Instruction No. 2/2019

BO No. 1/2019 Supplement • 2019/01/25 ..................................................................................................................................................................................................

Topics Supervision :: Prudential Standards Mod. 99999911/T – 01/14

Index Text of the Instruction Annex I – Information related to ILAAP Annex II – Reader Manual Annex III – ILAAP quantitative information

Text of the Instruction

Subject: Internal Liquidity Adequacy Assessment Process (ILAAP)

Considering the provisions of Articles 115-U and 196, paragraph 1 of the General Regime of Credit Institutions and Financial Companies (RGICSF), approved by Decree-Law No. 298/92 of December 31, in its current wording, credit institutions and investment companies must comply with a set of requirements regarding liquidity risk, in particular by having robust strategies, policies, procedures, and systems to identify, measure, manage, and monitor liquidity risk, in order to ensure that they maintain adequate levels of liquidity.

The Bank of Portugal, under Article 116-A of the RGICSF, is responsible for analyzing the provisions, strategies, processes, and mechanisms applied by credit institutions and investment companies to comply with the RGICSF and Regulation (EU) No. 575/2013 of the European Parliament and of the Council of June 26, 2013, and, based on this assessment, to decide whether these provisions, strategies, processes, and mechanisms and the liquidity held by the institutions guarantee sound management and coverage of their risks.

The European Banking Authority (EBA) published on February 10, 2017, the "Guidelines on information collected under ICAAP and ILAAP for SREP purposes" (Guidelines on ICAAP and ILAAP or EBA/GL/2016/10), which aim to ensure convergence of supervisory practices for the assessment of the Internal Capital Adequacy Assessment Process (ICAAP) and the Internal Liquidity Adequacy Assessment Process (ILAAP), within the Supervisory Review and Evaluation Process (SREP), in accordance with the EBA Guidelines on common procedures and methodologies for the SREP of December 19, 2014 (EBA/GL/2014/13). Specifically, the aforementioned Guidelines on ICAAP and ILAAP specify, in accordance with the principle of proportionality, the information that competent authorities must collect from institutions.

Considering that, pursuant to Article 16(3) of Regulation (EU) No. 1093/2010 of the European Parliament and of the Council of November 24, 2010, it is the responsibility of the Bank of Portugal, as the competent national authority, to make all efforts to comply with the Guidelines and Recommendations issued by the EBA, this Instruction incorporates the Guidelines on ILAAP into the national regulatory framework. The division of responsibilities between the Bank of Portugal, as the competent national authority, and the European Central Bank (ECB), under Council Regulation (EU) No. 1024/2013 of October 15, 2013, confers specific responsibilities on the ECB regarding the prudential supervision of credit institutions classified as significant under the aforementioned Regulation, which are therefore excluded from the scope of application of this Instruction.

In these terms, the Bank of Portugal, using the competence conferred by Article 17 of its Organic Law, approved by Law No. 5/98 of January 31, in its current wording, and by the combined provisions of Article 116(1)(f) and Article 120(1), both of the RGICSF, approves the following Instruction:

Article 1.

Object

1 – This Instruction aims to define the procedures related to the Internal Liquidity Adequacy Assessment Process (ILAAP) and establish the respective reporting models to the Bank of Portugal, in order to ensure that the liquidity risk to which institutions are exposed is adequately assessed and that they maintain adequate levels of liquidity.

Article 2.

Scope of Application

1 – This Instruction applies to all credit institutions and investment companies with headquarters in Portuguese territory and subject to the supervision of the Bank of Portugal, hereinafter referred to as institutions, which must provide the information provided for in this Instruction on an individual basis.

2 – Information must be provided on a consolidated or sub-consolidated basis, as applicable, when dealing with financial companies, mixed financial holding companies, and credit institutions that are parent companies or subsidiaries subject to the supervision of the Bank of Portugal.

3 – This Instruction applies, on a consolidated basis, to the Integrated System of Mutual Agricultural Credit (SICAM), constituted by the Central Mutual Agricultural Credit Bank, its associated mutual agricultural credit banks, and the branches of the aforementioned institutions.

4 – Credit institutions classified as significant under Article 6(4) of Council Regulation (EU) No. 1024/2013 of October 15, 2013, which confers specific responsibilities on the ECB regarding the prudential supervision of these institutions, are not covered by the provisions of this Instruction.

Article 3.

ILAAP Process

1 – Institutions must ensure that the liquidity and funding risks to which they are exposed are adequately identified, measured, managed, and monitored, and that the liquidity they possess is adequate relative to their risk profile.

2 – For the purposes of the preceding paragraph, institutions must have an internally developed process that allows for the identification, measurement, management, and monitoring of liquidity in compliance with the minimum requirements and guidelines defined in this Instruction.

3 – The ILAAP must be integrated into the institution's management process and culture, be regularly reviewed, and consider the regulatory context and the economic environment in which the institution operates, in order to guarantee a credible and understandable assessment and result.

4 – Being an internal process of the institution, the design and implementation of the ILAAP must take into account the type, size, complexity, and business model of the institution, as well as the operational environment and the nature and risks of the activities carried out, making use of the data and definitions normally used by the institution for internal purposes.

5 – The ILAAP must be prospective in nature, and institutions must have an internal strategy to maintain adequate levels of liquidity, including in recession or crisis scenarios, taking into account strategic plans and how they relate to macroeconomic factors.

6 – Institutions must ensure the existence of an organizational and technological structure and governance and internal control practices adequate for the assessment, management, and planning of liquidity and funding, as well as ensure that the ILAAP and its respective management processes are formally documented, and a historical record of information must be maintained.

7 – Institutions must have the capacity to demonstrate to the Bank of Portugal that the ILAAP is solid, effective, and comprehensive, as well as to clarify the methodologies and calculations used and the risks these seek to address.

8 – The ILAAP is the sole responsibility of the governing body of the institutions.

Article 4.

ILAAP Reporting

1 – In accordance with the principle of proportionality, credit institutions must report information related to the ILAAP to the Bank of Portugal, complying obligatorily with one of the following models, without prejudice to presenting additional information they consider relevant:

a) Complete Model: Includes all sections set out in Annex I to this Instruction, and the reader manual defined in Section III must correspond to Report Model A set out in Annex II to this Instruction;

b) Intermediate Model: Includes all sections set out in Annex I to this Instruction, and the reader manual defined in Section III must correspond to Report Model B set out in Annex II to this Instruction;

c) Simplified Model: Includes Sections I, III, and IV set out in Annex I to this Instruction, and the reader manual defined in Section III must correspond to Report Model C set out in Annex II to this Instruction.

2 – The Bank of Portugal communicates to each credit institution which of the reporting models referred to in the preceding paragraph it must comply with, without prejudice to its ability to request any additional information it considers relevant.

3 – The Bank of Portugal communicates to credit institutions any changes regarding the reporting model to be applied.

4 – Information on ILAAP, included in the models defined in paragraph 1 of this article, which has been reported to the Bank of Portugal with the same reference date and remains valid and up-to-date, does not need to be resubmitted; in the applicable model, the report, the date thereof, and the location where the reported information is described must be identified.

5 – The Bank of Portugal may request, at any time, the information provided for in paragraph 1 of this article from institutions not covered by that paragraph.

6 – The Bank of Portugal may determine that institutions review the reported document when the information subject to reporting contains errors or inaccuracies.

Article 5.

Reporting Frequency

The governing body of the credit institutions referred to in Article 4(1) must submit to the Bank of Portugal the elements requested under the provisions of the preceding article, with reference to December 31 of each year, by March 31 of the following year to which they relate.

Article 6.

Submission of Report

1 – The informational elements provided for in this Instruction must be sent to the Bank of Portugal in electronic format through the BPNET system.

2 – The Reader Manual provided for in Section III of Annex I of this Instruction must be submitted in Excel.

Article 7.

Entry into Force

This Instruction enters into force on the day following its publication.

Mod. 99999940/T – 01/14

Annex I – Information related to ILAAP

Section I - Liquidity Adequacy Statement

a) Summary of the main conclusions regarding the ILAAP, including a concise opinion on the institution's current liquidity positions, its capacity to cover the risks to which it is or may be exposed, and any measures planned to ensure that liquidity is maintained or restored to adequate levels in the short term;

b) Significant changes (implemented or planned) in risk management, based on the results of the ILAAP, as well as any implementation schedule;

c) Significant changes (implemented or planned) to business models, strategies, or the risk appetite model based on the results of the ILAAP, including management measures and any implementation schedule;

d) Significant changes (implemented or planned) to the ILAAP structure, including improvements to be introduced and any implementation schedule;

e) Explicit approval by the governing body.

Section II - Report with specific elements of the institution

A. Business Model and Strategy

a) Description of the current business model, identifying the main business lines, markets, geographies, branches, and products in which the institution operates, as well as including a description of the main cost and revenue sources, broken down by business lines, products, markets, and branches, where applicable;

b) Description of the changes planned by the institution for the current business model and its underlying activities (including information on operational changes [such as IT infrastructure] or internal governance issues), whenever these have an impact on the liquidity and funding management process;

c) Presentation of projections of key financial indicators for main business lines, markets, and branches, where applicable.

B. Organizational Information

a) Description of general internal governance procedures for liquidity and funding risk, including the functions and responsibilities of risk management and control, notably at the level of the governing body and top management across the entire group, covering risk taking, risk management, and liquidity and funding risk control;

b) Description of reporting circuits and their reporting frequency to the governing body on matters of liquidity and funding risk management and control;

c) Description of the interaction process between the measurement and monitoring of liquidity and funding risks, including details on the definition and monitoring of limits, as well as the process and measures defined for handling breaches thereof.

C. Risk Appetite

a) Description of the integration of the risk appetite model into the institution's strategy and business model;

b) Description of the process and general internal governance procedures, including functions and responsibilities at the governing body and top management level, regarding the design and implementation of the risk appetite model.

D. Stress Testing

a) General description of the institution's stress testing program, which must include details on the type of stress tests performed, the set of assumptions, methodological aspects and models used, their frequency, and the technological infrastructure.

Section III - Template for Specific Information related to ILAAP (Reader Manual), as defined in Annex II and set out in Article 4(1) of this Instruction.

a) The reader manual presents a list of information elements requested and must reference internal documentation supporting them.

b) The reader manual must be filled out according to the filling instructions set out in the template.

Section IV - Internal Documentation referred to in the Reader Manual.

Section V - ILAAP quantitative information, as defined in Annex III

Annex II – Reader Manual

ILAAP - Reader Manual

Identification Institution: Consolidation basis: Applicable reporting model: Person responsible for contact: (include name, position, email contact, and telephone contact)

ILAAP - Reader Manual

Filling Instructions

Column A Institution must:

Implementation of the Principle of Proportionality Identification of the obligation to submit elements requested for each of the Models defined, in accordance with the principle of proportionality, as provided for in Article 5 of the Instruction. The need to submit each element must follow the following legend: 1 - Mandatory submission element, if applicable. 2 - Element subject to submission conditional on significant changes compared to the previous submission. 3 - Optional submission element.

Applicability Select "Applicable" or "Not applicable" to indicate whether the specified information element is applicable in the context of your institution. If "Not applicable," the non-applicability must be duly justified in the "Comments" column; the remaining columns of the respective row must not be filled.

Document Reference Indicate reference(s) that identify the internal document(s) submitted for the purposes of the ILAAP assessment, or the section of the document, that supports the information element requested at the reference date and/or the submission date. When the volume of documents with the same information is high, institutions should not submit all available documents; they should reference an example and the general policies governing these documents, also mentioning exclusions made in the "Brief Description" column.

Entry into Force Date Indicate the date of first application of each of the documents referenced in the "Document Reference" column. Clarify entry into force and termination dates for documents applicable at the reference date and subsequently discontinued, as well as for documents applicable after the reference date and before the submission date.

Brief Description Briefly describe the referenced document(s), including how they respond to the requested information element.

Status compared to the last reporting date If applicable, select the status of the referenced document(s) ("New", "No changes", "With some changes") compared to the previous ILAAP submission. Any significant changes compared to the last submission and/or changes applicable after the reference date must be clearly identified in the "Brief Description" column.

Organizational Unit(s) responsible for its creation Identify the organizational unit(s) responsible for its elaboration, identifying the respective periodicity in which this occurs, if applicable.

Organizational Unit(s) recipient(s) Identify the organizational unit(s) that receives the produced document, identifying the respective periodicity in which this occurs, if applicable.

Body(ies) responsible for its approval Identify the body(ies) responsible for the approval of the referenced document(s).

Comments Include comments that the institution considers relevant.

ILAAP - Reader Manual

Model A	Model B	Model C
1 Liquidity and funding risk management model
Documents describing the methodology and internal policy
P.1.1 • Identify the entities considered within the scope of the ILAAP, justifying any differences compared to the prudential perimeter.	1	1
P.1.2 • Present a description of the ILAAP structure, explaining the relationship between all its components and justifying how this structure ensures that the institution has access to sufficient liquidity.	1	1
P.1.3 • Justify the main sources of liquidity and funding risk identified.	1	1
P.1.4 • Present the criteria used in the selection of instruments and assumptions for the ILAAP, such as the method for measuring and projecting current and future cash flows of assets, liabilities, and off-balance sheet items over adequate time horizons.	1	1
P.1.5 • Present a description of the relationship between the business strategy and the ILAAP process.	1	1
P.1.6 • Present a description of the integration of the risk appetite model into risk management, detailing the relationship with the business strategy, risk strategy, and ILAAP.	1	1
P.1.7 • Present information regarding data on risks, aggregation, and Information Technology systems used for ILAAP purposes.	1	1
P.1.8 • Present a description of the processes and mechanisms that ensure the integration of the ILAAP into risk management and the overall management of the institution.	1	1
P.1.9 • Present information regarding risk appetite/tolerance levels, thresholds and limits defined for liquidity and funding risks, as well as the time horizons and process used to keep these thresholds and limits updated.	1
Operational documents evidencing implementation
O.1.1 • Provide an assessment of funding positions and intragroup liquidity flows, if applicable, including any possible legal or regulatory impediments to the transfer of liquidity within the (sub)group.	1	1
O.1.2 • Present quantitative information on sources of liquidity risk.	1
O.1.3 • Present quantitative information on the funding profile and its stability in all significant currencies.	1
O.1.4 • Demonstrate monitoring of compliance with minimum prudential requirements related to liquidity and funding risk, including the forecast of compliance with these requirements in different scenarios over an adequate time horizon. Where applicable, demonstrate monitoring of compliance with additional liquidity requirements in accordance with Article 116-AG of the RGICSF.	1	1
2 Funding Strategy
Documents describing the methodology and internal policy
P.2.1 • Present a description of the guidelines underlying the funding plan.	1	1
P.2.2 • If applicable, present policies on maintaining market presence used to guarantee and periodically test access to markets and fundraising capacity.	1	1
P.2.3 • If applicable, present policies on funding concentration risk, including principles for measuring and monitoring the correlation between funding sources and the economic relationship between depositors and other liquidity providers.	1	1
P.2.4 • If applicable, present policies on foreign currency funding, including the most relevant assumptions regarding the availability and convertibility of these currencies.	1	1

Body(ies) responsible for its approval	Comments	Entry into force date	Brief description	Status compared to the last reporting date	Organizational Unit(s) responsible for its creation	Organizational Unit(s) recipient(s)	Information Requirement	Implementation of the Principle of Proportionality	Applicability	Document Reference
							To demonstrate the existence of a process that ensures the institution has a solid and specific model for liquidity and funding risk management, including a process for the identification, measurement, and control of liquidity and funding risks, the institution must:
							In order to demonstrate the full implementation of the aforementioned process, the institution must:
							Regarding the funding strategy, the institution must:

Operational documents evidencing implementation O.2.1 • submit the current financing plan. 1 O.2.2 • present quantitative information on the characteristics of recently raised funds (e.g. volumes, prices and investor appetite) and an analysis of the feasibility of executing the financing plan, taking into account market volatility. 1 O.2.3 • present the prospective analysis of the (intended) evolution of the financing position over a specified future time horizon in the EBA Guidelines on harmonised definitions and models for financing plans of credit institutions under Recommendation A4 of CERS/2012/2 (EBA/GL/2014/04). 1 O.2.4 • present the assessment of the financing position and financing risk after the execution of the plan. 1 3 3 O.2.5 • present information on the back-testing of the financing plan, in compliance with the requirements of the EBA Guidelines mentioned in the previous point. 1 3

3 Collateral management strategy and liquidity reserves Documents describing internal methodology and policy P.3.1 • present the methodology for determining the internal minimum size of liquidity reserves, including the definition of the institution's liquid assets, the criteria applied to determine the liquidity value of liquid assets and the restrictions related to concentration and other characteristics of liquid assets. 1 1 2 P.3.2 • present the collateral management policies, including the principles regarding the location and transferability of collateral, as well as their role with regard to compliance with prudential requirements. 1 1 2 P.3.3 • present the asset encumbrance policies, including the principles applicable to the measurement and monitoring of encumbered and unencumbered assets, as well as the link between the asset encumbrance limits and control model and the risk appetite (liquidity and financing). 1 1 2 P.3.4 • present the principles considered to test the assumptions related to the liquidity value and the sale or repo term of the assets included in the liquid asset reserves. 1 3 3 P.3.5 • present the policies on concentration risk in liquidity reserves, including the principles applicable to the measurement and monitoring of potential losses at the level of available liquidity resulting from that concentration. 1 1 2

Operational documents evidencing implementation O.3.1 • present the quantification of the minimum volume of liquid assets considered adequate to meet internal requirements. 1 O.3.2 • present the quantification of current liquidity reserves, including their distribution by product, currency, counterparties, group regions/entities, etc. 1 O.3.3 • present the description of the elements comprising the 'counterbalancing capacity', including the justification to demonstrate that this capacity is sufficient to cover the risks not included in Regulation (EU) No 575/2013. 1 3 3 O.3.4 • present the projections of the evolution of the minimum volume of liquid assets required at internal level and of available liquid assets over appropriate time horizons, both in 'normal activity' situations and in stress situations. 1 3 3 O.3.5 • present a quantitative analysis of current and projected asset encumbrance levels, including details of encumbered and unencumbered assets that can be used to generate liquidity. 1 3 3 O.3.6 • present an assessment of the time required to convert liquid assets into liquidity, taking into account legal, operational or prudential impediments to the use of liquid assets to cover cash outflows. 1 1 3 O.3.7 • present an analysis of the tests on the assumptions related to the liquidity value and the sale or repo term of the assets included in the liquidity reserves. 1 3 3

With regard to the demonstration of full implementation of the financing strategy, the institution must: With regard to the collateral management and liquidity reserve strategy, the institution must: With regard to the demonstration of full implementation of the collateral management and liquidity reserve strategy, the institution must:

4 Intraday liquidity risk management Documents describing internal methodology and policy P.4.1 • present the description of the criteria and instruments used to measure and monitor intraday liquidity risks. 1 1 2 P.4.2 • present the description of the escalation procedures, relating to intraday liquidity deficits, that ensure that payments due and settlement obligations are respected in a timely manner, both in 'normal activity' situations and in stress situations. 1 1 2

Operational documents evidencing implementation O.4.1 • present quantitative information on intraday liquidity risk over the last year, identifying the frequency with which it is performed. 1 1 3 O.4.2 • present information on the total number of failed payments, including justification for any relevant failed payments or obligations by the institution. 1 1 3

5 Liquidity stress testing Documents describing internal methodology and policy P.5.1 • present the description of the adverse scenarios and assumptions considered in the liquidity stress tests, including relevant elements such as the number of scenarios used, the scope, the frequency of internal reporting to the administrative body, the risk factors (macro and idiosyncratic), the time horizons applied and, where relevant, the breakdown by currency/regions/business units. 1 1 2 P.5.2 • present the description of the criteria considered for the calibration of scenarios, the selection of appropriate time horizons (including intraday horizons, where relevant), the quantification of the impact of the stress on the liquidity value of reserve assets, etc. 1 1 2 P.5.3 • present the description of the internal governance mechanisms of the stress testing programme used for ILAAP purposes. 1 1 2 P.5.4 • present the description of the uses of liquidity and financing stress tests and their integration into the risk control and management model. 1 1 2 P.5.5 • present the description of the interaction (integration) between solvency and liquidity stress tests and, in particular, the specific stress tests for ICAAP and ILAAP, and the function of reverse stress tests. 1 3 3

Operational documents evidencing implementation O.5.1 • present the quantitative result of the stress tests, including an analysis (of the main factors) of that result and a clear indication of the relevance of the result for internal limits, liquidity reserves, reporting, models and risk appetite. 1 O.5.2 • present a quantitative and qualitative analysis of the stress test results for the financing profile. 1

6 Liquidity contingency plan Documents describing internal methodology and policy P.6.1 • present the description of the lines of responsibility with regard to the design, monitoring and execution of the liquidity contingency plan. 1 1 2 P.6.2 • present the strategies to address liquidity deficits in emergency situations. 1 1 2 P.6.3 • present the description of the market condition monitoring tool that allows determining in a timely manner whether escalation and/or execution of plan measures are justified. 1 1 2 P.6.4 • present the description of any testing procedures (e.g. sales of new types of assets, delivery of assets to central banks, etc.). 1 1 2

With regard to the demonstration of full implementation of liquidity stress tests, the institution must: When applicable, with regard to intraday liquidity risk management, the institution must: When applicable, with regard to the implementation of intraday liquidity risk management, the institution must: With regard to the implementation of liquidity stress tests, the institution must: With regard to the definition of the liquidity contingency plan, the institution must:

Operational documents evidencing implementation O.6.1 • present the current liquidity contingency plan. 1 O.6.2 • present information on the possible management measures to be adopted in different stress scenarios, including an assessment of their feasibility and liquidity generation capacity. 1 O.6.3 • present management's view on the implications that all public disclosures on liquidity made by the institution may have on the feasibility and timeliness of the management measures included in the liquidity contingency plan. 1 3 3 O.6.4 • present a recent analysis of the tests performed, including conclusions on the feasibility of the management measures included in the liquidity contingency plan. 1 O.6.5 • present a description of the expected impact of the execution of the management measures included in the liquidity contingency plan, namely the institution's access to relevant markets and the overall stability of its financing profile in the short and long term. 1 3 3

7 Cost-benefit allocation mechanism Documents describing internal methodology and policy P.7.1 • present the description of the cost-benefit allocation mechanism in terms of liquidity, as well as the criteria for the selection of liquidity and financing elements that ensure that all relevant benefits and costs are taken into account, as well as any frequency of price adjustment. 1 3 3 P.7.2 • present the description of the interconnections between the liquidity cost-benefit allocation mechanism, risk management and the overall management of the institution. If the institution has liquidity transfer pricing (LTP) mechanisms, also include the description of the implementation and functioning of the LTP mechanisms and, in particular, the interconnections between these mechanisms and strategic decision-making, as well as the decision-making of front office operators regarding asset and liability generation. 1 3 3

Operational documents evidencing implementation O.7.1 • present the description of the current cost-benefit allocation mechanism in terms of liquidity, as well as quantitative information on its current calibration (e.g. interest rate curves, internal reference rates for main categories of liabilities and assets used, etc.). 1 3 3 O.7.2 • present the description of the integration of the liquidity cost-benefit allocation mechanism into the profitability assessment of generating new assets and liabilities, both on-balance sheet and off-balance sheet. 1 3 3 O.7.3 • present the description of the integration of the liquidity cost-benefit allocation mechanism into performance management and, if applicable, broken down by different business lines/units or regions. If the institution has LTP mechanisms in place, also cover the functioning of the LTP and, in particular, the relationship between the LTP and key risk indicators. 1 3 3

With regard to the full implementation of liquidity contingency plans, the institution must: With regard to the implementation of the cost-benefit allocation mechanism, the institution must: With regard to the demonstration of the implementation of the cost-benefit mechanism, the institution must:

8 Additional supporting documentation Supporting documents S.8.1 • the approval of the general structure of the ILAAP. 1 S.8.2 • the approval of the main elements of the ILAAP, such as the financing plan, the liquidity contingency plan, the assumptions underlying the stress tests and the conclusions on the results, the specific risk appetite for liquidity and financing risk, the intended size and composition of liquid asset reserves, etc. 1 S.8.3 • elements that prove the discussion on (changes to) the liquidity and financing risk profile, limit breaches, etc., including decisions on management measures or the explicit decision not to adopt any measure. 1 S.8.4 • internal audit action reports covering the ILAAP. 1 S.8.5 • results of any other internal analyses/validations relating to the ILAAP. 1 1 3 S.8.6 • elements that prove the discussion of the analysis of the feasibility of the financing plan based on the (or changes in) market depth and volatility. 1 3 3 S.8.7 • elements that prove the decisions on management measures related to intraday liquidity risk after the execution of the internal escalation process due to intraday liquidity events. 1 3 3 S.8.8 • elements that prove the discussion of the results of liquidity stress tests and the decision on the adoption (or not) of management measures. 1 3 3 S.8.9 • elements that prove the discussion on regular testing of the liquidity contingency plan and any decisions on adjustments to the management measures listed in the liquidity contingency plan. 1 3 3 S.8.10 • the decision regarding the size and composition of liquid asset reserves. 1 3 3 S.8.11 • elements that prove the performance of tests on the liquidity value and the sale or repo term of the assets included in the liquid asset reserves. 1 3 3 S.8.12 • if available, internal self-assessments in which the institution can justify its level of compliance with publicly available criteria relating to the control and management of risks and that affect the ILAAP. 1 3 3

Legend: 1 - Mandatory submission element, if applicable. 2 - Submission element conditional on the existence of significant changes compared to the previous submission. 3 - Optional submission element. In addition to the information elements referred to above, the institution must submit all relevant supporting documentation, including minutes of meetings of relevant committees and the administrative body, which demonstrate the solid structure and implementation of the ILAAP and, in particular:

Annex III – ILAAP quantitative information ILAAP - Quantitative Information Identification Institution: Consolidation base: Report reference date: Contact person: (include name, position, email contact and telephone contact)

ILAAP - Quantitative Information Filling instructions The institution must fill in columns "E" to "H" of the "ILAAP Quantitative Information" sheet with the internal projection of the various items in the four quarters following the reference date. The definition of each item to be filled corresponds to the concept identified in column "J". Whenever the mapping indicates Finrep/Corep items, the information to be filled must correspond to the institution's internal projection of the regulatory concept identified, which can be consulted in the Implementing Technical Standards published in the Official Journal by the European Commission (the currently available mapping corresponds to version 2.7 of the EBA taxonomy). When the mapping refers to the Reader's Manual, the information to be filled must correspond to the projection of the respective internal concept of the institution identified in the Reader's Manual.

ILAAP - Quantitative Information Information Mapping n (a)+1 / Q1 n (a)+1 / Q2 n (a)+1 / Q3 n (a)+1 / Q4 Corep 67.00.a, line 010, column 060 Corep 68.00.a, line 010, column 010 Corep 68.00.a, line 110, column 010 Corep 68.00.a, line 150, column 010 n (a)+1 / Q1 n (a)+1 / Q2 n (a)+1 / Q3 n (a)+1 / Q4 Corep 76.00.a, line 030, column 010 Corep 76.00.a, line 010, column 010 Corep 76.00.a, line 020, column 010 (a) n corresponds to the year of the reference date. Liquidity Reserve Net liquidity outflow Liquidity Coverage Ratio (€) Liquidity Coverage Ratio (%) Amount Received - top ten counterparties Financing Concentration (€) Retail Financing Unsecured institutional client financing Secured institutional client financing of which: Eurosystem financing

n (a)+1 / Q1 n (a)+1 / Q2 n (a)+1 / Q3 n (a)+1 / Q4 O.3.2 of the Reader's Manual n (a)+1 / Q1 n (a)+1 / Q2 n (a)+1 / Q3 n (a)+1 / Q4 Finrep 01.01, line 010, column 380 Finrep 32.01, line 010, column 010 Finrep 32.01, line 010, column 060 Finrep 32.01, line 010, column 080 (a) n corresponds to the year of the reference date. of which: eligible for central bank operations Book value of encumbered assets Book value of unencumbered assets Total Asset Asset Encumbrance (€) Liquidity Reserves Liquidity Reserve (€)