Reporting Own Funds 2010

PERIODIC REPORTING SCHEMA FOR INSTITUTIONS ON COMPLIANCE WITH OWN FUNDS REQUIREMENTS

CHAPTER I: GENERAL GUIDELINES
Principles
Reporting obligation, deadlines and frequency

CHAPTER II: SUPPLEMENTARY DESCRIPTION TABLES
90.01 Own Funds Adequacy
90.02 Details on Group Solvency
90.03 Credit Risk, Counterparty Credit Risk and Incomplete Transactions: Standard Approach for Own Funds Requirements
90.04 Credit Risk, Counterparty Credit Risk and Incomplete Transactions: IRB Approach for Own Funds Requirements
90.05 Credit Risk: Equity Securities - IRB Approach for Own Funds Requirements
90.06 Credit Risk: Securitizations - Standard Approach for Own Funds Requirements
90.07 Credit Risk: Securitizations - IRB Approach for Own Funds Requirements
90.08 Credit Risk: Detailed Information on Securitizations by Originators and Sponsors
90.09 Settlement/Delivery Risk
90.10 Market Risk: Standard Approaches for Debt Instrument Position Risks
90.11 Market Risk: Standard Approach for Equity Instrument Position Risks
90.12 Market Risk: Standard Approaches for Foreign Exchange Risk
90.13 Market Risk: Standard Approaches for Commodities Risk
90.14 Market Risk: Internal Models
90.15 Market Risk: Internal Models - Details
90.16 Operational Risk
90.17 Operational Risk: Gross Losses by Activity Line and Event Types during the Past Year
90.18 Concentration Risk: Counterparty Concentration Risk

CHAPTER III: COMMENTARY ON SUPPLEMENTARY DESCRIPTION TABLES

CHAPTER I

GENERAL GUIDELINES

CHAPTER I: General Guidelines:

1. Principles

By "own funds requirements," we mean the regulatory requirements provided for by the Order of the Commission bancaire, financière et des assurances (hereinafter "the CBFA") concerning the regulation relating to the own funds of credit institutions (hereinafter "the Regulation"). Unless otherwise stated, the chapters and articles cited refer to those of the Regulation.
Unless otherwise stated in the instructions for the tables, institutions – subject to the Regulation – are required to periodically report on their positions on an individual basis and on a consolidated basis using the tables provided for this purpose. Financial holding companies subject to the Regulation report only on a consolidated basis.

2. Reporting Obligation, Deadlines and Frequency

These provisions regarding the reporting obligation apply to institutions subject to the Regulation on own funds.
The periodic reporting statements reflect the situation after processing all transactions concluded on the periodic reporting date. By periodic reporting date, it is understood to be the date to which the statements relate. The periodic reporting date is always, in the case of monthly, quarterly, semi-annual and annual reports, the last calendar day of each month, civil quarter, half-year or financial year, depending on whether the statement concerned is prepared on a monthly, quarterly, semi-annual or annual basis. Subject to the prescription of individual tables, the tables must be prepared according to the following frequency:

a) Institutions referred to in Article I.1, 2° and 3°, report on the individual situation on a quarterly basis and on the consolidated situation on a semi-annual basis.

b) If the aforementioned institutions carry out one or more activities referred to in Article 58, § 1, paragraph 2, of the Law of 6 April 1995 relating to the status of investment firms and their control, intermediaries and advisors in investments, they additionally complete table 90.01 relating to the individual situation on a monthly basis.

c) Financial holding companies report on the consolidated situation on a semi-annual basis.

d) Other institutions referred to in Article I.1 report on both the individual and consolidated situations on a quarterly basis.
Periodic information must be transmitted as soon as possible, and no later than:

On an individual basis:
o the first working day of the second calendar month following the reporting date. When the reporting date coincides with the closing date, the information must cover the situation after processing the proposals of the management to the board of directors or managers.

On a consolidated basis:
o two months and 15 days after the reporting date. Statements at the end of the financial year must be sent at the time when the auditor(s) responsible for the audit of the consolidated accounts have or should have knowledge of the statements necessary for the preparation of their written report; however, this deadline cannot be set more than 3 months after the reporting date.

The individual basis of branches of non-EEA foreign law credit institutions corresponds to the territorial basis of schema A, Book I.
Institutions must nevertheless be organizationally capable of preparing the statements at a higher frequency if the CBFA requests it under exceptional circumstances.
As prescribed in the protocol relating to the technical modalities for the transmission of periodic statements, the amounts presented in the reporting statements are expressed in euros.
The euro equivalent is calculated based on spot exchange rates on the reporting date, namely the date to which the reporting statement relates, unless otherwise indicated in the tables.
Percentages are expressed in numerical terms, thus 45% is written as "0,45".
If a label or element is preceded by a minus sign (-), the information concerned should also appear with a minus sign.
In accordance with the provisions of the Regulation, assets and liabilities that are deducted for the calculation of relevant own funds (see table 90.01) are no longer included in the calculation of own funds requirements.
When a table is not applicable because the institution does not operate in the activity covered, or does not use the calculation approach covered in the table, said institution is not required to complete the table but will make a "Nihil" declaration via the "Control Panel" in the CSSR (Central Server for Statistical Reporting).
Institutions are required to complete tables 90.XX as soon as they calculate their own funds requirements according to the Regulation on own funds (Order of 17 October 2006). If, during the 2007 financial year, an institution calculates its own funds requirements in accordance with Article XV.2, § 1, the institution uses the tables applicable before 1 January 2007. If, during the 2007 financial year, an institution calculates its own funds requirements partly according to the approach applicable before 1 January 2007 (cfr. Article XV.2, § 1), the use of the tables is determined in consultation with the institution, based on a generalization plan.

CHAPTER II

SUPPLEMENTARY DESCRIPTION TABLES

Table 90.01 Own Funds Adequacy

ID	Label	Amount (a)
Table 1 005
1 TOTAL OWN FUNDS MEETING SOLVENCY REQUIREMENTS	010
1.1 OWN FUNDS STRICTO SENSU	020
1.1.1 Eligible Capital	030
1.1.1* Of which: instruments of equal rank as ordinary shares	031
1.1.1 Of which: instruments conferring preferential rights in dividend payments on a non-cumulative basis	032
1.1.1.1 Paid-up Capital	040
1.1.1.2 (-) Own Shares	050
1.1.1.3 Share Premiums	060
1.1.1.4 Other eligible instruments for equity capital	070
1.1.2 Eligible Reserves	080
1.1.2.1 Reserves	090
1.1.2.1.01 Reserves (including valuation differences)	091
1.1.2.1.02 Part of reserves to be transferred to valuation differences	092
1.1.2.2 Minority Interests	100
1.1.2.2*01 Of which: hybrid instruments that must be converted in emergency situations	101
1.1.2.2*02 Of which: hybrid instruments (indeterminate maturity, no redemption incentive)	102
1.1.2.2*03 Of which: hybrid instruments (determinate maturity or with redemption incentive)	103
1.1.2.2*04 Of which: "grandfathered" hybrid instruments subject to limit, no redemption incentive	104
1.1.2.2*05 Of which: "grandfathered" hybrid instruments subject to limit, with redemption incentive	105
1.1.2.2.01 Minority Interests (including valuation differences)	106
1.1.2.2.02 Part of minority interests to be transferred to valuation differences	107
1.1.2.2.03 (-) Adjustment to minority interests	108
1.1.2.3 Interim Profits	110
1.1.2.3.01 Result (positive) of the financial year	120
1.1.2.3.02 Part of the result (positive) of the financial year to be transferred to valuation differences	130
1.1.2.4a (-) Significant losses of the financial year	140
1.1.2.4a.01 Result of the financial year when it has not been submitted to account auditors	150
1.1.2.4a.02 Part of the unverified result of the financial year to be transferred to valuation differences	160
1.1.2.4b Interim profits or significant losses of the financial year	161
1.1.2.4b.01 (-) Result (negative) of the financial year	162
1.1.2.4b.02 Part of the result (negative) of the financial year to be transferred to valuation differences	163
1.1.2.5 (-) Net gains resulting from the capitalization of future income from securitization margins	170
1.1.2.6 Eligible reserves and valuation differences for own funds stricto sensu	180
1.1.2.6.01 Revaluation reserves for FVTPL equity instruments	190
1.1.2.6.02 Adjustment to revaluation reserve for FVTPL equity instruments	200
1.1.2.6.03 Revaluation reserves on loans and advances FVTPL	210
1.1.2.6.04 Adjustment to revaluation reserves on loans and advances FVTPL	220
1.1.2.6.05 Revaluation reserves on borrowing instruments FVTPL	230
1.1.2.6.06 Adjustment to revaluation reserves on borrowing instruments FVTPL	240
1.1.2.6.07 Valuation differences in liability measured at fair value (own credit risk)	250
1.1.2.6.08 Adjustment to valuation differences in liability at fair value (own credit risk)	260
1.1.2.6.09 Revaluation reserves for cash flow hedging instruments	270
1.1.2.6.10 Adjustment to valuation differences for cash flow hedging instruments	280
1.1.2.6.11 Valuation differences in investment property	290
1.1.2.6.12 Adjustment to valuation differences in investment property	300
1.1.2.6.13 Revaluation reserves for tangible fixed assets	310
1.1.2.6.14 Adjustment to revaluation reserves for tangible fixed assets	320
1.1.2.6.15 Other valuation differences affecting eligible reserves	330
1.1.2.6.16 Adjustment to other valuation differences affecting eligible reserves	340
1.1.3 General Banking Reserve	350
1.1.4 Other stricto sensu own funds specific to the country	360
1.1.4.1a Hybrid Instruments	381
1.1.4.1a.01 Hybrid instruments that must be converted in emergency situations	382
1.1.4.1a.02 Hybrid instruments (indeterminate maturity, no redemption incentive)	383
1.1.4.1a.03 Hybrid instruments (determinate maturity or with redemption incentive)	384
1.1.4.1a.04 "Grandfathered" hybrid instruments subject to limit, no redemption incentive	385
1.1.4.1a.05 "Grandfathered" hybrid instruments subject to limit, with redemption incentive	386
1.1.4.3 Positive filter upon first adoption of IFRS-type accounting rules	390
1.1.4.4 Others	400
1.1.5 (-) Other deductions of stricto sensu own funds	410
1.1.5.1 (-) Intangible Assets	420
1.1.5.2a (-) Excess over limits for hybrid instruments	441
1.1.5.2a.01 (-) Hybrid instruments that must be converted in emergency situations	442
1.1.5.2a.02 (-) Hybrid instruments (indeterminate maturity, no redemption incentive)	443
1.1.5.2a.03 (-) Hybrid instruments (determinate maturity or with redemption incentive)	444
1.1.5.2a.04 (-) Excess over limits for "grandfathered" instruments	445
1.1.5.4 (-) Other deductions of stricto sensu own funds, specific to the country	450
1.1.5.4.1 (-) Negative filter upon first application of IFRS-type accounting rules	460
1.1.5.4.2 (-) Others	470
1.2 COMPLEMENTARY OWN FUNDS	480
1.2.1 Core of Complementary Own Funds	490
1.2.1.1 Excess over limits for stricto sensu own funds transferred to core of complementary own funds	500
1.2.1.2 Adjustments to valuation differences in stricto sensu own funds transferred to core of complementary own funds	510

ID	Label	Amount (a)
1.2.1.2.01 Adjustment to valuation differences in securities FVTPL transferred to core of complementary own funds	520
1.2.1.2.03 Adjustment to valuation differences in investment property transferred to core of complementary own funds	530
1.2.1.2.04 Adjustment to valuation differences in tangible fixed assets transferred to core of own funds	540
1.2.1.2.05 Other adjustments to valuation differences affecting eligible reserves transferred to core of own funds	550
1.2.1.3 Revaluation Reserves	560
1.2.1.4 Value adjustments for credit risk positions in standard approach	570
1.2.1.5 Other Elements	580
1.2.1.6 Indefinite Duration Securities and Other Instruments	590
1.2.1.7 Excess of IRB Provision	600
1.2.1.8 Core of Complementary Own Funds, Specific to Country	610
1.2.2 Supplementary Complementary Own Funds	620
1.2.2.2 Cumulative Preference Shares with Fixed Maturity	630
1.2.2.3 Subordinated Loans	640
1.2.2.4 Supplementary Complementary Own Funds, Specific to Country	650
1.2.2.5 (-) Excess over limits for supplementary complementary own funds	660
1.2.3 (-) Deductions of Complementary Own Funds	670
1.2.3.1 (-) Excess over limits for Complementary Own Funds	680
1.2.3.2 (-) Other deductions of Complementary Own Funds, specific to the country	690
1.3 (-) DEDUCTIONS OF STRICTO SENSU AND COMPLEMENTARY OWN FUNDS	700
1.3.T1* Of which:(-) stricto sensu own funds	710
1.3.T2* Of which:(-) complementary own funds	720
1.3.1 (-) Holdings in other credit institutions and financial establishments exceeding 10% of their capital	730
1.3.2 (-) Subordinated claims and other elements in other credit institutions and financial establishments where holdings exceed 10% of their capital	740
1.3.3 (-) Excess of shares, parts and subordinated borrowings issued by financial holding companies, credit institutions and non-affiliated financial establishments relative to the 10% limit of own funds	750
1.3.4 (-) Holdings held in insurance undertakings, reinsurance undertakings and insurance holding companies	760
1.3.5 (-) Other instruments held on insurance undertakings, reinsurance undertakings and insurance holding companies in which a holding is held	770
1.3.6 (-) Deductions of stricto sensu and complementary own funds, specific to the country	780
1.3.LE Supplementary Indication:
Relevant own funds for large exposure limits when there is no recourse to additional capital to cover market risks and for qualified participation limits	790
1.3.7 (-) Certain securitization risks not included in risk-weighted assets	800
---	---
1.3.8 (-) Deficit of IRB provision and amount of expected losses on equity securities	810
1.3.9 (-) Qualified participation in non-financial establishments	820
1.3.10 (-) Undelivered positions from the fifth working day following the date of the second settlement or second delivery branch until extinction of the transaction	830
1.3.11 (-) Other deductions, specific to the country, of stricto sensu and complementary own funds	840
1.4 TOTAL BASE OWN FUNDS MEETING GENERAL SOLVENCY REQUIREMENTS	850
1.5 TOTAL COMPLEMENTARY OWN FUNDS MEETING GENERAL SOLVENCY REQUIREMENTS	860
1.6 TOTAL COMPLEMENTARY OWN FUNDS SPECIFICALLY PROVIDED TO COVER MARKET RISKS	870
1.6.1 Excess over limits for complementary own funds transferred to complementary own funds specifically provided to cover market risks	880
1.6.2 Net profits of the trading portfolio	890
1.6.3 Short-term subordinated borrowings	900
1.6.4 (-) Illiquid Assets	910
1.6.5 (-) Excess over limit for own funds specifically provided to cover market risks	920
1.6.LE Supplementary Indication:
Total relevant own funds for large exposure limits when there is recourse to additional capital to cover market risks	930
1.6.6 (-) Deductions, specific to the country, of own funds specifically provided to cover market risks	940
---	---
1.6.7 (-) Unused but eligible own funds specifically provided to cover market risks	950
1.7 (-) DEDUCTIONS OF TOTAL OWN FUNDS	960
1.7.1 Deductions, specific to the country, of total own funds	970
1.7.2 Holdings in insurance enterprises	980
1.8
1.8.1
SUPPLEMENTARY INDICATIONS :
Excess (+) / deficit (-) in IRB Provision	990
1.8.1.1 Amount of IRB Provisions	1000
---	---
1.8.1.1*
Of which: General Provision / Value Reductions for financial assets estimated on a collective basis	1010
1.8.1.1 Of which: Specific Provision / Value Reductions for financial assets estimated on an individual basis	1020
---	---
1.8.1.1* Of which: Other value adjustments and provisions, specific to the country, which are included in the calculation of the excess (+) / deficit (-) in IRB Provision	1030
1.8.1.2 (-) IRB Measure of Expected Losses	1040
1.8.2 Gross Amount of Subordinated Loans	1050
1.8.2.1 of which: gross amount subject to 80%	1060
1.8.2.2 of which: gross amount subject to 60%	1070
1.8.2.3 of which: gross amount subject to 40%	1080
1.8.2.4 of which: gross amount subject to 20%	1090
1.8.2.5 of which: gross amount subject to 0%	1100
1.8.3 Minimum Initial Capital Required	1110

ID Label Amount (a)
2
OWN FUNDS REQUIREMENTS 2000
2a Including: investment firms under Article III.3 2010
2.1 TOTAL OWN FUNDS REQUIREMENTS FOR CREDIT RISK, COUNTERPARTY CREDIT RISK, DILUTION RISK AND INCOMPLETE TRANSACTIONS
2020
2.1.1 Standard Approach (STA) 2030
2.1.1.1a Risk exposure categories under STA, excluding securitization positions 2040 2.1.1.1a.01 Central governments and central banks 2050 2.1.1.1a.02 Regional or local authorities 2060 2.1.1.1a.03 Public sector entities 2070 2.1.1.1a.04 Multilateral development banks 2080 2.1.1.1a.05 International organizations 2090 2.1.1.1a.06 Institutions 2100 2.1.1.1a.07 Corporates 2110 2.1.1.1a.08 Retail clients 2120 2.1.1.1a.09 Secured by real estate 2130 2.1.1.1a.10 Past due 2140 2.1.1.1a.11 Items under regulatory categories with high risk 2150 2.1.1.1a.12 Covered bonds 2160 2.1.1.1a.13 Short-term exposures to institutions and corporates 2170 2.1.1.1a.14 Undertakings for Collective Investment (UCI) 2180 2.1.1.1a.15 Other items 2190
2.1.1.2 STA Securitization Positions 2200
2.1.2 Internal Ratings-Based Approach (IRB) 2210
2.1.2.1 IRB Approaches where no use of own estimates of Loss Given Default (LGD) or conversion factors 2220
2.1.2.1.01 Central governments and central banks 2230
2.1.2.1.02 Institutions 2240
2.1.2.1.03 Corporates 2250
2.1.2.2 IRB Approaches where use of own estimates of Loss Given Default (LGD) and/or conversion factors 2260
2.1.2.2.01 Central governments and central banks 2270
2.1.2.2.02 Institutions 2280
2.1.2.2.03 Corporates 2290
2.1.2.2.04 Retail clients 2300
2.1.2.3 Equity IRB 2310
2.1.2.4 IRB Securitization Position 2320
2.1.2.5 Non-credit obligations 2330
2.2 SETTLEMENT/DELIVERY RISK 2340
2.3 TOTAL OWN FUNDS REQUIREMENTS FOR MARKET RISK, FOREIGN EXCHANGE RISK AND COMMODITY RISK 2350
2.3.1 Market risk, foreign exchange risk and commodity risk under Standard Approaches (STA)
2360
2.3.1.1 Negotiable debt securities 2370
2.3.1.2 Equities 2380
2.3.1.3 Foreign exchange 2390
2.3.1.4 Commodities 2400
2.3.2 Market risk, foreign exchange risk and commodity risk under Internal Models (IM)
2410
2.4 TOTAL OWN FUNDS REQUIREMENTS FOR OPERATIONAL RISK (ORoP) 2420
2.4.1 ORoP Basic Indicator Approach (BIA) 2430
2.4.2 ORoP Standard Approach (TSA) / Alternative Standard Approach (ASA) 2440
2.4.3 ORoP Advanced Measurement Approaches (AMA) 2450
2.5 OWN FUNDS REQUIREMENTS RELATED TO FIXED COSTS 2460
2.5.1 Miscellaneous services and goods 2470
2.5.2 Remuneration, social charges and pensions 2480
2.5.3 Depreciation and impairments 2490
2.5.4 Provisions for risks and charges 2500
2.5.5 Other operating expenses 2510
2.5.6 Costs directly linked to turnover (-) 2520
2.6 OTHER OWN FUNDS REQUIREMENTS AND TRANSITIONAL OWN FUNDS REQUIREMENTS 2530
2.6.3 Other country-specific own funds requirements 2540
3 ADDITIONAL INFORMATION 3000
3.2 Own funds excess (+) / deficit (-) 3010
3.2.a Solvency ratio (%) 3020
4 Own funds excess (+) / deficit (-) for the requirement based on immobilized assets 3030
4.1 Financial immobilizations not deducted for the calculation of own funds
3040
4.2 Tangible immobilizations 3050
5 Own funds excess (+) / deficit (-) for the general solvency ratio requirement 3060
5.1 Third-party funds 3070
5.2.1 First tranche 3080
5.2.2 Second tranche 3090
5.2.3 Third tranche 3100
5.2.4 Fourth tranche 3110
5.2.5 Fifth tranche 3120
6 Own funds excess (+) / deficit (-) for the requirement based on fixed costs 3130 7 Own funds excess (+) / deficit (-) for the transitional provision threshold 3140
7.1 Own funds under Art. XV.1, § 6 3150
7.2 Minimum own funds under Art. XV.1 3160
8 Own funds excess (+) / deficit (-) for the legal minimum of own funds 3170 9 Specific own funds requirements for electronic money institutions 3180
9.1 Own funds excess (+) / deficit (-) for placements made 3190
9.1.1 Placements made 3200
9.2 Own funds excess (+) / deficit (-) for financial commitments 3210
9.2.1 Outstanding 3220
9.2.2 Average 3230
(a) Sign conventions: Any amount increasing own funds or own funds requirements is recorded as positive. Conversely, any amount decreasing own funds or own funds requirements is recorded as negative. The presence of a minus sign (-) at the beginning of a label indicates that there should not be a positive figure for this entry. 11

Table 90.02 GROUP SOLVENCY DETAILS
OWN FUNDS
REQUIREMENTS
TOTAL
OWN FUNDS
MEETING THE
EXCESS (+)
/ DEFICIT (-)
IN OWN FUNDS
EXCESS (+) /
DEFICIT (-) IN
OWN FUNDS,
CONSIDERING
NAME CODE
Total own funds requirements for credit risk, counterparty credit risk, dilution and incomplete transactions Settlement/ delivery risk Total own funds requirements for market risk, foreign exchange and commodity risk Operational risk Other own funds requirements, and own funds transitional requirements INCLUDING: TOTAL OWN FUNDS STRICTO SENSU MEETING THE GENERAL SOLVENCY REQUIREMENTS 1 2 3 4 5 6 7 8 9 10 11=9-8 12
Table 2 010 020 030 040 050 060 070 080 090 100 110 120
101
102
,,,
SUB-GROUPS AND REGULATED ENTITIES
CONSOLIDATED
12

Table 90.03 CREDIT RISK, COUNTERPARTY CREDIT RISK AND INCOMPLETE TRANSACTIONS: STANDARD APPROACH FOR OWN FUNDS REQUIREMENTS
STA Exposure Categories / IRB Exposure Categories:
INITIAL RISK
BEFORE
CONVERSION
FACTORS
1 3 4=1+3 5 6 7 8 9 10 11=4+9+10 12 13 14 15=11+12+13 16 17 18 19 20=15-16-0,817- 0,518 21 22
Table 3 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210
TOTAL EXPOSURES 100
Balance sheet items 200
Off-balance sheet items 210
Securities financing operations & deferred settlement transactions 220 Derivatives 230 Multi-product netting 240 0% 300 10% 310 20% 320 35% 330 50% 340 including: past due 350 without credit assessment by a Designated ECAI 360 secured by commercial real estate 370 75% 380 100% 390 including: past due 400 without credit assessment by a Designated ECAI 410 secured by real estate 420 150% 430 including: past due 440 200% 450 Other risk weights 460 (-) VALUE ADJUSTMENTS AND PROVISIONS RELATED TO INITIAL RISK (-) TOTAL OUTFLOWS NET RISK AFTER VALUE ADJUSTMENTS AND PROVISIONS 0% (-) FINANCIAL COLLATERAL:
ADJUSTED VALUE
(Cvam)
FULLY ADJUSTED
EXPOSURE VALUE
(E*)
CREDIT RISK
ADJUSTMENT
FOR
VOLATILITY
PROTECTION UNFUNDED
CREDIT: ADJUSTED VALUES (Ga)
FINANCIAL COLLATERAL:
SIMPLE METHOD
(-)
ADJUSTMENTS FOR
VOLATILITY AND
MATURITY
NET RISK AFTER
SUBSTITUTION
EFFECTS
CRM BEFORE
CONVERSION
FACTORS
CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF RISK:
FUNDED CREDIT PROTECTION. GENERAL METHOD BASED ON FINANCIAL COLLATERAL CREDIT RISK MITIGATION TECHNIQUES (CRM) WITH SUBSTITUTION EFFECTS ON RISK FUNDED CREDIT PROTECTION SUBSTITUTION OF RISK DUE TO CRM CREDIT DERIVATIVES TOTAL ENTRIES ALLOCATION OF TOTAL EXPOSURES BY EXPOSURE CATEGORIES:
ALLOCATION OF TOTAL EXPOSURES BY RISK WEIGHTS:
OWN FUNDS
REQUIREMENTS
50%
AMOUNT OF
EXPOSURES
RISK-WEIGHTED
EXPOSURE
VALUE
100%
ALLOCATION OF FULLY ADJUSTED EXPOSURE VALUE
OF OFF-BALANCE SHEET ITEMS BY CONVERSION
FACTORS
OTHER 20%
FUNDED CREDIT
PROTECTION
13

Table 90.04 CREDIT RISK, COUNTERPARTY CREDIT RISK AND INCOMPLETE TRANSACTIONS: IRB APPROACH FOR OWN FUNDS REQUIREMENTS
IRB Exposure Categories:
Own estimates of Loss Given Default (LGD) and/or conversion factors:
1 2 9 10 11 12 21 22 23 24 25 26
Table 4 010 020 030 040 050 060 070 080 090 100 110 120

TOTAL EXPOSURES 100
Balance sheet items 200
Off-balance sheet items 210
Securities financing operations & deferred settlement transactions 220 Derivatives 230 Multi-product netting 240
1.1 EXPOSURES ALLOCATED TO RATING
GRADINGS OR DEBTOR CATEGORIES: TOTAL 300
RATING GRADING OR DEBTOR CATEGORY (a):1 301
2 302
..... ,,,
N 30N
1.2 SPECIALIZED FINANCING SLOTTING CRITERIA (b):
TOTAL 400
RISK WEIGHT: 0% 410
50% 420
70% 430
90% 440
115% 450
250% 460
1.3 OTHER TREATMENT: SECURED BY REAL ESTATE 500
1.4 EXPOSURES ARISING FROM INCOMPLETE
TRANSACTIONS WITH APPLICATION OF RISK WEIGHTS IN OTHER TREATMENT OR 100% 600
1.5 DILUTION RISK: TOTAL PURCHASED RECEIVABLES 700
(b) This row will be available for corporate exposures, as well as for the total of exposure categories.
INTERNAL
RATING
SYSTEM
EXPOSURE
VALUE
(a) In ascending order according to the PD assigned to the rating grading or debtor category. PDs for defaulting debtors will be 100%. Risks subject to other treatment due to real estate security (possible only if the institution does not use its own estimates for LGD) will not be assigned according to the debtor's PD. OWN FUNDS REQUIREMENTS ALLOCATION, BY RISK WEIGHTS, OF TOTAL EXPOSURES ACCORDING TO SPECIALIZED FINANCING SLOTTING CRITERIA:
ALLOCATION OF TOTAL EXPOSURES BY EXPOSURE CATEGORIES:
PD ASSIGNED TO
RATING GRADINGS OR
DEBTOR CATEGORIES (%)
INCLUDING: OFF-
BALANCE SHEET
ITEMS
AVERAGE
MATURITY
(DAYS) (on the basis of exposure value)
(-)
VALUE ADJUSTMENTS
AND
PROVISIONS
RISK AFTER
SUBSTITUTION
EFFECTS CRM
BEFORE CONVERSION
FACTORS
AMOUNT OF
ANTICIPATED LOSSES
ALLOCATION OF TOTAL EXPOSURES ALLOCATED TO RATING GRADINGS OR DEBTOR CATEGORIES:
INITIAL RISK BEFORE
CONVERSION
FACTORS
AMOUNT OF
RISK-WEIGHTED
EXPOSURES
AVERAGE LGD
WEIGHTED (%) (on the basis of exposure value)
ADDITIONAL INFORMATION
INCLUDING:
OFF-BALANCE SHEET
ITEMS
14

Table 90.05 CREDIT RISK: EQUITY SECURITIES - IRB APPROACHES FOR OWN FUNDS REQUIREMENTS
CREDIT RISK MITIGATION TECHNIQUES
WITH SUBSTITUTION
EFFECTS ON RISK
1 2 3 4 7 8 9 10 11 12 13 14 15
Table 5 010 020 030 040 050 060 070 080 090 100 110 120 130
TOTAL EXPOSURES TO EQUITY
SECURITIES UNDER IRB APPROACH 100

PD/LGD APPROACH: TOTAL 200
DEBTOR GRADING (a): 1 201
2 202
..... ,,,
N 20N
SIMPLE WEIGHTING METHOD:
TOTAL 300
RISK WEIGHT: 190% 310
290% 320
370% 330
INTERNAL MODELS BASED METHOD 400
(a) In ascending order according to the PD assigned to the debtor grading ALLOCATION OF TOTAL EXPOSURES UNDER PD/LGD APPROACH BY DEBTOR CATEGORIES:
INITIAL RISK
BEFORE
CONVERSION
FACTORS
ALLOCATION OF TOTAL EXPOSURES, IN THE SIMPLE WEIGHTING METHOD, BY RISK WEIGHTS:
(-)
VALUE ADJUSTMENTS
AND PROVISIONS
INCLUDING:
OFF-BALANCE SHEET
ITEMS
RISK AFTER
SUBSTITUTION
EFFECTS
CRM BEFORE
CONVERSION
FACTORS
INTERNAL RATING
SYSTEM
ADDITIONAL INFORMATION
AMOUNT OF
LOSSES
DERIVATIVES ANTICIPATED
CREDIT
UNFUNDED CREDIT PROTECTION OWN FUNDS
REQUIREMENTS
AVERAGE LGD
WEIGHTED (%)
(on the basis of exposure value)
AMOUNTS OF
RISK-WEIGHTED
EXPOSURES PD ASSIGNED
TO THE DEBTOR
GRADING
(%)
INCLUDING:
OFF-BALANCE SHEET
ITEMS
EXPOSURE
VALUE
SECURITIES
15

CREDIT RISK: SECURITISATIONS - STANDARD APPROACH FOR OWN FUNDS REQUIREMENTS Type of securitization:
SECURITIZATION
POSITIONS
20% 50% 100% 350% RATED UNRATED
INCLUDING:
SECOND
LOSS IN
ABCP
1 5 6 7=5+6 14 15 16 17 18 19 22 23 24 25 26 27 28 29 30 30tris 30bis 31 33
Table 6 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 191 192 200 210
100
º
200
BALANCE SHEET ITEMS 210
TRANCHE HIGHEST 220
MEZZANINE 230
FIRST LOSS 240
OFF-BALANCE SHEET ITEMS AND DERIVATIVES 250
PREPAYMENT 260
300
Including: originated or sponsored by entities not subject to the provisions of
Article 122bis of the CRD
301
BALANCE SHEET ITEMS 310
TRANCHE HIGHEST 320
MEZZANINE 330
FIRST LOSS 340
OFF-BALANCE SHEET ITEMS AND DERIVATIVES 350
400
BALANCE SHEET ITEMS 410
OFF-BALANCE SHEET ITEMS AND DERIVATIVES 420
TOTAL
REQUIREMENTS
OWN FUNDS
BEFORE CAP
ALLOCATION OF EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS >0% and <=20% >20% and <=50% >50% and <=100% EXPOSURE VALUE CUMULATIVE EFFECT (ADJUSTMENT) IN CASE OF NON- COMPLIANCE WITH DUE DILIGENCE OBLIGATIONS ADJUSTMENT TO RISK-WEIGHTED ITEMS IN CASE OF MATURITY ASYMMETRIES
Table 90.06
TOTAL VALUE
OF SECURITIZATION
POSITIONS
ORIGINATED
TOTAL OWN FUNDS
REQUIREMENTS
AFTER CAP
LOOK-THROUGH
ALLOCATION OF FULLY ADJUSTED EXPOSURE VALUE
(E*) OF OFF-BALANCE SHEET ITEMS ACCORDING
TO CONVERSION FACTORS
FULLY ADJUSTED
EXPOSURE VALUE
(E*) 0%
(-)
VALUE ADJUSTMENTS
AND PROVISIONS
NET RISK AFTER
VALUE ADJUSTMENTS
AND
PROVISIONS
AMOUNT OF
RISK-WEIGHTED
SPONSOR: TOTAL EXPOSURES
ORIGINATOR: TOTAL EXPOSURES
INVESTOR: TOTAL EXPOSURES
1250%
RATED
(CREDIT QUALITY STAGES 1 TO
4)
TOTAL EXPOSURES
INITIAL RISK
BEFORE
CONVERSION
FACTORS
16

Table 90.07 CREDIT RISK: SECURITISATIONS - IRB APPROACH FOR OWN FUNDS REQUIREMENTS
Type of securitization:
SECURITIZATION
POSITIONS

0% and <=20% >20% and <=50%
6 -
10%
12 -
18%
20 -
35%
50 -
75% 100% 250% 425% 650% RATED UNRATED
RISK WEIGHT
AVERAGE
(%)
RISK WEIGHT
AVERAGE
(%)
1 5 12 13 14 15 16 17 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 36tris 36bis 37 39
Table 7 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 251 252 260 270
100
200
BALANCE SHEET ITEMS 210
TRANCHE HIGHEST 220
MEZZANINE 230
FIRST LOSS 240
OFF-BALANCE SHEET ITEMS AND DERIVATIVES 250
PREPAYMENT 260
300
Including: originated or sponsored by entities not subject to the provisions of
Article 122bis of the CRD
301
BALANCE SHEET ITEMS 310
TRANCHE HIGHEST 320
MEZZANINE 330
FIRST LOSS 340
OFF-BALANCE SHEET ITEMS AND DERIVATIVES 350
400
BALANCE SHEET ITEMS 410
OFF-BALANCE SHEET ITEMS AND DERIVATIVES 420
TOTAL OWN FUNDS
REQUIREMENTS
INITIAL RISK AFTER CAP
BEFORE CONVERSION
FACTORS
FULLY ADJUSTED
EXPOSURE
VALUE (E*) 0%
ALLOCATION OF FULLY ADJUSTED EXPOSURE VALUE
(E*) OF OFF-BALANCE SHEET ITEMS ACCORDING
TO CONVERSION FACTORS
EXPOSURE
VALUE
LOOK-
THROUGH
TOTAL AMOUNT
OF RISK
SECURITIZED INCLUDING
THE INSTITUTION
IS THE
ORIGINATOR >50% and <=100%
IRB APPROACH
(-) REDUCTION
OF THE AMOUNT OF
RISK-WEIGHTED
EXPOSURES
DUE TO
VALUE ADJUSTMENTS
AND
PROVISIONS
ALLOCATION OF EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS RATING-BASED METHOD (CREDIT QUALITY STAGES 1 TO 11 IN THE LONG-TERM TABLE OR 1 TO 3 IN THE SHORT-TERM TABLE) TOTAL OWN FUNDS REQUIREMENTS BEFORE CAP AMOUNT OF RISK-WEIGHTED EXPOSURES SPONSOR: TOTAL EXPOSURES INVESTOR: TOTAL EXPOSURES ORIGINATOR: TOTAL EXPOSURES TOTAL EXPOSURES CUMULATIVE EFFECT (ADJUSTMENT) IN CASE OF NON- COMPLIANCE WITH DUE DILIGENCE OBLIGATIONS ADJUSTMENT TO RISK-WEIGHTED ITEMS IN CASE OF MATURITY ASYMMETRIES 1250% PRUDENTIAL FORMULA METHOD 17

Table 90.08 CREDIT RISK: DETAILED INFORMATION ON SECURITISATIONS BY ORIGINATORS AND SPONSORS
SECURITIZED EXPOSURES
STRUCTURE
OF
SECURITI
ZATION
BALANCE SHEET ITEMS
RATED UNRATED RATED UNRATED RATED UNRATED
1 2 3 3a 3b 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 28 29 010 020 030 031 032 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 ... ... TYPE APPRO ACH APPLI ED (AS/IRB/ MIX) NUMBER OF RISKS (-) VALUE ADJUSTMENTS AND PROVISIONS FIRST LOSS ELGD % SECURITIZATION POSITIONS (INITIAL RISK BEFORE CONVERSION FACTORS) TRANCHE HIGHEST MEZZANINE FIRST LOSS OFF-BALANCE SHEET ITEMS AND DERIVATIVES CREDIT SUBSTITUTES DIRECT INTERNAL CODE SHARE OF INSTITUTION (%) IDENTIFIER OF THE SECURITIZATION DATE OF COMMENCEMENT (mm/yyyy) TYPE OF SECURITIZATION:
(CLASSIC /
SYNTHETIC
)
ROLE OF
THE INSTITUTION:
(SPONSOR /
ORIGINATOR)
TOTAL
AMOUNT
RETENTION
TYPE OF
RETENTION
APPLIED
PERCENTAGE
OF RETENTION
ON THE DATE
OF REPORT
TOTAL
REQUIREMENTS
OF OWN
FUNDS
AFTER
CAP
NON-ABCP PROGRAMS
TOTAL
REQUIREMENTS
OF OWN
FUNDS
BEFORE
CAP
ELIGIBLE CASH
FACILITIES
OTHER CONTROLLED?
(yes/no)
CREDIT CONVERSION
FACTOR APPLIED
TOTAL AMOUNT OF
SECURITIZED EXPOSURES
ON THE DATE OF
COMMENCEMENT
PREPAYMENT REQUIREMENT
S IN
OWN FUNDS
BEFORE
SECURITIZATI
ON %
18

Table 90.09 SETTLEMENT/DELIVERY RISK
UNDENOUNCED TRANSACTIONS, AT
SETTLEMENT PRICE
EXPOSURE TO
PRICE DIFFERENCE
RESULTING FROM
UNDENOUNCED
TRANSACTIONS
OWN FUNDS
REQUIREMENTS
(1) (2) (3)
Table 9 010 020 030

Total undenounced transactions 100
1.1 Undenounced transactions up to 4 days 110
1.2 Undenounced transactions between 5 and 15 days 120
1.3 Undenounced transactions between 16 and 30 days 130
1.4 Undenounced transactions between 31 and 45 days 140
1.5 Undenounced transactions for 46 days or more 150
19

Table 90.10 MARKET RISK: STANDARD APPROACH FOR DEBT SECURITIES POSITION RISK
(-) REDUCTION EFFECT FOR
STRAIGHT POSITION
NET POSITIONS
SUBJECT TO
OWN FUNDS
REQUIREMENTS
LONG SHORT LONG SHORT NET LONG POSITIONS
NET SHORT POSITIONS
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
Table 10 010 020 030 040 050 060 070 080 090 100
TRADE BOOK NEGOTIABLE DEBT SECURITIES 050
1 General Risk. Maturity-based Approach 100
1.1 Zone 1 110
1.2 Zone 2 120
1.3 Zone 3 130
1.a Compensated weighted position for all maturity bands 140 10,00 1.b Compensated weighted position in Zone 1 150 40,00 1.c Compensated weighted position in Zone 2 155 30,00 1.d Compensated weighted position in Zone 3 160 30,00 1.e1 Compensated weighted position between Zones 1 and 2 170 40,00 1.e2 Compensated weighted position between Zones 2 and 3 175 40,00 1.f Compensated weighted position between Zones 1 and 3 180 150,00 1.g Residual uncompensated weighted positions 190 100,00 2 General Risk. Duration-based Approach 200
2.1 Zone 1 210
2.2 Zone 2 220
2.3 Zone 3 230
2.a Duration-based weighted position, compensated for all zones 240 2,00 2.b1 Duration-based weighted position, compensated between Zones 1 and 2 250 40,00 2.b2 Duration-based weighted position, compensated between Zones 2 and 3 260 40,00 2.c Duration-based weighted position, compensated between Zones 1 and 3 270 150,00 2.d Residual duration-based weighted positions, uncompensated 280 100,00 3 Specific Risk 300 310 0,00
3.2 Debt securities of the second category of Table of Article IX.25 320
3.2.a Residual maturity ≤ 6 months 330 0,25
3.2.b Residual maturity > 6 months and ≤ 24 months 340 1,00 3.2.c Residual maturity > 24 months 350 1,60
3.3 Debt securities of the third category of Table of Article IX.25 360 8,00
3.4 Debt securities of the fourth category of Table of Article IX.25 370 12,00
380
4 Particular approach for position risk on UCI 400 7 Other non-delta risks on options 700 8 "Scenario" approach for options 800 9 "Simplified" approach for options 900
3.5 Risk inherent to a securitization subject to a 1250% weight
or deduction, and unrated liquidity facilities
3.1 Debt securities of the first category of Table of Article IX.25
CAPITAL REQUIREMENTS
FOR THE RISK (%)
OWN FUNDS
REQUIREMENTS
NET POSITIONS
(-) RECOGNITION OF
PROTECTION PROVIDED BY
CREDIT DERIVATIVES TO POSITIONS
OF THE TRADE BOOK
POSITIONS
ALL POSITIONS
20

Table 90.11 MARKET RISK: STANDARD APPROACH FOR EQUITY POSITION RISK
(-) REDUCTION EFFECT FOR
STRAIGHT POSITION
NET POSITIONS
SUBJECT TO
OWN FUNDS
REQUIREMENTS
LONG SHORT LONG SHORT
(1) (2) (3) (4) (5) (6) (7) (8)
Table 11 010 020 030 040 050 060 070 080
TRADE BOOK EQUITIES 050
1 General Risk 100 8,00
1.1 Financial futures on indices, exchange-traded, widely diversified, specific approach 110
1.2 Other equities than financial futures on ind., exchange-traded, widely diversified, specific appr. 120
2 Specific Risk 200
2.1 Large, liquid and diversified portfolios subject to reduced capital requirements 210 2,00
2.2 Other equities than large, liquid and diversified portfolios 220 4,00
3 Particular approach for position risk on UCI 300 6 Other non-delta risks on options 600 8 "Scenario" approach for options 800 9 "Simplified" approach for options 900 OWN FUNDS ALL POSITIONS REQUIREMENTS POSITIONS CAPITAL REQUIREMENTS FOR THE RISK (%) NET POSITIONS 21

Table 90.12 MARKET RISK: STANDARD APPROACHES FOR FOREIGN EXCHANGE RISK
LONG SHORT LONG SHORT LONG SHORT COMPENSATED LONG SHORT COMPENSATED (1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
Table 12 010 020 030 040 050 060 070 080 090 100 110 120 130
TOTAL FOREIGN CURRENCY POSITIONS EXCLUDING DECLARATION 100 Link to Ca 2 Currencies subject to intergovernmental agreements 200 3 Currencies with close correlation 300 4,00 4 All other currencies (including UCIs treated as separate currencies) 400 8,00 8,00 5 Gold 500 8,00 8,00 6 Other non-delta risks on currency options 600 8 "Scenario" approach for options 700 9 "Simplified" approach for options 800 Additional information: currency positions Euro EUR ,,, USD ,,, JPY ,,, GBP Off-balance sheet commitments CAPITAL REQUIREMENTS FOR THE RISK (%) CAPITAL REQUIREMENTS LONG SHORT ALL POSITIONS POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS (including redistribution of uncompensated positions in currencies subject to special treatment for compensated positions) NET POSITIONS Hedging positions for the ratio of own funds 22

Tableau 90.13 MARKET RISK: STANDARD APPROACH FOR COMMODITIES Commodity:
LONG SHORT
(1) (2) (5) (6) (7) (8)
Tableau 13 010 020 030 040 050 060 070
TOTAL COMMODITY POSITIONS 050
1 Maturity ladder approach 100
1.1 Maturity bucket ≤ 1 year 110
1.2 Maturity bucket > 1 year and ≤ 3 years 120
1.3 Maturity bucket > 3 years 130
1.a Long and short positions offset within each maturity bucket 140 1,50 1.b Positions offset between two maturity buckets 150 0,60 1.c Residual unoffset positions 160 15,00 3 Simplified approach: All positions 300 3.a Net positions 310 15,00 3.b Gross positions 320 3,00 6 Other non-delta risks for commodity options 600 8 "Scenario" approach for options 800 9 "Simplified" approach for options 900 POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS REQUIREMENTS IN LONG SHORT OWN FUNDS REQUIREMENTS IN CAPITAL FOR THE RISK (%) NET POSITIONS ALL POSITIONS 23

Tableau 90.14
Number of exceedances for the last 250 business days Multiplication factor (1) (2) (3) (4) (5)=Max [(1),(2)]+(3)+(4) (6) (7) Tableau 14 010 020 030 040 050 060 070 050 100 110 120 200 210 220 300 400 500 600 MARKET RISK: INTERNAL MODELS OWN FUNDS REQUIREMENTS MULTIPLICATION FACTOR x AVERAGE OF PREVIOUS 60 BUSINESS DAYS VaR SPECIFIC RISK SURCHARGE 3 Foreign exchange risk PREVIOUS DAY VaR
1.2 TCN - Specific risk
2 Equity securities
DEFAULT
RISK
SURCHARGE
Additional information:
5 Total general risk amount
4 Commodity risk
Additional information:
breakdown of market risk
1.1 TCN - General risk
6 Total specific risk amount
TOTAL POSITIONS
1 Negotiable debt securities
2.1 Equity securities - General
risk
2.2 Equity securities - Specific
risk
24

Tableau 90.15 MARKET RISK: INTERNAL MODELS - DETAILS BASIC INFORMATION REGULATORY VaR INTERNAL VaR INSTRUMENT CODE FOR THE REGULATORY MODEL CALCULATION CODE FOR SPECIFIC RISK EQUITIES CALCULATION CODE FOR SPECIFIC RISK DEBT SECURITIES CdR USED FOR CALCULATING THE NUMBER OF EXCEEDANCES CONFIDENCE INTERVAL OF INTERNAL VaR (a) HOLDING PERIOD OF INTERNAL VaR (b) (1) (2) (3) (4) (5) (6) Tableau 15 010 020 030 040 050 060 100 Ver (T=10) VaR (T=1) Hypothetical Actual (7) (8) (9) (10) (11) (12) (13) (14) (15) 070 080 090 100 110 120 130 140 150 201 1 202 2 203 3 204 4 205 5 206 6 207 7 208 8 209 9 210 10 ,,, … ,,, … 291 91 292 92 (a) To be completed if the calculation of internal VaR is based on a confidence interval other than 99% (b) To be completed if the calculation of internal VaR is based on a holding period other than 10 days (c) To be completed if the calculation of internal VaR differs from (8) or (9) Day INTERNAL VaR (c) INTERNAL VaR LIMIT SPECIFIC RISK SURCHARGE CdR ACTUALLY USED FOR POST-TESTING REGULATORY VaR CONFIDENCE LEVEL = 99% DEFAULT RISK SURCHARGE 25

Tableau 90.16 OPERATIONAL RISK
OPERATIONAL RESULT LOANS AND ADVANCES
(IN CASE OF ASA)
1 2 3 4 5 6 7 tableau 16 010 020 030 040 050 060 070

TOTAL BANKING ACTIVITIES
SUBJECTED TO BASIC
APPROACH (BIA)
100
TOTAL BANKING ACTIVITIES
SUBJECTED TO STANDARD
APPROACH (TSA) OR ALTERNATIVE
STANDARD APPROACH (ASA)
200
SUBJECTED TO TSA:
CORPORATE FINANCE 210
TRADING AND SALES 220
RETAIL BROKERAGE 230
COMMERCIAL BANKING 240
RETAIL BANKING 250
PAYMENTS AND SETTLEMENT 260
INTERMEDIATION SERVICES 270
ASSET MANAGEMENT 280
SUBJECTED TO ASA:
COMMERCIAL BANKING 290
RETAIL BANKING 295
TOTAL BANKING ACTIVITIES
SUBJECTED TO AMA (a) 300
(a) Information on the operational result of activities subjected to AMA calculations must be provided if the combined use of different methods is employed. BANKING ACTIVITIES YEAR-3 YEAR-2 LAST YEAR YEAR-3 YEAR-2 LAST YEAR OWN FUNDS REQUIREMENTS 26

Tableau 90.17 OPERATIONAL RISK: GROSS LOSSES BY ACTIVITY LINE AND EVENT TYPES DURING THE PAST YEAR INTERNAL FRAUD EXTERNAL FRAUD EMPLOYMENT PRACTICES AND WORKPLACE SAFETY CLIENTS, PRODUCTS AND BUSINESS PRACTICES PHYSICAL ASSET DAMAGE BUSINESS DISRUPTION AND SYSTEM FAILURES EXECUTION, DELIVERY AND PROCESS MANAGEMENT MINIMUM MAXIMUM 1 2 3 4 5 6 7 8 9 10 Tableau 17 010 020 030' 040 050 060 070 080 090 100 Number of events 100 Total loss amount 110 Maximum individual loss 120 Number of events 200 Total loss amount 210 Maximum individual loss 220 Number of events 300 Total loss amount 210 Maximum individual loss 320 Number of events 400 Total loss amount 410 Maximum individual loss 420 Number of events 500 Total loss amount 510 Maximum individual loss 520 Number of events 600 Total loss amount 610 Maximum individual loss 620 Number of events 700 Total loss amount 710 Maximum individual loss 720 Number of events 800 Total loss amount 810 Maximum individual loss 820 Number of events 821 ENTERPRISE ELEMENTS Total loss amount 822 Maximum individual loss 823 Number of events 900 Total loss amount 910 Maximum individual loss 920 TOTAL ACTIVITY LINE RETAIL BANKING PAYMENTS AND SETTLEMENT INTERMEDIATION SERVICES ASSET MANAGEMENT CORPORATE FINANCE TRADING AND SALES RETAIL BROKERAGE COMMERCIAL BANKING TOTAL EVENT TYPE EVENT TYPES LOSS BREAKDOWN BY ACTIVITY LINE SUPPLEMENTARY INDICATION: THRESHOLD APPLIED IN DATA COLLECTION 27

Tableau 90.18 COUNTERPARTY RISKS
Code
GgggSssX
Name Country of establishment
(ISO3166 code)
Risk Central
Identification Number
Derivation Interest-bearing credits and securities Non-interest-bearing securities : Derivative instruments Other off-balance sheet risks and settlement/counterparty risk Guaranteed part or for which provisions and write-downs have been made Indirect risks Total gross direct + indirect risks Unweighted client funds placed Weighted client funds placed Total risks % own funds Additional own funds requirement For the application of art. 32, § 5 of the law For the application of own funds regulation Outside trading book Total Including outside trading book Tableau 18 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 001 002 003 … Counterparty identification All risks, i.e. after weighting :
28

Own funds reporting
2010
CHAPTER III
COMMENTARY ON THE
SUPPLEMENTARY DESCRIPTION TABLES
29

Own funds reporting
2010
Tableau 90.01 – Capital adequacy a) General instructions

This table must be prepared by all establishments subject to the provisions of
the own funds regulation. b) Commentary on lines 1 and following
Line 010 : TOTAL OWN FUNDS MEETING SOLVENCY
REQUIREMENTS : Sum of 020 + 480 + 700+ 870 + 960; Sum of 850 + 860 + 870 + 960.
Line 020 : Own funds sensu stricto : Sum of 030 + 080 + 350 + 360 +
Line 030 : Eligible capital : Sum of 040 + 050 + 060 + 070.
Line 031 : Of which : instruments equivalent to ordinary shares : These are
instruments that are considered by national law as share capital, that are of the same rank as ordinary shares in liquidation and that absorb losses fully in the same way as these ordinary shares on a going concern basis. Both the nominal value of the paid-up capital and the share premium of these instruments must be stated. Instruments that are considered equivalent and that are issued by cooperatives or similar establishments are included in this line. Instruments such as referred to in line 032 are not included here.
Line 032 : Of which : instruments conferring preferential rights regarding dividend payments on a non-cumulative basis : These are instruments that confer preferential rights regarding dividend payments on a non-cumulative basis, provided they are covered by Article 22 of European Directive 86/635/EEC, that they are of the same rank as ordinary shares in liquidation and that they absorb losses fully in the same way as these ordinary shares on a going concern basis. Both the nominal value of the paid-up capital and the share premium of these instruments must be stated. Instruments that are considered equivalent and that are issued by cooperatives or similar establishments are included in this line. Instruments such as referred to in line 031 are not included here.
Line 040 : Paid-up capital : Cf. article II.1, § 1, a, i) : Item "Paid-up capital" of table 44 of scheme A IFRS. Called but unpaid capital is not taken into account in own funds. Revaluation gains included therein are deducted from capital. These revaluation gains are treated in lines 180 to 340. Preferred shares that must be included in lines 370, 380 or in "supplementary own funds" are also not included in this item.
For credit institutions that do not apply international accounting standards :
Sum of sub-item 00/281.9, after deduction :
x of unamortized revaluation gains transformed into capital (unless otherwise provided); x of called but not yet paid-up capital (item 00/143 partim).
Line 050 : (-) Treasury shares : Cf. article II.1, § 1, b), iv) : Item "Treasury shares" of table 44 of scheme A IFRS. The amount of treasury shares held is recorded negatively in the table.
For credit institutions that do not apply international accounting standards :
Item 00/180 of scheme A.
Line 060 : Share premium : Cf. article II.1, § 1, a), i) : Item "share premium" of table 44 of scheme A IFRS.
For credit institutions that do not apply international accounting standards :
Item 00/282 of scheme A.
Line 070 : Other eligible instruments for equity : Cf. article II.5, paragraph 1, 2° : items mentioned in table 44 of scheme A IFRS relating to lines "Equity component of composite financial instruments, other equity instruments" ; with the exception of amounts relating to instruments referred to in lines 370, 380, 590, 630, 640 and 900.
Items included in the line that are not eligible as elements of own funds sensu stricto (e.g. the value of options linked to bonds convertible into own shares) are deducted from own funds sensu stricto in line 470 in accordance with the provisions of article II.5, paragraph 1, 2°. Instruments referred to in table 1.3 of scheme A IFRS at the line "Other own funds : Others" are among those mentioned in this line.
Line 080 : Eligible reserves : Sum of 090 + 100 + 110 + 140 + 161 + 170 +

Own funds reporting
2010
11. Line 090 : Reserves : Cf. article II.1, § 1, 1), a), ii) : Sum of 091 + 092 : Item "Reserves, including undistributed results" of table 44 of scheme A IFRS.
For credit institutions that do not apply international accounting standards :
Sub-item 00/284.9 + item 00/285 (carried forward result) of scheme A.
12. Line 091 : Reserves (including valuation differences) : Corresponds to reserves, including revaluation reserves, and valuation differences.
13. Line 092 : Part of reserves to be transferred to valuation differences : Part of reserves that are subject to prudential filters.

Line 100 : Minority interests : Sum of 106 + 107 + 108 : Cf. article II.4,
§ 1 : Item "Minority interests" of table 44 of scheme A IFRS, deduction made :
x of third-party interests that are financing instruments referred to in
article II.4, § 1, 1°, c), and are included in lines 370 and 380 ;
x of the part of third-party interest relating to items mentioned in lines 190 to 340 (revaluations).
Line 101 : Of which : hybrid instruments that must be converted in emergency situations : Article II.4, combined with article II.1, § 1, 1°, c), iii), as long as these instruments satisfy the requirements provided in articles II.1,
§ 2, and II.1, § 3, a), b), c) and e).
Line 102 : Of which : hybrid instruments (with indefinite maturity, without redemption incentive) : Article II.4, combined with article II.1, § 1, 1°, c), ii), as long as these instruments satisfy the requirements provided in articles II.1,
§ 2, and II.1, § 3, a), b), c) and e).
Line 103 : Of which : hybrid instruments (with fixed maturity or with redemption incentive) : Article II.4, combined with article II.1, § 1, 1°, c), i), as long as these instruments satisfy the requirements provided in articles II.1,
§ 2, and II.1, § 3, a), b), c) and e).
Line 104 : Of which : "grandfathered" instruments subject to limit, without redemption incentive : These are instruments without a redemption incentive that are issued indirectly and are covered by the "grandfathering" clause referred to in article XV.2, § 1, as well as instruments that do not satisfy the requirements provided in articles II.1, § 2, and II.1, § 3, a), b), c) and
e), and are covered by the "grandfathering" clause referred to in article XV.2, § 2.
Line 105 : Of which : "grandfathered" instruments subject to limit, with redemption incentive : These are instruments with a redemption incentive that are issued indirectly and are covered by the "grandfathering" clause referred to in article XV.2, § 1, as well as instruments that do not satisfy the requirements provided in articles II.1, § 2, and II.1, § 3, a), b), c) and
e), and are covered by the "grandfathering" clause referred to in article XV.2, § 2.
Line 106 : Minority interests (including valuation differences) : Corresponds to minority interests appearing in table 1.3 of scheme A IFRS.
Line 107 : Part of minority interests to be transferred to valuation differences : Part of minority interests that are subject to prudential filters.
Line 108 : (-) Adjustment to minority interests : Part of minority interests that are not eligible for own funds sensu stricto.
Line 110 : Interim profits : Amount of line 120 plus line 130. These lines are only used if the establishment reports a profit.
Line 120 : Result (positive) of the financial year : Cf. article II.5, al. 1, 12° : Positive balance of the item "Result of the financial year" of table 44 of scheme A IFRS, when it has been verified by the external auditor, deduction made of interim dividends, proposed dividends and accrued expenses not yet booked. Proposed dividends are determined during the year based on the dividend distribution policy or, where applicable, proposals that have been defined by the management bodies and will be submitted to the general meeting of shareholders.
Line 130 : Part of the result (positive) of the financial year to be transferred to valuation differences : Cf. article II.5, paragraph 1, 5°, 6° and 7° : amounts that have been included in result (or in carried forward result and reserve) relating to revaluations referred to in lines 250, 290 and 310 must be excluded.
Line 140 : (-) Significant losses of the financial year : Min {(line 150 + line 160) ; 0}. These lines are only used if the establishment reports a loss.
Line 150 : Result of the financial year when it has not been submitted to auditors : Cf. article II.1, § 1, 1°, b) : Negative balance of "Result of the financial year" of table 45 of consolidated scheme A.
For credit institutions that do not apply international accounting standards :
Sub-item 00/286 (loss of the financial year).
Line 160 : Part of the result of the financial year to be transferred to valuation differences : Cf. article II.5, al 1, 5°, 6° and 7° : amounts that have been included in result (or in carried forward result and reserve) relating to revaluations referred to in lines 250, 290 and 310 must be excluded.
Line 161 : Interim profits or significant losses of the financial year : Sum of 162 and 163.
Line 162 : (-) Result (negative) of the financial year : Negative balance of the item "Result of the financial year" of table 44 of scheme A IFRS, when it has been verified by the external auditor.
Line 163 : Part of the result (positive) of the financial year to be transferred to valuation differences : Cf. article II.5, paragraph 1, 5°, 6° and 7° : amounts that have been included in result (or in carried forward result and reserve) relating to revaluations referred to in lines 250, 290 and 310 must be excluded ; when it has not been verified by the external auditor.
Line 170 : (-) Net gains resulting from the capitalization of future income from securitization margins : Cf. article II.1, § 1, 1°, b), vi) : In the case of an establishment initiating securitization transactions, net gains that result from the capitalization of future income from securitized assets and that constitute credit enhancement for securitization positions.
Line 180 : Eligible reserves and valuation differences for own funds sensu stricto : Sum of lines 190 to 340. Lines 190 to 340 also include the relevant amounts that are accounted for in third-party interests and the adjustment provided by article II.5, al. 1, 10 ° for these elements.
Line 190 : Revaluation reserves for equity instruments held for sale (HFAS) : Revaluation reserve on shares held for sale. The amount is recorded positively if positive and negatively if negative.
Line 200 : Adjustment to the revaluation reserve for HFAS equity instruments : Cf. article II.5, al 1, 4° : if the amount in line 190 is negative, the amount in line 200 is zero. If the amount in line 190 is positive, the amount in line 200 is equivalent to that of the previous line but is recorded negatively.
When they are positive, the revaluation reserves included in the previous line are deducted at 100%. and are transferred to line 520 up to 90% of their value.
Line 210 : Revaluation reserves on HFAS loans and advances : Revaluation reserve on loans and advances held for sale from table 44 of scheme A IFRS.
Line 220 : Adjustment to revaluation reserves on HFAS loans and advances : Cf. article II.5, paragraph 1, 4° : record the amount of line 210 with the opposite sign. Revaluation reserves on credits held for sale are neutralized.
Line 230 : Revaluation reserves on HFAS borrowing instruments :
Revaluation reserves on assets held for sale other than credits and shares.
Line 240: Adjustment to revaluation reserves on HFAS borrowing instruments : Cf. article II.5, al 1, 4° : record the amount of line 230 with the opposite sign. Revaluation reserves on interest-bearing securities held for sale are neutralized.
Line 250 : Valuation differences in liability measured at fair value (own credit risk) : Amount of revaluation of debts measured at fair value related to the change in the establishment's own credit risk.
Line 260 : Adjustment to valuation differences in fair value liability (own credit risk) : Cf. article II.5, al 1, 5° : record the amount of line 250 with the opposite sign. Revaluations of debts related to the modification of the establishment's own risk are neutralized.
Line 270 : Revaluation reserves for cash flow hedging instruments : Revaluation reserve relating to cash flow hedging operations from table 44 of scheme A IFRS.
Line 280 : Adjustment to valuation differences for cash flow hedging instruments : Article II.5, paragraph 1, 3° : record the amount of line 270 with the opposite sign. Revaluations of cash flow hedging operations are neutralized.
Line 290 : Valuation differences in investment property : Amount of positive revaluations of investment property included in result (or in reserve and carried forward result). Amounts are determined asset by asset and only positive revaluations are included in line 290.
Line 300 : Adjustment to valuation differences in investment property : Cf. article II.5, paragraph 1, 6° : the amount in line 300 is equivalent to that of the previous line but is recorded negatively. Amounts are determined asset by asset. Negative amounts remain included in own funds sensu stricto. The amount included in this line is stated with a negative sign and is included with a positive sign up to 90% of its value in line 530.
Line 310 : Revaluation reserves for tangible fixed assets : Amount of the revaluation reserve on "tangible assets" of table 45 of scheme A IFRS.
Line 320 : Adjustment to revaluation reserves for tangible fixed assets : Cf. article II.5, paragraph 1, 7° : the amount mentioned in the previous line is included in this line with a negative sign. This amount is transferred, up to 90% of its value and with a positive sign, to line 540.
Line 330 : Other valuation differences affecting eligible reserves : Other revaluation reserves from table 45 of scheme A IFRS are included in this line, notably revaluation reserves for intangible assets, non-current assets or groups held for sale, resale, foreign currency translation differences and equity method differences.
Line 340 : Adjustment to other valuation differences affecting eligible reserves : Other adjustments provided by article II.5, paragraph 1, 10° and 11°. Revaluation reserves on assets held for sale, if positive, are deducted in this line and included in line 550 up to 90%.
Line 350 : General banking risk fund : General banking risk fund referred to in article II.1, § 1, a), iii) and sub-item 00/254.1. of scheme A on a social basis.
Line 360 : Other country-specific own funds sensu stricto : Sum of 381 + 390 + 400.
Line 381 : Hybrid instruments : Sum of 382 + 383 + 384 + 385 + 386 : Here are mentioned not only directly issued hybrid instruments, but also indirectly issued instruments that do not give rise to minority interests.
36

Reporting Own Funds
2010

Line 382: Hybrid instruments that must be converted in emergency situations: Article II.4, combined with Article II.1, § 1, 1°, c), iii), as long as these instruments meet the requirements set out in Articles II.1, § 2, and II.1, § 3, a), b), c) and e).
Line 383: Hybrid instruments (with indefinite maturity, no repayment incentive): Article II.4, combined with Article II.1, § 1, 1°, c), ii), as long as these instruments meet the requirements set out in Articles II.1, § 2, and II.1, § 3, a), b), c) and e).
Line 384: Hybrid instruments (with fixed maturity or with repayment incentive): Article II.4, combined with Article II.1, § 1, 1°, c), i), as long as these instruments meet the requirements set out in Articles II.1, § 2, and II.1, § 3, a), b), c) and e).
Line 385: "Grandfathered" hybrid instruments subject to limits, without repayment incentive: These are instruments without a repayment incentive that are issued directly and are covered by the "grandfathering" clause referred to in Article XV.2, § 1, as well as instruments that do not meet the requirements set out in Articles II.1, § 2, and II.1, § 3, a), b), c) and e), and are covered by the "grandfathering" clause referred to in Article XV.2, § 2.
Line 386: "Grandfathered" hybrid instruments subject to limits, with repayment incentive: These are instruments with a repayment incentive that are issued directly and are covered by the "grandfathering" clause referred to in Article XV.2, § 1, as well as instruments that do not meet the requirements set out in Articles II.1, § 2, and II.1, § 3, a), b), c) and e), and are covered by the "grandfathering" clause referred to in Article XV.2, § 2.
Line 390: Positive filter for first application of IFRS-type accounting rules: Upon first application of IFRS standards, comment h. of Article II.5 provides for the possibility, subject to prior approval by the CBFA, to smooth the impact on own funds. This line can therefore only be used based on a decision by the CBFA.
Line 400: Others: Other items.
Line 410: (-) Other deductions of strict own funds: Sum of 420 + 441 + 450.

Reporting Own Funds
2010

Line 420: (-) Intangible assets: Cf. Article II.1, § 1, b), iii): Item (closing balance) "internally developed software, acquired software, other internally developed intangible assets, other intangible assets" from table 13 schema A IFRS. Item (closing balance) "goodwill" from table 13 of schema A IFRS.

Items 00/173 and 00/174 of schema A on a standalone basis.

Line 441: (-) Excess over limits for hybrid instruments: Sum of 442 + 443 + 444 + 445.
Line 442: (-) Hybrid instruments that must be converted in emergency situations: Article II.1, § 1, 1°, c), iii). These are instruments other than those subject to the limit provided for instruments covered by the "grandfathering" clause.
Line 443: (-) Hybrid instruments (with indefinite maturity, no repayment incentive): Article II.1, § 1, 1°, c), ii). Instruments that must be converted in emergency situations are not included here.
Line 444: (-) Hybrid instruments (with fixed maturity or with repayment incentive): Article II.1, § 1, 1°, c), i).
Line 445: (-) Excess over limits for "grandfathered" instruments: Article XV.2, §§1 and 2, for instruments as referred to in lines 104, 105, 385 and 386.
Line 450: (-) Other deductions of strict own funds, specific to the country: Sum of 460 and 470.
Line 460: (-) Negative filter for first application of IFRS-type accounting rules: Upon first application of IFRS standards, comment h. of Article II.5 provides for the possibility, subject to prior approval by the CBFA, to smooth the impact on own funds. This line can therefore only be used based on a decision by the CBFA.
Line 470: (-) Others: Other corrections to be made to own funds in application of the articles:

x II.1, § 1, b), v) and vii); x II.4. (for third-party interests); x II.5, paragraph 1, 1°, 2°, 8° and 9° (if the corrections have not been made in other lines).

Reporting Own Funds
2010

Line 480: SUPPLEMENTARY OWN FUNDS: Sum of 490 + 620 + 670.
Line 490: Core of supplementary own funds: Sum of 500 + 510 + 560 + 570 + 580 + 590 + 600 + 610.
Line 500: Excess over limits for strict own funds transferred to the core of supplementary own funds: Cf. Article II.1, § 1, c): Amount excluded from strict own funds (cf. line 441) relating to instruments covered by Article II.1, § 1, c), due to the saturation of regulatory limits.
Line 510: Adjustments to reserves and valuation differences in strict own funds transferred to the core of supplementary own funds: Sum of 520 to 550.
Line 520: Adjustment to revaluation reserves on DALV equity instruments transferred to the core of supplementary own funds: Cf. Article II.5, paragraph 1, 4°: 90% of the amount included in line 200 (DALV shares).
Line 530: Adjustment to valuation differences in investment property transferred to the core of supplementary own funds: Cf. Article II.5, paragraph 1, 6°: 90% of the amount included in line 300.
Line 540: Adjustment to valuation differences in tangible fixed assets transferred to the core of supplementary own funds: Cf. Article II.5, paragraph 1, 7°: 90% of the amount included in line 320.
Line 550: Other adjustments to valuation differences affecting eligible reserves transferred to the core of supplementary own funds: Cf. line 340: the adjustments included in line 340 relating to revaluation reserves of non-current assets or groups intended for sale can be included in this line up to 90% of the amount included in line 340.
Line 560: Revaluation reserves: Cf. Article II.1, § 1, 2°, a): revaluation gains on a standalone basis accounted for in application of Belgian accounting provisions (only on a standalone basis). Cf. item 00/283 of schema A on a standalone basis + unamortized revaluation gains that have been converted into capital (see also the comment on line 040).
Line 570: Impairment allowances for credit risk positions in the standard approach: Cf. Article II.1, § 1, 2°, b): internal safety net for institutions applying the standardized approach for credit risk (only on a standalone basis). Cf. sub-item 00/254.2 of schema A on a standalone basis.
Line 580: Other items.
Line 590: Indefinite duration securities and other instruments: Cf. Article II.1, § 1, 2°, c): instruments with indefinite duration referred to in Article II.1, § 1, 2°, c).
Line 600: NI provision excess: Cf. Article II.1, § 1, 2°, e): excess of impairment allowances and provisions relative to expected losses for institutions using the "internal ratings" approach for the calculation of credit risk requirements (up to 0.6% of the amount of risk-weighted assets).
Line 610: Core of supplementary own funds, specific to the country: Other items of the core of supplementary own funds.
Line 620: Supplementary own funds supplement: Sum of 630 + 640 + 650 + 660.
Line 630: Cumulative preference shares with fixed maturity: Cf. Article II.1, § 1, 2°, d): cumulative preference shares with a predetermined duration provided they meet the conditions of the aforementioned article.
Line 640: Subordinated loans: Cf. Article II.1, § 1, 2°, d): subordinated instruments meeting the conditions of the aforementioned article. The amount mentioned is that calculated after application of the gradual reduction of the assimilable part in application of paragraph 2 of the aforementioned article.
Line 650: Supplementary own funds supplement, specific to the country: other items of supplementary own funds.
Line 660: (-) Excess over limits for supplementary own funds supplement: Cf. Article II.1, § 1, 2°, d): when the amount included in line 620 exceeds the 50% limit referred to in the aforementioned article, the excess is included as a negative amount in this line. It can be carried forward to line 880.
Line 670: (-) Deductions of supplementary own funds: Sum of 680 and 690.
Line 680: (-) Excess over limits for supplementary own funds: Cf. Article II.1, § 1, 2°, al. 2): when the sum of the amounts included in lines 490

Reporting Own Funds
2010

and 620 exceeds the 50% limit referred to in the aforementioned article, the excess is included as a negative amount in this line. It can be carried forward to line 880.

Line 690: (-) Other deductions of supplementary own funds, specific to the country: Other items.
Line 700: (-) DEDUCTIONS OF STRICT AND SUPPLEMENTARY OWN FUNDS: Sum of 710 and 720.
Line 710: Of which: (-) of strict own funds: Amount of deductions to be applied to strict own funds, defined in line 020, i.e., 50% of the items referred to in lines 730 to 840 except 790.
Line 720: Of which: (-) of supplementary own funds: Amount of deductions to be applied to supplementary own funds, referred to in line 480, i.e., 50% of the items referred to in lines 730 to 840 except 790. If the amount to be deducted is greater than supplementary own funds, the excess is carried forward additionally in line 710.
Line 730: (-) Participations in other credit institutions and financial institutions greater than 10% of their capital: Cf. Article II.1, § 5, paragraph 1, 1°. The part still to be paid up must also be mentioned in this line.
Line 740: (-) Subordinated claims and other items in other credit institutions and financial institutions in which participations exceed 10% of their capital: Cf. Article II.1, § 5, paragraph 1, 3° and 4°.
Line 750: (-) Excess of shares, parts and subordinated loans issued by financial holding companies, credit institutions and financial institutions not related relative to the 10% limit of own funds: Cf. Article II.1, § 5, paragraph 1, 5°.
Line 760: (-) Holdings held in insurance companies, reinsurance companies and insurance holding companies: Cf. Article II.1, § 5, paragraph 1, 2° and 5° bis. The part still to be paid up must also be mentioned in this line.
Line 770: (-) Other instruments held in insurance companies, reinsurance companies and insurance holding companies in which a participation is held: Cf. Article II.1, § 5, paragraph 1, 4bis°.

Reporting Own Funds
2010

Line 780: (-) Deductions of strict and supplementary own funds, specific to the country: Cf. Article II.1, § 5, paragraph 1, 6° and 7°.
Line 790: Supplementary indication: Relevant own funds for large exposure limits when there is no recourse to supplementary own funds to cover market risks and for limits on qualifying holdings: Sum of 020 + (480 – 600) + 730 + 740 + 750 + 760+ 770 +780 + 820 + 960.
Line 800: (-) Certain securitization risks not included in risk-weighted assets: Normally, this line is zero, given that securitization transactions are all included in the risk-weighted volume, if applicable on the basis of a 1250% weighting in application of Title VII of the own funds regulation.
Line 810: (-) NI provision deficit and amount of expected losses on equity securities: Cf. sum of the amounts referred to in Article II.1, § 1, 1°, b), viii), and II.1, § 1, 2°, paragraph 1, f).
Line 820: (-) Qualifying participation in non-financial institutions: Cf. Article II.1, § 5, paragraph 1, 8°.
Line 830: (-) Unsettled incomplete transactions from the 5th business day following the date of the second settlement or the second leg of delivery until the extinction of the transaction: Cf. Article IX.3: amount to be deducted resulting from incomplete transactions (from the 5th business day after the settlement date).
Line 840: (-) Other deductions, specific to the country, of strict and supplementary own funds.
Line 850: TOTAL STRICT OWN FUNDS MEETING GENERAL SOLVENCY REQUIREMENTS: Sum of 020 + 710.
Line 860: TOTAL SUPPLEMENTARY OWN FUNDS MEETING GENERAL SOLVENCY REQUIREMENTS: Sum of 480 +720.
Line 870: TOTAL SUPPLEMENTARY OWN FUNDS SPECIFICALLY PROVIDED TO COVER MARKET RISKS: Sum of 880 + 890 + 900 + 920 + 940 + 950.
Line 880: Excess over limits for supplementary own funds transferred to supplementary own funds specifically provided to cover

Reporting Own Funds
2010

market risks: Cf. Article II.3, § 4: amounts mentioned in lines 660 and 680 that cannot be included in supplementary own funds due to the saturation of regulatory limits.

Line 890: Net profits of the trading portfolio: Cf. Article II.3, § 1, al. 4, 2°: the trading portfolio profit can be included in the limits and subject to compliance with the conditions referred to in Article II.3, and provided that the institution has not included the interim profit in strict own funds.
Line 900: Short-term subordinated loans: Cf. Article II.3, § 1, al. 4, 3°: instruments meeting the conditions of Article II.3, § 1, al. 4, 3°.
Line 920: (-) Excess over the limit for own funds specifically provided to cover market risks: Cf. Article II.3, § 3: amount of subordinated debts referred to in line 900 exceeding the limits referred to in Article II.3, § 3.
Line 930: Supplementary indication: Total of relevant own funds for large exposure limits when there is recourse to additional capital to cover market risks: Sum of 790 + 830 + 880 + 890 + 900 + 920.
Line 940: (-) Deductions, specific to the country, of own funds specifically provided to cover market risks: None.
Line 950: (-) Unused but eligible own funds specifically provided to cover market risks: Corresponds to the following amount: - Max[880 +890 +900 +920 +940 -2350 ; 0].
Line 960: (-) DEDUCTIONS OF TOTAL OWN FUNDS: Sum of 970+980.
Line 970: (-) Deductions, specific to the country, of total own funds.
Line 980: (-) Participations in insurance companies: Cf. Article II.7: until December 31, 2012, the amounts referred to in lines 760 and 770 can be deducted from total own funds.
Line 990: Excess (+) / deficit (-) in NI provision: Sum of 1000 + 1040.
Line 1010: Amount of NI provisions: Of which: General provision / Impairment allowances for financial assets estimated on a collective basis:

Reporting Own Funds
2010

Amount of impairment allowances and provisions taken into account for the calculation referred to in Article VI.47. Only non-individualized impairment allowances and provisions are mentioned in this line.

Line 1020: Amount of NI provisions: Of which: Specific provision / Impairment allowances for financial assets estimated on an individual basis:

Amount of impairment allowances and provisions taken into account for the calculation referred to in Article VI.47. Only individualized impairment allowances and provisions are mentioned in this line.

Line 1030: Amount of NI provisions: Of which: Other impairment allowances and provisions, specific to the country, which are included in the calculation of the excess (+) / deficit (-) in NI provision: Amount of impairment allowances and provisions taken into account for the calculation referred to in Article VI.47. Only impairment allowances and provisions that cannot be attributed to the previous lines are mentioned in this line.
Line 1040: (-) NI measure of expected losses: Amount of expected losses as defined in Articles VI.41 to VI.43.
Line 1050: Gross amount of subordinated loans: Amount of instruments referred to in line 640. In the underlying lines, this amount is broken down according to the percentage applied based on the period remaining until the repayment date.
Line 1110: Minimum initial capital required: Minimum own funds required under legal provisions:

x For credit institutions, in accordance with Articles 23 and 152bis, § 2, of the Law of March 22, 1993 on the status and supervision of credit institutions.

x For investment firms, in accordance with Articles 58 and 66 of the Law of April 6, 1995 on the status of investment firms and their supervision, on intermediaries and investment advisors. For firms benefiting from the transitional regime referred to in Article 66, § 2, of the Law of April 6, 1995, the reference capital must be mentioned.

x For liquidation bodies and bodies assimilated to liquidation bodies, in accordance with Article 13 of the Royal Decree of September 26, 2005 on the status of liquidation bodies and bodies assimilated to liquidation bodies.

Reporting Own Funds
2010

c) Comment on lines 2000 and following

Line 2000 mentions the total own funds requirement of the institution. This is the sum of the requirements listed in lines 2020, 2340, 2350, 2420 and 2530. Institutions subject to Article III.3 include the amount mentioned in line 2010.
For institutions referred to in Article III.3, line 2010 is applicable. These are the highest own funds requirements according to the sum of lines 2020, 2340, 2350, 2530 on the one hand and line 2460 on the other.
The total own funds requirements for credit risk, counterparty risk, dilution risk and unsettled transactions are recorded in line 2020. This is the sum of the requirements mentioned in lines 2030 and 2210. Line 2030 mentions the sum of own funds requirements according to the standard approach, and line 2210 the sum of own funds requirements according to an "internal ratings" approach.
Although a separate table 90.03 only needs to be completed for some of the exposure categories mentioned in lines 2050 to 2190, the own funds requirements must be mentioned separately here for each of the counterparty categories defined in Article V.16. Institutions that use an "internal ratings" approach but apply the standard approach for certain parts of the portfolio, mention the own funds requirements calculated for these determined sub-portfolios in lines 2050 to 2190.
The sum of the own funds requirements mentioned above is declared in line 2040 These own funds requirements are equal to the own funds requirements mentioned for the total portfolio in table 90.03 (cell: column 210 – line 100).
The own funds requirements for securitization positions in line 2200 are equal to the sum of the own funds requirements calculated in table 90.06 for traditional and synthetic securitization transactions.
Institutions that calculate their own funds requirements using an "internal ratings" approach, but do not use their own estimates of loss given default and conversion factors in this regard, always declare the own funds requirements separately for the exposure categories "Central governments and central banks", "Institutions" and "Enterprises" in lines 2230, 2240 and 2250

Reporting Own Funds
2010

respectively. The own funds requirements for the entire "Retail" portfolio are declared in line 2300.

Institutions that calculate their own funds requirements applying an "internal ratings" approach and use their own estimates of loss given default (LGD's) and conversion factors in this regard, declare the own funds requirements in lines 2270 to 2300 according to the exposure categories provided for therein.
Regarding the exposure categories to be declared for table 90.04, the own funds requirements of line 2230 are equal to those of table 90.04 for the exposure category "Central governments and central banks" (cell: column 100 – line 100). The own funds requirements at line 2240 are equal to the sum of the own funds requirements of table 90.04 for the exposure categories "Regional or local authorities" (within the Institutions portfolio) and "Institutions" (cell: column 24 – line "Total exposures"). The own funds requirements at line 2250 are equal to the sum of the own funds requirements of table 90.04 for the exposure categories "Enterprises" and "Enterprises defined in Article VI.10 (within the Enterprises portfolio)" (cell: column 100 – line 100). This same composition applies to lines 2270 to 2290. The own funds requirements at line 2300 are equal to the sum of the own funds requirements at table 90.04 for the exposure categories "exposures to retail customers secured by real estate", "Eligible revolving exposures to retail customers" and "Other exposures to retail customers" (cell: column 100 - line 100).
The total own funds requirements calculated in table 90.05 for equity exposures in "internal ratings" approaches are declared in line 2310, regardless of the approach chosen (probability of default/loss given default, simple risk weighting approach or internal models).
The own funds requirements for securitization positions in line 2320 are equal to the sum of the own funds requirements calculated in table 90.07 for traditional and synthetic securitization transactions.
The own funds requirements to be declared in line 2330 concerning transactions referred to in Article VI.2, § 1, g) (taking into account Article VI.2, § 9, and Article VI.39, § 3) are determined in accordance with Article VI.27. Physically held gold and precious metals on which requirements resulting from exchange rate and commodity risks bear are declared in tables 90.12 and 90.13 (if applicable via tables 90.14 and 90.15).

Reporting Own Funds
2010

The total capital requirements relating to unsettled transactions referred to in Article IX.1.d of the Regulation as declared in Table 90.09 is declared on line 2340.
Regarding capital requirements for position risk, foreign exchange risk, and commodity risk, a distinction is made between capital requirements calculated according to the standard approach and according to an internal model. The total of these calculated capital requirements is declared on line 2350.
Capital requirements calculated according to the standard approach are declared on lines 2370 to 2400. These correspond respectively to capital requirements for debt securities (as in Table 90.10), equity securities (as in Table 90.11), currencies including gold (as in Table 90.12), and commodities (as in Table 90.13).
Line 2410 shows the total capital requirements, calculated using an internal model as in Table 90.14.
The total capital requirements calculated for operational risk is declared on line 2420.
Line 2430 includes the capital requirements for operational risk calculated according to the Basic Indicator Approach, as detailed in Table 90.16.
Line 2440 includes the capital requirements for operational risk calculated according to the Standard Approach or the Alternative Standardized Approach, as detailed in Table 90.16. If an institution is authorized to use the "Trading and Book" derogation regime, these capital requirements are also declared on this line.
Line 2450 includes the capital requirements for operational risk calculated according to the Advanced Measurement Approach, as detailed in Table 90.16.
On line 2460, investment firms declare ¼ of the previous year's overheads in accordance with Article III.2. This corresponds to ¼ of the sum of the amounts declared on lines 2470 to 2520.
Line 2540 includes the capital requirement as referred to in Article II.2 for the items referred to therein. It will also include capital requirements as referred to in Article III.5. Line 2530 includes the same amounts.

d) Commentary on lines 3000 and following

Line 3010 shows the surplus or deficit of own funds declared in accordance with Article III.1, § 1, 3°. This amount is equal to the difference between lines 010 and 2000.
Line 3020 shows the solvency ratio. This is calculated by dividing line 010 by line 2000 and then multiplying the resulting quotient by 8%.
Line 3030 shows the difference between the own funds (sum of 850, 860, and 960) of the institution and the capital requirements based on the institution's fixed assets in accordance with Article III.1, § 1, 1° of the Regulation (sum of lines 3040 and 3050).
On line 3040, the institution declares financial fixed assets, with the exception of those deducted for the calculation of own funds.
On line 3050, the institution declares tangible fixed assets.
On line 3060, the institution mentions the difference between the own funds (sum of 850, 860, and 960) of the institution and the sum of the requirements declared on lines 3080 to 3120.
On line 3070, the institution declares the total third-party funds as taken into account for Article III.1, § 1, 2°. These are third-party funds reduced by the reconstitution fund and mathematical reserves related to life insurance and capitalization contracts attached to mortgage loans.
On lines 3080 to 3120, a percentage is applied per tranche:
x On line 3080: first tranche: €25,000,000 of third-party funds: at 6%; x On line 3090: second tranche: > €25,000,000 to €125,000,000 of third-party funds: at 4%; x On line 3100: third tranche: > €125,000,000 to €250,000,000 of third-party funds: at 3%; x On line 3110: fourth tranche: > €250,000,000 to €1,250,000,000 of third-party funds: at 2.5%; x On line 3120: fifth tranche: > €1,250,000,000 of third-party funds: at 2%;
Line 3130 shows the surplus or deficit for institutions referred to in Article I.1, 2° and 3°, for the requirements provided for in Article III.2, § 1. This is the difference between line 010 and line 2460.
On line 3140, the institution mentions the difference between lines 3150 and 3160.
Line 3150 shows the own funds, as defined in accordance with Article XV.1, § 6, of the institution as of the reporting date.
Line 3160 shows the minimum own funds, calculated according to Article XV.1, §§ 3 to 5, in accordance with the provisions mentioned therein.
Line 3170 shows the difference between line 010 and the amount of line 1110.
Lines 3190 to 3230 of Table 90.01 concern specific capital requirements for electronic money institutions as referred to in Articles III.11 and III.12.
Line 3190 shows the difference between twenty times line 010 and the amount of line 3200.
On line 3200, the institution declares its items as referred to in Article III.13, § 2, 2° and 3°.
On line 3210, the institution declares the difference between line 010 and 2% of the highest amount of lines 3220 and 3230. In these lines, the institution declares respectively the current amount and the average amount over the last six months of its total financial obligations related to the electronic money outstanding.

Table 90.02 - Details on solvency at group level

a) General Instructions

By way of derogation from the general directives, this table is established only by the highest consolidating institution to which the provisions of the own funds Regulation apply, and concerns the requirements covered by the Regulation and by equivalent local regulations.
By way of derogation from the general directives, the table is established only on a consolidated basis.
For each regulated subsidiary and sub-group of regulated subsidiaries within the consolidation perimeter of the parent institution, this table includes the capital requirements for each category of risk, the regulatory own funds, and the resulting surplus or deficit of own funds for the subsidiary or sub-group concerned.
For proportionally consolidated entities, the capital requirements and own funds reflect the share of participation.

b) Commentary on columns

Column 010 includes the name of the consolidated subsidiary or consolidated sub-group.
Column 020 identifies entities using the code "YXxx", where:
"Y" = S if it is a subsidiary;
C if it is a sub-group;
"Xxx" is the numerical identification code of the subsidiary or sub-group concerned.
Columns 030 to 070 include the capital requirements calculated for each declared entity. This calculation is performed in accordance with the provisions of the own funds Regulation applicable at the local level, unless the Commission has determined other modalities in this regard. Column 030 concerns capital requirements defined under Title V, Title VI, and Title IX, Chapter 1, with the exception of Article IX.1. Column 040 concerns capital requirements defined in Article IX.1. Column 050 includes capital requirements as referred to in Title IX, with the exception of Chapter 1. Column 060 includes capital requirements calculated in accordance with Title VIII. Additional and/or provisional capital requirements applicable to the entities concerned are declared in column 070.
The total capital requirements is declared in column 080.
Columns 090 and 100 show, for regulated entities, respectively the total useful own funds and own funds sensu stricto (Tier 1).
Column 110 shows for regulated entities the surplus or deficit of own funds, i.e., the difference between column 090 and column 080.
For regulated entities, taking into account the control and evaluation procedures of the competent supervisory authority (Pillar II), column 120 shows the surplus or deficit of own funds.

Table 90.03 – Credit risk, counterparty risk, and incomplete transactions: Standard approach for capital requirements

a) General Instructions

This table must be established by all institutions subject to the credit risk provisions of the own funds Regulation, and concerns the requirements referred to in Title V of this Regulation.
The institution to which the possibility provided for in Article I.9 applies declares here the possible exposures of its trading portfolio when the capital requirements for the exposures of its trading portfolio are calculated according to Title V, in accordance with the provisions of the Regulation. Institutions to which the possibility provided for in Article I.9 does not apply do not mention in this table the exposures that are part of their trading portfolio, in particular:
o Asset items that constitute securities and other negotiable instruments and are included in the trading portfolio; o Forward purchases of securities and other negotiable instruments within the framework of the trading portfolio: ongoing spot purchases and firm forward purchases; o Amounts remaining to be paid on securities and other negotiable instruments acquired within the framework of the trading portfolio; o Claims resulting from the mobilization of securities and other negotiable instruments insofar as these are included in the trading portfolio. Counterparty risks related to these transactions are, however, to be included in this table; o Commitments relating to put options issued on securities and negotiable instruments within the framework of the trading portfolio. These items are included in Tables 90.10, 90.11, or 90.14 depending on the type of security and the calculation method used.
Counterparty risks related to trading portfolio transactions as referred to in Articles IX.4 to IX.11 are declared in this table according to the institution's credit risk calculation method.
The institution using the standard approach for calculating capital requirements for credit risk declares capital requirements for incomplete transactions (as calculated in accordance with Article IX.3, namely from the first contractual settlement/first delivery leg up to four days after the second contractual settlement/second delivery leg) in Table 90.03 under the respective exposure categories, whether they relate to the trading portfolio or not. Cross-border transactions are only included if at least one day has elapsed since the institution proceeded with settlement or since it delivered the securities or negotiable instruments.
The table separately shows the total of exposures subject to the requirements referred to in Title V of the Regulation. A table is also established that includes these transactions by exposure category as indicated below:
x Institutions (Article V.15, § 1, f) x Companies (Article V.15, § 1, g) For the technical reporting modalities, refer to the taxonomy:
"T": Total exposures
"1": Exposures on institutions
"2": Exposures on companies
The institution must, however, keep available to the CBFA the tables including exposures for other categories as defined in Article V.15, § 1.
The institution that uses for the calculation of its capital requirements for credit risk an "Internal Ratings-Based" approach referred to in Title VI, but for which certain portfolios are still subject to the requirements referred to in Title V of the Regulation, declares using Table 90.03 the capital requirements for said portfolios (Article IV.8). To the extent that capital requirements for credit risk of exposures are calculated according to the standard approach, the institution establishes, in addition to the table including the total of these exposures, a table indicating these exposures classified by the following exposure categories:
x Institutions (Article V.15, § 1, f) x Companies (Article V.15, § 1, g) For the technical reporting modalities, refer to the taxonomy:
"T": Total exposures
"1": Exposures on institutions
"2": Exposures on companies
The institution must, however, keep available to the CBFA the tables including exposures for other categories as defined in Article V.15, § 1.
The institution declares exposures based on the initial exposure category. In the case of an eligible form of unsecured credit protection (or credit protection to be treated as such) received from a counterparty in another category, the change in counterparty type will be appropriately reflected in the reporting table (cf. infra the description of columns 080 and 090). Obligations arising from put options issued on securities and other negotiable instruments are included depending on the element on which the obligation falls upon the exercise of the option.
For partially secured assets and commitments, the lower weighting factor, as well as – when relevant – the modification of the exposure category, are applied only to the secured portion.
Asset regularization accounts are allocated either based on the counterparty in this table, or based on the flat-rate approach in accordance with Article V.16, § 14, in the "other items" category.
Gold and precious metals held physically and on which requirements resulting from foreign exchange and commodity risks are declared in Tables 90.12 and 90.13 (where applicable via Tables 90.14 and 90.15) and are not included in the "other items" category.

b) Commentary on columns

In accordance with the following provisions, the value of exposures as defined in Article V.2 is indicated in column 010. Exposures are declared without taking into account conversion factors (cf. Article V.4), recognized impairments and provisions, or risk mitigation techniques, with the exception of master netting agreements. For derivative instruments, the initial value corresponds to the value of exposures as defined in Article V.5. When the value of repo transactions, securities or commodities lending and borrowing, deferred settlement transactions, and margin call lending operations is not defined according to Article V.9, the value is defined according to Section IV of Chapter 5 of Title V. In the case of master netting agreements covering repo and/or securities or commodities lending and borrowing and/or other operations adjusted to market conditions, the effect of these master netting agreements under Title V, Chapter 5, will already be declared in column 010. Regarding the risk-exposed value of leases, refer to Article V.2, § 2, third paragraph.
Column 020 shows recognized impairments and provisions constituted for transactions. The column title being accompanied by a negative sign, recognized impairments and provisions declared here will be preceded by a negative sign.
The amount in column 030 is the sum of the amounts in columns 010 and 020.
Unsecured credit protection – with the exception of credit derivatives – from recognized guarantors (Article V.25) which the institution takes into account to reduce the credit risk of exposures is declared in column 040. The value to be declared is the nominal amount of the credit protection corrected for any potential currency difference and any potential maturity difference as defined in Article V.75.
The nominal value of eligible Credit Default Swaps (CDS) and Total Return Swaps (TRS) (cf. Article V.26) which are taken into account by the institution to reduce the credit risk of exposures, corrected by any potential currency difference and any potential maturity difference as defined in Article V.75, is declared in column 050. When internal hedging in the form of a credit derivative meets the conditions defined in Article V.27, the value of the credit derivative is declared here.
When an institution uses the simple method for the treatment of credit protection, column 060 shows the value (Article V.55) of financial collateral which are taken into account according to this simple method in the calculation of capital requirements. The value of credit-linked notes and on-balance sheet netting, which must be treated as cash collateral (right of pledge enforceable on deposits collected by the institution) as provided for in Articles V.40 and V.41, is declared in this column. The effect on the weighting will be declared in the lines in accordance with Article V.57, § 3. The effect of master netting agreements (Article V.22) is already included in the value mentioned in column 010 and will therefore not be treated in column 060.
Other forms of secured credit protection as provided for in Article V.24 which can be treated in the calculation of capital requirements as received guarantees are declared in column 070. This is the value of the concerned secured credit protection corrected for any potential currency difference and any potential maturity difference as provided for in Article V.75.
Columns 080 and 090 show respectively the outflows and inflows resulting from received credit protection. Outflows (carrying a negative sign) correspond to the part covered by credit protection of the net exposure value after value adjustments and provisions. These outflows are removed from the borrower's weighting class and, when relevant, from its exposure category, to be assigned to the guarantor's weighting class (this is expressed in column 140 in the breakdown of operations by weighting) and, when relevant, to its exposure category. This latter movement is considered the inflow. Inflows and outflows within the same exposure category must simultaneously appear in this reporting. Thus, when a claim on a company is guaranteed by a credit institution, line 200 in column 080 shows the amount of the claim covered by the guarantee. In the case where both counterparties are treated according to the standard approach, column 090 must also be completed.
Inflows and outflows to and from another approach for calculating capital requirements must also appear in this reporting. When capital requirements for an exposure are calculated according to an "Internal Ratings-Based" approach but the guarantor falls under the standard approach, the operation covered by credit protection is placed in column 090. When, for example, a claim on a company is guaranteed by a credit institution, the claim on the company is treated according to an "Internal Ratings-Based" approach and the claims on the credit institution fall under the standard approach, the amount of the claim covered by the guarantee should only be placed in column 090. This is a risk that initially fell under the "Internal Ratings-Based" approach (and is therefore also mentioned in Table 90.04 in column 020), but which, due to the guarantee, has moved to the standard approach (and is therefore subsequently included in Table 90.03). If the claim on the company is treated in the standard approach, and a claim on the credit institution in the "Internal Ratings-Based" approach, the amount of the claim covered by the guarantee of the credit institution should only be included in column 080. This is a risk that was initially treated in the standard approach and which, due to the guarantee, moves to the "Internal Ratings-Based" approach (and is included in Table 90.04 starting from column 080).
Column 100 includes the net value to be declared of exposures before conversion factors. This is the sum of the exposure values appearing in column 030 and the flows of risk mitigation techniques, which are treated according to the substitution approach (columns 080 and 090).
Columns 110 to 130 provide information on risk mitigation techniques that have an impact on the amount of exposures to be weighted. These are financial collateral (including credit-linked notes and on-balance sheet netting), which are treated according to the general method.
x The correction that must be applied, due to volatility, to the value of the exposure is declared in column 110. This is (Eva – E) = (E* He) (cf. Article V.60). x Column 120 shows the adjusted value (with negative sign) of received financial collateral after correction for collateral volatility

Reporting Own Funds
2010 financial security, the possible currency difference and the possible maturity difference between the financial security and the exposure (cf. Article V.78, § 2). For operations falling under the trading book, the adjusted value of eligible financial securities and underlying products for trading book operations (cf. Article IX.9) is declared here. x Column 130 separately displays the aggregated impact of the adjustment for currency difference and maturity difference. This is (Cvam – C) = C * [(1 – Hc – Hfx)* (t-t*) / (T- t*)-1] (cf. Article V.78, § 2).
12. Column 140 displays the amount that still needs to be weighted after taking into account risk mitigation techniques. This is the sum of the amounts in columns 100, 110 and 120.
13. Columns 150 to 180 display off-balance sheet items (Article V.2, § 1, 2°), broken down by the conversion factors to be applied based on Title V (Article V.4). As provided for in Articles V.56 and V.71, § 2, these conversion factors are applied to the value in column 140.
14. Column 190 displays the value of exposures after applying the conversion factors to columns 150 to 180.
15. The risk-weighted volume in column 200 is obtained by multiplying the amount in column 190 by the weighting factor applicable depending on the lines.
16. The capital requirement in column 210 is obtained by multiplying the amount in column 200 by the factor 0.08 provided for in Article IV.1, § 2.
c) Commentary on the lines
Breakdown of exposures by type

The columns display amounts broken down by type of exposure according to the following classification:
x Total exposures: all exposures mentioned below x Balance sheet items: exposures referred to in Article V.2, § 1, 1°; x Off-balance sheet items: exposures referred to in Article V.4, with the exception of those falling under the following types of exposures:
x Securities financing operations and deferred settlement transactions: exposures referred to in Article I.2, (91) and (92), and (38) and 57

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(39), with the exception of those falling under the following types of exposures; x Derivative instruments: exposures referred to in Article V.2, § 1, 3°, with the exception of those falling under the following type of exposure; x Multilateral netting agreement: exposures which, due to multilateral netting, cannot be attributed to any of the aforementioned types of exposures (Article I.2, (47))
2. For columns 010 to 210, the sum of the amounts in lines 200 to 240 is equal to the amount for these columns in line 100.
Breakdown of exposures by weighting factor:

Exposures are mentioned in the line of the applicable weighting factor according to the provisions of Title V of the regulation (lines 300 to 460).
Institutions that make use of the provisions of Article VI.26 will use, where applicable, the weighting factor of 200%.
For weighting factors 50%, 100% and 150%, exposures must also be sub-divided according to their particular characteristics, such as:
x Payment arrears as defined in Article V.16, § 10. x Exposures with counterparties without external rating from a recognized external credit assessment institution x Exposures secured by real estate These lines are completed only for the table for the total of exposure categories (« T »).
For columns 010 to 210, with the exception of columns 040 to 130, the sum of the amounts in each of the lines is equal to the amounts of line 100 for the concerned columns. In this regard, the breakdown provided for in point 3 above should not be taken into account to avoid double counting of amounts.
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Table 90.04 – Credit risk and counterparty credit risk and incomplete transactions: internal ratings-based approach for capital requirements
a) General instructions

This table must be prepared by all institutions subject to the provisions of the own funds regulation regarding credit risk, and relates to the requirements referred to in Title VI of this regulation.
The institution completes table 90.04 according to the general directives. This is the table for the total of exposures to be declared here (see also point 7). The table must also be prepared for individual exposure categories, but these must only be communicated semi-annually (T2 and T4).
Exposures considered or treated as exposures referred to in Article VI.2, § 1, e), are included in table 90.05.
The institution to which the possibility provided for in Article I.9 applies declares here the possible exposures of its trading book (with the exception of equity securities and similar instruments) when the capital requirements for the exposures of its trading book can be calculated according to Title VI, in accordance with the provisions of said regulation. Institutions that cannot, on the other hand, make use of the possibility provided for in Article I.9, do not communicate in this table (or if applicable in table 90.05) the exposures that are part of their trading book, in particular:
x Asset items that constitute securities and other negotiable instruments and are included in the trading book; x Forward purchases of securities and other negotiable instruments within the framework of the trading book: cash purchases in the process of settlement and firm forward purchases; x Amounts to be released on securities and other negotiable instruments acquired within the framework of the trading book; x Claims resulting from the mobilization of securities and other negotiable instruments insofar as these are included in the trading book. Counterparty risks related to these transactions are, however, to be included in this table; x Commitments related to written put options on securities and negotiable instruments taken within the framework of the trading book. These exposures are included in tables 90.10, 90.11 or 90.14 depending on the type of security and the calculation method used. 59

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5. Counterparty risks related to trading book transactions as referred to in Articles IX.4 to IX.11 are communicated in this table (or if applicable in table 90.05) according to the establishment's credit risk calculation method.
6. The institution using an internal ratings-based approach for the calculation of capital requirements for credit risk communicates the capital requirements for incomplete transactions (such as calculated in accordance with Article IX.3, namely from the first contractual settlement/first delivery leg up to four days after the second contractual settlement/second delivery leg) in table 90.04 under the respective exposure categories, whether they belong to the trading book or not. If these are equity securities operations and similar operations, they are included in table 90.05. Cross-border transactions are only included if at least one day has elapsed since the institution proceeded with settlement or since it delivered the securities or negotiable instruments.
7. The institution that, for the calculation of its capital requirements for credit risk, uses an internal ratings-based approach as referred to in Title VI establishes (see point 2 above), in addition to a table of total exposures, a table listing these exposures broken down by the following exposure categories (see Article VI.2):
x Central governments and central banks x Counterparties referred to in Article VI.2, § 3 (in the exposure category « institutions ») x Institutions (with the exception of exposures on counterparties referred to in Article VI.2, § 3) x Enterprises (with the exception of operations on enterprises defined in Article VI.10) x Enterprises defined in Article VI.10 (in the exposure category « enterprises ») x Retail exposures secured by real estate x Eligible revolving retail exposures x Other retail exposures For the technical modalities of reporting, refer to the taxonomy.
8. This table applies to institutions using the internal ratings-based approach, whether or not applying their own estimates of loss given default (LGDs) and/or conversion factors. To clarify whether the institution uses its own estimates of loss given default (LGDs) and/or conversion factors, the following codes are used at the top of the table:
« No » = In case of using loss given default (LGDs) and/or conversion factors prudentially defined by supervisory authorities « Yes » = In case of using its own estimates of loss given default (LGDs) and/or conversion factors
9. When an institution uses its own estimates of loss given default (LGDs) and/or conversion factors, it clearly indicates this in the table (see point 8 above). This indication applies to the total table and the corresponding tables for exposure categories. When an institution uses prudential loss given default (LGDs) and conversion factors for some of its exposure categories, and its own estimates of loss given default (LGDs) and/or conversion factors for others, two total tables will be established (one per approach) and they will be accompanied by the corresponding tables for exposure categories.
10. The institution communicates exposures based on the initial category of the exposure. In the case of eligible unsecured credit protection (or credit protection to be treated as such) received from a counterparty in another category, the change in counterparty type will be appropriately reflected in the reporting table (cf. infra the description of column 030).
Commitments arising from written put options on securities and other negotiable instruments are included depending on the element on which the commitment rests in the event of exercise of the option.
11. For partially secured assets and commitments, the lowest probability of default and/or the lowest loss percentage, as well as – when relevant – the modification of the exposure category, are applied only to the secured portion.
12. Asset regularization accounts are broken down either in this table based on the counterparty, or based on the standard approach in line 2330 in table 90.01 in accordance with Article VI.4, § 6, commentary (a).
b) Commentary on the columns

Column 010 displays the probabilities of default of each rating scale and internal rating category (in ascending order). For lines where the data correspond to an aggregation of scales or rating categories, the institution communicates the average probability of default -weighted by amounts- of the aggregated scales or categories, using the amount defined in column 050 to calculate the weighted average. These are lines 100, 210 to 240, 300 and 700.
Column 020 displays the initial risk-weighted value determined in accordance with Title VI, Chapter 2, without application of conversion factors for off-balance sheet operations, as defined in Articles VI.7 and VI.8. Exposures are communicated here without taking into account credit risk mitigation techniques, with the exception of master netting agreements. For derivative instruments, the initial risk-weighted value corresponds to the value of exposures as defined in Article V.5. When the value of securities lending/borrowing operations, repo/reverse repo operations, underlying products, deferred settlement transactions and margin lending operations is not defined according to Article V.9, it is defined according to Title V, Chapter 5, Section IV. In the case of master netting agreements covering repo and/or securities lending/borrowing operations or underlying products and/or other operations adjusted to market conditions, the effect of these master netting agreements in accordance with Title V, Chapter 5, will already be expressed in column 020.
Column 030 displays the risk-weighted value after application of substitution (replacement of the counterparty's internal rating with that of the guarantor) due to credit risk mitigation techniques with unsecured protection from counterparties referred to in Article V.25 or techniques referred to in Article V.24 and Article V.26 (a) and (b), taking into account the provisions of Article VI.50 and/or Article VI.51. The value to be communicated is the sum of the risk-weighted values as included in column 020 and the flows of risk mitigation techniques, which are treated according to the substitution approach. Outflows are removed from the borrower's exposure category and rating scale, to be attributed to the guarantor's exposure category and rating scale. This latter operation is considered as the inflow. In this regard, any inflows and outflows to and from another approach for the calculation of capital requirements should also be taken into account. The determination of flows takes into account any adjustment of the effect of risk mitigation techniques due to maturity asymmetry as well as any currency asymmetry as defined in Article VI.62, § 1, c.
The risk-weighted value to which the calculated risk weighting is applied (cf. Article VI.1) is communicated in column 050. For off-balance sheet operations, conversion factors (as included in Articles VI.7 and VI.8, according to the approach adopted by the institution) are taken into account here.
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5. Columns 040 and 060 respectively display the value of off-balance sheet operations of columns 030 and 050 as defined in Article VI.3, 4°. The relevant conversion factors are not yet taken into account in column 040.
6. Column 070 displays the loss given default (LGDs) of exposures. These loss given defaults are communicated as an average loss given default weighted by amount, using the amount defined in column 050 to calculate the weighted average of loss given defaults. The impact of credit risk mitigation techniques on the loss given default is taken into account here. Articles VI.12, VI.18, VI.34, VI.35, VI.38, VI.40, VI.59, VI.60, VI.61, VI.62 and VI.91 are taken into account, and in particular Article VI.91, § 8 for operations already in default. If « double default » is used for specific exposures, the loss given default is that defined in Article VI.12, § 4.
7. Column 080 displays the average maturity of exposures, weighted by amount, as referred to in Articles VI.13 and VI.36; the amount defined in column 050 is used to calculate the weighted average. The maturity as applied in the calculation formulas is expressed in days. Exposures for which maturity does not constitute an element of the calculation formula are not taken into account to calculate the portfolio-weighted average maturity. In doing so, column 080 should not be completed for the communication of exposures of the sub-categories « Exposures secured by real estate collateral », « Eligible revolving retail exposures » and « Other retail exposures ».
8. Column 090 displays the risk-weighted volume – calculated according to the provisions of Title VI.
9. The capital requirement in column 100 is obtained by multiplying the amount of column 090 by the factor 0.08, as mentioned in Article IV.1, § 2.
10. Column 110 displays the expected loss calculated in accordance with Title VI, Chapter 7.
11. Column 120 displays recognized impairments and provisions made. These are only specific impairments and provisions that have been recognized/made. Due to the negative sign in the column header, recognized impairments and provisions made must also be preceded by a negative sign.
c) Commentary on the breakdown of exposures by type of exposure 63

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Amounts broken down by type of exposure must be communicated in the columns according to the following classification:
x Total exposures: all exposures mentioned below x Balance sheet items: exposures referred to in Article VI.3, 1°; x Off-balance sheet items: exposures referred to in Article VI.3, 4°, with the exception of those falling under the following type of exposure:
x Securities financing operations and deferred settlement transactions: exposures referred to in Article I.2, (91) and (92), and (38) and (39), with the exception of those falling under the following type of exposure:
x Derivatives: exposures referred to in Article VI.3, 3°, with the exception of those falling under the following type of exposure; x Multilateral netting contractual agreement: exposures which, due to contractual multilateral netting, cannot be attributed to any of the aforementioned types of exposures (Article I.2, (47))
As provided for in the column commentary, column 010 displays for these lines the average probability of default weighted by amount, by type of exposure.
In addition to the commentary on the corresponding columns, the institution communicates in columns 020, 030 and 050 the risk-weighted value of exposures according to the type of exposure.
In addition to the column commentary, column 070 displays for these lines the average loss given default weighted by amount, by type of exposure.
In addition to the column commentary, column 080 displays for these lines the average maturity weighted by amount, by type of exposure.
In addition to the column commentary, the risk-weighted volume communicated in column 090 is the sum of the risk-weighted volumes of individual exposures by type of exposure.
In addition to the column commentary, column 100 displays for these lines the capital requirements by type of exposure.
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8. In addition to the column commentary, the expected loss declared in column 110 by type of exposure is the sum of the expected loss of individual operations by type of exposure.
9. For columns 020, 030 and 050 and columns 090 to 110, the amounts to be communicated in line 100 correspond to the sum of the amounts declared in the lines by type of exposure. For columns 020, 030 to 060 and columns 090 to 110, the amounts to be communicated in line 100 correspond to the sum of the amounts of lines 300, 400, 500, 600 and 700.
d) Commentary on the breakdown of « Exposures assigned to a debtor rating scale »

In addition to the column commentary, column 010 displays for line 300 the probability of default for exposures as distributed in the scales and rating categories of the institution. For the breakdown of this line, the institution communicates the probabilities of default of each scale and internal rating category (in ascending order). It declares, depending on the characteristics of its portfolios, a sufficiently large number of scales and rating categories in the lines following the line « Breakdown of total exposures assigned to debtor scales or categories ». A possible threshold of probabilities of default to be applied for the calculation is taken into account in this regard.
In addition to the column commentary, the amounts of columns 020 to 060 and columns 090 to 110 are broken down according to the probability of default applicable to the concerned exposure. In column 020, the institution proceeds based on the probability of default of the initial counterparty; from column 030 onwards, it proceeds based on the probability of default of the possible guarantor.
In addition to the column commentary, column 070 displays for line 300 the average loss given default weighted by amount for exposures as distributed across the scales and rating categories of the institution.
In addition to the column commentary, column 080 displays for line 300 the average maturity, weighted by amount, of exposures as distributed across the scales and rating categories of the institution.
For columns 020 to 060 and columns 090 to 110, the amounts to be communicated in line 300 correspond to the sum of the amounts in the lines by scale or rating category.
65

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2010 e) Commentary regarding the breakdown of "specialized financing slotting criteria"

These lines are completed when the institution uses the method referred to in Article VI.37, § 2, for the calculation of the capital requirement concerning the credit risk resulting from the exposures covered therein. The lines are only completed for the tables for the total of exposure categories and for the table displaying exposures on enterprises.
In addition to the column comments, columns 020 to 060 and columns 090 to 110 display the risk-exposed value of exposures broken down according to the risk weights to be used in accordance with Article VI.37, § 2.
The risk-weighted volume reported in column 090 is obtained by multiplying the amount of column 050 by the applicable risk weight in accordance with Article VI.37, § 2.
The expected loss reported in column 110 is obtained by multiplying the amount of column 050 by the factors applicable in accordance with Article VI.43.
For columns 020 to 060 and columns 090 to 110, the amounts to be communicated in line 400 correspond to the sum of the amounts of lines per percentage of risk weight.
f) Commentary concerning the line "Other treatment: secured by real estate"
If the CBFA has granted an institution authorization to apply the alternative approach for exposures secured by real estate as provided for in Article VI.60, para. 1, 2°, 2), the portion of the exposure that is fully secured by real estate is communicated here separately.
The portion of the exposure not covered by the relevant credit protection continues to be communicated in line 300 as well as in the following lines.
g) Commentary concerning the line "Exposures arising from incomplete transactions when 100% risk weights or the alternative treatment apply"
When an institution using an "internal ratings" approach for the calculation of capital requirements for credit risk makes use of the provisions of Article IX.3, § 2, last sentence, or § 3, of the same article, these
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2010 exposures are communicated on this line rather than on line 300 (and the following lines).
2. Credit derivatives with nth-to-default features that are not subject to external credit assessment in accordance with Article VI.9, § 4, are recorded on this line, as well as other exposures subject to a risk weight that are not included in other lines.
h) Commentary concerning the line "Dilution risk: total purchased receivables"

This line is completed for dilution risk in accordance with the provisions of Title VI, Chapter 6, Section II. The institution communicates only on an aggregated basis for this sub-class of exposures, and does not provide further breakdown (for example, based on probabilities of default).
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Table 90.05 - Credit Risk: Equity Securities - "Internal Ratings" Approaches for Capital Requirements
a) General Instructions

This table must be prepared by all institutions subject to the credit risk provisions of the Own Funds Regulation and authorized to calculate capital requirements for credit risk according to the modalities provided for in Title VI, Chapter 5.
Exposures that are considered or treated as the exposures referred to in Article VI.2, § 1, e), are reported in Table 90.05.
This table includes information on capital requirements for equity exposures subject to an "internal ratings" approach. The information is distributed across the three available approaches according to their use by the institution:
o the probability of default/loss given default (PD/LGD) method (Article VI.21); o the simple weighting method (Article VI.20); o the internal models-based method (Article VI.22).
Items treated according to Article II.2 are not included here.
Institutions that, for the calculation of their capital requirements for credit risk for exposures referred to in Article VI.2, § 2, e), rely on the provisions of Article IV.8, § 1, c, and Article IV.8, § 2, c, d and e, report these capital requirements in Table 90.03.
Exposures in the form of investments in units of collective investment undertakings are mentioned in Table 90.05 to the extent that the capital requirements for the exposures or underlying exposures are calculated according to one of the approaches cited above as provided for in Article VI.26.
An institution making use of the possibility provided for in Article I.9 communicates here any possible exposures in the form of equity securities and similar instruments from its trading portfolio, when the capital requirements for the exposures in its trading portfolio are calculated according to Title VI, in accordance with the provisions of the regulation.
68

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Column 010 displays the probabilities of default of the internal rating scales of the exposures (in increasing order) as applied in the probability of default/loss given default approach (see Article VI.23). The institution communicates, depending on the characteristics of its portfolios, a sufficiently large number of scales. A possible threshold for probabilities of default to be applied for the calculation is taken into account in this regard.
Column 020 displays the risk-exposed value referred to in Article VI.4, § 5. For the portfolio subject to the PD/LGD method, the institution uses the probability of default of the counterparty's internal rating. For the simple weighting method, it proceeds according to the characteristics of the exposures and the portfolio, as provided for in Article VI.20. For the simple weighting method, it takes into account, in determining the risk-exposed value, Article VI.20, § 2.
Columns 030 and 040 display the respective amounts (adjusted for any currency asymmetry and any maturity symmetry as provided for in Article VI.62, § 1,c) of guarantees and credit derivatives received for equity exposures broken down according to the PD/LGD method and the simple weighting method. These are the guarantees and credit derivatives received that are included in the calculation of capital requirements. If a received guarantee or credit derivative is not taken into account in the calculation of capital requirements, this guarantee or credit derivative must not be reported here.
Column 050 displays the risk-exposed value of exposures after taking into account unsecured protection.
Off-balance sheet exposure amounts according to Article VI.3, 4° (including commitments still to be drawn down on equity securities) are communicated in column 060.
Column 070 displays the risk-exposed value of exposures as used in the determination of capital requirements. In this regard, any conversion factors are applied. Off-balance sheet exposure amounts are again communicated separately in column 080.
The capital requirements to be communicated in column 110 are the risk-weighted volume, as in column 100, multiplied by 8%. For exposures subject to the PD/LGD method, any adjustments to the requirements are applied in accordance with Article VI.21, §§ 2 and 3.
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8. Expected loss as defined in Article VI.44 is communicated in column 120.
c) Specific Instructions

For line 100, columns 100 and 110 display the sum of the results calculated according to the different approaches (lines 200, 300 and 400) for these columns.
Commentary on the PD/LGD Method
Column 010 displays, for the entire portfolio (line 200) of exposures subject to the PD/LGD method, a weighted average probability of default by amount, using the risk-exposed value as defined in column 070 to calculate the weighted average. Any limitation to be applied in the calculation according to Article VI.23 is taken into account in this regard.
Column 050 displays the risk-exposed values of equity exposures after application, where appropriate, of the substitution of the provider's internal rating in the form of a guarantee and/or a credit derivative. The exposure is transferred from the counterparty's rating scale to the guarantor's rating scale as provided for in Article VI.21, § 4.
Column 090 displays by internal rating the weighted average loss given default by amount, according to the provisions of Article VI.24 and using the amount as defined in column 070 to calculate the weighted average. For the entire portfolio to which the PD/LGD method applies, the weighted average loss given default by amount is communicated in line 200.
Column 100 displays by internal rating the risk-weighted volume according to the provisions on probability of default, loss given default, maturity, and risk weighting function as defined in Articles VI.21 and VI.23 to VI.25.
For columns 020, 050, 060, 070, 080, 100, 110 and 120, the amount of line 200 is equal to the sum of the amounts of the rating scale lines for these columns.
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Commentary on the Simple Weighting Method

In addition to the comment on these columns, only line 300 is completed in columns 060 and 080, without breakdown according to the risk weights provided for in Article VI.20.
The risk-weighted volume to be communicated in column 100 is obtained by multiplying the amount of the equity exposure by the respective risk weight provided for in Article VI.20.
For columns 020, 050, 070, 100, 110 and 120, the amount of line 300 is equal to the sum of the amounts of the risk weight lines for these columns.
Commentary on the Internal Models-Based Method
Institutions using an internal model, as provided for in Article VI.22, in the calculation of capital requirements for equity exposures communicate the result of the internal model in column 110. When this result must be corrected for a limitation (cf. VI.22, § 2), the corrected result is communicated here.
The risk-weighted volume of column 100 is obtained by multiplying by 12.5 the capital requirements of column 110.
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Table 90.06 – Credit Risk: Securitizations – Standard Approach for the Calculation of Capital Requirements
a) General Instructions

This table must be prepared by all institutions that are subject to the credit risk provisions of the Own Funds Regulation and who calculate capital requirements for credit risk according to the modalities provided for in Title V. This table concerns the requirements provided for in Title VII of this regulation.
The information presented in this table must be provided separately for traditional and synthetic securitization operations as defined in Article I.2, (64) and (65). To this end, the following codes are used at the top of the table:
« Traditional » = Traditional Securitization
« Synthetic » = Synthetic Securitization b) Column Comments
In column 010, the originating institution mentions current securitization positions, without regard to the holder of these positions. Both securitization positions recorded on the balance sheet (e.g.: bonds, subordinated loans) and off-balance sheet items (e.g.: subordinated credit facilities, cash facilities, interest rate swaps, CDS, ...) resulting from the securitization must be communicated. In the case of overlapping positions within the meaning of Article VII.17, § 4, only the position or fraction of position that produces the highest risk-weighted volume must be declared. For line 210, the amount recorded in this column corresponds to the current value of securitized positions (see also Q 127 of the CRDTG). In the event of early repayment provisions, the institution specifies the value of the investor's interest as defined in Article VII.32, § 3.
Column 020 repeats the risk-exposed value, as defined in Article VII.17, without application of conversion factors and gross of recognized write-downs and provisions made. In this regard, for synthetic securitization operations, risk mitigation techniques are taken into account in accordance with Articles VII.11 and VII.12. In the event of early repayment provisions, the institution specifies the value of the investor's interest as defined in Article VII.32, § 3.
Column 030 displays the recognized write-downs and provisions made for securitization positions. The column title accompanied by a negative sign means that the recognized write-downs and provisions made reported here will be preceded by a negative sign.
The amount of column 040 is the sum of the amounts of columns 020 and 030.
Column 050 displays the value of the securitization after treatment of risk mitigation techniques in accordance with Article VII.17, § 3, without application of the conversion factors mentioned in Article VII.17, § 2, c).
Columns 060 to 090 display the value of off-balance sheet elements as in column 050, broken down here according to the conversion factors to be applied in accordance with Article VII.17, § 2, c) (including the investor's interest as defined in Article VII.34).
Column 100 displays the value of the securitization operation in accordance with Article VII.17, taking into account the conversion factors as applied to columns 060 to 090.
Columns 110 to 160 repeat the amount of exposures broken down according to the risk weight to be applied in accordance with Articles VII.18 to VII.20. Positions weighted at 1250% are broken down according to whether they are subject to credit assessment within the meaning of Article I.2, (79) and (78). Positions to which the provisions of Article VII.20, § 2, Article VII.21 and Article VII.34, § 1 apply are mentioned in column 170. Those of these positions that are defined in Article VII.21 are also mentioned separately in column 180.
Column 190 displays the calculated risk-weighted volume, without regard to the provisions of Article VII.19, § 2, and Article VII.33, § 2, and without including the risk-weighted volume related to positions transferred via outflows in other tables. In the case of synthetic securitizations with maturity mismatches, the effects of maturity mismatch are not taken into account in this column.
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10. Column 191 displays the requirements, in terms of risk-weighted volume, as provided for in Article VII.35, § 5.
11. For maturity mismatches in synthetic securitizations, RW* - RW(SP), as defined in Article VII.12, § 3, is entered in column 192. In the case of tranches subject to a weight of 1250%, the amount is equal to 0. It should be noted that RW(SP) includes not only the risk-weighted volumes appearing in column 190, but also the risk-weighted volumes that have been transferred via outflows in other tables.
12. Column 200 displays the capital requirements without regard to the provisions of Article VII.19, § 2, and Article VII.33, § 2. The total capital requirements, as they should be communicated, is the risk-weighted volume indicated in column 190, multiplied by 8%.
13. Column 210 displays the total capital requirements, taking into account the provisions of Article VII.19, § 2, and Article VII.33, § 2.
c) Line Comments

Exposures resulting from securitizations are reported separately according to the status of the reporting institution, namely originator, investor or sponsor (when a sponsor securitizes its own exposures at the same time, the lines of the originating institution must include information relating to the securitized own exposures).
These exposures are in turn broken down by institution status according to whether they are balance sheet or off-balance sheet items (including derivative instruments) (Article VII.17, § 2, c), and Article V.5, § 1). For cash, credit and current account advance facilities, as well as cash facilities usable only in the event of general market disorganization, the undrawn amount must be declared. For interest rate contracts and foreign exchange contracts, the value as defined in Title V, Chapter 3 must be declared.
When the institution is the originator or investor, balance sheet items are also broken down into senior, mezzanine and first-loss tranches. For the originating institution, the columns are also completed specifically for the "early repayment clause".
Line 301 mentions separately, in column 020, the risk-exposed value of securitizations originated or sponsored by institutions that are not subject to the provisions of Directive 2006/48/EC.
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Table 90.07 - Credit Risk: Securitizations - "Internal Ratings" Approach for the Calculation of Capital Requirements
a) General Instructions

This table must be prepared by all institutions that are subject to the credit risk provisions of the Own Funds Regulation and who are authorized to calculate capital requirements for credit risk according to the modalities provided for in Title VI. This table concerns the requirements provided for in Title VII of this regulation.
The information presented in this table must be provided separately for traditional and synthetic securitization operations as defined in Article I.2, (64) and (65). To this end, the following codes are used at the top of the table:
« Traditional » = Traditional Securitization
« Synthetic » = Synthetic Securitization b) Column Comments
In column 010, the originating institution mentions current securitization positions, without regard to the holder of these positions. Both securitization positions recorded on the balance sheet (e.g.: bonds, subordinated loans) and off-balance sheet items (e.g.: subordinated credit facilities, cash facilities, interest rate swaps, CDS, ...) resulting from the securitization must be communicated. In the case of overlapping positions within the meaning of Article VII.17, § 4, only the position or fraction of position that produces the highest risk-weighted volume must be declared. For line 210, the amount recorded in this column corresponds to the current value of securitized positions (see also Q 127 of the CRDTG). In the event of early repayment provisions, the institution specifies the value of the investor's interest as defined in Article VII.32, § 3.
Column 020 repeats the risk-exposed value, as defined in Article VII.17, without application of conversion factors and gross of recognized write-downs and provisions made. In this regard, for originating institutions of synthetic securitization operations, risk mitigation techniques are taken into account in accordance with Articles VII.11 and VII.12. In the event of early repayment provisions, the institution specifies the value of the investor's interest as defined in Article VII.32, § 3.
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3. Column 030 repeats the value of the securitization after treatment of risk mitigation techniques in accordance with Article VII.17, without application of the conversion factors mentioned in Article VII.17, § 2, c).
4. Columns 040 to 070 display the value of off-balance sheet elements as in column 030, broken down here according to the conversion factors to be applied in accordance with Article VII.17, § 2, c) (including the investor's interest as defined in Article VII.34).
5. Column 080 displays the value of the securitization operation in accordance with Articles VII.17 and VII.34.
6. Columns 090 to 230 repeat the amount of exposures broken down according to the risk weight to be applied in accordance with Articles VII.23 to VII.31. A breakdown according to the approaches used must be made in this regard. Positions for which the "ratings" approach (Article VII.27) is applied are reported in columns 090 to 180. Positions weighted at 1250% are broken down according to whether they are subject to credit assessment within the meaning of Article I.2, (79) and (78). Positions for which Article VII.28 is used are reported in column 190. The weighted average weight applied based on the amount of these positions is reported in column 200. Positions for which the capital requirement is calculated in accordance with Article VII.29, § 5, Article VII.34, § 1 and Article VII.32, § 1 are reported in column 210. Positions to which the provisions of Article VII.25 apply are mentioned in column 220. The weighted average weight applied based on the amount of these positions is mentioned in column 230.
7. Column 240 displays 12.5 times the amount of any write-downs that are applied by the institution to the securitized exposure in accordance with Article VII.31. Due to the negative sign included in the column title, write-down amounts are mentioned as negative.
8. Column 250 displays the calculated risk-weighted volume, without regard to the provisions of Articles VII.26 and VII.33, § 2, and without including the risk-weighted volume related to positions transferred via outflows in other tables. In the case of synthetic securitizations with maturity mismatches, the effects of maturity mismatch are not taken into account in this column.
9. Column 251 displays the requirements, in terms of risk-weighted volume, as provided for in Article VII.35, § 5.
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For maturity mismatches in synthetic securitisations, the RW* - RW(SP), as defined in Article VII.12, § 3, is entered in column 252. In the case of tranches subject to a 1250% risk weight, the amount is equal to 0. It should be noted that the RW(SP) includes not only the risk-weighted volumes appearing in column 250, but also the risk-weighted volumes that have been transferred via outflows into other tables.
Column 260 displays the own funds requirements without taking into account the provisions of Articles VII.26 and VII.33, § 2. The total own funds requirements, as they are to be reported, is the risk-weighted volume indicated in column 250, multiplied by 8%.
Column 270 repeats the total own funds requirements, taking into account the provisions of Articles VII.26 and VII.33, § 2.

c) Line Comments

Exposures resulting from securitisations are reported separately according to the status of the reporting institution, namely originator, investor, or sponsor (when a sponsor simultaneously securitises its own exposures, the lines of the originating institution must include information relating to the securitised own exposures).
These exposures are in turn broken down by institution status into on-balance sheet or off-balance sheet items (including derivative instruments) (Article VII.17, § 2, c), and Article V.5, § 1). For cash, credit, and current account advance facilities, as well as cash facilities usable only in the event of a general market disorganisation, the undrawn amount must be reported. For interest rate contracts and foreign exchange contracts, the value defined in Title V, Chapter 3 must be reported.
When the institution is the originator or investor, on-balance sheet items are also broken down into senior, mezzanine, and first-loss tranches. For the originating institution, the columns are also completed specifically for the "early repayment clause".
Line 301 mentions separately, in column 020, the risk-weighted value of securitisations initiated or sponsored by institutions that are not subject to the provisions of Directive 2006/48/EC.

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Table 90.08 – Credit Risk: Detailed information on securitisations by originators and sponsors

a) General Instructions

By way of derogation from the general directives, this table is established solely by the highest consolidated institution to which the credit risk provisions of the Own Funds Regulation apply, and concerns the requirements provided for in Title VII of this Regulation.
By way of derogation from the general directives, this table is established solely on a consolidated basis and is provided solely on an annual basis.
Any securitisation transaction (including those carried out by subsidiaries included in the consolidation) for which the reporting institution acts as originator or sponsor must be the subject of a line in this table.

b) Column Comments

In column 010, the institution mentions the internal code it has assigned to the securitisation transaction. This internal code is the one that allows the securitisation transaction to be identified within the institution.
In column 020, the institution indicates the code under which the securitisation transaction is known on the market. When the securitisation transaction is better known by its name, this name must be mentioned here.
Column 030 specifies whether it is a traditional or synthetic securitisation transaction. For this purpose, the following codes are used:

"T" = Traditional Securitisation
"S" = Synthetic Securitisation
Column 031 mentions the type of retention applied to the securitisation in accordance with Article VII.35. For this purpose, the following codes are used:

A - Vertical Slice
B - Renewable Exposure
C - On-balance sheet item
D - First-loss tranche
Column 032 indicates the percentage of retention at the reporting date, in accordance with Article VII.35, § 1.

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Column 040 specifies whether the institution acts in the capacity of originator or sponsor. For this purpose, the following codes are used:

"O" = Originator
"S" = Sponsor
Columns 050 and 060 must only be completed when the exposure concerned does not form part of an ABCP programme. Column 050 mentions the start date of the transaction. This is the "cut-off" date of the category ("closing-date"). For the technical modalities of reporting, reference should be made to the taxonomy. In column 060, the institution indicates the value of the underlying exposures of the securitisation transaction at the date mentioned in column 050. In the case of early repayment clauses, the institution specifies the value of the investors' interest as defined in Article VII.32, § 3. In the case of "multi-seller" securitisations, only the amount corresponding to the reporting institution is declared.
In column 070, the institution declares the current risk-weighted value of the positions in the securitisation transaction. In the case of early repayment clauses, the institution specifies the value of the investors' interest as defined in Article VII.32, § 3.
In column 080, the institution declares, in the case of a multi-seller securitisation, the proportion of the amount in securitised exposures of the institution relative to the total securitised exposures of the securitisation concerned. If it is not a multi-seller securitisation, the originating institution mentions the figure 100.00.
Column 090 indicates the type of securitised exposures. For this purpose, the following codes are used:

"1" = Exposures secured by residential real estate "2" = Exposures secured by commercial real estate "3" = Credit card balances "4" = Finance leasing "5" = Exposures to undertakings or undertakings defined in Article VI.10 "6" = Consumer credit "7" = Trade receivables "8" = Securitisations (re-securitisations) "9" = Other exposures

If the category of securitised exposures comprises several types of exposures, the type of exposure with the largest volume must be indicated.

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Column 100 specifies the approach that was used to calculate the own funds requirements related to the underlying exposures before the launch of the securitisation transaction. For this purpose, the following codes are used:

"SA" = Standard Approach
"IRB" = Internal Ratings-Based Approach
"M" = Combination of both approaches
Column 110 mentions the number of underlying exposures when the institution uses an internal rating for the securitisation transaction. The following codes are used to indicate the relevant range:

"a" = N < 6;
"b" = 6 ≤ N ≤ 34;
"c" = 34 < N ≤ 100;
"d" = 100 < N ≤ 1000;
"e" = N > 1000;

N is determined in accordance with Article VII.27, § 4.
The institution that calculates the own funds requirements for the securitisation transaction using the approach that uses the prudential formula declares, in column 120, the weighted average loss given default as defined in Article VII.28, § 2.
Column 130 repeats the current write-downs and provisions made for the underlying exposures. Due to the negative sign included in the column title, the amounts of write-downs and provisions are mentioned as negative.
Column 140 repeats the own funds requirements that would apply, at the reporting date concerned, to the underlying exposures if they were not securitised. This data is expressed as a percentage of the total value of the securitised exposures.
Column 150 displays the institution's positions in the first-loss tranche(s). When the first-loss tranche does not provide significant credit enhancement to the next tranche of the securitisation, this next tranche will also be considered as a first-loss tranche. The assessment of the credit enhancement provided by the different tranches is repeated until the credit enhancement provided by the first-loss tranche(s) is significant. If it is a "multi-seller" securitisation, only the amount assigned to the reporting institution must be declared.

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Columns 160 to 260 display the securitisation positions as defined in Article VII.17 without application of the conversion factors and gross of current write-downs and provisions made.

o Columns 160 to 210 repeat the on-balance sheet items. These positions are broken down into senior tranches (columns 160 and 170), mezzanine tranches (columns 180 and 190) and first-loss tranches (columns 200 and 210). A distinction must be made in this regard between rated positions (columns 160, 180 and 200) and unrated positions (columns 170, 190 and 210) as defined in Article I.2 (79) and (78).

o Columns 220 to 240 display off-balance sheet items and derivatives. These positions are broken down into credit-substitute guarantees (column 220), eligible cash facilities as defined in Article VII.22, § 1 (column 230) and other off-balance sheet items or derivative instruments (column 240). For cash, credit, and current account advance facilities, as well as cash facilities usable only in the event of a general market disorganisation, the undrawn amount must be reported. For interest rate contracts and foreign exchange contracts, the value defined in Title V, Chapter 3 must be reported.

o Information on early repayment provisions is given in columns 250 and 260. Column 250 specifies whether the conditions provided for in Article VII.34, § 2 are met or not. For the technical modalities of reporting, reference should be made to the taxonomy. Column 260 indicates the conversion factor.
Column 270 displays the own funds requirements without taking into account the provisions of Article VII.19, § 2, Article VII.26 and Article VII.33, § 2.
Column 280 displays the total own funds requirements, taking into account the provisions provided for in Article VII.19, § 2, Article VII.26 and Article VII.33, § 2.

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Table 90.09 – Settlement/Delivery Risk

a) General Instructions

This table must be established by all institutions subject to the provisions of the Own Funds Regulation and concerns the requirements referred to in Article IX.1 of this Regulation.
Here are reported securities and financial instrument transactions that have reached maturity, but which, more than 4 days after the maturity date, have not yet been settled according to the modalities provided for in Article IX.1 (no delivery of assets and no payment).
No weighting based on counterparty is taken into account. The hedging (write-downs and provisions) constituted by the institution for these exposures is, however, taken into account.
The application of the requirements for unsettled transactions does not prejudice the fact that securities to be received or delivered as well as financial instruments to be received or delivered must appear in tables 90.03 and 90.04 (and possibly table 90.05) according to the calculation method used by the institution, respectively according to Title V and Title VI of the Regulation, when they do not form part of the trading book. When they form part of the trading book, they are included in tables 90.10 or 90.11 (and, if applicable, in tables 90.14 and 90.15).

b) Column Comments

For each unsettled transaction, the contractual settlement price must be declared in column 010, and the price difference to which the institution is exposed in column 020. The contractual settlement price and the price difference are included in lines 110 to 150 depending on the number of business days after the contractual delivery date. The price difference is equal to:
- For each transaction where the institution should have received securities or financial instruments: the positive difference between the market value of the asset concerned and the contractual settlement price of the transaction;
- For each transaction where the institution should have delivered securities or financial instruments: the positive difference between the settlement price of the transaction concerned and the market value of the securities or financial instruments to be delivered.

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The price differences must be calculated separately for each of the unsettled transactions. Negative differences are not taken into account.
The own funds requirement in column 030 is equal to the multiplication of the amounts in column 020 by the percentages in column 2 of the table in Article IX.1.

c) Line Comments

For columns 010 to 030, the amounts to be declared in line 100 correspond to the sum of the amounts of the underlying lines 110 to 150.

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Table 90.10 - Market Risk: Standard approaches for position risk in debt securities

a) General Instructions

This table must be established by all institutions subject to the provisions of the Own Funds Regulation - except those who benefit from the possibility offered by Article I.9 - and concerns the requirements provided for in Title IX, Chapter 2, Chapter 4 and Chapter 5 of this Regulation.
By debt securities and other similar instruments of the trading book that are covered by the requirements of the table, we mean the items of this portfolio, which are interest-bearing or whose market value is sensitive to interest rate variations. Specifically covered are:

o securities and negotiable instruments bearing fixed or floating interest, including zero-coupon bonds; o interest-bearing securities that are convertible into shares and company units, as well as preference shares whose income has an interest character insofar as they are not treated as ownership securities of the trading book in table 90.11 (or if applicable in table 90.14); o other securities and negotiable instruments whose income has an interest character; o transactions in the process of liquidation relating to the aforementioned securities and negotiable instruments; o forward transactions and options relating to the aforementioned securities and negotiable instruments, as well as on interest rates, carried out within the framework of the trading book; o forward foreign exchange transactions, foreign exchange futures, foreign exchange and interest rate swaps, forward exchange rate contracts, and foreign exchange options carried out within the framework of the trading book.
The information is provided in an aggregated manner (for all currencies), notwithstanding the fact that the requirements are calculated for each individual currency (including composite currencies which are therefore not broken down).
For the purpose of calculating the requirements, positions are valued at their market value. Currency positions are converted into EUR based on the spot exchange rate (average rate between the buying and selling rate on the spot market at the reporting date).
Institutions must calculate their net position used to determine the requirements relating to specific and general risk for each of the same debt securities (or other similar instruments) of the trading book referred to in point 2.

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The net position in a "same debt security" or other similar instruments of the trading book corresponds to the excess of long (short) position over the short (long) position. Thus, for the calculation of their net position, institutions take into account:

o long or short spot positions 1; o the long and short positions in the process of liquidation; this position is considered as a spot position in the debt security concerned; o the long and short forward positions; forward instruments are treated as positions in the underlying (or notional) debt security(ies); options are included in positions based on their delta (delta-equivalent) unless the institution treats them in accordance with the provisions of the "simplified" or "scenario" method (Article IX.86); o the position resulting from a firm commitment and a performance guarantee in the context of securities issuances; the position is included from the business day provided for in Articles IX.65 and IX.66.
To be considered as "same debt securities", the issuer of the securities, the currency, the coupon, the maturity and the rank in the event of liquidation must be identical.
Institutions that benefit from the possibility offered by Article I.9 do not take into account the provisions of table 90.10. They include the items of the trading book covered in the risks treated in tables 90.03 and 90.04, as far as the credit risks related to these items are concerned.
Institutions may calculate their own funds requirements relating to the general risk of the trading book in debt securities using either a standard method (the "maturity" method or the "duration" method), or using their own internal model (Title IX, Chapter 8). The CBFA may authorise that a standard method be combined with an internal model. In this case, tables 90.10 and 90.14 must be completed accordingly.
Institutions may calculate their own funds requirements relating to the specific risk of the trading book in debt securities using either a method provided for in Articles IX.25 and IX.26, or their own internal model (Title IX, Chapter 8). The CBFA may authorise the combined use

1 Regarding securities of the trading book placed in repurchase or lending transactions, institutions consider that these securities always form part of their trading book for the calculation of the requirements referred to in tables 90.10 and 90.11. Regarding borrowing or securities repurchase transactions, used within the framework of their trading book (the borrowing or repurchase transactions must meet the conditions of Title I, Chapter 3), institutions take these securities into account for the calculation of their net positions in tables 90.10 and 90.11 (the borrowing or repurchase transaction is broken down into a long spot position and a short forward position representing the obligation to return the securities at the maturity of the borrowing or repurchase).

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of these two methods. In this case, tables 90.10 and 90.14 must be completed accordingly.

b) Specific Instructions concerning general risk based on maturity

The gross long and short positions for each debt security and other similar instruments in a currency are classified respectively in columns 010 and 020 in one of the zones (zone 1, zone 2 and zone 3) as provided for in Article IX.29 on the basis of the following rule:

a. Instruments for which the coupon is fixed until maturity are classified based on the residual duration until its maturity according to whether the coupon is greater or less than 3%; b. Instruments for which the coupon is variable are classified in the maturity ranges based on the residual duration until the date of rate revision, and according to the level of the coupon (greater or less than 3%).
In the case of firm commitment and performance guarantee of debt securities, the institution may use the provisions provided for in Articles IX.65 and IX.66. These positions are declared in column 030. Due to the negative sign in the column title, the values to be reported are preceded by a negative sign.
The net long and short positions (cf. Article IX.14), taking into account Articles IX.65 and IX.66, are declared respectively in column 040 and in column 050.
The institution calculates the total of compensated weighted positions for all maturity ranges as provided for in Article IX.30. The positions are first weighted based on the maturity ranges and the provisions applicable to the coupon as provided for in Articles IX.29 and IX.31. The result of this calculation is declared in column 080 on line 140.
The institution calculates in accordance with Article IX.31 the total of uncompensated weighted long (short) positions for the maturity ranges in each of the zones to determine the uncompensated weighted long (short) positions for each zone. The part of the uncompensated weighted long position of a given zone that is equal to the uncompensated short position of the same zone is the compensated weighted position of this zone. The institution declares the compensated weighted position calculated for each of the zones in the respective lines (150, 155 and 160).
The part of the uncompensated weighted long or short position for a zone that cannot be compensated in the manner described above constitutes the uncompensated weighted position for this zone. The institution calculates the compensated weighted positions between the zones as well as the uncompensated weighted position between the zones.

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uncompensated residual amount in accordance with Article IX.32 and declares them in column 080 (in rows 170 to 190).
7. Column 100 displays the own funds requirements based on the amounts in
column 080 and the corresponding own funds requirements according to the provisions set out in Article IX.33 (column 090).
8. For columns 010 to 050, the amounts to be declared in row 100 correspond to the
sum of the amounts in the underlying rows 110 to 130. In columns 080 and 100, the amounts to be declared in row 100 correspond to the sum of the amounts in rows 140 to 190.

c) Specific instructions for duration-based general risk

The gross long and short positions for each debt security and other
similar instruments are classified respectively in columns 010 and 020 in one of the zones (zone 1, zone 2 and zone 3) according to the provisions provided for in
Article IX.36, taking into account Articles IX.34 and IX.35.
For firm commitments and performance guarantees for debt securities,
the institution may use the provisions provided for in Articles IX.65 and IX.66.
These positions are declared in column 030. Due to the negative sign in the column header, the values to be reported are preceded by a negative sign.
The net long and short positions (cf. Article IX.14), taking into account the
Articles IX.65 and IX.66, are declared respectively in column 040 and in column 050.
At column 080, the institution declares the duration-weighted compensated
positions for each zone (row 240), as provided for in Article IX.38. It obtains them by multiplying the net positions from columns 040 and 050 by the modified duration and the assumed variation in interest rates for each zone (column 3 of the table in Article IX.36).
The part of the uncompensated weighted long or short position for a
zone that cannot be compensated in the manner specified above constitutes the uncompensated weighted position for that zone. The institution calculates the weighted compensated positions between zones as well as the residual uncompensated weighted position in accordance with Article IX.32 and declares them in column 080 (in rows 250 to 280).
Column 100 mentions the own funds requirements based on the
amounts at column 080 and the corresponding own funds requirements according to the provisions provided for in Article IX.39 (column 090).

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7. For columns 010 to 050, the amounts to be declared in row 200
correspond to the sum of the amounts in the underlying rows 210 to 230. In columns 080 and 100, the amounts to be declared in row 200 are the sum of the amounts in rows 240 to 280.

d) Specific instructions concerning specific risk

Columns 010 and 020 display the gross long and short positions according
to the applicable issuer categories of the table in Article IX.25. The operations of the third row of the table in Article IX.25 are declared according to the residual maturity (rows 330 to 350).
In the case of a firm commitment and a performance guarantee for debt
securities, the institution may make use of the provisions provided for in Articles IX.65 and IX.66. These positions are declared in column 030. Due to the negative sign in the column header, the values to be reported are preceded by a negative sign.
Columns 040 and 050 display the net long and short positions (in
absolute value), taking into account Articles IX.65 and IX.66.
In columns 060 and 070, the institution declares the reductions in the
net positions, which are subject to specific risk due to credit derivatives according to the provisions provided for in Articles IX.49 to 53. Due to the negative sign in the column header, the values to be reported are preceded by a negative sign.
The resulting final net position is declared in column 080.
Column 100 displays the own funds requirements based on the amounts
of column 080 and the corresponding own funds requirements according to the provisions provided for in Article IX.25 (column 090).
Securitization operations referred to in Article IX.25 that are subject to a
weighting of 1250% are declared in a separate line (row 380).
For columns 010 to 100, the amounts to be declared in row 300
correspond to the sum of the amounts in the underlying rows; per column, the amount of row 320 is equal to the sum of the amounts for the 3 underlying rows.

e) Specific instructions for the line "Particular approach for position risk on UCITS"

To the extent that the institution knows the underlying of the UCITS and that the
requirements provided for in Articles IX.58 to IX.62 are satisfied, the debt securities and similar instruments underlying the UCITS, calculated according to the standard approach, are declared in this report. Institutions may make use of the approaches provided for in Articles IX.24 to IX.39 to calculate the own funds requirements. These positions are therefore declared in accordance with the provisions exposed above (see points b, c and d) for these approaches.
When the institution determines the own funds requirements based on
Article IX.55, these positions are declared in row 400. The UCITS positions
to which the limitation provided for in Article IX.62, (c), applies, are also declared in this line.

f) Specific instructions concerning the line "Other non-delta risks on options"

Institutions that, for the purpose of calculating net positions, allocate their
interest rate options and debt securities based on delta are subject to the calculation of own funds requirements related to the gamma and vega of options that they have bought or sold as part of their trading portfolio and whose underlying instruments are debt securities or interest rates. The requirements related to gamma and vega are calculated in accordance with
Article IX.18, paragraph 5 (and corresponding comment).
Row 700 displays the declared sum of requirements related to gamma and vega calculated for each currency 2.
Institutions must not proceed with this calculation if their internal model
takes into account the options and the gamma and vega risks associated with them.

g) Specific instructions concerning the alternative treatment of options

Institutions that do not allocate their option positions on the basis of
delta for the calculation of net positions in debt securities, apply one of the two following methods for calculating requirements related to their options 3.
In accordance with the provisions of Article IX.86, the institution may
also, with the agreement of the CBFA, calculate its own funds requirement related to general risk based on a scenario analysis for portfolios of options on debt securities or interest rates and the hedging positions related thereto (only for interest rate options, debt securities and securities as referred to in point 2 of the general instructions of this table). In this case, it does not take into account the options in question and the hedging positions related thereto, for establishing the positions referred to in

2 The gamma and vega requirements for currency options in the trading portfolio are included in table 90.12.
3 Currency options in the trading portfolio can be treated on the basis of the simplified method or on the basis of the scenario method whose results are included in table 90.12.

Reporting Own Funds
2010 the calculations of requirements referred to in the lines mentioned in points b) and c) of the specific instructions of this table. Institutions using this method must not proceed with the calculations referred to in point f). Institutions using this method calculate the own funds requirement in accordance with the method described in Article IX.86 and mention it in row 800. The use of this method does not prejudice the obligation to take into account options, on the basis of their delta, in the positions serving to calculate the requirement related to specific risk (see point d).
3. The simplified method for the treatment of options is that provided for in
Article IX.18, paragraph 6. When an institution uses this simplified
method, it entirely excludes options on debt securities or interest rates, from the positions serving to calculate the own funds requirements related to specific risk and general risk. Institutions using this method must not proceed with the calculations referred to in point f). The institution applies the method described in Article IX.18, paragraph 6, of the regulation separately for each of the options on debt securities or interest rates of the trading portfolio. The sum of the requirements calculated separately for each option is included in row 900.

h) Treatment of forward transactions

Institutions must take into account, for determining their net positions
in debt securities, the positions resulting from their forward transactions, concluded within the framework of the trading portfolio, which expose them to interest rate risk.
Forward transactions are converted into long and short positions in the underlying or notional instruments according to the principles described below;
Foreign exchange forward operations and currency futures: each operation is treated as a long position (amount to receive) in one currency and a short position (amount to deliver) in the other currency.

Long and short positions are treated as if they were zero-coupon bond positions having as maturity the settlement date of the foreign exchange forward transaction.
For the calculation of specific risk, long and short positions are not included in point d) of this table.
For general risk calculated on the basis of the residual maturity method, long and short positions are taken into account at their market value, respectively for the currencies concerned in the maturity ranges corresponding to the maturity date of the foreign exchange forward transaction.
For general risk calculated on the basis of the duration method, long and short positions are taken into account, respectively for the currencies concerned, on the basis of their own modified duration.

Reporting Own Funds
2010
4. Currency options in the trading portfolio are treated as a long position in the currency to be received and a short position in the currency to be delivered at the exercise date of the option. The positions are included for the market value of the underlying cash flows multiplied by the delta of the option at the end of the calculation of general and specific risk 4.

For the calculation of specific risk, the positions are not included in
point d) of this table.
For the calculation of general risk, the positions are included, in the
maturity ranges (or duration zone), corresponding to the exercise date of the option (or duration of the positions), and this in their respective currencies.

Interest rate futures contracts are treated as a combination of a zero-coupon type loan (borrowing) maturing at the settlement date of the contract and a loan (borrowing) maturing at the date when the contract expires plus the duration of the underlying.

When the institution calculates general risk on the basis of the "residual maturity" method, the positions are included at their market value and such that the long (short) position is classified according to the date when the contract expires while the short (long) position is classified according to the date when the contract expires plus the duration of the underlying.
When the institution calculates general risk on the basis of the "duration" method: it calculates the market value and modified duration of each short and long position as if they were positions in securities as described above. It allocates the positions in the table according to their own modified duration.
Long and short positions are not included for the calculation of
specific risk of this table.

Forward purchase (sale) commitments for securities and negotiable instruments are treated as a combination of a loan (borrowing) maturing at the delivery date and a long (short) position in the security itself 5 (or the notional obligation for a future). The positions are included for the following amounts:

when it is a forward purchase/sale commitment, the value of the
obligations to be delivered or received based on the spot price;
when it is a bond future, one of the two following methods
can be applied:

4 When the institution does not convert currency options in the trading portfolio into underlying instruments on the basis of delta for the purposes of the calculations referred to in table 90.10, the requirement related to these options is treated in table 90.12. 5 Forward purchases/sales of property titles, gold and other precious metals from the trading portfolio are broken down in the same way. For these operations, the amount of the loan (borrowing) must be taken into consideration in the calculation of the general risk of debt securities in table 90.10.

Reporting Own Funds
2010 i) the market value of the notional obligation on which the future is based, calculated as the notional amount of the contract multiplied by the price of the contract; ii) taking into account points a) and b) below, the position can be based on the value of one of the "deliverable" obligations, calculated on the basis of the contract price and the conversion factor; a) when, according to the terms of the contract, the short counterparty (that which sells the future), has the choice of the deliverable obligation, the long counterparty can base itself on one of the deliverable obligations, or on the notional obligation, but it cannot compensate its long position with a spot position in the same obligation; b) when, according to the terms of the contract, the "short" counterparty has the choice of the deliverable obligation, it can treat the notional obligation on which the contract is based as one of the deliverable obligations, which can be compensated with a long spot position in the same deliverable obligation.

For general risk calculated on the basis of the "residual maturity" method, the positions are included such that the long (short) position represents the date when the contract expires while the short (long) position is included based on the maturity date, or rate reset date, of the security or instrument subject to the transaction.
For general risk calculated on the basis of the "duration" method: long and short positions as described above are included on the basis of their market value and own modified duration (modified duration of the obligation or the notional obligation underlying the contract).
For the calculation of specific risk, the loan (borrowing) is not taken into account in the lines of table 90.10, whereas the debt security to be received (or delivered) is taken into account in the position of the debt security which is classified in the row corresponding to its issuer.

Interest rate swaps and currency and interest rate swaps are treated as the combination of long positions (for the interest portion to be received) and short positions (for the interest portion to be paid) in securities, in the currency(ies) concerned, with a nominal amount equivalent to the notional amount and bearing a coupon identical to the interest rate provided for by the forward contracts in question (thus on one side a variable interest rate security and on the other a fixed interest rate security).

When the institution calculates general risk on the basis of the "residual maturity" method, the positions are included such that the
long (short) position is classified according to the date when the contract expires (fixed rate) while the short (long) position is classified

Reporting Own Funds
2010 according to the maturity date, or rate reset date, of the underlying (variable rate). The positions are included for their own market value (present value of the financial flows related to the swaps). Thus, the interest rate swap for which the institution receives the variable interest rate and pays the fixed interest rate is treated as a long position having as maturity the duration of the rate revision and a short position having as maturity the expiration date of the swap contract.

When the institution calculates general risk on the basis of the "duration" method, it calculates the modified duration of each short and long position as if they were positions in securities as described above and multiplies it by the market value of these positions.
It classifies the positions in the table according to their own modified duration.
Both components (long and short positions) of currency and interest rate swaps are included for the calculation of general risk (whether based on "residual maturities" or "duration") in their respective currency.
Long and short positions are not included for the calculation of
specific risk in the lines of table 90.10.

Options on fixed income securities and negotiable instruments as well as options on interest rates are treated as a combination of a long spot position in the underlying element, for bought calls and sold puts (short for sold calls and bought puts) and a loan (borrowing) having as maturity the date when the underlying takes effect. The positions are included for the market value of the underlying element multiplied by the delta of the option at the end of the calculation of general and specific risk. Thus, for general risk (calculated on the basis of the "residual maturity" method) the purchase in April of a call option on a three-year bond, is classified in the table as a three-year long position in the bond multiplied by the delta of the option. "Interest rate caps and floors" contracts are treated as a (series of) option(s) on interest rate futures contracts. Thus, floating rate interest-bearing securities with cap or floor will be treated as a combination of a rate-revisable security and a series of issued options, whose underlying is an interest rate futures contract. Thus, the holder of a 3-year bond whose rate will be revised every six months at the Libor rate with a cap of 15% will be treated as

a bond whose rate is revised in six months;
a series of 5 sold call options whose underlying is an interest rate futures contract with a reference rate of 15%.

Just like options on interest rate futures, options on other derivative instruments, such as swaptions, options on futures, are treated as if they were positions in the underlying instruments whose value is multiplied by the delta (= delta equivalent). The underlying instruments are themselves broken down into long and short positions, in accordance with the instructions given above. When the institution does not convert the

Reporting Own Funds
2010 options into underlying instruments on the basis of delta, the requirement related to these options is calculated in accordance with the provisions described in point g). Warrants and covered warrants are treated as options.
10. For other forward instruments possibly included in the trading portfolio, institutions consult the CBFA.

Specific provisions for forward transactions

Instead of the decompositions exposed above for forward transactions subject to this table, institutions may use, with prior agreement of the CBFA, a calculation method referred to in Article IX.21 of the regulation to determine the positions resulting from forward transactions. This method must meet the conditions fixed by this article of the regulation.
The institution that does not apply the method described in point 1 above may treat as fully compensated any position in forward instruments subject to this chapter, which satisfies the following conditions:
the positions have the same value and are denominated in the same currency; the reference rates (for variable rate positions) or coupons (for fixed rate positions) are closely aligned; the interest rate reset date where, for fixed coupon positions, the residual maturity respects the following limits:
. less than one month: same day;
. from one month to one year: within seven days; . more than one year: within thirty days.

i) Table 90.10 on a consolidated basis

Each institution that is subject to consolidated control of compliance with
own funds requirements submits a Table 90.10 on a consolidated basis established as follows:
The institution mentions the un-compensated addition (in absolute value) of
debt security positions by issuer type (central governments, eligible, others) of the companies included in the consolidation. It multiplies these positions (column 080) by the weighting factors to obtain the requirement related to specific risk (column 100). For other lines, the institution adds the amounts and requirements referred to in these lines and calculated separately for each of the companies included in the consolidation, taking into account their own trading portfolio of debt securities.
By derogation from what is specified in point 2 above, and subject to its
prior authorization by the CBFA, compensation between positions of

Reporting Own Funds
2010 companies included in the consolidation is authorized if the conditions of
Article III.8, § 2, of the regulation are met. If applicable, the
institutions take this into account to complete Table 90.10 on a consolidated basis.

Reporting Own Funds
2010
Table 90.11 – Market Risk: Standard Approach for Equity Position Risk
a) General Instructions

This table must be prepared by all institutions subject to the provisions of the regulation on own funds - except those benefiting from the possibility offered by Article I.9 - and concerns the requirements referred to in Title IX, Chapter 3, Chapter 4 and Chapter 5 of this regulation.
The elements belonging to the trading portfolio that are covered by the requirements of Table 90.11 are equity securities (shares) and other similar instruments whose market value evolves equivalently to an equity security. Specifically included are:
a. shares and fund units, as well as other values assimilable to shares such as stock exchanges composed of equity securities (excluding preferred shares which are considered interest-bearing securities in Table 90.10); b. warrants and covered warrants relating to shares and fund units;
c. interest-bearing securities convertible into shares and fund units insofar as they are not treated as debt securities of the trading portfolio in Table 90.10;
d. forward transactions and options on the items mentioned above.
Information is provided in an aggregated manner (for all markets together), notwithstanding the fact that the requirements for general risk are calculated separately for each individual market. When the same equity security is traded on two different markets, institutions may consider it as a single position that is traded on the issuer's main market (for the calculation of general risk). However, when it appears, on a statistical basis, that the price divergence of the same share listed on two markets exceeds 2%, positions on the two markets in question must be treated separately. When these positions are expressed in different currencies, they are converted into the currency of the issuer's main market based on the spot exchange rate.
In the calculation of requirements, positions are evaluated at market value. Currency positions are converted into EUR based on the spot exchange rate (average rate between the buying and selling rate on the spot market on the reporting date).
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5. Institutions must calculate the net position for each of the same equity securities or similar instruments of the trading portfolio referred to in point 2.
6. The net position in the same equity security or similar instrument of the trading portfolio corresponds to the excess of the long (short) position compared to the short (long) position in that security. Thus, for the calculation of their net position in an equity security, institutions take into account:
a. long and short cash positions 6 ; Positions resulting from settlement-in-progress transactions on equity securities are considered as cash positions; b. long and short forward positions. Forward instruments, options on equity securities, warrants and covered warrants are treated as positions in the underlying equity security(ies). Options are taken into account in positions based on their delta (equivalent delta) unless the institution treats them in accordance with the provisions of the "simplified" method (cf. Article IX.43, paragraph 6) or the "scenario" method (cf. Article IX.86). Index positions of equity securities can be treated as positions in the equity securities composing the index (cf. Article IX.45).
c. the long or short position in securities convertible into shares which can be considered by the institution as a position in the underlying share multiplied by the delta of the implicit option to these securities. The positions thus obtained can be offset with opposite sign positions in identical underlying securities or derivative instruments. However, 10% of positions offset by positions resulting from the conversion of convertible securities remain subject to the calculation of general and specific requirements (cf. Article IX.44).
d. the position resulting from a firm commitment and guarantee in the context of issuing equity securities. The position is included from the business day provided for in Articles IX.65 and IX.66.
7. To be considered as the same equity securities, the issuer of the securities and the issue must be identical.
8. Institutions benefiting from the possibility offered by Article I.9 do not take into account the provisions of Table 90.11. They declare the exposures referred to from the trading portfolio in the risks treated in

6 Regarding securities of the trading portfolio put on repo or lent, institutions always consider that these securities are part of their trading portfolio for the calculation of requirements referred to in Tables 90.10 and 90.11. Regarding borrowing or repo operations of equity securities, used within the framework of their trading portfolio (these operations must meet the conditions of Title I, Chapter 3), institutions take these securities into account for the calculation of their net positions in Tables 90.10 and 90.11 (the repo or borrowing operation is broken down into a long cash position and a short forward position representing the obligation to return the securities at the maturity of the repo or borrowing). 97

Reporting Own Funds
2010 tables 90.03, 90.04 or 90.05 as regards credit risks related to these exposures.
9. Institutions may calculate their own funds requirements related to general and specific risk of the trading portfolio in equity securities using either the standard method or their own internal model (Title IX, Chapter 8). The CBFA may authorize the combined use of these two methods. In this case, Tables 90.11 and 90.14 must be completed accordingly.
b) Specific Instructions concerning General Risk

All long and short positions for equity securities and other similar instruments are classified respectively in columns 010 and 020.
For firm commitments and guarantees of good performance of equity securities, the institution may use the provisions provided for in Articles IX.65 and IX.66. These positions are declared in column 030. Due to the negative sign in the column title, the values to be reported are preceded by a negative sign.
Net long and short positions as referred to in Article IX.41, taking into account Articles IX.65 and IX.66, are declared respectively in columns 040 and 050.
Column 060 displays the aggregated net positions in line 100 provided for general risk (cf. Article IX.48).
Column 080 displays the own funds requirements based on the amount in column 060 and the corresponding own funds requirements according to the modalities provided for in Article IX.48 (column 070).
c) Specific Instructions concerning Specific Risk
All long and short positions for equity securities and other similar instruments are classified respectively in columns 010 and 020. A distinction is made in this regard between diversified portfolios consisting of shares and other similar securities which are very liquid and meet additional conditions (provided for in Article IX.47, § 2) and other positions (respectively lines 210 and 220).
For firm commitments and guarantees of good performance of equity securities, the institution may make use of the provisions of Articles IX.65 and IX.66. These positions are declared in column 030. Due to the negative sign in the column title, the values to be reported are preceded by a negative sign.
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3. Net long and short positions as provided for in Article IX.41, taking into account Articles IX.65 and IX.66, are declared respectively in columns 040 and 050.
4. Column 060 displays total net positions. The portfolio is split according to the provisions of Article IX.47, §§ 1 to 3, and positions that are exempt from own funds requirements are no longer reported there.
5. Column 080 displays the own funds requirements based on the amounts in column 060 and the corresponding own funds requirements according to the modalities provided for in Article IX.47, §§ 1 to 3 (column 070).
6. For columns 010 to 050, the amount to be declared in line 200 corresponds to the sum of the underlying lines 210 and 220.
d) Specific Instructions concerning the line "Particular Approach for Position Risk on UCITS"

Where the institution knows the underlying of the UCITS and the requirements provided for in Articles IX.58 to IX.62 are met, the debt securities and similar instruments underlying the UCITS, calculated according to the standard approach, are declared in this report. Institutions may make use of the approaches provided for in Articles IX.40 to IX.48 to calculate own funds requirements. These positions are therefore declared in accordance with the provisions mentioned above (see points b and c) for these approaches.
When the institution determines own funds requirements based on Article IX.55, these positions are declared in line 300. UCITS positions to which the limitation provided for in Article IX.62, (c), applies, are also declared in this line.
e) Specific Instructions concerning the line "Other non-delta risks on options"
Institutions that, for the purpose of calculating net positions, attribute their equity options based on delta are subject to the calculation of own funds requirements related to the gamma and vega of their purchased or issued options within the framework of their trading portfolio. The requirements related to gamma and vega are calculated in accordance with Article IX.43, paragraph 5 (and corresponding commentary).
Institutions do not carry out this calculation if their internal model takes into account options and the gamma and vega risks associated with them.
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2010 f) Specific Instructions concerning the alternative treatment of options

The institution that does not attribute its equity option positions based on delta for the calculation of net positions in equity securities, applies one of the following two methods for calculating requirements related to its options.
In accordance with the provisions of Article IX.86 of the regulation, the institution may also, with the agreement of the CBFA, calculate its own funds requirements related to general risk based on a scenario analysis for portfolios of equity options and hedging positions related thereto. In this case, it does not take into account the options referred to and the hedging positions related thereto for determining positions as provided in the calculation of requirements in the lines provided for general risk in Table 90.11. The institution using this method must not carry out the calculations referred to in point e). The institution using this method calculates the own funds requirement in accordance with the method described in Article IX.86 and mentions it in line 800. The use of this method does not prejudice the obligation to take into account options, based on their delta, in the positions serving to calculate the requirement related to specific risk (see point c)).
The simplified method for the treatment of options is that provided for in Article IX.43, paragraph 6, of the regulation. When the institution uses this method, it entirely excludes equity options from the positions serving to calculate own funds requirements related to specific risk and general risk. The institution must not furthermore carry out the calculations referred to in point e). The institution applies the method described in Article IX.43, paragraph 6, separately for each of its equity options or indices of the trading portfolio and mentions the sum of the requirements that have been calculated separately per option, in line 900.
g) Treatment of forward transactions
Institutions must take into account, for determining their net positions in equity securities, positions resulting from their forward transactions, concluded within the framework of the trading portfolio, which expose them to a market risk comparable to a market risk on equity securities. Equity forward transactions are treated as follows:
Forward purchase/sale contracts and financial forward contracts (futures) on equity securities and stock indices are treated as the combination of a loan (borrowing) maturing at the maturity date of the contract and a long (short) position in the underlying elements. Positions are recorded at the spot market value of the underlying securities. Amounts to be paid (borrowing) or received (loan) within the framework of these operations must be taken into account for the calculation of general risk in Table 90.10.
Options on equity securities and indices are treated as if they were long positions in the underlying instrument of the option, for purchased calls and sold puts (short for sold calls and purchased puts), multiplied by the delta. When the institution does not convert options into underlying instruments based on delta, the options in question are subject to the provisions of the "scenario" method and the "simplified" method. Warrants and covered warrants are treated as options.
Contracts exchanging an equity security or an index (or their yield) against another security or an interest rate are broken down into long and short positions respectively in the underlying instruments. Thus, when the contract consists of the exchange of a share yield (to be paid) against an interest rate (to be received) (debt/equity swap), the part relating to the interest rate is considered as a long position in debt securities in the calculations referred to in Table 90.10, while the part relating to the share is considered as a short position in the share for the calculations referred to in Table 90.11.
For other forward transactions included in the trading portfolio, the institution consults the CBFA.
h) Table 90.11 on a consolidated basis
Each institution that is subject to consolidated supervision of compliance with own funds requirements submits a Table 90.11 on a consolidated basis established as follows:
As regards specific risk, the institution mentions in the columns the unoffset addition (in absolute value) of equity security positions - by category of securities - of each of the companies included in the consolidation. It multiplies the net positions obtained (unoffset) by the corresponding own funds requirements (column 070) to obtain the requirement related to specific risk (column 080). As regards other lines, the institution adds the requirements referred to in these lines calculated separately for each of the companies included in the consolidation taking into account their own trading portfolio in equity securities.
By derogation from what is specified in point 1 above and subject to its prior authorization by the CBFA, offsetting between positions of companies included in the consolidation is authorized if the conditions of Article III.8, § 2, of the regulation are met. If applicable, the
101

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2010 institutions take this into account to complete Table 90.11 on a consolidated basis.

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2010
Table 90.12 – Market Risk: Standard Approach for Exchange Rate Risk
a) General Instructions

This table must be prepared by all institutions subject to the regulation on own funds and concerns the requirements referred to in Title IX, Chapter 6, of this regulation.
For the calculation of exchange rate risk, institutions use either the calculation method referred to in Title IX, Chapter 6, of the regulation, or the internal models method referred to in Chapter 8. The reporting of own funds requirements according to Chapter 6 is done based on Table 90.12. The reporting of own funds requirements according to the internal model is done according to Table 90.14. When the CBFA authorizes an institution to calculate its own funds requirements both by applying a standard approach and by using an internal model, Tables 90.12 and 90.14 are completed accordingly.
Currency positions (except the reporting currency) are converted into EUR. Gold positions are converted based on the EUR price of one gram of gold. By "price", we mean the average rate between the buying and selling rate on the spot market on the reporting date.
Physically held gold is taken into account in the requirements referred to in Table 90.12.
b) Specific Instructions concerning the reporting of exchange rate risk
For each of the groups of currencies and gold mentioned in the lines, the sum of gross long positions and the sum of gross short positions are mentioned respectively in columns 010 and 020. A separate line is provided specifically for currencies presenting a close correlation (see Article IX.76) as well as those falling under a legally binding agreement (see Article IX.77) (respectively lines 300 and 200). A separate line is also provided for "other currencies" (lines 400). It includes the exchange positions of UCITS (see Article IX.69, last paragraph).
Long and short positions referred to in Article IX.69, paragraph 4, are declared respectively in columns 030 and 040, with the authorization of the Commission.
The net position is calculated per currency in accordance with Article IX.69. Net long positions are declared in column 050, net short positions in column 060.
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4. Offset positions according to Articles IX.76 and IX.77 are declared in column 090.
5. Calculated own funds requirements are declared in column 130.
6. Unoffset long and short positions on currencies presenting a close correlation and/or unoffset long and short positions on currencies subject to a legally binding agreement are added in columns 070 and 080 to net long and net short positions in other currencies as provided for in Articles IX.76 and IX.77. Own funds requirements are declared in column 130 in accordance with Articles IX.72, IX.73 and IX.76.
7. Gold positions are declared on a separate line (500) according to the provisions above, with the exception of point 4, by calculating own funds requirements of column 130 in accordance with Article IX.74.
c) Specific Instructions for the line "Other non-delta risks for options on currencies"

Institutions that attribute their positions in options on currencies and gold based on delta are subject to a hedge requirement for gamma and vega risks in accordance with Article IX.78.
Net positions for options are declared in columns 070 and 080. Calculated own funds requirements are declared in column 130.
Institutions must not carry out this calculation if their internal model takes into account options and the gamma and vega risks associated with them.
d) Specific Instructions concerning the alternative treatment of options
Institutions that do not attribute their positions in options on equity securities based on delta calculate the requirement related to risks arising from positions resulting from these options using one of the following two methods:
In accordance with the provisions of Article IX.86 of the regulation, an establishment may also, with the agreement of the CBFA, calculate its own funds requirements based on a scenario analysis for portfolios of options on currencies and gold and hedging positions related thereto. In this case, the positions referred to and the hedging positions related thereto are deducted from the net positions in the previous lines. The establishment using this method must not carry out the calculations referred to in point c). The establishment using this method calculates the requirement in
104

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2010 own funds in accordance with the method described in Article IX.86 and mention it in line 800.
3. The simplified method for the treatment of options is that provided for in Article
IX.75 of the regulation. When an institution uses this method, it entirely excludes options on currencies and gold from the positions used to calculate the own funds requirements for other lines of Table 90.12. The institution must not further carry out the calculations referred to in point c). The institution applies the method described in Article IX.75 separately for each of its currency and gold options and mentions the sum of the requirements that have been calculated separately per option, in line 900. e) Specific instructions concerning the reporting of currency positions

All composite and simple currencies in which the institution
conducts business must be included in this part of the table (in columns 010 to 060). Composite currencies are currencies such as basket currencies, the value of which evolves according to the evolution of the value of the different currencies that compose them.
Currencies and gold are included on the basis of their ISO code to be mentioned in
the first column of the table. f) Table 90.12 on a consolidated basis
Each institution subject to consolidated supervision of compliance with own funds
requirements completes a Table 90.12 on a consolidated basis as follows:
For each of the entities included in the consolidation, the net positions in
currencies and gold are calculated separately. The institution adds without offsetting the aforementioned positions and mentions the result of this addition in the columns. With regard to lines 800, 900 and 600, the institution adds the requirements referred to in these lines calculated separately for each of the companies included in the consolidation.
By way of derogation from what is specified in point 2 above, and subject to its
authorization by the CBFA, offsetting between positions of companies included in the consolidation is authorized (cf. Article III.8, § 2, of the regulation). Thus, the institution calculates the positions for the group as a whole.

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Table 90.13 – Market risk: standard approach for commodity risk
a) General instructions

This table must be prepared by all institutions subject to the regulation
on own funds and concerns the requirements referred to in Title IX, Chapter 7, of this regulation.
For the calculation of commodity risk, institutions use either
the maturity-based calculation method or the simplified method, both standard approaches described in Article IX.82 of the regulation, or the internal model method referred to in Chapter 8 of this Title. The reporting of own funds requirements according to the standard approaches is done on the basis of
Table 90.13. The reporting of own funds requirements according to the internal
model is done according to Table 90.14. If the CBFA authorizes an institution to calculate its own funds requirements both by means of a standard approach and by means of an internal model, Tables 90.13 and 90.14 are completed in consequence.
The calculation of the requirement must be performed for each commodity
separately (including precious metals other than gold) on the basis of the methods described in Article IX.82 of the regulation. In this regard, the provisions of
Article IX.80 are taken into account.
The calculated requirements are declared in an aggregated manner by groups
of main commodity products as follows:
Precious metals (other than gold)
Base metals
Non-perishable products (agricultural)
Others, including energy products
To this end, the following codes are used at the top of the reporting table:
“1” = Precious metals (other than gold)
“2” = Base metals
“3” = Non-perishable products (agricultural)
“4” = Others, including energy products
Physically held commodities are taken into account in the
requirements referred to in this table.
Each position in commodities or in commodity derivative instruments is expressed in standard units of measurement. The conversion is done at the
euro spot rate.
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The sum of gross long positions and the sum of gross short positions
in a given commodity are allocated to the appropriate zone on the basis of the underlying maturity bands, respectively in columns 010 and 020 in accordance with Articles IX.81 and IX.82. Physical stocks are allocated to the first maturity band.
Columns 030 and 040 display net positions according to the provisions
provided for in Article IX.82, § 2, a).
Column 050 displays the offset position in the same bands, the
offset position between two bands and the non-offset position determined according to the provisions provided for in Article IX.82, § 2, (b).
The own funds requirements in column 070 are obtained by multiplying the
positions in column 050 for each commodity by the corresponding own funds requirements in the intermediate column 060 as determined in Article IX.82, § 2, (c).
For columns 010 to 040, the amount to be declared in line 100 corresponds to the
sum of the amounts in the intermediate lines 110 to 130 in the relevant columns. In columns 050 and 070, the amount to be declared in line 100 corresponds to the sum of the amounts in lines 140 to 160 of these columns. c) Specific instructions concerning the simplified approach
In line 300, the sum of gross long positions and the sum of gross short
positions are declared respectively in columns 010 and 020. Offset positions are declared in this line in columns 030 and 040.
Column 050 displays the positions for which an own funds
requirement is calculated in accordance with Article IX.82, § 3, namely:
i. The sum of net long or short positions; and
ii. The sum of gross long and short positions.
The own funds requirements of column 070 are obtained by multiplying the
positions in column 050 for each commodity by the percentages corresponding to column 060. d) Specific instructions for the line “Other non-delta risks for options on commodities”
Institutions that allocate their commodity option positions
on a delta basis are subject to a gamma and vega risk hedging requirement. (In accordance with Article IX.81, § 3, paragraph 5) 107

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2. Net positions for options are declared in column 050. The
own funds requirements are declared in column 070.
3. Institutions must not carry out this calculation if their internal model
takes into account options and the gamma and vega risks associated with them. e) Specific instructions concerning the alternative treatment of options

Institutions that do not declare their commodity option positions
on a delta basis calculate their requirement related to risks arising from these positions using one of the two methods following:
In accordance with the provisions of Article IX.86 of the regulation, an
institution may also, with the agreement of the CBFA, calculate its own funds requirements on the basis of a scenario analysis for commodities and the hedging positions related thereto. In this case, the options concerned and the hedging positions related to them are deducted from the net positions in the preceding lines. The institution that uses this method must not carry out the calculations referred to in point d). The institution that uses this method calculates the own funds requirement in accordance with the method described in Article IX.86 and mentions it in line 800.
The simplified method (line 900) for the treatment of options is that provided for
in Article IX.81, § 3, paragraph 6, of the regulation. When an institution uses this method, it entirely excludes commodity options from the positions used to calculate the own funds requirements for other lines of
Table 90.13. The institution must not further carry out the calculations referred
to in point d). f) Table 90.13 on a consolidated basis
Each institution subject to consolidated supervision of compliance with own funds
requirements completes a Table 90.13 on a consolidated basis as follows:
For each of the entities included in the consolidation, the net positions in
commodities are calculated separately. The institution adds without offsetting the aforementioned positions and mentions the result of this addition in the columns. With regard to lines 800, 900 and 600, the institution adds the requirements referred to in these lines calculated separately for each of the companies included in the consolidation. 108

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3. By way of derogation from what is specified in point 2 above, and subject to its
authorization by the CBFA, offsetting between positions of companies included in the consolidation is authorized (cf. Article III.8, § 2, of the regulation). Thus, the institution calculates the positions for the group as a whole.

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Table 90.14 – Market risk: internal model
a) General instructions

This table must be completed by all institutions subject to the
provisions of the regulation on own funds - except by those who benefit from the possibility offered by Article I.9 - and concerns the requirements referred to in Title IX, Chapters 8 and 10, of this regulation.
If their internal model does not take into account options and the gamma
and vega risks associated with them, institutions calculate and declare them in accordance with Title IX, Chapters 2, 3, 6 and 7 (in Tables 90.10, 90.11,
90.12 and 90.13).
b) Column commentary
Column 010 displays the average daily value at risk over the previous sixty business days, multiplied by the multiplier factor that will have been set by the CBFA for each institution.
In column 020, the institution declares the previous day's value at risk as calculated by the model.
In column 030, the institution declares specific risk under Article IX.87.
If applicable, column 040 displays the requirement for additional default risk provided for in Article IX.84, § 5.
In column 050, the institution declares the calculated own funds requirement which is expressed as the highest of the amounts in columns 010 and 020 increased by the amounts in columns 030 and 040.
Column 060 displays the number of breaches highlighted by the institution's ex post control for the last 250 business days.
The multiplier referred to in Article IX.85, § 4, is declared in column 070.
c) Line commentary
In line 050, the columns are completed for the total of operations for
which the institution has used for position risk and/or foreign exchange risk and/or commodity risk its own internal risk management model. 110

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2. The data are first broken down for debt securities and equity securities. If, using the model, a distinction can be made between the loss due to specific risk and that due to general risk, the part of the probable loss due to general risk and due to specific risk is declared in the corresponding lines. This data is broken down according to general risk and specific risk according to the provisions provided for in Articles I.2, (88) and (89).
3. Furthermore, columns 010 and 020 are completed for foreign exchange risk and commodity risk.
4. Finally, a separate line (500) is provided for total general risk (taking into account correlation effects if applicable) and a line (600) for total specific risk (taking into account correlation effects if applicable).
d) Table 90.14 on a consolidated basis

To the extent that the institution uses an internal model, approved by the
CBFA, which estimates with a certain degree of statistical probability, the maximum potential losses related to the positions of the trading portfolio of debt securities and/or equity positions and/or foreign exchange risk and/or commodity risk on a consolidated basis, it includes in this table the amount of the estimated losses in question.
To calculate the requirement, the multiplier factor that will be fixed by the CBFA for each individual company is taken into account.
If the model is not used on a consolidated basis, the institution adds the aforementioned probable losses calculated by the model separately on the basis of the own positions of each institution included in the consolidation.
Subject to its prior authorization by the CBFA, offsetting between positions of companies included in the consolidation is authorized, if the conditions set out in Article III.8, § 2, of the regulation are met.
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Table 90.15 – Market risk: internal model - details
a) General instructions

This table must be completed by all institutions subject to the
provisions of the regulation on own funds - except by those who benefit from the possibility offered by Article I.9 - and concerns the requirements provided for in Title IX, Chapters 8 and 10, of this regulation.
By derogation from the general guidelines, this table is prepared by the
institutions at each relevant level for the monitoring and control of market risks (cf. Circular D1 2002/4 of August 2, 2002), and this on a quarterly basis. b) Column commentary
Line 100 is completed by relevant level (see point 2 of the general instructions of this table). Columns 010 to 040 display information related to the regulatory calculation of VaR.
Column 010 specifies for which category/categories of instruments the regulatory model is valid. To this end, the following codes are used:
“1” = equity securities;
“2” = debt securities;
“3” = exchange rates;
“4” = commodities.
When a model applies to several categories of instruments, all relevant codes are mentioned.
Column 020 reproduces the calculation of specific risk for equity securities. To this end, the following codes are used:
“1” = specific risk is not modeled;
“2” = specific risk is modeled, including event and default risk; “3” = specific risk is modeled, except event and default risk (with the part of VaR concerning specific risk); “4” = specific risk is modeled, except event and default risk (with a calculation for trading sub-portfolios concerning specific risk).
Column 030 reproduces the calculation of specific risk for debt securities. To this end, the following codes are used:
“1” = specific risk is not modeled;
“2” = specific risk is modeled, including event and default risk; 112

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“3” = specific risk is modeled, except event and default risk (with the part of VaR concerning specific risk); “4” = specific risk is modeled, except event and default risk (with a calculation for trading sub-portfolios concerning specific risk).
5. Column 040 specifies what type of results is used to determine the multiplier. To this end, the following codes are used:
“1” = actual results for the days concerned;
“2” = hypothetical results for the days concerned on positions recorded at the end of the previous day.
6. Columns 050 and 060 are completed if the internal model standards used for internal purposes deviate from those of the internal model as used for regulatory purposes.
7. Column 050 displays the confidence interval of the internal model as it is used for internal purposes.
8. Column 060 displays the holding period of the internal model as it is used for internal purposes.
9. By relevant level as indicated in line 100 and in columns 010 to 060, columns 080 to 110 display the results of the internal model used for regulatory purposes from day 1 to day 92, where day 1 constitutes the first day of the past quarter. The results calculated by the internal model must be indicated one after the other.
10. Column 080 displays the potential loss calculated for the application of the multiplier, with a confidence interval of 99% and a holding period of 10 days.
11. Column 090 displays the potential loss calculated for the application of the multiplier, with a confidence interval of 99% and a holding period of 1 day.
12. The specific risk calculated per day is declared in column 100.
13. The supplement for additional default risk per day is declared in column 110.
14. Column 120 displays the daily VaR based on standards as used for internal purposes (see columns 050 and 060). The internal daily VaR limit based on these standards is declared in column 130.
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15. Columns 140 and 150 display hypothetical and actual daily value changes respectively. The institution only declares one of the two, depending on the ex post control used.
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Table 90.16 – Operational risk
a) General instructions

This table must be completed by all institutions subject to the provisions
on operational risk of the regulation on own funds - except by those who benefit from the possibility offered by Article III.3 - and concerns the requirements referred to in Title VIII of this regulation.
Institutions that use the Basic Indicator Approach, the Standard Approach and/or the Alternative Standard Approach and/or the derogatory regime for the activity line “Trading and Sales”, calculate the own funds requirement on the basis of end-of-year data (see the commentary of Article VIII.7 and Articles VIII.12 to VIII.15). The newly calculated own funds requirements are communicated from the reporting date, up to the end of the following financial year. This provision may be derogated from under Article VIII.9, with the authorization of the CBFA.
b) Specific instructions for BIA
Institutions that use the Basic Indicator Approach for the calculation of their own funds requirements for operational risk mention in columns 010 to 030 the operating result as determined in Article VIII.8 of the respective years. The calculated own funds requirement as defined in Article VIII.7 is declared in column 070 (line 100).
c) Specific instructions for TSA and ASA
Institutions that use the Standard Approach for the calculation of their own funds requirements for operational risk mention in columns 010 to 030, by individual activity line, the operating result as determined in Article VIII.14. The calculated own funds requirement, as defined in Article VIII.12, is declared in column 070 (line 200).
When an institution is authorized to use the temporary derogatory regime for the activity line “Trading and Sales”, the operating result by individual activity line is communicated in accordance with point 1 above, and Article VIII.22 is taken into account in the calculation of the own funds requirements to be communicated in column 070.
Institutions that have received authorization from the CBFA to use the Alternative Standard Approach for the calculation of their own funds requirements for operational risk communicate the operating result of the
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Reporting Own Funds
2010 individual activity lines in accordance with point 1 above, with the exception of the operating result of the activity lines “Retail Banking” and “Commercial Banking” (in lines 250 and 240). The operating result of these activity lines is communicated in columns 010 to 030 of lines 290 to 295. The amount of loans and advances granted, multiplied by a factor of 3.5% as provided for in Article VIII.19 is communicated in columns 040 to 060 of these lines. The calculated own funds requirement, as defined in Article VIII.19, is declared in column 070 (line 200). d) Specific instructions for AMA

Institutions that exclusively use the AMA approach for the calculation of their own funds requirements for operational risk communicate in column 070 of line 300 the calculated own funds requirements.
e) Specific instructions concerning combined use
As provided for in Article VIII.42, the CBFA may authorize an institution that calculates its own funds requirements for operational risk according to the Standard Approach or the Alternative Standard Approach, to temporarily combine the results of the method it uses with the results of a subsidiary that uses the Basic Indicator Approach. The institution declares in this case the operating result of this subsidiary in columns 010 to 030 of line 100. The operating result by activity line of the entities for which the Standard Approach or the Alternative Standard Approach is used is communicated in lines 210 to 295. The own funds requirements calculated according to the different approaches are communicated in column 070 of lines 100 and 200 according to the approach used.
As provided for in Article VIII.43, the CBFA may authorize an institution that calculates its own funds requirements for operational risk according to the Basic Indicator Approach, the Standard Approach or the Alternative Standard Approach to combine the results of the method it uses with the results of a subsidiary that uses the Advanced Measurement Approach. The institution communicates in this case the own funds requirements of the subsidiary in column 070 of line 300. The other own funds requirements calculated on a consolidated basis are declared in column 070 of the line(s) provided for the method used by the parent institution. The operating result of the activities (including that for which AMA is used) is communicated in columns 010 to 030 in the line(s) provided for the method used. If the Alternative Standard Approach is used, point c), 3, above applies.
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As provided for in Article VIII.44, the CBFA may authorize an institution that calculates its own fund requirements for operational risk according to the advanced measurement approach to combine the results of the method it uses with the results of a subsidiary, an activity line, or an agency that uses another method. In this case, the institution communicates the own fund requirements of the subsidiary, activity line, or agency to column 070 of the row(s) provided for the method used. The own fund requirements for activities subject to the advanced measurement approach are declared in column 070 of row 300. The operational result of activities – subject or not to the advanced measurement approach – is declared in columns 010 to 030 in the row(s) provided for the method used. If the alternative standard approach is used, point c), 3, above applies.

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Table 90.17 – Operational Risk: Gross losses by activity line and event types during the past year

a) General instructions

This table must be completed by all institutions subject to the provisions on operational risk in the regulation on own funds, which are authorized to calculate the own fund requirements for operational risk using the advanced measurement approach under Title VIII, Chapter 4 of the regulation.
By derogation from general directives, the table is communicated only on an annual basis, both at solo and consolidated level.
For each activity line (according to Article VIII.29), the table displays on an aggregated basis (summation) the number of events, the total loss amount, and the maximum individual loss per event type.

b) Commentary on columns

Institutions communicate in columns 010 to 070 the information requested in rows 100 to 920 (the number of events, the total loss amount, and the maximum individual loss) according to event types as provided in Article VIII.29, § 2.
Column 080 displays by activity line the total number of events, the total loss amount, and the highest maximum individual loss.
In columns 090 and 100, the institution mentions the minimum loss thresholds it has applied for the internal collection of loss data, in accordance with Article VIII.28, § 2. When a single minimum loss threshold is used for all event types per activity line, it is communicated in column 090. When several minimum loss thresholds have been set for an activity line, column 090 displays the lowest minimum loss threshold, and column 100 the highest threshold.

c) Commentary on rows

For each activity line, taking into account the minimum loss thresholds declared in columns 090 and 100, the institution must communicate by event type (as provided in Article VIII.29, § 2) the number of events, the total loss amount, and the maximum individual loss per event type.

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The “number of events” means the number of events occurring during the past fiscal year. When an event has an impact on several activity lines, it must be reported in each of the activity lines for which the minimum loss thresholds have been exceeded. At row 900, the event having had an impact on several activity lines will nevertheless be reported as constituting a single event. Consequently, the sum of the numbers of events for column 080 and row 900 will be lower than the aggregated number of events per activity line.
The “total loss amount” is the sum of losses in an activity line by event type as recorded in the internal database. Row 910 displays the sum of the loss suffered by event type.
The “maximum individual loss” is the highest individual loss for an event. Events having an impact on several activity lines are communicated in row 920 as constituting a single event. In this regard, the maximum individual loss communicated in column 080 and row 920 may be higher than the highest individual loss communicated per activity line.

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2010

Table 90.18 – Concentration Risk: Counterparty Concentration Risk

a) General instructions

This table must be completed by all institutions subject to the provisions on concentration risk in the regulation on own funds.
Table 90.18 must nominally mention risks on the same counterparty whose total gross amount, i.e., without taking into account guarantees and before application of weighting coefficients, is equal to or greater than 10% of the reporting institution's own funds.
The notion of “risks” refers to balance sheet and off-balance sheet items and elements covered by Articles X.1 to X.3 of the regulation on own funds of institutions (hereinafter the “regulation”).
By “aggregate of risks,” is meant the balance sheet and off-balance sheet items and elements covered by Article X.2.
The “total gross amount of risks” differs from the notion of “aggregate of risks” in that the former refers to items and elements covered by Articles X.7 to X.12 of the regulation, before application of the weighting coefficients provided for by these articles.
By “own funds,” is meant the own funds as defined in Articles II.1 to II.5 of the regulation, taking into account the provisions of Article III.4, § 2.
By “the same counterparty,” is meant the person or group of persons as defined in Article X.1 of the regulation.
Except for institutions using Articles X.11 and X.12, risks on the following counterparties must not however be notified:
x the European Communities; x central governments and central banks; x Belgian Regions and Communities when, based on Article X.7, a), these risks are not taken into account in the aggregate of risks.
When the total gross amount of risks on the same counterparty is less than 10% of the reporting credit institution's own funds, but the institution holds equity rights covered by Article 32, § 5, of the law of 22 March 1993 - constituting qualifying holdings - for an amount greater than 10% of its own funds, it must still prepare a Table 90.18 and fill in columns 010 to 040 as well as column 070.

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For the calculation on a consolidated basis of the total gross amount of risks and the aggregate of risks, risks are included by applying the provisions of Article III.8.
When the same counterparty comprises several persons, of which at least one credit institution or investment firm, the counterparty statement must be carried out in such a way that risks on credit institutions or investment firms and risks on persons other than credit institutions or investment firms are mentioned separately.

Example
Counterparty W a) credit institutions and investment firms 100 b) other persons 30 Total Counterparty W 130

When a group of related undertakings comprises several sub-groups which are to be considered, from the risk perspective for the application of concentration risk limitation standards, as distinct counterparties, it is necessary to provide - by group - a separate statement for each of the sub-groups concerned, in accordance with what is provided for in point 11 above.

Example
Group Z

sub-group Z1
a) credit institutions and investment firms 100 b) other persons 30 Total sub-group Z1 130
sub-group Z2
a) credit institutions and investment firms - b) other persons 30 Total sub-group Z2 30

Counterparties other than those covered in point 8 are included in Table 90.18. The nominal mentions of counterparties in Table 90.18 must be grouped according to the country of establishment of the counterparties concerned (in the case of groups of undertakings covered in point 12 above, according to the country of establishment of the parent company).

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Groups and sub-groups are identified by the name of the parent (or head) company of the group or sub-group.

b) Commentary on columns

In column 010, counterparties are identified by the code “GgggSssX”, in which
Gggg = Identification code of the counterparty and/or the group of related undertakings to which the counterparty belongs (see points 11 and 12 above). This code is a numerical code and follows the order in which the counterparty and/or the group of undertakings concerned is mentioned in the table (G001, G002, etc.). Sss = Identification code of a sub-group which must be considered, from the risk perspective, as a distinct counterparty (see point 12 above). This code is also a numerical code and follows the order in which this sub-group is mentioned in the table (S01, S02, etc.). If there are no sub-groups, the code “S00” will be used. X = Identification code of the nature of a category of persons (legal entities) “C” = credit institution or investment firm “N” = person other than a credit institution or an investment firm “T” = total of the group or sub-group

To illustrate this coding mode, three examples are developed below based on the examples appearing in points 11 and 12.

Code	Name	Country of Establishment (...)	Total
Code 01	03	05	59
1	G001	Counterparty V	X	100
2	G002	Counterparty W	X
3	G002S00C	a) credit inst./inv. ent.		100
4	G002S00N	b) other persons		30
5	G002S00T	Total Counterparty W	X	180
6	G003	Group Z	X
7	G003S01C	a) credit inst./inv. ent.		100
8	G003S01N	b) other persons		30
9	G003S01T	Total sub-group Z1	X	180
10	G003S02C	a) credit inst./inv. ent.		0
11	G003S02N	b) other persons		30
12	G003S02T	Total sub-group Z2	X	30
13	G004	....
...

Column 030 mentions the country of establishment. This is the country in which the registered office of the counterparty is located; in the case of groups and sub-groups, the country in which the registered office of the parent (or head) company of the group or sub-group is located.
In column 050, professional counterparties for which the institution benefits, at the reporting date, from an exemption from the CBFA to increase the concentration risk limit on the counterparty concerned from 25% to 50% (cf. Article III.4, § 3) must be indicated by ‘true’ or ‘false’, and this as long as the transitional measure provided for in Article XV.3 is applicable. For technical reporting modalities, refer to the taxonomy.
Columns 060 to 100 must not be completed by institutions covered by Article I.1, 2° and 3°. These columns must mention elements of the type covered by the following items and sub-items of the accounting statement:

Col. 060 Operations provided for in Article V.2, § 1, 1° and 2°: interest-bearing securities ()() Col. 070 Operations provided for in Article V.2, § 1, 1° and 2° whose total of shares, partnership interests, and other non-interest-bearing securities (), which constitute qualifying holdings – for their book values – and which fall under the limitation standards provided for in Article 32, § 5, first paragraph, of the law of 22 March 1993 () () Col. 080 Operations provided for in Article V.2, § 1, 1° and 2°: non-interest-bearing securities (), including those listed in column 070 Col. 090 Operations covered by Article V.2, § 1, 3° () Col. 100 Operations covered by Article V.2, § 1, 2° and Articles IX.1 and IX.3

() By counterparty, is meant here the issuer of the securities concerned.
() Good performance guarantees and firm takeovers covered by Articles IX.65 and IX.66 are included in column 060, for debt securities, and in column 070, for shares, for their net amount and by applying the reduction or proportional factors provided for in these articles. () For more details concerning the application of this Article 32, refer notably to circular B 93/7 of 18 November 1993, as modified by subsequent circulars. () By counterparty, is meant here the counterparty to the operation.
Column 090 must mention the replacement cost of derivative instruments calculated in accordance with Title V, Chapter 3. Institutions that have been authorized to take into account the netting contracts they have concluded can calculate the replacement cost of their derivative instruments on a net basis.
Column 100 must mention, alongside used commitment credits and granted credit lines, the risks covered by Article V.4, insofar as they are not already included in a previous column. For institutions that do not benefit from Article I.9 of the regulation, counterparty risks covered by Title IX, Chapter 1 of the regulation are also included in column 100, prior to previous columns.
Elements must be mentioned in columns 060 to 100, before application of the risk weighting coefficients covered by Articles X.7 to X.12 of the regulation and before deduction of related impairments and provisions.
Column 110 must not be completed by institutions covered by Article I.1, 2° and 3°. This column mentions - up to the amount of the guarantee (real or personal), impairments, or provisions - the amount of elements appearing in columns 060 to 100,
which is guaranteed in one of the ways provided for by Articles X.7 to X.12 of the regulation; or for which specific impairments and/or provisions have been established.
Column 120 must not be completed by institutions covered by Article I.1, 2° and 3°. This column must mention the risks incurred by the reporting institution on the counterparty concerned, due to the latter acting as guarantor or issuer of securities and negotiable instruments pledged, as covered by Article X.12 of the regulation.
Column 130 mentions, in the relevant row, the total amount of elements appearing in columns 060, 080 to 100, and 120, reduced by the amount appearing in column 110. This is therefore the aggregate of risks per counterparty, taking into account guarantees but before application of weighting coefficients, which is equal to or greater than 10% of own funds.
Elements appearing at their gross amount in column 130 are included in column 150, after application of their respective risk weighting coefficients provided for by Articles X.7 to X.12 of the regulation.
The amount mentioned in column 150 gives the aggregate of risks that must be taken into consideration for compliance with the concentration risk limitation standards prescribed by Article III.4 of the regulation.
Column 140 mentions the share of risks included in column 150 relating to off-trading portfolio elements.
For institutions covered by Article I.1, 2° and 3°, unweighted assets representing client fund placements are mentioned in column 160.

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For institutions covered by Article I.1, 2° and 3°, the amount, per counterparty, of placed client funds after weighting is mentioned in column 170.
For institutions covered by Article I.1, 2° and 3°, whose own funds are less than €12,800,000 (cf. Article III.4, § 4), the difference between the amounts mentioned in columns 150 and 71 is mentioned in column 180. For other institutions covered by Article I.1, 2° and 3°, the aggregate of risks mentioned in column 150 should be included.
For institutions covered by Article I.1, 2° and 3°, column 190 mentions the share of risks appearing in column 180 that relates to elements outside the trading portfolio.
In column 200, institutions declare the ratio between the own funds applicable for determining limitation standards and the amount declared in column 180 for institutions covered by Article I.1, 2° and 3°, or the amount mentioned in column 150 for other institutions.
Column 210 mentions the amount of additional own fund requirement resulting from breaches of limitation standards, with application of Article III.5 of the regulation.

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Annex to the Decree

PERIODIC INFORMATION SCHEMA TO BE COMMUNICATED BY CREDIT INSTITUTIONS REGARDING THEIR CONSOLIDATED FINANCIAL POSITION 1

SUMMARY

Book II
CHAPTER I: GENERAL INSTRUCTIONS
Section 1 Application of the rules of recognition and valuation governing the preparation of the annual accounts of credit institutions
Section 2 Particular commentary on some rules
a. Product approach vs portfolio approach b. Trade Date vs Settlement Date
c. Accrued interest
Section 3 Allocations
Section 4 Consolidation obligation
Section 5 Consolidation scope
Section 6 Reporting obligation, deadlines and frequency of reporting
Section 7 Other general remarks

CHAPTER II: SCHEMA OF THE PERIODIC CONSOLIDATED ACCOUNTING STATEMENT
Section A Tables
1.1 Consolidated Balance Sheet - Assets
1.2 Consolidated Balance Sheet - Liabilities
1.3 Consolidated Balance Sheet – Equity
2 Consolidated Income Statement
Section B Commentary on items
1.1 Commentary on asset items
1.2 Commentary on liability items
1.3 Commentary on equity items
2 Commentary on income statement items

CHAPTER III: SUPPLEMENTARY DESCRIPTION TABLES
Section A Tables
3 Financial assets held for trading
4 Derivatives held for trading
5 Financial assets designated at fair value through profit or loss: credit risk information relating to loans and advances 6 Financial assets designated at fair value through profit or loss 7 Available-for-sale financial assets 8 Loans and receivables 2

9 Held-to-maturity investments
10 Information on impaired and past-due but unpaid assets 11 Derivatives – hedge accounting 12 (deleted) 13 Property, plant and equipment (PPE) 14 Investment property (IP) 15 Goodwill and other intangible assets 16 Interests in associated undertakings, subsidiaries and joint ventures 17 Reconciliation between statutory tax and effective tax 18 Other assets 19 Non-current assets and disposal groups classified as held for sale 20 Financial liabilities held for trading 21 Financial liabilities designated at fair value through profit or loss 22 Financial liabilities measured at amortized cost 23 Subordinated liabilities 24 Derecognition and financial liabilities associated with transferred assets 25 Provisions 26 Other liabilities 27 Fees and commission income and expenses 28 Realized profits (losses) on financial assets and liabilities not measured at fair value through profit or loss (net) 29 Profits (losses) on financial assets and liabilities designated at fair value through profit or loss (net) 30 Profits (losses) in hedge accounting (net) 31 Profits (losses) on derecognition of assets other than those held for sale (net) 32 Other operating income and expenses 33 Personnel expenses 34 General and administrative expenses 35 (deleted) 36 Profits and losses from discontinued operations, after tax 37 Information on credit risk and impairment 38 Information on the fair value of financial instruments 39 Leasing: supplementary information 40 Repurchase and reverse repurchase agreements 41 Related party disclosures 42 Defined benefit plans 43 Cash flow statements 44 Breakdown of equity 45 Notional amounts of off-balance sheet commitments 46 Consolidation scope 3

41.80 Allocation of assets and liabilities by country
80.91 Nominal list of subsidiaries and joint subsidiaries included in consolidation

Section B Commentary on supplementary description tables
3 Financial assets held for trading
4 Derivatives held for trading
5 Financial assets designated at fair value through profit or loss: credit risk information relating to loans and advances 6 Financial assets designated at fair value through profit or loss 7 Available-for-sale financial assets 8 Loans and receivables 9 Held-to-maturity investments 10 Information on impaired and past-due but unpaid assets 11 Derivatives – hedge accounting (12) (deleted) 13 Property, plant and equipment (PPE) 14 Investment property (IP) 15 Goodwill and other intangible assets 16 Interests in associated undertakings, subsidiaries and joint ventures 17 Reconciliation between statutory tax and effective tax 18 Other assets 19 Non-current assets and disposal groups classified as held for sale 20 Financial liabilities held for trading 21 Financial liabilities designated at fair value through profit or loss 22 Financial liabilities measured at amortized cost 23 Subordinated liabilities 24 Derecognition and financial liabilities associated with transferred assets 25 Provisions 26 Other liabilities 27 Fees and commission income and expenses 28 Realized profits (losses) on financial assets and liabilities not measured at fair value through profit or loss (net) 29 Profits (losses) on financial assets and liabilities designated at fair value through profit or loss (net) 30 Profits (losses) in hedge accounting (net) 31 Profits (losses) on derecognition of assets other than those held for sale (net) 32 Other operating income and expenses 33 Personnel expenses 34 General and administrative expenses (35) (deleted) 4

36 Profits and losses from discontinued operations, net of tax 37 Information relating to credit risk and impairment 38 Information relating to the fair value of financial instruments 39 Leasing: additional information 40 Repurchase agreements and reverse repurchase agreements 41 Related party disclosures 42 Defined benefit plans 43 Cash flow statements 44 Analysis of equity 45 Notional amounts of off-balance sheet items 46 Consolidation scope
41.80 Allocation of assets and liabilities by country
80.91 List of subsidiaries and joint ventures included in consolidation

CHAPTER IV: DESCRIPTIVE DESCRIPTIONS
1 Notes and other descriptive information
1.1 True and fair view and compliance with IFRS
1.2 Information to be provided on accounting methods
1.3 Sources of uncertainty relating to estimates
2 Events after the reporting period that do not result in adjustments 3 Changes in accounting policies, accounting estimates and errors
3.1 Changes in accounting policies
3.2 Changes in accounting estimates
3.3 Accounting errors
4 Business combinations and goodwill
4.1 Business combinations
4.2 Goodwill
5 Hedge accounting
5.1 Hedge accounting
5.2 Cash flow hedges
6 Fair value of financial assets and liabilities and reclassification
6.1 Fair value of financial assets and liabilities
6.2 Reclassification of financial assets and liabilities
6.3 Methods applied to determine the amount of changes in fair value attributable to changes in credit risk

7 Collateral
7.1 Collateral
7.2 Collateral (credit risk)
7.3 Guarantees and other credit enhancements
8 Defaults and breaches
9 Accounting methods adopted for the recognition of revenue 10 Financial assets that are either past due or impaired 11 Employee benefits 12 Share-based payments 13 Provisions 14 Repurchase agreements, reverse repurchase agreements and secured lending
14.1 Repurchase agreements, reverse repurchase agreements
14.2 Secured lending
15 Securitisation and special purpose entities
15.1 Securitisation
15.2 Special purpose vehicles
16 Nature and extent of risks arising from financial instruments
16.1 Credit risk
16.2 Liquidity risk
16.3 Market risk (including share investment risk, interest rate risk and foreign exchange risk)
16.4 Other risk

CHAPTER I
GENERAL INSTRUCTIONS

Section 1. Application of the rules governing the recognition and measurement of annual accounts of credit institutions
Subject to the provisions contained in the following points of this section, credit institutions are required to draw up their periodic reporting statement by applying the same recognition and measurement rules as for their consolidated accounts (see the Royal Decree of 23 September 1992 on the consolidated accounts of credit institutions, amended by the Royal Decree of 5 December 2004). These are the international accounting standards IAS/IFRS (see European Regulation of 19 July 2002). The tables in Chapter II refer to IAS/IFRS. These references concern the provision(s) of the standard that are important for the data requested. Where no reference is available in the IAS/IFRS standards, references to the periodic reporting statement on a solo basis have been added. The instructions in this circular do not constitute an interpretation of international standards, but only a clarification of the information to be communicated. The correct application of international standards is the responsibility of credit institutions and their approved auditors.

Section 2. Particular comments on some rules
Unless otherwise stated, the amounts to be entered in the tables are the amounts recorded in the balance sheet or the income statement (carrying values). For almost all lines of the balance sheet and income statement, a supplementary description table provides the detail of this line, in the annex. In this case, the total of the table must be equal to the total of the corresponding line in the balance sheet or income statement. In some cases, the supplementary description table itself constitutes the detail of another supplementary description table. If applicable, this circumstance is mentioned on the table concerned. The income statement, insofar as financial and operating results excluding the trading portfolio, is presented in such a way as to obtain raw data. In principle, institutions may use all options provided by the standards. But this is not always possible. For this reason, the NBB had to make, for certain options of general scope, a choice:
a. Product approach vs portfolio approach.
A choice had to be made between a "product" or "portfolio" approach for the presentation of the balance sheet. The portfolio approach was chosen. b. Trade date vs settlement date (IAS 39 Implementation Guide d.2.1-2). International standards allow transactions to be recognised either at the trade date or at the settlement date. This choice can be different for different classes of financial instruments. Depending on whether banks choose to recognise their financial instruments at the contract conclusion date or at the delivery date, a temporary impact on the income statement and balance sheet may appear. However, this impact will likely be minimal since there can be a difference in the income statement only in the case of the sale of an asset held for sale or held to maturity. The impact on the balance sheet (and equity) is also insignificant. Due to the low impact of this option of international standards, it has been decided to leave the choice to credit institutions. However, if in practice it turns out that this choice has significant consequences, the NBB may revisit the subject.
c. Accrued interest
All financial instruments are recognised in the balance sheet at gross rate (including for breakdown tables of balance sheet items) so that accrued but unpaid interest forms part of the value of financial instruments.

Section 3. Breakdowns.
Breakdown by duration
Breakdowns by duration are only requested for the past-due columns in tables relating to impairment (see also below the paragraph past-due). For the delimitation of the different "time bands" during a breakdown by duration, read:
< : less than or equal to

: greater than.
Geographic and monetary breakdown
Asset, liability items and certain tables are subject to geographic breakdown. The bases for carrying out these breakdowns are the same as those valid for schema A on a solo basis (see Book I Chapter I Section 2 § 6 of the periodic reporting statement on a solo basis). Breakdown by economic sectors The counterparties composing the breakdown in question are always equal:
Central governments
Other than credit institutions
Credit institutions
Private sector and individuals
Enterprises.
This breakdown is the one proposed in Article 86 of the European directive amending existing directives on the capital adequacy of investment firms and credit institutions. The total of "credit institutions" and "other than credit institutions" counterparties corresponds to the "institutions" counterparty of the directive mentioned above. The credit institution may, in its FINREP reporting, classify non-regulated financial enterprises in the same counterparty category as the one it is authorised to use in COREP. Past-due Some tables request a breakdown based on contracts that are past-due. This is to give the amount of contracts whose payments have become due but not yet received. Thus, from the first day of delay, the amounts of these contracts must be mentioned, distributed according to the number of days of delay. If an impairment is recorded on this instrument, it should no longer be included in this breakdown.

Section 4. Consolidation obligation
For a credit institution that is a parent company, the periodic reporting on a consolidated basis must be done in application of the Royal Decree of 12 August 1994 on the supervision of credit institutions on a consolidated basis. The consolidation obligation is governed by the Royal Decree of 23 September 1992 as amended by the Royal Decree of 5 December 2004. The provisions relating to the consolidation obligation were not modified by the Royal Decree of 5 December 2004. This interpretation is confirmed by the European Commission communication of November 2003 on the introduction of international standards, which states that the decision to prepare or not consolidated accounts must be taken in accordance with the provisions of the seventh directive, including sectoral directives: "The question of whether a company must or must not prepare consolidated accounts [will be] resolved by reference to national law transposing the Council's seventh directive … b) (…) Exemptions from the general obligation to prepare consolidated accounts are set out in Article 5 and Articles 7 to 11 of the seventh directive."

Section 5. Consolidation scope
For the determination of the consolidation scope and the rules according to which consolidation is operated once the consolidation obligation is established, only IAS/IFRS standards adopted at the European level apply (IAS 27, IAS 28, IAS 31 and IFRS 3). This position is also supported by the European communication of November 2003, which specifies that "In the affirmative [(i.e. if consolidated accounts must be prepared)], it is nevertheless the adopted IAS that dictate the consolidation scope and, therefore, determine which entities must be included in the consolidated accounts, and how. Consequently, exclusions from the consolidation scope resulting from accounting directives are not relevant, provided that consolidated accounts are prepared in accordance with adopted IAS."

Section 6. Reporting obligation, deadlines and frequency of reporting
Unless otherwise provided under a protocol on the technical modalities for communicating periodic statements on a consolidated basis, the following provisions apply. Periodic reporting statements reflect the situation after processing all transactions concluded on the periodic reporting date. By periodic reporting date, one means the date to which the statements relate. The periodic reporting date is always, in the case of quarterly or annual reporting, the last calendar day of each civil quarter or each fiscal year, depending on whether the statement concerned is drawn up on a quarterly or annual basis. Institutions ensure that the transmitted reporting statements do not require corrections. If corrections prove necessary anyway, they are generally carried out by sending a new corrected statement bearing the mention "corrected statement". A very limited correction can be communicated by letter. See also the comment, further down in this paragraph. When an institution meets the exemption conditions for a statement or a table, or when a table is irrelevant because the institution does not carry out activity in the field concerned by the table, the institution enters "nil" on the transmission slip of the statement or table concerned. The amounts entered in the tables sent in XBRL protocol are expressed in eurocents. If a table is still sent according to the old protocol, the amounts it enters are expressed in thousands of euros. In the identification tables to be attached to the statements, institutions are required to indicate whether it is a "temporary statement" (code 1), a "corrected temporary statement" (code 2), a "definitive statement" (code 3), or a "corrected definitive statement" (code 4). Regarding the frequency of transmission of statements, you will find below a summary table indicating whether the statements and supplementary description tables must be drawn up and transmitted on a quarterly (t) or annual (a) basis. Credit institutions must however be, organisationally, able to establish, if necessary, in exceptional circumstances and at the request of the National Bank of Belgium, the statements and supplementary description tables at a higher frequency. Consolidated periodic reporting statements must be transmitted to the National Bank of Belgium as soon as possible. They must be transmitted no later than two months and 15 days after the periodic reporting date. For end-of-fiscal-year reporting statements, they must be transmitted at the time when the commissioner(s), approved auditor(s) responsible for the control of consolidated accounts have or must have knowledge of the statements necessary for the establishment of their written report as referred to in Article 148 of the Companies Code; this deadline cannot however be situated more than three months after the periodic reporting date. You will find below a summary table of the statements and supplementary description tables that must be drawn up and transmitted, with the
indication of the required frequency.
1.1 Consolidated Balance Sheet - Assets t
1.2 Consolidated Balance Sheet - Liabilities t
1.3 Consolidated Balance Sheet - Equity t
2 Consolidated Income Statement t
3 Financial assets held for trading t
4 Derivatives held for trading t
5 Financial assets designated at fair value through profit or loss: credit risk information relating to loans and advances t 6 Financial assets designated at fair value through profit or loss t 7 Available-for-sale financial assets t 8 Loans and receivables t 9 Held-to-maturity investments t 10 Information relating to impaired and past-due but uncollected assets t 11 Derivatives - hedge accounting t 12 (deleted) 13 Property, plant and equipment (PPE) a 14 Investment property (IP) a 15 Goodwill and other intangible assets a 16 Interests in associates, subsidiaries and joint ventures a 17 Reconciliation between statutory tax and effective tax a 18 Other assets a 19 Non-current assets and groups classified as held for sale a 20 Financial liabilities held for trading t 21 Financial liabilities designated at fair value through profit or loss t 22 Financial liabilities measured at amortised cost t 23 Subordinated liabilities a 24 Derecognition and financial liabilities associated with transferred assets a 25 Provisions a 26 Other liabilities a 27 Fees and commissions income and expense t 28 Realised profits (losses) on financial assets and liabilities not measured at fair value through profit or loss (net) t 29 Profits (losses) on financial assets and liabilities designated at fair value through profit or loss (net) t 30 Profits (losses) in hedge accounting (net) t 31 Profits (losses) on derecognition of assets other than those held for sale (net) a 32 Other operating income and expense t 33 Personnel expenses t 34 General and administrative expenses t 35 (deleted) 36 Profits and losses from discontinued operations, net of tax a 37 Information relating to credit risk and impairment t 38 Information relating to the fair value of financial instruments a 39 Leasing: additional information a 40 Repurchase agreements and reverse repurchase agreements t 41 Related party disclosures a 42 Defined benefit plans a 43 Cash flow statements a 44 Analysis of equity a 45 Notional amounts of off-balance sheet items a 46 Consolidation scope a
41.80 Allocation of assets and liabilities by country t
80.91 List of subsidiaries and joint ventures included in consolidation t

Section 7. Other general remarks.
Repurchase agreements and reverse repurchase agreements According to IAS 39.37, financial instruments used as collateral in the context of repo activity must be recognised separately from other financial instruments. However, this type of data is not always directly available in the bank's accounting system, but rather in the middle office database. Thus, the amounts entered in tables 40 do not necessarily have to come from accounting, but can come from information available in the middle office. These amounts must obviously be able to provide a true and fair view of the accounting operations carried out in the context of this activity. If a credit institution cannot, for a certain financial instrument, identify the portfolio from which it originally comes, this institution can then assume that this instrument comes from the "held for trading" portfolio. Finally, one should refer to Chapter III to obtain more information on how to fill in the tables relating to repurchase agreements. Off-balance sheet. The various tables constitute a detail of the corresponding item in the balance sheet. There is therefore no need to include off-balance sheet elements. The table "Notional amounts of off-balance sheet items" gives the detail of off-balance sheet collateral and guarantees. This table allows obtaining a link to the tables relating to capital requirements. It is also important to note that what is off-balance sheet in Belgian accounting rules will not necessarily be off-balance sheet in the context of IAS/IFRS standards. Additional information on fair value. In some tables, it is requested to also give the fair value alongside the amortised costs. This information is additional information for which institutions can rely on amounts used in the context of risk management.

CHAPTER II
SCHEMA OF THE PERIODIC CONSOLIDATED ACCOUNTING STATEMENT
SECTION A. TABLES

1.1 Consolidated Balance Sheet - Assets
Ref. IAS/IFRS
Breakdown Table
Total Carrying Value
Belgium
Other EUM countries
Rest of world
Code 005 010 015 020
Cash and balances with central banks CP 7100
Financial assets held for trading IFRS 7.8(a)(ii); 39.9 3 7110 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); 39.9 6 7120 Available-for-sale financial assets IFRS 7.8(d); 39.9 7 7130 Loans and receivables (including finance lease contracts) IFRS 7.8(c); 39.9 8 7140 Held-to-maturity investments IFRS 7.8(b); 39.9 9 7150 Derivatives - hedge accounting IFRS 7.22(b); 39.9 11 7160 Change in fair value of hedged items in a portfolio hedge of interest rate risk 39.89A(a) 7170 Tangible assets CP 7190 Property, plant and equipment 1.68(a) 13 7200 Investment property 1.68(b) 14 7210 Intangible assets 1.68(c) 15 7220 Goodwill IFRS 3.51; IFRS 3.75(a) 7223 Other intangible assets IAS 38.8 7225 Interests in associates, [subsidiaries] and joint ventures (accounted for using the equity method - including goodwill) 1.68(e) 7230 Tax assets 1.68(m)-(n) 7240 Current tax assets 1.68(m) 7243 Deferred tax assets 1.68(n) 7247 Other assets 1.74 18 7250 Non-current assets and groups classified as held for sale 1.68A; IFRS 5.38 19 7260 TOTAL ASSETS 7999

1.2 Consolidated Balance Sheet - Liabilities
Ref. IAS/IFRS
Breakdown Table
Total Carrying Value
Belgium
Other EUM countries
Rest of world
Code 005 010 015 020
Deposits with central banks CP 7100
Financial liabilities held for trading IFRS 7.8(e)(ii); 39.9 AG 14-15 20A 7110 Financial liabilities designated at fair value through profit or loss IFRS 7.8(e)(i); 39.9 21 7120 Financial liabilities measured at amortised cost IFRS 7.8(f) 22 7130 Deposits from credit institutions CP 22 7150 Deposits from other than credit institutions CP 22 7160 Debt securities, including bonds CP 22 7170 Subordinated liabilities CP 23 7180 Other financial liabilities CP 7190 Financial liabilities associated with transferred assets IFRS 7.13 (cd); IAS 39.31; IAS 39.47(b) 24 7200 Derivatives - hedge accounting IFRS 7.22(b); 39.9 11 7210 Changes in fair value of hedged items in a portfolio hedge of interest rate risk 39.89A(b) 7220 Provisions 1.68 (k) 25 7240 Tax liabilities 1.68(m)-(n) 7250 Current tax liabilities 1.68(m) 7253 Deferred tax liabilities 1.68(n) 7257 Other liabilities 1.74 26 7260 Liabilities included in groups classified as held for sale 1.68A(b) & IFRS 5.38 19 7270 Redeemable equity instruments (including cooperative shares) 32 IE 33; IFRIC 2 7280 TOTAL LIABILITIES 7999

1.3 Consolidated Balance Sheet - Equity
Ref. IAS/IFRS
Breakdown Table
Total Carrying Value
Belgium
Other EUM countries
Rest of world
Code 005 010 015 020
Issued capital 1.68(p) 7100
Paid-up capital 1.75(e) 7110
Called-up capital not paid 1.75(e) 7120
Share premium 1.75(e) 7130
Other equity CP 7140
Equity component of compound financial instruments 32.28; 32 AG 27 (a) 7150 Other IFRS 2.10, 32.22 7160 Revaluation reserves and other valuation differences CP 7170 Property, plant and equipment 16.39-40 7180 Intangible assets 38.85/86 7190 Hedge of net investments in foreign operations (effective portion) 39.102a 7200 Foreign currency translation differences 21.52b 7210 Cash flow hedges (effective portion) IFRS 7.23(c); 39.95-96 7220 Available-for-sale financial assets 39.55(b) 7230 Non-current assets and groups classified as held for sale IFRS 5.18-19/38 7240 Other revaluation reserves CP 7250 Reserves (including undistributed results) 1.75(e); 168(p) 7260 <Treasury shares> 32.33/34 7270 Profit for the year 1.75(e) 7280 <Interim dividends> CP 7290 Minority interests 1.68(o) & 27.4/33 7300 Revaluation reserves and other valuation differences CP 7310 Other CP 7320 TOTAL EQUITY 7899 TOTAL LIABILITIES AND EQUITY 7999

Consolidated Income Statement
IAS/IFRS Ref.
Breakdown Table
Total Book Value
Code 005
Financial and operating income and expenses 1.81(a) 7100 Interest income 18.35 (b)(iii); IFRS 7.IG13 7105 Cash and balances with central banks IFRS 7.20 (b) 710501 Financial assets held for trading (if accounted for separately) IFRS 7.20 (a) (i); 1.86; 39.9 710502 Financial assets designated at fair value through profit or loss (if accounted for separately) IFRS 7.20 (a)(i); 1.86; 39.9 710503 Available-for-sale financial assets IFRS 7.20(b); 39.55(b); 39.9 710504 Loans and receivables (including finance lease contracts) IFRS 7.20 (b); 39.9 710505 Held-to-maturity investments IFRS 7.20 (b); 39.9 710506 Derivatives - hedge accounting, interest rate risk IFRS 7.20 (b) 39.9 710507 Other assets 1.86 710508 (Financial expenses) IFRS 7 IG 13 7107 Central bank deposits IFRS 7.20 (b); 1.86 710701 Financial liabilities held for trading (if accounted for separately) IFRS 7.20 (a) (i); 1.86; 39.9 710702 Financial liabilities designated at fair value through profit or loss (if accounted for separately) IFRS 7.20 (a) (i); 1.86; 39.9 710703 Financial liabilities measured at amortized cost IFRS 7.20 (b); 39.9 710704 Deposits from credit institutions IFRS 7.20 (b); 39.9 710705 Deposits from non-credit institutions IFRS 7.20 (b); 39.9 710706 Debt securities IFRS 7.20 (b); 39.9 710707 Subordinated liabilities IFRS 7.20 (b); 39.9 710708 Other financial liabilities IFRS 7.20 (b); 39.9 710709 Derivatives - hedge accounting, interest rate risk IFRS 7.20 (b); 39.9 710710 Other liabilities IFRS 7.20 (b); 1.86 710711 Expenses related to redeemable at demand share capital IFRIC 2.11; 1.86; 32 IE 33 7120 Dividends 18.35 (b)(v) 7130 Financial assets held for trading (if accounted for separately) IFRS 7 B5 (e); 39.9 7132 Financial assets designated at fair value through profit or loss (if accounted for separately) IFRS 7 B5 (e); 39.9 7134 Available-for-sale financial assets 1.86; 39.55 (b); 39.9 7136 Fee and commission income IFRS 7.20 (c) 27 7142 (fee and commission expenses) IFRS 7.20 (c) 7147 Gains (losses) on financial assets and liabilities not measured at fair value through profit or loss (net) IFRS 7.20(a)(ii-v) 28 7150 Available-for-sale financial assets IFRS 7.20 (a) (ii) ; 39.55 (b) 7152 Loans and receivables (including finance lease contracts) IFRS 7.20(a)(iv) ; 39.9 7154 Held-to-maturity investments IFRS 7.20(a()iii) ; 39.9 7156 Financial liabilities measured at amortized cost IFRS 7.20(a)(v) ; 39.9 7158 Others 1.86 7159 ORDINARY ACTIVITIES 18

Gains (losses) on financial assets and liabilities held for trading (net) IFRS 7.20(a)(i); 39.55(a) 7160 Equity instruments and related derivatives CP 7162 Interest rate instruments and related derivatives CP 7164 Foreign exchange trading CP 7166 Credit risk instruments and related derivatives CP 7167 Commodities and related derivatives CP 7168 Others (including hybrid derivatives) CP 7169 Gains (losses) on financial assets and liabilities designated at fair value through profit or loss (net) IFRS 7.20(a)(i) ; 39.55(a) 29 7170 Gains (losses) in hedge accounting IFRS 7.24 30 7180 Exchange differences (net) 21.28 / 52a 7190 Gains (losses) on derecognition of assets other than those held for sale (net) 1.34 31 7200 Other net operating income 1.86 32 7210 Administrative expenses 1.88/89/92 7220 Staff expenses 1.91 33 7230 General and administrative expenses CP 34 7240 Depreciation 1.93 7250 Tangible fixed assets 1.88-91 13 7260 Investment property 1.88-91 14 7270 Intangible assets (other than goodwill) 1.88-91; 38.118(e)(vii) 15 7280 Provisions 37.84 25 7290 Impairments 37 7300 Impairment losses on financial assets not measured at fair value through profit or loss IFRS 7.20(e) ; 39.63 7310 Financial assets measured at cost (unquoted equity instruments) IFRS 7.20(e) ; 39.66 7312 Available-for-sale financial assets IFRS 7.20(e) ; 39.67 7314 Loans and receivables (including finance lease contracts) IFRS 7.20(e) ; 39.63 7316 Held-to-maturity investments IFRS 7.20(e) ; 39.63 7318 Impairments 36.126 (a) 7360 Tangible fixed assets 16.73(e)(v)-(vi) 7362 Investment property 40.79 (d)(v) 7364 Goodwill IFRS 3.75 (e) 7366 Intangible assets (other than goodwill) CP 7367 Interests in associates and joint ventures accounted for using the equity method 28.31 7368 Others CP 7369 Negative goodwill recognized immediately in profit or loss IFRS 3.67(g) 7420 Share of profit or loss of associates, [subsidiaries] and joint entities accounted for using the equity method 1.81(c); 28.38; 31.56 7430 Profits and losses of non-current assets and groups classified as held for sale and not meeting the conditions of a discontinued operation IFRS 5.37 7499 TOTAL PROFIT OR LOSS FROM CONTINUING ORDINARY ACTIVITIES, BEFORE TAX 7599 Income tax expense (income) relating to profit or loss from ordinary activities 1.81(d); 12.77 7600 TOTAL PROFIT OR LOSS FROM CONTINUING ORDINARY ACTIVITIES, AFTER TAX 7699 TOTAL PROFIT OR LOSS FROM DISCONTINUED OPERATIONS, AFTER TAX 1.81.(e) 36 7799 TOTAL PROFIT OR LOSS AFTER TAX AND DISCONTINUED OPERATIONS AND BEFORE MINORITY INTERESTS 1.81(f) 7899 Expense (income) attributable to minority interests 27.33; 1.82(a) 7900 PROFIT OR LOSS (NET) 1.82(b) 7999 19

SECTION B. LINE ITEM COMMENTS
Table 1.1: Comments on Asset Line Items

Cash and balances with central banks.
All balances of various accounts and deposits vis-à-vis central banks (all countries combined) are recorded under this item.
Financial assets held for trading.
All financial instruments meeting the definition of financial assets held for trading (IAS 39.9) are recorded under this item. No impairment is possible on this portfolio. It is important to note that embedded derivatives, which must, according to IAS 39.11, be accounted for separately from host contracts, are recorded in the portfolio held for trading. Detail Tables No. 3 for instruments held for trading and Table No. 4 for derivatives held for trading.
Financial assets designated at fair value through profit or loss.
All financial instruments meeting the definition of financial assets designated at fair value through profit or loss (IAS 39.9) are recorded under this item. No impairment is possible on this portfolio. Detail Table No. 6.
Available-for-sale financial assets.
All financial instruments meeting the definition of available-for-sale financial assets (IAS 39.9) are recorded under this item. The total of the line represents the net value of this portfolio. Detail Table No. 7.
Loans and receivables.
All financial instruments meeting the definition of loans and receivables (IAS 39.9) are recorded under this item. The total of the line represents the net value of this portfolio. Detail Table No. 8.
Held-to-maturity investments.
All financial instruments meeting the definition of held-to-maturity investments (IAS 39.9) are recorded under this item. The total of the line represents the net value of this portfolio. Detail Table No. 9. 20
Derivatives - hedge accounting.
All financial instruments meeting the definition of instruments used for hedging purposes (IAS 39.9) are recorded under this item. Detail Table No. 11.
Changes in fair value of hedged items in an interest rate portfolio hedge.
Changes in fair value of assets used in a "macro-hedge" relationship, as defined by standard IAS 39.89A (a), are recorded under this item.
Tangible assets.
This item has been divided into two sub-items:
Tangible fixed assets (see definition IAS 16.6).
Detail Table No. 13.
Investment property (see definition IAS 40.5).
Detail Table No. 14.
Intangible assets.
See definition IAS 38.8 and IFRS 3 Appendix A.
Detail Table No. 15.
Interests in associates, [subsidiaries] and joint ventures.
See definition IAS 28.2 and IAS 31.3
Detail Table No. 16.
Tax assets.
See definition IAS 12.5. One must only differentiate tax assets between current and deferred.
Detail Table No. 17.
Other assets.
The set of assets that cannot be classified into any of the above categories nor as held for sale is recorded under this item. Specifically included in this item are elements included in item 143 of the periodic social basis accounting statement. Detail Table No. 18. 21
Non-current assets or groups destined to be disposed of, classified as held for sale.
See definition IFRS 5.6.
Detail Table No. 19.
Table 1.2: Comments on Liability Line Items
Central bank deposits.
All balances of various accounts and demand deposits received from central banks (all countries combined) are recorded under this item.
Financial liabilities held for trading.
All financial instruments meeting the definition of instruments held for trading (IAS 39.9) are recorded under this item. Detail Table No. 20 for instruments held for trading other than derivative products and Table No. 4 for derivatives held for trading.
Financial liabilities designated at fair value through profit or loss.
All financial instruments meeting the definition of financial liabilities designated at fair value through profit or loss (IAS 39.9) are recorded under this item. Detail Table No. 21.
Financial liabilities measured at amortized cost.
This item is divided into four sub-items:
Deposits
This item groups all deposits and is itself divided into:
o Deposits from credit institutions (see item 212 of the social basis accounting statement). o Deposits other than from credit institutions (see item 221 of the social basis accounting statement) Detail Table No. 22. Debt securities, including bonds This item groups all debts represented by a security (see item 230 of the social basis accounting statement). 22

Detail Table No. 22.
Subordinated liabilities
This line corresponds to item 270 of the social basis accounting statement.
Detail Table No. 23.
Other financial liabilities
5. Financial liabilities linked to transferred assets.
All debts accounted for in accordance with standard IAS 39.47 (b) are included in this item.
Detail Table No. 24.
6. Derivatives used for hedging purposes.
All financial instruments meeting the definition of instruments used for hedging purposes (IAS 39.9) are recorded under this item. Detail Table No. 11.
7. Changes in fair value of hedged items in an interest rate portfolio hedge.
Changes in fair value of assets used in a "macro-hedge" relationship, as defined by standard IAS 39.89A (a), are recorded under this item.
8. Provisions.
Only those meeting the criteria required by IAS/IFRS standards (see definition IAS 37.10) can be recorded as provisions. Other amounts not meeting this definition may, if applicable, be recorded as reserves. Detail Table No. 25.
9. Tax liabilities.
See definition IAS 12.5. One must only differentiate tax liabilities between current and deferred.
Detail Table No. 17.
10. Other liabilities.
The set of liabilities that cannot be classified into any of the above categories or as Redeemable at demand share capital or as held for sale is recorded under this item. Detail Table No. 26. 23

Liabilities included in groups destined to be disposed of, classified as held for sale.
See, for this line, the definition of IFRS 5.38 Cooperative entity shares. Thus, these instruments are always classified in liabilities but distinctly. Detail Table No. 19
Redeemable at demand share capital.
See. IFRIC 2
Table 1.3: Comments on Equity Line Items
Issued capital.
For this item, one must distinguish between subscribed capital and called-up but unpaid capital.
Share premiums.
Other equity.
In this item, one must present separately the elements considered as equity that originate from financial instruments composed of debt and equity (see IAS 32.28).
Revaluation reserves.
All revaluation reserves, recorded in equity consequent to the revaluation of another balance sheet item, are grouped under this item. Thus, one must differentiate:
Revaluation reserve of tangible fixed assets (IAS 16.39-40) Revaluation reserve of intangible assets (IAS 38.85/86) Reserve for hedging net investments in foreign operations (IAS 39.102a) Foreign currency translation reserve (IAS 21.52b) Cash flow hedge reserve (IAS 39.95-96) Fair value revaluation reserve on available-for-sale financial assets (IAS 39.55b) Related to non-current assets or groups destined to be disposed of, classified as held for sale (IFRS 5.38)
Reserves.
Other reserves not consequent to the revaluation of a balance sheet item are classified under this item.
Treasury shares.
See definition IAS 32.33 (this item will be debit).
Result of the fiscal year.
24
Interim dividends.
This item will be debit.
Minority interests.
See definition IAS 27.4. For this item, one must distinguish, in the share of capital coming from third-party interests, those due to the revaluation of another balance sheet item and others.
Table 2: Comments on Income Statement Line Items
Financial and operating income and expenses.
This part of the income statement consists of:
Net interest income: This item groups all interest flows related to financial instruments that are not trading instruments. These are classified by portfolio. Expenses related to redeemable at demand share capital Dividends: These are subdivided based on the portfolio where the relevant financial instrument was classified. Net fee and commission income Detail table: Table No. 27 Gains and losses realized on financial assets and liabilities not measured at fair value through profit or loss: This line groups all changes in book values of financial instruments measured at amortized cost or realized fair value variations on available-for-sale financial instruments. Detail table: Table No. 28 Gains and losses on financial assets and liabilities held for trading. This item groups all fair value variations of instruments classified in the portfolio held for trading. One must record in this item all value variations related to trading financial instruments, except for hedging derivatives and interest flows. The last line will include hybrid derivatives (not to be confused with hybrid instruments as defined in standard IAS 39.10). By hybrid derivatives, we refer to the definition of the social basis accounting statement (for example, securities swaps, currency swaps, etc.). As in the past, and in accordance with implementation within systems in establishments, the two branches of the same product can be attributed to the line representative of the one carrying the highest risk. Gains and losses on financial assets and liabilities designated at fair value through profit or loss: One must record in this item all value variations related to financial instruments designated at fair value through profit or loss, except for interest flows for banks that choose to account for these instruments at net price. Detail table: Table No. 29 Gains (losses) in hedge accounting: All value variations related to hedging operations are recorded in this item Detail table: Table No. 30 Exchange differences: Exchange differences related to financial assets not part of the trading portfolio are recorded in this line. 25

Gains (losses) on derecognition of assets other than those held for sale (net) Detail table: Table No. 31 Other net operating income Detail table: Table No. 32
Administrative expenses.
One must distinguish between salary expenses and other general administrative expenses Detail Tables: Tables No. 33 and 34
Depreciation.
One is asked to make the difference between depreciation related to Tangible Fixed Assets, Investment Property, and Intangible Assets.
Provisions.
See Table No. 25.
Impairments.
This income statement item covers all reductions in book value recorded on different balance sheet items. These reductions in value are found, in the notes, in each table related to the balance sheet element on which a reduction in value is recorded. See also Tables 37 which propose summaries and details of reductions in value within the establishment. More specifically, reductions in value on interests in associates do not include reductions in value on goodwill. One must refer to standard IAS 28.31 for the content of this item. 26

Chapter III
Complementary Description Tables
SECTION A. TABLES
27

Financial assets held for trading
Table A Breakdown by Counterparty
IAS/IFRS Ref.
Total (Book Value)
Code 005
Derivatives held for trading 39.9 7100
Equity instruments 32.11 7110
Quoted 39 AG 71 7 7120
Unquoted but determinable FV 39 AG 80-81 7130
Equity instruments at cost 39.46 c 7140
Borrowing instruments issued by 39.9 7150
Central public authorities CRD 7160
Credit institutions CRD 7170
Non-credit institutions CRD 7180
Enterprises CRD 7190
Retail clients CRD 7200
Loans and advances to 39.9 7210
Central public authorities CRD 7220
Credit institutions CRD 7230
Non-credit institutions CRD 7240
Enterprises CRD 7250
Retail clients CRD 7260
Receivable income (if accounted for separately) 7800 TOTAL 7900 28
Financial assets held for trading
Table B Geographic Breakdown
Belgium
Other EMU countries
Rest of the world
Code 010 015 020
Derivatives held for trading 7100
Equity instruments 7110
Quoted 7120
Unquoted but determinable FV 7130
Equity instruments at cost 7140
Borrowing instruments issued by 7150
Central public authorities 7160
Credit institutions 7170
Non-credit institutions 7180
Enterprises 7190
Retail clients 7200
Loans and advances to 7210
Central public authorities 7220
Credit institutions 7230
Non-credit institutions 7240
Enterprises 7250
Retail clients 7260
TOTAL 7999
29
Derivatives held for trading
By Nature By Type
Schema Ref. A
Book Value Asset
Book Value Liability
Notional Amount
Code 005 010 020
Interest Rate Option - Caps/Floors/Collars -
Swaptions
322.6 7100
Interest rate swaps 322.3 7110
Interest rate futures contract 322.5 7120
Forward contract 322.1 7130
Interest future operations 322.4 7140
Others 7150
Equity Instruments
Stock forwards 323.1 7160
Stock futures contracts 323.3 7170
Stock options 323.2 7180
Stock subscription warrants 323.6 7190
Others 7200
Foreign Currencies
Currency forwards 321.1 7210
Currency futures 321.3 7220
Currency swaps 321.2 7230
Currency options 321.4 7240
Foreign Exchange Forward Rate Agreement (FX forward rate agreement) 321.5 7250 Others 7260 Credit Credit default swaps 7270 Credit spread options 7280 Total return swaps 7290 Others 7300 Commodities 7310 Others 7320 Receivable income/Payable expenses (if accounted for separately) 7500 TOTAL 7999 30
Financial assets designated at fair value through profit or loss:
credit risk information relative to loans and advances Maximum exposure to credit risk Amount by which any related credit derivative limits this maximum exposure to credit risk Amount of the cumulative change in fair value attributable to changes in credit risk Amount of the variation in fair value of any related credit derivative or similar instrument Amount of the change in fair value of a loan or receivable, during the period, which is attributable to changes in the credit risk of the financial asset Amount of the cumulative change in fair value of any related credit derivative since designation IFRS 7.9 IFRS 7.9 (b) IFRS 7.9 (c) IFRS 7.9 (d) IFRS 7.9 (c) IFRS 7.9 (d) Code 005 010 015 020 025 030 Loans and advances 7100 31
Financial assets designated at fair value
through profit or loss
Table A
Breakdown by Counterparty
IAS/IFRS Ref.
Total (book value)
Amortized Cost
Code A 005 010
Equity instruments 32.11 7100
Quoted
39 AG
71
7110
Unquoted but determinable FV
39 AG
80-81
7120
Borrowing instruments issued by 39.9 7130
Central public authorities CRD 7140
Credit institutions CRD 7150
Non-credit institutions
CRD 7160
Enterprises CRD 7170
Retail clients CRD 7180
Loans and advances to 39.9 7190
Central public authorities CRD 7200
Credit institutions CRD 7210
Non-credit institutions
CRD 7220
Enterprises CRD 7230
Retail clients CRD 7240
Receivable income (if accounted for separately) 7800 TOTAL 7999 32
Financial assets designated at fair value
through profit or loss
Table B Geographic distribution
Belgium
Other EMU countries
Rest of the world
Code B 015 020 025
Equity instruments 7100
Listed 7110
Unlisted but FV determinable 7120
Debt instruments issued by 7130
Central government 7140
Credit institutions 7150
Other non-financial corporations 7160
Enterprises 7170
Retail clients 7180
Loans and advances to 7190
Central government 7200
Credit institutions 7210
Other non-financial corporations 7220
Enterprises 7230
Retail clients 7240
TOTAL 7999
33
Available-for-sale financial assets
Table A
Distribution according to counterparty
IAS/IFRS Ref.
Fair value of non-impaired assets
Fair value of impaired assets
Total net carrying amount
<Impairment>

CP 39.58-70 39.67-70
Code A 005 010 015 020
Equity instruments 32.11 7100
Listed 39 AG 71 7110
Unlisted but FV determinable
39 AG 80-
81
7120
Equity instruments at cost
39. 46 c 7130
Debt instruments issued by 39.9 7140
Central public authorities CRD 7150
Credit institutions CRD 7160
Other than credit institutions
CRD 7170
Enterprises CRD 7180
Retail clients CRD 7190
Loans and advances to 39.9 7200
Central public authorities CRD 7210
Credit institutions CRD 7220
Other than credit institutions
CRD 7230
Enterprises CRD 7240
Retail clients CRD 7250
Receivable income (if they are accounted for separately) 7800 TOTAL 7999 34

Available-for-sale financial assets
Table B
Geographic distribution
Belgium
Other EMU countries
Rest of the world
Code B 025 030 035
Equity instruments 7100
Listed 7110
Unlisted but FV determinable 7120
Equity instruments at cost 7130
Debt instruments issued by 7140
Central public authorities 7150
Credit institutions 7160
Other than credit institutions
7170
Enterprises 7180
Retail clients 7190
Loans and advances to 7200
Central public authorities 7210
Credit institutions 7220
Other than credit institutions
7230
Enterprises 7240
Retail clients 7250
TOTAL 7999
35
Loans and receivables
Table A
Distribution according to counterparty
IAS/IFRS Ref.
Non-impaired assets
Impaired assets (total carrying value)
<Value adjustments for financial assets assessed individually> <Value adjustments for financial assets assessed collectively Total net carrying value CP IFRS 7.37; IFRS 7 IG 29(a) IAS 39 AG 84- 86; IFRS 7.37(b) IAS 39 AG 84- 90 Code A 005 010 015 020 025 Debt instruments issued by 39 AG 26 7100 Central public authorities CRD 7110 Credit institutions CRD 7120 Other than credit institutions CRD 7130 Enterprises CRD 7140 Retail clients CRD 7150 Loans and advances to 39.9 7160 Central public authorities CRD 7170 Credit institutions CRD 7180 Other than credit institutions CRD 7190 Enterprises CRD 7200 Retail clients CRD 7210 Receivable income (if they are accounted for separately) 7250 TOTAL 7299 36
Loans and receivables
Table B Geographic distribution
Belgium
Other countries
EMU
Rest of the world
Code B 030 035 040
Debt instruments issued by
7100
Central public authorities 7110
Credit institutions 7120
Other than credit institutions
7130
Enterprises 7140
Retail clients 7150
Loans and advances to 7160
Central public authorities 7170
Credit institutions 7180
Other than credit institutions
7190
Enterprises 7200
Retail clients 7210
TOTAL 7299
37
Loans and receivables
Table C Loans and advances to other than credit
institutions
Ref. schema A
Central public authorities
Other than credit institutions
Enterprises
Retail clients
Code C 045 050 055 060
Trade bills and own acceptances 121.1-2 7300
Finance lease contracts 121.3 7310
Securitised debt CP 7320
Consumer credit 121.4 7330
Mortgage loans 121.5 7340
Term loans 121.6 7350
Current account advances 121.7 7360
Other credits 121.8 7370
TOTAL 7399
38
Held-to-maturity investments
Table A
Distribution according to counterparty
IAS/IFRS Ref.
Non-impaired assets
Impaired assets (total carrying value)
<Value adjustments for financial assets assessed individually> <Value adjustments for financial assets assessed collectively> (includes value adjustments for incurred losses but not yet reported) Total net carrying value CP IFRS 7.37; IFRS 7 IG 29(a) 39 AG 84- 86; IFRS 7.37(b) 39 AG 84-90 Code A 005 010 015 020 025 Debt instruments issued by 39 AG 26 7100 Central public authorities CRD 7110 Credit institutions CRD 7120 Other than credit institutions CRD 7130 Enterprises CRD 7140 Retail clients CRD 7150 Loans and advances to 39.9 7160 Central public authorities CRD 7170 Credit institutions CRD 7180 Other than credit institutions CRD 7190 Enterprises CRD 7200 Retail clients CRD 7210 Receivable income (if they are accounted for separately) 7250 TOTAL 7999 39
Held-to-maturity investments
Table B Geographic distribution
Belgium
Other EMU countries
Rest of the world
Code B 030 035 040
Debt instruments issued by 7100
Central public authorities 7110
Credit institutions 7120
Other than credit institutions 7130
Enterprises 7140
Retail clients 7150
Loans and advances to 7160
Central public authorities 7170
Credit institutions 7180
Other than credit institutions 7190
Enterprises 7200
Retail clients 7210
TOTAL 7999
40
Information relating to impaired and past due but unpaid assets
Past due but unpaid IFRS 7.37 (a) IFRS 7 IG 28 ≤ 90 days Past due but unpaid IFRS 7.37 (a) IFRS 7 IG 28

90 days ≤ 180 days
Past due but unpaid IFRS 7.37 (a) IFRS 7 IG 28
180 days ≤ 1 year
Past due but unpaid IFRS 7.37 (a) IFRS 7 IG 28
1 year
Net carrying value of impaired assets 39.58-70 Specific value adjustments for financial assets assessed individually 39 AG 84-92; IFRS 7.37 (b) Specific value adjustments for financial assets assessed collectively 39 AG 84-92 Collateral and other credit enhancements received as security for impaired and past due but unpaid assets related IFRS 7.37 (c) Ref. IAS/IFRS IFRS 7.37 Code 005 010 015 020 025 030 035 040 Equity instruments IFRS 7.37 7100 Listed 39 AG 71 7110 Unlisted but FV determinable 39 AG 80-81 7120 Equity instruments at cost 39. 46 c 7130 Debt instruments issued by IFRS 7.37 7140 Central public authorities CRD 7150 Credit institutions CRD 7160 Other than credit institutions CRD 7170 Enterprises CRD 7180 Retail clients CRD 7190 Loans and advances to IFRS 7.37 7200 Central public authorities CRD 7210 Credit institutions CRD 7220 Other than credit institutions CRD 7230 Enterprises CRD 7240 Retail clients CRD 7250 Trade bills and own acceptances CRD 7260 Finance lease contracts CRD 7270 Securitised debt CRD 7280 Consumer credit CRD 7290 Mortgage loans CRD 7300 Term loans CRD 7310 Current account advances CRD 7320 Other credits CRD 7330 Other financial assets IFRS 7.37 7340 TOTAL 7399 Value adjustments for incurred but not yet reported losses on financial assets 39 AG 84-92 7400 Collateral instruments that cannot be attributed specifically CP 7410 41

11a. Derivatives - hedge accounting
By risk type By instrument
Ref. Schema A
Carrying value Asset
Carrying value
Liability
Notional amount
Code A 005 010 015
Fair value hedges
Interest rate Option -
Caps/Floors/Collars
Swaptions
322.6 7100
IRS (Interest Rate Swaps) 322.3 7105
FRA (forward rate agreements)
322.5 7110
Forward contracts 322.1 7115
Futures contracts (interest futures)
322.4 7120
Other 7125
Equity instruments Equity forwards 323.1 7130
Futures contracts (futures) on shares
323.3 7135
Share options 323.2 7140
Share warrants
323.6 7145
Other 7150
Foreign currencies Currency forwards 321.1 7155 Currency futures 321.3 7160 Currency swaps 321.2 7165 Currency options 321.4 7170 Forward foreign exchange rate agreement (FX forward rate agreement)
321.5 7175
Other 7180
Credit Credit default swaps 7185
Options on credit spreads
7190
Total return swaps 7195
Other 7200
Commodities 7205
Other 7210
TOTAL 7219
Cash flow hedges
Interest rate Option -
Caps/Floors/Collars
Swaptions
322.6 7220
IRS (Interest Rate Swaps) 322.3 7225
FRA (forward rate agreements)
322.5 7230
Forward contracts 322.1 7235
Futures contracts (interest futures)
322.4 7240
Other 7245
Equity instruments Equity forwards 323.1 7250
Futures contracts (futures) on shares
323.3 7255
Share options 323.2 7260
Share warrants
323.6 7265
Other 7270
Foreign currencies Currency forwards 321.1 7275 Currency futures 321.3 7280 Currency swaps 321.2 7285 Currency options 321.4 7290 Forward foreign exchange rate agreements (FX forward rate agreements)
321.5 7295
Other 7300
Credit Credit default swaps 7305
Options on credit spreads
7310
Total return swaps 7315
Other 7320
Commodities 7325
Other 7330
TOTAL 7399
Hedges of a net investment in a foreign operation 7500 TOTAL 8599 42

11b. Hedge of interest rate risk of a portfolio (39.89A) Ref. IAS/IFRS Carrying value Asset Carrying value Liability Notional amount Code B 005 010 015 Fair value hedges 39.89A 7400 Cash flow hedges 39 IG F6 1-3 7410 43

(Table 12 has been removed from reporting submitted as of August 1, 2006) 44

Property, plant and equipment (PPE)
Table A
PPE evaluated after initial recognition according to the revaluation model (IAS 16.31) IAS/IFRS Ref.
Land and buildings occupied by their owner
IT infrastructure
Office equipment
Other fixed assets (including private cars)
Total carrying value
IAS/IFRS Ref. 16.37(a)-
(b) CP 16.37(h) 16.37(c)-
(g)
Code A 005 010 015 020 025
Opening balance 16.73(d) 7100
Additions 16.73(e) (i) 7110
Acquisitions via business combinations
16.73(e) (iii) 7120
Disposals 16.73(e) (ii) 7130
Disposals via business combinations
16.73(e) (ii) 7140
Increases and decreases resulting from revaluations described under 16.31/39/40 16.73(e) (iv) 7150 Impairment losses recognized or reversed directly in equity under IAS 36 16.73(e) (iv) 7160 Depreciation 16.73(e) (vii) 7170 Impairment losses recognized in profit or loss 16.73(e) (v) 7180 Impairment losses reversed in profit or loss 16.73(e) (vi) 7190 Effects of translation into a foreign currency 16.73(e) (viii) 7200 Transfers 7210 To and from non-current assets held for sale IFRS 5.6/26;
16.73 (e) (ii)
7220
To and from investment property
40.57 (a-c) 7230
Other changes 16.73(e) (ix) 7240
Closing balance 16.73(d) 7250
Accumulated depreciation 16.75b 7260
Assets held under a finance lease contract
17.31a 7270
Assets subject to an operating lease
17.49 7280
45
Property, plant and equipment (PPE)
Table B
PPE evaluated after initial recognition according to the cost model (IAS 16.30) IAS/IFRS Ref.
Land and buildings occupied by their owner
IT infrastructure
Office equipment
Other fixed assets (including private cars)
Total carrying value
IAS/IFRS Ref. 16.37(a)-(b) CP 16.37(c)-(g)
Code B 005 010 015 020 025
Opening balance 16.73(d) 7290
Additions 16.73(e) (i) 7300
Acquisitions via business combinations
16.73(e) (iii) 7310
Disposals 16.73(e) (ii) 7320
Disposals via business combinations 16.73(e) (ii) 7330 Depreciation 16.73(e) (vii) 7340 Impairment losses recognized in profit or loss 16.73(e) (v) 7350 Impairment losses reversed in profit or loss 16.73(e) (vi) 7360 Effect of translation into a foreign currency 16.73(e) (viii) 7370 Transfers 7380 To and from non-current assets held for sale IFRS 5.6/26;
16.73 (e) (ii)
7390
To and from investment property 40.57 (a-c) 7400 Other changes 16.73(e) (ix) 7410 Closing balance 16.73(d) 7420 Accumulated depreciation 16.75b 7430 Assets held under a finance lease contract 17.31a 7440 Assets subject to an operating lease contract
17.49 7450
Total closing balance (total tables A+B) 7499
46
Investment property (IP)
IAS/IFRS Ref.
Carrying value
Fair value when using the cost model 40.79 (e) Exceptional cases of using the cost model when using the fair value model 40.78 Code 005 010 015 Opening balance 40.76;
40.79 (d)
7100
Acquisitions 40.76 (a);
40.79 (d) (i)
7110
Subsequent expenditure 40.76 (a);
40.79 (d) (i)
7120
Acquisitions within the framework of business combinations
40.76 (b);
40.79 (d)
(ii)
7130
Disposals 40.76 (c)
40.79 (d)
(iii)
7140
Disposals within the framework of business combinations
40.76 (c);
40.79 (d)
(iii)
7150
Depreciation 40.79 (d)
(iv)
7160
Impairment losses recognized
40.79 (d)
(v)
7170
Impairment losses reversed 40.79 (d)
(v)
7180
Net gains or losses resulting from fair value adjustments
40.76 (d) 7190
Effects of translation into a foreign currency
40.76 (e);
40.79 (d)
(vi)
7200
Transfers to and from inventory and owner-occupied real estate
40.76 (f);
40.79 (d)
(vii)
7210
Transfers to and from non-current assets held for sale
40.76 (c);
40.79 (d)
(iii)
7220
Other changes 40.76 (g);
40.79 (d)
(viii)
7230
Closing balance 40.76;
40.79 (d)
7240
Assets held under a finance lease contract
17.31 (a) 7250
Assets subject to an operating lease contract
17.49 7260
47
Investment property (IP)
IAS/IFRS Ref.
Opening balance
Closing balance
Code 020 025
Gross carrying value 40.79(c) 7270
Cumulative depreciation 40.79(c) 7280
48
Goodwill and other intangible assets
Table A
Goodwill and other intangible assets recognized according to the revaluation model (IAS 38.75) IAS/IFRS Ref.
Software developed internally
Acquired software
Other intangible assets developed internally
Other intangible assets
Total carrying value
IAS/IFRS Ref. 38.57/11
9 (c)
38.119
(c) 38.57 CP
Code A 005 010 015 020 025
Opening balance 38.118(e) 7100
Additions of internally generated intangible assets 38.118(e)(i) 7110 Additions of separately acquired intangible assets 38.118(e)(i) 7120 Adjustments resulting from business combinations 38.118(e)(i) 7130 Decommissioning and disposals 38.118(e)(ii) 7140 Transfers to and from non-current assets held for sale 38.118(e)(ii) 7150 Depreciation recognized 38.118(e)(vi) 7160 Increases or decreases resulting from revaluations and impairment losses recognized or reversed directly in equity 38.118(e)(iii) 7170 Increases or decreases of revaluations, recognized in profit or loss 38.118(e)(iii) 7175 Impairment losses recognized in profit or loss 38.118(e)(iv) 7180 Impairment losses reversed in profit or loss 38.118(e)(v) 7190 Effects of currency translation 38.118(e)(vii) 7200 Other changes 38.118(e)(viii) 7210 Closing balance 38.118(e) 7220 Assets held under a finance lease contract 17.31 (a) 7230 Assets subject to an operating lease contract 17.49 7240 49
Goodwill and other intangible assets
Table B
Intangible assets recognized according to the cost model (IAS 38.74) IAS/IFRS Ref.
Goodwill
Software developed internally
Acquired software
Other intangible assets developed internally
Other intangible assets
Total carrying value
IAS/IFRS Ref. IFRS
3.51
38.57/119( c) 38.119(c) 38.57 CP
Code B 005 010 015 020 025 030
Opening balance 38.118(e) IFRS
3.75(a) 7100
Internally generated additions 38.118(e)(i) 7110 Separately acquired additions 38.118(e)(i) IFRS 3.75(b) 7120 Adjustments resulting from business combinations 38.118(e)(i) 7130 Decommissioning and disposals 38.118(e)(ii) IFRS 3.75(d) 7140 Transfers to and from non-current assets held for sale 38.118(e)(ii) IFRS 3.75(d) 7150 Adjustments resulting from subsequent recognition of deferred tax assets IFRS 3.75(c) 7160 Depreciation recognized 38.118(e)(vi) 7170 Increases or decreases resulting from revaluations and impairment losses recognized or reversed directly in equity 38.118(e)(iii) 7180 Impairment losses recognized in profit or loss 38.118(e)(iv) IFRS 3.75(e) 7190 Impairment losses reversed in profit or loss 38.118(e)(v) 7200 Effects of currency translation 38.118(e)(vii) IFRS 3.75(f) 7210 Other changes 38.118(e)(viii) IFRS 3.75(g) 7220 Closing balance 38.118(e) IFRS 3.75(a) 7230 Recoverable amount IFRS 3.76 7240 Gross amount of goodwill IFRS 3.75h 7250 Cumulative impairment of goodwill IFRS 3.75h 7260 Assets held without a finance lease contract 17.31 (a) 7270 Assets subject to an operating lease contract 17.49 7280 Total closing balance (total tables A+B) 7299 50
Interests in associates, subsidiaries and joint ventures
Table A: Summary financial information of associates Entity Cumulative interests in equity (%) Assets 28.37(b) Liabilities 28.37(b) Profit or loss 28.37 (b)
Fair value of interests in associates for which quoted prices are publicly available 28.37 (a) Reporting date 28.37 (e) Code A 005 010 015 020 025 030 035 7101 7102 7201 7202 Recognized using the equity method: 28.37 (b) Not recognized using the equity method: 28.37 (h-i) 51
Interests in associates, subsidiaries
and joint ventures
Table B: Summary financial information of subsidiaries and joint ventures Entity Cumulative interests in equity (%) Assets 28.37(b) Liabilities 28.37 (b) Profit or loss 28.37 (b)
Reporting date
27.40 (e)
Code B 005 010 015 020 025 035
7301
7302
7401
7402
Recognized using the equity method: 28.37 (b)
Not recognized using the method: 28.37 (h-i)
52
Reconciliation between statutory tax and effective tax Ref.
IAS/IFRS
Net value
12.81 (c) (i)
% 12.81 (c)
(ii)
Code 005 010
Tax charge based on statutory rate 12.81 (c) (i) 7100
1.1. Net profit before tax 7110
1.2. Statutory tax rate 12.81 (c) (i) 7120
Fiscal effect of rates in other fiscal jurisdictions CP 7130
Fiscal effect of non-taxable income CP 7140
Fiscal effect of non-deductible expenses CP 7150
Fiscal effect of using previously unrecognized tax losses CP 7160
Fiscal effect on tax benefit not previously recognized in profit or loss CP 7170
Fiscal effect of remeasurement of unrecognized deferred tax assets CP 7180
Fiscal effect of change in tax rate CP 7190
Fiscal effect of insufficient or excessive provisions from previous periods CP 7200
Other increase (decrease) in statutory tax CP 7210
Tax charge based on effective rate 12.81 (c) (i) 7220
11.1. Net profit before tax 7230
11.2. Effective tax rate 12.81 (c) (i) 7240
53
Other assets
IAS/IFRS Ref. or schema A
Carrying value
Code 005
Employee benefits 19.58 7100
Management assets for management mandates 39.24-27 7110 Prepaid expenses 161 7120 Receivable income (other than interest income from financial instruments) 162 7130 Precious metals, goods and merchandise 141 7140 Other advances 143 7150 Other CP 7160 TOTAL 7999 54
Non-current assets and groups held for sale,
classified as held for sale
Carrying value
Of which: Discontinued operations
IFRS 5.32
Code 005 010
Non-current assets held for sale (IFRS 5.6) 7100 Intangible assets 7110 Property, plant and equipment 7120 Investment property 7130 Interests in [subsidiaries], joint ventures and associates 8160 TOTAL 7199 Groups of assets held for sale (IFRS 5.6) 7200 Financial assets 7210 Property, plant and equipment 7220 Intangible assets 7230 Interests in associates, [subsidiaries] and joint ventures accounted for using the equity method (including goodwill under the equity method) 7240 Tax assets 7250 Other assets 7260 TOTAL OF GROUPS OF ASSETS HELD FOR SALE 7299 Liabilities related to groups of assets held for sale (IFRS 5.38) 7300 Financial liabilities 7310 Provisions 7320 Tax liabilities 7330 Other liabilities 7340 Share capital redeemable on demand 7350 TOTAL LIABILITIES 7399 55
Financial liabilities held for trading
Table A
Ref.
Carrying value IFRS
7.8 (e) (ii)
Code A 005
Deposits from credit institutions CP 7100
Current account deposits/view deposits ECB/2001/13 7110 Term deposits ECB/2001/13 7120 Deposits repayable with notice ECB/2001/13 7130 Other deposits ECB/2001/13 7140 Derivatives held for trading purposes 39 AG 15 (a) 7150 (Table 4) Short positions 39 AG 15 (b) 7160 In equity instruments 32.11 7170 In fixed income instruments CP 7180 Deposits (other than from credit institutions) CP 7190 Current account deposits/view deposits ECB/2001/13 7200 Term deposits ECB/2001/13 7210 Deposits repayable with notice ECB/2001/13 7220 Other deposits ECB/2001/13 7230 Debt securities (including bond issues) 39 AG 15 (c) 7240 Certificates of deposit CP 7250 Banknotes (including when dematerialized) CP, schema A 232 7260 Bond issues CP 7270 Convertible CP, schema A
232.2 7280
Non-convertible CP, schema A
233.1 7290
Other CP 7300
Other financial liabilities CP 7310
Accrued charges (if they are accounted for separately) 7800 TOTAL 7999 56
Financial liabilities held for trading
Table B: Geographic breakdown
Ref.
Belgium
Other countries
EMU
Rest of the world
Code 010 015 020
Deposits from credit institutions CP 7100
Advances in current accounts/ demand deposits ECB/2001/13 7110 Term deposits ECB/2001/13 7120 Deposits repayable at call ECB/2001/13 7130 Other deposits ECB/2001/13 7140 Derivatives held for trading 39 AG 15 (a) 7150 Short positions 39 AG 15 (b) 7160 In equity instruments 32.11 7170 In debt instruments CP 7180 Deposits (other than from credit institutions) CP 7190 Advances in current accounts/ demand deposits ECB/2001/13 7200 Term deposits ECB/2001/13 7210 Deposits repayable at call ECB/2001/13 7220 Other deposits ECB/2001/13 7230 Debt securities (including bonds) 39 AG 15 I 7240 Deposit certificates CP 7250 Bills of exchange (including when dematerialized) CP, schema A 232 7260 Bonds CP 7270 Convertible CP, schema A 232.2 7280 Non-convertible CP, schema A 233.1 7290 Other CP 7300 Other financial liabilities CP 7310 TOTAL 7999 57
Financial liabilities designated at fair value through profit or loss
Table A
Carrying amount
Cumulative change in fair value attributable to changes in credit risk Difference between carrying amount and the amount contractually due at maturity Ref. IFRS 7.8 (e) (i) IFRS 7.10 (a) IFRS 7.10 (b) Code A 005 010 015 Deposits from credit institutions 7100 Advances in current accounts/ demand deposits ECB/2001/13 7110 Term deposits ECB/2001/13 7120 Deposits repayable at call ECB/2001/13 7130 Other deposits ECB/2001/13 7140 Deposits (other than from credit institutions) 7150 Advances in current accounts/ demand deposits ECB/2001/13 7160 Term deposits ECB/2001/13 7170 Deposits repayable at call ECB/2001/13 7180 Other deposits ECB/2001/13 7190 Debt securities (including bonds) CP 7200 Deposit certificates CP 7210 Bills of exchange (including when dematerialized) CP, schema A 232 7220 Bonds CP 7230 Convertible CP, schema A 233.2 7240 Non-convertible CP, schema A 233.1 7250 Other 7260 Subordinated liabilities CP 7270 Other liabilities 7280 Accrued expenses (if accounted for separately) 7800 TOTAL 7999 58
Financial liabilities designated at fair value through profit or loss
Table B: Geographic breakdown
Belgium
Other countries EMU
Rest of the world
Ref. IFRS 7.8 (e) (i) IFRS 7.10 (a) IFRS 7.10 (b) Code B 020 025 030 Deposits from credit institutions 7100 Advances in current accounts/ demand deposits ECB/2001/13 7110 Term deposits ECB/2001/13 7120 Deposits repayable at call ECB/2001/13 7130 Other deposits ECB/2001/13 7140 Deposits (other than from credit institutions) 7150 Advances in current accounts/ demand deposits ECB/2001/13 7160 Term deposits ECB/2001/13 7170 Deposits repayable at call ECB/2001/13 7180 Other deposits ECB/2001/13 7190 Debt securities (including bonds) CP 7200 Deposit certificates CP 7210 Bills of exchange (including when dematerialized) CP, schema A 232 7220 Bonds CP 7230 Convertible CP, schema A 233.2 7240 Non-convertible CP, schema A 233.1 7250 Other 7260 Subordinated liabilities CP 7270 Other liabilities 7280 TOTAL 7999 59
Financial liabilities measured at amortized cost
Table A
Central government
Entities other than credit institutions
Enterprises
Retail customers
Total carrying amount
Ref. IFRS 7.8 (f)
Code A 005 010 015 020 025
Deposits from credit institutions CP 7100
Advances in current accounts/ demand deposits ECB/2001/13 7110 Term deposits ECB/2001/13 7120 Deposits repayable at call ECB/2001/13 7130 Other deposits ECB/2001/13 7140 Deposits (other than from credit institutions) CP 7150 Advances in current accounts/ demand deposits ECB/2001/13 7160 Term deposits ECB/2001/13 7170 Deposits repayable at call ECB/2001/13 7180 Other deposits ECB/2001/13 7190 Special deposits schema A 221.5 7200 Regulated savings deposits schema A 221.6 7210 Deposits linked to mortgage loans schema A 221.7 7220 Other deposits CP 7230 Deposit protection scheme schema A 221.8 7240 Debt securities (including bonds) CP 7250 Deposit certificates CP 7260 Bills of exchange (including when dematerialized) CP, schema A 232 7270 Bonds CP 7280 Convertible CP, schema A 233.2 7290 Non-convertible CP, schema A 233.1 7300 Other CP 7310 Subordinated liabilities 7320 Detailed in table 23 Other liabilities 7330 Accrued expenses (if accounted for separately) 7800 TOTAL 7999 60
Financial liabilities measured at amortized cost
Table B: Geographic breakdown
Ref.
Belgium
Other countries
EMU
Rest of the world
Code B 030 035 040 045
Deposits from credit institutions 7100 CP
Advances in current accounts/ demand deposits 7110 ECB/2001/13 Term deposits 7120 ECB/2001/13 Deposits repayable at call 7130 ECB/2001/13 Other deposits 7140 ECB/2001/13 Deposits (other than from credit institutions) 7150 CP Advances in current accounts/ demand deposits 7160 ECB/2001/13 Term deposits 7170 ECB/2001/13 Deposits repayable at call 7180 ECB/2001/13 Other deposits 7190 ECB/2001/13 Special deposits 7200 schema A 221.5 Regulated savings deposits 7210 schema A 221.6 Deposits linked to mortgage loans 7220 schema A 221.7 Other deposits 7230 CP Deposit protection scheme 7240 schema A 221.8 Debt securities (including bonds) 7250 CP Deposit certificates 7260 CP Bills of exchange (including when dematerialized) 7270 CP, schema A 232 Bonds 7280 CP Convertible 7290 CP, schema A 233.2 Non-convertible 7300 CP, schema A 233.1 Other 7310 CP Subordinated liabilities 7320 Other liabilities 7330 TOTAL 7999 61
Subordinated liabilities
Maturity
Ref. IFRS
Convertible subordinated debt schema A 271
Non-convertible subordinated debt schema A 272 Other term subordinated debt schema A 273 Subordinated advances schema A 274 Code 005 010 015 020 Current year CP 7100 Current year +1 CP 7110 Current year +2 CP 7120 Current year +3 CP 7130 Current year +4 CP 7140 Current year +5 CP 7150 Current year +6 CP 7160 Current year +7 CP 7170 Current year +8 CP 7180 Current year +9 CP 7190 Current year +10 CP 7200 Beyond current year +10 CP 7210 Perpetual debt CP 7220 TOTAL 7999 62
Derecognition and liabilities associated with transferred assets
Nature of assets
IFRS 7.13(a)
Nature of risks and benefits attached to ownership to which the bank remains exposed IFRS 7.13(b) Carrying values Amounts derecognized for the purpose of calculating own funds (art. 94 CRD) CRD Art 94 Asset Associated liability
39.31 IFRS 7.13 (c-d)
Total
IFRS 7.13 (c-d)
Share of asset still recognized (continuing involvement)
39.30 IFRS 7.13(d)
Code 002 005 010 015 020 025
750
Held for trading
7110 Equity instruments
7111
7112
7120 Debt instruments
7121
7122
7130 Loans and advances
7131
7132
7150
Designated at fair value through profit or loss 7200 Equity instruments 7201 7202 7210 Debt instruments 7211 7212 7220 Loans and advances 7221 7222 7250 Available for sale 7300 Equity instruments 7301 7302 7310 Debt instruments 7311 7312 7320 Loans and advances 7321 7322 7350 Loans and receivables 7410 Debt instruments 7411 7412 7420 Loans and advances 7421 7422 7450 Held to maturity 7500 Debt instruments 7501 7502 7510 Loans and advances 7511 7512 7999 TOTAL 63
Provisions
Ref. IAS/IFRS
Restructuring
Provisions for tax disputes
Pending litigation
Obligations for pensions and other post-employment benefits Loan commitments and guarantees Onerous contracts Other provisions Total Ref. IAS/IFRS 37.72 CP 37 Annex C no 6/10 19.125, 1.75(d) 37 Annex C no 9 37 Annex C no 8 CP Code 005 010 015 020 025 030 035 040 Opening balance 37.84 (a) 7100 Additions 37.84 (b) 7110 Amounts used 37.84 (c) 7120 Amounts not used reversed during the year 37.84 (d) 7130 Acquisitions (disposals) by way of business combinations CP 7140 Increase in discounted amount (time decay) and effect of any change in discount rate 37.84 (e) 7150 Exchange differences CP 7160 Other changes CP 7170 Closing balance 37.84 (a) 7180 64
Other liabilities
Ref. IAS/IFRS
Current year
Code 005
Employee benefits 19.54 7100
Social charges 241.2 7110
Management liabilities for management mandates 39.24-27 7120 Lease obligations 17.20 7130 Accrued expenses (other than financial charges related to financial liabilities) 261 7140 Deferred income 262 7150 Other liabilities 242 7160 Other CP 7170 TOTAL 7999 65
Fees and commission income and expenses
Ref. IAS/IFRS
Current year
Code 005
Fees and commission income
IFRS 7.20 (c)
Securities IFRS 7.20 (c); 413.21 7110
Issuance IFRS 7.20 (c); 413.211 7120
Purchase and sale orders IFRS 7.20 (c); 413.212 7130 Other IFRS 7.20 (c); 413.213 7140 Clearing and settlement IFRS 7.20 (c) 7150 Trust or similar activities IFRS 7.20 (c) 7160 Wealth management IFRS 7.20 (c); 413.23 7170 Overdrafts IFRS 7.20 (c); 413.23 7180 Other fiduciary activities IFRS 7.20 (c) 7190 Loan commitments IFRS 7.20 (c); 413.1 7200 Payment services IFRS 7.20 (c); 413.22 7210 Structured products IFRS 7.20 (c) 7220 Management fees for securitization activities IFRS 7.20 (c) 7230 Other IFRS 7.20 (c); 413.24 7240 TOTAL IFRS 7.20 (c) 7299 Fees and commission expenses IFRS 7.20 (c) Commissions paid to agents (acquisition costs) IFRS 7.20 (c); 512.23 7310 Overdrafts IFRS 7.20 (c); 413.23 7320 Clearing and settlement IFRS 7.20 (c) 7330 Management fees for securitization activities IFRS 7.20 (c); 512.24 7340 Other IFRS 7.20 (c) 7350 TOTAL IFRS 7.20 (c) 7999 66
Realized profits (losses) on financial assets and liabilities not measured at fair value through profit or loss (net) Ref. IAS/IFRS
Realized profits
Realized losses
Net
Code 005 010 015
Available-for-sale financial assets IFRS 7.20 (a) (ii); 39.55 (b) 7100 Loans and receivables (including finance leases) IFRS 7.20 (a) (iv); 39.9 7110 Held-to-maturity investments IFRS 7.20(a)(iii); 39.9 7120 Financial liabilities measured at amortized cost IFRS 7.20(a)(v); 39.9 7130 Other 1.86 7140 TOTAL 7999 67
Profits (losses) on financial assets and liabilities designated at fair value through profit or loss (net) Ref. IAS/IFRS
Profits
Losses
Net
Amount of fair value difference attributable to changes in credit risk Code 005 010 015 020 Financial assets designated at fair value through profit or loss IFRS 7.20 (a) (i); 39.55 (a) 7100 Financial liabilities designated at fair value through profit or loss IFRS 7.20 (a) (i); 39.55 (a) 7110 Profits (losses), net 7120 68
Profits (losses) in hedge accounting (net) Ref. IAS/IFRS
Profits
Losses
Net
Code 005 010 015
Fair value hedges 39.86 (a) 7100
Changes in fair value of the hedged item attributable to the hedged risk IFRS 7.24 (a) (ii) 7110 Changes in fair value of hedging derivative instruments (including cessation of hedge) IFRS 7.24 (a) (i) 7120 Cash flow hedges 39.86 (b) Changes in fair value of hedging derivative instruments - ineffective portion IFRS 7.24 (b) 7140 Hedges of net investments in a foreign operation 39.86 (c) Changes in fair value of hedging derivative instruments - ineffective portion IFRS 7.24 (c) 7160 Fair value hedges of interest rate risk 39.89A 7170 Changes in fair value of the hedged item IFRS 7.24 (a) (ii) 7180 Changes in fair value of hedging derivative instruments IFRS 7.24 (a) (i) 7190 Cash flow hedge for interest rate risk 39 IG F.6 1-3 Changes in fair value of hedging instrument - ineffective portion IFRS 7.24 (b) 7210 Cessation of hedge accounting in the case of a cash flow hedge IFRS 7.23 (d); 39.101 7220 TOTAL 7999 69
Profits (losses) on derecognition of assets other than those held for sale (net)
Ref. IAS/IFRS
Profits
Losses
Net
Code 005 010 015
Property, plant and equipment 16.68/71 IAS 1.87 (c) 7100 Investment property 40.69 7110 Intangible assets 38.113/118 (e) (ii) 7120 Interests in associates, joint ventures and subsidiaries CP 7130 TOTAL 7999 70
Other operating income and expenses
Ref. IAS/IFRS
Current year
Code 005
Income CP 7100
Property, plant and equipment measured using the revaluation model 16.39 7110 Investment property 7120 Rental income from investment property 40.75f(i) 7130 Cumulative change in fair value on sale of an investment property from an asset portfolio using the cost model to enter a portfolio in which the fair value model is used 40.75(f)(iv), 40.32C 7140 Other income related to investment property 40.75g 7150 Operating lease contracts 17.33/50 7160 Other CP 7170 Expenses CP 7200 Property, plant and equipment measured using the revaluation model 16.40 7210 Investment property 7220 Direct operating expenses (including repairs and maintenance) arising from investment property that generated rental income during the period 40.75f(ii) 7230 Direct operating expenses (including repairs and maintenance) arising from investment property that did not generate rental income during the period 40.75f(iii) 7240 Cumulative change in fair value on sale of an investment property from an asset portfolio using the cost model to enter a portfolio in which the fair value model is used 40.75(f)(iv), 40.32C 7250 Operating lease contracts 17.33/50 7260 Other CP 7270 TOTAL 7999 71
Personnel expenses
Ref.
Current year
Code 005
Remuneration 514.1 7100
Social charges 514.2-3 7110
Retirement and survivor pensions and similar expenses 514.5 7120 Share-based payments IFRIC 2.2 7140 Other 514.4 7150 TOTAL 7999 72
General and administrative expenses
Ref.
Current year
Code 005
Advertising expenses 516.21 7100
Fees CP 7110
IT expenses CP 7120
Rent 516.23 7130
Other (including temporary staff) 1.91/ 516.22/23 7140 TOTAL 7999 73

(Table 35 has been removed from reporting submitted as of 1 August 2006) 74

Profits and losses from discontinued operations, net of tax
Ref. IAS/IFRS
Carrying amount
Code 005
Income from discontinued operations IFRS 5.33 (b)i 7100 Expenses generated by discontinued operations IFRS 5.33(b)i 7110 Profit or loss before tax of discontinued operations IFRS 5.33 (b)i total 7120 Income tax expense IFRS 5.33bii / 12.81h 7130 Profit or loss after tax of discontinued operations IFRS 5.33 (a)i total A 7140 Profit or loss resulting from measurement at fair value less costs to sell 7150 Profit or loss resulting from the disposal of assets or groups of assets constituting the discontinued operation 7160 Adjustments directly related to the disposal of a discontinued operation in a previous period IFRS 5.35 7170 Profit or loss before tax resulting from measurement at fair value less costs to sell or disposal of assets (IFRS 5.15) IFRS 5.33 biii 7180 total Income tax expense IFRS 5.33 b iv 7190 Profit or loss after tax recognized resulting from measurement at fair value less costs to sell, or disposal of assets or groups of assets constituting the discontinued operation IFRS 5.33(a)ii total B 7200 Total profits and losses after tax of discontinued operations 1.81e 7210 Totals A+B 75
Information relating to credit risk and impairment
Table A: Impairment rollforward (IFRS 7.20(e))
Impairment
Additions
Reversals
Total
Code A 005 010 015
Impairment losses on financial assets not measured at fair value through profit or loss 7100 Financial assets measured at cost (unquoted equity instruments and related derivatives) 7110 Available-for-sale financial assets, measured at fair value through equity 7120 Loans and receivables measured at amortized cost (including finance leases) 7130 Held-to-maturity investments measured at amortized cost 7140 Impairment 7150 Property, plant and equipment 7160 Investment property 7170 Intangible assets 7180 Goodwill 7190 Other 7200 Interests in associates and joint ventures accounted for using the equity method 7210 Other 7220 TOTAL 7299 Interest income on impaired financial assets, recognized in profit or loss in accordance with IAS 39 AG 93 (IFRS 7.(d)) 7300 76
Information relating to credit risk and impairment
Table B: Movements in allowance for credit losses
Opening balance
Reduction in allowances
Amounts provided for probable loan losses
Amounts reversed for probable loan losses
Other adjustments ()
Transfers between allowances
Closing balance
Reversals charged directly to profit or loss
Other amounts charged directly to profit or loss Code B 005 010 015 020 025 030 035 040 045 7101 7201 TOTAL 7999 () for example exchange differences, business combinations, acquisitions and disposals of subsidiaries, etc. Allowances for incurred but not yet reported losses IFRS 7, 16; CRD Annex XII, Chapter 2, §5 (i) (i-v) Specific allowances for financial assets assessed individually and specific allowances for assets 77
Information relating to credit risk and impairment
Table C: Credit risk
Ref.
Maximum credit risk CRD IFRS 7.36 (a)
Code C 005
Equity instruments IAS 32.11 7100
Debt instruments 7140
Loans and advances IFRS 7.37 7200
Derivatives CP 7350
Other CP 7360
TOTAL 7399
Carrying amount of financial assets pledged as collateral for IFRS 7.14 (a) 7400 Liabilities 7410 Contingent liabilities 7420 78
Information relating to credit risk and impairment
Table D: Collateral held
If the entity is permitted to sell or repledge the instruments in the absence of default by the owner Fair value of collateral held IFRS 7.15 (a) Fair value of collateral sold/repledged IFRS 7.15 (b) Code D 005 010 Financial assets 7100 Equity instruments 7110 Debt instruments 7120 Loans and advances 7180 Cash 7190 Non-financial assets 7320 Property, plant and equipment 7330 Investment property 7340 Other 7350 79
Information relating to credit risk and impairment
Table E: Collateral obtained by taking possession Ref. IAS/IFRS
Amount
Code E 005
Non-current assets held for sale IFRS 7.38 (a) 7100 Property, plant and equipment IFRS 7.38 (a) 7110 Investment property IFRS 7.38 (a) 7120 Equity instruments and debt instruments IFRS 7.38 (a) 7130 Cash IFRS 7.38 (a) 7140 Other IFRS 7.38 (a) 7150 TOTAL 7999 80
Information relating to the fair value of financial instruments
Assets/Liabilities
Carrying amount (if different from fair value) IFRS 7.25-26 Fair value recognized or disclosed IFRS 7.25-26 Of which: determined using a valuation technique not based on observable market data IFRS 7.27 (c) Of which: amount recognized in profit or loss using a valuation technique during the year 1 IFRS 7.27 (d) Code 005 010 015 020 Financial assets held for trading 7100 Financial assets designated at fair value through profit or loss 7110 Available-for-sale financial assets 7120 Loans and receivables 7130 Held-to-maturity investments 7140 Other financial assets 7150 Financial liabilities held for trading 7160 Financial liabilities designated at fair value through profit or loss 7170 Financial liabilities measured at amortized cost 7180 Other financial liabilities 7190 1 Applied only if this valuation technique relies on assumptions that are not supported by current observable transaction prices for the same instrument (i.e. without modification or reconditioning) but not on observable market data. 81
Leasing: additional information
Table A: Assets held by lessee under finance lease contracts For lessee Net carrying amount For lessee Total future minimum lease payments For lessee Net present value of total future minimum lease payments For lessee Future minimum sublease payments expected to be received under non-cancellable sublease contracts For lessee
Conditional rents recognized in income
Remaining lease term 17.31 a-d
Code A 005 010 015 020 025
< 1 year 7100

1 year ≤ 5 years 7110
5 years 7120
TOTAL 7999
82

Leasing: additional information
Table B: Assets held by lessee under operating lease contracts
Remaining lease term
Total amount of future minimum payments to be made under non-cancellable operating lease contracts (17.35a) Total of future minimum sublease payments expected to be received under non-cancellable sublease contracts (17.35b) Minimum payments recognized as expenses (17.35c) Conditional rent payments recognized as expenses (17.35c) Sublease income recognized as expenses (17.35c) Code B 030 035 040 045 050 < 1 year 7100 >1 year ≤ 5 years 7110

5 years 7120
Total nominal amount 7999
83

Leasing: additional information
Table C: Lessor's assets subject to operating lease contracts For lessor Future minimum lease payments to be made under non-cancellable operating lease contracts For lessor Conditional rents recognized in income
Remaining lease term 17.56a 17.56b
Code C 055 060
< 1 year 7100

1 year ≤ 5 years 7110
5 years 7120
TOTAL 7999
84

Location: supplementary information
Tableau D: Information relating to finance lease contracts - lessor For the lessor Gross total investment For the lessor Present value of minimum lease payments receivable For the lessor Unearned finance income For the lessor Conditional lease payments recognized in income For the lessor Unguaranteed residual values accruing to the lessor For the lessor Cumulative uncollectible minimum lease payments allowance For the lessor Residual term 17.47a-e Code D 065 070 075 080 085 090 < 1 year 7100 >1 year ≤ 5 years 7110

5 years 7120
TOTAL 7999
85

Repurchase and reverse repurchase agreements
Tableau A (transferor)
Repurchase agreements
No derecognition of financial asset transfers resulting from: (39.37a; 39 AG 51 ; IFRS 7.14) Equity instruments Debt instruments Loans and advances Other Total Code A 005 010 015 020 025 Financial assets held for trading 7100 Financial assets designated at fair value through profit or loss 7110 Available-for-sale financial assets 7120 Loans and receivables (including finance lease contracts) 7130 Held-to-maturity investments 7140 Other 7150 TOTAL 7199 86
Repurchase and reverse repurchase agreements
Tableau B (transferor)
Liability (financing obtained)
Total
Repurchase agreement
39.29; 39 AG 51
Code B 030
Credit institutions 7200
Non-credit institutions 7210
87
Repurchase and reverse repurchase agreements
Tableau C (transferee)
Reverse repurchase agreements and related agreements as transferee upon sale of the collateral instrument: (39.37b; 39 AG 51 ; IFRS 7.15(b) ) Equity instruments Debt instruments Loans and advances Other Total Code C 005 010 015 020 025 TOTAL 7299 88
Repurchase and reverse repurchase agreements
Tableau D (transferee)
Asset (financing granted)
Total
Reverse repurchase agreement
39.37a; 39 AG 51; IFRS 7.15 (a)
Code D 030
Credit institutions 7300
Non-credit institutions 7310
89
Related party disclosures
Tableau A: Liabilities to, and claims on, related parties Ref. IAS/IFRS Parent company Parent entities that exercise joint control Subsidiaries Associates Joint ventures in which the entity is a joint venturer Key management personnel of the entity or its parent Other related parties Total Balance Sheet 24.17(b) 24.18 (a) 24.18 (b) 24.18 (c) 24.18 (d) 24.18 (e) 24.18 (f) 24.18 (g) CP Code A 005 010 015 020 025 030 035 040 Asset: loans and advances 24.17(b) 7100 Current account advances 24.17(b) 7110 Term loans 24.17(b) 7120 Finance lease contracts 24.17(b) 7130 Consumer credit 24.17(b) 7140 Mortgage loans 24.17(b) 7150 Other 24.17(b) 7160 Equity instruments 24.17(b) 7170 Trading securities 24.17(b) 7180 Investment securities 24.17(b) 7190 Other 24.17(b) 7200 Total assets 24.17(b) 7299 Liabilities: deposits 24.17(b) 7300 Deposits 24.17(b) 7310 Other borrowings 24.17(b) 7320 Other financial liabilities 24.17(b) 7330 Debt securities 24.17(b) 7340 Subordinated liabilities 24.17(b) 7350 Share-based payments 24.17(b) 7360 Granted 24.17(b) 7370 Exercised 24.17(b) 7380 Other liabilities 24.17(b) 7390 Total liabilities 24.17(b) 7399 Guarantees given by the group 24.17(b)i i 7400 Guarantees received by the group 24.17(b)i i 7410 Provisions for doubtful debts 24.17(c) 7420 90
Related party disclosures
Tableau B: Expenses and income resulting from transactions with related parties Ref. IAS/IFRS Parent company Parent entities that exercise joint control Subsidiaries Associates Joint ventures in which the entity is a joint venturer Key management personnel of the entity or its parent Other related parties Total Profit or loss 24.17(a) 24.18 (a) 24.18 (b) 24.18 (c) 24.18 (d) 24.18 (e) 24.18 (f) 24.18 (g) CP Code B 005 010 015 020 025 030 035 040 Expenses 24.17(a) 7430 Interest expenses 24.17(a) 7440 Foreign exchange 24.17(a) 7450 Fees and commissions 24.17(a) 7460 Insurance premiums 24.17(a) 7470 Services provided 24.17(a) ; 24.20 7480 Purchases or sales of goods, real estate and other assets 24.17(a) ) ; 24.20 7490 Transfers 24.17(a) ; 24.20 7500 Other 24.17(a) 7510 TOTAL EXPENSES 24.17(a) 7599 Income 24.17(a) 7600 Interest income 24.17(a) 7610 Foreign exchange 24.17(a) 7620 Fees and commissions 24.17(a) 7630 Dividends 24.17(a) 7640 Insurance premiums 24.17(a) 7650 Services received 24.17(a) ; 24.20 7660 Purchases or sales of goods, real estate and other assets 24.17(a) ; 24.20 7670 Transfers 24.17(a) ; 24.20 7680 Other 24.17(a) 7690 TOTAL INCOME 24.17(a) 7699 Expenses recognized during the period for doubtful debts 24.17(d) 7710 91
Related party disclosures
Tableau C
Key management personnel remuneration
Ref. IAS/IFRS
Current year
Code C 005
Short-term benefits 24.16(a) 7720
Post-employment benefits 24.16(b) 7730
Other long-term benefits 24.16(c) 7740
Termination benefits 24.16(d) 7750
Share-based payments 24.16(e) 7760
TOTAL 7799
92
Defined benefit plans
Defined benefit plan 1
Ref. IAS/IFRS
Total current year
Code 005
Components of assets and liabilities of defined benefit plans 19.120A (f) 7100
1.1. Obligations, net of financing, for defined benefit plans (asset) 19.120A (d) 7110
1.1.1. Present value of obligations fully or partially financed 19.120A (d) 7120
1.1.2. ( - ) Fair value of defined benefit plan assets 19.120A (d), 19.120A (e), 19.120A (f) 7130
1.1.2.1. Equity instruments 19.120A (j) 8133
1.1.2.2. Debt instruments 19.120A (j) 8134
1.1.2.3. Real estate 19.120A (j) 8135
1.1.2.4. Other assets 19.120A (j) 8136
Of which: Real estate occupied or other assets used by the entity 19.120A (k) (ii) 8137 Of which: Financial instruments issued by the entity 19.120A (k) (i) 8138
1.2. Present value of obligations for defined benefit plans that are not financed at all 19.120A (d) 7140
1.3. Unrecognized actuarial gains (losses) 19.120A (f) (i) 7150
1.4. Unrecognized past service cost 19.96/120A (f) (ii) 7160
1.5. Amounts not recognized as assets due to the limitation in paragraph 58(b) 19.120A (f) (iii) 8165
1.6. Fair value of any right to reimbursement recognized as an asset 19.104A; 120A (f) (iv) 7170
1.7. Other amounts recognized in the balance sheet 19.120A (f) (v) 7180
Defined benefit obligations (assets): total 19.120A (f) 7199
Expense recognized in profit or loss: total 2 19.120A (g) 7299
2.1. Current service cost for the period 19.120A (g) (i) 7300
2.2. Net interest 19.120A (g) (ii) 7310
2.3. ( - ) Expected return on plan assets 19.120A (g) (iii) 7320
2.4. ( - ) Expected return from rights to reimbursement recognized as assets 19.104A; 120A (g) (iv) 7330
2.5. Net actuarial gains (losses) recognized 19.120A (g) (v) 7340
2.6. Past service cost 19.120A (g) (vi) 7350
2.7. Loss (profit) from any curtailment or settlement 19.120A (g) (vii) 7360
2.8. Effect of the limitation in paragraph 58 (b) when the net defined benefit obligation is negative 19.120A (g) (viii) 8365
Supplementary information
Effective return on plan assets 19.120A (m) 7370 Effective return on rights to reimbursement recognized as assets 19.120A (m) 7380 Cumulative amount of actuarial gains (losses) recognized in statement of comprehensive income 19.120A (i) 8385 Employer's estimate of contributions to be paid during the following period 19.120A (q) 8387 93
Movement in defined benefit obligations 19.120A (c) 7390
3.1. Defined benefit obligations, opening balance 19.120A (c) 7400
3.2. ( - ) Benefits paid 19.120A (c) (vii) 7410
3.3. Current service cost for the period 19.120A (c) (i) 8415
3.4. Net interest 19.120A (c) (ii) 8420
3.5. Actuarial gains (losses): total 19.120A (c) (iv) 8425
3.6. Past service cost: total 19.120A (c) (vii) 8430
3.7. Increases resulting from business combinations 19.120A (c) (viii) 7440
3.8. ( - ) Decreases resulting from business combinations 19.120A (c) (viii) 7450
3.9. Increase (decrease) resulting from changes in foreign exchange rates 19.120A (c) (v) 7460
3.10. Contributions made by plan participants 19.120A (c) (ii) 8465
3.11. Other increase (decrease) 19.120A (c) (iii) 7470
3.12. Defined benefit obligations, closing balance 19.120A (c) 7480
Key actuarial assumptions used in defined benefit plans 19.120A (n) 7520
4.1. Discount rate 19.120A (n) (i) 7530
4.2. Expected return on plan assets 19.120A (n) (ii) 7540
4.3. Expected rate of salary increases 19.120A (n) (iv) 7550
4.4. Future increases in defined benefits CP 7560
4.5. Expected return on rights to reimbursement recognized as assets 19.120A (n) (iii) 7570
4.6. Medical cost trend rate 19.120A (n) (v) 7580
4.7. Other significant actuarial assumptions used (please specify below) 19.120A (n) (vi) 7590 Ref. IAS/IFRS
Increase
1%
Decrease
1%
Effect of changes in assumed medical cost trend rates 19.120A (o) Code 005 010
5.1. Current service cost for the period and "net interest" components of periodic medical costs 19.120A (o) (i) 8610
5.2. Accumulated obligation for medical costs 19.120A (o) (ii) 8620
1 See comments in Book 2
2 Included in 'personnel expenses'
94
Cash flow statements
OPERATING ACTIVITIES
Code A 005
Net income 7.18 b 7100
Reconciliation between net income and net cash flows from operating activities 7.20 7105 (Current and deferred income tax income, recognized in profit or loss) 7.20 b 7110 Current and deferred income tax expenses, recognized in profit or loss 7.20 b 7115 Minority interests included in group profit 7.20 b 7120 Unrealized foreign exchange gains or losses 7.20 b 7125 INVESTING AND FINANCING ACTIVITIES 7.20 7130 Depreciation 7.20 b 7135 Impairment 7.20 b 7140 Provisions (net) 7.20 b 7145 Unrealized fair value losses (profits) through profit or loss, i.e. for investment properties, fixed assets, … 7.20 c 7150 Unrealized losses (profits) from sales of investments, i.e. held-to-maturity assets, associates, subsidiaries, tangible assets, … (net) 7.20 c 7155 OPERATING ACTIVITIES 7.20 7160 Unrealized profits (losses) from cash flow hedges (net) 7.20 b 7165 Unrealized profits (losses) from available-for-sale investments (net) 7.20 b 7170 Other adjustments 7.20 7175 Cash flows resulting from operating results before changes in operating assets and liabilities 7.20 7180 Increase (decrease) in working capital (including cash and cash equivalents) 7.20 7182 Increase (decrease) in operating assets (excluding cash and cash equivalents): 7.20 a 7185 Increase (decrease) in current accounts with central banks 7.20 a 7190 Increase (decrease) in loans and receivables (including finance lease contracts) 7.20 a 7195 Increase (decrease) in available-for-sale assets 7.20 a 7200 Increase (decrease) in financial assets held for trading 7.20 a 7205 Increase (decrease) in financial assets designated at fair value through profit or loss 7.20 a 7210 Increase (decrease) in asset derivatives, hedge accounting 7.20 a 7215 Increase (decrease) in non-current assets held for sale 7.20 a 7220 Increase (decrease) in other assets (balance sheet definition) 7.20 a 7225 Increase (decrease) in operating liabilities (excluding cash and cash equivalents): 7.20 a 7230 Increase (decrease) in central bank advances 7.20 a 7235 Increase (decrease) in deposits from credit institutions 7.20 a 7240 Increase (decrease) in deposits (other than credit institutions) 7.20 a 7245 Increase (decrease) in debt securities (including bond issues) 7.20 a 7250 Increase (decrease) in financial liabilities held for trading 7.20 a 7255 Increase (decrease) in financial liabilities designated at fair value through profit or loss 7.20 a 7260 Increase (decrease) in liability derivatives, hedge accounting 7.20 a 7265 Increase (decrease) in other financial liabilities 7.20 a 8267 Increase (decrease) in other liabilities (balance sheet definition) 7.20 a 7270 Cash flows from operating activities 7275 Income taxes (paid) refunded 7.35 7280 Net cash flows from operating activities 7.10 7285 95

INVESTING ACTIVITIES
(Cash outflows for the acquisition of tangible assets) 7.16 a 7290 Cash inflows from the sale of tangible assets 7.16 b 7295 (Cash outflows for the acquisition of intangible assets) 7.16 a 7305 Cash inflows from the sale of intangible assets 7.16 b 7315 (Cash outflows for investing in associates, subsidiaries, joint ventures, net of cash acquired) 7.16 c 7325 Cash inflows from the sale of joint ventures, associates, subsidiaries, net of cash disposed 7.16 d 7335 (Cash outflows for non-current assets or liabilities held for sale) 7.16 c 7345 Cash inflows generated by non-current assets or liabilities held for sale 7.16 d 7355 (Cash outflows for the acquisition of held-to-maturity investments) 7.16 c 7365 Cash inflows from the sale of held-to-maturity investments 7.16 d 7375 (Other cash outflows related to investing activities) 7.16 7385 Other cash inflows related to investing activities 7.16 7395 Net cash flows from investing activities 7.10 7405 FINANCING ACTIVITIES (Dividends paid) 7.34 7410 Cash inflows from the issuance of subordinated liabilities 7.17 c 7420 (Cash outflows for repaying subordinated liabilities) 7.17 d 7430 Cash outflows for share buybacks or other equity instruments 7.17 b 7440 Cash inflows from the issuance of shares or other equity instruments 7.17 a 7450 (Cash outflows for the acquisition of treasury shares) 7.17 b 7460 Cash inflows from the sale of treasury shares 7.17 a 7470 Other cash inflows related to investing activities 7.17 7480 (Other cash outflows related to investing activities) 7.17 7490 Net cash flows from financing activities 7.10 7500 Effect of changes in exchange rates on cash or cash equivalents 7.28 7510 96

NET INCREASE IN CASH AND CASH EQUIVALENTS 7515 CASH AND CASH EQUIVALENTS AT BEGINNING OF YEAR 7. App B 7520 CASH AND CASH EQUIVALENTS AT END OF YEAR 7. App B 7525 Components of cash and cash equivalents 7.45 7530 Cash on hand 7.6 7535 Current accounts with central banks 7.7 7540 Loans and receivables 7.7 7545 Held-to-maturity investments 7.7 7550 Available-for-sale assets 7.7 7555 Financial assets held for trading 7.7 7560 Financial assets designated at fair value through profit or loss 7.7 7565 Other very liquid short-term investments 7.7 7570 (Bank overdrafts repayable on demand if they are an integral part of the company's cash management) 7.8 7575 Total cash and cash equivalents at end of year 1.68 i 7599 Of which: amount of cash and cash equivalents held by the company, but not available to the group 7.48 7600 Unused credit facilities (with a breakdown if this information is significant) 7.50 a 7605 Supplementary information regarding operating cash flows Interest received 7.31 7610 Dividends received 7.31 7615 Finance costs paid 7.31 7620 Supplementary information regarding acquisitions/disposals of subsidiaries Total purchase or disposal price 7.40 a 7625 Portion of purchase or disposal price paid in cash and cash equivalents 7.40 b 7630 Amount of cash and cash equivalents held by subsidiaries 7.40 c 7635 Amount of assets and liabilities, other than cash and cash equivalents, of subsidiaries acquired or disposed 7.40 d 7640 Investing and financing activities without cash flow effect 7.44 7645 Acquisition of assets by assuming liabilities directly related or by a finance lease contract 7.44 a 7650 Acquisition of a company by means of a share issuance 7.44 b 7655 Conversion of debt into equity 7.44 c 7660 97

44A. Breakdown of equity
Issued capital
IAS 1.68 (p)
Other equity
Revaluation reserves and other valuation differences on Third-party interests IAS 1.68 (o); 27.4; 27.28 Paid-up capital Uncalled capital that has been called Share premium Equity component of composite financial instruments Other equity instruments Tangible fixed assets Intangible fixed assets Investment hedge reserve (effective portion) Foreign currency translation differences Cash flow hedges (effective portion) Available-for-sale financial assets Non-current assets and groups designated for sale, held for sale Other Reserves (including undistributed results) (Treasury shares) Year's result Interim dividends) Revaluation reserves and other valuation differences Other Total Sources of changes in equity
1.75 (e) 1.75 (e) 1.75.e
32.28;
32 AG
27 (a)
IFRS
2.10,
32.22 16.39-40
38.85 and86
39.102
(a)
21.52
(b)
IFRS
7.23 (c);
39.95-96
IFRS
7.20
(a)(ii),
39.55 (b)
IFRS
5.18-19 and 38 CP
1.75 (e),
1.68 (p) 32.33-34 1.75 (e)
Code 005 010 015 020 025 030 035 040 045 050 055 060 065 070 075 080 082 085 090 100 Effects of accounting error corrections recognized under IAS 8
1.96 (d);
8.42
7100
Effects of changes in accounting methods recognized under IAS 8 1.100; 8.22 7110 7199 Increase (decrease) in equity resulting from business combinations 1.97 (a) 7200 Issuance of ordinary shares 1.97 (a) 7210 Issuance of preference shares 1.97 (a) 7220 Issuance of share warrants in exchange for consideration 1.97 (a) 7230 Issuance of options in exchange for consideration 1.97 (a) 7240 Exercise of options, rights or share warrants 1.97 (a) 7250 Expiration of options or share warrants
1.81 (f );
1.96 (a);
1.97 (b)
7260
Profit (loss)
1.97 ;
32.33 7270
Purchase of treasury shares
32.33 ;
1.97
7280
Sale of treasury shares 1.97 7290
Opening balance (current year)
98

Transfers of treasury shares 1.97 7300
Cancellation of treasury shares 1.97 7310
Sale of assets 1.97 7320
Conversion of debt into equity 1.97
7330
Cash dividends decided 1.97 7350
Interim dividends 1.97 7360
Issuance of share dividends 1.97 7370
Issuance of in-kind dividends 1.97 7380
Issuance of free shares 1.97 (b) 7390
Capital reduction 1.97 7400
Reclassification of assets 1.97 7410
Reclassification of financial instruments from equity to liability 1.97 7420 Reclassification of financial instruments from liability to equity 1.97 7430 Net unrecognized gains (losses)
12.63 ;
12.62 (b)
; 12.64
7440
Deferred tax adjustment 1.97 7450
Available-for-sale reserve transferred to profit or loss 1.97 7470 Revaluation surplus (deficit) on assets 1.97 7480 Increase (decrease) resulting from changes in foreign exchange rates 1.97 7490 Transfers from share premium 12.64 7500 Transferred to undistributed results 32.59 7510 Gains (losses) on cash flow hedges recognized in equity 32.59 (b) 7520 Gains (losses) on cash flow hedges transferred to profit or loss 32.59 (c) 7530 Gains (losses) on cash flow hedges transferred to inventory 32.59 (c) 7540 Gains (losses) on cash flow hedges transferred to tangible fixed assets 32.59 (c) 7550 Gains (losses) on cash flow hedges transferred to non-financial assets 32.59 (c) 7560 Gains (losses) on cash flow hedges transferred to non-financial liabilities IFRS CP 7570 Transfers (from) to undistributed results IFRS 5.38 7580 Income recognized IFRS
5.38 7590
Expenses recognized IFRS CP 7600
Other (increases) decreases in equity IFRS CP 7610 Closing balance (current year) 7699 99

44B. Statement of comprehensive income
Ref.
IAS/IFRS
Total amount
Code 005
PERIOD RESULT 1.96 (a); 1.IG4 8100
OTHER COMPREHENSIVE INCOME AND EXPENSES 1.96 (b); 1.IG4 8110 Tangible fixed assets 16.39-40 8120 Intangible fixed assets 38.85-86 8130 Investment hedge of net investments in foreign activities (effective portion)
39.102 (a)
8140
Evaluation gains/losses recognized in equity
1.96 (c); 1.IG4
8150
Transferred to profit or loss 1.96 (c); 1.IG4 8160 Other reclassifications 1.96 (c); 1.IG4 8170 Foreign currency translation differences 21.52 (b) 8180 Evaluation gains/losses recognized in equity
1.96 (c); 1.IG4
8190
Transferred to profit or loss 1.96 (c); 1.IG4 8200 Other reclassifications 1.96 (c); 1.IG4 8210 Cash flow hedges (effective portion) IFRS 7.23 (c); 39.95-96 8220 Evaluation gains/losses recognized in equity
1.96 (c); 1.IG4
8230
Transferred to profit or loss 1.96 (c); 1.IG4 8240 Transfer to initial carrying value of hedged items
1.96 (c); 1.IG4
8250
Other reclassifications 1.96 (c); 1.IG4 8260
Available-for-sale financial assets 39.55 (b) 8270 Evaluation gains/losses recognized in equity
1.96 (c); 1.IG4
8280
Transferred to profit or loss 1.96 (c); 1.IG4 8290 100

Other reclassifications 1.96 (c); 1.IG4 8300
Non-current assets and disposal groups held for sale IFRS 5.18-19/38 8310 Evaluation losses/profits recognized in equity
1.96 (c); 1.IG4 8320
Recognized in profit and loss 1.96 (c); 1.IG4 8330 Other reclassifications 1.96 (c); 1.IG4 8340 Actuarial profits (losses) on defined benefit plans
1.96 (c); 1.IG4 8350
Share of other comprehensive income of entities under the revaluation model
1.96 (c); 1.IG4 8360
Other items 1.96 (c); 1.IG4 8370
Income tax related to components of other comprehensive income
1.96 (c); 1.IG4 8380
TOTAL INCOME AND EXPENSES RECOGNIZED FOR THE PERIOD
1.96 (c); 1.IG4 8390
Attributable to equity holders of the parent company
1.96 (c); 1.IG4 8400
Attributable to non-controlling interests 1.96 (c); IAS1.IG4 8410 CHANGES IN EQUITY OF PRIOR PERIODS 8420 Effects of error corrections 1.96 (d); 8.49 8430 Equity holders of the parent company 8.49 8440 Non-controlling interests 8.49 8450 Effects of changes in accounting methods 1.96 (d); 8.28-29 8460 Equity holders of the parent company 8.28-29 8470 Non-controlling interests 8.28-29 8480 101

44C Breakdown of equity other than income and expenses Issued capital Other equity TOTAL Sources of equity changes Paid-in capital Unpaid capital called Share premiums Equity component of financial instruments hybrid Other equity instruments Reserves (including undistributed results) (Treasury shares) Current year result Interim dividends Non-controlling interests:
other items
Ref. IAS/IFRS 1.75 (e) 1.75 (e) 1.75 (e)
32.28; 32 AG 27
(a)
IFRS
2.10,
32.22 1.75 (e)
32.33-
34 1.75 (e)
Code 005 010 015 020 025 030 035 040 045 050 100 Effects of error corrections recognized under IAS 8 1.96 (d); 8.42 8100 Effects of changes in accounting methods recognized under IAS 8 1.100; 8.22 8200 Opening balance (current year) 8300 Issuance and repurchase of equity instruments 8400 Issuance of ordinary shares 1.97 (a) 8410 Issuance of preference shares 1.97 (a) 8420 Issuance of share subscription warrants in exchange for consideration 1.97 (a) 8430 Issuance of options in exchange for consideration 1.97 (a) 8440 Exercise of options, rights or share subscription warrants 1.97 (a) 8450 Expiration of options or share subscription warrants 1.81 (f);
1.96 (a);
1.97 (b)
8460
Conversion of debt into equity 1.97 8470
Capital reduction 1.97 8480
Profit distribution 8500
Profit (loss) attributable to equity holders of the parent company 1.97; 32.33 8510 Issuance of dividends in the form of shares 1.97 8520 Issuance of dividends in kind 1.97 8530 Issuance of free shares 1.97 (b) 8540 Cash dividends decided 1.97 8550 Interim dividends 1.97 8560 Transferred to undistributed results 32.59 8570 Treasury share transactions 8600 Purchase of treasury shares 32.33; 1.97 8610 Sale of treasury shares 1.97 8620 Transfers of treasury shares 1.97 8630 Cancellation of treasury shares 1.97 8640 Reclassifications 8700 Reclassification of financial instruments from equity to liabilities 1.97 8710 Reclassification of financial instruments from liabilities to equity 1.97 8720 Transfers (to) undistributed results IFRS 5.38 8730 Transfers of share premiums 12.64 8740 Other 8800 Increase (decrease) in equity resulting from business combinations
1.97 (a) 8810
Other increase (decrease) in equity IFRS CP 8820 Closing balance (current year) 8900 102

Notional amounts of off-balance sheet commitments
OFF-BALANCE SHEET COMMITMENTS
Notional amounts
CRD Art 78
Code 005
LENDING COMMITMENTS 7100
– granted 7110
– received 7120
FINANCIAL GUARANTEES 7130
– granted 7140
– guarantees received 7150
– received credit derivatives 7160
OTHER COMMITMENTS (e.g. issuance facilities and renewable subscription facilities, ...)
7170
– granted to a counterparty: 7180
– received from a counterparty: 7190
103
Consolidation scope
Table A: Consolidated companies at the end of the period
Company
Country of registration
Currency
Social capital
Cumulative interests in equity (%)
Code 005 010 015 020
100
104
Consolidation scope
Table B: Companies consolidated added during the period
Company
Country of registration
Currency
Social capital
Cumulative interests in equity
(%)
Code 005 010 015 020
200
105
Consolidation scope
Table C: Companies removed from consolidation during the period
Company
Country of registration
Currency
Social capital
Cumulative interests in equity
(%)
Reason for delisting
Code 005 010 015 020 025
300
106

SECTION B. COMMENTARY ON DESCRIPTION TABLES
Table 3: Financial assets held for trading purposes
Table A:
This table requests a breakdown of the portfolio held for trading purposes by product.
Table B:
This table requests a geographic and product breakdown of the portfolio held for trading purposes.
Table 4: Derivatives held for trading purposes
For each type (nature) of derivative, you must provide their gross notional amounts as well as the carrying value.
When a derivative can be classified in either category, for example an equity swap, it must be classified in the corresponding item corresponding to the part considered by the bank to be the riskiest part of this derivative. Finally, when the value of the derivative corresponds to a credit amount, this derivative must be recorded in the liability part of the balance sheet.
Table 5: Financial assets designated at fair value through profit or loss: information regarding credit risk of loans and receivables
Reference should be made to IFRS 7.9(c).
Table 6: Financial assets designated at fair value through profit or loss
Table A:
This table requests a breakdown by product of the portfolio Financial assets designated at fair value through profit or loss.
Table B:
This table requests a geographic and product breakdown of the portfolio Financial assets designated at fair value through profit or loss.
Table 7: Financial assets available for sale
Table A:
This table requests a breakdown of the available-for-sale portfolio by product. You must also make the difference between impaired assets and those that are not. Regarding the fair value assessment of available-for-sale assets (AFS), it is useful to start by passing them through equity and then transferring the impairments from equity to profit and loss. The amount recognized in equity constitutes useful information for the supervisory authority. Impaired financial assets available for sale (AFS 1) (according to IAS 39.67-68) Acquisition costs 100 Fair value 95 cumulative loss 30 Impaired value 70 (1) Initial assessment of available-for-sale assets (2) Fair value adjustment before impairment (loss) (3) Change in fair value due to impairment (through equity) (4) Impairment loss through profit and loss (1) 100 (2) 5 5 (4) (4) 25 100 (1) 5 (2) (3) 25 25 (4) (4) 5 25 (3) AFS Cash Equity Profit and loss Impaired financial assets available for sale (according to IAS 39.67-68) Acquisition costs 100 Fair value 105 cumulative loss 30 Impaired value 70 (1) Initial assessment of available-for-sale assets (2) Fair value adjustment before impairment (profit) (3) Change in fair value due to impairment (through equity) (4) Impairment loss through profit and loss (1) 100 (3) 35 5 (2) (4) 30 100 (1) (2) 5 30 (4) 35 (3) AFS1 Equity Profit and loss Cash
Table B:
This table requests a geographic and product breakdown of the available-for-sale portfolio.
Table 8: Loans and receivables
Table A:
This table requests a breakdown of the Loans and receivables portfolio by product and to specify the amounts related to impaired assets as well as their value reductions. It is also requested to provide a detail of the fair value of this portfolio by product. According to the standards, the collective impairment test can be applied to financial assets that are not individually significant, as well as to financial assets for which there is no indication of objective individual impairment. This approach does not prevent an entity from submitting non-significant loans to individual impairment tests. individ. significant loans individually insignificant loans step impaired 1 individual test collective test a) choose a factor b) determine specific portfolios non impaired individ. 2 collective test The column "Value adjustments for collectively evaluated financial assets" is a combination of the collective assessment of loans that are individually significant (at step 1) and the collective assessment of loans that are individually non-significant (at step 2).
Table B:
This table requests a geographic and product breakdown of the Loans and receivables portfolio.
Table C:
This table is a product breakdown of certain lines of Table 7A. The distribution of columns gives the breakdown by counterparty type. For the product breakdown, refer to the definitions of the items in the social basis accounting statement, mentioned in the column "schema A ref. " In the securitized loans line, you must record all loans that can be de-risked according to the requirements of the Basel agreement but which, according to IAS/IFRS accounting standards, must be recorded in the balance sheet of the credit institution. Regarding mortgage loans, refer, as indicated on the table, to item 121.5 of the social basis accounting statement. For the Other line, refer to items 121.8 of the social basis accounting statement.
Table 9: Investments held to maturity
Table A:
This table requests a breakdown by product and to specify the amounts related to impaired assets as well as their value reductions. According to the standards, the collective impairment test can be applied to financial assets that are not individually significant, as well as to financial assets for which there is no indication of objective individual impairment. This approach does not prevent an entity from submitting non-significant loans to individual impairment tests. 109

individ. significant loans individually insignificant loans step impaired 1 individual test collective test a) choose a factor b) determine specific portfolios non impaired individ. 2 collective test The column "Value adjustments for collectively evaluated financial assets" is a combination of the collective assessment of loans that are individually significant (at step 1) and the collective assessment of loans that are individually non-significant (at step 2).
Table B:
This table requests a geographic and product breakdown of the "Investments held to maturity" portfolio.
Table 10: Information regarding impaired and past due but not paid assets
The distribution of lines is identical to that of the various tables giving the detail of financial portfolios (tables 3 to 9). Therefore, refer to the explanations concerning them. Regarding the line Guarantee instruments that cannot be specifically attributed, you must record collateral guaranteeing various types of products and which are therefore not attributable to a specific line of the table. Similarly, value adjustments for incurred losses but not yet signified concern allocations not specific to a product or portfolio (see IAS 39 AG 84-92). The distribution is defined either in the IAS/IFRS standards or the Capital Adequacy Directive. Therefore, refer to these two documents. Thus, for the columns Past due but not paid, you must only fill in the amounts of assets that are in payment delay but not yet impaired (IFRS 7.37). There is no need to include country risk provisions in the "Value adjustments" columns because this type of provision is not accepted under IAS standards. It is important to note that on a social basis, these provisions must always be recorded and, in the case where the credit institution wishes to keep these provisions at the consolidated level, to record them in equity or, if applicable, in the impaired.
Table 11: Derivatives used for hedging purposes
Table A: Micro-hedging
In this table, you must, for each type of hedging relationship and each type (nature) of derivative, provide the breakdown by their notional amounts and their carrying value. 110

Table B: Interest rate risk hedging of a portfolio
This second table requests the notional amounts and carrying values of derivatives used for "macro-hedging" of interest rate risk, depending on the type of hedging relationship. The notional amounts relate to the amounts to be delivered.
Table 12
(removed)
Table 13: Tangible fixed assets (TFAs)
These tables provide information on the movements recorded on the different TFA items, Table A for TFAs accounted for using the revaluation method and Table B for TFAs accounted for at amortized cost. In the different categories of TFAs are also included assets held under financial leasing and those subject to operational leasing. Thus, two lines are provided to provide amounts related to the leasing operations mentioned above. Regarding the "Disposals" line, it should be used for sales of TFAs that would not fall within the scope of IFRS 5.
Table 14: Investment properties (IP)
This table provides information on the different elements of IPs recorded in profit and loss.
For your information, IAS 40.56 clearly states that IPs must, in their entirety and without differentiating them by class like TFAs, be recorded, at the option, at fair value or at amortized cost. Regarding the "Disposals" line, it should be used for sales of IPs that would not fall within the scope of IFRS 5.
Table 15: Goodwill and other intangible fixed assets
These tables provide the movements recorded in the current year for goodwills and other intangible assets, by asset category. Table A is valid for intangible assets accounted for using the revaluation model. Table B, for its part, is valid for goodwill on the one hand, and, on the other hand, for intangible assets accounted for using the cost model. The total of the two tables must be equal to the total of the corresponding line on the balance sheet. To fill in this table, refer to two different standards: IFRS 3 and IAS 38. In the different categories of goodwill and other intangible fixed assets are also included assets held under financial leasing and those subject to operational leasing. Thus, two columns are provided to provide amounts related to the leasing operations mentioned above. These two columns must not be taken into account when determining the carrying value of the goodwill and other intangible fixed assets that would not fall within the scope of IFRS 5 111

Regarding the "Disposals" line, it should be used for sales of goodwill and other intangible fixed assets.
Table 16: Participations in associated companies, subsidiaries and joint ventures
The tables summarize, for each of the participations in associated companies, subsidiaries and joint ventures, the main information concerning them.
Table 17: Reconciliation between legal tax and effective tax
This table provides a detail of the reconciliation between legal tax and effective tax. Reference should be made to IAS 12-81.
Table 18: Other assets
This table requests to separately report assets recorded in accordance with IAS 19 Employee Benefits and capitalized fees when a credit institution continues to manage certain of its assets that it has sold (and considered as such by IAS/IFRS standards). Also included, for example, other accrued income and deferred charges not related to interest on financial instruments.
Table 19: Non-current assets and groups destined to be sold, classified as held for sale
This table provides, for the different non-current assets and groups destined to be sold, the amounts recorded at the end of the current year.
Table 20: Financial liabilities held for trading purposes
A breakdown is requested, depending on the nature of the financial instruments present in this portfolio, as well as a geographic breakdown.
Table 21: Financial liabilities designated at fair value through profit or loss
You must, as required by IFRS 7.10, provide additional information to the carrying value. The breakdown by type of debt is similar to the breakdown of debts on the balance sheet.
Table 22: Financial liabilities evaluated at amortized cost
Deposits of credit institutions: Reference should be made to the definitions of item 212 of the social basis schema A for the breakdown by type of deposits. Deposits other than credit institutions: Reference should be made to the definitions of item 221 of the social basis schema A for the breakdown by type of deposits. Debt securities, including bonds: Reference should be made to the definitions of items 231 to 233 of the social basis schema A for the breakdown by type of deposits. 112

Table 23: Subordinated liabilities
You must, in this table, provide the breakdown by maturity of subordinated debts, i.e., items 271 to 274 of the social basis schema A. According to IAS/IFRS standards, you must separately record the part of the subordinated debt related to debt and that related to equity.
Table 24: Derecognition and financial liabilities associated with transferred assets
This table provides information on financial assets that cannot be derecognized under the IAS/IFRS accounting framework. It allows identifying, depending on the different portfolios from which they originate, on the one hand the assets for which there is continuous involvement and, on the other hand, the debts associated with these assets as well as their accounting method. The total of these debts must correspond to the total of the corresponding line on the balance sheet.
Table 25: Provisions
For the main classes of provisions, you are requested to provide all movements recorded during the year.
Table 26: Other liabilities
This table provides information on the carrying values of other debts.
Table 27: Fees and commissions
Products and charges related to commissions and other fees are recorded in this table. See mainly items 413 and 512 of the social basis accounting statement.
Table 28: Realized profits and losses on financial assets and liabilities other than those evaluated at fair value through profit or loss (net)
This table includes all realized gains and losses on financial assets not measured at fair value through profit and loss. For example, for the available-for-sale line, you must only include fair value changes that have an impact on profit and loss, other fair value changes being recorded in equity. It will therefore be realized gains and losses because an available-for-sale instrument only has an impact on profit and loss upon sale, impairment, or payment of dividends related to this instrument.
Table 29: Net profits and losses on financial assets and liabilities designated at fair value through profit or loss (net)
You must record the fair value changes of financial instruments designated at fair value through profit and loss excluding interest flows. The table follows a gross approach.
Table 30: Fair value adjustment in hedge accounting
You must report in this table all profit and loss movements related to hedging operations (both micro-hedging and macro-hedging of interest rate risk). 113

The line "Cessation of hedge accounting in the case of cash flow hedging" constitutes essential information in the context of an analysis of hedge accounting entries. Although some believe that these amounts could be included in the effective portion, no paragraphs 39.95/97-101 can be relied upon to assert that the amounts must be included in the effective portion.

Table 31: Profits (losses) on the derecognition of assets other than those held for sale (net).
In this table, the various results of the sales of non-financial assets, which do not fall within the scope of IFRS 5, must be recorded.

Table 32: Other net operating income and expenses
This table allows for the recording of other operating losses and profits, including losses and profits related to simple lease contracts (rents and leases), other results related to investment properties, etc.

Table 33: Personnel expenses
This table allows for the detailing of all salary charges and related costs.

Table 34: General and administrative expenses
This table allows for obtaining additional detail regarding administrative costs. Fees include costs paid to external companies, consultants, or technicians. For example, if software is developed using internal resources of the credit institution, these costs will, if not capitalized as permitted by IAS/IFRS standards, be recorded under personnel expenses (see income statement). If, on the other hand, this software is developed by an external company, these costs will be recorded under these "fees" categories.

Table 35
(removed)

Table 36: Discontinued activities – Profits and losses after tax
This table provides the detail of income from assets and liabilities, part of a discontinued activity (see IFRS 5), based on the type of income related to it.

Table 37: Information on credit risk and impairment
Table A: Impairment schedule.
This table allows for obtaining gross amounts, i.e., additions and reversals, of categories related to value reductions present on the face of the income statement.

Table B: Value correction movements for credit losses
See IFRS 7.16 and more specifically the Capital Adequacy Directive.

Table C: Credit risk exposure
The distribution of lines is comparable to that of the various tables providing the detail of financial portfolios (Tables 3 to 9). One must therefore refer to the explanations concerning these. See also Table 10. According to the paragraphs referenced, the maximum credit risk is calculated without taking into account collateral, credit lines, and other elements that may "reduce" this credit risk exposure.

Table D: Collateral held
The distribution of lines is comparable to that of the various tables providing the detail of financial portfolios (Tables 3 to 9). One must therefore refer to the explanations concerning these.

Table E: Collateral obtained
The subdivision of lines was made according to the major balance sheet categories.

Table 38: Information on the fair value of financial instruments
See IFRS 7.25 to IFRS 7.27 for the columns. The lines express a subdivision by portfolio type and follow the order of the major balance sheet categories.

Table 39: Lease: additional information
This section is divided into four different tables, depending on whether one is in the position of the lessor or the lessee, within the framework of a simple lease contract or a finance lease contract. Thus, these tables allow for obtaining the detail of all information that a company must publish regarding leases.

Table 40: Repurchase agreements and reverse repurchase agreements
Repurchase agreements and reverse repurchase agreements are found in each portfolio of the balance sheet. The following may be recorded: on the one hand, collateral that has been transferred and must be identified as such by the transferor, and on the other hand, cash received or lent. The tables then allow for distinguishing between these different possibilities.

Table A
This table gives the distribution of financial assets transferred to a third party, in a relationship of repurchase agreements and reverse repurchase agreements, which are still recognized in the institution's balance sheet, based on their nature and the portfolio in which they are recorded. The amounts recorded in the balance sheet are not identified separately. Amounts related to financial instruments that the bank has borrowed to use in a repurchase agreements and reverse repurchase agreements transaction should be entered in the "Others" line. Indeed, these instruments, since borrowed, do not appear on the bank's balance sheet and do not belong to a determined portfolio.

Table B
This table, for its part, provides information on the debts that the institution records in its balance sheet, following the obtaining of financing, within the framework of a relationship of repurchase agreements and reverse repurchase agreements. It is necessary to distinguish these based on the counterparty. Counterparties having a status and function similar to a clearing organization without banking status are, as for the reporting scheme based on social law, included in non-banking counterparties.

Table C
This table gives the distribution of financial debts that the institution must record in its balance sheet when it sells the collateral obtained within the framework of a relationship of repurchase agreements and reverse repurchase agreements, based on their nature. This table is therefore only valid in the specific case covered by IAS 39.37b. The amounts recorded in the balance sheet are not identified separately.

Table D
Finally, this table gives the distribution by counterparty of financing obtained during a relationship of repurchase agreements and reverse repurchase agreements.

Example:
Let us take the example where institution B (transferee) advances a certain sum of money to institution A (transferor), and receives collateral as security.

Transferor (A) Transferee (B)
If the transferee has no rights on the collateral (the transferor keeps all risks and benefits):
Available for sale 100 Debt/B 100
Table B
Receivable/A 100 Table D
Cash <100>

If the transferee has the right to resell the collateral: (39.37a) Available for sale 100 Debt/B 100 Borrowed asset 100 Table B
Table A
Receivable/A 100 Table D
Cash <100>

If the transferee sells the collateral: (39.37b) Borrowed asset 100 Debt/B 100
Table B
Table A
Table D
Receivable/A 100 Debt/A 110
Cash <100> +110 Table C
10

Available for sale (DALV): Available for sale

Table 41: Information on related parties
These tables are based on the structure of the balance sheet and income statement. However, they deviate somewhat to better correspond to the requirements of IAS 24 Information on related parties, as the balance sheets and income statements were not constructed based on this standard. They must be filled based on information at the level of the credit institution, consolidating at the Belgian level. Information related to a potential parent company that would consolidate the credit institution in question should not be provided. However, for the key management personnel (Tables A and B), add to the revenues obtained directly via the company in question, other revenues that may come from other entities in the group, but not consolidated in the annual accounts of the first. A priori, there is no overlap between the "key management personnel" column of Tables A-B and Table C. The information requested in Tables A and B is centered on the balances and amounts of transactions and is, moreover, more detailed, whereas Table C focuses solely on the type (based on the maturity of defined benefit plans) of compensation received. Finally, one must refer to IAS 24 to obtain the definitions of the different distributions requested in this table.

Table 42: Defined benefit plans
This table allows for gathering all information to be published in the notes, according to IAS 19. Due to the fact that these plans can be, within the same institution and more particularly a consolidating institution, of very different nature, it is necessary to fill these tables for each "common profile" of plan as long as it is significant. It is therefore acceptable to limit oneself to the most important plans that cover together 80% of the total amount.

Table 43: Cash flow statement
All steps to fill this table are primarily defined in IAS 7. However, a few points must be highlighted:

The standards provide a definition of cash and cash equivalents rather oriented towards non-financial companies (definition in IAS 7.7-9). Banks are requested to explain in the narratives the definition of cash and cash equivalents they have used.
The approach chosen to fill the cash flow statement table is the indirect approach.
This cash flow statement has been divided into three main parts, as required by international standards:
- Operating activities
- Investing activities
- Financing activities
  If it seems easy to define what the components of operating activities are, it is much less obvious, in a banking environment, to distinguish between financing and investing activities. It was chosen to limit, for investing activities, to held-to-maturity investments, fixed assets (tangible and intangible), and investment activity instruments that have an impact on the consolidation scope.

Table 44: Breakdown of equity
To report information regarding the breakdown of equity, three tables are provided: Table 44A (breakdown of equity), Table 44B (statement of income and expenses recognized), and Table 44C (breakdown of equity other than income and expenses). IAS 19.93B prescribes that entities recognizing actuarial profits and losses in equity establish a statement of income and expenses recognized. Consequently, these institutions apply Tables 44B and C. In other cases, institutions may apply either Table 44A or Tables 44B and C.

Table A
This table gives, for all different categories of equity identified in the balance sheet, the various possible sources of change in equity. It is about collecting three types of information:

Losses and profits that are not recognized in the income statement (for example, changes in fair value of available for sale).
The various flows of reserves.
The impacts of changes in valuation rules and/or accounting errors.
A large and non-restrictive matrix was chosen so that all banks can use this layout. In practice, many cells of this table will not be filled, and the statement of changes in equity will appear much smaller.

Table B
This table includes the result of the year as well as any loss or profit recognized in equity during the year, its allocation to the equity holders of the parent company and minority interests, and the effects of error corrections and changes in accounting methods.

Table C
This table includes the amount of transactions carried out with equity holders acting in this capacity, changes in undistributed results, and reconciliations between the opening and closing balance sheets of each type of equity and reserves.

Table 45: Nominal amounts of off-balance sheet commitments
Categories 350 – 360 – 370 and 380 of Schema A based on social law are used.

Table 46: Consolidation scope
These tables further provide information on changes occurring during the accounting year, on the consolidation scope of the credit institution.

Other Tables
For Tables 41.80 and 80.91, the instructions in Book I Schema A apply.

CHAPTER IV
DESCRIPTIONS

You will find below the list of descriptions that must be sent annually to the NBB within three months after the closing of the fiscal year. This list is accompanied by the IAS/IFRS standards referenced.

Label Reference
1 Notes and other descriptive information IAS 1
1.1 Fair presentation and compliance with IFRS IAS 1
Declaration of compliance with IFRS IAS 1 114a IAS 1 16 IAS 21 55
1.2 Information to be provided on accounting methods IAS 1
Explanation of the basis(es) of valuation used in the financial statements IAS 1 117a IFRS 7 21 IFRS 7 B5ab Description of other accounting methods used that are necessary for the proper understanding of the financial statements IAS 1 117b
1.3 Sources of uncertainty related to estimates IAS 1
Explanation of key assumptions about the future that pose a significant risk of causing a significant adjustment to assets and liabilities during the following period IAS 1 125 Description of the nature of assets and liabilities that pose a significant risk of adjustment during the following period IAS 1 125a

2 Events after the reporting date that do not result in adjustments IAS 10 Description of the nature of events after the reporting date that do not result in adjustments IAS 10 21a Explanation of the financial effect of events after the reporting date that do not result in adjustments IAS 10 21b

3 Changes in accounting methods, accounting estimates, and errors IAS 8
3.1 Changes in accounting methods IAS 8
Description of the initial application of a standard or interpretation IAS 8 28 Description of a voluntary change in accounting policy IAS 8 29 Explanation of new standards or interpretations not yet applied IAS 8 30 Description of the expected impact of the initial application of new standards or interpretations IAS 8 30
3.2 Changes in accounting estimates IAS 8
Description of the nature and amount of the change in accounting estimate IAS 8 39 Description of the fact that the amount of the change in accounting estimate is impracticable IAS 8 40
3.3 Accounting errors IAS 8
Description of the nature, amount, and correction of accounting errors in the estimation of previous periods IAS 8 49

4 Business combinations and goodwill IFRS 3
4.1 Business combinations IFRS 3
Description of the nature and financial effect of business combinations during the period IFRS 3 66a IFRS 3 59a Description of the nature and financial effect of business combinations after the reporting date but before the publication of financial statements is authorized IFRS 3 66b IFRS 3 59b Explanation of the financial effect of profits and losses related to business combinations IFRS 3 72 Explanation of the financial effect of error corrections related to business combinations IFRS 3 72 Explanation of the financial effect of other adjustments related to business combinations IFRS 3 72
4.2 Goodwill IFRS 3
Additional information regarding changes during the period IFRS 3 3 74 Description of goodwill included in a group intended to be sold, classified as held for sale IFRS 3 75d Explanation of the recognition and derecognition of goodwill during the period IFRS 3 74

5 Hedge accounting IFRS 7
5.1 Hedge accounting IFRS 7
Description of each type of hedge IFRS 7 22a
Description of financial instruments designated as hedging instruments IFRS 7 22b Nature of risks covered IFRS 7 22c
5.2 Cash flow hedging IFRS 7
Description of the periods during which cash flows are expected to occur IFRS 7 23a Description of the periods during which cash flows are expected to affect the result IFRS 7 23a Description of any planned transaction for which hedge accounting was previously applied but which is no longer expected to occur IFRS 7 23b

6 Fair value of financial assets and liabilities and reclassification IFRS 7
6.1 Fair value of financial assets and liabilities IFRS 7
Methods and assumptions applied in determining the fair value of financial assets and liabilities IFRS 7 27a Description of the information regarding the difference between the fair value at initial recognition and the amount determined by the valuation technique IFRS 7 28
6.2 Reclassification of financial assets and liabilities IFRS 7
Description of the reclassification of financial assets to cost or amortized cost, and no longer to fair value IFRS 7 12a Description of the reclassification of financial assets to fair value and no longer to cost or amortized cost IFRS 7 12b 6.3 Methods applied to determine the amount of changes in fair value attributable to changes in credit risk IFRS 7 Method for determining the amount of changes in fair value of assets and liabilities attributable to changes in credit risk IFRS 7 11a Description of the reasons and factors for which the amount of changes in fair value of assets and liabilities attributable to changes in credit risk is not faithful IFRS 7 11b

7 Collateral IFRS 7
7.1 Collateral
Description of financial assets pledged as security for liabilities or contingent liabilities IFRS 7 14 Description of a guarantee that the entity is authorized to resell or repledge in the absence of default by the owner of the guarantee IFRS 7 15
7.2 Collateral (credit risk)
Description of collateral held and other credit enhancements IFRS 7 36b
7.3 Guarantees and other credit enhancements
Description of the nature and book value of assets obtained IFRS 7 38a Description of the policy regarding their sale or use in the context of these activities when these assets are not immediately convertible into cash IFRS 7 38b

8 Defaults and breaches IFRS 7
Description of detailed information on any payment default affecting the principal, interest, amortization fund, or redemption provisions of said loans observed during the fiscal year IFRS 7 18a If the payment default has been remedied or if the terms of the loan have been renegotiated before the date of authorization for the publication of financial statements IFRS 7 18c

9 Accounting methods adopted for the recognition of revenue IAS 18 Description of accounting methods for the recognition of revenue IAS 18 35a Explanation of the amount recognized for each important category of revenue IAS 18 35b Interest income and expenses IFRS 7 21 Realized gains and losses on the sale of financial assets IFRS 7 21 IFRS 7 B5e Fees and commissions IFRS 7 21 IFRS 7 20c Dividends IFRS 7 21

10 Financial assets that are either in arrears or impaired IFRS 7 Explanation of the criteria that determine whether a financial asset or a group of financial assets is impaired IFRS 7 21 IFRS 7 B5d-i Explanation of the criteria applied to write off amounts recorded in the value correction account regarding the book value of impaired financial assets IFRS 7 21 IFRS 7 B5dii Explanation of the criteria that the entity applies to determine that there are objective indications of a loss of value IFRS 7 21 IFRS 7 B5f Information regarding the credit quality of financial assets that are neither in arrears nor impaired IFRS 7 36c A description of the collateral held by the entity and any other credit enhancement, as well as an estimate of their fair value, unless this proves impossible IFRS 7 37c When the conditions of financial assets that would otherwise be in arrears or impaired have been renegotiated, the accounting method for financial assets that are the subject of renegotiated conditions IFRS 7 B5g

11 Employee benefits IAS 19
Policy for defined benefit plans IAS 19 120a

12 Share-based payments IFRS 2
Nature and extent of share-based payments IFRS 2 44

13 Provisions IAS 37
Provision policy IAS 37 85a-b

14 Repurchase agreements, reverse repurchase agreements, and secured lending IFRS 7
14.1 Repurchase agreements, reverse repurchase agreements IFRS 7
Repurchase agreement, reverse repurchase agreement policy IFRS 7 21
14.2 Secured lending IFRS 7
Secured lending policy IFRS 7 21

15 Securitization and ad hoc entities IFRS 7
15.1 Securitization IFRS 7
Securitization policy IFRS 7 21
15.2 Ad hoc vehicles IFRS 7
Policy regarding ad hoc vehicles IFRS 7 21

16 Nature and extent of risks arising from financial instruments IFRS 7
16.1 Credit risk
Description of exposure to risk IFRS 7 33a
Description of objectives, policy, and risk management procedures IFRS 7 33b Methods applied to measure risk IFRS 7 33b Variations in risk exposures IFRS 7 33c Variations in objectives, policy, and risk management procedures IFRS 7 33c Variations in methods applied to risk IFRS 7 33c
16.2 Liquidity risk
Description of exposure to risk IFRS 7 33a
Description of objectives, policy, and risk management procedures IFRS 7 33b Methods applied to measure risk IFRS 7 33b Variations in risk exposures IFRS 7 33c Variations in objectives, policy, and risk management procedures IFRS 7 33c Variations in methods applied to risk IFRS 7 33c
16.3 Market risk (including equity investment risk, interest rate risk, and foreign exchange risk)
Description of exposure to risk IFRS 7 33a
Description of objectives, policy, and risk management procedures IFRS 7 33b Methods applied to measure risk IFRS 7 33b Variations in risk exposures IFRS 7 33c Variations in objectives, policy, and risk management procedures IFRS 7 33c Variations in methods applied to risk IFRS 7 33c
16.4 Other risk
Description of exposure to risk IFRS 7 33a
Description of objectives, policy, and risk management procedures IFRS 7 33b Methods applied to measure risk IFRS 7 33b Variations in risk exposures IFRS 7 33c Variations in objectives, policy, and risk management procedures IFRS 7 33c Variations in methods applied to risk IFRS 7 33c

Notes and other descriptive information
1.1 True and fair view and compliance with IFRS
IAS 1 16 16. An entity whose financial statements comply with IFRS must make an explicit and unreserved statement of such compliance in the notes. Financial statements should not be stated as complying with IFRS unless they comply with all the provisions of IFRS. IAS 21 55 55. When an entity presents its financial statements in a currency different from its functional currency, it should describe the financial statements as complying with International Financial Reporting Standards only if they comply with all the provisions of each applicable standard and each applicable interpretation of those standards, including the conversion method defined in paragraphs 39 and 42.

1.2 Information to be provided on accounting methods
IAS 1 117 117. In its summary of significant accounting policies, an entity must provide information on:
(a) the basis (bases) of measurement used in the preparation of the financial statements; and (b) the other accounting policies used that are necessary for a fair understanding of the financial statements. IFRS 7 21 21. In accordance with paragraph 117 of IAS 1, Presentation of Financial Statements, an entity provides, in its summary of significant accounting policies, information on the basis (bases) of measurement used in the preparation of the financial statements as well as on the other accounting policies used that are necessary for a fair understanding of the financial statements. IFRS 7 B5 B5. Paragraph 21 requires information on the basis (bases) of measurement used in the preparation of the financial statements as well as on the other accounting policies used that are necessary for a fair understanding of the financial statements. For financial instruments, this information may include:
(a) for financial assets or financial liabilities designated as at fair value through profit or loss:
(i) the nature of the financial assets or financial liabilities that the entity has designated as at fair value through profit or loss; (ii) the criteria used to designate such financial assets or financial liabilities upon initial recognition; and (iii) how the entity has met the conditions set out in paragraphs 9, 11A or 12 of IAS 39 for such designation. For instruments designated in accordance with paragraph (b) (i) of the definition of a financial asset or a financial liability at fair value through profit or loss in IAS 39, this information includes a narrative description of the circumstances underlying the valuation or recognition inconsistency that would otherwise arise. For instruments designated in accordance with paragraph (b) (ii) of the definition of a financial asset or a financial liability at fair value through profit or loss in IAS 39, this information includes a narrative description of the consistency between the designation at fair value through profit or loss and the entity’s documented risk management or investment strategy; (b) the criteria used to designate financial assets as available for sale;

1.3 Sources of uncertainty relating to estimates
IAS 1 125 125. An entity must provide in the notes information concerning key assumptions about the future and other major sources of estimation uncertainty at the end of the reporting period, that have a significant risk of resulting in a material adjustment to the carrying amounts of assets and liabilities within the next financial year. For these assets and liabilities, the notes must include details regarding:
(a) their nature.

Events after the reporting period that do not give rise to adjustments
IAS 10 21 21. If events after the reporting period that do not give rise to adjustments are significant, the failure to disclose them could influence the economic decisions made by users based on the financial statements. Therefore, the entity will provide the following information for each significant category of events after the reporting period that do not give rise to adjustments:
(a) the nature of the event; and
(b) an estimate of its financial effect, or an indication that such an estimate cannot be made.
Changes in accounting methods, accounting estimates and errors
3.1 Changes in accounting methods
IAS 8 28 28. When the initial application of a standard or an interpretation has an effect on the current period or on any prior period, or should have such an effect except that it is impracticable to determine the amount of the adjustment, or could have an effect on future periods, the entity must provide the following information:
(a) the name of the standard or interpretation; (b) where applicable, the fact that the change in accounting methods is implemented in accordance with its transitional provisions; (c) the nature of the change in accounting methods; (d) where applicable, a description of the transitional provisions; (e) where applicable, the transitional provisions likely to have an effect on subsequent periods; (f) for the current period and for each prior period presented, to the extent possible, the amount of the adjustment:
(i) for each affected line item of the financial statements; and (ii) if IAS 33 Earnings per Share applies to the entity, for basic and diluted earnings per share; (g) the amount of the adjustment relating to prior periods before the periods presented, to the extent possible; and (h) if retrospective application imposed by paragraph 19(a) or (b) is impracticable for a specific prior period or for prior periods before the periods presented, the circumstances that led to this situation and a description of the manner and date of commencement of the application of the change in accounting methods. Financial statements of subsequent periods must not reproduce this information. IAS 8 29 29. When a voluntary change in accounting methods has an effect on the current period or on a prior period, or should have an effect on this period except that it is impracticable to determine the amount of the adjustment, or could have an effect on subsequent periods, the entity must provide the following information:
(a) the nature of the change in accounting methods; (b) the reasons why the application of the new accounting method provides reliable and more relevant information; (c) for the current period and each prior period presented, to the extent possible, the amount of the adjustment:
(i) for each affected line item of the financial statements; and (ii) if IAS 33 applies to the entity, for basic and diluted earnings per share; (d) the amount of the adjustment relating to prior periods before the periods presented, to the extent possible; and (e) if retrospective application is impracticable for a specific prior period, or for prior periods before the periods presented, the circumstances that led to this situation and a description of how and since when the change in accounting methods has been applied. Financial statements of subsequent periods must not reproduce this information. IAS 8 30 30. When an entity has not applied a new standard or interpretation published but not yet in force, it must provide the following information:
(a) this fact; and
(b) information known or that can reasonably be estimated regarding the assessment of the possible impact of the application of the new standard or the new interpretation on the entity's financial statements during the period of its initial application.

3.2 Changes in accounting estimates
IAS 8 39 39. An entity must provide information on the nature and amount of any change in accounting estimate that has an effect on the current period or is expected to have an effect on subsequent periods, except for the effect on future periods when it is impracticable to estimate this effect. IAS 8 40 40. If the amount of the effect on subsequent periods is not indicated because the estimation is impracticable, the entity must mention this.

3.3 Accounting errors
IAS 8 49 49. In applying paragraph 42, an entity must provide the following information:
(a) the nature of the error of a prior period; (b) for each prior period presented, to the extent possible, the amount of the correction:
(i) for each affected line item of the financial statements; and (ii) if IAS 33 applies to the entity, for basic and diluted earnings per share; (c) the amount of the correction at the beginning of the first period presented; and (d) if retrospective restatement is impracticable for a specific prior period, the circumstances that led to this situation and a description of the manner and date from which the error was corrected. Financial statements of subsequent periods must not reproduce this information.

Business combinations and goodwill
4.1 Business combinations
IFRS 3 59 a (2008 2) 59. An acquirer must provide information that enables users of its financial statements to evaluate the nature and financial effect of business combinations that have been carried out:
(a) during the period.
(b) after the reporting date but before the publication of the financial statements is authorized.
IFRS 3 72 (2007) 72. An acquirer must provide information enabling users of its financial statements to evaluate the financial effects of profits, losses, error corrections and other adjustments recognized during the current period corresponding to business combinations that have been carried out during the current period or during prior periods.

4.2 Goodwill
IFRS 3 74 (2007) 74. An entity must provide information that enables users of its financial statements to evaluate changes in the carrying amount of goodwill during the period. IFRS 3 75 (2007) 75. To implement the principle of paragraph 74, the entity must present a reconciliation of the carrying amount:
(d) goodwill included in a group intended to be sold, classified as held for sale under IFRS 5 and goodwill derecognized during the period without having been previously included in a group intended to be sold, classified as held for sale;

Hedge accounting
5.1 Hedge accounting
IFRS 7 22 22. An entity must separately provide the following information for each type of hedge described in IAS 39 (e.g.: fair value hedges, cash flow hedges and hedges of net investments in foreign operations):
(a) a description of each type of hedge;
(b) a description of financial instruments designated as hedging instruments and their fair values at the reporting date; and (c) the nature of the risks covered.

5.2 Cash flow hedges
IFRS 7 23 23. For cash flow hedges, an entity indicates:
(a) the periods during which cash flows are expected to occur and to influence profit or loss; (b) a description of any planned transaction for which hedge accounting was previously applied but is no longer expected to occur.

Fair value of financial assets and liabilities and reclassification
6.1 Fair value of financial assets and liabilities
IFRS 7 27 27. An entity must indicate:
(a) the methods and, when a valuation technique is used, the assumptions applied in determining the fair value of each category of financial assets or financial liabilities. For example, an entity must present, where applicable, information on assumptions regarding prepayment rates, estimated loss rates on receivables and interest rates or discount rates; IFRS 7 28 28. If the market for a financial instrument is not active, the entity determines the fair value of that instrument using a valuation technique (see paragraphs AG74 to AG79 of IAS 39). However, the best indication of the fair value of a financial instrument at initial recognition is the transaction price (i.e., the fair value of the consideration paid or received), unless the conditions set out in paragraph AG76 of IAS 39 are met. It follows that there may be a difference between the fair value at the date of initial recognition and the amount that would be determined at that date using the valuation technique. If this occurs, an entity must provide, by category of financial instruments, the following information:
(a) the method it applies to recognize this difference in profit or loss, in order to reflect a change in factors that market participants would take into consideration when setting a price (see paragraph AG76 of IAS 39); and (b) the aggregate difference remaining to be recognized in profit or loss at the beginning and end of the period and a reconciliation of the changes in the balance of this difference.

6.2 Reclassification of financial assets and liabilities
IFRS 7 12 12. If the entity has reclassified a financial asset as being evaluated:
(a) at cost or amortized cost, and no longer at fair value; or (b) at fair value, and no longer at cost or amortized cost, it must indicate the amount thus reclassified from one category to another and the reasons for the reclassification (see paragraphs 51 to 54 of IAS 39).

6.3 Methods applied to determine the amount of changes in fair value attributable to changes in credit risk
IFRS 7 11 11. An entity must provide the following information:
(a) the methods used to comply with the requirements set out in paragraphs 9 (c) and 10 (a); (b) if the entity estimates that the information provided to comply with the provisions of paragraphs 9 (c) or 10 (a) does not faithfully represent the change in fair value of the financial asset or financial liability attributable to changes in credit risk, the reasons that led to this conclusion and the factors that the entity considers relevant.

Collateral
7.1 Collateral
IFRS 7 14 14. An entity must indicate:
(a) the carrying amount of financial assets pledged as security for liabilities or contingent liabilities, including amounts reclassified in accordance with paragraph 37 (a) of IAS 39; and (b) the terms and conditions of this pledge. IFRS 7 15 15. When an entity holds collateral (from a financial asset or otherwise) that it is authorized to sell or repledge in the absence of default by the owner of the collateral, it must indicate:
(a) the fair value of the collateral held;
(b) the fair value of any collateral of this type sold or repledged and whether it is obliged to return it; and (c) the terms and conditions associated with its use of the collateral.

7.2 Collateral (credit risk)
IFRS 7 36 36. An entity must provide the following information, by category of financial instruments:
(b) regarding the amount indicated in (a)3, a description of the collateral held and other credit enhancements;

7.3 Guarantees and other credit enhancements
IFRS 7 38 38. When an entity obtains financial or non-financial assets during the period by taking possession of collateral it holds or by mobilizing other forms of credit enhancement (e.g., a guarantee), and these assets meet the recognition conditions set out in other standards, this entity must indicate:
(a) the nature and carrying amount of the assets obtained; and (b) when these assets are not immediately convertible into cash, its policy regarding their disposal or use within the framework of its activities.

Defaults and non-performance
IFRS 7 18 18. For loans recognized at the reporting date, an entity provides the following information:
(a) detailed information on any payment default affecting the principal, interest, amortization fund or redemption provisions of said loans observed during the year; (c) if the payment default has been remedied or if the terms of the loan have been renegotiated before the date of authorization of publication of the financial statements.
Accounting methods adopted for the recognition of revenue
IAS 18 35 35. An enterprise must provide the following information:
(a) the accounting methods adopted for the recognition of revenue from ordinary activities, including the methods adopted for determining the degree of completion of transactions involving the provision of services; (b) the amount of each category of important revenue from ordinary activities recognized during the year, including revenue from ordinary activities from:
(i) sales of goods;
(ii) provision of services;
(iii) interest;
(iv) royalties;
(v) dividends;
IFRS 7 B5 e B5. Paragraph 21 requires information on the basis (bases) of measurement used in the preparation of the financial statements as well as on the other accounting policies used that are necessary for a fair understanding of the financial statements. For financial instruments, this information may include:
(e) how net profits or net losses are determined for each category of financial instrument (see paragraph 20 (a)), for example if net profits or net losses on instruments designated as at fair value through profit or loss include or do not include interest or dividends received;
Financial assets that are either in arrears or impaired
IFRS 7 21 In accordance with paragraph 117 of IAS 1, Presentation of Financial Statements, an entity provides, in its summary of significant accounting policies, information on the basis (bases) of measurement used in the preparation of the financial statements as well as on the other accounting policies used that are necessary for a fair understanding of the financial statements. IFRS 7 B5 B5 (d) when an allowance account is used to reduce the carrying amount of financial assets impaired due to credit losses:
(i) the criteria for determining when the carrying amount of impaired financial assets is reduced directly (or increased directly, in the case of a reversal of impairment) and when the allowance account is used; and (ii) the criteria applied to write off amounts recorded in the allowance account against the carrying amount of impaired financial assets (see paragraph 16); (f) the criteria that the entity applies to determine that there are objective indications of impairment (see paragraph 20 (e)); (g) when the conditions of financial assets that would otherwise be in arrears or impaired have been renegotiated, the accounting method for financial assets that are subject to renegotiated conditions (see paragraph 36 (d)). IFRS 7 36 36. An entity must provide the following information, by category of financial instruments:
(c) information on the credit quality of financial assets that are neither in arrears nor impaired; IFRS 7 37 37. An entity must provide the following information, by category of financial instruments:
(c) for the amounts indicated in (a)4 and (b), a description of the collateral held by the entity and any other credit enhancement, as well as an estimate of their fair value, unless this proves impossible.
Employee benefits
IAS 19 120 120. An entity must provide information that enables users of the financial statements to evaluate the nature of its defined benefit plans and the financial effects of changes made to these plans during the period. 120A. An entity must provide the following information on its defined benefit plans:
(a) its accounting method for actuarial differences.
(b) a general description of the type of plan.
Share-based payments
IFRS 2 44 44. An entity must provide information that enables users of the financial statements to understand the nature and scope of agreements in force during the period and whose payment is based on shares.
Provisions
IAS 37 85 85. For each category of provisions, the company must provide:
(a) a brief description of the nature of the obligation and the expected timing of the outflow of economic benefits resulting from it; (b) an indication of uncertainties regarding the amount or timing of these outflows. If this is necessary to provide adequate information, the company must provide information on the key assumptions made regarding future events, as indicated in paragraph 48;
Repos, reverse repos and secured lending
IFRS 7 21 21. In accordance with paragraph 117 of IAS 1, Presentation of Financial Statements, an entity provides, in its summary of significant accounting policies, information on the basis (bases) of measurement used in the preparation of the financial statements as well as on the other accounting policies used that are necessary for a fair understanding of the financial statements.

3 (a) the amount that best represents its maximum exposure to credit risk at the reporting date, without taking into account any collateral held or any other credit enhancement (e.g., netting agreements that do not meet the compensation conditions under IAS 32); 4 (a) an analysis of the aging of financial assets that are in arrears at the reporting date, but not impaired; (b) an analysis of financial assets individually determined to be impaired at the reporting date, including the factors that the entity took into consideration to determine the impairment;

Securitisation and special purpose entities

IFRS 7 21 21. In accordance with paragraph 117 of IAS 1, Presentation of Financial Statements, an entity provides, in its summary of significant accounting policies, information on the measurement bases used for the preparation of the financial statements as well as on other accounting methods used that are necessary for a proper understanding of the financial statements.

Nature and extent of risks arising from financial instruments

16.1 Credit risk

IFRS 7 31-33 31. An entity must provide information enabling users of its financial statements to assess the nature and extent of risks arising from financial instruments to which it is exposed at the reporting date.

The information required by paragraphs 33 to 42 relates to the risks arising from financial instruments and how they have been managed. These risks generally include, but are not limited to, credit risk, liquidity risk, and market risk.
For each type of risk arising from financial instruments, an entity must indicate:
(a) the risk exposures and how they arise;
(b) its risk management objectives, policies, and procedures, as well as the methods used to measure them; and (c) any changes in (a) or (b) compared to the previous period.

16.2 Liquidity risk

The information required by paragraphs 33 to 42 relates to the risks arising from financial instruments and how they have been managed. These risks generally include, but are not limited to, credit risk, liquidity risk, and market risk.

Qualitative information

For each type of risk arising from financial instruments, an entity must indicate:
(a) the risk exposures and how they arise;
(b) its risk management objectives, policies, and procedures, as well as the methods used to measure them; and (c) any changes in (a) or (b) compared to the previous period.

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16.3 Market risk (including equity investment risk, interest rate risk, and foreign exchange risk)

Market risk covers equity investment risk, interest rate risk, and foreign exchange risk.

The information required by paragraphs 33 to 42 relates to the risks arising from financial instruments and how they have been managed. These risks generally include, but are not limited to, credit risk, liquidity risk, and market risk.
For each type of risk arising from financial instruments, an entity must indicate:
(a) the risk exposures and how they arise;
(b) its risk management objectives, policies, and procedures, as well as the methods used to measure them; and (c) any changes in (a) or (b) compared to the previous period.

16.4 Other risk

The information required by paragraphs 33 to 42 relates to the risks arising from financial instruments and how they have been managed. These risks generally include, but are not limited to, credit risk, liquidity risk, and market risk.
For each type of risk arising from financial instruments, an entity must indicate:
(a) the risk exposures and how they arise;
(b) its risk management objectives, policies, and procedures, as well as the methods used to measure them; and (c) any changes in (a) or (b) compared to the previous period.

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Reporting Own Funds 2010: Periodic Reporting Schema for Institutions on Compliance with Own Funds Requirements

Reporting Own Funds 2010

PERIODIC REPORTING SCHEMA FOR INSTITUTIONS ON COMPLIANCE WITH OWN FUNDS REQUIREMENTS

TABLE OF CONTENTS

CHAPTER I

GENERAL GUIDELINES

CHAPTER I: General Guidelines:

1. Principles

2. Reporting Obligation, Deadlines and Frequency

CHAPTER II

SUPPLEMENTARY DESCRIPTION TABLES

Table 90.01 Own Funds Adequacy

Reporting Own Funds

Reporting Own Funds

Table 90.17 – Operational Risk: Gross losses by activity line and event types during the past year

a) General instructions

b) Commentary on columns

c) Commentary on rows

Reporting Own Funds

Reporting Own Funds

Table 90.18 – Concentration Risk: Counterparty Concentration Risk

a) General instructions

Reporting Own Funds

Reporting Own Funds

b) Commentary on columns

Reporting Own Funds

Annex to the Decree

SUMMARY

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