Instruction No. 2010-I-02 of September 20, 2010 amending Instruction No. 2007-02 of March 26, 2007 on capital requirements for credit institutions and investment firms

Instruction No. 2010-I-02 amending Instruction No. 2007-02 of 26/03/2007 on capital requirements applicable to credit institutions and investment firms Prudential Control Authority 2

CA Statement ID Denomination Declared Amounts Regulatory References Formulas

1 TOTAL OWN FUNDS FOR THE CALCULATION OF THE SOLVENCY RATIO =1.1+1.2+1.3+1.6+1.7 =1.4+1.5+1.6+1.7

1.1 CORE OWN FUNDS Core own funds are determined in accordance with the provisions provided for in Articles 2, 2 bis and 2 ter of Regulation No. 90-02. 1.1.1+1.1.2+1.1.3+1.1.4+1 .1.5

1.1.1 Capital Article 2.a) and 2c) of Regulation No. 90-02. 1.1.1.1+1.1.1.2+1.1.1.3+1.1. 1.1.4

1.1.1*** Of which: Instruments pari passu with ordinary shares in the event of liquidation, and in going concern Ref. Article 2a first indent of Regulation No. 90-02: instruments pari passu with ordinary shares in the event of liquidation; report here the nominal amount as well as the premium attached to the instruments considered

1.1.1**** Of which: Instruments conferring preferential rights in terms of dividend payments on a non-cumulative basis Ref. Article 2a first indent of Regulation No. 90-02: instruments granting preferential rights in terms of dividend payments; report here the nominal amount as well as the premium attached to the instruments considered

1.1.1.1 Called-up capital paid = Article 2.a) first indent Article 2 c) first indent of Regulation No. 90-02.

1.1.1.2 (-) Treasury shares = Article 2.c 2nd indent) of Regulation No. 90-02: "come for deduction (...) the treasury shares held, evaluated at their book value".

1.1.1.3 Share premium = Article 2.a) 3rd indent of Regulation No. 90-02.

1.1.1.4 Other elements assimilated to capital = last paragraph of Article 2.a) of Regulation No. 90-02 "the sums which stand in lieu thereof or are assimilated thereto, in accordance with the legislation in force, in the accounting of establishments governed by a special status, notably the definitively acquired endowments or the fixed or variable capital represented by partnership shares effectively paid up or certificates of cooperative investment or associate."

1.1.2 Eligible Reserves =1.1.2.1+1.1.2.2+1.1.2.3+ 1.1.2.5+1.1.2.6

1.1.2.1 Reserves and retained earnings = Article 2.a) 2nd indent and 4th indent, - Article 2c) 3rd indent of Regulation No. 90-02. This line does not include revaluation differences made before 31/12/2004. It includes credit acquisition differences (for non-IFRS establishments) and conversion differences.

1.1.2.1.0 1 Reserves (including valuation differences) = Article 2a) 2nd indent of Regulation No. 90-02 FINREP: reserve + revalued reserves

1.1.2.1.0 2 Part of reserves to be filtered, in case of valuation differences Ref. Article 2a) 2nd indent of Regulation No. 90-02 part of reserves subject to CEBS prudential filters C 1.1.2.2 Minority interests = Article 7 4th indent of Regulation No. 90-02. =1 .1.2.2 .01+1.1.2.2 .02+ 1.1.2.2 .03

1.1.2.2*** 01 Of which: equity instruments that must be converted in emergency situations Ref. Regulation No. 90-02, Article 2 b)

Instruction No. 2010-I-02 amending Instruction No. 2007-02 of 26/03/2007 on capital requirements applicable to credit institutions and investment firms Prudential Control Authority 3

ID Denomination Declared Amounts Regulatory References Formulas

1.1.2.2*** 02 Of which: equity instruments without redemption option accompanied by a progressive remuneration Ref. Regulation No. 90-02, Article 2 b)

1.1.2.2*** 03 Of which: equity instruments with a redemption option accompanied by a progressive remuneration Ref. Regulation No. 90-02, Article 2 b)

1.1.2.2*** 04 Of which: equity instruments without redemption option accompanied by a progressive remuneration benefiting from a grandfather clause and subject to limits Ref. Regulation No. 90-02, Article 5 I and II

1.1.2.2*** 05 Of which: equity instruments with a redemption option accompanied by a progressive remuneration benefiting from a grandfather clause and subject to limits Ref. Regulation No. 90-02, Article 5 I and II

1.1.2.2.0 1 Minority interests (including valuation differences) FINREP: minority interests

1.1.2.2.0 2 Part of minority interests to be filtered, in case of valuation differences Part of minority interests subject to CEBS prudential filters

1.1.2.2.0 3 (-) Adjustments Ineligible minority interests to capital

1.1.2.3 Intermediate profit or (-) loss = 1.1.2.3.01+1.1.2.3.02.

1.1.2.3.0 1 Intermediate result = intermediate losses are deducted in accordance with Article 2c) 5th indent of Regulation No. 90-02. Intermediate profits can only be taken up when they meet the conditions provided for in the penultimate paragraph of Article 2a) of Regulation No. 90-02.

1.1.2.3.0 2 (-) Of which income from latent gains or losses subject to prudential adjustments Positive elements provided for in lines 1.1.2.6.07 and 1.1.2.6.11.

1.1.2.5 (-) Net gains arising from capitalization of future income of securitized assets Ref. first paragraph of Article 2.a) of Regulation No. 90-02: "For establishments subject as originators of securitization, net gains that derive from the capitalization of future income of securitized assets and which constitute the credit enhancement of securitization positions are not included."

I 1.1.2.6 Latent or deferred gains or losses Establishments subject to IFRS standards include here the latent or deferred gains or losses provided for in Article 2bis of Regulation No. 90-02. For the purposes of the declaration to the Prudential Control Authority, establishments subject report all the elements provided for above. The declaration of these elements does not prevent that certain of these elements are taken up in supplementary own funds. Sum 1.1.2.6.i, i = 01 to 16

I 1.1.2.6.0 1 Latent gains or losses on equity instruments available for sale 1st indent of the 7th paragraph of Article 2bis of Regulation No. 90-02: Here are included cash flow hedges relating to equity instruments available for sale.

Instruction No. 2010-I-02 amending Instruction No. 2007-02 of 26/03/2007 on capital requirements applicable to credit institutions and investment firms Prudential Control Authority 4

ID Denomination Declared Amounts Regulatory References Formulas

I 1.1.2.6.0 2 Prudential adjustment of latent gains or losses on equity instruments available for sale 1st indent of the 7th paragraph of Article 2bis of Regulation No. 90-02: "for equity instruments, net latent gains are deducted from core own funds, currency by currency, net of the amount of tax already deducted accountingly and are taken up, currency by currency, before tax in supplementary own funds to the extent of 45%. Net latent losses are not adjusted."

I 1.1.2.6.0 3 Latent gains or losses on loans and receivables available for sale 2nd indent of the 7th paragraph of Article 2bis of Regulation No. 90-02 for establishments subject to IFRS standards: here are included cash flow hedges on loans and receivables available for sale.

I 1.1.2.6.0 4 Prudential adjustment of latent gains or losses on loans and receivables available for sale 2nd indent of the 7th paragraph of Article 2bis of Regulation No. 90-02: refers to loans and receivables, the latent gains or losses of which are neutralized.

I 1.1.2.6.0 5 Latent gains or losses on other financial assets available for sale (i.e. debt securities) 2nd indent of the 7th paragraph of Article 2bis of Regulation No. 90-02 for establishments subject to IFRS standards. Here are included cash flow hedges on debt instruments available for sale.

I 1.1.2.6.0 6 Adjustment of latent gains or losses on other financial assets available for sale (i.e. debt securities) 2nd indent of the 7th paragraph of Article 2bis of Regulation No. 90-02: refers notably to debt instruments, the latent gains or losses of which are neutralized.

I 1.1.2.6.0 7 Latent gains or losses, due to the evolution of credit risk on self ("own credit risk"), recorded on debts evaluated by option at fair value through the income statement. Instruction No. 2006-01 relative to the application of modifications of the prudential regulation following the entry into force of the amendment to the IAS 39 standard relative to the fair value option for establishments subject to IFRS standards (gross amount reduced by the provision for tax).

I 1.1.2.6.0 8 Prudential adjustment of latent gains or losses, due to the evolution of credit risk on self, recorded on debts evaluated by option at fair value Ref. Instruction No. 2006-01. "Latent gains or losses, due to the evolution of credit risk on self -"own credit risk"-, recorded on debts evaluated by option at fair value through the income statement must be neutralized for their net amount of tax already deducted accountingly."

Instruction No. 2010-I-02 amending Instruction No. 2007-02 of 26/03/2007 on capital requirements applicable to credit institutions and investment firms Prudential Control Authority 5

ID Denomination Declared Amounts Regulatory References Formulas

I 1.1.2.6.0 9 Latent gains or losses on cash flow hedge operations, not related to financial assets available for sale 8th paragraph of Article 2bis of Regulation No. 90-02 for establishments subject to IFRS standards. Notably on operations of hedging interest rate products (excluding securities available for sale).

I 1.1.2.6.1 0 Prudential adjustment of latent gains or losses on cash flow hedge operations 8th paragraph of Article 2 bis of Regulation No. 90-02: "Latent gains or losses recorded accountingly directly in equity due to a cash flow hedge operation are neutralized". Notably on operations of hedging interest rate products (excluding securities available for sale).

I 1.1.2.6.1 1 Latent gains or losses on investment property 10th paragraph of Article 2bis of Regulation No. 90-02 for establishments subject to IFRS standards (gross amount reduced by the provision for tax). Only latent gains or losses subsequent to the first application of IFRS standards are included.

I 1.1.2.6.1 2 Prudential adjustment of latent gains or losses on investment property 10th paragraph of Article 2bis of Regulation No. 90-02: "Latent gains of investment property recorded accountingly due to the application of the fair value model are deducted from core own funds, building by building, net of the amount of tax already deducted accountingly and are taken up, building by building, before tax in supplementary own funds to the extent of 45%. Latent losses are not adjusted."

1.1.2.6.1 3 Revaluation difference on tangible fixed assets Articles 2bis and 2ter of Regulation No. 90-02 (gross amount reduced by the provision for tax). For establishments subject to IFRS standards, only revaluation differences subsequent to the first application of IFRS standards are included here.

1.1.2.6.1 4 Prudential adjustment of revaluation differences on tangible fixed assets Article 2bis and ter of Regulation No. 90-02: revaluation differences recorded on tangible fixed assets are deducted from core own funds, fixed asset by fixed asset, net of the amount of tax already deducted accountingly and are taken up, fixed asset by fixed asset, before tax in supplementary own funds to the extent of 45%.

1.1.2.6.1 5 Other latent gains or losses affecting reserves. Last indent of Article 2b) and 3rd , 4th and 5th paragraphs of Article 2bis of Regulation No. 90-02. Here are covered: -the unamortized portions of hybrid debts included in accounting equity, -the positive impacts of derivative components on treasury shares, -net actuarial gains from pension schemes.

1.1.2.6.1 6 Prudential adjustments of other latent gains or losses impacting the reserves Last indent of Article 2b) and 3rd , 4th and 5th paragraphs of Article 2bis of Regulation No. 90-02

NI 1.1.3 General Banking Risk Provision Article 2.a) 6th indent and Article 3 of Regulation No. 90-02. Only establishments subject other than those subject to IFRS standards fill in this line.

1.1.4 Other core own funds on approval of the prudential control authority and others Ref. Article 2.b), Article 2bis last paragraph Article 13 of Regulation No. 90- 02 =1.1.4.1a+1.1.4.3+1.1.4. 4

1.1.4.1a Equity instruments issued directly Ref. Regulation No. 90-02, Article 2 b) = 1.1.4.1a.01+ 1.1.4.1a.02 + 1.1.4.1a.03+1.1.4.1a.04+1 .1.4.1a.05

1.1.4.1a. 01 Equity instruments that must be converted in emergency situations Ref. Regulation No. 90-02, Article 2 b)

Instruction No. 2010-I-02 amending Instruction No. 2007-02 of 26/03/2007 on capital requirements applicable to credit institutions and investment firms Prudential Control Authority 6

ID Denomination Declared Amounts Regulatory References Formulas

1.1.4.1a. 02 Equity instruments without redemption option accompanied by a progressive remuneration Ref. Regulation No. 90-02, Article 2 b)

1.1.4.1. a.03 Equity instruments with a redemption option accompanied by a progressive remuneration Ref. Regulation No. 90-02, Article 2 b)

1.1.4.1a. 04 Equity instruments without redemption option accompanied by a progressive remuneration benefiting from a grandfather clause and subject to limits Ref. Regulation No. 90-02, Article 5 I and II

1.1.4.1a. 05 Equity instruments with a redemption option accompanied by a progressive remuneration benefiting from a grandfather clause and subject to limits Ref. Regulation No. 90-02, Article 5 I and II

I 1.1.4.3 Revaluation differences on tangible fixed assets and investment property related to the first application of IFRS standards. = penultimate paragraph of Article 2bis of Regulation No. 90-02

1.1.4.4 Other core own funds Ref. last paragraph of Article 2bis of Regulation No. 90-02.

1.1.5 (-) Deductions of core own funds (other than treasury shares) 1.1.5.1 + 1.1.5.2a + 1.1.5.4

1.1.5.1 (-) Intangible fixed assets (including setup costs) Article 2.c) 4th indent of Regulation No. 90-02. the line includes debit acquisition differences (goodwill).

1.1.5.1* Of which debit acquisition differences (goodwill) 3rd para of Article 7 of Regulation No. 90-02

1.1.5.2a (-) Part of equity instruments not taken into account due to exceeding the limit set by the prudential control authority Result of the application of the limits of Article 5 I of Regulation No. 90-02, concerning instruments with a redemption option issued indirectly. =1.1.5.2a 01+ 1.1.5.2a02+1.1.5.2 à 03+1.1.5.2a 04

1.1.5.2a. 01 Of which: Equity instruments that must be converted in cases of emergency Ref. Result of the application of the limits of Article 5 I of Regulation No. 90-02.

1.1.5.2a. 02 Of which: Equity instruments without redemption option accompanied by a progressive remuneration and subject to limits Ref. Result of the application of the limits of Article 5 I of Regulation No. 90-02.

1.1.5.2a. 03 Of which: Equity instruments with a redemption option accompanied by a progressive remuneration Ref. Result of the application of the limits of Article 5 I of Regulation No. 90-02.

1.1.5.2a. 04 Of which: Equity instruments benefiting from a grandfather clause Ref. Result of the application of the limits of Article 5 I and II of Regulation No. 90-02.

1.1.5.4 (-) Other deduction of core own funds =1.1.5.4.1+1.1.5.4.2

Instruction No. 2010-I-02 amending Instruction No. 2007-02 of 26/03/2007 on capital requirements applicable to credit institutions and investment firms Prudential Control Authority 7

ID Denomination Declared Amounts Regulatory References Formulas

I 1.1.5.4.1 (-) Prudential adjustment of positive impacts of revaluation differences on tangible fixed assets and investment property operated during the first application of IFRS standards Penultimate paragraph of Article 2bis of Regulation No. 90-02. For establishments subject to IFRS standards "The positive impacts of revaluations operated during the first application of IFRS standards on tangible fixed assets or investment property, whether they are subsequently measured at amortized cost or not in IFRS, are deducted from core own funds, fixed asset by fixed asset, net of the amount of tax already deducted accountingly and are taken up, fixed asset by fixed asset, before tax in supplementary own funds to the extent of 45%.

1.1.5.4.2 (-) Others (including positive difference of equity method on securities held in entities with insurance activity) Article 6.II of Regulation No. 90-02.

1.2 SUPPLEMENTARY OWN FUNDS Articles 1, 4 and 4bis of Regulation No. 90-02. =1.2.1+1.2.2+1.2.3

1.2.1 Supplementary own funds of first level =1.2.1.1+1.2.1.2+1.2.1.3+ 1.2.1.4+1.2.1.5+1.2.1.6+ 1.2.1.7+1.2.1.8

1.2.1.1 Part of equity instruments exceeding the limits for inclusion in core own funds and taken up in supplementary own funds Article 4.a) of Regulation No. 90-02. =-1.1.5.2a I and NI

1.2.1.2 Prudential adjustments of latent gains or losses in core own funds carried over to supplementary own funds of first level Article 4.a) of Regulation No. 90-02: "the elements taken up in supplementary own funds in accordance with Articles 2 bis, 2 ter and 2 quater". Sum 1.2.1.2.i, i = 01 to 05

I 1.2.1.2.0 1 Prudential adjustments of latent gains or losses on equity instruments available for sale carried over to supplementary own funds of first level Article 2 bis of Regulation No. 90-02: "Latent gains or losses on financial assets available for sale recorded accountingly directly in equity are adjusted as follows: – for equity instruments, net latent gains are deducted from core own funds, currency by currency, net of the amount of tax already deducted accountingly and are taken up, currency by currency, before tax in supplementary own funds to the extent of 45%. Net latent losses are not adjusted."

I 1.2.1.2.0 3 Prudential adjustments of latent gains or losses on investment property carried over to supplementary own funds Article 2 bis of Regulation No. 90-02: "Latent gains of investment property recorded accountingly due to the application of the fair value model are deducted from core own funds, building by building, net of the amount of tax already deducted accountingly and are taken up, building by building, before tax in supplementary own funds to the extent of 45%. Latent losses are not adjusted."

Instruction No. 2010-I-02 amending Instruction No. 2007-02 of 26/03/2007 on capital requirements applicable to credit institutions and investment firms Prudential Control Authority 8

ID Denomination Declared Amounts Regulatory References Formulas

I and NI 1.2.1.2.0 4 Prudential adjustments of latent gains or losses on tangible fixed assets carried over to supplementary own funds Article 2 bis and Article 2 ter of Regulation No. 90-02: