified by supervisor Category 1 Category 2 Category 3 Fixed-term deposits (treated as having >30 day remaining maturity); of which: With a supervisory run-off rate Without a supervisory run-off rate Total retail deposits run-off Amount Weight Weighted amount

56, 58 56 57 57 57

0.05 0.05 0.10 0.10 0.00 0.00 0.00

62, 64 64 62

0.00 0.00

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83 b) Unsecured wholesale funding run-off 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 Paragraph nr in rules doc Total unsecured wholesale funding Total funding provided by small business customers; of which: Insured deposits; of which: in transactional accounts in non-transactional accounts with established relationships that make deposit withdrawal highly unlikely in non-transactional and non-relationship accounts Uninsured deposits Additional deposit categories with higher run-off rates as specified by supervisor Category 1 Category 2 Category 3 Fixed-term deposits (treated as having >30 day maturity); of which: With a supervisory run-off rate Without supervisory run-off rate Total operational deposits; of which: provided by non-financial corporates insured uninsured provided by sovereigns, central banks, PSEs and MDBs insured uninsured provided by banks provided by other financial institutions and other legal entities Total non-operational deposits; of which provided by non-financial corporates provided by sovereigns, central banks, PSEs and MDBs provided by members of the institutional networks of cooperative (or otherwise named) banks provided by other banks provided by other financial institutions and other legal entities Unsecured debt issuance Additional balances required to be installed in central bank reserves Total unsecured wholesale funding run-off Of the non-operational deposits reported above, amounts that could be considered operational in nature but per the rules text have been excluded due to: correspondent banking activity Check: row 119 sum of rows 112 and 113 prime brokerage services Check: row 121 sum of rows 112 and 113 excess balances in operational accounts that could be withdrawn and would leave enough funds to fulfil operational requirements Check: row 123 sum of rows 109 to 115 74 Pass 74 Pass 72 Pass 6583 6971 69 69 69 69 69 69 Amount Weight Weighted amount

0.05 0.05 0.10 0.10 0.00 0.00 0.00

71 71 71 7278 7278 78 7277 7277 78 7277 7277 7277 7982 81 81 79 82 82 83

0.00 0.00

0.05 0.25 0.05 0.25 0.25 0.25 0.75 0.75 0.25 1.00 1.00 1.00 1.00

125 c) Secured funding run-off Paragraph nr in rules doc Transactions backed by Level 1 assets Transactions backed by Level 2 assets Transactions backed by other assets: where the counterparties are domestic sovereigns, central banks or 20% risk weight PSEs with other counterparties Total secured wholesale funding run-off 8687 8687 8687 8687 8687 Amount received Market value of extended collateral Weight 0.00 0.15 0.25 1.00 Weighted amount

126 127 128 129 130 131 132

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133 d) Additional requirements 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 Paragraph nr in rules doc Net known derivatives payables (=0 if net receivable) Check: Line 135 = 0 if line 215>0 Increased liquidity needs due to downgrade triggers in derviatives and other financing transactions Increased liquidity needs related to the potential for valuation changes on posted collateral securing derivative and other transactions: Cash and Level 1 liquid assets For other collateral (ie all non-Level 1 collateral) Loss of funding on ABS and other structured financing instruments issued by the bank, excluding covered bonds Loss of funding on ABCP, conduits, SIVs and other such financing activities; of which: debt maturing 30 days with embedded options in financing arrangements other potential loss of such funding Loss of funding on covered bonds issued by the bank Undrawn committed credit and liquidity facilities to retail and small business customers Undrawn committed credit facilities to non-financial corporates sovereigns, central banks, PSEs and MDBs Undrawn committed liquidity facilities to non-financial corporates sovereigns, central banks, PSEs and MDBs Undrawn committed credit and liquidity facilities to other legal entities 88 Pass 89 90 0.00 0.20 1.00 1.00 1.00 1.00 1.00 0.05 0.10 0.10 1.00 1.00 1.00 1.00 Amount Weight 1.00 Weighted amount

91 92 92 92 92 91 97 (a) 97 (b) 97 (b) 97 (c) 97 (c) 97 (d) Paragraph nr in rules doc 98 99 99 99 99

Other contractual obligations to extend funds to financial institutions retail clients small business customers non-financial corporates other clients retail, small business customers, non-financials and other clients Total contractual obligations to extend funds in excess of 50% roll-over assumption

Amount

roll-over of inflows

excess outflows

Weight 1.00

Weighted amount

1.00

Weighted amount Total additional requirements run-off Paragraph nr in rules doc 103 103 103 103 103 103 103 103 103 103 103 104

Other contingent funding obligations Unconditionally revocable "uncommitted" credit and liquidity facilities Guarantees Letters of credit Other trade finance instruments Non-contractual obligations: Debt-buy back requests (incl related conduits) Structured products Managed funds Other non-contractual obligations Outstanding debt securities with remaining maturity > 30 days Increased liquidity needs relating to market valuation changes on derivatives or other transactions Other contractual cash outflows Total run-off on other contingent funding obligations

Amount

Weight 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.00

Weighted amount

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182 e) Total cash outflows 183 184 Total cash outlfows

185 2) Cash inflows 186 a) Reverse repo and securities borrowing Paragraph nr in rules doc Reverse repo and other secured lending or securities borrowing transactions maturing 30 days Of which collateral is not re-used (ie is not rehypothecated) to cover the reporting institutions outright short positions in transactions in which the collateral is tied up for > 30 days Transactions backed by Level 1 assets Transactions backed by Level 2 assets Transactions backed by other collateral Of which collateral is re-used (ie is rehypothecated) in transactions to cover the reporting insitution's outright short positions in which the collateral is tied up for > 30 days Transactions backed by Level 1 assets Transactions backed by Level 2 assets Transactions backed by other collateral Total inflows on reverse repo and securities borrowing transactions 108109 108109 108109 108109 108109 108109 108109 108109 108109 0.00 0.00 0.00 0.00 0.15 1.00 Amount extended Market value of received colllateral Weight Weighted amount

187 188 189 190 191 192 193 194 195 196 197

198 b) Other inflows by counterparty 199 200 201 202 203 204 205 206 207 208 209 210 Paragraph nr in rules doc Contractual inflows due in 30 days on fully performing loans, not reported in lines 174 to 182, from: Retail customers Small business customers Non-financial corporates Financial institutions, of which operational relationship deposits deposits at the centralised institution of an institutional network that receive 25% run-off all payments on other loans and deposits due in 30 days Other entities Total of other inflows by counterparty 113 113 114 114 115 116 114 114 Amount Weight Weighted amount

0.50 0.50 0.50 0.00 0.00 1.00 0.50

211 c) Other cash inflows 212 213 214 215 216 217 218 219 Paragraph nr in rules doc Other cash inflows Net known derivatives receivables Check: row 215 = 0 if row 135>0 Contractual inflows from securities maturing 30 days, not included anywhere above Other contractual cash inflows Total of other cash inflows 117 Pass 114 118 1.00 0.00 Amount Weight Weighted amount

1.00

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220 d) Total cash inflows 221 222 223 224 225 226 Paragraph nr in rules doc Total cash inflows before applying the cap Cap on cash inflows Total cash inflows after applying the cap 107 50, 107 50, 107 Amount Weight Weighted amount

0.75

227 C) Collateral swaps 228 Paragraph nr in rules doc Collateral swaps maturing 30 days: Of which the borrowed assets are not re-used (ie are not rehypothecated) to cover short positions in transactions in which the assets are tied up for > 30 days Level 1 assets are lent and Level 1 assets are borrowed Level 1 assets are lent and Level 2 assets are borrowed Level 1 assets are lent and other assets are borrowed Level 2 assets are lent and Level 1 assets are borrowed Level 2 assets are lent and Level 2 assets are borrowed Level 2 assets are lent and other assets are borrowed Other assets are lent and Level 1 assets are borrowed Other assets are lent and Level 2 assets are borrowed Other assets are lent and other assets are borrowed Of which the borrowed assets are re-used (ie are rehypothecated) in transactions to cover short positions in which the assets are tied up for > 30 days Level 1 assets are lent and Level 1 assets are borrowed Level 1 assets are lent and Level 2 assets are borrowed Level 1 assets are lent and other assets are borrowed Level 2 assets are lent and Level 1 assets are borrowed Level 2 assets are lent and Level 2 assets are borrowed Level 2 assets are lent and other assets are borrowed Other assets are lent and Level 1 assets are borrowed Other assets are lent and Level 2 assets are borrowed Other assets are lent and other assets are borrowed Total outflows and total inflows from collateral swaps 3637, 41, 85, 109 3637, 41, 85, 109 3637, 41, 85, 109 3637, 41, 85, 109 3637, 41, 85, 109 3637, 41, 85, 109 3637, 41, 85, 109 3637, 41, 85, 109 3637, 41, 85, 109 0.00 0.00 0.00 0.00 0.00 0.00 3637, 41, 85, 109 3637, 41, 85, 109 3637, 41, 85, 109 3637, 41, 85, 109 3637, 41, 85, 109 3637, 41, 85, 109 3637, 41, 85, 109 3637, 41, 85, 109 3637, 41, 85, 109 0.00 0.00 0.15 1.00 0.15 0.85 Market value of collateral lent Market value of collateral borrowed Weight outflows Weighted amount outflows Weight inflows Weighted amount inflows

229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256

0.15 0.15 1.00 0.85 0.00

0.00

0.15 0.00 1.00 0.85 0.00

0.00

Addition Adjustments to Level 1 assets due to collateral swaps Adjustments to Level 2 assets due to collateral swaps

Reduction

257 D) LCR 258 259 Total stock of high quality liquid assets plus usage of alternative treatment 260 Net cash outflows 261 LCR 262

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81696535.xls NSFR

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A 1

NSFR
Amount < 3 months Tier 1 and Tier 2 capital (Basel III 2022) Check: row 6 = D44+D45 in the General Info tab Preferred stock not included above "Stable" (as defined in the LCR) demand and/or term deposits from retail and small business customers "Less stable" (as defined in the LCR) demand and/or term deposits from retail and small business customers Unsecured and/or subordinated debt securities issued Unsecured funding from non-financial corporates Of which is an operational deposit as defined in the LCR Check: row 13 < row 12 for each column Unsecured funding from sovereigns/central banks/PSEs/MDBs Of which is an operational deposit as defined in the LCR Check: row 16< row 15 for each column Unsecured funding from other legal entities (including financial corporates and financial institutions) Of which is an operational deposit as defined in the LCR Check: row 19 < row 18 for each column Statutory minimum deposits from members of an institutional network of cooperative banks Secured borrowings and liabilities (including secured term deposits) Net derivatives payables All other liabilities and equity categories not included above Pass Pass Pass Pass Pass See FN 32 0.00 1.00 1.00 0.00 0.00 Total ASF 3 months to < 6 months 6 months to < 9 months 9 months to < 1 year 1 year Pass 1.00 0.90 0.80 0.00 0.50 Pass Pass Pass Pass Pass 0.50 Pass Pass Pass Pass Pass 0.00 1.00 1.00 1.00 1.00 1.00 1.00

2 A) Available stable funding 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26

ASF Factor <1yr

ASF Factor 1 year 1.00

Calculated ASF <1yr

Calculated ASF 1 year

Calculated Total ASF

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A 27 B) Required stable funding 28 1) On balance-sheet items 29 30 31 32 33 34 35 36 37 38 39 40 41

Amount < 3 months 3 months to < 6 months 6 months to < 9 months 9 months to < 1 year 1 year

RSF Factor <1yr 0.00

RSF Factor 1 year

Calculated RSF <1yr

Calculated RSF 1 year

Calculated Total RSF

Cash Short-term unsecured instruments and transactions with outstanding maturities of less than one year, of which are: Unencumbered Encumbered encumbered for periods <3 months encumbered for periods 3 months to <6 months encumbered for periods 6 months to < 9 months encumbered for periods 9 months to <1 year encumbered for periods 1 year Check: sum of rows 36 to 40 for each column should equal the corresponding column in row 35 Securities with stated remaining maturities of less than one year with no embedded options that would increase the expected maturity to one year or greater Unencumbered Encumbered encumbered for periods <3 months encumbered for periods 3 months to <6 months encumbered for periods 6 months to < 9 months encumbered for periods 9 months to <1 year encumbered for periods 1 year Check: sum of rows 45 to 49 for each column should equal the corresponding column in row 44 Securities held where the institution has an offsetting reverse repurchase transaction when the security on each transaction has the same unique identifier (eg ISIN number or CUSIP) and such securities are reported on the balance sheet of the reporting instutions Pass Pass Pass Pass Pass Pass Pass Pass

0.00 0.00 0.00 0.00 0.00 1.00

42 43 44 45 46 47 48 49 50

0.00 0.00 0.00 0.00 0.00 1.00

51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68

Unencumbered Encumbered encumbered for periods <3 months encumbered for periods 3 months to <6 months encumbered for periods 6 months to < 9 months encumbered for periods 9 months to <1 year encumbered for periods 1 year Check: sum of rows 54 to 58 for each column should equal the corresponding column in row 53 Loans to financial entities and financial corporates with effective remaining maturities of less than one year that are not renewable Unencumbered Encumbered encumbered for periods <3 months encumbered for periods 3 months to <6 months encumbered for periods 6 months to < 9 months encumbered for periods 9 months to <1 year encumbered for periods 1 year Check: sum of rows 63 to 67 for each column should equal the corresponding column in row 62 Pass Pass Pass Pass Pass Pass Pass Pass Pass

0.00 0.00 0.00 0.00 0.00 1.00

0.00 0.00 0.00 0.00 0.00 1.00

0.00 0.00 0.00 0.00 0.00 1.00

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A 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113

B Securities eligible for Level 1 of the LCR stock of liquid assets Unencumbered Encumbered encumbered for periods <3 months encumbered for periods 3 months to <6 months encumbered for periods 6 months to < 9 months encumbered for periods 9 months to <1 year encumbered for periods 1 year Check: sum of rows 72 to 76 for each column should equal the corresponding column in row 71 Securities eligible for Level 2 of the LCR stock of liquid assets Unencumbered Encumbered encumbered for periods <3 months encumbered for periods 3 months to <6 months encumbered for periods 6 months to < 9 months encumbered for periods 9 months to <1 year encumbered for periods 1 year Check: sum of rows 81 to 85 for each column should equal the corresponding column in row 80 Gold Unencumbered Encumbered encumbered for periods <3 months encumbered for periods 3 months to <6 months encumbered for periods 6 months to < 9 months encumbered for periods 9 months to <1 year encumbered for periods 1 year Check: sum of rows 90 to 94 for each column should equal the corresponding column in row 89 Equities listed on major exchange, not issued by financial institutions Unencumbered Encumbered encumbered for periods <3 months encumbered for periods 3 months to <6 months encumbered for periods 6 months to < 9 months encumbered for periods 9 months to <1 year encumbered for periods 1 year Check: sum of rows 99 to 103 for each column should equal the corresponding column in row 98 Corporate bonds, rated A+ to AUnencumbered Encumbered encumbered for periods <3 months encumbered for periods 3 months to <6 months encumbered for periods 6 months to < 9 months encumbered for periods 9 months to <1 year encumbered for periods 1 year Check: sum of rows 108 to 112 for each column should equal the corresponding column in row 107

I 0.00 0.00 0.00 0.00 0.00 1.00

J 0.05 0.05 0.05 0.05 0.05 1.00

Pass

Pass

Pass

Pass

Pass

0.00 0.00 0.00 0.00 0.00 1.00 Pass Pass Pass Pass Pass

0.20 0.20 0.20 0.20 0.20 1.00

0.50 0.50 0.50 0.50 0.50 1.00 Pass

0.50 0.50 0.50 0.50 0.50 1.00 Pass

0.00 0.00 0.00 0.00 0.00 1.00 Pass Pass Pass Pass Pass

0.50 0.50 0.50 0.50 0.50 1.00

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A 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140

B Covered bonds, not self issued, rated A+ to AUnencumbered Encumbered encumbered for periods <3 months encumbered for periods 3 months to <6 months encumbered for periods 6 months to < 9 months encumbered for periods 9 months to <1 year encumbered for periods 1 year Check: sum of rows 117 to 121 for each column should equal the corresponding column in row 116 Loans to non-financial corporate clients, sovereigns, central banks, PSEs and MDBs having a remaining maturity of less than one year Unencumbered Encumbered encumbered for periods <3 months encumbered for periods 3 months to <6 months encumbered for periods 6 months to < 9 months encumbered for periods 9 months to <1 year encumbered for periods 1 year Check: sum of rows 126 to 130 for each column should equal the corresponding column in row 125 Residential mortgages of any maturity that would qualify for the 35% or lower risk weight under the Basel II standardised approach for credit risk Unencumbered Encumbered encumbered for periods <3 months encumbered for periods 3 months to <6 months encumbered for periods 6 months to < 9 months encumbered for periods 9 months to <1 year encumbered for periods 1 year Check: sum of rows 135 to 139 for each column should equal the corresponding column in row 134 Other loans, excluding loans to financial insitutions, with a remaining maturity of one year or greater that would qualify for the 35% or lower risk weight under the Basel II standardised approach for credit risk Unencumbered Encumbered encumbered for periods <3 months encumbered for periods 3 months to <6 months encumbered for periods 6 months to < 9 months encumbered for periods 9 months to <1 year encumbered for periods 1 year Check: sum of rows 144 to 148 for each column should equal the corresponding column in row 143 Other loans to retail and small business customers having a remaining maturity of less than one year Unencumbered Encumbered encumbered for periods <3 months encumbered for periods 3 months to <6 months encumbered for periods 6 months to < 9 months encumbered for periods 9 months to <1 year encumbered for periods 1 year Check: sum of rows 153 to 157 for each column should equal the corresponding column in row 152 Net derivatives receivables Items deducted from Tier 1 and Tier 2 capital under fully implemented Basel III rules All other assets not included in the above categories

I 0.00 0.00 0.00 0.00 0.00 1.00

J 0.50 0.50 0.50 0.50 0.50 1.00

Pass

Pass

Pass

Pass

Pass

0.50 0.50 0.50 0.50 0.50 1.00 Pass Pass Pass Pass

0.65 0.65 0.65 0.65 0.65 1.00 Pass Pass Pass Pass Pass

0.65 0.65 0.65 0.65 0.65 1.00

141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161

0.65 0.65 0.65 0.65 0.65 1.00 Pass

0.85 0.85 0.85 0.85 0.85 1.00 Pass Pass Pass Pass 1.00 0.00 1.00

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162 2) Off balance-sheet items 163 164 165 166 167 168 169 170 171 172 173 174 175 176 Amount Conditionally revocable and irrevocable credit and liquidity facilities Unconditionally revocable "uncommitted" credit and liquidity facilities Guarantees Letters of credit Other trade finance instruments Non-contractual obligations, such as: Debt-buy back requests (incl related conduits) Structured products Managed funds Other non-contractual obligations RSF Factor 0.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Total RSF Calculated Total RSF

177 C) NSFR 178 179 180 181 D) For completion only by the central institutions of networks of cooperative (or otherwise named) banks 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 < 3 months Tier 1 and Tier 2 capital Preferred Stock not included above "Stable" (as defined in the LCR) demand and/or term deposits from retail and small business customers (as defined in the LCR) "Less stable" (as defined in the LCR) demand and/or term deposits from retail and small business customers Unsecured debt securities issued Unsecured funding from non-financial corporates Unsecured funding from sovereigns/central banks/PSEs/MDBs Unsecured funding from other legal entities (including financial corporates and financial institutions) Statutory minimum deposits from members of an institutional network of cooperative (or otherwise named) banks Secured borrowings and liabilities (including secured term deposits) Net derivatives payables All other liabilities and equity categories not included above Check: the sum of each of the columns for rows 185 to 196 should equal the corresponding column in row 21 Pass Pass Pass Pass Pass 0.00 1.00 0.00 0.00 0.75 0.75 0.00 0.50 0.50 0.00 3 months to < 6 months

Net stable funding ratio

Amount 6 months to < 9 months 9 months to < 1 year 1 year

ASF Factor <1yr

ASF Factor 1 year 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00

Calculated ASF <1yr

Calculated ASF 1 year

Calculated Total ASF

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Basel Committee on Banking Supervision Basel III implementation monitoring template

81696535.xls Checks

Confidential

A 1

Checks
Column D Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Column E Column F Column G Column H Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Column I Column J Column K

2 A) Leverage ratio worksheet 3 Panel Check 4 Check: Unconditionally cancellable commitments should not exceed off-balance items with a 0% CCF B 5 Check: Total equals total accounting values in panel A D 6 Check: Total equals total gross values in panel A D 7 Check: Sum of total credit derivatives should be the same as that in panel B E 8 Check: Credit derivatives (protection sold) should be the same as that in panel B E 9 Check: Credit derivatives (protection bought) should be the same as that in panel B E 10 Check: Credit derivatives purchased are consistently filled-in (see reporting instructions for more details) E 11 Check: PSEs in the two rows above should be less than overall PSEs G 12 Check: Securitisation exposures should be lower than total other exposures G 13 Check: Total value in cell H95 should equal total in cell H85. G 14 15 16 B) LCR worksheet 17 Panel Check 18 Check: row 8 row 7 Aa 19 Check: row 43 row 42 Ac 20 Check: row 46 row 45 Ac 21 Check: row 119 sum of rows 112 and 113 B1b 22 Check: row 121 sum of rows 112 and 113 B1b 23 Check: row 123 sum of rows 109 to 115 B1b 24 Check: Line 135 = 0 if line 215>0 B1d 25 Check: row 215 = 0 if row 135>0 B2c 26 27 28 C) NSFR worksheet 29 Panel 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 A A A A B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 E Check

Column D Pass Pass Pass Pass Pass Pass Pass Pass

Column E Pass Pass

< 3 months Check: row 6 = D44+D45 in the General Info tab Check: row 13 < row 12 for each column Check: row 16< row 15 for each column Check: row 19 < row 18 for each column Check: sum of rows 36 to 40 for each column should equal the corresponding column in row 35 Check: sum of rows 45 to 49 for each column should equal the corresponding column in row 44 Check: sum of rows 54 to 58 for each column should equal the corresponding column in row 53 Check: sum of rows 63 to 67 for each column should equal the corresponding column in row 62 Check: sum of rows 72 to 76 for each column should equal the corresponding column in row 71 Check: sum of rows 81 to 85 for each column should equal the corresponding column in row 80 Check: sum of rows 90 to 94 for each column should equal the corresponding column in row 89 Check: sum of rows 99 to 103 for each column should equal the corresponding column in row 98 Check: sum of rows 108 to 112 for each column should equal the corresponding column in row 107 Check: sum of rows 117 to 121 for each column should equal the corresponding column in row 116 Check: sum of rows 126 to 130 for each column should equal the corresponding column in row 125 Check: sum of rows 135 to 139 for each column should equal the corresponding column in row 134 Check: sum of rows 135 to 139 for each column should equal the corresponding column in row 134 Check: sum of rows 144 to 148 for each column should equal the corresponding column in row 143 Check: sum of rows 153 to 157 for each column should equal the corresponding column in row 152 Check: the sum of each of the columns for rows 185 to 196 should equal the corresponding column in row 21 Pass Pass Pass Pass Pass Pass Pass Pass Pass

3 months to 6 months to 9 months to < 6 months < 9 months < 1 year Pass Pass Pass Pass Pass Pass Pass Pass Pass Pass Pass Pass Pass Pass Pass Pass Pass Pass Pass Pass Pass Pass Pass Pass Pass Pass Pass

1 year Pass Pass Pass Pass

Pass Pass Pass Pass Pass Pass Pass

Pass Pass Pass Pass Pass Pass Pass

Pass Pass Pass Pass Pass Pass Pass

Pass Pass Pass Pass Pass Pass Pass

Pass Pass Pass Pass Pass Pass Pass Pass Pass Pass

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Basel Committee on Banking Supervision Basel III implementation monitoring template

A 1 B C D E F G H

81696535.xls Parameters

Confidential

Parameters
2 0 2 2 0

2 A) Version 3 4 Version 5 Constant 6 7 8 9 10 11 12 13 14 15 16 17

B) National discretion items LCR 1) LCR treatment for jurisdictions with insufficient liquid assets
Allow treatment for jurisdictions with insufficient liquid assets No Weight 0.00 0.00 0.00 0.00

Option 1 Contractual committed liquidity facilities from the relevant central bank Option 2 Foreign currency liquid assets, of which: Level 1 assets Level 2 assets Option 3 Additional use of Level 2 assets at a higher haircut

18 19

2) LCR cash outflows: additional deposit categories with higher run-off rates as specified by supervisor
Unsecured Retail deposit wholesale run-off funding runweight off weight Category 1 Category 2 Category 3 Fixed-term deposits (treated as having >30 day remaining maturity), with a supervisory run-off rate 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

20 21 22 23 24

25 26 27 28 29 30 31 32 33 34 35 36 37 38

3) LCR cash outflows other contingent funding obligations

Weight 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Unconditionally revocable "uncommitted" credit and liquidity facilities Guarantees Letters of credit Other trade finance instruments Non-contractual obligations: Debt-buy back requests (incl. related conduits) Structured products Managed Funds Other non-contractual obligations Outstanding debt securities with remaining maturity > 30 days Increased liquidity needs relating to market valuation changes on derivatives or other transactions

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Basel Committee on Banking Supervision Basel III implementation monitoring template

A 1 B C D E F G H

81696535.xls Parameters

Confidential

Parameters

39 4) LCR cash inflows 40 41 42 Other contractual cash inflows 43

Weight 0.00

44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114

5) NSFR RSF off-balance sheet items

Weight 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Unconditionally revocable "uncommitted" credit and liquidity facilities Guarantees Letters of credit Other trade finance instruments Non-contractual obligations, such as: Debt-buy back requests (incl related conduits) Structured products Managed funds Other non-contractual obligations

C) Spreadsheet localisation
Original sheet name General Info DefCapB3 DefCapB3-MI Leverage Ratio LCR NSFR Checks Sheet # 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 Localised sheet name General Info DefCapB3 DefCapB3-MI Leverage Ratio LCR NSFR Checks PosX PosY

D) Drop-down menus
Yes/No Yes/No/NA Bank group CCR OTC 1 2 3 1 2 1 2 3 1 2 3 4 0 1 2 3 4 1 2 0 1 2 3 1 2 3 Yes No 1 2 CEM Standardised IMM Supervisory haircuts Own estimates Repo VaR IMM BIA TSA ASA AMA Basel I Basel II IFRS US GAAP Other national accounting standard Joint stock company Mutual / cooperative Other non-joint stock company

CCR SFT

OpRisk

Basel I/Basel II Accounting

Bank type

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Basel Committee on Banking Supervision Basel III implementation monitoring template

A 1 115 B C D E F G H

81696535.xls Parameters

Confidential

Parameters

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