Questionnaire re: LIBOR Benchmark Transition

Questionnaire re: LIBOR Benchmark Transition LIBOR Transition Strategy

1. Would the discontinuation of LIBOR have a sigmficant impact on your institution?
   a. If yes, what is your assessment of the risks arising from inadequate transition away from LIBOR? b. If not, please explain why you do not consider financial market reliance and exposure to LIBOR to be a material risk.
2. Do you have a strategy to make a timely, safe and sound transition away from LIBOR
   to alternative reference rates? a. If yes, please set out the key elements of your strategy to ensure a timely, safe and sound transition b. If not, please explain why LIBOR Exposures
3. Have you started the process ofLIBOR transition to alternative reference rates for
   legacy and new contracts? If yes, please provide details.
4. Please provide total gross exposure to LIBOR (covering derivatives products, asset
   side products and liability side products) and the number of contracts.

Exposure as at December 2019
DERIVATIVES
Product-Total
Gross Notional
Ex osure
Interest Rate
Derivatives -
OTC
Interest Rate
Derivatives -
Exchange
Traded
Other (please specify)
Total
Derivatives
Currency
Benchmark
A-(A^-*t^'A»-
OF WHICH: with fallback'
RFR
LIBOR
OF WHICH: with fallback
RFR
LIBOR
OF WHICH: with fallback
RFR
LIBOR
OF WHICH: with fallback
RFR
USD GBP JPY CHF EUR
Value No Value No Value No. Value No. Value No.
Comments
1 Fallback refers to sufficiently granular contract language that specify the replacement reference rate in the case of LIBOR cessation.

DERIVATIVES
Product-Total
Gross Notional
Exposure
USD GBP JPY CHF EUR
Currency
Value No Value No Value No. Value No. Value No. Comments maturing after 2021 Interest Rate Derivatives - OTC Interest Rate Derivatives - Exchange Traded Other (please specify) Total Derivatives Benchmark LIBOR OF WHICH: with fallback2 RFR LIBOR OF WHICH: with fallback RFR LIBOR OF WHICH: with fallback RFR LIBOR OF WHICH: with fallback RFR Fallback refers to sufficiently granular contract language that specify the replacement reference rate in the case of LIBOR cessation.

ASSET
SffiE
Product -
Total
Gross
Ex osure
Interest
Rate
Derivatives
-OTC
Interest
Rate
Derivatives

• Exchange
  Traded
  Other
  (please specify)
  Total
  Derivatives
  Currency
  Benchmark
  LIBOR
  OF WHICH: with fallback3
  RFR
  LIBOR
  OF WHICH: with fallback
  RFR
  LIBOR
  OF WHICH: with fallback
  RFR
  LIBOR
  OF WHICH: with fallback
  RFR
  USD GBP JPY CHF EUR
  Value No Value No Value No. Value No. Value No.
  Comments
  ' Fallback refers to sufficiently granular contract language that specify the replacement reference rate in the case of LIBOR cessation.

ASSET
SffiE
Product -
Gross
Exposure
Maturing after 2021
Bonds and securitisations
(including
CLOs)
Syndicated
Loans
Bilateral
Business
Loans
Retail
Mortgages /
Consumer
Loans
Preferred
Stocks
Other (please specify)
Currency
Benchmark
LIBOR
OF WHICH: with fallback4
RFR
LIBOR
OF WHICH: with fallback
RFR
LIBOR
OF WHICH: with fallback
RFR
LIBOR
OF WHICH: with fallback
RFR
LIBOR
OF WHICH: with fallback
RFR
LIBOR
OF WHICH: with fallback
RFR
USD GBP JPY CHF EUR
Value No Value No Value No. Value No. Value No. Comments Fallback refers to sufficiently granular contract language that specify the replacement reference rate in the case of LIBOR cessation.

ASSET
STOE
Product -
Gross
Exposure
Maturing after 2021
Total
USD GBP JPY CHF EUR
Currency
Benchmark
LBOR
OF WHICH: with fallback
RFR
Value No Value No Value No. Value No. Value No.
Comments

LIABILITY
SIDE
Product -
Total Gross
Ex osure
CDs and deposits
Senior debt
Subordinated debt
Preferred stock
Other (please specify)
Total
Currency
Benchmark
LIBOR
OF WHICH: with fallback5
RFR
LIBOR
OF WHICH: with fallback
RFR
LIBOR
OF WHICH: with fallback
RFR
LIBOR
OF WHICH: with fallback
RFR
LIBOR
OF WHICH: with fallback
RFR
LIBOR
OF WHICH: with fallback
RFR
USD GBP JPY CHF EUR
Value No Value No Value No. Value No. Value No. Comments ' Fallback refers to sufficiently granular contract language that specify the replacement reference rate in the case of LIBOR cessation.

LIABILITY
SIDE
Product -
Gross
Exposure maturing after 2021
CDs and deposits
Senior debt
Subordinated debt
Preferred stock
Other (please specify)
Total
Currency
Benchmark
LIBOR
OF WHICH: with fallback6
RFR
LIBOR
OF WHICH: with fallback
RFR
LIBOR
OF WHICH: with fallback
RFR
LIBOR
OF WHICH: with fallback
RFR
LIBOR
OF WHICH: with fallback
RFR
LfflOR
OF WHICH: with fallback
RFR
USD GBP JPY CHF EUR
Value No Value No Value No. Value No. Value No.
Comments
' Fallback refers to sufficiently granular contract language that specify the replacement reference rate in the case of LIBOR cessation.

5. Please indicate areas of assessment
   Governance framework and organisational stmcture, including having firm level plan and allocation of resources Measurement of own exposure and roll offtimelines Valuation Risk management Internal audit and conti-ols Tax and accounting implications New RFR product design Potentially required system changes Legal contract review and remediation Transition (LIBOR / RFR) client outreach Issues arising from regulatory frameworks Other (please specify)

6. Please discuss the progress of migration to alternative benchmarks and the adoption of
   robust fallbacks (e. g. ISDA's protocols for derivatives). Please discuss targets and roll of timelines, if applicable.

7. Please explain how targets are set, including underlying criteria.

8. Please discuss intermediate targets, if any, from now until end-2021.

9. Please explain how targets are tracked and applied.

10. Please discuss if there are alternative methods to ensure continued progress in transition.

11. Please discuss any LIBOR exposures that cannot be transitioned. What is the reason why
    the transition cannot be achieved and for which products?

12. Please indicate whether internal processes and organizational sti-uctures - i.e. "transition
    teams" - to manage the transition to alternative reference rates.

13. Please discuss budget and other resources committed to the ti-ansition to alternative
    reference rates by end-2021. What is the estimated cost of transition?

14. Please discuss work with private sector clients to mitigate issues and facilitate benchmark
    transition.

15. What changes to systems, products or contractual amendments are used to mitigate the
    impact? Are they any potential conflicts / firictions, such as re-opening of contractual negotiations, etc. expected? ISDA fallback Loan fallback System issues / changes New RFR product offerings RFR-LIBOR basis swap Other (please specify)

16. On a scale from 1 to 4, what is your assessment of the status of preparedness of your
    clients?
    1 = not aware of transition
    2 = planning on transition
    3 = transition in progress
    4 = transition completed
    Please elaborate.

17. What, if any, are the differences between client types? Please elaborate.

18. overall, what is your assessment of the main obstacles to a successful transition? Please
    identify the top three from the following list by writing 1, 2 and 3 in the relevant box (where 1 is the obstacle you consider to be the biggest). Where you select 'other', please specify. Lack of liquidity in new RFRs Lack oftenn rates for new RFRs Inadequacy of fallback provisions Cross border issues Challenges agreeing contract amendments Lack of action / engagement from market participants Lack of awareness Lack of understanding on the use ofRFRs Other (please specify)

19. Have internal targets and deadlines for transition from LIBOR to alternative reference
    rates?

20. Has audit (internal / external) assessed whether these targets are reasonable and effective?
    If so, please describe the overall framework.

21. What are the key indicators that are covered under these targets? e.g. % of financial
    conti-acts referencing LIB OR and alternative reference rates, % of financial contracts adopted fallback protocols.

22. Have any requirements been imposed by the parent company?

23. Have you evaluated external vendors for benchmark transition?
    10