Qualitative Disclosures

(a)

The name of the Bank.

(b)

In the case of a Financial Group, a list of all the entities forming part of the Financial Group and a brief description of each of those entities. In addition, a description of differences in the basis of consolidation for regulatory purposes compared to that required under the International Financial Reporting Standards. The description must include a brief description of the entities:

(i)that are fully consolidated;

(ii)that are consolidated on a pro-rata basis;

(iii)that are equity-accounted;

(iv)that are included as deductions from any of the components of Capital Resources;

(v)from which surplus capital is recognised, if any; and

(vi)that are not consolidated and not deducted.

(c)

Any restrictions or impediments on transfer of funds or regulatory capital within the Financial Group.

Qualitative Disclosures

(a)

A description of the terms and conditions and main features of all capital instrumentsincluded within everycomponent of CapitalResources – CET 1 Capital, AT1 Capital and T2 Capital.

Quantitative Disclosures

(b)

(i)

Amounts of every element eligible for inclusion in CET1 Capital;

(ii)

Regulatory adjustments to CET1 Capital;

(iii)

Deductions from CET1 Capital; and

(iv)

Amount of total CET1 Capital.

(c)

(i)

Amounts of every element eligible for inclusion in AT1 Capital;

(ii)

Regulatory adjustments to AT1 Capital;

(iii)

Deductions from AT1 Capital; and

(iv)

Amount of total AT1 Capital.

(d)

(i)

Amounts of every element eligible for inclusion in T2 Capital;

(ii)

Regulatory adjustments to T2 Capital;

(iii)

Deductions from T2 Capital; and

(iv)

Amount of total T2 Capital.

(e )

Amount of eligible capital

Qualitative Disclosures

(a)

A description of the overall capital management system and approach to assessing the adequacy of its capital to support current and future activities.

This should include description of systems, controls and processes for capital

Quantitative Disclosures

(b)

(i)Amount of Credit RWA for each asset class giving rise to Credit risk exposures and for securitisation exposures; and

(ii)Amount of Credit RWAs for Early Amortisation Exposures, included in

(c)

Market Risk Capital Requirement for each component of Market Risk as listed in BBR Rule 6.5, calculated using:

(i)      Rules prescribed in chapter 6;

(ii)     Internal Models Approach; or

(d)

Operational Risk Capital Requirement calculated according to BBR Rule 7.6.

(e)

Capital Requirement at the solo and at the Financial Group level.

(f)

(i)    CET1 Capital ratio as a percentage of total RWAs;

(ii)       T1 Capital ratio as a percentage of total RWAs;

(iii)      Total Capital as a percentage of total RWAs; and

(g)

The ratios referred to in (f) must be disclosed for each significant entity in the case of a Financial Group.

Qualitative Disclosures

(a)

A description of the policies of the Bank in relation to :

(i)past due and impaired loans in accordance with the IFRS;

(ii)assessment of the level of individual and collective impairment provisions in accordance with the IFRS;

(iii)Credit Risk management; and

(iv)the nature of the Exposures within each asset class. For each asset class:

(i)the nameof each recognised external credit ratingagency which ratings are used by the Bank, and the reasons for any changes in the use of a recognised external credit rating agency;

(ii)the types of Exposure for which ratings of each recognised external credit rating agency are used;

(iii)a description of the process used to transfer public issue ratings onto comparable assets in the Banking Book; and

Quantitative Disclosures

(b)

Total gross credit Exposures, and average gross credit Exposures over the reporting period, broken down by major types of credit Exposure.

(c)

Geographic distribution of credit Exposures, broken down in significant areas by major types of credit Exposure.

(d)

Industry or Counterparty-type distribution of credit Exposures, broken down by major types of credit Exposure.

(e)

Residual contractual maturity broken down by major types of credit Exposure.

(f)

By major industry or Counterparty type:

(i)amount of classified loans;

(ii)amount of past due loans;

(iii)individual and collective impairment provisions; and

(g)

By significant geographic area:

(i)amount of classified loans;

(ii)amount of past due loans; and

(h)

Reconciliation of changes in the provisions, and separate disclosures for charge-offs and recoveries that are recorded directly to the income

(i)

An analysis by risk-weights (including deducted Exposures) for the total rated and unrated credit Exposures after taking into account the effects of

Qualitative Disclosures

(a)

A description of the following items in relation to OTC Derivative transactions and Counterparty Credit Risk:

(i)methodologies used to assign economic capital and credit limits for Counterparty credit exposures;

(ii)policies for securing Collateral and establishing creditreserves;

(iii)policies with respect to Exposures that give rise to general or specific wrong-way risk; and

Quantitative Disclosures

(b)

(i)Gross positive fair value of contracts, Netting benefits, netted currentcredit exposure, amount and type of Collateral held, and the net Derivatives credit exposure;

(ii)Exposure amounts calculated under the current exposure method; and

(iii)The notional value of CreditDerivative hedges, andthe distribution of

(c )

Credit Derivative transactions that create Exposures to Counterparty CreditRisk (notional value), segregated between use for the credit portfolio of the Bank and theintermediation activities of the firm,including the distribution of Credit Derivatives used, analysed further in terms of protection bought and sold within each type of Credit Derivative.

Qualitative Disclosures

(a)

A description of the following items with respect to securitisation (including Synthetic Securitisation):

(i)objectives of the Bank in relation to its securitisation, including the extent to which the securitisation transfers Credit Risk of the underlying securitised Exposures away from the Bank to other entities and including the types of risks assumed and retained with Re-securitisation activity;

(ii)the natureof other risks(e.g. Liquidity Risk)inherent in securitised assets

(iii)the various roles played by the Bank in the securitisation process and an indication of the extent of the involvement of the firm in each of them;

(iv)the processes in place to monitor changes in the Credit Risk and Market Risk of securitisation Exposures (e.g., how thebehaviour of the underlying assets impacts securitisation Exposures) including how those processes differ for Re-securitisation exposures.

(v)the Bank’s policy governing the use of Credit Risk mitigation to mitigate the risksretained through securitisation and Re- securitisation Exposures;

(vi)the regulatory capital approaches applied to the securitisation activities of the Bank, including the type of securitisation Exposures to which each approach applies; and

(vii)where a Bank provides Implicit Support to a securitisation, a statement that it has provided non- contractual support and a description of the capital impact of doing so.

(b)

A list of:

(i)the types of SPEs that the Bank, as a Sponsor, uses to securitise third party Exposures, indicating whether thefirm has Exposure to these SPEs, either on or off-balance sheet; and

(ii)entities that the firm manages or advises that invest either in the securitisation Exposures that the firm has securitised or in SPEs that the

(c)

A summary of the accounting policies of the Bank for securitisation, including:

(i)whether the securitisation is treated as sales or financings;

(ii)recognition of gain–on-sale;

(iii)methods and key assumptions (including inputs) for valuingpositions

(iv)changes in methods and key assumptions from the previous period and the impact of such changes;

(v)treatment of Synthetic Securitisation if this is not covered by other accounting policies (e.g. on Derivatives);

(vi)how Exposures intended to be securitised (e.g. in the pipeline or warehouse) are valued and whether they are recorded in the B a n k i n g Book or the Trading Book; and

(vii)policies for recognising liabilities on the balancesheet for arrangements

(d)

For Banking Book,the names of recognised external credit rating agencies used for securitisations and the types of securitisation Exposure for which each

(e)

An explanation of significant changes to any of the quantitative information (e.g.

amounts of assets intended to be securitised, movement of assets between Banking Book and Trading Book) since the last reporting period.

(f)

The total amount of outstanding Exposures securitised by the Bank and defined under the securitisation framework set out in chapter 5 of BBR, broken down in terms of traditional and Synthetic, and by Exposure type, separately for securitisations of third-party Exposures for which the firm acts only as Sponsor.

(g)

For Exposures securitised by the Bank and defined under the securitisation framework set out in chapter 5 of BBR:

(i)the amount of securitised assets that are classified or past due under the BBR Rules, broken down by exposure type; and

(ii)losses recognised by the firm during the current period broken down by

(h)

The total amount of outstanding exposures intended to be securitised broken down by Exposure type.

(i)

Summary of securitisation of the current period, including the total amount of Exposures securitised by exposure type,and the recognised gain or losson sale

by Exposure type.

(j)

Aggregate amount of:

(i)      on-balance sheet securitisation exposures retained or purchased broken down by Exposure type; and

(k)

Aggregate amount of securitisation exposures retained or purchased and the associated capital charges, broken down between securitisation and Re- securitisation Exposures and further broken down into a meaningful number of risk weight bands for each regulatory capital approach. Exposures included as deductions from T1 Capital, credit-enhancing interest only strips and other Exposures included as deductions from T1 Capital and deductions from T2 Capital must be disclosed separately by Exposure type.

Capital and deductions from T2 Capital must be disclosed separately by Exposure type.

(l)

For securitisation subject to the Early Amortisation treatment, the following items by Exposure type for securitised facilities:

(i)the aggregate drawn exposures attributed to the interests of the seller and the investor;

(ii)the aggregate capital charges incurred by the Bank against its retained (i.e. the seller’s) shares of the drawn balances and undrawn lines; and

(iii)the aggregate capital charges incurred by the firm against the shares of

(m)

Aggregate amount of Re-securitisation exposures retained or purchased broken down according to:

(i)Exposures to which CRM is applied and those not applied;and

(ii)Exposures to guarantors broken down according to guarantor credit

Quantitative disclosures: Trading Book

(n)

The total amount of outstanding exposures securitised by the Bank and defined under the securitisation framework set out in chapter 4, broken down in terms of traditional and Synthetic, and by Exposure type, separately for securitisations of

third-party Exposures for which the firm acts only as Sponsor.

(o)

The total amount of outstanding exposures intended to be securitised broken down by exposure type.

(p)

Summary of securitisation of the current period, including the total amount of

exposures securitised by exposure type,and the recognised gain or losson sale by exposure type.

(q)

Aggregate amount of exposures securitised by the Bank for which the firm has retained some exposures and which is subject to the Market Risk approach, broken down in terms of traditional and Synthetic, by Exposure type.

(r)

Aggregate amount of:

(i)      on-balance sheet securitisation exposures retained or purchased broken down by exposure type; and

(s)

Aggregate amount of securitisation exposures retained or purchased separately for:

(i)securitisation  exposures  retained  or   purchased subject            to                the comprehensive risk measure for specific Risk; and

(ii)securitisation exposures subject to the securitisation framework for specific Risk broken down into a meaningful number of risk weightbands

(t)

Aggregate amount of:

(i)the RWAs for the securitisation Exposures (Re- securitisation or securitisation), subject to the securitisation framework broken down into a meaningful number of risk weight bands; and

(ii)securitisation exposures that are included as deductions from CET1 Capital, creditenhancing interest-only stripsand other Exposures included as deductions fromAT1 Capital and deductions fromT2 Capital disclosed

separately by Exposure type.

(u)

For securitisation subject to the Early Amortisation treatment, the following items by Exposure type for securitised facilities:

(i)the aggregate drawn Exposures attributed to the interests of the seller and the investor;

(ii)the aggregate capital charges incurred by the Bank against its retained (i.e. the seller’s) shares of the drawn balances and undrawn lines; and

(iii)the aggregate capital charges incurred by the firm against the shares of

(v)

Aggregate amount of Re-securitisation Exposures retained or purchased broken down according to:

(i)Exposures to which CRM is applied and those not applied;and

(ii)Exposures to guarantors broken down according to guarantor

Qualitative Disclosures

(a)

A description of risk management objectives and policies covering all Market Risk exposures.

Quantitative Disclosures

(b)

The Capital Requirements for the following risks as set out in chapter 6 of the BBR:

Interest Rate Risk;

Equity Position Risk;

Foreign Exchange Risk;

Disclosures

(b)

A description of the standards on which the internal capital adequacy assessment

of the Bank is based, as well as the methodologies used to achieve a capital adequacy assessment that is consistent with those standards.

(c)

For each portfolio covered by the internal models approach:

(i)the characteristics of the models used;

(ii)a description of stress testing applied to the portfolio;and

(d)

The scope of approval by the AFSA.

(e)

A description of the methodologies used and the risks measured through the use of internal models for the incremental risk capital charge and the comprehensive risk capital charge. Included in the qualitative description should be:

(i)the approach used by the Bank to determine liquidity horizons;

(ii)the methodologies used to achieve a capital assessment that is consistent with the required soundness standard; and

Quantitative Disclosures

(f)

For trading portfolios under the internal models approach:

(i)the high, mean and low VaR values over the reporting period and period- end;

(ii)the high, mean and low stressed VaR values over the reporting period and period-end;

(iii)the high, mean and low incremental and comprehensive risk capital charges over the reporting period and period-end; and

Qualitative Disclosures

(a)

A description of the regulatory approach to the calculation of Operational Risk Capital Requirement.

Qualitative Disclosures

(a)

A description of the key assumptions made by the Bank including assumptions regarding loan prepayments and behaviour of non-maturity deposits, and frequency with which Interest Rate Risk in the Banking Book is measured, in addition to the general disclosures set out in Chapter 8 of BBR in respect of IRRBB.

Quantitative Disclosures

(b)

The changes in earnings or economic value(or relevant measureused by theBank) for upward and downward rateshocks according to the internal method of the Bank for measuring IRRBB, broken down by currency, where applicable.

Qualitative Disclosures

(a)

(b)

(c)

(d)

(e)

(f)

(g)

(h)

Governance and organisation of Liquidity Risk management.

Risk tolerance and strategy in relation to Liquidity Risk management. Scope and nature of Liquidity Risk reporting and measurement systems.

The techniques usedfor mitigating Liquidity Risk and the process of monitoring the effectiveness of the mitigants in place.

Overview of how stress testing is used. Outline of the Contingency Funding Plan.

A declaration approved by the governing body on the adequacy of Liquidity Risk management arrangements in place with regard to the firm’s profile and strategy.

A Liquidity Risk statement approved by the governing body describing the firm’s overall Liquidity Risk profile associated with the business strategy, including how the Liquidity Risk profile of the firm interacts with the risk tolerance set by the management body and:

(i)the maindrivers of the LCR resultsand the evolution of the contribution of inputs to the LCR’s calculation over time;

(ii)intra-period changes as well as changes over time;

(iii)the composition of HQLA;

(iv)concentration of funding sources;

(v)derivatives exposures and potential collateral calls;

(vi)currency mismatch in the LCR;

(vii)a description of the degree of centralisation of liquidity management and interaction between the group’s units; and

(viii)other inflowsand outflows in the LCR calculation that are not captured in the LCR common template but which the firm considers to be relevant for its liquidity profile.

Quantitative Disclosures

(i)

TOTAL UNWEIGHTED VALUE

TOTAL WEIGHTED VALUE

HIGH-QUALITY LIQUID ASSETS

1

Total high-quality liquid assets

(HQLA)

2

Retail deposits and deposits from small business customers, of which:

3

Stable deposits

4

Less stable deposits

5

Unsecured wholesale funding,

6

Operational deposits or accounts (all counterparties) and deposits in networks of cooperative banks

7

Non-operational deposits(all counterparties)

8

Unsecured debt

9

Secured wholesale funding

10

Additional requirements, of which:

11

Outflows related to derivative exposures and other collateral requirements

12

Outflows related to loss of funding on debt products

13

Credit and liquidity facilities

14

Other contractual funding obligations

15

Other contingent funding obligations

16

TOTAL CASH OUTFLOWS

CASH INFLOWS

17

Secured lending (e.g. reverse repos) or Shari’a compliant secured financing

18

Inflows from fully performing exposures

19

Other cash inflows

20

TOTAL CASH INFLOWS

TOTAL ADJUSTED VALUE

21

TOTAL HQLA

22

TOTAL NET CASH OUTFLOWS

23

LIQUIDITY COVERAGE RATIO (%)

Quantitative Disclosures

(a)

In currency amount

Unweighted value by residual maturity

value

No maturity

< 6

months

6

months to < 1yr

≥ 1yr

ASF Item

1

Capital

2

Regulatory Capital

3

Other capital

4

Retail deposits/PSIAs and deposits/PSIAs from small business customers:

5

Stable Deposits/PSIAs

6

Less stable deposits/PSIAs

7

Wholesale funding:

8

Operational deposits / operational accounts

9

Other wholesale funding

10

Liabilities with matching interdependent assets

11

Other liabilities:

12

NSFR derivative liabilities

compliant hedging

All other liabilities and

13

equity not included in

the above categories

14

Total ASF

RSF Item

Total NSFR high-quality

15

liquid assets (HQLA)

Deposits/PSIAs held at

16

other financial institutions

for operational purposes

Performing loans and

17

securities (including

Shari’a compliant

securities):

18

Performing loans to financial institutions

secured by Level 1

HQLA

Performing loans to

19

financial institutions

secured by non-Level

1 HQLA and

unsecured performing

loans to financial

institutions

Performing loans to

20

non- financial

corporate clients, loans

to retail and small

business customers,

and loans to

sovereigns, Central

Banks and PSEs, of

which:

21

With a risk weight of

less than or equal to

50% under section

4.12.

22

Performing residential

mortgages, of which:

23

With a risk weight of less than or equal to

24

Securities that are not in default and do not qualify as HQLA, including exchange- traded equities

25

Assets with matching interdependent liabilities

26

Other Assets

27

Physical traded commodities, including gold

28

Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs

29

NSFR derivative

30

NSFR derivative liabilities before deduction of variation margin posted

31

All other assets not included in the above categories

32

Off-balance sheet items

33

Total RSF

34

Net Stable Funding Ratio (%)

Qualitative Disclosures

(a)

The source of material differences between the bank’stotal balance sheetassets in their financial statements and on-balance sheet exposures.

Quantitative Disclosures

(b)

(c)

A comparison of the Bank’s total accounting asset amounts and Leverage Ratio exposures.

A breakdown of the main Leverage Ratio regulatory elements.

Qualitative Disclosures

(a)

A description of the following items with respect to Credit Risk mitigation:

(i)policies and procedures for, and an indication of the extent to which the Bank makes use of, on-balance sheet Netting;

(ii)policies and procedures for Collateral valuation and management;

(iii)the main types of Collateral taken by the Bank;

(iv)the main types of guarantor or Credit Derivative Counterparty and their creditworthiness; and

Quantitative Disclosures

(b)

For each separately disclosed asset class, the extent to which credit exposures are covered by eligible financial Collateral, after the application of haircuts.

(c)

For each separately disclosed asset class, the amount by which credit exposures have been reduced by eligible credit protection.