ANNEX I

Total risk exposure amounts (TREA)

Total own funds requirements

a

b

c

T

T-1

T

1

Credit risk (excluding CCR)

2

Of which the standardised approach

3

Of which the Foundation IRB (F-IRB) approach

4

Of which slotting approach

EU 4a

Of which equities under the simple riskweighted approach

5

Of which the Advanced IRB (A-IRB) approach

6

Counterparty credit risk - CCR

7

Of which the standardised approach

8

Of which internal model method (IMM)

EU 8a

Of which exposures to a CCP

EU 8b

Of which credit valuation adjustment - CVA

9

Of which other CCR

10

Not applicable

11

Not applicable

12

Not applicable

13

Not applicable

14

Not applicable

15

Settlement risk

16

Securitisation exposures in the non-trading book (after the cap)

17

Of which SEC-IRBA approach

18

Of which SEC-ERBA (including IAA)

19

Of which SEC-SA approach

EU 19a

Of which 1 250  % / deduction

20

Position, foreign exchange and commodities risks (Market risk)

21

Of which the standardised approach

22

Of which IMA

EU 22a

Large exposures

23

Operational risk

EU 23a

Of which basic indicator approach

EU 23b

Of which standardised approach

EU 23c

Of which advanced measurement approach

24

Amounts below the thresholds for deduction (subject to 250 % risk weight)

25

Not applicable

26

Not applicable

27

Not applicable

28

Not applicable

29

Total

a

b

c

d

e

T

T-1

T-2

T-3

T-4

Available own funds (amounts)

1

Common Equity Tier 1 (CET1) capital

2

Tier 1 capital

3

Total capital

Risk-weighted exposure amounts

4

Total risk exposure amount

Capital ratios (as a percentage of risk-weighted exposure amount)

5

Common Equity Tier 1 ratio (%)

6

Tier 1 ratio (%)

7

Total capital ratio (%)

Additional own funds requirements to address risks other than the risk of excessive leverage (as a percentage of risk-weighted exposure amount)

EU 7a

Additional own funds requirements to address risks other than the risk of excessive leverage (%)

EU 7b

of which: to be made up of CET1 capital (percentage points)

EU 7c

of which: to be made up of Tier 1 capital (percentage points)

EU 7d

Total SREP own funds requirements (%)

Combined buffer and overall capital requirement (as a percentage of risk-weighted exposure amount)

8

Capital conservation buffer (%)

EU 8a

Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State (%)

9

Institution specific countercyclical capital buffer (%)

EU 9a

Systemic risk buffer (%)

10

Global Systemically Important Institution buffer (%)

EU 10a

Other Systemically Important Institution buffer (%)

11

Combined buffer requirement (%)

EU 11a

Overall capital requirements (%)

12

CET1 available after meeting the total SREP own funds requirements (%)

Leverage ratio

13

Total exposure measure

14

Leverage ratio (%)

Additional own funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure)

EU 14a

Additional own funds requirements to address the risk of excessive leverage (%)

EU 14b

of which: to be made up of CET1 capital (percentage points)

EU 14c

Total SREP leverage ratio requirements (%)

Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure)

EU 14d

Leverage ratio buffer requirement (%)

EU 14e

Overall leverage ratio requirement (%)

Liquidity Coverage Ratio

15

Total high-quality liquid assets (HQLA) (Weighted value -average)

EU 16a

Cash outflows - Total weighted value

EU 16b

Cash inflows - Total weighted value

16

Total net cash outflows (adjusted value)

17

Liquidity coverage ratio (%)

Net Stable Funding Ratio

18

Total available stable funding

19

Total required stable funding

20

NSFR ratio (%)

a

b

Exposure value

Risk exposure amount

1

Own fund instruments held in insurance or re-insurance undertakings or insurance holding company not deducted from own funds

a

T

1

Supplementary own fund requirements of the financial conglomerate (amount)

2

Capital adequacy ratio of the financial conglomerate (%)

Legal basis

Row number

Free format

Article 438(a) CRR

(a)

Approach to assessing the adequacy of the internal capital

Article 438(c) CRR

(b)

Upon demand from the relevant competent authority, the result of the institution's internal capital adequacy assessment process