Instruction No. 2000-07 of September 4, 2000 on the monitoring of large exposures and gross risks, as amended by Instructions No. 2004-04 of October 11, 2004, No. 2005-01 of May 31, 2005 [...] (consolidated version)(repealed)

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PRUDENTIAL CONTROL AUTHORITY
Instruction No. 2000-07 of September 4, 2000 as amended by Instructions No. 2004-04 of October 11, 2004, No. 2005-01 of May 31, 2005, No. 2005-04 of November 21, 2005, No. 2007-03 of March 26, 2007, No. 2009-01, No. 2009-02 of June 19, 2009, No. 2010-I-01 of September 29, 2010 and No. 2011-I-13 of December 2, 2011 on the monitoring of large exposures and gross risks
Article 1
Credit institutions, financial companies, and investment firms shall report the calculation elements for the reports defined in Article 1 of the aforementioned Regulation No. 93-05 "in the GRAN_RISK table", the models of which are set out in Annex I to this Instruction. The reports and percentages mentioned in Article 1 of the aforementioned Regulation No. 93-05 shall be assessed in accordance with the provisions of said Regulation based on net risks, after allocated provisions, taking into account collateral and applying weighting factors.
Article 2
The risks referred to in Article 12 of the aforementioned Regulation No. 93-05 shall be declared on the statements referred to in Article 1.
Article 3
Institutions shall also declare on the statements referred to in Article 1 risks on the same beneficiary, as defined in Article 3 of the aforementioned Regulation No. 93-05, whenever the total gross risks incurred from their operations with that beneficiary exceed 10% of own funds, as defined in Regulation No. 90-02, or 300 million euros. In any event, institutions using the internal ratings-based approach shall declare at least their twenty largest exposures, excluding counterparties assigned a zero weighting factor. By gross risk is meant the total risks incurred on the same beneficiary before deduction of allocated provisions, received collateral, or reductions provided for in Chapter VI of Title VII of the Decree of February 20, 2007 on capital adequacy requirements for credit institutions and investment firms, and before application of weighting factors.
Article 4
Institutions subject to the aforementioned Regulation No. 93-05 on a consolidated or sub-consolidated basis, in accordance with Article 2 of said Regulation, shall submit "the GRAN_RISK table on a consolidated basis". They shall attach a note describing the nature of the elements explaining the variation in own funds when this variation is significant. They shall also transmit via electronic means the consolidation perimeter established according to the procedures of Instructions No. 2009-01 and No. 2009-02 of June 19, 2009, if it differs from that communicated twice a year in accordance with the aforementioned Instruction.

Instruction No. 2000-07 of September 4, 2000 (consolidated version as of 02/12/2011) 2
Article 5
Without prejudice to the provisions of the second paragraph of Article 12 of the aforementioned Regulation No. 93-05, in application of the provisions of the first paragraph of that article and Article L. 612.24 of the Monetary and Financial Code, "the GRAN_RISK table shall be prepared" four times a year based on figures finalized on the last day of each quarter. When these documents reflect the activity of permanent branches established in mainland France, they must be submitted:
– for credit institutions with more than 100 permanent branches as well as for credit institutions whose accounting documents are processed by a central body or a professional association, no later than the last day of the month following the reporting date; – for other institutions, no later than the 25th day of the month following the reporting date. When these documents reflect the activity of permanent branches established either in overseas departments, overseas territories, abroad, or in several territories, they must be submitted to the General Secretariat of the Prudential Control Authority no later than the last day of the month following the reporting date.
Article 6
The GRAN_RISK table shall be sent to the General Secretariat of the Prudential Control Authority via electronic transmission. This table shall be prepared in accordance with Annex 1 of this Instruction.
Article 7
Repealed.
Article 8
This Instruction shall enter into force for the preparation of statements finalized on June 30, 2001, and Instruction No. 94-01 aforementioned is repealed as of that date.

Instruction No. 2000-07 of September 4, 2000 (consolidated version as of 02/12/2011) 3
Annex 1 to Instruction No. 2000-07
as amended by Instructions 2004-04 of 11/10/2004, 2005-01 of 31/05/2005, 2005-04 of 21/11/2005, 2007-03 of 26/03/2007, 2009-01, 2009-02 of 19/06/2009, 2010-I-01 of 29/09/2010 and 2011-I-13 of 02/12/2011 Scope Individual Consolidated CRC Consolidated IFRS Activity All zones Currency All currencies Amounts 1 1 2 Increase (+) or decrease (-) in own funds at the reporting date (b) II 3 Own funds at the reporting date (III = I + II) III 4 Large exposure thresholds:
6 10% of own funds (III x 10 /100)
7 25 % of own funds (III x 25 /100)
8 Total of large exposures
9 Number of large exposure beneficiaries (as defined in Article 1 of Regulation No. 93-05) 10 MONITORING OF LARGE EXPOSURES AND GROSS RISKS GRAN_RISK Gross large exposures (a) Enter the amount declared in line 1.6.L.E of the most recent COREP SA statement submitted to the General Secretariat of the Prudential Control Authority (b) The institution is invited to specify the nature of the elements explaining the variation in own funds when this variation is significant. Number of other declared beneficiaries (as defined in Articles 2 and 3 of Instruction No. 2000-07 of the Banking Commission) Own funds as defined in Regulation No. 90-02 (a) I

Instruction No. 2000-07 of September 4, 2000 (consolidated version as of 02/12/2011) 4 Scope Individual Consolidated CRC Consolidated IFRS Activity All zones Currency All currencies SIREN Number CIB Number Status Full name Date of birth Internal Number Beneficiary Name APE Code Internal Rating External Rating Agency Probability of default Address Gross risks Provisions Net risks after provisions Deductions (a) Risks after deductions Weighted risks 1 - 2 = 3 3 - 4 = 5 (5xweightingx%)= 6 1 2 3 4 5 6 1
1.1 Balance sheet
1.1.1 Securities
1.1.2 Loans and other items
1.2 Off-balance sheet (excluding derivative instruments)
1.2.1 Guarantee commitments
1.2.1.1 Received guarantee commitments
1.2.1.2 Issued guarantee commitments
1.2.2 Financing commitments
1.3 Derivative instruments (not traded on an organized market)
1.3.1 Market price method
1.3.1.1 Market value
1.3.1.2 Future potential risk
1.3.2 Initial risk method
1.3.3 Standard method
1.3.4 Internal models method
2 TRADING PORTFOLIO ITEMS
2.1 Position risk
3 TOTAL
4 NUMBER OF COUNTERPARTIES
GRAN_RISK
Gross large exposures
(a) Received collateral: amounts must be entered before applying the weighting factor.
REPORT OF LARGE EXPOSURES AND GROSS RISKS
PER BENEFICIARY
ITEMS TAKEN INTO ACCOUNT FOR CREDIT RISK AND COUNTERPARTY RISK UNDER THE DECREE OF FEBRUARY 20, 2007