SSM - Climate Template 202109 9e069f12a8.en
SSM - Climate Template 202109 9e069f12a8.en
Version:
Templates
Template name Topic
Input Input
M3_Op_Rep_Definitions Module 3 Operational/Reputational risk definitions
M1 Questionnaire Module 1 - Qualitative assessment
M2_Metric 1 Module 2 - Metric 1
M2_Metric 2 Module 2 - Metric 2
M3_TR_ST_CR Module 3 Short-term Transition risk Credit risk
M3_TR_ST_MR Module 3 Short-term Transition risk Market risk
M3_TR_LT_CR_inputs Module 3 Dynamic Balance sheet qualitative assessment
M3_op_rep_Assessment Module 3 Operational/Reputational risk qualitative assessment
M3_TR_LT_CR Module 3 Long-term Transition risks Scenarios Credit risk
M3_PR_DH_CR Module 3 Physical risk Drought and Heat Credit risk
M3_PR_FL_CR Module 3 Physical risk Flood risk Credit risk
Cell categories
ECB-CONFIDENTIAL
10/7/2021
Templates
Description
Insert countries of bank's main exposures, insert NACE sectors of bank's main exposures
Definitions related to the Questionnaire on Operational/Reputational risk approach
Questionnaire on climate stress test framework
Insert requested information for Income, Fee & Commissions, Exposures [See methodological note for details]
Insert requested information for counterparties' emissions - Calculation of Metric 2 [See methodological note for details]
Insert requested historical data and projections on credit risk parameters [See methodological note for details]
Insert requested historical data and projections on market risk parameters [See methodological note for details]
Questionnaire on Dynamic balance sheet approach
Questionnaire on Operational/Reputational risk approach [This tab is addressed for Module 3]
Insert requested historical data and projections on credit risk parameters [See methodological note for details]
Insert requested historical data and projections on credit risk parameters [See methodological note for details]
Insert requested historical data and projections on credit risk parameters [See methodological note for details]
data extraction - cells hidden apart from row and column numbers
Climate-related and environmental risks
Operational risks
a) sanctions related to climate/environmental issues from official bodies during the year;
b) media campaigns and consumer association initiatives related to climate/environmental issues that con
c) the number of and changes in customer complaints related to climate/environmental issues (i.e. contro
d) negative events, from a climate/environmental perspective, affecting the institution’s peers if they are
e) dealing with sectors and/or individual counterparties that are not well perceived by the public with rega
f) a rating downgrade of the institution due to non-compliance with sustainability standards.
DEFINITIONS
Based on regulatory definitions of loss event types (Article 324 CRR and COREP template C17.01). For the pu
losses arising from an unintentional or negligent failure to meet a professional obligation to specific clients (i
Greenwashing: liability claims resulting from green products sold with underlying assets that do not match the promoted
losses arising from loss or damage to physical assets from a natural disaster or other events.
Extremearising
losses weather events,
from such asof
disruption floods, may damage
business physical
or system assets (e.g. buildings, cash machines) owned by the ban
failures.
Extreme weather events may damage crucial infrastructure that is not necessarily owned by the bank but is essential fo
Reputational loss resulting from the association by the public, counterparties and/or investors of the instituti
1 Bank name
2 LEI Code
3 Module 3 participation
Credit Risk
4 Country #1
5 Country #2
6 Country #3
7 Country #4
8 Country #5
Presentation currency
9
Credit Risk
10 Country #1
11 Country #2
12 Country #3
13 Country #4
14 Country #5
Credit Risk
15 Country #1
16 Country #2
17 Country #3
18 Country #4
19 Country #5
Credit Risk
20 Country #1
21
Country #2
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22 Country #3
23 Country #4
24 Country #5
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input tables
1
ticipation
top five countries with regard to joint mortgage and corporate credit exposure volume o
Presentation currency
Flood Risk
top five EU countries with regard to joint mortgage and corporate credit exposure Secured by Re
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Row
Block 1 Question
Num
1 1 1
2 1 1
3 1 1
4 1 1
5 1 2
6 1 2.1
7 1 2.2
8 1 3
9 1 4
10 1 5
11 1 5
12 1 5
13 1 5
14 1 5
15 1 5
16 1 6
17 1 6
18 1 6
19 1 6
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20 1 7
21 1 7
22 1 7
23 1 7
24 1 7
25 1 7
Block 2 Question
26 2 8
27 2 9
28 2 10
29 2 11
30 2 11
31 2 11
32 2 11
33 2 11
34 2 11
35 2 11
36 2 12
37 2 12
38 2 12
39 2 13
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40 2 14
41 2 15
42 2 15
43 2 15
44 2 15
45 2 15
46 2 15
47 2 15
Block 3 Question
48 3 16
49 3 17
50 3 18
51 3 18
52 3 18
53 3 18
54 3 18
Block 4 Question
55 4 19
56 4 19
57 4 19
58 4 19
59 4 19
60 4 19
61 4 19
62 4 19
63 4 19
64 4 19
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65 4 19
66 4 19
67 4 19
68 4 20
69 4 20
70 4 20
71 4 20
72 4 20
73 4 20
74 4 20
75 4 20
76 4 20
77 4 20
78 4 21
79 4 21
80 4 21
81 4 21
82 4 21
83 4 21
84 4 21
85 4 22
86 4 22
87 4 22
88 4 22
89 4 22
90 4 23
91 4 24
Block 5 Question
92 5 25
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93 5 25
94 5 25
95 5 25
96 5 25
97 5 26
98 5 26
99 5 26
100 5 26
101 5 26
102 5 26
103 5 27
104 5 27
105 5 27
106 5 27
107 5 28
108 5 28
109 5 28
110 5 28
111 5 28
112 5 28
113 5 28
114 5 28
115 5 28
116 5 28
117 5 29
118 5 29
119 5 29
120 5 29
121 5 29
122 5 29
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123 5 29
124 5 29
125 5 29
126 5 29
127 5 30
128 5 30
129 5 30
130 5 30
131 5 30
132 5 31
133 5 31
134 5 31
135 5 31
136 5 31
137 5 32
138 5 32
139 5 32
140 5 32
141 5 32
142 5 32
143 5 32
Block 6 Question
144 6 33
145 6 33
146 6 33
147 6 33
148 6 33
149 6 33
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150 6 33
151 6 33
152 6 34
153 6 34
154 6 34
155 6 34
156 6 35
157 6 35
158 6 35
159 6 35
160 6 35
161 6 35
162 6 36
163 6 37
164 6 37
165 6 37
166 6 37
167 6 37
168 6 37
169 6 38
Block 7 Question
170 7 39
171 7 39
172 7 39
173 7 39
174 7 39
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175 7 39
176 7 39
177 7 39
178 7 39
179 7 40
Block 8 Question
180 8 41
181 8 41
182 8 41
183 8 41
184 8 41
185 8 42
186 8 43
187 8 44
188 8 45
189 8 45
190 8 45
191 8 45
192 8 45
193 8 46
Block 9 Question
194 9 47
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195 9 47
196 9 47
197 9 48
198 9 49
199 9 50
200 9 51
201 9 52
Block 10 Question
202 10 53
203 10 53
204 10 53
205 10 53
206 10 53
207 10 53
208 10 53
209 10 53
210 10 54
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Block 11 Question
211 11 55
212 11 56
213 11 57
214 11 58
215 11 58
216 11 58
217 11 58
218 11 59
219 11 60
220 11 61
221 11 62
222 11 63
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223 11 64
224 11 65
225 11 66
226 11 67
227 11 68
228 11 69
229 11 70
230 11 71
231 11 72
232 11 73
233 11 74
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234 11 75
235 11 76
236 11 77
237 11 78
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e I - Qualitative assessment
General
Does the institution have a reverse climate risk stress test framework in
line with the definition set out in the EBA Guidelines on institutions’ stress
testing?
Indicate if Yes: Including a total GHG emission target
Indicate if Yes: Including a CO2 emission target
Indicate if Yes: Including a Paris Agreement target
Indicate if Yes: Other, please specify […]
Indicate if No:
Does the institution disclose or intend to disclose any results of the climate
risk stress test under Pillar III?
Apart from internal reporting, are the results of climate risk stress tests
reported/published as part of the public disclosure under Article 449a of
CRR? If Yes, indicate to whom:
Publicly, within any report
Stakeholders
Credit analysts
Credit investors
Rating agencies
Other, please specify […]
Data
With regard to climate data availability for the institution’s climate risk
stress test framework, what climate risk- relevant information on the bank’s
counterparties is internally available to the relevant business areas of the
institution?
Emissions data for corporate counterparties
Climate strategies and targets for corporate counterparties
Energy label classification for real estate
Likelihood of potential physical risk events (e.g. natural disasters)
Estimates of the severity of potential physical risk events (e.g. natural
disasters)
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ICAAP
Is the climate risk stress test framework included in the ICAAP of the
institution as stated in the EBA Guidelines on institutions' stress testing?
Indicate if Yes: Yes, in a dedicated climate and/or environmental risk
section
Indicate if Yes: Yes, embedded in credit risk
Indicate if Yes: Yes, embedded in operational and/or reputational risk
Indicate if Yes: Yes, embedded in business and/or strategic risk
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Answers
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Answers
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Answers
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2 3
Row
Number Country NACE sector
1 0 A01
2 0 A01
3 0 A01
4 0 A02-A03
5 0 A02-A03
6 0 A02-A03
7 0 B05-B09
8 0 B05-B09
9 0 B05-B09
10 0 C10-C12
11 0 C10-C12
12 0 C10-C12
0 C13-C18
13
0 C13-C18
14
0 C13-C18
15
16 0 C19
17 0 C19
18 0 C19
19 0 C20
20 0 C20
21 0 C20
22 0 C21-C22
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23 0 C21-C22
24 0 C21-C22
25 0 C23
26 0 C23
27 0 C23
28 0 C24-C25
29 0 C24-C25
30 0 C24-C25
0 C26-C28
31
0 C26-C28
32
0 C26-C28
33
34 0 C29-C30
35 0 C29-C30
36 0 C29-C30
37 0 C31-C33
38 0 C31-C33
39 0 C31-C33
40 0 D35
41 0 D35
42 0 D35
0 E36-E39
43
0 E36-E39
44
0 E36-E39
45
46 0 F41-F43
47 0 F41-F43
48 0 F41-F43
0 G45-G47
49
0 G45-G47
50
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0 G45-G47
51
52 0 H49
53 0 H49
54 0 H49
55 0 H50
56 0 H50
57 0 H50
58 0 H51
59 0 H51
60 0 H51
61 0 H52-H53
62 0 H52-H53
63 0 H52-H53
64 0 L68
65 0 L68
66 0 L68
67 0 Other
68 0 Other
69 0 Other
70 0 A01
71 0 A01
72 0 A01
73 0 A02-A03
74 0 A02-A03
75 0 A02-A03
76 0 B05-B09
77 0 B05-B09
78 0 B05-B09
79 0 C10-C12
80 0 C10-C12
81 0 C10-C12
0 C13-C18
82
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0 C13-C18
83
0 C13-C18
84
85 0 C19
86 0 C19
87 0 C19
88 0 C20
89 0 C20
90 0 C20
91 0 C21-C22
92 0 C21-C22
93 0 C21-C22
94 0 C23
95 0 C23
96 0 C23
97 0 C24-C25
98 0 C24-C25
99 0 C24-C25
0 C26-C28
100
0 C26-C28
101
0 C26-C28
102
103 0 C29-C30
104 0 C29-C30
105 0 C29-C30
106 0 C31-C33
107 0 C31-C33
108 0 C31-C33
109 0 D35
110 0 D35
111 0 D35
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0 E36-E39
112
0 E36-E39
113
0 E36-E39
114
115 0 F41-F43
116 0 F41-F43
117 0 F41-F43
0 G45-G47
118
0 G45-G47
119
0 G45-G47
120
121 0 H49
122 0 H49
123 0 H49
124 0 H50
125 0 H50
126 0 H50
127 0 H51
128 0 H51
129 0 H51
130 0 H52-H53
131 0 H52-H53
132 0 H52-H53
133 0 L68
134 0 L68
135 0 L68
136 0 Other
137 0 Other
138 0 Other
139 0 A01
140 0 A01
141 0 A01
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142 0 A02-A03
143 0 A02-A03
144 0 A02-A03
145 0 B05-B09
146 0 B05-B09
147 0 B05-B09
148 0 C10-C12
149 0 C10-C12
150 0 C10-C12
0 C13-C18
151
0 C13-C18
152
0 C13-C18
153
154 0 C19
155 0 C19
156 0 C19
157 0 C20
158 0 C20
159 0 C20
160 0 C21-C22
161 0 C21-C22
162 0 C21-C22
163 0 C23
164 0 C23
165 0 C23
166 0 C24-C25
167 0 C24-C25
168 0 C24-C25
0 C26-C28
169
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0 C26-C28
170
0 C26-C28
171
172 0 C29-C30
173 0 C29-C30
174 0 C29-C30
175 0 C31-C33
176 0 C31-C33
177 0 C31-C33
178 0 D35
179 0 D35
180 0 D35
0 E36-E39
181
0 E36-E39
182
0 E36-E39
183
184 0 F41-F43
185 0 F41-F43
186 0 F41-F43
0 G45-G47
187
0 G45-G47
188
0 G45-G47
189
190 0 H49
191 0 H49
192 0 H49
193 0 H50
194 0 H50
195 0 H50
196 0 H51
197 0 H51
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198 0 H51
199 0 H52-H53
200 0 H52-H53
201 0 H52-H53
202 0 L68
203 0 L68
204 0 L68
205 0 Other
206 0 Other
207 0 Other
208 0 A01
209 0 A01
210 0 A01
211 0 A02-A03
212 0 A02-A03
213 0 A02-A03
214 0 B05-B09
215 0 B05-B09
216 0 B05-B09
217 0 C10-C12
218 0 C10-C12
219 0 C10-C12
0 C13-C18
220
0 C13-C18
221
0 C13-C18
222
223 0 C19
224 0 C19
225 0 C19
226 0 C20
227 0 C20
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228 0 C20
229 0 C21-C22
230 0 C21-C22
231 0 C21-C22
232 0 C23
233 0 C23
234 0 C23
235 0 C24-C25
236 0 C24-C25
237 0 C24-C25
0 C26-C28
238
0 C26-C28
239
0 C26-C28
240
241 0 C29-C30
242 0 C29-C30
243 0 C29-C30
244 0 C31-C33
245 0 C31-C33
246 0 C31-C33
247 0 D35
248 0 D35
249 0 D35
0 E36-E39
250
0 E36-E39
251
0 E36-E39
252
253 0 F41-F43
254 0 F41-F43
255 0 F41-F43
0 G45-G47
256
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0 G45-G47
257
0 G45-G47
258
259 0 H49
260 0 H49
261 0 H49
262 0 H50
263 0 H50
264 0 H50
265 0 H51
266 0 H51
267 0 H51
268 0 H52-H53
269 0 H52-H53
270 0 H52-H53
271 0 L68
272 0 L68
273 0 L68
274 0 Other
275 0 Other
276 0 Other
277 0 A01
278 0 A01
279 0 A01
280 0 A02-A03
281 0 A02-A03
282 0 A02-A03
283 0 B05-B09
284 0 B05-B09
285 0 B05-B09
286 0 C10-C12
287 0 C10-C12
288 0 C10-C12
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0 C13-C18
289
0 C13-C18
290
0 C13-C18
291
292 0 C19
293 0 C19
294 0 C19
295 0 C20
296 0 C20
297 0 C20
298 0 C21-C22
299 0 C21-C22
300 0 C21-C22
301 0 C23
302 0 C23
303 0 C23
304 0 C24-C25
305 0 C24-C25
306 0 C24-C25
0 C26-C28
307
0 C26-C28
308
0 C26-C28
309
310 0 C29-C30
311 0 C29-C30
312 0 C29-C30
313 0 C31-C33
314 0 C31-C33
315 0 C31-C33
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316 0 D35
317 0 D35
318 0 D35
0 E36-E39
319
0 E36-E39
320
0 E36-E39
321
322 0 F41-F43
323 0 F41-F43
324 0 F41-F43
0 G45-G47
325
0 G45-G47
326
0 G45-G47
327
328 0 H49
329 0 H49
330 0 H49
331 0 H50
332 0 H50
333 0 H50
334 0 H51
335 0 H51
336 0 H51
337 0 H52-H53
338 0 H52-H53
339 0 H52-H53
340 0 L68
341 0 L68
342 0 L68
343 0 Other
344 0 Other
345 0 Other
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346 Total
347 Total
348 Total
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Wholesale and retail trade and repair of motor vehicles and motorcycles; Whole
motorcycles; Retail trade, except of motor vehicles and motorcycles
Land transport and transport via pipelines
Land transport and transport via pipelines
Land transport and transport via pipelines
Water transport
Water transport
Water transport
Air transport
Air transport
Air transport
Warehousing and support activities for transportation; Postal and courier activit
Warehousing and support activities for transportation; Postal and courier activit
Warehousing and support activities for transportation; Postal and courier activit
Real estate activities
Real estate activities
Real estate activities
Air transport
Warehousing and support activities for transportation; Postal and courier activit
Warehousing and support activities for transportation; Postal and courier activit
Warehousing and support activities for transportation; Postal and courier activit
Real estate activities
Real estate activities
Real estate activities
Wholesale and retail trade and repair of motor vehicles and motorcycles; Whole
motorcycles; Retail trade, except of motor vehicles and motorcycles
Wholesale and retail trade and repair of motor vehicles and motorcycles; Whole
motorcycles; Retail trade, except of motor vehicles and motorcycles
Land transport and transport via pipelines
Land transport and transport via pipelines
Land transport and transport via pipelines
Water transport
Water transport
Water transport
Air transport
Air transport
Air transport
Warehousing and support activities for transportation; Postal and courier activit
Warehousing and support activities for transportation; Postal and courier activit
Warehousing and support activities for transportation; Postal and courier activit
Real estate activities
Real estate activities
Real estate activities
(mln EUR)
Asset class
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
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Interest income
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Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Interest income
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
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Interest income
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Fees and commissions income
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Interest income
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Interest income
Fees and commissions income
Exposures (interest generated)
Interest income
Interest income
Fees and commissions income
Exposures (interest generated)
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Actual
31/12/2021
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0.00
0.00
0.00
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2 3 4
2 3 4
Country
Summary Table 0 0 0
Interest income 0 0 0
5 6 7 8 9 10 11 12
NACE sectors
C10-C12 C13-C18 C19 C20 C21-C22 C23 C24-C25 C26-C28
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
5 6
ntry
0 0
0 0
0 0
0 0
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13 14 15 16 17 18 19 20
E sectors
C29-C30 C31-C33 D35 E36-E39 F41-F43 G45-G47 H49 H50
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
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21 22 23 24
1 2 3
Scope 1 data
Row Counterparty
NACE sector Counterparty code type (Actual,
Number code
Estimated)
1 A01
2 A01
3 A01
4 A01
5 A01
6 A01
7 A01
8 A01
9 A01
10 A01
11 A01
12 A01
13 A01
14 A01
15 A01
16 A02-A03
17 A02-A03
18 A02-A03
19 A02-A03
20 A02-A03
21 A02-A03
22 A02-A03
23 A02-A03
24 A02-A03
25 A02-A03
26 A02-A03
27 A02-A03
28 A02-A03
29 A02-A03
30 A02-A03
31 B05-B09
32 B05-B09
33 B05-B09
34 B05-B09
35 B05-B09
36 B05-B09
37 B05-B09
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38 B05-B09
39 B05-B09
40 B05-B09
41 B05-B09
42 B05-B09
43 B05-B09
44 B05-B09
45 B05-B09
46 C10-C12
47 C10-C12
48 C10-C12
49 C10-C12
50 C10-C12
51 C10-C12
52 C10-C12
53 C10-C12
54 C10-C12
55 C10-C12
56 C10-C12
57 C10-C12
58 C10-C12
59 C10-C12
60 C10-C12
61 C13-C18
62 C13-C18
63 C13-C18
64 C13-C18
65 C13-C18
66 C13-C18
67 C13-C18
68 C13-C18
69 C13-C18
70 C13-C18
71 C13-C18
72 C13-C18
73 C13-C18
74 C13-C18
75 C13-C18
76 C19
77 C19
78 C19
79 C19
80 C19
81 C19
82 C19
83 C19
84 C19
SB/21/151/07c ECB-CONFIDENTIAL
85 C19
86 C19
87 C19
88 C19
89 C19
90 C19
91 C20
92 C20
93 C20
94 C20
95 C20
96 C20
97 C20
98 C20
99 C20
100 C20
101 C20
102 C20
103 C20
104 C20
105 C20
106 C21-C22
107 C21-C22
108 C21-C22
109 C21-C22
110 C21-C22
111 C21-C22
112 C21-C22
113 C21-C22
114 C21-C22
115 C21-C22
116 C21-C22
117 C21-C22
118 C21-C22
119 C21-C22
120 C21-C22
121 C23
122 C23
123 C23
124 C23
125 C23
126 C23
127 C23
128 C23
129 C23
130 C23
131 C23
SB/21/151/07c ECB-CONFIDENTIAL
132 C23
133 C23
134 C23
135 C23
136 C24-C25
137 C24-C25
138 C24-C25
139 C24-C25
140 C24-C25
141 C24-C25
142 C24-C25
143 C24-C25
144 C24-C25
145 C24-C25
146 C24-C25
147 C24-C25
148 C24-C25
149 C24-C25
150 C24-C25
151 C26-C28
152 C26-C28
153 C26-C28
154 C26-C28
155 C26-C28
156 C26-C28
157 C26-C28
158 C26-C28
159 C26-C28
160 C26-C28
161 C26-C28
162 C26-C28
163 C26-C28
164 C26-C28
165 C26-C28
166 C29-C30
167 C29-C30
168 C29-C30
169 C29-C30
170 C29-C30
171 C29-C30
172 C29-C30
173 C29-C30
174 C29-C30
175 C29-C30
176 C29-C30
177 C29-C30
178 C29-C30
SB/21/151/07c ECB-CONFIDENTIAL
179 C29-C30
180 C29-C30
181 C31-C33
182 C31-C33
183 C31-C33
184 C31-C33
185 C31-C33
186 C31-C33
187 C31-C33
188 C31-C33
189 C31-C33
190 C31-C33
191 C31-C33
192 C31-C33
193 C31-C33
194 C31-C33
195 C31-C33
196 D35
197 D35
198 D35
199 D35
200 D35
201 D35
202 D35
203 D35
204 D35
205 D35
206 D35
207 D35
208 D35
209 D35
210 D35
211 E36-E39
212 E36-E39
213 E36-E39
214 E36-E39
215 E36-E39
216 E36-E39
217 E36-E39
218 E36-E39
219 E36-E39
220 E36-E39
221 E36-E39
222 E36-E39
223 E36-E39
224 E36-E39
225 E36-E39
SB/21/151/07c ECB-CONFIDENTIAL
226 F41-F43
227 F41-F43
228 F41-F43
229 F41-F43
230 F41-F43
231 F41-F43
232 F41-F43
233 F41-F43
234 F41-F43
235 F41-F43
236 F41-F43
237 F41-F43
238 F41-F43
239 F41-F43
240 F41-F43
241 G45-G47
242 G45-G47
243 G45-G47
244 G45-G47
245 G45-G47
246 G45-G47
247 G45-G47
248 G45-G47
249 G45-G47
250 G45-G47
251 G45-G47
252 G45-G47
253 G45-G47
254 G45-G47
255 G45-G47
256 H49
257 H49
258 H49
259 H49
260 H49
261 H49
262 H49
263 H49
264 H49
265 H49
266 H49
267 H49
268 H49
269 H49
270 H49
271 H50
272 H50
SB/21/151/07c ECB-CONFIDENTIAL
273 H50
274 H50
275 H50
276 H50
277 H50
278 H50
279 H50
280 H50
281 H50
282 H50
283 H50
284 H50
285 H50
286 H51
287 H51
288 H51
289 H51
290 H51
291 H51
292 H51
293 H51
294 H51
295 H51
296 H51
297 H51
298 H51
299 H51
300 H51
301 H52-H53
302 H52-H53
303 H52-H53
304 H52-H53
305 H52-H53
306 H52-H53
307 H52-H53
308 H52-H53
309 H52-H53
310 H52-H53
311 H52-H53
312 H52-H53
313 H52-H53
314 H52-H53
315 H52-H53
316 L68
317 L68
318 L68
319 L68
SB/21/151/07c ECB-CONFIDENTIAL
320 L68
321 L68
322 L68
323 L68
324 L68
325 L68
326 L68
327 L68
328 L68
329 L68
330 L68
SB/21/151/07c ECB-CONFIDENTIAL
4 5 6 7
Average of 3-years of
Scope 2 Data Scope 3 Data
Bank's exposure to counterparty's revenues
(Actual, (Actual,
counterparty (EUR millions) [2018,2019,2020] (EUR
Estimated) Estimated)
millions)
SB/21/151/07c ECB-CONFIDENTIAL
SB/21/151/07c ECB-CONFIDENTIAL
SB/21/151/07c ECB-CONFIDENTIAL
SB/21/151/07c ECB-CONFIDENTIAL
SB/21/151/07c ECB-CONFIDENTIAL
SB/21/151/07c ECB-CONFIDENTIAL
SB/21/151/07c ECB-CONFIDENTIAL
SB/21/151/07c ECB-CONFIDENTIAL
8 9 10 11
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SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
0.00
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0.00
0.00
0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
12 13 14 15 16
S1S2S3 Emissions
S1 GHG intensity S2 GHG intensity S3 GHG intensity S1S2 GHG intensity
(tCO2e)
17 18 19 20
Exposures
S1S2S3 GHG intensity Metric 2 S1S2 Metric 2 S1S2S3
coverage (%)
21
NACE
Geographical
RowNum Sector/E Scenario Year
breakdown
PC rating
(mln EUR, %)
Asset classes
Mortgages
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate Exposures Secured by real estate - EPC
Corporate Exposures Secured by real estate - EPC
Corporate Exposures Secured by real estate - EPC
SB/21/151/07c ECB-CONFIDENTIAL
Mortgages
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate Exposures Secured by real estate - EPC
Corporate Exposures Secured by real estate - EPC
Corporate Exposures Secured by real estate - EPC
SB/21/151/07c ECB-CONFIDENTIAL
Mortgages
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Not Secured by real estate
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate exposures Secured by real estate - Non-EPC
Corporate Exposures Secured by real estate - EPC
Corporate Exposures Secured by real estate - EPC
Corporate Exposures Secured by real estate - EPC
SB/21/151/07c ECB-CONFIDENTIAL
Mortgages
SB/21/151/07c ECB-CONFIDENTIAL
1 2 3 4
of of
which: which:
Performing exposure
REA stage 1 stage 2
(Exp)
(Exp (Exp
S1) S2)
0.00
0.00
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SB/21/151/07c ECB-CONFIDENTIAL
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0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
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0.00 0.00 0.00
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0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
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0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
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SB/21/151/07c ECB-CONFIDENTIAL
0.00
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0.00 0.00 0.00
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0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
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SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
5 6 7 8 9 10
Beginning of
of
which:
Non-
existing Funded
perform
Non- of which: Collater LTV
ing
perform cumulative new LTV ratio - Stage 1 al ratio -
exposur
ing non-performing (%) (capped Stage 2
e
exposur exposure )- (%)
(Exp
e Stage 1
S3)
(Old
Exp S3)
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SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
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0.00 0.00 0.00
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SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
11 12 13 14 15
Beginning of year
Of which:
Funded Funded Collateral
LTV ratio - Non Stock of performing
Collateral (capped) - Non
performing provisions assets
(capped) - performing
exposure (%) (Prov Stock) (Prov Stock
Stage 2 exposure
Perf)
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
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0.00 0.00
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0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
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0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
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0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
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0.00 0.00
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SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
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0.00 0.00
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0.00 0.00
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0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
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0.00 0.00
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0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
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SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
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0.00 0.00 0.00 0.00
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SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
16 17 18 19 20 21
Of which:
Of which: non- Coverage
Coverage
stage 1 Of which: stage 2 performing ratio: Coverage ratio:
ratio: Stage
(Prov Stock (Prov Stock S2) assets performing Stage 1
2
S1) (Prov Stock exposure
S3)
22 23 24 25 26 27 28 29 30
Memora
Coverage Stage 1 Stage 2
Average ndum
ratio: non- flow flow
Maturity item: TR1-3 TR1-2 TR2-3 TR2-1
performing (S2-S1 (S1-S2
(years) PD PiT
exposure (%) flow) flow)
(%)
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
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SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
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0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
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0.00 0.00
0.00 0.00
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SB/21/151/07c ECB-CONFIDENTIAL
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0.00 0.00 0.00 0.00
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0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
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0.00 0.00
0.00 0.00
0.00 0.00
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0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
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0.00 0.00
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0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
31 32 33 34 35 36 37 38 39 40
Within year
Stage 3 Stage 3
Cure rate -
Stage 3 flow flow
new stage
flow from from LGD PiT
LGD1-3 LGD2-3 LRLT1-2 LRLT2-2 LRLT3-3 3 assets
(SX-S3 Stage 1 Stage 2 new (%)
(Cure PiT
flow) (S1-S3 (S2-S3
new)
Flow) Flow)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
41 42 43 44 45 46 47 48 49 50
Cumula Cumula
Cumula tive tive
Provisio Provisio Provisio Provisio
tive provisio provisio
Cure rate Cure rate ns ns Provisio ns ns
provisio ns ns
stage 1 to stage 2 to stage 1 stage 2 ns new stage 1 stage 2
ns new stage 1 stage 2
stage 3 stage 3 to stage to stage 3 to to
stage 3 to to
assets assets 2 stage 2 (Prov stage 3 stage 3
(Prov stage 3 stage 3
(Cure1-3) (Cure2-3) (Prov (Prov SX-S3) (Prov (Prov
Cumul (Prov (Prov
S1-S2) S2-S2) S1-S3) S2-S3)
SX-S3) Cumul Cumul
S1-S3) S2-S3)
SB/21/151/07c ECB-CONFIDENTIAL
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0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
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SB/21/151/07c ECB-CONFIDENTIAL
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51 52 53 54 55 56 57 58 59 60
End of Year
of of which:
which: cumulati
Provisio Provisio Non-
Provisio existing ve new
ns ns Perform of of perform
ns old Non- non- LTV
stage 1 stage 2 ing which: which: ing
stage 3 perform performi ratio -
to to exposur stage 1 stage 2 exposur
(Prov ing ng Stage 1
stage 1 stage 1 e (Exp (Exp e
old S3- exposur exposure (%)
(Prov (Prov (Exp) S1) S2) (Exp
S3) e (Cumul
S1-S1) S2-S1) S3)
(Old New Exp
Exp S3) S3)
0.00
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SB/21/151/07c ECB-CONFIDENTIAL
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SB/21/151/07c ECB-CONFIDENTIAL
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0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
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SB/21/151/07c ECB-CONFIDENTIAL
61 62 63 64 65 66 67 68 69 70
Funded Of
Of
LTV Collater which:
Funded Funded Stock which: Of Of
ratio - al non-
Collater LTV Collater of perform which: which:
Non (capped perform
al ratio - al provisio ing stage 1 stage 2
perform ) - Non ing
(capped Stage 2 (capped ns assets (Prov (Prov
ing perform assets
)- (%) )- (Prov (Prov Stock Stock
exposur ing (Prov
Stage 1 Stage 2 Stock) Stock S1) S2)
e (%) exposur Stock
Perf)
e S3)
71 72 73 74
Covera
Covera
ge
ge
Covera Covera ratio:
ratio:
ge ge non-
perform
ratio: ratio: perform
ing
Stage 1 Stage 2 ing
exposur
exposur
e
e (%)
Market Risk
Row
NACE Sector Equity/Corporate Bonds
Num
2 A01 Equity
3 A01 Equity
4 A01 Equity
5 A01 Corporate bonds
6 A01 Corporate bonds
7 A01 Corporate bonds
8 A02-A03 Equity
9 A02-A03 Equity
10 A02-A03 Equity
11 A02-A03 Corporate bonds
12 A02-A03 Corporate bonds
13 A02-A03 Corporate bonds
14 B05-B09 Equity
15 B05-B09 Equity
16 B05-B09 Equity
17 B05-B09 Corporate bonds
18 B05-B09 Corporate bonds
19 B05-B09 Corporate bonds
20 C10-C12 Equity
21 C10-C12 Equity
22 C10-C12 Equity
23 C10-C12 Corporate bonds
24 C10-C12 Corporate bonds
25 C10-C12 Corporate bonds
26 C13-C18 Equity
27 C13-C18 Equity
28 C13-C18 Equity
29 C13-C18 Corporate bonds
30 C13-C18 Corporate bonds
31 C13-C18 Corporate bonds
SB/21/151/07c ECB-CONFIDENTIAL
32 C19 Equity
33 C19 Equity
34 C19 Equity
35 C19 Corporate bonds
36 C19 Corporate bonds
37 C19 Corporate bonds
38 C20 Equity
39 C20 Equity
40 C20 Equity
41 C20 Corporate bonds
42 C20 Corporate bonds
43 C20 Corporate bonds
44 C21-C22 Equity
45 C21-C22 Equity
46 C21-C22 Equity
47 C21-C22 Corporate bonds
48 C21-C22 Corporate bonds
49 C21-C22 Corporate bonds
50 C23 Equity
51 C23 Equity
52 C23 Equity
53 C23 Corporate bonds
54 C23 Corporate bonds
55 C23 Corporate bonds
56 C24-C25 Equity
57 C24-C25 Equity
58 C24-C25 Equity
59 C24-C25 Corporate bonds
60 C24-C25 Corporate bonds
61 C24-C25 Corporate bonds
62 C26-C28 Equity
63 C26-C28 Equity
64 C26-C28 Equity
65 C26-C28 Corporate bonds
66 C26-C28 Corporate bonds
67 C26-C28 Corporate bonds
68 C29-C30 Equity
69 C29-C30 Equity
70 C29-C30 Equity
71 C29-C30 Corporate bonds
72 C29-C30 Corporate bonds
73 C29-C30 Corporate bonds
74 C31-C33 Equity
75 C31-C33 Equity
76 C31-C33 Equity
77 C31-C33 Corporate bonds
78 C31-C33 Corporate bonds
79 C31-C33 Corporate bonds
80 D35 Equity
SB/21/151/07c ECB-CONFIDENTIAL
81 D35 Equity
82 D35 Equity
83 D35 Corporate bonds
84 D35 Corporate bonds
85 D35 Corporate bonds
86 E36-E39 Equity
87 E36-E39 Equity
88 E36-E39 Equity
89 E36-E39 Corporate bonds
90 E36-E39 Corporate bonds
91 E36-E39 Corporate bonds
92 F41-F43 Equity
93 F41-F43 Equity
94 F41-F43 Equity
95 F41-F43 Corporate bonds
96 F41-F43 Corporate bonds
97 F41-F43 Corporate bonds
98 G45-G47 Equity
99 G45-G47 Equity
100 G45-G47 Equity
101 G45-G47 Corporate bonds
102 G45-G47 Corporate bonds
103 G45-G47 Corporate bonds
104 H49 Equity
105 H49 Equity
106 H49 Equity
107 H49 Corporate bonds
108 H49 Corporate bonds
109 H49 Corporate bonds
110 H50 Equity
111 H50 Equity
112 H50 Equity
113 H50 Corporate bonds
114 H50 Corporate bonds
115 H50 Corporate bonds
116 H51 Equity
117 H51 Equity
118 H51 Equity
119 H51 Corporate bonds
120 H51 Corporate bonds
121 H51 Corporate bonds
122 H52-H53 Equity
123 H52-H53 Equity
124 H52-H53 Equity
125 H52-H53 Corporate bonds
126 H52-H53 Corporate bonds
127 H52-H53 Corporate bonds
128 L68 Equity
129 L68 Equity
SB/21/151/07c ECB-CONFIDENTIAL
2 3 4 5
Positions as of 31/12/2021 P
Impact on
Long or short positions Total In years Total
profit and loss
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
SB/21/151/07c ECB-CONFIDENTIAL
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
of which: Accounting hedging
of which: Economic hedging
Net positions
SB/21/151/07c ECB-CONFIDENTIAL
6 7 8 9 9 10
Credit Interest
Equity FX Commodities Other
Spread Rate
SB/21/151/07c ECB-CONFIDENTIAL
SB/21/151/07c ECB-CONFIDENTIAL
SB/21/151/07c ECB-CONFIDENTIAL
Row NACE
Num
ber Code
1 A01
2 A02-A03
3 B05-B09
4 C10-C12
5 C13-C18
6 C19
7 C20
8 C21-C22
9 C23
10 C24-C25
11 C26-C28
12 C29-C30
13 C31-C33
14 D35
15 E36-E39
16 F41-F43
G45-G47
17
18 H49
19 H50
20 H51
H52-H53
21
22 L68
Disorderly scenario
1
NACE
Code
24 A01
25 A02-A03
26 B05-B09
27 C10-C12
28 C13-C18
29 C19
30 C20
31 C21-C22
32 C23
33 C24-C25
34 C26-C28
35 C29-C30
36 C31-C33
37 D35
38 E36-E39
39 F41-F43
G45-G47
40
41 H49
42 H50
43 H51
H52-H53
44
45 L68
NACE
Code
24 A01
25 A02-A03
26 B05-B09
27 C10-C12
28 C13-C18
29 C19
30 C20
31 C21-C22
32 C23
33 C24-C25
34 C26-C28
35 C29-C30
36 C31-C33
37 D35
38 E36-E39
39 F41-F43
G45-G47
40
41 H49
42 H50
43 H51
H52-H53
44
45 L68
rderly scenario
2
isorderly scenario
2
1. Based on the severity of the impact of transition policies on the
economic activity and your assessment of your counterparties, is your
strategy to (expressed as a proportion of your total loan portfolio):
ot house world
2
3
If a. please explain the main reasoning
underlying your strategic choice
4
If b. please explain the main reasoning
underlying your strategic choice
5
If c. please explain the main reasoning
underlying your choice
6
2. Based, on your long-term risk assessment under the
relevant scenario and your climate strategy, do you
expect for this economic sector:
7
Open field comment
Number of sectors
displaying an
increase in
1 exposures as a
porportion of the
portfolio
Average growth in
2 Exposures Not Secured by exposures to related
real estate and Secured by sectors
real estate non-EPC
Number of sectors
displaying a
decrease in
3 exposures as a
porportion of the
portfolio
Average growth of
4 exposures to related
sectors
59 B 0 Actual 2021
60 C 0 Actual 2021
61 D 0 Actual 2021
62 E 0 Actual 2021
63 F 0 Actual 2021
64 G 0 Actual 2021
65 Unknown 0 Actual 2021
66 A01 0 Orderly 2030
67 A02-A03 0 Orderly 2030
68 B05-B09 0 Orderly 2030
69 C10-C12 0 Orderly 2030
70 C13-C18 0 Orderly 2030
71 C19 0 Orderly 2030
72 C20 0 Orderly 2030
73 C21-C22 0 Orderly 2030
74 C23 0 Orderly 2030
75 C24-C25 0 Orderly 2030
76 C26-C28 0 Orderly 2030
77 C29-C30 0 Orderly 2030
78 C31-C33 0 Orderly 2030
79 D35 0 Orderly 2030
80 E36-E39 0 Orderly 2030
81 F41-F43 0 Orderly 2030
82 G45-G47 0 Orderly 2030
83 H49 0 Orderly 2030
84 H50 0 Orderly 2030
85 H51 0 Orderly 2030
86 H52-H53 0 Orderly 2030
87 L68 0 Orderly 2030
88 A01 0 Orderly 2030
89 A02-A03 0 Orderly 2030
90 B05-B09 0 Orderly 2030
91 C10-C12 0 Orderly 2030
92 C13-C18 0 Orderly 2030
93 C19 0 Orderly 2030
94 C20 0 Orderly 2030
95 C21-C22 0 Orderly 2030
96 C23 0 Orderly 2030
97 C24-C25 0 Orderly 2030
98 C26-C28 0 Orderly 2030
99 C29-C30 0 Orderly 2030
100 C31-C33 0 Orderly 2030
101 D35 0 Orderly 2030
102 E36-E39 0 Orderly 2030
103 F41-F43 0 Orderly 2030
104 G45-G47 0 Orderly 2030
105 H49 0 Orderly 2030
106 H50 0 Orderly 2030
SB/21/151/07c ECB-CONFIDENTIAL
3
DISORD
2040-2050 RowNum
4 5
(mln EUR, %)
Mortgages 0.00
Mortgages 0.00
Mortgages 0.00
Mortgages 0.00
Mortgages 0.00
Mortgages 0.00
Mortgages 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
SB/21/151/07c ECB-CONFIDENTIAL
Mortgages 0.00
Mortgages 0.00
Mortgages 0.00
Mortgages 0.00
Mortgages 0.00
Mortgages 0.00
Mortgages 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Not Secured by real estate 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
Corporate exposures Secured by real estate - Non-EPC 0.00
SB/21/151/07c ECB-CONFIDENTIAL
DISORDERLY 8 9 10
Number of sectors
displaying an increase in
exposures as a porportion
of the portfolio
Average growth in
Exposues Not Secured exposures to related
by real estate and sectors
Secured by real estate
non-EPC
Number of sectors
displaying a decrease in
exposures as a porportion
of the portfolio
Average growth in
exposures to related
sectors
6 7 8 9 10
End of Year
of which:
Stock of
change in total exposure
change in total exposure provisions
of which: Non- due to balance sheet Stock of
due to reallocation performing
performing exposure growth during past provisions
during past decade assets
decade
(Prov Stock
Perf)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
11 12 13 14 15 16
nd of Year
17
2040-2050
17 18
Coverage
Coverage ratio:
ratio: non-
performin performin
g g
exposure exposure
(%)
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
SB/21/151/07c ECB-CONFIDENTIAL
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
SB/21/151/07c ECB-CONFIDENTIAL
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
SB/21/151/07c ECB-CONFIDENTIAL
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
SB/21/151/07c ECB-CONFIDENTIAL
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
SB/21/151/07c ECB-CONFIDENTIAL
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
SB/21/151/07c ECB-CONFIDENTIAL
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
SB/21/151/07c ECB-CONFIDENTIAL
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
SB/21/151/07c ECB-CONFIDENTIAL
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
SB/21/151/07c ECB-CONFIDENTIAL
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
SB/21/151/07c ECB-CONFIDENTIAL
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
SB/21/151/07c ECB-CONFIDENTIAL
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
SB/21/151/07c ECB-CONFIDENTIAL
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
SB/21/151/07c ECB-CONFIDENTIAL
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
SB/21/151/07c ECB-CONFIDENTIAL
NACE Geographical
RowNum Scenario Year
Sector breakdown
(mln EUR, %)
Asset classes
1 2 3 4
of of
which: which:
Performing exposure
REA stage 1 stage 2
(Exp)
(Exp (Exp
S1) S2)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
5 6 7 8 9 10
Beginning of year
of
which:
Non-
existing
perform Of which:
Non- of which: Of which:
ing Stock of performing
perform cumulative new stage 1
exposur provisions assets
ing non-performing (Prov Stock
e (Prov Stock) (Prov Stock
exposur exposure S1)
(Exp Perf)
e
S3)
(Old
Exp S3)
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
11 12 13 14 15
Of which:
non- Coverage
Coverage
Of which: stage 2 performing ratio: Coverage ratio:
ratio: Stage
(Prov Stock S2) assets performing Stage 1
2
(Prov Stock exposure
S3)
16 17 18 19 20 21 22 23 24
Memora
Coverage Stage 1 Stage 2
ndum
ratio: non- Average flow flow
item: TR1-3 TR1-2 TR2-3 TR2-1
performing Maturity (yrs) (S2-S1 (S1-S2
PD PiT
exposure (%) flow) flow)
(%)
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
25 26 27 28 29 30 31 32 33 34
Within year
Stage 3 Stage 3
Cure rate -
Stage 3 flow flow
new stage
flow from from LGD PiT
LGD1-3 LGD2-3 LRLT1-2 LRLT2-2 LRLT3-3 3 assets
(SX-S3 Stage 1 Stage 2 new (%)
(Cure PiT
flow) (S1-S3 (S2-S3
new)
Flow) Flow)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
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SB/21/151/07c ECB-CONFIDENTIAL
0.00
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SB/21/151/07c ECB-CONFIDENTIAL
35 36 37 38 39 40 41 42 43 44
Cumula Cumula
Cumula tive tive
Provisio Provisio Provisio Provisio
tive provisio provisio
Cure rate Cure rate ns ns Provisio ns ns
provisio ns ns
stage 1 to stage 2 to stage 1 stage 2 ns new stage 1 stage 2
ns new stage 1 stage 2
stage 3 stage 3 to stage to stage 3 to to
stage 3 to to
assets assets 2 stage 2 (Prov stage 3 stage 3
(Prov stage 3 stage 3
(Cure1-3) (Cure2-3) (Prov (Prov SX-S3) (Prov (Prov
Cumul (Prov (Prov
S1-S2) S2-S2) S1-S3) S2-S3)
SX-S3) Cumul Cumul
S1-S3) S2-S3)
45 46 47 48 49 50 51 52 53 54
End of Year
of
of which:
which: cumulat
Provisio Provisio Non-
Provisio existing ive new Stock
ns ns Perform of of perform
ns old Non- non- of
stage 1 stage 2 ing which: which: ing
stage 3 perform perform provisio
to to exposur stage 1 stage 2 exposur
(Prov ing ing ns
stage 1 stage 1 e (Exp (Exp e
old S3- exposur exposur (Prov
(Prov (Prov (Exp) S1) S2) (Exp
S3) e e Stock)
S1-S1) S2-S1) S3)
(Old (Cumul
Exp S3) New
Exp S3)
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
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0.00 0.00
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0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
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0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
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SB/21/151/07c ECB-CONFIDENTIAL
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0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
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SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
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0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
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0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
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0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
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SB/21/151/07c ECB-CONFIDENTIAL
55 56 57 58 59 60 61 62
Of
Of Covera
which: Covera
which: Of Of ge
non- ge
perform which: which: Covera Covera ratio:
perform ratio:
ing stage 1 stage 2 ge ge non-
ing perform
assets (Prov (Prov ratio: ratio: perform
assets ing
(Prov Stock Stock Stage 1 Stage 2 ing
(Prov exposur
Stock S1) S2) exposur
Stock e
Perf) e (%)
S3)
Flood Geographical
RowNum Scenario Year
risk breakdown
(mln EUR, %)
Asset classes
1 2 3 4
of of
which: which:
Performing exposure
REA stage 1 stage 2
(Exp)
(Exp (Exp
S1) S2)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0 0.00 0.00 0.00
0 0.00 0.00 0.00
0 0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
5 6 7 8 9 10
Beginning of
of
which:
Non-
existing Funded
perform
Non- of which: Collater LTV
ing
perform cumulative new LTV ratio - Stage 1 al ratio -
exposur
ing non-performing (%) (capped Stage 2
e
exposur exposure )- (%)
(Exp
e Stage 1
S3)
(Old
Exp S3)
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
11 12 13 14 15
Beginning of year
Of which:
Funded Funded Collateral
LTV ratio - Non Stock of performing
Collateral (capped) - Non
performing provisions assets
(capped) - performing
exposure (%) (Prov Stock) (Prov Stock
Stage 2 exposure
Perf)
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
16 17 18 19 20 21
Of which:
Of which: non- Coverage
Coverage
stage 1 Of which: stage 2 performing ratio: Coverage ratio:
ratio: Stage
(Prov Stock (Prov Stock S2) assets performing Stage 1
2
S1) (Prov Stock exposure
S3)
22 23 24 25 26 27 28 29 30
Memora
Coverage Stage 1 Stage 2
ndum
ratio: non- Average flow flow
item: TR1-3 TR1-2 TR2-3 TR2-1
performing Maturity (yrs) (S2-S1 (S1-S2
PD PiT
exposure (%) flow) flow)
(%)
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
31 32 33 34 35 36 37 38 39 40
Within year
Stage 3 Stage 3
Cure rate -
Stage 3 flow flow
new stage
flow from from LGD PiT
LGD1-3 LGD2-3 LRLT1-2 LRLT2-2 LRLT3-3 3 assets
(SX-S3 Stage 1 Stage 2 new (%)
(Cure PiT
flow) (S1-S3 (S2-S3
new)
Flow) Flow)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
41 42 43 44 45 46 47 48 49 50
Cumula Cumula
Cumula tive tive
Provisio Provisio Provisio Provisio
tive provisio provisio
Cure rate Cure rate ns ns Provisio ns ns
provisio ns ns
stage 1 to stage 2 to stage 1 stage 2 ns new stage 1 stage 2
ns new stage 1 stage 2
stage 3 stage 3 to stage to stage 3 to to
stage 3 to to
assets assets 2 stage 2 (Prov stage 3 stage 3
(Prov stage 3 stage 3
(Cure1-3) (Cure2-3) (Prov (Prov SX-S3) (Prov (Prov
Cumul (Prov (Prov
S1-S2) S2-S2) S1-S3) S2-S3)
SX-S3) Cumul Cumul
S1-S3) S2-S3)
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
51 52 53 54 55 56 57 58 59 60
End of Year
of
of which:
which: cumulat
Provisio Provisio Non-
Provisio existing ive new
ns ns Perform of of perform
ns old Non- non- LTV
stage 1 stage 2 ing which: which: ing
stage 3 perform perform ratio -
to to exposur stage 1 stage 2 exposur
(Prov ing ing Stage 1
stage 1 stage 1 e (Exp (Exp e
old S3- exposur exposur (%)
(Prov (Prov (Exp) S1) S2) (Exp
S3) e e
S1-S1) S2-S1) S3)
(Old (Cumul
Exp S3) New
Exp S3)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00
0.00
0.00
SB/21/151/07c ECB-CONFIDENTIAL
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00
SB/21/151/07c ECB-CONFIDENTIAL
61 62 63 64 65 66 67 68 69 70
Funded Of
Of
LTV Collater which:
Funded Funded Stock which: Of Of
ratio - al non-
Collater LTV Collater of perform which: which:
Non (capped perform
al ratio - al provisio ing stage 1 stage 2
perform ) - Non ing
(capped Stage 2 (capped ns assets (Prov (Prov
ing perform assets
)- (%) )- (Prov (Prov Stock Stock
exposur ing (Prov
Stage 1 Stage 2 Stock) Stock S1) S2)
e (%) exposur Stock
Perf)
e S3)
71 72 73 74
Covera
Covera
ge
ge
Covera Covera ratio:
ratio:
ge ge non-
perform
ratio: ratio: perform
ing
Stage 1 Stage 2 ing
exposur
exposur
e
e (%)
Row
QuestionCategory
Num
1 1 Operational risk
2 1.1
3 1.1
4 1.1
5 1.1
6 1.1
7 1.2
8 2 Operational risk
12 2.3
13 3 Conduct risk
14 3
15 3
16 3
17 3
18 3
19 4 Physical risk
20 4
21 4
22 4
23 4
24 4
25 5 Reputational risk
26
27 5.1
28 5.2
29 5.3
30 5.3
31 5.3
32 5.3
33 5.3
34 5.3
35 5.3
36 5.3
37 5.4
38 6 Reputational risk
39
40 6.1
41 6.2
42 7 Reputational risk
43 7
44 7
45 7
46 7
ioned questions refer to the internally build climate risk stress test/scenario analysis framework by the bank
General