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Article 452 (a) CRR

(a)

The competent authority's permission of the approach or approved transition

Article 452 (c) CRR

(b)

(c)  The control mechanisms for rating systems at the different stages of model development, controls and changes, which shall include information on:

(i)  the relationship between the risk management function and the internal audit function;

(ii)  the rating system review;

(iii)  procedure to ensure the independence of the function in charge of reviewing the models from the functions responsible for the development of the models;

(iv)  the procedure to ensure the accountability of the functions in charge of developing and reviewing the models

Article 452 (d) CRR

(c)

The role of the functions involved in the development, approval and subsequent changes of the credit risk models;

Article 452 (e) CRR

(d)

The scope and main content of the reporting related to credit risk models;

Article 452 (f) CRR

(e)

A description of the internal ratings process by exposure class, including the number of key models used with respect to each portfolio and a brief discussion of the main differences between the models within the same portfolio, covering:

(i)  the definitions, methods and data for estimation and validation of PD, which shall include information on how PDs are estimated for low default portfolios, whether there are regulatory floors and the drivers for differences observed between PD and actual default rates at least for the last three periods;

(ii)  where applicable, the definitions, methods and data for estimation and validation of LGD, such as methods to calculate downturn LGD, how LGDs are estimated for low default portfolio and the time lapse between the default event and the closure of the exposure;

(iii)  where applicable, the definitions, methods and data for estimation and validation of credit conversion factors, including assumptions employed in the derivation of those variables.

A-IRB

PD range

On-balance sheet exposures

Off-balance-sheet exposures pre-CCF

Exposure weighted average CCF

Exposure post CCF and post CRM

Exposure weighted average PD (%)

Number of obligors

Exposure weighted average LGD (%)

Exposure weighted average maturity (years)

Risk weighted exposure amount after supporting factors

Density of risk weighted exposure amount

Expected loss amount

Value adjust-ments and provisions

a

b

c

d

e

f

g

h

i

j

k

l

m

Exposure class X

0,00 to < 0,15

0,00 to < 0,10

0,10 to < 0,15

0,15 to < 0,25

0,25 to < 0,50

0,50 to < 0,75

0,75 to < 2,50

0,75 to < 1,75

1,75 to < 2,5

2,50 to < 10,00

2,5 to < 5

5 to < 10

10,00 to < 100,00

10 to < 20

20 to < 30

30,00 to < 100,00

100,00 (Default)

Subtotal (exposure class)

Total (all exposures classes)

F-IRB

PD range

On-balance sheet exposures

Off-balance-sheet exposures pre-CCF

Exposure weighted average CCF

Exposure post CCF and post CRM

Exposure weighted average PD (%)

Number of obligors

Exposure weighted average LGD (%)

Exposure weighted average maturity (years)

Risk weighted exposure amount after supporting factors

Density of risk weighted exposure amount

Expected loss amount

Value adjust-ments and provisions

a

b

c

d

e

f

g

h

i

j

k

l

m

Exposure class X

0,00 to < 0,15

0,00 to < 0,10

0,10 to < 0,15

0,15 to < 0,25

0,25 to < 0,50

0,50 to < 0,75

0,75 to < 2,50

0,75 to < 1,75

1,75 to < 2,5

2,50 to < 10,00

2,5 to < 5

5 to < 10

10,00 to < 100,00

10 to < 20

20 to < 30

30,00 to < 100,00

100,00 (Default)

Subtotal (exposure class)

Total (all exposures classes)

Exposure value as defined in Article 166 CRR for exposrues subject to IRB approach

Total exposure value for exposures subject to the Standardised approach and to the IRB approach

Percentage of total exposure value subject to the permanent partial use of the SA (%)

Percentage of total exposure value subject to IRB Approach (%)

Percentage of total exposurevalue subject to a roll-out plan (%)

a

b

c

d

e

1

Central governments or central banks

1,1

Of which Regional governments or local authorities

1,2

Of which Public sector entities

2

Institutions

3

Corporates

3,1

Of which Corporates - Specialised lending, excluding slotting approach

3,2

Of which Corporates - Specialised lending under slotting approach

4

Retail

4,1

of which Retail – Secured by real estate SMEs

4,2

of which Retail – Secured by real estate non-SMEs

4,3

of which Retail – Qualifying revolving

4,4

of which Retail – Other SMEs

4,5

of which Retail – Other non-SMEs

5

Equity

6

Other non-credit obligation assets

7

Total

Pre-credit derivatives risk weighted exposure amount

Actual risk weighted exposure amount

a

b

1

Exposures under F-IRB

2

Central governments and central banks

3

Institutions

4

Corporates

4,1

of which Corporates - SMEs

4,2

of which Corporates - Specialised lending

5

Exposures under A-IRB

6

Central governments and central banks

7

Institutions

8

Corporates

8,1

of which Corporates - SMEs

8,2

of which Corporates - Specialised lending

9

Retail

9,1

of which Retail – SMEs - Secured by immovable property collateral

9,2

of which Retail – non-SMEs - Secured by immovable property collateral

9,3

of which Retail – Qualifying revolving

9,4

of which Retail – SMEs - Other

9,5

of which Retail – Non-SMEs- Other

10

TOTAL (including F-IRB exposures and A-IRB exposures)

A-IRB

Total exposures

Credit risk Mitigation techniques

Credit risk Mitigation methods in the calculation of RWEAs

Funded credit Protection (FCP)

Unfunded credit Protection (UFCP)

RWEA without substitution effects

(reduction effects only)

RWEA with substitution effects

(both reduction and sustitution effects)

Part of exposures covered by Financial Collaterals (%)

Part of exposures covered by Other eligible collaterals (%)

Part of exposures covered by Other funded credit protection (%)

Part of exposures covered by Guarantees (%)

Part of exposures covered by Credit Derivatives (%)

Part of exposures covered by Immovable property Collaterals (%)

Part of exposures covered by Receivables (%)

Part of exposures covered by Other physical collateral (%)

Part of exposures covered by Cash on deposit (%)

Part of exposures covered by Life insurance policies (%)

Part of exposures covered by Instruments held by a third party (%)

a

b

c

d

e

f

g

h

i

j

k

l

m

n

1

Central governments and central banks

2

Institutions

3

Corporates

3,1

Of which Corporates – SMEs

3,2

Of which Corporates – Specialised lending

3,3

Of which Corporates – Other

4

Retail

4,1

Of which Retail – Immovable property SMEs

4,2

Of which Retail – Immovable property non-SMEs

4,3

Of which Retail – Qualifying revolving

4,4

Of which Retail – Other SMEs

4,5

Of which Retail – Other non-SMEs

5

Total

F-IRB

Total exposures

Credit risk Mitigation techniques

Credit risk Mitigation methods in the calculation of RWEAs

Funded credit Protection (FCP)

Unfunded credit Protection (UFCP)

RWEA without substitution effects

(reduction effects only)

RWEA with substitution effects

(both reduction and sustitution effects)

Part of exposures covered by Financial Collaterals (%)

Part of exposures covered by Other eligible collaterals (%)

Part of exposures covered by Other funded credit protection (%)

Part of exposures covered by Guarantees (%)

Part of exposures covered by Credit Derivatives (%)

Part of exposures covered by Immovable property Collaterals (%)

Part of exposures covered by Receivables (%)

Part of exposures covered by Other physical collateral (%)

Part of exposures covered by Cash on deposit (%)

Part of exposures covered by Life insurance policies (%)

Part of exposures covered by Instruments held by a third party (%)

a

b

c

d

e

f

g

h

i

j

k

l

m

n

1

Central governments and central banks

2

Institutions

3

Corporates

3,1

Of which Corporates – SMEs

3,2

Of which Corporates – Specialised lending

3,3

Of which Corporates – Other

4

Total

Risk weighted exposure amount

a

1

Risk weighted exposure amount as at the end of the previous reporting period

2

Asset size (+/–)

3

Asset quality (+/–)

4

Model updates (+/–)

5

Methodology and policy (+/–)

6

Acquisitions and disposals (+/–)

7

Foreign exchange movements (+/–)

8

Other (+/–)

9

Risk weighted exposure amount as at the end of the reporting period

Exposure class

PD range

Number of obligors at the end of previous year

Observed average default rate (%)

Exposures weighted average PD (%)

Average PD (%)

Average historical annual default rate (%)

Of which number of obligors which defaulted in the year

a

b

c

d

e

f

g

h

0,00 to < 0,15

0,00 to < 0,10

0,10 to < 0,15

0,15 to < 0,25

0,25 to < 0,50

0,50 to < 0,75

0,75 to < 2,50

0,75 to < 1,75

1,75 to < 2,5

2,50 to < 10,00

2,5 to < 5

5 to < 10

10,00 to < 100,00

10 to < 20

20 to < 30

30,00 to < 100,00

100,00 (Default)

Exposure class

PD range

Number of obligors in the end of previous year

Observed average default rate (%)

Exposure weighted average PD (%)

Average PD (%)

Average historical annual default rate (%)

Of which number of obligors which defaulted in the year

a

b

c

d

e

f

g

h

0,00 to < 0,15

0,00 to < 0,10

0,10 to < 0,15

0,15 to < 0,25

0,25 to < 0,50

0,50 to < 0,75

0,75 to < 2,50

0,75 to < 1,75

1,75 to < 2,5

2,50 to < 10,00

2,5 to < 5

5 to < 10

10,00 to < 100,00

10 to < 20

20 to < 30

30,00 to < 100,00

100,00 (Default)

Exposure class

PD range

External rating equivalent

Number of obligors at the end of previous year

Observed average default rate (%)

Average PD (%)

Average historical annual default rate (%)

Of which number of obligors which defaulted in the year

a

b

c

d

e

f

g

h

Exposure class

PD range

External rating equivalent

Number of obligors in the end of previous year

Observed average default rate (%)

Average PD (%)

Average historical annual default rate (%)

Of which number of obligors which defaulted in the year

a

b

c

d

e

f

g

h