RBAL Balance sheet positions & Repricing Gaps

(Main currencies)
Interest rate behavior of TCY positions Repricing gaps TCY Key facts
800
AFV • For ISI analysis, administered rate products
19 On balance
HFT 0 700 which account for more than half of the BSH
255 Administered
Other 152 600
are modelled according to the Group MoAP
On balance Fix& model.
Admin 320 500 Floating • Rbal targets closed positions but deviances
On Balance

are expected due to main following reasons:

400 excluding current 1- the lack of instruments i.e. IRS in LCY, 2-
Flt accounts
464 The large increase of current accounts

1,891
300
1,871

1,105 (reaching double of time deposits) and due

Total
200 189 to MOAP modelling approach the respective
160 weights for time buckets might change from
100
month to month which might result in
FIX ST 538 42 22 19 positive/negative gaps which the bank can't
65 0 15 0 3 1
-19 immediately close due to lack of
460 -100 instruments, 3- The inherited floor of zero
-117
Fix LT 377 -173 on liabilities side distorts the effectiveness of
-200
8 closing the IR gaps, 4- other market
Off-AFV 0
Off Balance

-0 -300 limitations and characteristics (i.e. the

1M 3M 6M 9M 1Y 2Y 3Y 4Y 5Y 5-7Y 7-10Y >10Y pricing of liabilities/deposits doesn't
Assets Liabilities perfectly follow the reference rates on which
ISI sensitivity results –MOAP modeling mainly all the assets are indexed to
(correlation is less than one).
TCY • Overall RBAL applies a natural hedge,
currently the 1Y fixed time deposits (which
Table 1. ISI expected constitute for most of time deposits base)
analysis 1. scenario Parallel +200
(CA sensitive) bps
Parallel -200 bps expected scenario (CA hedge the 1Y floating rate loan portfolio;
current accounts, equity and >1Y time
not sensitive) deposits account for investments with
maturity > 1 year.
2018 2019 2018 2019 2018 2019 2018 2019
Change in
(0.69) (1.32) -0.23 -0.71 -15.51 -22.88
-0.33 2.59
NII • For the -200 bps scenario, ISI sensitivity is
Change in the largest for the due to the inherited
-0.02 -0.08 -0.61 0.26 0.64 -0.28
Valuation -0.02 -0.08 floor of 0% applied on deposits
(liabilities). On the other hand for assets
Total ISI for most part no floor is applied, resulting
(0.71) (1.39) -0.84 -0.45 -14.87 -23.15 -0.35 2.52
Sensitivity a decrease in interest income while no
significant changes in interest expense.
1
Data as at 29.12.2017 | all figures in EUR mn
 RBAL ISI Analysis (ALS)
Interest rate behavior of LCY positions Repricing gaps LCY RBAL Interest Rate Strategy (ALS)
On balance Fix& Targeted IR position: Closed
19
HFTAFV 0
Floating • IR view: BoA has shifted its first rate hike
200 until Q4 2018. Nevertheless government
Other 134 246 On balance
securities yields have followed the same
Administered
pattern the last couple of years and yields
Admin 186 have moderately increased in the second
134 excluding current
accounts
half of each year, while decreasing in the
On Balance

100 first half. We expect the same thing to

1,017

85 happen in 2018. The market continues to be

1,067
Flt 196 Total
over liquid and both short term and long
547
term auctions are showing signs of
38 oversubscription in the first month of 2018.
237 11 Therefore in the next 6 months we expect a
FIX ST 0 6 -2 1 0
-5 -3 decrease in yields. The 1-year Tribor rate is
expected to follow 1Y TB, although there
269 might be a small time lag in the coming
-44
Fix LT 245 months. Overall the rates are expected to
5 increase in 2019-2020 time horizon
-100 -94 following the increase in inflation and the
Assets Liabilities
1M 3M 6M 9M 1Y 2Y 3Y 4Y 5Y 5-7Y 7-10Y >10Y closing of negative output gap in mid-term.
RBAL Comment: There is a -138 M EUR payer
RBAL ISI sensitivity (LCY ONLY) position up to 3 Months time bucket, effect
of MOAP modeling, and then a +85 M EUR
LCY receiver position in the 6 M time bucket.
ISI analysis148expected scenario expected scenario Overall the 1 year cumulative gap shows a
LCY Parallel + 200 Parallel - 200 payer position of 50 M EUR, relatively small.
(CA sensitive)
207 604 (CA not sensitive) If we consider the Required reserve in LCY
2018 2019 2018 2019 2018 2019 2018 2019 (cash on custody) as a non interest bearing
Change in -0.77 -1.38
than the payer position increases by 73 M
-2.31 -0.38 -6.87 -13.01 -0.73 -0.01
NII EUR. Above one year there is a cumulative
514 65 gap of + 176 M EUR (receiver Position) which
Change in -0.02 -0.08 -0.61
254 0.26 0.64 -0.28 -0.02 -0.08 it is reduced to -6 M EUR after considering
Valuation the 182 M EUR equity investment allocated
Total ISI in > 1 year time horizon.
-0.79 -1.46 -2.92 -0.12 -6.23 -13.28 -0.75 -0.09 Due to unavailability of loan business and IRS
Sensitivity in LCY the only way to close the IR gap
positions would be to increase investments
in shorter term 1M and 3M.
2
Data as at 29.12.2017 | all figures in EUR mn
 RBAL ISI Analysis (FCY)(Main currencies)
Interest rate behavior of FCY positions 600 Repricing gaps FCY RBAL Interest Rate Strategy (FCY)
Other 18 9 Targeted IR position:
On balance Fix&
500 Floating • IR view: our expectations are strictly
Admin 135 aligned to market expectations. FED is
400 On balance expected to continue its base rate
Administered increases with 3 hikes in 2018. EUR rates
will continue to stay very low in 2018
Flt 268 558 300
excluding current when QE easing from ECB is expected to
On Balance

233 accounts expire. A slight increase is expected at the

200 end of 2018 as ECB exits its QE program

825
854

Total and market starts to weigh ECB’s first

100 deposit rates increase. Once inflation
takes hold closer to ECB long term target,
FIX ST 301 0
25
4
26 9 3 0
more rate increases are forecast in the
65 -17 -23 2019-2020 period. On the other hand the
-43
-79 Bank of England will continue to act
190 -100 cautiously balancing inflation risks and
-123
BREXIT effects. Rates are expected to
Off Balance

Fix LT 132 -200 increase slightly less than those in the

2
Off- Flt -0 -0 1M 3M 6M 9M 1Y 2Y 3Y 4Y 5Y 5-7Y 7-10Y >10Y Eurozone in the mid-term.
Assets Liabilities Comments: There is a 233 M EUR receiver
position in 1 M time buckets, due to a
substantial amount of EUR excess liquidity
RBAL ISI sensitivity (FCY) placed on the MM, slowly decreasing
resulting in a cumulative one year gap of -
FCY 29 M EUR (payer position). For longer
ISI analysis expected scenario expected scenario than one year we have a receiver position
FCY Parallel + 200 Parallel - 200 of 44 M EUR mostly due to investments in
(CA sensitive) (CA not sensitive) covered bonds. A decrease in surplus
2018 2019 2018 2019 2018 2019 2018 2019 liquidity through decreasing of
deposits/current accounts will decrease
Change in
0.07 0.06 2.07 -0.33 -8.64 -9.87 -0.40 2.60 the IR gaps. An alternative would be to
NII invest the surplus liquidity in 3M, 6M and
Change in 9M repricing profile instruments (MM,
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 bonds, loans) but the latter has been very
Valuation difficult to achieve (unavailability of loan
business ). The possibility of using IRs is
Total ISI
0.07 0.06 2.07 -0.33 -8.64 -9.87 -0.40 2.60 still under consideration (i.e. receive fixed
Sensitivity 9M versus monthly pay floating would
have decreased the 1 M and 9 M Gaps).
Data as at 29.12.2017 | all figures in EUR mn 3
 Standard ISI scenarios Results

ISI sensitivity results – New MOAP modeling

Table 1. ISI analysis 1.
Parallel + 200 Parallel - 200 Parallel Up Parallel Down
2018 2019 2018 2019 2018 2019 2018 2019
Change in NII -0.23 -0.71 -15.51 -22.88 -2.30 -0.79 -22.17 -35.24
Change in Valuation -0.61 0.26 0.64 -0.28 -1.20 0.50 1.32 -0.57
Total ISI Sensitivity -0.84 -0.45 -14.87 -23.15 -3.49 -0.28 -20.85 -35.81

Table 1. ISI analysis 1.

Short upward Short Downward Steepener Flattener

2018 2019 2018 2019 2018 2019 2018 2019

Change in NII -4.48 -6.00 -23.65 -34.13 -14.71 -18.90 -4.23 -6.78
Change in Valuation -0.94 0.03 1.00 -0.02 0.31 0.32 -0.55 -0.20
Total ISI Sensitivity -5.42 -5.97 -22.65 -34.15 -14.40 -18.58 -4.78 -6.98

ISI sensitivity results – New Moap Modeling – MOAP weekly sensitive

Table 1. ISI analysis 2.
Parallel + 200 Parallel - 200 Parallel Up Parallel Down
2018 2019 2018 2019 2018 2019 2018 2019
Change in NII -8.29 -5.04 -15.72 -22.31 -13.90 -6.72 -22.55 -34.61
Change in Valuation -0.61 0.26 0.64 -0.28 -1.20 0.50 1.32 -0.57

Total ISI Sensitivity -8.90 -4.78 -15.08 -22.59 -15.09 -6.22 -21.23 -35.18

Table 1. ISI analysis 2.

Short upward Short Downward Steepener Flattener
2018 2019 2018 2019 2018 2019 2018 2019
Change in NII -19.85 -15.58 -24.03 -33.39 -14.87 -18.33 -16.72 -15.06
Change in Valuation -0.94 0.03 1.00 -0.02 0.31 0.32 -0.55 -0.20
Total ISI Sensitivity -20.79 -15.54 -23.03 -33.42 -14.56 -18.01 -17.27 -15.26

December 29, 2017 Slide No. 4

 Repricing Gaps – DEC-17

900
Millions

490
TCY IR GAP CA & saving acc. (ADM)
Term Deposits from customers
500 Deposits from banks (incl. subordinated loan)
Loans to banks & RR
189 160
100 42 Overdrafts & CC (ADM)
-19 15 0 22 19 3 1
-173 -117 Term Loans
-300 -576 Securities HFT
Securities AFV

-700 Securities HTM

Total GAP
1M 3M 6M 9M 1Y 2Y 3Y 4Y 5Y 5-7Y 7-10Y >10Y
Deposits from banks (incl. subordinated loan)
Millions

84
200 LCY IR GAP CA & saving acc. (ADM)
183 134 Term Deposits from customers
85
6 38 0 11 Loans to banks & RR
0 -2 -17 -17 -5 -12 -3 0 1 0 0
-44 -22 -23 -55
Overdrafts & CC (ADM)
-89 -94 -25
Term Loans
-200 -291
Securities HFT

-21 Securities AFV

-400 Securities HTM

1M 3M 6M 9M 1Y 2Y 3Y 4Y 5Y 5-7Y 7-10Y >10Y Total GAP

600 CA & saving acc. (ADM)

FCY IR GAP
Millions

Term Deposits from customers

400
407 Deposits from banks (incl. subordinated loan)

200 233 Loans to banks & RR

Overdrafts & CC (ADM)

0 -17 25 4 26 9 3 0
-79 -43 -23 Term Loans
-123 Securities HFT
-200
Securities AFV

-400 Securities HTM

1M 3M 6M 9M 1Y 2Y 3Y 4Y 5Y 5-7Y 7-10Y >10Y Total GAP

5
Data as at 29.12.2017 | all figures in EUR mn
 Repricing Gaps – DEC-17 (including Equity)

300 14 EQUITY
LCY IR GAP
Millions

Term Deposits from customers

200 183 23
36 CA & saving acc. (ADM)
100 10 41 161
84 110 73 82 40 7 20 Deposits from banks (incl. subordinated
17
18 6 26 48 2 1 1 loan)
0 -22 2 8 10
-7 0 1 0 0
-44 -89 -20 -18 -5 -3 18
Term Loans
-12 -18
-100 -94 Overdrafts & CC (ADM)
-157
-291 Securities HFT
-200
Securities AFV
-300
Securities HTM
-400
Loans to banks & RR
1M 3M 6M 9M 1Y 2Y 3Y 4Y 5Y 5-7Y 7-10Y >10Y
500 Term Deposits from customers
Millions

400 51 EUR IR GAP CA & saving acc. (ADM)

300 Deposits from banks (incl. subordinated loan)
200 191 Term Loans
100 Overdrafts & CC (ADM)
30 9 25
0 -9 -18 9 3 0 Securities HFT
-54 -33
-100 -108 Securities AFV
-200 Securities HTM

-300 Loans to banks & RR

Total GAP
1M 3M 6M 9M 1Y 2Y 3Y 4Y 5Y 5-7Y 7-10Y >10Y
100 Term Deposits from customers
Millions

13 USD IR GAP CA & saving acc. (ADM)

Deposits from banks (incl. subordinated loan)
50
Term Loans
31
Overdrafts & CC (ADM)
0 3 0 0 0 Securities HFT
-8 -9 -8 -5 -5 -5
-21 Securities AFV
Securities HTM
-50 Loans to banks & RR
1M 3M 6M 9M 1Y 2Y 3Y 4Y 5Y 5-7Y 7-10Y >10Y Total GAP
6
Data as at 29.12.2017 | all figures in EUR mn
 MOAP resulting durations – DEC-17

Avg Max in
duration in month
months s
MOAP 1M 2M 3M 4M 5M 6M 7M 8M 9M 10M 11M 12M > 12M

CA Retail lek 0.48 0.07 0.09 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.25 9 60

CA Retail eur 0.23 0.05 0.04 0.05 0.04 0.04 0.04 0.04 0.04 0.04 0.04 0.03 0.32 14 60

CA Retail usd 0.43 0.02 0.02 0.02 0.02 0.03 0.02 0.03 0.02 0.03 0.02 0.03 0.32 14 60

CA Corp lek 0.65 0.05 0.15 - 0.01 0.03 0.01 0.02 0.03 0.02 0.02 0.02 - 2 12

CA Corp eur 1.00 - - - - - - - - - - - - 1 1

CA Corp usd 0.77 0.03 0.03 0.01 0.02 0.03 0.02 0.06 - - 0.04 - - 2 12

Saving accounts lek 0.64 0.04 0.04 0.04 0.04 0.02 0.04 0.03 0.04 0.03 0.03 0.02 - 3 24

Saving accounts eur 0.42 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.39 13 60

Saving accounts usd 0.27 0.04 0.02 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.61 20 12

CC lek 0.23 0.28 0.25 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.12 5 60

CC eur 0.59 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.18 6 60

OVD corp lek 1.00 - - - - - - - - - - - - 1 1

OVD corp eur 0.48 0.04 0.01 0.05 0.05 0.05 0.05 0.06 0.06 0.06 0.05 0.04 - 4 12

OVD corp usd 1.00 - - - - - - - - - - - - 1 1

OVD retail lek 1.00 - - - - - - - - - - - - 1 1

OVD retail eur 0.69 0.05 0.09 0.01 0.02 0.01 0.01 0.01 0.00 0.02 - 0.02 0.08 3 24
OVD retail usd 0.83 0.01 0.01 0.01 - 0.01 - - 0.02 0.00 0.01 - 0.10 3 24

7
Data as at 29.12.2017 |
 Millions EUR

0
2
4
6
8
0-1M 10
1-2M
2-3M
3-4M
4-5M
5-6M
6-7M
7-8M
8-9M
9-10M
10-11M
11-12M
12-13M
13-14M
14-15M
15-16M
16-17M
17-18M
5

18-19M
19-20M
Valuation GAP

20-21M
21-22M
22-23M
4
Valuation Instruments GAP LCY

Valuation Instruments GAP FCY

23-24M
2-3Y
3-4Y
8

4-5Y
5-6Y
6-7Y
7-8Y
8-9Y
9-10Y
10-16Y
>15Y
LCY

GAP

8
Securities AFV

Data as at 29.12.2017 | all figures in EUR mn

 RBAL Total ISI Analysis
Key assumptions
• Static balance sheet is assumed. NPL & loan provisions are considered as non interest bearing accounts. Other assets, other liabilities, retained earnings,
capital are considered as non interest bearing/sensitive accounts.
• For Money market and Securities positions, there is no floor on the underlying interest rates. In contrast, for retail and corporate deposits a floor of zero is
considered.
• Interest rates movements are applied uniformly to all contract types (money market, securities, loans, deposits) respecting any possible floor/cap limits. For
each currency there is one yield curve which is used to reprice all the interest sensitive balance sheet positions.
• Saving accounts, current accounts and overdrafts are modeled/repriced according to the replicating portfolio approach. For the expected scenario only, Clients
current accounts are considered as non interest sensitive accounts. The modeling is applied only for the main currencies, LEK, EUR and USD.
• HFT securities are modeled as one portfolio allocated and repriced to the calculated tenor which is the weighted average duration after applying the cap of
one year to each security with remaining maturity greater than one year; as it is in FTP. Starting from January 2018 the HFT portfolio is shifted to HTM.

Key facts
• Currently the deposits for all currencies are priced at 0.01 % ,it is in its natural limit, as a result, in a decreasing interest rate environment, the decrease of interest income
is not offset by a decrease in interest expense.

• We should point out that due to the negative EURIBOR rates, any further decrease in EUR rates doesn’t affect/decrease interest income from the repricing of indexed
floating rate loans ; that is due to the floor limit of 0 for Euribor applied to indexed loan portfolio. However, EAR will be affected when the indexed/fixed loan matures
and rolled over with a new interest rate that considers the change in Euribor rates.

• Other positions such as EUR securities, Money market, even the EUR current account with BOA are directly affected by EUR interest movements; in a decreasing interest
rate environment our earnings are negatively affected. Currently BOA is applying negative rates for current accounts held in BOA; indexed to ECB deposit facility rate (-
0.4%) minus (-) 0.25% margin. In addition, starting from end of September Boa is applying negative rates for the EUR required reserve amount.

• Rbal targets closed positions but currently deviances are expected due to main following reasons: 1- the lack of instruments i.e. IRS in LCY, 2- The large increase of
current accounts (reaching double of time deposits) and due to MOAP modelling approach the respective weights for time buckets might change from month to
month which might result in positive/negative gaps which the bank can't immediately close due to lack of instruments, 3- The inherited floor of zero on liabilities
side distorts the effectiveness of closing the IR gaps, 4- other market limitations and characteristics (i.e. the pricing of liabilities/deposits doesn't perfectly follow
the reference rates on which mainly all the assets are indexed to (correlation is less than one). Overall RBAL applies a natural hedge, currently the 1Y fixed time
deposits (which constitute for most of time deposits base) hedge the 1Y floating rate loan portfolio; current accounts, equity and >1Y time deposits account for
investments with maturity > 1 year. 9
Data as at 29.12.2017 | all figures in EUR mn
 (Expected Scenario interest rates shifts)

Expected Scenario Shift amounts in percentages Expected Scenario Shift amounts in percentages
CURRENCY1 SYMBOL Dec-17 Jun-18 Dec-18 Dec-19
CURRENCY1 SYMBOL Dec-17 Jun-18 Dec-18 Dec-19 CHF 7D 0.00 0.25 0.75 1.43
ALS 7D 0.00 -0.50 0.50 1.12 CHF 1M 0.00 0.25 0.75 1.43
ALS 1M 0.00 -0.28 0.23 0.57 CHF 3M 0.00 0.25 0.75 1.43
ALS 3M 0.00 -0.29 0.21 0.54 CHF 6M 0.00 0.25 0.75 1.43
ALS 6M 0.00 -0.31 0.19 0.51 CHF 1Y 0.00 0.25 0.75 1.43
ALS 1Y 0.00 -0.53 -0.02 0.28 CHF 2Y 0.00 0.25 0.75 1.43
0.00 -0.42 0.09 0.35 CHF 3Y 0.00 0.25 0.75 1.43
ALS 2Y
CHF 5Y 0.00 0.25 0.75 1.43
ALS 3Y 0.00 -0.47 0.03 0.27
GBP 7D 0.00 0.26 0.66 0.85
ALS 5Y 0.00 -0.55 -0.04 0.13
GBP 1M 0.00 0.26 0.66 0.85
EUR 7D 0.00 -0.03 0.30 1.13
GBP 3M 0.00 0.26 0.66 0.85
EUR 1M 0.00 0.01 0.34 1.17 GBP 6M 0.00 0.26 0.66 0.85
EUR 3M 0.00 0.00 0.33 1.16 GBP 1Y 0.00 0.26 0.66 0.85
EUR 6M 0.00 0.00 0.33 1.16 GBP 2Y 0.00 0.26 0.66 0.85
EUR 1Y 0.00 0.01 0.34 1.17 GBP 3Y 0.00 0.26 0.66 0.85
EUR 2Y 0.00 0.04 0.38 1.20 GBP 5Y 0.00 0.26 0.66 0.85
EUR 3Y 0.00 0.13 0.46 1.29 Expected Scenario (Interest rate movements)
EUR 5Y 0.00 0.19 0.52 1.35 • For local currency: BoA has shifted its first rate hike until Q4 2018. Nevertheless government securities yields
USD 7D 0.00 0.31 0.78 1.04 have followed the same pattern the last couple of years and yields have moderately increased in the second
half of each year, while decreasing in the first half. We expect the same thing to happen in 2018. The market
USD 1M 0.00 0.31 0.78 1.04 continues to be over liquid and both short term and long term auctions are showing signs of oversubscription in
USD 3M 0.00 0.31 0.78 1.04 the first month of 2018. Therefore in the next 6 months we expect a decrease in yields. The 1-year Tribor rate is
USD 6M 0.00 0.31 0.78 1.04 expected to follow 1Y TB, although there might be a small time lag in the coming months. Overall the rates are
expected to increase in 2019-2020 time horizon following the increase in inflation and the closing of negative
USD 1Y 0.00 0.31 0.78 1.04
output gap in mid-term.
USD 2Y 0.00 0.31 0.78 1.04 • For foreign currencies, we have used futures up to one year and IRS above one year. Therefore our
USD 3Y 0.00 0.31 0.78 1.04 expectations are strictly aligned to market expectations. FED is expected to continue its base rate increases
USD 5Y 0.00 0.31 0.78 1.04 with 3 hikes in 2018. EUR rates will continue to stay very low in 2018 when QE easing from ECB is expected to
expire. A slight increase is expected at the end of 2018 as ECB exits its QE program and market starts to weigh
ECB’s first deposit rates increase. Once inflation takes hold closer to ECB long term target, more rate increases
are forecast in the 2019-2020 period. On the other hand the Bank of England will continue to act cautiously
balancing inflation risks and BREXIT effects. Rates are expected to increase slightly less than those in the
Eurozone in the mid-term.
• Almost all the indexed loans are indexed to 1Y rates ( tribor -ALS, Euribor- EUR, Libor-USD) 10
• The interest shifts between time periods/shift points are linearly interpolated.
Data as at 29.12.2017 | all figures in EUR mn
 (Expected Scenario interest rates shifts) main CCY

1.50
LEK shifts % 1.12
7D
1.00

0.50 0.57
1M
0.50
0.23 0.28 0.35
0.09 0.13
1Y
0.00
-0.02 -0.04
2Y
-0.50 -0.28
-0.42
-0.50 -0.53 -0.55
5Y
-1.00
Jun-18 Dec-18 Dec-19

1.50 1.35 1.50

EUR shifts % USD shifts %
1.13 1.17

1.00
7D 1.00 7D
0.52 1M 1M
0.50 0.34
0.30 1Y 1Y
0.19
2Y 0.50 2Y
0.01
0.00 5Y 5Y
-0.03

-0.50 0.00
Jun-18 Dec-18 Dec-19 Jun-18 Dec-18 Dec-19

11
Data as at 31.05.2017 |
 RBAL EAR effect (expected scenario)

Expected Scenario 2 0.40 EAR / balance sheet position - YEAR 2018 GBP 2018
Expected Scenario 1

Millions
(CA not sensitive) CHF 2018
EAR 0.30
USD 2018
0.20
EUR 2018
Year 2018 Year 2019 Year 2018 Year 2019 0.10 ALS 2018
0.00
Currency EAR EAR EAR EAR Money Market CA with BOA Securities Loans AFV Securities Money Market Deposits Subordinated
0.10 loan
ALS 0.20 Asset Liabilities
(0.78) (1.45) (0.75) (0.09) 0.30
EUR 0.40
(0.03) (0.03) 0.15 2.02
0.50
USD
(0.02) (0.22) 0.13 0.27 EAR / balance sheet position - YEAR 2019
2.00 GBP 2019
CHF

Millions
(0.00) 0.00 (0.00) 0.00 1.50 CHF 2019
USD 2019
GBP 1.00
0.12 0.31 0.12 0.31 EUR 2019
Total 0.50 ALS 2019
change in
EAR (0.71) (1.39) (0.35) 2.52 0.00
Money Market CA with BOA Securities Loans AFV Securities Money Market Deposits Subordinated
0.50 loan
Asset Liabilities
1.00

Conclusions (expected scenario): 1.50

• Total EAR (expected scenario 1) for the year 2018 is calculated EUR -0.71 mio ; EUR -0.70 mio attributed to change in NII and EUR -0.02 mio attributed to
change in valuation . EAR for ALS and EUR are -0.78 M EUR and -0.03 M EUR respectively. Total EAR for year 2019 is calculated EUR -1.39 mio ; EUR -1.32 mio
attributed to change in NII and EUR -0.08 mio attributed to change in valuation . EAR for ALS and EUR are -1.45 M EUR and -0.03 M EUR respectively.

12
Data as at 29.12.2017 | all figures in EUR mn