ANNEX XIX

Legal basis

Row number

Qualitative information - Free format

Article 444 (a) CRR

(a)

Names of the external credit assessment institutions (ECAIs) and export credit agencies (ECAs) nominated by the institution, and the reasons for any changes over the disclosure period;

Article 444 (b) CRR

(b)

The exposure classes for which each ECAI or ECA is used;

Article 444 (c) CRR

(c)

A description of the process used to transfer the issuer and issue credit ratings onto comparable assets items not included in the trading book;

Article 444 (d) CRR

(d)

The association of the external rating of each nominated ECAI or ECA (as referred to in row (a)) with the risk weights that correspond with the credit quality steps as set out in Chapter 2 of Title II of Part Three CRR (except where the institution complies with the standard association published by the EBA).

Exposure classes

Exposures before CCF and before CRM

Exposures post CCF and post CRM

RWAs and RWAs density

On-balance-sheet exposures

Off-balance-sheet exposures

On-balance-sheet exposures

Off-balance-sheet exposures

RWAs

RWAs density (%)

a

b

c

d

e

f

1

Central governments or central banks

2

Regional government or local authorities

3

Public sector entities

4

Multilateral development banks

5

International organisations

6

Institutions

7

Corporates

8

Retail

9

Secured by mortgages on immovable property

10

Exposures in default

11

Exposures associated with particularly high risk

12

Covered bonds

13

Institutions and corporates with a short-term credit assessment

14

Collective investment undertakings

15

Equity

16

Other items

17

TOTAL

Exposure classes

Risk weight

Total

Of which unrated

0 %

2 %

4 %

10 %

20 %

35 %

50 %

70 %

75 %

100 %

150 %

250 %

370 %

1 250  %

Others

a

b

c

d

e

f

g

h

i

j

k

l

m

n

o

p

q

1

Central governments or central banks

2

Regional government or local authorities

3

Public sector entities

4

Multilateral development banks

5

International organisations

6

Institutions

7

Corporates

8

Retail exposures

9

Exposures secured by mortgages on immovable property

10

Exposures in default

11

Exposures associated with particularly high risk

12

Covered bonds

13

Exposures to institutions and corporates with a short-term credit assessment

14

Units or shares in collective investment undertakings

15

Equity exposures

16

Other items

17

TOTAL