Instruction No. 2007-03 of March 26, 2007 Amending Several Instructions Following the Adoption of the Decree of February 20, 2007 on Capital Requirements for Credit Institutions and Investment Firms

COMMISSION BANCAIRE

Instruction No. 2007-03 amending several instructions following the adoption of the decree of February 20, 2007 on capital requirements applicable to credit institutions and investment firms

The Banking Commission, Having regard to Council Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions; Having regard to Council Directive 2006/49/EC of the European Parliament and of the Council of 14 June 2006 on the capital adequacy of credit institutions and investment firms; Having regard to the Monetary and Financial Code, particularly Article L. 613-8; Having regard to the decree of February 20, 2007 on capital requirements applicable to credit institutions and investment firms; Having regard to the decree of February 20, 2007 amending the regulations of the Banking Regulation Committee No. 90-02, No. 90-15, No. 92-12, No. 93-05 and No. 95-02 and the regulations of the Banking and Financial Regulation Committee No. 97-02, No. 97-04, No. 98-04, No. 99-06, No. 99-07, No. 99-15, No. 99-16, No. 2000-03, No. 2002-13, in application of the decree on capital requirements applicable to credit institutions and investment firms; Having regard to the regulation of the Banking Regulation Committee No. 90-02 of February 23, 1990, as amended, on own funds; Having regard to the regulation of the Banking and Financial Regulation Committee No. 2000-03 of September 6, 2000, as amended, on prudential supervision on a consolidated basis; Having regard to Instruction No. 94-09 of October 17, 1994, as amended, on documents intended for the Banking Commission; Having regard to Instruction No. 90-01 of April 1, 1990, on the calculation of own funds; Having regard to Instruction No. 91-02 of March 22, 1991, on the calculation of the solvency ratio;

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Having regard to Instruction No. 93-01 of January 29, 1993, on the transmission to the Banking Commission of annual accounts, prudential documents and various information; Having regard to Instruction No. 96-01 of March 8, 1996, on the prudential supervision of market risks; Having regard to Instruction No. 96-06 of December 16, 1996, on information on derivative instruments; Having regard to Instruction No. 97-03 of July 19, 1997, on the supervision of management standards applicable to investment firms; Having regard to Instruction No. 99-06 of July 19, 1999, on the calculation elements of the synthetic risk indicator of networks for the contribution to the deposit guarantee system; Having regard to Instruction No. 2001-02 of May 2, 2001, on banking establishments abroad; Having regard to Instruction No. 2000-07 of September 4, 2000, on the control of large exposures and gross risks; Having regard to Instruction No. 2004-02 on the ratio of debt representing electronic money to own funds; Having regard to Instruction No. 2005-04 on the supplementary supervision of financial conglomerates; Having regard to Instruction No. 2007-01 on the electronic signature of certain documents transmitted electronically to the Banking Commission. Decides:

CHAPTER 1 Modification of Instruction No. 90-01 mentioned above, relating to the calculation of own funds

Article 1. – The first paragraph of Article 1 of Instruction No. 90-01 mentioned above is replaced by the following paragraph: "This instruction applies only to credit institutions, financial companies and investment firms, excluding portfolio management companies, referred to in Chapters 1 and 2 of Title X of the decree of February 20, 2007 on capital requirements applicable to credit institutions and investment firms, hereinafter referred to as subject institutions."

The following paragraph is added at the end of Article 1:

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The provisions referred to in the preceding paragraph do not apply to institutions referred to:

• in Article 391 of the decree of February 20, 2007 which declare their capital requirements for floor levels at lines 2.6.1 and 2.6.1.a of the Corep CA statement referred to in Annex 2 of Instruction 2007-02.
• in Article 392-2 of the decree of February 20, 2007 which declare their exposures treated in accordance with Regulation No. 91-05 in the aforementioned Corep CA statement."

CHAPTER 2 Modification of Instruction No. 91-02 mentioned above, relating to the calculation of the solvency ratio

Article 2. – The following paragraph is inserted at the beginning of Article 1 of Instruction No. 91-02 mentioned above: "This instruction applies only to institutions referred to in Chapters 1 and 2 of Title X of the decree of February 20, 2007 on capital requirements applicable to credit institutions and investment firms.

Article 3. – The following paragraph is inserted at the end of Article 2 of Instruction No. 91-02 mentioned above: "The provisions referred to in the preceding paragraph do not apply to institutions referred to:

• in Article 391 of the decree of February 20, 2007 which declare their capital requirements for floor levels at lines 2.6.1 and 2.6.1a of the Corep CA statement referred to in Annex 2 of Instruction 2007-02.
• in Article 392-2 of the decree of February 20, 2007 which declare their exposures treated in accordance with Regulation No. 91-05 in the Corep CA and CR SA statements of the aforementioned Annex."

CHAPTER 3 Modification of Instruction No. 96-01 mentioned above, relating to the prudential supervision of market risks

Article 4. – The following paragraph is inserted at the beginning of Article 1 of Instruction No. 96-01 mentioned above: "This instruction applies only to institutions referred to in Chapters 1 and 2 of Title X of the decree of February 20, 2007 on capital requirements applicable to credit institutions and investment firms."

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Article 5. – An Article 8 is added to Instruction No. 96-01 mentioned above: "For the application of the provisions referred to in Chapter 1 of Title X of the decree of February 20, 2007, institutions are exempt from submitting the statements referred to in Articles 4 and 5 of this instruction."

CHAPTER 4 Modification of Instruction No. 96-06 mentioned above, relating to information on derivative instruments

Article 6. – Article 1 of Instruction No. 96-06 mentioned above is replaced by the following article: "This instruction applies only to institutions referred to in Chapter 2 of Title X of the decree of February 20, 2007 on capital requirements applicable to credit institutions and investment firms.

Credit institutions as well as financial companies supervised on a consolidated basis by the Banking Commission in accordance with Article 3 of Regulation No. 2000-03 of the Banking and Financial Regulation Committee, whose activity on derivative instruments exceeds the threshold set in Article 2 of this instruction, shall send to the General Secretariat of the Banking Commission a statement "Information on derivative instruments" -mod. 4801- the model of which is set out in Annex 1 to this instruction."

CHAPTER 5 Modification of Instruction No. 97-03 mentioned above, relating to the supervision of management standards applicable to investment firms

Article 7. – Article 1 of Instruction No. 97-03 mentioned above is replaced by the following article: "This instruction applies only to institutions referred to in Chapters 1 and 2 of Title X of the decree of February 20, 2007 on capital requirements applicable to credit institutions and investment firms.

Investment firms referred to in Article L.531-4 of the Monetary and Financial Code, other than portfolio management companies referred to in Article L. 532-9 of the same Code, shall report the thresholds referred to in Article 1 and Article 5 of Regulation No. 97-04 of February 21, 1997 on the lines "General Expenses" and "Supervision of client positions" of the statement "Management standards applicable to investment firms" -mod. 4002- the model of which is set out in Annex I to this instruction.

When assumed by a custodian other than the dealer, risks related to client positions are included in the custodian's declaration.

For the application of the provisions referred to in Chapter 1 of Title X of the decree of February 20, 2007, institutions are exempt from submitting the statements attached to this instruction."

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CHAPTER 6 Modification of Instruction No. 99-06 mentioned above, relating to the calculation elements of the synthetic risk indicator of networks for the contribution to the deposit guarantee system

Article 8. – Article 3 of Instruction No. 99-06 mentioned above is replaced by the following article: "Central bodies shall indicate the amount of weighted risks as defined in the decree of February 20, 2007 on capital requirements applicable to credit institutions and investment firms."

Article 9. – The Annex to Instruction No. 99-06 mentioned above is modified as follows:

• the "presentation" part is drafted as follows: "The document -mod.4802- lists at the network level the amount of basic own funds defined in accordance with the aforementioned decree of February 20, 2007. It also lists this information for branches referred to in Articles 4 and 6 of Regulation No. 99-07 under the conditions specified below."

• in the "CONTENT" part, the line "total weighted risks" is drafted as follows: "The line 'total weighted risks' includes risks as defined in Titles II and III of the decree of February 20, 2007 on capital requirements applicable to credit institutions and investment firms. It is served only to the extent that the data, extracted from accounts prepared in accordance with the second or third paragraph of Article 1 of Instruction No. 99-06, do not exceed the thresholds provided for in Article 293-1 of the aforementioned decree."

• in the "Submission Rules" part, "submitting institutions", in the second paragraph, the expression "if they are exempt from complying with Regulations No. 91-05 and 95-02" is replaced by the expression "if they are exempt from complying with the aforementioned decree".

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• in the third paragraph, the expression "if they are exempt from complying with Regulations No. 91-05 and 95-02" is replaced by the expression "if they are exempt from complying with the aforementioned decree".

CHAPTER 7 Modification of Instruction No. 2001-02 mentioned above, relating to banking establishments abroad

Article 10. – In the Annex to the aforementioned instruction, the part "activities and results of banking establishments abroad - mod.4989 -" is modified as follows:

• in the "Content" part, "Sheet 1", in the 7th paragraph, the expression "to Regulation CRBF No. 91-05 on the solvency ratio" is replaced by the expression "to Titles II and III of the decree of February 20, 2007 on capital requirements applicable to credit institutions and investment firms"

• in the "content" part, "Sheet 1", the 8th paragraph is drafted as follows: "The line 'market risks' indicates, in thousands of euros, the amount of capital requirements calculated in accordance with the provisions of Title VII of the decree of February 20, 2007 on capital requirements applicable to credit institutions and investment firms."

• in the "submission rules" part, "territoriality", in the 5th paragraph, the expression "by Regulation CRBF No. 91-05" is replaced by the expression "by Titles II and III of the decree of February 20, 2007 on capital requirements applicable to credit institutions and investment firms."

Article 11. – In the Annex to the aforementioned instruction, the part "activities and results of banking establishments abroad - mod.4989i -" is modified as follows:

• in the "content" part, "Sheet 1" in the 7th paragraph, the expression "to Regulation CRBF No. 91-05 on the solvency ratio" is replaced by the expression "to Titles II and III of the decree of February 20, 2007 on capital requirements applicable to credit institutions and investment firms"

• in the "content" part, "Sheet 1", the 8th paragraph is drafted as follows: "The line 'Market Risk' indicates, in thousands of euros, the amount of capital requirements calculated in accordance with the provisions of Title VII of the decree of February 20, 2007 on capital requirements applicable to credit institutions and investment firms."

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• in the "submission rules" part, "territoriality", in the 5th paragraph, the expression "Regulation CRBF No. 91-05" is replaced by "Titles II and III of the decree of February 20, 2007 on capital requirements applicable to credit institutions and investment firms"

CHAPTER 8 Modification of Instruction No. 2000-07 mentioned above relating to the control of large exposures and gross risks

Article 12. – In Article 3, first paragraph, the expression "under Regulation No. 91-05" is replaced by the expression "under the aforementioned decree".

In Article 3, second paragraph, the expression "provided for in Annex VI to Regulation No. 95-02" is replaced by the expression "provided for in Chapter VI of Title VII of the aforementioned decree".

Article 13. – Annex 1 to Instruction No. 2000-07 mentioned above is replaced by Annex 1 of this instruction.

CHAPTER 9 Modification of Instruction No. 2004-02 mentioned above, relating to the ratio of debt representing electronic money to own funds

Article 14. – Article 3 is drafted as follows: "The calculation elements of own funds are determined in accordance with Regulation No. 90-02 as amended of the Banking and Financial Regulation Committee and Instruction 2007-02. Subject institutions declare their own funds in the COREP CA statement.

Article 15. – In Articles 4 and 5, the expression "Sheet 2 of" is removed. In Article 5, the expression "of the paragraph" is removed.

Article 16. – The Annex to Instruction No. 2004-02 mentioned above is replaced by Annex 2 to this instruction.

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CHAPTER 10 Modification of Instruction No. 2005-04 mentioned above, relating to the supplementary supervision of financial conglomerates

Article 17. – In the second paragraph of Article 5, the expression "under Regulation No. 91-05 mentioned above" is replaced by the expression "under the provisions referred to in Title II of the decree of February 20, 2007 on capital requirements applicable to credit institutions and investment firms".

Among the citations, the words "Having regard to Instruction No. 94-09 of October 17, 1994, as amended, on documents intended for the Banking Commission" are inserted.

Article 18. – Without prejudice to the provisions referred to in Articles 1 and 2 of Instruction No. 91-02 mentioned above, Article 8 and the first paragraph of Article 9 of said instruction are repealed.

Article 19. – Annex I to the aforementioned instruction is modified as follows:

• in the "CONTENT" part, "Line I – Basic Own Funds", in the first paragraph, the expression "and 2 quater" is added after the expression "and 2 ter".

• in the "CONTENT – Line VII" part, "The banking solvency requirement is calculated in accordance with the provisions of the decree of February 20, 2007 on capital requirements applicable to credit institutions and investment firms and the regulation of the Banking and Financial Regulation Committee No. 97-04."

Article 20. – Annex IV to Instruction No. 2005-04 is repealed.

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Article 21. – Instruction No. 2007-01 is modified as follows:

• in Article 1, the words "Instruction No. 2006-04" are replaced by the words "Instructions No. 2006-04 and No. 2007-02";

• the third paragraph of Article 2 is replaced by the following sentence: "Paper submissions that must be completed with a certification signature from the specific controller in application of Instructions No. 99-09 of August 30, 1999 on the calculation of the coverage ratio of privileged resources by asset elements applicable to mortgage credit companies and No. 99-10 of August 30, 1999 on the calculation of the coverage ratio of financing excesses by non-privileged resources applicable to mortgage credit companies are maintained."

• in the Annex, the term "FINREP" is replaced by the term "COREP/FINREP".

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Article 22. – In Article 5 of Instruction No. 96-01, the words "submitted on paper and" and the sentence "Other statements are submitted only by electronic transmission." are removed.

In Article 2 of Instruction No. 97-03, the words "; the signature must be accompanied by the name of the signatory and the position held by them in the institution" are removed.

In Article 6 of Instruction No. 2000-07, the words ", accompanied by a paper listing of the statement -mod. 4003NC- or -mod. 4003C-." are removed.

In the Annex to Instruction 2004-03, the sentence "It is accompanied by a paper listing." is removed.

In Article 1 of Instruction No. 2005-04, the words ", accompanied by a paper listing," are removed.

Article 23. – Instruction No. 93-01 is modified as follows:

• in the first paragraph of Article 2 as well as in the first and second paragraphs of Article 3, the words "as well as the accompanying listing" are removed;

• in Article 2, the sentence "The annexes to the balance sheet and income statement, prepared in accordance with the provisions of Regulation No. 91-01 of the aforementioned Banking Regulation Committee or Regulation No. 2002-04 of the Accounting Regulation Committee if applicable, must be attached to these documents." is removed;

• in Article 3, the sentences "The annexes to the consolidated balance sheet and consolidated income statement, prepared in accordance with the provisions of Regulation No. 99-07 of the Accounting Regulation Committee as amended or Regulation No. 2002-05 of the Accounting Regulation Committee if applicable, must be attached to these documents." and "For the December 31 decree, the annexes to the consolidated balance sheet and consolidated income statement, a statement of changes in equity and a cash flow statement prepared in accordance with IFRS standards must be attached to these documents." are removed;

• in the third paragraph of Article 3, the words "and documents" are removed;

• in Article 7, the sentence "They attach to this electronic transmission the accompanying listing of these statements and also communicate on paper support, the table relating to the variation of equity and minority interests which appears in Annex 4 of this instruction." is removed;

• Articles 5 and 9 are repealed.

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Article 24. – As of January 1, 2010, Instructions No. 90-01, No. 91-02, No. 96-01, No. 96-06 and No. 97-03 are repealed.

Article 25. – For the year 2007, subject institutions referred to in Chapter 2 of Title X of the decree of February 20, 2007 on capital requirements applicable to credit institutions and investment firms shall apply Instructions No. 99-06, No. 2001-02, No. 2000-07, No. 2004-02 and No. 2005-04 mentioned above, as in force before the entry into force of this instruction.

Article 26. – This instruction enters into force on March 31, 2007.

Paris, March 26, 2007 The President of the Banking Commission Jean-Paul REDOUIN

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Annex 1 Annex 1 to Instruction No. 2000-07 modified by Instruction No. 2005-04 of November 21, 2005 and by Instruction refX CONTROL OF LARGE EXPOSURES AND GROSS RISKS — mod. 4003 NC —, — mod. 4003-C — or — mod. 4003 iC — and — mod. 4003-R —, — mod. 4003 CR — or — mod. 4003 iR —

PRESENTATION The document — mod. 4003 — consists of two statements: – the large exposures and gross risks control statement on a non-consolidated basis — mod. 4003NC — or consolidated basis — mod. 4003-C — or — mod. 4003 iC — ; – the large exposures and gross risks register on a non-consolidated basis -mod. 4003R- or consolidated basis — mod. 4003CR — or — mod. 4003 iR —.

CONTENT OF THE STATEMENT — MOD. 4003NC —, — MOD. 4003-C — OR — MOD. 4003 iC — This statement lists information relating to own funds, within the meaning of Regulation No. 90-02, and the large exposure thresholds provided for in Article 1 of Regulation No. 93-05.

In addition, institutions report: – in line 198, the number of beneficiaries of large exposures, within the meaning of Article 1 of Regulation No. 93-05 for the notion of large exposures and Article 3 of said Regulation for the notion of beneficiary; – in line 199, the number of other declared beneficiaries (who are not large exposures within the meaning of Regulation No. 93-05), provided that it is: • risks referred to in Article 11 of Regulation No. 93-05; the parent company, subsidiaries and shareholders or partners mentioned in this article are presumed to constitute a single beneficiary; • or beneficiaries, excluding counterparties assigned a zero weight under the aforementioned decree of February 20, 2007, for which gross risks (before provisions, guarantees or reductions provided for in Chapter 6 of Title VII of the decree of February 20, 2007 and weights) exceed 10% of own funds, within the meaning of Regulation No. 90-02, or 300 million euros.

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CONTENT OF THE STATEMENT — MOD. 4003-R —, — MOD. 4003CR — OR — MOD . 4003 iR — This statement lists information on gross risks, provisions and deductions for each of the large exposure beneficiaries and for each of the other beneficiaries within the meaning of Articles 2 and 3 of this instruction.

Header The document is composed of two headers. 1 – In the first header, information relating to the numbering of large exposure beneficiaries (within the meaning of Article 1 of Regulation No. 93-05), risks on shareholders or partners (Article 2 of this instruction) or gross risks (within the meaning of Article 3 of this instruction) appears. The notion of beneficiary is that provided for in Article 3 of Regulation No. 93-05, allowing related counterparties to be grouped.

Sheet 01 contains a 2-digit sequence number of the beneficiary.

Registration of beneficiaries: – the declaration will contain as many Sheet 01s as there are beneficiaries; – the institution declares the different beneficiaries in its chosen order and without reference to the numbers assigned during a previous submission; – each declaration receives a beneficiary number (Sheet 01); – in the case of a linked beneficiary, the field "Number of counterparties" in line 199 (Sheet 01) must be filled in.

2 – In the second header, information relating to the civil status of beneficiaries appears; The civil status of beneficiaries includes: – when they exist, according to the nature of the beneficiary, the SIREN number (real for French beneficiaries

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