Periodic Information Obligations in Matters of Prudential Supervision

THE DIRECTOR GENERAL
OF THE CENTRAL BANK OF THE REPUBLIC OF SAN MARINO

HAVING REGARD to Law 17 November 2005 n. 165 (Law on banking, financial and insurance companies and services) and in particular Articles 39 and 41 which respectively attribute to the Central Bank the power to:

⎯ issue measures, in the form of regulations or circulars, containing binding provisions of a general nature;

⎯ request from authorised entities the communication, including periodic, of data and information and the transmission of deeds and documents with the methods and within the terms established by it;

HAVING REGARD to the Central Bank Regulations n. 2007-07, Part VII, n. 2011-03, Part VII, and n. 2015-01, concerning prudential supervision rules and information supervision obligations;

CONSIDERING the need to replace the previous discipline addressed to banks concerning "periodic information obligations in matters of prudential supervision" in order to:

⎯ align it with the amendments already introduced at regulatory level on market and settlement risks, in the context of the progressive transposition of the prudential standards of the European Union;

⎯ extend it to non-specialised financial companies, which also operate as investment firms in application of the special regime referred to in Article 156 paragraph 1 of Law 17 November 2005 n.165;

HAVING REGARD to the Statute of the Central Bank of the Republic of San Marino approved by Law 29 June 2005 n. 96 and subsequent amendments, and in particular Article 30, paragraph 3, according to which the acts of the Central Bank in matters of supervision, resolved by the Supervision Coordination, are issued by the Director General;

HAVING REGARD to the resolutions of the Supervision Coordination and of the Management Board with which the text of Circular n. 2026-02 entitled "Periodic information obligations in matters of prudential supervision" was approved,

ISSUES

the attached Circular n. 2026-02 which enters into force on 30 October 2026.

San Marino, 20 October 2026.

THE DIRECTOR GENERAL
Signed) Dr. Andrea Vivoli

Circular n. 2026-02

CENTRAL BANK
OF THE REPUBLIC OF SAN MARINO

PERIODIC INFORMATION OBLIGATIONS IN MATTERS OF PRUDENTIAL SUPERVISION

1 DEFINITIONS AND REFERENCES

a. For the purposes of this Circular the following shall mean:

• "operational credit limit": credit facility deriving from a perfect and effective contract, under which the customer may use the credit line;

• "Central Bank": the Central Bank of the Republic of San Marino, also defined as BCSM;

• "circular": this circular;

• "capital ratio": ratio defined by the provisions set out in Art. VII.III.2 of the BANKING REGULATION;

• "reference date": last day of the quarter to which the REPORTING refers;

• "large exposures": risk positions defined by the provisions set out in Part VII, Title IV, of the REGULATION;

• "LISF": Law 17 November 2005 n.165 and subsequent amendments;

• "related parties and parties connected to them": parties whose relationships with the REPORTING ENTITY are the subject of the provisions set out in Part VII, Title V, of the REGULATION;

• "supervisory capital": tier one capital, tier two capital and related deductions as defined by the provisions set out in Part VII, Title II, of the REGULATION;

• "draft financial statements": economic - financial situation of the REPORTING ENTITY, prepared with reference to 31 December, approved by the administrative body in anticipation of the subsequent shareholders' meeting for the approval of the financial statements and containing the estimates regarding the valuation of company assets, the quantification of amortisation and the determination of funds, made by applying the criteria and principles set out in the financial reporting legislation;

• "regulation": BCSM Regulation n. 2007-07 and subsequent amendments or BCSM Regulation n. 2011-03 and subsequent amendments;

• "banking regulation": BCSM Regulation n. 2007-07 and subsequent amendments;

• "financial companies regulation": BCSM Regulation n. 2011-03 and subsequent amendments;

• "PSI regulation": BCSM Regulation n. 2024-05 and subsequent amendments;

• "regviginfo": BCSM Regulation n. 2015-01 and subsequent amendments;

• "reporting": information flow functional to the fulfilment of the obligations referred to in this Circular, as per the reporting model and operating manual;

• "SFNS": non-specialised financial companies referred to in Art. 156, paragraph 1, of the LISF, in accordance with Art. XI.II.8, paragraph 1, letter b), of BCSM Regulation n. 2024-05;

• "reporting entities": credit institutions defined in Art. I.I.2 of BCSM Regulation n. 2016-02 and non-specialised financial companies referred to in Art. 156, paragraph 1, of the LISF in accordance with Art. XI.II.8, paragraph 1, letter b), of BCSM Regulation n. 2024-05;

• "prudential supervision": rules contained, for credit institutions, in Part VII, from Title I to Title VIII, of BCSM Regulation n. 2007-07 and subsequent amendments, and, for non-specialised financial companies, in Title III of the aforementioned regulation, as well as in Titles I, II, IV, V, VI, VII and VIII of BCSM Regulation n. 2011-03 and subsequent amendments;

b. In the remainder of the text, the use of the terms described above is highlighted in SMALL CAPITALS. For all matters not expressly defined in this CIRCULAR, the definitions contained in the REGULATION, in the REGVIGINFO and in the LISF shall apply.

c. With reference to the notion of "risk position" and its possible declinations in the various schedules of the REPORTING, reference is made to the provisions of paragraph 5.5 of the CIRCULAR.

2 PURPOSE AND STRUCTURE OF THE CIRCULAR

a. This CIRCULAR governs the information obligations in matters of PRUDENTIAL SUPERVISION and therefore has the nature of implementing Part VII of the REGULATION in compliance with the provisions of the REGVIGINFO.

b. The CIRCULAR provides application provisions or interpretations of the aforementioned rules contained in the REGULATION, necessary for fulfilling the information obligations through the completion and transmission to BCSM of the REPORT.

c. The CIRCULAR has a structure in chapters according to the breakdown of the schedules that make up the REPORT; each chapter consists of paragraphs that group together provisions homogeneous by subject.

d. The compilation rules illustrated in the CIRCULAR are aimed at defining the data flow directed to BCSM in a manner consistent with the analysis needs of the latter. No effect on the integrity of internal accounting and on the preparation of the financial statements of the REPORTING ENTITIES can be derived from the instructions contained in the CIRCULAR, unless this is expressly provided for.

3 REPORTING ENTITIES

a. The Sammarinese credit institutions defined in art. I.I.2 of Regulation No. 2016-02 and the non-specialized SFNS referred to in art. 156, paragraph 1, of the LISF in accordance with art. XI.II.8, paragraph 1, letter b), of the PSI REGULATION are required to comply with the provisions of the CIRCULAR, and are therefore qualified as REPORTING ENTITIES.

b. The exemption from the obligations to complete the REPORT is governed by art. II.III.3 of the REGVIGINFO.

4 PERIODICITY AND STRUCTURE OF THE REPORT

a. The REPORT is quarterly and must be completed using the relevant reporting form, published in the reserved area of the CENTRAL BANK's website (www.bcsm.sm) together with the operating manual containing the operational instructions for entering data into the reporting form and the technical methods for transmitting the REPORT to BCSM.

b.
The reporting form is divided into 13 schedules:

1. general data and notes;

2. automatic attention indicators;

3. supervisory capital, capital requirements and capital ratio;

4. on-balance-sheet assets weighted for credit risk;

5. off-balance-sheet transactions (guarantees - commitments) weighted for credit risk;

6. market risks: positions in debt financial instruments;

7. market risks: positions in equity financial instruments;

8. large exposures;

9. contractual relationships with related parties and parties connected to them;

10. maturity transformation;

11. holdings that may be held;

12. census of the top 30 debtor counterparties;

13. top 30 debtor counterparties.

c. The schedules indicated above may contain multiple tables and be divided into sub-schedules.

d. Updates to the reporting form and the operating manual are governed by arts. II.II.1 and II.II.2 of the REGVIGINFO.

5 GENERAL INSTRUCTIONS FOR COMPLETING AND TRANSMITTING THE REPORT

5.1 Periodicity of transmission of the report to BCSM

a. REPORTING ENTITIES are required to comply with the provisions contained in the CIRCULAR starting from the REPORT referring to 30 September 2012.

b. The REPORTS must be transmitted to BCSM by the deadlines set out below:

• by the third month from the REFERENCE DATE for REPORTS referring to 30 June and by 15 April of the following year for REPORTS referring to 31 December (half-yearly reports);

• by the second month from the REFERENCE DATE for REPORTS referring to 31 March and 30 September (infra-annual reports).

  c. If the deadlines referred to in the previous paragraph coincide with a non-working day, the provisions set out in art. II.III.2 of the REGVIGINFO shall be observed.

5.2 Methods of completing the report

a. The completion of the schedules must be carried out using the values of the individual items at the accounting date to which the REPORT refers and in accordance with the provisions of art. II.III.1 of the REGVIGINFO, updated quarterly, unless otherwise provided by the CIRCULAR or the REGULATION.

b.
Accounting items expressed in currencies other than the euro must be valued in euro at the spot exchange rates current at the REFERENCE DATE. However, if intangible fixed assets, fixed-income securities and equity investments have been valued in the financial statements (if permitted) at the exchange rate current at the date of their purchase, the conversion into euro of the relevant items must be made on the basis of the aforementioned exchange rate.

c.
The completion of the REPORTS referring to 31 December and 30 June must be carried out considering, respectively, the accounting data used for the DRAFT FINANCIAL STATEMENTS or for the half-yearly financial statements, as specified later in this CIRCULAR.

d.
Any changes made at the time of approval of the financial statements by the shareholders' meeting, which result in changes in the amount of items in the REPORT, must be communicated to the CENTRAL BANK as promptly as possible (no later than 10 days from the date of the meeting), at the same time making the appropriate adjustments to the REPORTS transmitted, according to the methods provided for this purpose.

5.3 Reporting of non-specialized financial companies (SFNS)

a.
In accordance with the provisions of art. XI.II.8, paragraph 1, letter b), of the PSI REGULATION, the SFNS referred to in art. 156, paragraph 1, of the LISF apply the provisions of Part VII, Title III, of the BANKS REGULATION, instead of the corresponding provisions of Part VII, Title III, of the FINANCIAL REGULATION. In relation to this, the aforementioned SFNS complete the reporting form governed by this CIRCULAR.

b.
Any reference to the REGULATION contained in this CIRCULAR shall be deemed to be, as the case may be, to the BANKING REGULATION or the FINANCIAL REGULATION.

c.
The SFNS do not apply the provisions relating to the half-yearly financial statements provided for in this CIRCULAR and determine the SUPERVISORY CAPITAL in accordance with the provisions set out in
Part VII, Title II, of the FINANCIAL REGULATION, with the appropriate adjustments to take also
into account the deductions of missing capital cover for non-performing credit exposures referred to in Article VII.III.11 of the BANKING REGULATION and the capital cover for transactions with non-instant settlement referred to in Article VII.III.9-ter of the BANKING REGULATION, to which a risk weighting factor of 1250% applies, in the event that, as an alternative to the application of such factor, the same are not treated as deductions.

d.
For the SFNS, among other things, the provisions set out in Part VII, Titles IV to VIII of the FINANCIAL REGULATION remain in force.

5.4 Preparation of the financial statements for the first half-year and implications for reporting in the field of prudential supervision

a. The administrative body of credit institutions draws up and approves a balance sheet relating to the first half-year (hereinafter also defined as half-yearly) with an attached summary report of the Management on the gestione aziendale.

b.
The half-yearly balance sheet, which has no civil law validity but only supervisory validity, is drawn up on the basis of the same criteria provided for the annual financial statements (BCSM Regulation No. 2016-02, subsequent amendments and additions), proceeding with the valuation of the company's assets and liabilities resulting from the position in essere al 30 giugno.

c.
In the course of approving the half-yearly balance sheet, the administrative body also determines the amount of the half-yearly profit to be capitalised, understood as the difference between the profit for the year and the

portion of the same to be distributed to shareholders if the profit were to be confirmed upon approval of the annual financial statements; such determination is entrusted to the prudent judgment of the directors.

d. The half-yearly balance sheet must be completed using the template provided for the annual financial statements and sent to BCSM according to the methods established by the latter with the specific operating manual.

e. The provisions of this chapter do not apply to SFNS, given that pursuant to Circular No. 2017-03 they do not draw up the half-yearly balance sheet. In relation to this, for the aforementioned companies, the reference to the half-yearly balance sheet in this CIRCULAR must be understood as the "Accounting Position (SC)" with REFERENCE DATE 30 June.

5.5 Risk position in the statements comprising the report

a. For the purposes of fulfilling the reporting obligations referred to in this CIRCULAR, risk position means the weighted risk activity by applying the multiplication factors provided for in Part VII, Title III, Chapter II of the BANKING REGULATIONS. In accordance with the provisions of the BANKING REGULATIONS, in the various schedules of the REPORTING, the activities included in the calculation of risk positions are determined as indicated below.

b. In schedules 4 and 5, relating to the calculation of risk-weighted assets for credit risk, the risk position is determined by considering:

• on-balance-sheet or off-balance-sheet exposures;

• equity investments and similar interests;

• financial instruments in the held-to-maturity portfolio;

• financial instruments in the trading portfolio, limited to REPORTING ENTITIES that benefit from the exemption provided for in Art. VII.III.2-bis of the BANKING REGULATIONS.

c. In the calculation of risk positions:

• the weighting of "off-balance-sheet" risk assets shall be performed without considering credit facilities not yet operational (see definition of OPERATIONAL CREDIT LINE);

• the exposures to be included include finance lease transactions (residual credit and any instalments accrued at the REFERENCE DATE and not yet collected) as well as creditor positions relating to interbank correspondent accounts for services rendered;

• the portion already deducted from the REGULATORY CAPITAL relating to capital participants shall be excluded;

• likewise excluded from the calculation of risk positions is the portion of assets already deducted from the REGULATORY CAPITAL.

d. In schedule 3, relating to the calculation of the REGULATORY CAPITAL, the risk position towards capital participants includes the assets considered for the purposes of schedules 4 and 5:

• within the limits of the amount drawn down with regard to on-balance-sheet and off-balance-sheet exposures, without considering any positions of undrawn credit lines (available margin);

• including indirect exposures in the risk position as well.

e. In schedule 8, relating to LARGE EXPOSURES, and in schedule 9, concerning RELATED PARTIES AND CONNECTED PERSONS, the risk position includes the assets considered for the purposes of schedules 4 and 5:

• excluding any financial instruments in the trading portfolio;
• including any indirect exposures. Pending the issuance of
  supervisory provisions on a consolidated basis, compliance with the provisions on LARGE EXPOSURES and RELATED PARTIES is assessed by the Supervisory Body by considering the ratio between the total risk positions (as determined above) and the sum of the regulatory capital of the parent company and of the controlled financial companies (including foreign ones) authorised to carry out the activity of granting financing.

5.6 Classification and measurement of loans

a. For the purposes of a complete credit risk control, the REPORTING ENTITIES shall constantly update the valuation of existing credits, on the basis of the information available from time to time on the creditworthiness of the debtors, with consequent reallocation of exposures to the relevant category (deteriorated credit exposures or performing credit exposures) in accordance with the provisions of BCSM Regulation No. 2016-02.

b. The REPORTING ENTITIES shall organise themselves so as to ensure the effective implementation of the above provisions, including through appropriate internal delegations capable of ensuring timely reclassification and valuation of credits with respect to the time when updates on the creditworthiness of customers are available.

c. The timely update of the value of the expected realisation of receivables must also be reflected in the company's accounting records and in the periodic supervisory reports submitted to BCSM.

d. The trend of receivables and the assessments carried out are brought to the attention of the administrative body in the manner provided for in paragraph 7 of Art. VII.IX.11 of the REGULATION.

5.7 Other general indications

a. In order to ensure the unambiguous identification of the subjects (natural persons and legal persons) to which the data refer (for example, in the statement relating to LARGE RISKS), the coding rules provided for the assignment of the "code assigned to the subject by the tax authority of the country of residence" must be used when completing the REPORT, in accordance with the Instructions in force from time to time issued by the Financial Intelligence Unit. The coding of groups of subjects (e.g. group of connected customers or counterparties) must be carried out using the operating methods provided for in the operating manual.

b. In assessing the "economic" connection links between two or more subjects, pursuant to Art. I.I.2, paragraph 1 of the REGULATION, it is necessary to consider the existence of links by virtue of which, with all probability, the financial difficulties of one subject could affect the ability of the other subjects to repay their debts. It is therefore left to the prudent assessment of the competent company bodies to evaluate whether or not the aforementioned requirement exists on the basis of the overall information available regarding the relevance of the relationships between the customers granted credit.

5.8 Connection with the prudential supervisory discipline of financial companies

a. In accordance with the provisions of Art. VII.II.4 paragraph 4 of the REGULATION, credit facilities granted by controlled financial companies to their controlling companies, as such subject to the discipline of deductions from the SUPERVISORY CAPITAL of the same financial companies, must be calculated net of any credit facilities received from the controlling financial company.

5.9 Queries

a. Queries relating to the provisions contained in the CIRCULAR may be submitted to BCSM in accordance with the methods provided for in Art. VIII.II.5 of the REGULATION.

6 STATEMENT 1. - GENERAL DATA AND NOTES

a. In the General Data and Notes statement, the registration details of the REPORTING SUBJECT and the REFERENCE DATE of the REPORT must be entered, to be selected from those pre-filled, as well as the data relating to the "Person Responsible for Supervisory Reports" and "Operative Contact Person(s) of the report", as defined in the REGVIGINFO (Part II Title I).

b. In the "Notes to the report" section, the REPORTING SUBJECTS may insert comments or observations relating to the data entered, in order to better clarify its content, as well as the data and information required by the CIRCULAR and the operating manual.

c. The present statement also requires the indication of the possible accounting value of real estate assets possibly leased to real estate companies of the group as well as the possible authorisations issued by BCSM.

7 STATEMENT 2. – AUTOMATIC ATTENTION INDICATORS

a. The automatic attention indicators are intended as a tool to support the compilers of the REPORT, highlighting any inconsistencies between the data entered (e.g. cross-checks) or the failure to meet prudential requirements, facilitating the consequent in-depth analysis by the REPORTING SUBJECTS.

b. Statement 2 provides a summary of all indicators relating to anomalies found in the compilation of the entire REPORT. Normally, each individual attention indicator is present in the individual statements at the points where the anomaly is detected, so that it already emerges during the compilation of the reporting form.

c. The purpose of the attention indicators is purely informative; their possible presence does not prevent the compilation, saving or submission of the reporting form to the CENTRAL BANK.

8 STATEMENT 3. - SUPERVISORY CAPITAL AND MINIMUM CAPITAL COVERAGE

8.1 Structure of the supervisory capital

a. The SUPERVISORY CAPITAL is composed of Tier 1 capital and Tier 2 capital net of deductions, in accordance with the provisions set out in Part VII, Title II, of the REGULATION and of this CIRCULAR.

b. For an illustration of the relationships between the individual items comprising the SUPERVISORY CAPITAL, reference is made to the reporting form and the operating manual; below are provided indications for the compilation of specific items, supplementing the provisions contained in the REGULATION, with an initial presentation relating to REPORTS referring to December and June and to the inclusion in the SUPERVISORY CAPITAL of the profits and losses of the period.

CENTRAL BANK OF THE REPUBLIC OF SAN MARINO

8.2 Supervisory capital relating to the months of December and June

a. The SUPERVISORY CAPITAL relating to the month of December of each year is calculated according to accounting criteria, even if the financial statements have not yet been approved. To this end, the REPORTING SUBJECTS use the information available at the date of submission of the REPORT relating to the company valuations contained in the DRAFT FINANCIAL STATEMENTS, approved by the administrative body.

b. The amount of the capitalisable profit (annual and semi-annual, the latter only for credit institutions) which contributes to the calculation of the SUPERVISORY CAPITAL, relating to the months of December and June, is verified by external auditors. For the purposes of calculating the SUPERVISORY CAPITAL relating to the month of December, no further checks are required from external auditors beyond those carried out for the statutory audit of the year-end financial statements.

c. The amount of the capitalisable half-year profit is verified by the external auditors on the basis of control instruments and procedures suitable for allowing the main checks carried out for the year-end verifications. Such checks concern the correct application of the recognition and measurement criteria, compliance with the principle of consistency in the application of such criteria and compliance with the accrual principle, except for derogations in the preparation of the financial statements to be justified as provided for in Art. II.II.5 of BCSM Regulation No. 2016-02.

d. The activities of the external auditors described in the preceding paragraphs relating to the amount of the capitalisable profit are to be described in a specific communication to be sent to the CENTRAL BANK, by the REPORTING ENTITY, within the terms indicated in Article III.I.2 of the REGVGINFO.

e. The provisions set out in this chapter relating to the capitalisable half-year profit do not apply to SFNS.

8.3 Methods and timing of the recognition of profits and losses in supervisory capital

a. The recognition of profits and losses in the SUPERVISORY CAPITAL of the REPORTING ENTITY takes place through the use of the items listed below, in compliance with the principles and operating methods described in the following points of this paragraph:

• retained earnings (positive component of base capital);

• capitalisable profit for the year (positive component of base capital);

• accumulated losses (negative component of base capital);

• losses (negative component of base capital);

• capitalisable half-year profit (positive component of supplementary capital, only for credit institutions).

b. The following principles must be observed in the recognition of profits and losses in SUPERVISORY CAPITAL:

• capitalisable profits (for the year or half-year, the latter only for credit institutions) are to be considered in the DECEMBER and JUNE REPORTS in relation to the FINANCIAL STATEMENT DRAFT or the half-year financial statements, both approved by the management body by the deadline for submitting the relevant REPORT; such amounts are to be maintained in subsequent REPORTS until approval by the assembly with the consequent allocation of the profit (for capitalisable profit for the year) or until the end of the financial year and subsequent replacement with the result derived from the FINANCIAL STATEMENT DRAFT (for capitalisable half-year profit);

• all losses attributable to adjustments to receivables, non-existence of assets and non-operating expenses are included in the MARCH and SEPTEMBER REPORTS (and JUNE for SFNS)

or to other negative economic components, where the latter are of a significant amount (for example, losses on financial transactions). Losses are to be considered from the time they arise and are to be reported in their entirety in the MARCH and SEPTEMBER REPORTS (and June for SFNS), unless a different assessment – updated to the REFERENCE DATE of the REPORT – is made by the Board of Directors of the REPORTING ENTITY regarding the suitability of the income flow of business management to absorb such losses by the end of the first half-year, for the REPORT relating to March, or by the end of the second half-year for the REPORT relating to September.

c. The Retained earnings item includes only retained earnings resulting from a resolution of the shareholders' meeting within the scope of the approval of the annual financial statements; the item is to be updated annually for the first REFERENCE DATE following the approval of the annual financial statements (June). In the event of a decision by the shareholders' meeting regarding the allocation of the annual profit to reserves, the corresponding item is to be valued.

d. The Capitalisable profit item is to be populated with the relevant value taken from the FINANCIAL STATEMENT PROJECT and verified by the external auditors as described above; the amount of the capitalisable profit is to be maintained until the approval of the financial statements; from the subsequent REPORT with REFERENCE DATE (June), the REPORTING ENTITY records the actual allocation of the profit (e.g. retained earnings or an increase in equity reserves).

e. The Retained losses item includes only losses carried forward from annual financial statements approved by the shareholders' meeting; up to the REPORT with a REFERENCE DATE preceding the approval of the financial statements, the losses recorded are to be posted in the "losses" item as described below.

f. The Losses item is to be populated with:

• losses of the previous financial year; the amount of the loss relating to a financial year will continue to be recorded in this item until the relevant annual financial statements are approved; following approval by the shareholders' meeting, the loss (incurred in the financial year for which the financial statements were approved) will be removed from the item under discussion and will flow, only to the extent that it is carried forward, into the "Retained losses" item;

• losses relating to the quarter to which the REPORT refers, for the portion deemed non-recoverable, as qualified above (only for REPORTS relating to March or September and, for SFNS, also June);

• losses determined upon approval of the half-yearly financial statements (only for credit institutions).

g. The Capitalisable half-yearly profit item (only for credit institutions) is populated following the approval of the half-yearly financial statements in the REPORT with REFERENCE DATE June, for the value of the profit net of the potentially distributable share according to the assessment made by the management body and following the verifications carried out by the external auditors. In the subsequent REPORT (September), the amount of the item is maintained (and may coexist with any non-recoverable period losses), while it is replaced in the December REPORT by the amount of capitalisable profit (or loss) derivable from the FINANCIAL STATEMENT PROJECT.

8.4 Indications relating to individual items of own funds

a. Capital is to be considered in the specific "Subscribed capital" item in relation to the entire amount of subscribed shares. Equity increases resulting from capital increase operations

CENTRAL BANK OF THE REPUBLIC OF SAN MARINO

are relevant, for the purposes of this item of the SUPERVISORY CAPITAL, only from the month in which the registration of the operation in the Companies Register was completed, as provided for by Law 47/2006 and subsequent amendments.

b. Where, at the REFERENCE DATE of the REPORT, the capital increase has been fully paid up, but the aforementioned registration activities at the Companies Register have not yet been completed, such amount may by convention be included in the "other reserves" item, reporting the failure to register and the amount of the conventional posting in form 1 "General data and notes" and sending to BCSM the documentation proving the payment operation. In the subsequent REPORT, following completion of the aforementioned activities, the REPORTING ENTITY proceeds to transfer the said amount into the "Subscribed capital" item.

c. The provisions of the preceding point also apply in the case of shareholder financing intended for the equity increase, up to the date of registration in the Companies Register of the increase in share capital.

d. In the case of capital increase operations already registered in the Companies Register, but whose implementation is spread over time, the REPORTING ENTITIES record in the SUPERVISORY CAPITAL the amount of the shares subscribed up to the month to which the REPORT refers.

e. Payments still to be received for the subscription of share capital are to be highlighted among the negative elements of own funds in the "Subscribed and unpaid capital" item.

f. In own funds, the amounts relating to share premiums are to be considered, corresponding to the difference between the nominal value of the shares and the higher price of the same shares for the equity increase operations that have been subscribed, paid and already registered at the Companies Register. In the case of operations already paid but not yet registered, or registered but with implementation spread over time, the provisions set out above for the "Subscribed capital" item also apply to this item.

g. The any unavailable reserve corresponding to the value of own shares or units, recorded in the assets of the balance sheet, shall be considered, as a component of base capital, in the specific item "Reserve for own shares or units".

h. The General financial risk fund has the function of covering the generic business risk to which the REPORTING ENTITY is exposed. Being assimilable to an equity reserve, the fund represents a positive component of base capital. The establishment, funding and use of the fund can in no case take place during the allocation of the operating profit.

i. Among the deductions from base capital is the item Subscribed but not paid-up capital, which shall be filled in with the amount of subscribed shares not yet paid, without including in this item any share premiums and issue expenses.

j. The item Own shares or units shall be filled in with the amount of own shares or units present in the portfolio of the REPORTING ENTITY.

k. In relation to what is provided for by art. VII.II.2 paragraph 2 of the REGULATION, the following are considered Intangible fixed assets:

• start-up and expansion costs, research and development costs when they have multi-year utility;

• goodwill, if acquired for consideration;

• patent rights and rights to use works of the mind, concessions, licences, trademarks, rights and similar assets as well as the related down payments made;

• other multi-year costs.

l.
Intangible fixed assets subject to financial lease contracts are not subject to deduction from base capital. of financial leasing contracts.

m. The amount of intangible fixed assets, net of depreciation funds, to be considered as a deduction from base capital is updated on a semi-annual basis, in correspondence with the REPORTS with REFERENCE DATE 31 December and 30 June; for the REPORTS with a different REFERENCE DATE (31 March and 30 September), the data detected in the previous REPORT shall be confirmed. noted in the previous REPORT.

n.
Among the deductions from base capital, the amounts relating to BCSM requests shall be recorded in a specific item of the reporting form, Further negative elements, pursuant to art.
VII.II.2, paragraph 3 of the REGULATION.
VII.II.2, paragraph 3 of the REGULATION.

8.5 Instructions relating to individual items of supplementary capital

a. The item Revaluation reserve is funded by the revaluations of owned real estate and/or shareholdings valued according to prudential criteria such as to reflect the possibility of price fluctuations.

b. In accordance with what is provided for by art. VII.II.7, paragraph 1 of the REGULATION, Hybrid capital instruments are included in supplementary capital only for an amount equal to the sums actually received and still available to the REPORTING ENTITY at the REFERENCE DATE of the REPORT.

c. The Subordinated liabilities are included in the supplementary capital, if consistent with the characteristics indicated in art. VII.II.8 of the REGULATION, within the limits provided for by art. VII.II.5. Any portion of such liabilities exceeding the aforementioned limit must be considered in the item “Subordinated liabilities not eligible for inclusion in the supplementary capital” of the reporting form.

d. With reference to the amortisation of subordinated loans for the purposes of calculating the SUPERVISORY CAPITAL, pursuant to the provisions of art. VII.II.8 of the REGULATION, the following provisions must be observed:

• in the case of issues with a maturity exceeding 5 years, but with an early repayment clause, only at the initiative of the issuer, the annual reduction factor of 20% provided for by the aforementioned article applies during the 5 years preceding the original natural maturity of the liability;

• for the purposes of applying the aforementioned amortisation calculation, the quarterly portion (5%) of the annual value provided for by the regulations (20%) is relevant, applied as a reduction of the loan amount starting from the quarter in which the beginning of the last 5 years of residual life of the bond falls.

e. The item Net capital gains on equity investments in non-financial listed companies is fed with the algebraic balance between gains and losses relating to equity investments in companies other than financial ones listed on a regulated market. This item must be updated on a half-yearly basis in the December and June REPORTINGS; the value of the item must therefore be kept constant and equal to the previous one in the March and September REPORTINGS.

f. The calculation of the aforementioned algebraic balance must be performed by comparing the value derived from the valuations made in the DRAFT FINANCIAL STATEMENTS (for the December REPORTING) or in the half-yearly financial statements (for the June REPORTING) and the value of the equity investments themselves. The latter value must be determined on the basis of the arithmetic average of the prices recorded daily in the last six months preceding each REPORTING. If the algebraic balance calculated as described above is negative, the related amount must be considered for the purposes of feeding the item “Net capital losses on equity investments in non-financial listed companies”.

g.
The net capital gains on equity investments in non-financial companies listed on a regulated market are included in the supplementary capital within the limit (35%) and with the maximum value relating to the base capital (30%) provided for by paragraph 1, letter c) of art. VII.II.5 of the REGULATION.

h.
The item Provisions for risks on loans not having an adjusting function includes all provisions intended to cover only contingent credit risks and which therefore cannot express the value reductions of loans connected with specific and general write-downs. With reference to the financial reporting regulations, the amounts entered in item 80 of the liabilities side of the balance sheet as well as in the corresponding items of the “Accounting situation” must therefore be considered in this item.

i.
The item “Provisions for risks on loans not having an adjusting function” also includes the accruals made against future instalments relating to finance lease contracts, also intended to cover only contingent credit risks.

j.
Among the deductions from the supplementary capital, the Net capital losses on financial instruments are relevant, calculated as described in paragraph 3 of art. VII.II.3 of the REGULATION.

k.
The calculation of the capital losses on financial instruments must be performed by comparing the value provided for in the DRAFT FINANCIAL STATEMENTS (December) or in the half-yearly financial statements (June), net of any “fluctuation funds” recorded in the liabilities side of the balance sheet of the financial statements (Provisions for risks and charges: other funds) and the current value of the financial instruments themselves. The latter must be determined on the basis of the provisions of BCSM Regulation no. 2016-02.

l.
This item must be updated on a half-yearly basis in the December and June REPORTINGS; the value of the item must therefore be kept constant and equal to the previous one in the March and September REPORTINGS.

m. For the determination of the Net capital losses on equity investments in non-financial listed companies, the calculation must be performed as described above with regard to the item “Net capital gains on equity investments in non-financial listed companies”, with a single operating method which therefore entails the recognition, alternatively, of net capital gains or net capital losses within the supplementary capital. This item must also be updated on a half-yearly basis, with the methods set out above for the “Net capital gains on equity investments in non-financial listed companies”.

n. If the supplementary capital is higher than the base capital, considering the limit of eligibility of 100 per cent referred to in art. VII.II.5 of the REGULATION, in the schedule of the PATRIMONIO DI VIGILANZA the amounts of each individual component of the supplementary patrimonio shall be included following the order set out therein, up to reaching the limit constituted by the base patrimonio. The amount of the components that cannot be included shall be reported (with the detail of the individual items and the related amounts not included) in prospectus 1. "Dati Generali e Note", in the field Note alla SEGNALAZIONE, with the exception of subordinated liabilities for which a specific item is already provided ("Passività subordinate non computabili nel patrimonio supplementare").

8.6 Indications relating to deductions from the regulatory capital

a.
With reference to the deductions from the PATRIMONIO DI VIGILANZA provided for by art. VII.II.4 of the REGOLAMENTO, any shares held in the capital of BCSM are not relevant, since the latter does not fall within the definition of financial undertaking provided for by art. I.I.2. of the REGOLAMENTO. Also excluded from the deductions are holdings/shares in financial undertakings placed in voluntary or compulsory administrative liquidation, as well as the subordinated loans and hybrid capital instruments issued by these. Starting from the SEGNALAZIONE referring to the month in which the cancellation from the

respective registers or lists due to the liquidation occurred, the SOGGETTO SEGNALANTE shall treat, from a prudential point of view, the financial undertaking in liquidation in the same way as any other non-financial undertaking.

b. The deductions from the PATRIMONIO DI VIGILANZA for the holdings/shares held by the SOGGETTO SEGNALANTE provided for by art. VII.II.4 of the REGOLAMENTO are made without any limitation in relation to the country of establishment of the investee/issuer.

c. In the case of holdings/shares held indirectly, the 10% threshold referred to in art. VII.II.4 of the REGOLAMENTO is determined by applying the equity ratio rule, consistently with the provisions of the following paragraph and regardless of whether the intermediary undertaking(s) fall within the category of financial undertakings.

d. In accordance with art. VII.III.9-ter, paragraph 4, of the REGOLAMENTO BANCHE, the SOGGETTI SEGNALANTI may apply a deduction from the PATRIMONIO DI VIGILANZA as an alternative to the application of the 1250% weighting factor with regard to exposures in non-contemporaneous settlement transactions. In such case the amount to be deducted is determined consistently with the provisions of the aforementioned art. VII.III.9-ter, paragraph 4, of the same REGOLAMENTO BANCHE.

e. In the residual item Ulteriori elementi da dedurre dal patrimonio di vigilanza, any deductions from the PATRIMONIO DI VIGILANZA not provided for in the previous items or requested by BCSM pursuant to articles 44 and 45 of the LISF are indicated.

8.7 Indications relating to deductions from the regulatory capital for risk positions towards capital participants

a. A specific table within sub-prospectus 3_1 is dedicated to the calculation of the deductions provided for by paragraph 4 of art. VII.II.4, which shall be made with reference to the risk positions assumed by the SOGGETTO SEGNALANTE, according to the following application methods:

• first, the value of the contribution attributable to the capital participant is considered. In this regard, taking into account the temporal evolution that may have occurred from the moment of the capital contribution to the DATA DI RIFERIMENTO of the SEGNALAZIONE, the greater of the following shall be considered as the contribution value: - the nominal value of the contributions made, and - the share of net equity attributable to the capital participant, obtained by applying the equity ratio rule. The latter parameter is intended to avoid the possible dilution of the capital achieved through the granting of financing to the capital participant, or to parties connected to it, such as to constitute an early repayment of the capital attributable to the same shareholder.

• once the amount of the contribution has been determined, it is necessary to identify the risk assets held, within the limits of the amount used, towards the capital participant and the group of customers connected to it, considering both on-balance-sheet and off-balance-sheet credit as well as indirect exposures and holdings or other similar interests. As regards off-balance-sheet credit, these shall be recorded among the risk assets to the extent that the SOGGETTO SEGNALANTE has issued guarantees in favour of the customer (for example, in the form of sureties) on the basis of a contractual commitment assumed. For the complete definition of the other risk assets falling within the risk position, reference is made to paragraph 5.4. The calculation of the risk position is carried out by applying to the risk assets identified as above, considered at their presumed realisable value, the conversion and weighting factors provided for the calculation of risk-weighted assets for credit risk;

• finally, the risk position as determined above is deducted from the PATRIMONIO DI VIGILANZA, within the limits of the contribution of the capital participant. Any residual amount not deducted falls within the calculation of the risk-weighted assets for credit risk, of the GRANDI RISCHI and of the limits to the concentration of risks towards PARTI CORRELATE E SOGGETTI CONNESSI AD ESSE, according to the provisions set out for the relevant prospectuses (the individual risk assets are weighted and then the risk positions deducted from the PATRIMONIO DI VIGILANZA are subtracted);

b. Pursuant to the provisions of paragraph 4 of Art. VII.II.4, in the case of groups of connected clients or connected counterparties, the status of capital participant must be fully met by at least one of the entities belonging to the group, and any sum of capital shares attributable to the entire group of connected clients or connected counterparties shall not be relevant in this regard.

c. In the case of trust companies that hold participations in REPORTING ENTITIES both as owners and on behalf of third parties (type 2 mandates as provided for by BCSM Circular No. 2010-02), the related risk positions shall be considered as separate and distinct for the purposes of applying the deductions from the SUPERVISORY CAPITAL, except where the settlor can be traced back to the same group of connected entities as the trust company.

d. Risk positions towards capital participants may be not deducted from the SUPERVISORY CAPITAL only upon a derogation granted by the BCSM, pursuant to Art. VII.II.4, paragraph 5, of the REGULATION.

8.8 Adjusted supervisory capital

a. Exclusively for the purposes of compliance with the limits placed on the concentration of risks (referred to in table 8) and on relationships with RELATED PARTIES and entities connected to them (referred to in table 9), as anticipated in paragraph 5.5 of the CIRCULAR, pending the issuance of provisions on consolidated supervision, the "adjusted supervisory capital" is considered, equal to the sum of the supervisory capital of the parent financial company and of the authorized subsidiary financial companies (including foreign ones) to carry out the activity of granting financing.

b. In table 3, the completion of a table is therefore required, indicating the name of the REPORTING ENTITY and of the subsidiary financial companies with their respective supervisory capital referred to the same date as the REPORTING or, in the case of foreign subsidiaries that calculate the SUPERVISORY CAPITAL with a different frequency, the latest available data.

8.9 Capital requirements

a. The value of the SUPERVISORY CAPITAL, determined in accordance with the provisions of the REGULATION and of this CIRCULAR, must be such as to ensure constant compliance with the limits provided for in Art. VII.II.6 of the REGULATION and therefore, in particular, must be at least equal to the sum of the total capital requirements corresponding to the overall amount of risk exposure defined in Art. VII.III.2 of the BANKING REGULATION multiplied by 8%.

b. Without prejudice to the provisions of the preceding letter a., in accordance with the provisions of Art. VII.II.6, paragraph 2, of the BANKING REGULATION, credit institutions must hold a SUPERVISORY CAPITAL sufficient to also cover the supervisory expectations for minimum coverage of deteriorated credit exposures referred to in Circular No. 2023-01 (so-called Pillar II calendar provisioning).

c. For the purposes of calculating the capital requirement, the position risk on a debt instrument or a capital instrument (or a derivative on a debt instrument or a derivative on a capital

instrument) in the trading portfolio is divided into two components. The first is the specific risk component - i.e. the risk of a change in the price of the instrument in question due to factors connected with the issuer or, in the case of a derivative, with the issuer of the underlying instrument. The second component covers the general risk - i.e. the risk of a change in the price of the instrument due, in the case of a traded debt instrument or a derivative on a debt instrument, to a change in the level of interest rates or, in the case of a capital instrument or a derivative on a capital instrument, to a general movement in the market of capital financial instruments not connected with the specific characteristics of individual securities. The general treatment of specific instruments and of netting procedures is indicated in Part VII, Title IV, Chapter III, of the PSI REGULATION.

d. For the purposes of determining the capital requirement for UCITS, in the item "Specific method for position risk in UCITS" the capital requirement determined in accordance with Art. VII.IV.30, paragraph 1, of the PSI REGULATION (or Art. VII.IV.32, paragraph 3, letter c), of the same Regulation) must be indicated, in the case where the positions in UCITS are not treated on the basis of the underlying investments pursuant to Art. VII.IV.32 of the same PSI REGULATION.

e. Pursuant to Art. VII.IV.7 of the PSI REGULATION, the capital requirement relating to foreign exchange risk and position risk in commodities has, in the reporting model, a separate allocation compared to the position risk referred to in Part VII, Title IV, Chapter III of the PSI REGULATION.

f. REPORTING ENTITIES that avail themselves of the derogation provided for in Art. VII.III.2-bis of the BANKING REGULATION, relating to transactions pertaining to the small trading portfolio, determine the capital requirement for foreign exchange risk and position risk in commodities in accordance with the provisions of Part VII, Title IV, Chapter IV and V of the PSI REGULATION. The capital requirement for position risk is instead determined in accordance with the provisions of Part VII, Title III, Chapter II of the BANKING REGULATION.

g. The settlement risk referred to in Part VII, Title III, Chapter IV of the BANKING REGULATION is distinguished between settlement-delivery risk for DVP (Delivery versus Payment) transactions, whose capital requirement is indicated in this table, and non-simultaneous settlement transactions referring to non-DVP transactions, whose weighted value is indicated in table 4.

8.10 Capital ratio

a. The CAPITAL COEFFICIENT determines the minimum amount of the PRUDENTIAL CAPITAL that the REPORTING ENTITIES must hold in relation to the total amount of risk exposure in accordance with Art. VII.III.2 of the BANKING REGULATION.

b. The REPORTING ENTITIES must constantly maintain the CAPITAL COEFFICIENT within the limit established in paragraph 1 of Art. VII.III.2-ter of the BANKING REGULATION or at the different measure established by BCSM pursuant to paragraph 3 of the aforementioned article.

8.10.1 Capital coefficient relating to 31 December and 30 June

a. The CAPITAL COEFFICIENT referring to 31 December or 30 June of each year is calculated using the values provided in the DRAFT FINANCIAL STATEMENTS (December) or in the half-year financial statements (June).

9 STATEMENT 4. – ON-BALANCE-SHEET ASSETS WEIGHTED FOR CREDIT RISK

9.1 General principles

a. For the definition of risk position, reference is made, in addition to the provisions of the previous paragraph 5.4, to what is set out below as an integration of the provisions in the BANKING REGULATION.

b. The parameters to be used for the calculation of on-balance-sheet assets weighted for credit risk are listed in Part VII, Title III, Chapter II of the BANKING REGULATION.

9.2 Guarantees received

a. In accordance with the provisions of Article VII.III.6, paragraph 2 of the BANKING REGULATION, in the case of personal guarantees and credit derivatives, the guarantor must assume an explicit and legally binding commitment to satisfy the obligations relating to one or more debts owed by a specific subject.

b. Loans with a repayment schedule secured by guarantees with a duration shorter than that of the loans themselves are to be considered guaranteed for the portion corresponding to the instalments falling due within the duration period of the guarantee.

c. In the case of concurrent real and personal guarantees with the same weighting, the guaranteed portion is to be attributed, by convention, primarily to the relationships secured by a real guarantee.

d. Commitments to lend for which disbursement is conditional upon the provision of a guarantee (personal or real) are considered to be secured by a guarantee.

e. In the case of guarantees issued by governments or central banks of Zone "B", the reduced weighting of 0% applies only if the guaranteed credit is denominated in the common national currency of the guarantor and the debtor and is financed with funds in the same currency.

f. Where guarantees are issued by banks in Zone "B", subject to PRUDENTIAL SUPERVISION rules equivalent to those of this CIRCULAR, the REPORTING ENTITY applies the reduced weighting of 20% only if the underlying transaction has a residual maturity not exceeding 1 year.

9.3 Admitted real guarantees

a. The acquisition of a pledge over certificates of participation in Collective Investment Undertakings (C.I.U.s) and equity securities does not result in the application of a more favourable weighting factor.

b. The acquisition of a pledge over a GPM may result in the application of a more favourable weighting than that foreseen by the nature of the debtor only if, and to the extent that, the financial instruments held in the GPM fall within the categories of real guarantees foreseen by paragraph 3 of Article VII.III.6 of the BANKING REGULATION.

9.4 Risk exposures

a. Exposures deducted from the SUPERVISORY CAPITAL are excluded from risk exposures.

b. The exclusion referred to in the preceding point is carried out at the time of the final calculation of the overall total of risk-weighted exposures for credit risk with regard to the deductions relating to the

exposures to capital participants, for which, within the individual items of the weighting statement, they must be considered gross of the aforementioned deductions.

c. Where it is not possible to accurately assign individual transactions to the relevant categories of risk exposures, the bank is required to prudentially adopt the most restrictive of the foreseen criteria. In particular, the REPORTING ENTITY must:

• classify risk exposures for which it is not possible to identify exactly the guarantees (personal or real) received on the basis of the principal debtor;

• include among risk exposures with a maturity exceeding one year the exposures to banks for which it is not possible to correctly calculate the residual life;

• assign to risk exposures to be weighted at 100% the credits secured by "residential real estate" for which it is not possible to identify the type of counterparty.

d. Guarantees issued by interbank guarantee schemes are assimilated to those provided by REPORTING ENTITIES. Risk exposures secured by such guarantees are therefore weighted at 20%.

e. Multiple personal guarantees, i.e. those securing two or more relationships with the same counterparty, are to be attributed first to the sum of the amounts disbanded and, for any remainder, to the unused credit line which has the highest conversion factor.

f. Pledges over credits are assimilated to personal guarantees for which it is reasonably certain, on the basis of contractual clauses (irrevocable mandate for collection), that the bank will intercept the sums due from the assigned debtor. Upon the occurrence of such conditions, the preferential weighting of the latter applies.

g. With regard to the capital requirement for market risk, REPORTING ENTITIES that make use of the facility provided for in Article VII.III.2-bis, paragraph 1, of the BANKING REGULATION determine the amount of risk exposure on the basis of the indications contained in chapters 9 and 10 of this CIRCULAR.

9.5 On-balance sheet risk exposures

a. On-balance sheet risk exposures include all on-balance sheet assets, whatever their technical form (loans, non-trading financial instruments, interbank relationships, etc.), excluding financial instruments held in the trading portfolio for which the market risk rules apply, save as provided for in Article VII.III.2-bis of the BANKING REGULATION.

b. Non-current assets arising from financial lease contracts must also be included for the amount corresponding to the outstanding credit.

c. Active repos and reverse repos are treated as credits secured by financial instruments. Therefore, where the assets subject to the contract consist of financial instruments belonging to the list of admitted guarantees, the weighting foreseen for such guarantees applies.

d. In the case of on-balance sheet loans "in pool", each participant (including the lead bank, equipped with a mandate with or without representation) considers only the share of risk borne by itself.

e. Certificates of participation in collective investment undertakings (C.I.U.s) are weighted by applying the "look through" criterion, or the "average weighting factor" criterion, or the "riskiest financial instrument category" criterion among those whose investment share exceeds 10% of the C.I.U. portfolio, as best indicated in the operational manual. The calculation of the weighting factor is certified by Risk Management and submitted for verification by the Auditing Company.

f. Risk assets that include interest receivable in advance (such as discounted bills) are considered net of interest not yet accrued, i.e. deferred income.

g. The following assets are excluded from cash risk assets:

1. equity participations/shares, subordinated liabilities, and hybrid capital instruments for the amounts deducted from REGULATORY CAPITAL, including cross-holdings;

2. coupons and sight securities held in cash;

3. values sent to third parties for collection without charge to the account;

4. bills, other credit instruments and documents received s.b.f. and after collection;

5. dishonoured bills and bills protested by third parties;

6. dishonoured and protested current account cheques drawn on third parties and accepted after collection;

7. the amount to be paid by shareholders for the settlement of shares, deducted from REGULATORY CAPITAL;

8. non-existent assets recorded on the asset side, deducted from REGULATORY CAPITAL;

9. deferred income;

10. temporary items for foreign currency transactions against euro or relating to transfers and book transfers;

11. deficits of previous financial years deducted from REGULATORY CAPITAL;

12. expenses and losses of the current financial year;

13. tangible fixed assets not subject to financial lease contracts;

14. intangible fixed assets deducted from REGULATORY CAPITAL pursuant to Article VII.II.2, paragraph 2 of the REGULATION;

15. own cheques protested;

16. financial instruments held in the trading portfolio in the event that the REPORTING ENTITY applies the provisions set out in Part VII, Title III, Chapter III, of the BANKING REGULATION.

h. The exclusions in the preceding list are motivated by the fact that the assets are already deducted from REGULATORY CAPITAL (see points 1, 7, 11, 14) or by cases in which there is no actual counterparty risk due to the very characteristics of the transactions from which they originate (e.g. bills accepted s.b.f. and after collection).

i. For the purposes of this statement, the shareholdings of the REPORTING ENTITIES in BCSM shall be considered with a weighting factor equal to zero.

j. For real estate assets available from credit recovery, other than those awaiting financial lease due to lease termination, and not disposed of within the terms provided for in Article VII.VII.2 of the REGULATION, if not suspended pursuant to the same article, a progressive weighting of 10% per annum up to 100% applies starting from the financial year following the expiry of the disposal deadline.

k. In cases of debt restructuring, financial instruments resulting from the restructuring, if regularly serviced, must not be subject to the 150% weighting.

9.6 Suspended and in-transit items

a. Items in transit and suspense, not attributed to the relevant accounts, are subject to a 100% weighting. They are included within the item "Other assets".

9.7 Interest and fees to be debited, credited and received

a. Cash risk assets also include interest and fees accrued, due and not yet debited to account or not debitable to account.

b. The aforementioned interest must be allocated to the relevant categories of risk assets, even if they are recorded on a date subsequent to the reference date of the REPORTING.

c. For relationships with customers, where it is not possible to distinguish the reference counterparties of interest and fees to be debited and credited on accounts with debit balances as well as those to be received, the entire amount of interest and fees to be debited and received is included in cash credits with 100% weighting: "Other credits weighted at 100%".

9.8 Sundry debtors

a. Credit items recorded under "sundry debtors" are also allocated to the relevant categories of cash risk assets, excluding suspense items, for which reference is made to the above in paragraph 9.6.

9.9 Cash and other securities

a. In the item "Cash and assimilated values" the values relating to banknotes and coins in any currency, precious metals and revenue stamps are recorded. Money orders, circular checks and equivalent securities are to be reported in the relevant items depending on the counterparty.

b. The item "Cash and assimilated values" is assigned a 0% weighting.

9.10 Cash credits towards banks or carrying their explicit guarantee.

a. Also included are money orders, circular cheques and equivalent securities. Correspondent current accounts are calculated on the basis of their book balance. The REPORTING ENTITY applies a 20% weighting, without prejudice to the country risk discipline.

9.11 Holdings, subordinated loans and hybrid capital instruments.

a. Holdings/shares, subordinated loans and hybrid capital instruments not deducted from REGULATORY CAPITAL are reported at their book value and are weighted at 100%.

9.12 Items for collection

a. The item "Items for collection" also includes current account cheques negotiated for cash drawn on third-party banks. To the items included in the aforementioned item, the REPORTING ENTITY applies a 20% weighting.

9.13 Other assets

a. The item "Other assets", sub-item "Other assets not included in the previous items" includes, among other things, items in transit and suspense as well as those entirely recorded under the item "Sundry debtors", not allocated to the relevant risk asset categories and, therefore, to the respective reporting items. These assets are weighted at 100%.

b.
The various categories of on-balance-sheet risk assets include both accrued income relating to interest and fees accrued on active financial relationships and those relating to other income accrued but not yet due (such as, for example, commissions and fees for services rendered and rental income). Accrued income for which it is problematic to make the aforementioned allocations must be included under the item "Other assets", sub-item: "Accrued income not allocated to the specific categories of risk assets by counterparty", with a flat 50% weighting.

9.14 Shares, quotas and other equity securities

a. A 100% weighting applies to shares, quotas and other equity securities not deducted from REGULATORY CAPITAL.

b. In the event of suspension of redemptions of O.I.C., due under the management regulations, a 150% weighting applies.

c. The 150% weighting referred to in art. VII.III.4, paragraph 1, letter i), of the BANKING REGULATIONS also applies to financial instruments representing participation in the capital of the same defaulting issuers.

d. With regard to shares, quotas and other equity securities held in the trading portfolio, these provisions apply to REPORTING ENTITIES that make use of the option provided for in art. VII.III.2-bis of the BANKING REGULATIONS.

9.15 Debt financial instruments

a. The weighting to be applied to risk assets related to debt financial instruments in the held-to-maturity portfolio is determined on the basis of the issuer and country risk.

b. Owned held-to-maturity financial instruments are considered net of the corresponding valuation allowances. In the event that it is not possible to allocate such funds to the specific categories of financial instruments, said funds are allocated primarily to the financial instruments with the higher weighting and up to the value of those same financial instruments.

c. The weighting of risk assets related to debt financial instruments included in the trading portfolio is applied by REPORTING ENTITIES when they make use of the option provided for in art. VII.III.2-bis of the BANKING REGULATIONS.

9.16 Financial instruments originated by securitisation transactions of receivables held in the held-to-maturity portfolio

a. To the securities held in the held-to-maturity portfolio originated by securitisation transactions of third parties, other than the REPORTING ENTITY and companies belonging to the same group, the following weightings apply, without prejudice to the lower coefficient applicable to the guarantor referred to in Article VII.III.4 of Reg.2007-07: 100% to senior securities; 150% to mezzanine securities and 1250% to junior securities.

b. To the securities held in the held-to-maturity portfolio deriving from securitisation transactions originated by the REPORTING ENTITY or by companies belonging to the same group (self-securitisations), the average weighting factor applies, increased or decreased depending on the different degree of risk retained by the REPORTING ENTITY in cases where not all the ABS issued are held. In any case, the capital absorption must be equivalent to that of the credit exposures subject to self-securitisation, possibly reduced proportionally in the event of transfer to third parties.

c. For the purposes of the discipline on risk concentration, for the securities referred to in letters a and b above, it is permitted to apply the "look through" criterion, as an alternative to the ordinary criterion of attributing the exposure to the counterparty (SPV).

d. With regard to the system securitisation referred to in Law 30 August 2021 no. 157 and subsequent amendments, the provisions of Circular no. 2022-01 apply.

e. REPORTING ENTITIES that avail themselves of the option referred to in art. VII.III.2-bis, paragraph 1, of the BANKING REGULATIONS determine the amount of risk exposure relating to financial instruments originated by securitisation transactions of receivables in accordance with the provisions of the preceding paragraphs.

10 SCHEDULE 5. – OFF-BALANCE-SHEET TRANSACTIONS (GUARANTEES - COMMITMENTS) WEIGHTED FOR CREDIT RISK

10.1 Weighting rules for "off-balance-sheet" risk assets

a. The credit risk weighting of "off-balance-sheet" assets is carried out on the basis of the procedure indicated in art. VII.III.8, paragraph 1 of the BANKING REGULATIONS, using the conversion factors and definitions referred to in the subsequent paragraphs 2 and 3 of the same article.

b. As regards guarantees and commitments at "full risk", the following categories of transactions fall, in particular, within this risk class:

• guarantees having the characteristics of credit substitutes;

• acceptances;

• receivables sold with a "pro - solvendo" clause, other than discounted bills;

• irrevocable "stand - by" letters of credit that constitute credit substitutes;

• deposits and spot and forward financings to be made;

• other financing commitments with certain utilisation.

c. The credit equivalent weighting factors correspond to those provided for the calculation of risk-weighted credit exposures, in relation to on-balance-sheet assets.

d. The counterparty of the guarantees issued to which the weighting factor is to be referred is represented by the ordering party.

e. From the calculation of "off-balance-sheet" risk exposures there shall be excluded the items indicated in Art. VII.III.8, paragraph 4 of the BANKING REGULATION, as well as those pertaining to the trading book in the case of application of the provisions referred to in Part VII, Title III, Chapter III, of the same BANKING REGULATION.

10.2 Total risk exposures

a. The sum of the weighted "On-balance-sheet risk exposures" and the weighted "Off-balance-sheet risk exposures" determines, after deduction of the amounts deducted from the PRUDENTIAL CAPITAL as pertaining to risk positions towards shareholders, the total value of on-balance-sheet and off-balance-sheet risk exposures weighted for credit risk.

11 SCHEDULE 6. – MARKET RISKS: POSITIONS IN DEBT FINANCIAL INSTRUMENTS

a. This schedule reports the positions and the related capital requirements for position risks in debt financial instruments, in accordance with Part VII, Title IV, Chapter III, Section II, of the PSI REGULATION.

11.1 Debt financial instruments of the trading book

a. Positions are reported gross and net of the netting referred to in Arts. VII.IV.9 to VII.IV.11 of the PSI REGULATION. For the purposes of calculating the prudential requirement, the REPORTING ENTITY considers positions net of the aforementioned netting.

b. Positions in irrevocable purchase commitments subscribed or re-subscribed by third parties may be deducted from gross and net positions in accordance with Art. VII.IV.27 of the PSI REGULATION.

c. Net positions may be further reduced before the application of the capital requirement in relation to the provisions set out in Part VII, Title IV, Chapter III, Section II, of the PSI REGULATION. In relation thereto, in the item Positions subject to capital coverage the value of the position before the application of the criteria provided for the calculation of the capital requirement must be reported.

d. In the item Capital requirement the capital coverage of any relevant position is indicated in accordance with the provisions set out in Part VII, Title IV, Chapter III, Section II, of the PSI REGULATION.

e. In the item Total amount of risk exposure the result of multiplying the capital requirement by 12.5 is indicated in accordance with Art. VII.III.2, paragraph 3, of the BANKING REGULATION.

f. The capital requirement for debt financial instruments within the trading book is equal to the sum of the general risk and the specific risk.

g. With regard to general risk, the gross positions in the aforementioned financial instruments are reported according to the risk category (Derivatives, Other assets and liabilities) and the method used. The capital requirement against general risk is determined according to the maturity-based method or, alternatively, according to the financial duration-based method.

h. In the item Derivatives the derivative contracts are indicated which, for the purposes of calculating the capital requirement for market risk, are treated as exposure to interest rate risk within the trading book in accordance with the provisions referred to in Arts. VII.IV.10 to VII.IV.13 of the PSI REGULATION.

i. The capital requirement against specific risk is determined by the sum of the capital requirements relating to: debt financial instruments not related to securitisation referred to in Art. VII.IV.18 of the PSI REGULATION; financial instruments related to securitisation referred to in Art. VII.IV.19 of the PSI REGULATION; correlation portfolio referred to in Art. VII.IV.20 of the PSI REGULATION.

j. Debt financial instruments not related to securitisation are divided according to the categories provided in the table set out in Art. VII.IV.18, paragraph 1, of the PSI REGULATION, as well as with separate indication of "nth-to-default" credit derivatives provided with a rating referred to in Art. VII.IV.14, paragraph 1, last subparagraph, of the PSI REGULATION. The capital requirement for "nth-to-default" credit derivatives without an external rating is calculated by adding the risk weighting factors of each reference entity ("look-through" method) in accordance with Art. VII.IV.14, paragraph 1, letter e) of the PSI REGULATION.

k. In the event that the general risk of interest rate positions is hedged by credit derivatives, the provisions set out in Arts. VII.IV.28 and VII.IV.29 of the PSI REGULATION apply.

l. In the item Instruments related to securitisation the positions for the specific position risk component in securitisations/re-securitisations held in the trading book (not eligible for the correlation trading book) are indicated in accordance with Arts. VII.IV.17 and VII.IV.19 of the PSI REGULATION. If the securitisation positions within the trading book are hedged by credit derivatives, Arts. VII.IV.28 and VII.IV.29 of the PSI REGULATION apply.

m. In the item Correlation trading portfolio, the positions of the correlation trading portfolio are reported, including securitisation positions, nth-to-default credit derivatives and the other positions provided for in Article VII.IV.20, paragraph 3, of the REGULATION PSI. If the positions of the correlation trading portfolio included in the trading portfolio are hedged by credit derivatives, Articles VII.IV.28 and VII.IV.29 of the REGULATION PSI shall apply.

n. The item Additional requirements for options (non-delta risks) includes the non-delta risks related to options in accordance with the provisions of Article VII.IV.11, paragraphs 2 and 3, of the REGULATION PSI.

o. As a purely residual matter, taking into account the initial application phase of the prudential requirements for market risks, for structured financial instruments, by way of derogation from the provisions of Chapter II to Chapter V of Title IV of the REGULATION PSI, the REPORTING ENTITIES may determine the prudential requirement on a unit basis by applying a position risk prudential requirement of 16% for positions in capital-protected instruments and a prudential requirement of 32% for positions in non-capital-protected instruments. These requirements are increased by 8% if the prudential requirements for foreign exchange risk apply pursuant to the provisions of Article VII.IV.33 of the aforementioned REGULATION PSI, to be reported in table 3. These instruments are indicated in the item Structured financial instruments, distinguishing between capital-protected and non-capital-protected ones.

12 TABLE 7. - MARKET RISKS: POSITIONS IN EQUITY FINANCIAL INSTRUMENTS

a. This table reports the positions and the related prudential requirements for position risks in equity financial instruments in accordance with Part VII, Title IV, Chapter III, Section III, of the REGULATION PSI.

12.1 Equity financial instruments of the trading portfolio

a. The positions are reported gross and net of the offsets referred to in Articles VII.IV.9 to VII.IV.11 of the REGULATION PSI. For the purposes of calculating the prudential requirement, the REPORTING ENTITY considers the positions net of the aforementioned offsets.

b. Positions in irrevocable purchase commitments subscribed or re-subscribed by third parties in accordance with Article VII.IV.27 of the REGULATION PSI may be deducted from the gross and net positions.

c. The net positions may be further reduced before the application of the prudential requirement in relation to the provisions in Part VII, Title IV, Chapter III, Section III, of the REGULATION PSI. In this regard, the item Positions subject to prudential coverage shall report the value of the position before the application of the criteria provided for the calculation of the prudential requirement.

d.
The item Prudential requirement indicates the prudential coverage of any position relevant in accordance with the provisions in Part VII, Title IV, Chapter III, Section III, of the REGULATION PSI.

e.
The item Total risk exposure amount indicates the result of the multiplication of the prudential requirement by 12.5 in accordance with Article VII.III.2, paragraph 3, of the REGULATION BANKS.

f.
The prudential requirement of equity financial instruments within the trading portfolio is equal to the sum of the General risk and the Specific risk.

g.
The item General risk indicates the positions in equity financial instruments subject to such risk and the related prudential requirements in accordance with Article VII.IV.25 of the REGULATION PSI. These positions are broken down both by type of instrument (Derivatives and Other assets and liabilities), and into the items Broadly diversified exchange-traded index futures subject to a particular method and Equity financial instruments other than broadly diversified exchange-traded index futures. The latter breakdown is used for the purposes of determining the related prudential requirements.

h.
The calculation of the risk of equity financial instruments includes the Derivatives referring to the positions of the trading portfolio, taking into account, where applicable, the provisions of Articles VII.IV.11 and VII.IV.14 of the REGULATION PSI.

i.
The item Other assets and liabilities includes positions other than the trading portfolio other than those referring to derivatives.

j.
The Broadly diversified exchange-traded index futures subject to a particular method are those identified in Article VII.IV.26, paragraph 3, of the REGULATION PSI. For such contracts, the option is provided to determine the related prudential requirement exclusively on the basis of general risk.

k. The item Equity financial instruments other than broadly diversified exchange-traded index futures indicates the positions in equity financial instruments subject to general risk determined in accordance with Article VII.IV.25 of the REGULATION PSI.

l.
The item Specific risk indicates all positions in equity financial instruments subject to specific risk in accordance with Article VII.IV.24 of the REGULATION PSI, excluding positions in index futures treated in accordance with Article VII.IV.26, paragraph 3, of the REGULATION PSI.

m. The item Additional requirements for options (non-delta risks) includes the risks related to non-delta options in accordance with the provisions of Article VII.IV.11, paragraphs 2 and 3, of the REGULATION PSI.

13 TABLE 8. – LARGE EXPOSURES

13.1 Preliminary remarks

a.
For the definition of LARGE EXPOSURE and for the related determination criteria, in addition to the provisions of Part VII, Title IV, of the REGULATION, the provisions of as an addition to the provisions of Part VII, Title IV, of the REGULATION, the provisions of follows below.

13.2 Methods for calculating the risk position

a. The notion of "counterparty or group of connected counterparties", referred to in Art. I.I.2 of the REGULATION, also includes banking counterparties.

b. In line with the provisions of Art. VII.IV.1, the calculation of the risk position is carried out, according to the methods defined for the schedules relating to the calculation of credit risk-weighted assets, with regard to the entire exposure and, therefore, the portion of the committed amount not yet used by the debtor is also included in the aforementioned calculation. For this, the conversion and subsequent weighting factors are applied to the difference between the committed amount and the amount used (so-called available margin). The risk position thus obtained is added to the risk position, towards the same counterparty and/or group of connected counterparties, arising from the weighting of the amount used.

c. If the amount used exceeds the committed amount, the weighting must be calculated with exclusive regard to the amount used.

d. Assets that by their nature cannot be referred to a counterparty, such as tangible and intangible fixed assets, are excluded from the determination of the risk position; however, the value of residual receivables, represented by tangible and intangible fixed assets, originating from financial leasing contracts, is included.

e. Pursuant to Art. VII.IV.3 of the REGULATION, risk positions towards capital participants, and/or parties connected to them, already deducted from the PRUDENTIAL CAPITAL, are likewise excluded.

f. If the counterparty to which the risk position refers is a component of a banking group subject to PRUDENTIAL SUPERVISION rules on a consolidated basis, the more favorable weighting attributable to its parent company may be applied, without prejudice to the provisions relating to country risk.

g. Items in transit and suspense, interest and fees to be debited and received, other credit items recorded in the accounts among "sundry debtors" and accrued income must be referred, as far as possible, to each debtor counterparty.

h. The coding of the parties to which the risk position refers must be carried out using the methods provided for in paragraph 5.7 and in the operating manual, also aimed at ensuring the unique identification of the party and of the group of connected customers or connected counterparties detected both in this schedule and, where the conditions exist, also in the schedule dedicated to the top 30 debtor counterparties.

13.3 Limits on the concentration of large risks

a. The REPORTING ENTITY is required to constantly comply with the limits on risk concentration provided for in Art. VII.IV.2 of the REGULATION and to adopt the utmost caution in assuming LARGE RISKS and in the consequent monitoring of positions, which must be carried out with adequate organizational means.

b. In line with the provisions of Art. VII.IV.4 of the REGULATION, BCSM may set, with reference to individual REPORTING ENTITIES, individual and global limits more stringent than those provided, based on its own technical-operational assessments, having regard, in this context, to the actual adequacy of internal procedures for the granting and management of credit. In particular, the processes of customer selection, the monitoring of the evolution of the economic-financial situation of major customers and the control of the performance of loans granted are relevant.

c. Pending an update of part VII of the REGULATION and in anticipation of a review of the limits on LARGE RISKS at consolidated level, if the REPORTING ENTITY is

a parent financial company and assumes indirect exposures, compliance with the limits on the concentration of risks referred to in Article VII.IV.2 of the REGULATION is verified by comparing the sum of the risk positions (including those assumed through subsidiary financial companies) to the adjusted supervisory capital referred to in paragraph 8.8 of this CIRCULAR, in accordance with Art. VII.IV.6 of the REGULATION.

d. In particular, in the cases referred to in the previous letter c., the REPORTING ENTITY verifies compliance with the limits referred to in part VII, Title IV, of the REGULATION, as follows:

• on direct and indirect exposures, comparing them to the adjusted supervisory capital referred to in paragraph 8.8 of this CIRCULAR, with a threshold of 25% (individual group limit);

• on direct exposures, comparing them to the individual SUPERVISORY CAPITAL referred to in paragraph 8.1 of this CIRCULAR, with a threshold of 40% instead of 25%, only if the individual group limit for all direct and indirect exposures referred to in the previous paragraph, and the overall limit compared to the adjusted supervisory capital, are complied with;

• overall limit equal to 8 times the adjusted supervisory capital;

e. If the REPORTING ENTITY is a subsidiary financial company, the verification of compliance with the limits referred to in part VII, Title IV, of the REGULATION, is carried out as follows:

• the individual limit referred to in part VII, Title IV, of the REGULATION, is verified with reference to 40% of the individual SUPERVISORY CAPITAL instead of 25%, considering only direct risk positions, provided that the condition referred to in point d. first paragraph of this paragraph is verified, on the parent financial company;

• the overall limit is verified only by the parent financial company.

f. Parent financial companies that have not assumed indirect risk exposure verify compliance with the individual and overall limit in accordance with the provisions of Art. VII.IV.2 of the REGULATION.

14 SCHEDULE 9. – CONTRACTUAL RELATIONSHIPS WITH RELATED PARTIES AND PARTIES CONNECTED TO THEM

14.1 Definition of risk position and entities included

a. In accordance with the provisions of Art. VII.V.4, paragraph 2 of the REGULATION, the fulfillment of the reporting obligations referred to in this schedule requires the use of the same definition of risk position used for LARGE EXPOSURES, to be applied, moreover, to a different set of entities.

b. By related party and PARTIES CONNECTED TO A RELATED PARTY is meant the aggregate defined in Art. I.I.2 of the REGULATION. This aggregation does not necessarily coincide with the concept of group of connected clients or counterparties defined in the same article, used in particular with regard to schedule 8 concerning LARGE EXPOSURES.

c. As provided for LARGE EXPOSURES, pursuant to the provisions of paragraph 3 of Art. VII.V.4 of the REGULATION, also for this schedule, assets deducted from the SUPERVISORY CAPITAL are excluded from the calculation of the risk position.

d.
For the purposes of compiling this schedule, the presence or absence of the same risk positions also in schedule 8 concerning LARGE EXPOSURES is not relevant, since the two schedules serve different and mutually independent reporting purposes.

14.2 Limitations and exclusions in determining the risk position

a. Pursuant to Art. I.I.2, paragraph 1 of the REGULATION, the risk position in schedule 9 must be calculated by including in it all companies at which the related party performs the functions described therein, but not any entities economically or legally connected with these (cf. Art. I.I.2, paragraph 1 of the REGULATION.

b. If the same connected company can be attributed to two or more RELATED PARTIES (e.g. two directors of the REPORTING ENTITY who also hold that office in the same third company), the REPORTING must be compiled by considering two separate risk positions, each of which consists of the related party and the common company.

14.3 Compliance with the limitations

a. For the purposes of complying with the overall limit defined by Art. VII.V.4, paragraph 1, letter b) of the REGULATION, all risk positions attributable to RELATED PARTIES AND PARTIES CONNECTED TO THEM must be considered, even if not exceeding 10% of the SUPERVISORY CAPITAL. The reference, in paragraph 2 of the same Article VII.V.4, to the provisions of Art. VII.IV.1, paragraph 1 of the REGULATION on LARGE EXPOSURES must in fact be understood as limited to the methods of calculating the overall exposure and not also with reference to the 10% threshold, relevant only for the purposes of the definition of LARGE EXPOSURE referred to in schedule 8.

b. Pending an update of part VII of the REGULATION and in anticipation of a review of the limits towards RELATED PARTIES at consolidated level, if the REPORTING ENTITY is a parent financial undertaking and assumes indirect exposures, compliance with the limits on risk positions towards RELATED PARTIES AND PARTIES CONNECTED TO THEM referred to in Art. VII.V.4 of the REGULATION is verified at aggregate level, by comparing the sum of the risk positions (including those assumed through subsidiary financial undertakings) with the adjusted supervisory capital referred to in paragraph 8.8 of this CIRCULAR, in accordance with Art. VII.V.5 of the REGULATION.

c. In particular, in the cases referred to in the preceding letter b., the REPORTING ENTITY verifies compliance with the limit referred to in part VII, Title V, of the REGULATION, as follows:

• on individual direct and indirect exposures, by comparing them with the adjusted supervisory capital referred to in paragraph 8.8 of this CIRCULAR, with a threshold of 20% (individual group limit);

• on individual direct exposures, by comparing them with the individual SUPERVISORY CAPITAL referred to in paragraph 8.1 of this CIRCULAR, with a threshold of 20% (individual limit);

• overall limit of 60% of the adjusted supervisory capital.

d. If the REPORTING ENTITY is a subsidiary financial undertaking, verification of compliance with the limits referred to in part VII, Title V, of the REGULATION is carried out as follows:

• on individual direct exposures, by comparing them with the individual SUPERVISORY CAPITAL referred to in paragraph 8.1 of this CIRCULAR, with a threshold of 20% (individual limit);

• overall limit for the parent financial undertaking only.

e.
Parent financial undertakings that have not assumed indirect risk exposure verify compliance with the individual and overall limit in accordance with the provisions of Art.
VII.V.4 of the REGULATION.

14.4 Coding of risk positions and reference to the operating manual

a. In view of the different aggregate of reference for the definition of the risk position for the same entity within schedule 8 (LARGE EXPOSURES) and 9 (Contractual relationships with RELATED PARTIES AND PARTIES CONNECTED TO THEM), the coding of entities must be carried out by applying the operating methods described in paragraph 5.7, while for that of "groups of entities" reference is made to what is set out in the operating manual.

15 SCHEDULE 10. – MATURITY TRANSFORMATION

15.1 Limits on medium- and long-term investments

a. The first part of schedule 10 concerns compliance with the limits on medium- and long-term investments as provided for by Art. VII.VI.1 of the REGULATION.

b. As these are investments in instrumental assets, the value of leased or to-be-leased fixed assets relating to the carrying out of leasing activity is excluded from the calculation of the aggregate.

c. Strumental goods must be shown at their balance-sheet value for the DECEMBER and JUNE NOTIFICATIONS; for the other REFERENCE DATES the value of the goods is that resulting from the "Accounting Situation", recorded net of the respective adjusting funds resulting from the DRAFT FINANCIAL STATEMENTS for the MARCH NOTIFICATION and from the half-year financial statements for the SEPTEMBER one, taking care not to consider the adjustments relating to goods sold in the meantime or no longer used.

15.2 Medium/long-term financing

a. The second part of the schedule concerns compliance with the limits on medium- and long-term financing granted, as provided for by Art. VII.VI.2 of the REGULATION.

16 SCHEDULE 11. - HOLDABLE EQUITY INVESTMENTS

a. The schedule concerns compliance with the limits on holdable equity investments as provided for by Arts. VII.VIII.3 and VII.VIII.5 of the REGULATION.

17 SCHEDULE 12. – CENSUS OF THE TOP 30 DEBTOR COUNTERPARTIES

a. Schedule 12 of the NOTIFICATION requires the registry census of the top 30 debtor counterparties of the REPORTING ENTITY, whose summary data are shown in schedule 13.

b. The registry coding, consistent with that provided for the risk positions attributable to the same entities censused in the schedule relating to LARGE EXPOSURES, is carried out using the criteria established in the operating manual aimed at allowing, on the one hand, the definition of a unique code for each of the 30 counterparties to be considered for the purposes of schedule 13 and, on the other hand, the identification of the individual components connected to them.

c. For the purposes of the above census, for each entity the indication of the amounts relating to the granted and the utilized as defined in the following chapter 18 is required.

18 SCHEDULE 13. - TOP 30 DEBTOR COUNTERPARTIES

a. For the purposes of a complete framing of the credit risks assumed by the REPORTING ENTITIES, this schedule highlights the top 30 debtor counterparties, including authorized entities, with the sole exception of financial companies controlled by the REPORTING ENTITY.

b. For each debtor counterparty, the aggregate of direct credit exposures, both cash and signature, maintained by the REPORTING ENTITY with a customer or a group of connected customers or connected counterparties is considered.

c. In the schedule - for each debtor counterparty - the following data are recorded:

• granted (divided into "cash", "signature" and "total");

• utilized (divided into "cash", "signature" and "total");

• estimated realizable value of cash credits (divided into "performing credit exposures", "non-performing loans", "other deteriorated credit exposures", "total").

  d. For the purposes of this schedule:

• "granted" means the OPERATING GRANTED AMOUNT;

• "utilized" means the amount of credit actually disbursed to the customer at the REFERENCE DATE of the NOTIFICATION; it corresponds to the end-of-period book balance adjusted for pending or in-transit items, wherever recorded, for which the final destination account can be identified.

  e. The utilized and granted values are gross of the adjustments, analytical or flat-rate, attributable to the credit exposures, while the estimated realizable value represents the amount net of the aforementioned adjustments.

  f. The schedule must record the top 30 debtor counterparties, as described above, in order of granted (or utilized, if higher). In a specific table, the aggregate values for the REPORTING ENTITY relating to the types of amounts required for each individual entity must be recorded.

19 FINAL PROVISIONS

19.1 Amendments to Regulation No. 2015-01

a. Paragraph 3 of Art. III.I.2 is amended as follows:

3. The obligations on audit firms for the controls described above concern the following NOTIFICATIONS:

a) "Accounting Situation", SCHEDULES referring to the end of each calendar quarter relating to the Balance Sheet and Income Statement, limited to accounting data only, without reclassifications by residence or sector of economic activity;

b) Prudential supervision, verification of the components that define the capital ratio as well as the supervisory expectations for minimum coverage of deteriorated credit exposures;

c) Financial statement data for the first half-year.

b. In paragraph 5 of Art. III.I.2, the 3 bullet points are amended as follows:

CENTRAL BANK
OF THE REPUBLIC OF SAN MARINO

▪ verification, through discussion of the conformity of the criteria adopted for the definition of supervisory capital, of the capital requirements and of the total amount of risk exposure with what is provided for by Regulations No.
2007-07 and 2011-03 and by the application circulars on prudential supervision; ▪ verification on a significant and rotating sample of transactions, which contribute to forming supervisory capital, the capital requirements and the total amount of risk exposure with regard to correspondence with the company accounting and with the available management information; ▪ sample verification of the mathematical accuracy of the values relating to supervisory capital, capital requirements and the total amount of risk exposure.

19.2 Entry into force

a. The provisions of this CIRCULAR enter into force on 30 October 2026 and apply starting from the NOTIFICATION to be sent by 30 November 2026 with REFERENCE DATE 30 September 2026.

19.3 Repeals

a. Concurrently with the entry into force of this CIRCULAR, Circulars No. 2012-03 and No. 2013-01 are repealed.

b. In relation to the provisions of the previous paragraph, as of the date of entry into force of this CIRCULAR, any reference to the repealed circulars contained in the provisions issued by the BCSM shall be understood as referring to this CIRCULAR.