EN.  L 97/ C — Exposures in the non-trading and trading book (LE 2) COUNTERPARTY ORIGINAL EXPOSURES Code Group or individual Transactions where there is an exposure to underlying assets Direct exposures Total original exposure Of which: defaulted Debt instruments Equity instruments Derivatives Off balance sheet items Loan commitments Financial guarantees Other commitments 010 020 030 040 050 060 070 080 090 100 110 ORIGINAL EXPOSURES. Value adjustments and provisions. Exposures deducted from CET 1 or Additional Tier 1 items Exposure value before application of exemptions and CRM Indirect exposures Additional exposures arising from transactions where there is an exposure to underlying assets Debt instruments Equity instruments Derivatives Off balance sheet items Total Of which: Non- trading book % of Tier 1 capital Loan commitments Financial guarantees Other commitments 120 130 140 150 160 170 180 190 200 210 220 230 ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES. Amounts exempted Exposure value after application of exemptions and CRM. Substitution effect of eligible credit risk mitigation techniques. Funded credit protection other than substitution effect. Real estate. Debt instruments. Equity instruments. Derivatives. Off balance sheet items Total Of which: Non- trading book % of Tier 1 capital. Loan commitments. Financial guarantees. Other commitments 240 250 260 270 280 290 300 310 320 330 340 350 Column Legal references and instructions  6. C — Exposures in the non-trading and trading book (LE2). Instructions concerning specific columns Column Legal references and instructions 010 Code For a group of connected clients, if a unique code is available at national level, this code shall be reported as the code of the group of connected clients. Where there is no unique code at the national level, the code that shall be reported shall be the code of the parent company in C. In the cases where the group of connected clients does not have a parent, the code that shall be reported shall be the code of the individual entity which is considered by the institution as the most significant within the group of connected clients. In any other case, the code shall correspond to the individual counterparty. The codes shall be used in a consistent way across time. The composition of the code depends on the national reporting system, unless a uniform codification is available in the EU. 020 Group or individual The institution shall report "1" for the reporting of exposures to individual clients and "2" for the reporting of exposures to groups of connected clients.EN L 97/ . Column Legal references and instructions 030 Transactions where there is an exposure to underlying assets Article 390(7) CRR In accordance with further technical specifications by the national competent authorities, when the institution has exposures to the reported counterparty through a transaction where there is an exposure to underlying assets, the equivalent to "Yes " shall be reported; otherwise the equivalent to ‘No’ shall be reported. 040-180 Original exposures Articles 24, 389, 390 and 392 CRR The institution shall report in this block of columns the original exposures of direct exposures, indirect exposures, and additional exposures arising from transactions where there is an exposure to underlying assets. According to Article 389 CRR, assets and off balance sheet items shall be used without risk weights or degrees of risk. Specifically, credit conversion factors shall not be applied to off balance sheet items. These columns shall contain the original exposure, i.e. the exposure value without taking into account value adjustments and provisions, which shall be deducted in column 210. The definition and calculation of the exposure value is set out in Articles 389 and 390 CRR. The valuation of assets and off-balance-sheet items shall be effected in accordance with the accounting framework to which the institution is subject, according to Article 24 CRR. Exposures deducted from Common Equity Tier 1 items or Additional Tier 1 items, which are not exposures referred to in Article 390(6), point (e), CRR, shall be included in these columns. These exposures shall be deducted in column 200. Exposures referred to in Article 390(6), points (a) to (d), CRR shall not be included in these columns. Original exposures shall include any asset and off-balance sheet items. The exemptions of Article 400 CRR shall be deducted for the purpose of Article 395(1) CRR in column 320. Exposures from both non-trading and trading book shall be included. The net position calculated in accordance with point (b) of Article 390(3) CRR shall be reported as direct exposure and included in the column (060 or 070 or 080), that corresponds to the dominant instrument type. The dominant instrument shall be determined based on the value of the net position in each instrument type. For the breakdown of the exposures in financial instruments, where different exposures arising from netting agreements constitute a single exposure, the latter shall be allocated to the financial instrument corresponding to the principal asset included in the netting agreement (in addition, see the introductory section). 040 Total original exposure The institution shall report the sum of direct exposures and indirect exposures as well as the additional exposures that arise from the exposure to transactions where there is an exposure to underlying assets. 050 Of which: defaulted Article 178 CRR The institution shall report the part of the total original exposure corresponding to defaulted exposures. 060-110 Direct exposures Direct exposures shall mean the exposures on ‘immediate borrower’ basis.EN.  L 97/ Column Legal references and instructions 060 Debt instruments Regulation (EU) No / (‘ECB//33’) Annex II, Part 2, table, categories 2 and 3 Debt instruments shall include debt securities, and loans and advances. The instruments included in this column shall be those qualified as ‘loans of up to and including one year/over one year and up to and including five years/of over five years’ original maturity’, or as ‘debt securities’, according to ECB//33. Repurchase transactions, securities or commodities lending or borrowing transactions (securities financing transactions) and margin lending transactions shall be included in this column. 70 Equity instruments ECB//33 Annex II, Part 2, table, categories 4 and 5 The instruments included in this column shall be those qualified as ‘Equity’ or as ‘Investment fund shares/units’ in accordance with ECB//33. 080 Derivatives Article 272(2) and Annex II CRR The instruments that shall be reported in this column shall include derivatives listed in Annex II CRR and long settlement transactions, as defined in Article 272(2) CRR. Credit derivatives that are subject to counterparty credit risk shall be included in this column. 090-110 Off balance sheet items Annex I to CRR The value that shall be reported in these columns shall be the nominal value before any reduction of specific credit risk adjustments and without application of conversion factors. 090 Loan commitments Annex I, points 1(c) and (h), 2(b)(ii), 3(b)(i) and 4(a), CRR Loan commitments are firm commitments to provide credit under pre-specified terms and conditions, except those that are derivatives because they can be settled net in cash or by delivering or issuing another financial instrument. 100 Financial guarantees Annex I, points 1(a), (b) and (f), CRR Financial guarantees are contracts that require the issuer to make specified payments to reimburse the holder for a loss it incurs because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument. Credit derivatives that are not included in the column ‘derivatives’ shall be reported in this column. 110 Other commitments Other commitments are the items in Annex I to CRR that are not included in the previous categories. The exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the institution shall be reported in this column.EN L 97/ . Column Legal references and instructions 120-170 Indirect exposures Article 403 of CRR In accordance with Article 403 CRR, a credit institution shall use the substitution approach where an exposure to a client is guaranteed by a third party, or secured by collateral issued by a third party. The institution shall report in this block of columns the amounts of the direct exposures that are re- assigned to the guarantor or the issuer of collateral provided that the latter would be assigned an equal or lower risk weight than the risk weight which would be applied to the client under Part Three, Title II, Chapter 2, CRR. In the case of exposures secured by collateral issued by a third party, Article 403(3) CRR offers an alternative treatment. The protected reference original exposure (direct exposure) shall be deducted from the exposure to the original borrower in the columns of ‘Eligible credit risk mitigation techniques’. The indirect exposure shall increase the exposure to the guarantor or issuer of collateral via substitution effect. This shall apply also to guarantees given within a group of connected clients. The institution shall report the original amount of the indirect exposures in the column that corresponds to the type of direct exposure guaranteed or secured by collateral such as, when the direct exposure guaranteed is a debt instrument, the amount of ‘Indirect exposure’ assigned to the guarantor shall be reported under the column ‘Debt instruments’. Exposures arising from credit-linked notes shall also be reported in this block of columns, according to Article 399 CRR. 120 Debt instruments See column 060. 130 Equity instruments See column 070. 140 Derivatives See column 080. 150-170 Off balance sheet items The value of these columns shall be the nominal value before any reduction of specific credit risk adjustments and conversion factors are applied. 150 Loan commitments See column 090. 160 Financial guarantees See column 100. 170 Other commitments See column 110. 180 Additional exposures arising from transactions where there is an exposure to underlying assets Article 390(7) CRR Additional exposures that arise from transactions where there is an exposure to underlying assets.EN.  L 97/ Column Legal references and instructions 190. Value adjustments and provisions Articles 34, 24, 110 and 111 CRR Value adjustment and provisions included in the corresponding accounting framework (Directive 86/635/EEC or Regulation (EC) No /) that affect the valuation of exposures shall be determined in accordance with Articles 24 and 110 CRR. Value adjustments and provisions against the gross exposure given in column 040 shall be reported in this column. 200. Exposures deducted from Common Equity Tier 1 or Additional Tier 1 items Article 390(6), point (e), CRR Exposures deducted from Common Equity Tier 1 or Additional Tier 1 items, which shall be included in the different columns of Total original exposure, shall be reported. 210-230 Exposure value before application of exemptions and CRM Article 394(1), point (b), CRR Institutions shall report the exposure value before taking into account the effect of the credit risk mitigation, where applicable. 210 Total The exposure value to be reported in this column shall be the amount used for determining whether an exposure is a large exposure according to the definition in Article 392 of CRR. This shall include the original exposure after subtracting value adjustments and provisions and the amount of the exposures deducted from Common Equity Tier 1 or Additional Tier 1 items. 220 Of which: Non-trading book The amount of the non-trading book from the total exposure before exemptions and CRM 230 % of Tier 1 capital Articles 392 and 395 CRR The amount that shall be reported is the percentage of the exposure value before application of exemptions and CRM related to Tier 1 capital of the institution, as defined in Article 25 CRR. 240-310. Eligible credit risk mitigation (CRM) techniques Articles 399 and 401 to 403, CRR; CRM techniques as defined in Article 4(1), point (57), CRR The CRM techniques recognised in Part Three, Title II, Chapter 3 and 4, CRR shall be used in accordance with Articles 401 to 403, CRR. CRM techniques may have three different effects in the LE regime: substitution effect; funded credit protection other than substitution effect; and real estate treatment.EN L 97/ . Column Legal references and instructions 240-290. Substitution effect of eligible credit risk mitigation techniques Article 403 CRR The amount of funded and unfunded credit protection that shall be reported in these columns shall correspond to the exposures guaranteed by a third party, or secured by collateral issued by a third party, where the institution shall treat the portion of the exposure which is guaranteed and/or collat eralised by the market value of recognised collateral as incurred with the guarantor or the issuer of collateral. 240. Debt instruments See column 060. 250. Equity instruments See column 070. 260. Derivatives See column 080. 270-290. Off balance sheet items The value of these columns shall be without application of conversion factors. 270. Loan commitments See column 090. 280. Financial guarantees See column 100. 290. Other commitments See column 110. 300. Funded credit protection other than substitution effect Article 401 CRR The institution shall report the amounts of funded credit protection, as defined in Article 4(1), point (58), CRR, that are deducted from the exposure value due to the application of Article 401 CRR. In accordance with Article 401(1) CRR, volatility adjustments shall be applied to the exposure value and shall be reported as an increase in the exposure value. 310. Real estate Article 402 CRR The institution shall report the amounts deducted from the exposure value due to the application of Article 402 CRR. 320. Amounts exempted Article 400 CRR The institution shall report the amounts exempted from the LE regime.EN.  L 97/ Column Legal references and instructions 330-350 Exposure value after application of exemptions and CRM Article 394(1), point (d), CRR The institution shall report the exposure value after taking into account the effect of the exemptions and credit risk mitigation calculated for the purpose of Article 395(1) CRR. 330 Total This column shall include the amount to be taken into account in order to comply with the large exposures limit set out in Article 395 CRR. 340 Of which: Non-trading book The institution shall report the total exposure after application of exemptions and after taking into account the effect of CRM belonging to the non-trading book. 350 % of Tier 1 capital The institution shall report the percentage of the exposure value after application of exemptions and CRM related to the Tier 1 capital of the institution, as defined in Article 25 CRR.

EN L 97/ . C — Detail of the exposures to individual clients within groups of connected clients (LE 3) COUNTERPARTY ORIGINAL EXPOSURES Code Group code Transactions where there is an exposure to underlying assets Direct exposures Total original exposure Of which: defaulted Debt instruments Equity instruments Derivatives Off balance sheet items Loan commitments Financial guarantees Other commitments 010 020 030 050 060 070 080 090 100 110 120 ORIGINAL EXPOSURES. Value adjustments and provisions. Exposures deducted from CET 1 or Additional Tier 1 items Exposure value before application of exemptions and CRM Indirect exposures Additional exposures arising from transactions where there is an exposure to underlying assets Debt instruments Equity instruments Derivatives Off balance sheet items Total Of which: Non- trading book % of Tier 1 capital Loan commitments Financial guarantees Other commitments 130 140 150 160 170 180 190 200 210 220 230 240 ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES. Amounts exempted Exposure value after application of exemptions and CRM. Substitution effect of eligible credit risk mitigation techniques. Funded credit protection other than substitution effect. Real estate. Debt instruments. Equity instruments. Derivatives. Off balance sheet items Total Of which: Non- trading book % of Tier 1 capital. Loan commitments. Financial guarantees. Other commitments 250 260 270 280 290 300 310 320 330 340 350 360 7. C – Details of the exposures to individual clients within groups of connected clients (LE3). Instructions concerning specific columns Column Legal references and instructions 010-360 The institution shall report in template LE3 the data of the individual clients belonging to the groups of connected clients included in the rows of template LE2. 010 Code  010 and 020 are a composite row identifier, and together must be unique for each row in the table. The code of the individual counterparty belonging to the groups of connected clients shall be reported. The codes shall be used in a consistent way across time. 020 Group code  010 and 020 are a composite row identifier, and together must be unique for each row in the table. If a unique code for a group of connected clients is available at national level, this code shall be reported. Where there is no unique code at the national level, the code that shall be reported shall be the code used for reporting exposures to the Group of Connected clients in C (LE2). Where a client belongs to several groups of connected clients, it shall be reported as a member of all the groups of connected clients.EN L 97/ . Column Legal references and instructions 030 Transactions where there is an exposure to underlying assets See column 030 of template LE2. 050-360 When financial instruments in template LE2 are provided to the whole group of connected clients they shall be allocated to the individual counterparties in template LE3 in accordance with the business criteria of the institution. The remaining instructions are the same as for template LE2.EN.  L 97/