Annex

Section 1 - General Information Response

• a. General information provided by the relevant supervisory authority: (1) Country code

(2) Bank name (3) Reporting date (yyyy-mm-dd)

(4) Reporting currency (5) Euro conversion rate (6) Submission date (yyyy-mm-dd)

• b. General Information provided by the reporting institution: (1) Reporting unit (2) Accounting standard

(3) Date of public disclosure (yyyy-mm-dd) (4) Language of public disclosure (5) Web address of public disclosure (6) LEI code

SIZE INDICATORS

• a. Derivatives (1) Counterparty exposure of derivatives contracts (2) Capped notional amount of credit derivatives (3) Potential future exposure of derivatives contracts
• b. Securities financing transactions (SFTs) (1) Adjusted gross value of SFTs

(2) Counterparty exposure of SFTs

• c. Other assets
• d. Gross notional amount of off-balance-sheet items (1) Items subject to a 0% credit conversion factor (CCF) (2) Items subject to a 20% CCF (3) Items subject to a 50% CCF

(4) Items subject to a 100% CCF

• e. Regulatory adjustments
• f. Total exposures prior to regulatory adjustments (sum of items 2.a.(1) through 2.c., 0.1 times 2.d.(1), 0.2 times 2.d.(2), 0.5 times 2.d.(3), and 2.d.(4))
• g. Exposures of insurance subsidiaries not included in 2.f. net of intragroup: (1) On-balance-sheet and off-balance-sheet assets of insurance subsidiaries (2) Potential future exposure of derivatives contracts of insurance subsidiaries (3) Investment value in consolidated entities
• h. Intragroup exposures included in 2.f. to insurance subsidiaries reported in 2.g.
• i. Total exposures indicator, including insurance subsidiaries (sum of items 2.f., 2.g.(1) through 2.g.(2) minus 2.g.(3) through 2.h.)

INTERCONNECTEDNESS INDICATORS

• a. Funds deposited with or lent to other financial institutions (1) Certificates of deposit
• b. Unused portion of committed lines extended to other financial institutions
• c. Holdings of securities issued by other financial institutions (1) Secured debt securities (2) Senior unsecured debt securities

(3) Subordinated debt securities (4) Commercial paper (5) Equity securities (6) Offsetting short positions in relation to the specific equity securities included in item 3.c.(5)

• d. Net positive current exposure of SFTs with other financial institutions
• e. OTC derivatives with other financial institutions that have a net positive fair value (1) Net positive fair value (2) Potential future exposure
• f. Intra-financial system assets indicator, including insurance subsidiaries (sum of items 3.a., 3.b. through 3.c.(5), 3.d., 3.e.(1), and 3.e.(2), minus 3.c.(6))

Section 4 - Intra-Financial System Liabilities Amount

• a. Funds deposited by or borrowed from other financial institutions (1) Deposits due to depository institutions (2) Deposits due to non-depository financial institutions

(3) Loans obtained from other financial institutions

• b. Unused portion of committed lines obtained from other financial institutions
• c. Net negative current exposure of SFTs with other financial institutions
• d. OTC derivatives with other financial institutions that have a net negative fair value (1) Net negative fair value (2) Potential future exposure
• e. Intra-financial system liabilities indicator, including insurance subsidiaries (sum of items 4.a.(1) through 4.d.(2)) Section 5 - Securities Outstanding Amount
• a. Secured debt securities
• b. Senior unsecured debt securities
• c. Subordinated debt securities
• d. Commercial paper
• e. Certificates of deposit
• f. Common equity
• g. Preferred shares and any other forms of subordinated funding not captured in item 5.c.
• h. Securities outstanding indicator, including the securities issued by insurance subsidiaries (sum of items 5.a. through 5.g.)

SUBSTITUTABILITY/FINANCIAL INSTITUTION INFRASTRUCTURE

Section 6 - Payments made in the reporting year (excluding Amount intragroup payments)

• a. Australian dollars (AUD)
• b. Canadian dollars (CAD)
• c. Swiss francs (CHF)
• d. Chinese yuan (CNY)
• e. Euros (EUR)
• f. British pounds (GBP)
• g. Hong Kong dollars (HKD)
• h. Indian rupees (INR)
• i. Japanese yen (JPY)
• j. New Zealand dollars (NZD)
• k. Swedish krona (SEK)
• l. United States dollars (USD)
• m. Payments activity indicator (sum of items 6.a. through 6.l.)

• a. Assets under custody indicator

Section 8 - Underwritten Transactions in Debt and Equity Markets Amount

• a. Equity underwriting activity
• b. Debt underwriting activity
• c. Underwriting activity indicator (sum of items 8.a. and 8.b.)

• a. Trading volume of securities issued by other public sector entities, excluding intragroup transactions
• b. Trading volume of other fixed income securities, excluding intragroup transactions
• c. Trading volume fixed income sub-indicator (sum of items 9.a. and 9.b.)
• d. Trading volume of listed equities, excluding intragroup transactions
• e. Trading volume of all other securities, excluding intragroup transactions
• f. Trading volume equities and other securities sub-indicator (sum of items 9.d. and 9.e.)

Section 10 - Notional Amount of Over-the-Counter (OTC) Amount Derivatives

• a. OTC derivatives cleared through a central counterparty
• b. OTC derivatives settled bilaterally
• c. Notional amount of over-the-counter (OTC) derivatives indicator, including insurance subsidiaries (sum of items 10.a. and 10.b.)

• a. Held-for-trading securities (HFT)
• b. Available-for-sale securities (AFS)
• c. Trading and AFS securities that meet the definition of Level 1 assets
• d. Trading and AFS securities that meet the definition of Level 2 assets, with haircuts
• e. Trading and AFS securities indicator (sum of items 11.a. and 11.b., minus the sum of 11.c. and 11.d.)

Section 12 - Level 3 Assets Amount

• a. Level 3 assets indicator, including insurance subsidiaries

Section 13 - Cross-Jurisdictional Claims Amount

• a. Total foreign claims on an ultimate risk basis
• b. Foreign derivative claims on an ultimate risk basis
• c. Cross-jurisdictional claims indicator (sum of items 13.a. and 13.b.)

• a. Foreign liabilities on an immediate risk basis, excluding derivatives and including local liabilities in local currency
• b. Foreign derivative liabilities on an immediate risk basis
• c. Cross-jurisdictional liabilities indicator (sum of items 14.a. and 14.b.)

Section 15 - Ancillary Indicators Amount

• a. Total liabilities
• b. Retail funding
• c. Wholesale funding dependence ratio (the difference between items 15.a .and 15.b., divided by 15.a.)
• d. Total gross revenue
• e. Total net revenue
• f. Foreign net revenue
• g. Gross value of cash provided and gross fair value of securities provided in SFTs
• h. Gross value of cash borrowed and gross fair value of securities borrowed in SFTs
• i. Gross positive fair value of over-the-counter (OTC) derivatives transactions
• j. Gross negative fair value of OTC derivatives transactions Amount in single units
• k. Number of jurisdictions

Section 16 - Ancillary Items Amount

• a. Held-to-maturity securities
• b. Payments made in the reporting year (1) Brazilian real (BRL)

(2) Mexican pesos (MXN) (3) Norwegian krone (NOK) (4) Russian rubles (RUB) (5) Singapore dollar (SGD)

(6) South Korean won (KRW)

Section 17 - Size Items Amount

• a. Exposure of insurance subsidiaries already included in prudential regulatory scope of consolidation
• b. Quarterly average value of total exposures
• c. Monthly average value of total exposures

Section 18 - Interconnectedness Items Amount

• a. Intra-financial system assets indicator (old indicator)
• b. Quarterly average value of intra-financial system assets
• c. Monthly average value of intra-financial system assets
• d. Intra-financial system liabilities indicator (old indicator)
• e. Quarterly average value of intra-financial system liabilities
• f. Monthly average value of intra-financial system liabilities
• g. Securities outstanding indicator (old indicator)
• h. Quarterly average value of securities outstanding
• i. Monthly average value of securities outstanding

Section 19 - Substitutability/Financial Infra. Items Amount

• a. Trading volume of securities issued by sovereigns, excluding intragroup transactions
• b. Initial margin posted to central counterparties (CCPs) on behalf of clients
• c. Initial margin posted to CCPs for the reporting group’s own account
• d. Default fund contributions to CCPs
• e. Other facilities to CCPs
• f. Provision of settlement services in connection with centrally cleared transactions
• g. Quarterly average value of assets under custody
• h. Monthly average value of assets under custody

• a. OTC derivatives indicator (old indicator)
• b. Notional amount of over-the-counter (OTC) derivatives, including insurance subsidiaries: (1) Cleared through a CCP where the group (including ins. subs.) acts as a financial intermediary (CCP-leg) (2) Cleared through a CCP where the group (including ins. subs.) acts as a financial intermediary (client-leg) (3) Cleared through a CCP where the group, including insurance subsidiaries, acts as an agent (4) Cleared through a CCP where the group, including insurance subsidiaries, trades on its own account
• c. OTC derivatives cleared through a central counterparty (LIBOR transition exclusion)
• d. Quarterly average value of the notional amount of over-the-counter (OTC) derivatives
• e. Monthly average value of the notional amount of over-the-counter (OTC) derivatives
• f. Quarterly average value of trading and available-for-sale securities
• g. Monthly average value of trading and available-for-sale securities
• h. Level 3 assets indicator (old indicator)
• i. Quarterly average value of Level 3 Assets
• j. Monthly average value of Level 3 Assets
• k. Level 2 assets, including insurance subsidiaries (1) Level 2 assets, including insurance subsidiaries, cleared through a CCP (2) Level 2 assets, including insurance subsidiaries, settled bilaterally (3) Other Level 2 assets, including insurance subsidiaries
• l. Average value of Level 2 assets, including insurance subsidiaries

Section 21 - Cross-Jurisdictional Activity Items Amount

• a. Cross-jurisdictional liabilities indicator (old indicator) (1) Foreign liabilities (excluding derivatives and local liabilities in local currency) (2) Any foreign liabilities to related offices included in item 21.a.(1) (3) Local liabilities in local currency (excluding derivatives activity)
• b. Local liabilities in local currency (including derivatives activity)
• c. Cross-jurisdictional local claims in local currency (excluding derivatives activity)
• d. Cross-jurisdictional local claims in local currency (including derivatives activity)
• e. Total foreign claims on an ultimate risk basis (considering SRM as a single jurisdiction)
• f. Foreign derivatives claims on an ultimate risk basis (considering SRM as a single jurisdiction)
• g. Foreign liabilities on an immediate risk basis, including derivatives (considering SRM as a single jurisdiction) (1) Foreign derivatives liabilities on an immediate risk basis (considering SRM as a single jurisdiction)
• h. Cross-jurisdictional local claims in local currency, excluding derivatives activity (considering SRM as a single jurisdiction)
• i. Cross-jurisdictional local claims in local currency, including derivatives activity (considering SRM as a single jurisdiction)
• j. Foreign liabilities, excluding derivatives and local liabilities in local currency (considering SRM as a single jurisdiction) (1) Any foreign liabilities to related offices included in item 20.j. (considering SRM as a single jurisdiction)
• k. Local liabilities in local currency excluding derivatives (considering SRM as a single jurisdiction)
• l. Local liabilities in local currency including derivatives (considering SRM as a single jurisdiction)
• m. Total net local positions in local currency including derivatives, if net positive
• n. Total net local positions in local currency including derivatives, if net negative
• o. Total net local positions in local currency in non-SRM countries including derivatives, if net positive (c. SRM as a s. j.)
• p. Total net local positions in local currency in non-SRM countries including derivatives, if net negative (c. SRM as a s. j.)
• q. Total net local positions in local currency in SRM countries including derivatives (considering SRM as a single jurisdiction)
• r. Intra-office claims booked by foreign subsidiaries
• s. Intra-office claims booked by foreign branches
• t. Intra-office liabilities booked by foreign subsidiaries
• u. Intra-office liabilities booked by foreign branches
• v. Quarterly average value of cross-jurisdictional claims
• w. Monthly average value of cross-jurisdictional claims
• x. Quarterly average value of cross-jurisdictional liabilities
• y. Monthly average value of cross-jurisdictional liabilities

Section 22 - Ancillary Indicators

• a. Foreign net revenue (considering SRM as a single jurisdiction)
• b. Number of jurisdictions (considering SRM as a single jurisdiction)

Section 23 – Indicator Values (Revised methodology) Indicator value in reporting

• a. Section 2 ‐ Total exposures indicator, including insurance subsidiaries
• b. Section 3 ‐ Intra‐financial system assets indicator, including insurance subsidiaries
• c. Section 4 ‐ Intra‐financial system liabilities indicator, including insurance subsidiaries
• d. Section 5 ‐ Securities outstanding indicator, including insurance subsidiaries
• e. Section 6 ‐ Payments activity indicator
• f. Section 7 ‐ Assets under custody indicator
• g. Section 8 ‐ Underwriting activity indicator
• h. Section 9.c ‐ Trading Volume fixed income sub‐indicator
• i. Section 9.f ‐ Trading Volume equities and other securities sub‐indicator
• j. Section 10 ‐ OTC derivatives indicator, including insurance subsidiaries
• k. Section 11 ‐ Trading and AFS securities indicator
• l. Section 12 ‐ Level 3 assets indicator, including insurance subsidiaries
• m. Section 13 ‐ Cross‐jurisdictional claims indicator
• n. Section 14 ‐ Cross‐jurisdictional liabilities indicator
• o. Other Sections (1) Item 1.a ‐ General information provided by the supervisory authority (2) Item 1.b ‐ General information provided by the reporting institution (3) Section 15 ‐ Ancillary Indicators (4) Section 16 ‐ Ancillary Items (5) Section 17 ‐ Size Items (6) Section 18 ‐ Interconnectedness Items (7) Section 19 ‐ Substitutability/Financial Infra. Items (8) Section 20 ‐ Complexity Items (9) Section 21 ‐ Cross‐Jurisdictional Activity Items (10) Section 22 ‐ Ancillary Indicators

Section 24 – Indicator Values (old methodology) Indicator value in reporting

• a. Section 2 ‐ Total exposures indicator
• b. Section 18 ‐ Intra‐financial system assets indicator
• c. Section 18 ‐ Intra‐financial system liabilities indicator
• d. Section 18 ‐ Securities outstanding indicator
• e. Section 6 ‐ Payments activity indicator
• f. Section 7 ‐ Assets under custody indicator
• g. Section 8 ‐ Underwriting activity indicator
• h. Section 20 ‐ OTC derivatives indicator
• i. Section 11 ‐ Trading and AFS securities indicator
• j. Section 20 ‐ Level 3 assets indicator
• k. Section 13 ‐ Cross‐jurisdictional claims indicator
• l. Section 21 ‐ Cross‐jurisdictional liabilities indicator