Banks. Caja Rural de Navarra, Sociedad Cooperativa de Crédito. Spain. Full Rating Report. Key Rating Drivers. Rating Sensitivities.

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1 Full Rating Report Spain Ratings Foreign Currency Long-Term IDR Short-Term IDR Viability Rating BBB+ F2 bbb+ Support Rating 5 Support Rating Floor NF Sovereign Risk Foreign-Currency Long-Term IDR BBB+ Local-Currency Long-Term IDR BBB+ Outlooks Foreign-Currency Long-Term IDR Stable Local-Currency Long-Term IDR Stable Financial Data Caja Rural de Navarra, Sociedad Cooperativa de Crédito 30 Jun Dec 14 Total assets (USDm) 11, ,718.5 Total assets (EURm) 10, ,652.5 Total equity (EURm) Pre-impairment operating profit (EURm) Operating profit (EURm) Pre-impairment operating ROAA (%) Operating ROAA (%) Operating ROAE (%) Fitch Core Capital/ weighted risks (%) Common equity Tier 1 ratio (%) Key Rating Drivers Prudent Risk Appetite: Caja Rural de Navarra, Sociedad Cooperativa de Credito s (CRN) IDRs are driven by its standalone creditworthiness, as reflected in its Viability Rating (VR). The VR is driven by CRN s prudent stance towards risk and conservative underwriting standards, as reflected in markedly better than sector average asset-quality indicators, together with its robust capitalisation and stable funding structure. The VR also factors in CRN s regional franchise in Navarra and modest underlying profitability. Improving Asset Quality: CRN s asset quality metrics are among the best in Spain and improving in line with the sector. CRN s credit risk profile benefits from Navarra s better than national average performance during the recent Spanish economic crisis. This, together with its prudent risk appetite, has supported a resilient retail mortgage book (48% of end-1h15 loans). The non-performing loan (NPL) ratio was 4% at end-1h15 (5.3% including foreclosed assets). Real estate exposure is small. A high coverage ratio (101%) provides a cushion against potential stress. Robust Capitalisation: Capitalisation improved further in 1H15, with the Fitch Core Capital (FCC) ratio at 16.6%, supported by high earnings retention, risk-weighted assets reduction and regular contributions from cooperative members. This, together with high loan loss reserve coverage, provides strong loss-absorption buffers as reflected by a low unreserved problem asset (NPLs + foreclosed assets) ratio of 10%. Leverage is strong at 9%. Stable Funding, Ample Liquidity: CRN s funding structure is supported by a stable retail deposit base (70% of total funding at end-1h15) that funds most of the loan book, as shown by a loan-to-deposit ratio of 104%. Wholesale funding is low and in the form of covered bonds, while European Central Bank (ECB) funds are declining and used mostly for carry-trade purposes. CRN s liquidity buffers are ample (17% of total assets) and mostly comprise Spanish sovereign bonds. Modest Profitability: CRN s underlying profitability is modest, and it will be challenged to offset pressure on its main revenue line, net interest income. Pressures arise from persistently low interest rates, sluggish net loan volumes expected for 2016, reduced carry-trade revenues and the removal of interest rate floors. Cost containment and, most notably, lower loan impairment charges should support operating profits. Related Research Caja Rural de Navarra Sociedad Cooperativo de Credito - Ratings Navigator (November 2015) Analysts Cristina Torrella cristina.torrella@fitchratings.com Arnau Autonell arnau.autonell@fitchratings.com Sovereign Support Unreliable: CRN s Support Rating of 5 and Support Rating Floor of No Floor reflect Fitch s view that sovereign support is no longer reliable. This is due to the reduced likelihood of sovereign support after the implementation of the Bank Recovery and Resolution Directive and Single Resolution Mechanism. Rating Sensitivities Limited Upside Potential: While limited, upside rating potential would be contingent on a sovereign upgrade of Spain accompanied by asset quality and core earnings improvements, while capitalisation and loss-absorption buffers remain strong. Potential drivers for a downgrade although this is not currently envisaged by Fitch would include a downgrade of Spain s sovereign rating and marked asset-quality deterioration, which could put significant pressure on earnings and capital. 3

2 Operating Environment Economic Recovery After Deep Recession Fitch affirmed Spain s sovereign rating at BBB+ /Stable on 23 October Spain s economy has begun to recover after a prolonged recession. GDP grew modestly at 1.4% in 2014 but we expect 3.1% growth for 2015 and 2.5% for Better economic prospects should ease pressure on banks loan quality and increase credit demand, with Fitch expecting loan growth to resume in 2016 but staying low. However, downside risks for banks remain in the form of stubbornly high unemployment and a sluggish recovery in the property market. CRN operates mainly in Navarra and its neighbouring Autonomous Communities of the Basque Country (BBB+/Positive) and La Rioja (BBB/Stable). These regions weathered the country s deep economic, real estate and financial crisis better than other Spanish regions. Lower unemployment rates, GDP per capita ratios above the national average, an export-oriented industrial sector and a smoother property price correction have indirectly supported CRN s better than sector average asset quality. Figure 1 CRN Geographical Presence Strong presence Mild presence Non-significant presence Source: CRN, Fitch Company Profile Strong Regional Cooperative CRN was Spain s third largest credit cooperative group at end-1h15. It offers retail banking services to households and SMEs, primarily in the northern region of Navarra, where it has leading market shares, around 21% for loans and 26% for deposits at end-1h15. Its franchise has particularly benefited in past years from a reduction in the number of competitors after the consolidation of the Spanish banking sector. CRN has also built a respectable presence in neighbouring regions, with market shares of around 5%. CRN is a member of the Grupo Caja Rural (GCR; the Spanish credit cooperative group). This is not a consolidated banking group but an association of rural credit cooperatives sharing common cooperative values and a limited-size solidarity fund. GCR also has affiliated subsidiaries through which it provides its members with central services, comprising IT support and advisory (Rural Servicios Informaticos), bancassurance (Seguros RGA), and treasury and liability management (Banco Cooperativo Español S.A.; BCE, BBB/Stable). As befits a credit cooperative, CRN is owned by its cooperative members and therefore has a well-diversified ownership base. Its equity is held by a broad base of individuals or legal entities that are customers of the bank. Under its statutes, 85% of CRN s yearly distributable surplus (extendable to 90% under certain circumstances) is credited to the mandatory reserve fund, while a minimum of 10% is devoted to a social fund to promote the cooperative movement. Management and Strategy Effective Management CRN s senior management team has good depth and comprises executives with ample experience in the cooperative sector and with deep knowledge of the regional economy. The team has a long track record in charge of CRN s strategy and participated actively in the establishment of GCR and its shared-service providers. Fitch believes CRN s corporate governance structure is effective and in line with the market s best practices. The board of directors is comprised of 14 non-executive members, some of which are members or clients of CRN. However, in Fitch s view, low board remuneration helps maintain its members independence. Related Criteria Global Bank Rating Criteria (March 2015) The management team has shown an ability to successfully execute the strategy set by the board in recent years despite a significantly challenging economic environment. CRN s strategy will remain consistent with its balanced business growth model supported by internal capital generation and retail deposits growth. After a three-year deleveraging process, strategic objectives will renew focus on lending growth and core profitability improvements. 2

3 Figure 2 Gross Loan Book Breakdown, 1H15 Corporates 4% Construction & RE 7% Others to individuals 8% SME 29% Source: Fitch Public sector 4% Residential mortgages 48% Risk Appetite Conservative Risk Appetite Credit risk arising from lending activity, which accounted for 62% of total assets at end-1h15, is the entity s main risk exposure. CRN is particularly exposed to retail mortgages, as shown in Figure 2, while real estate development exposure is small and below the sector average. CRN has adopted a consistently prudent stance to risk-taking and growth. It has tight credit risk policies and centralised monitoring systems, which remained unchanged throughout the economic cycle. The loan approval process follows a limit-based system with different layers of control bodies, which include capped loan-to-value (LTV) ratios. The entity also uses scoring and rating models that help assess the borrower s repayment capacity, and internal and external alarm systems to evaluate a client s inherent risk. CRN also analyses individual business plans for real estate development and corporate loans, and it also requires guarantees on the economic viability of the financed projects. CRN s appetite for market risk is limited. This risk mostly arises from the price risk on its securities portfolio (EUR2.8bn at end-1h15) which is primarily composed of Spanish sovereign issues held directly or indirectly through BCE, while its equity and trading portfolios account for less than 1% of total assets. Interest rate and liquidity risk are monitored by the asset and liabilities committee using gap analysis and other simulation techniques under different scenarios. A 200bp upward movement in interest rates would result in a 3.86% increase in the bank s net interest income in 1H15. Financial Profile Asset Quality Improving Asset Quality from Sound Levels CRN s asset-quality metrics are among the best in Spain and have continued to improve during NPLs declined to 4% of total loans at end-1h15 (5.3% including foreclosed assets (FA)) from 4.4% (5.7% including FA) at end-2014, helped by a slowdown in new NPL entries, better recoveries and some foreclosing activity. We expect further asset quality improvements in 2016 due to Spain s economic recovery. CRN also increased its already sound loan impairment reserve coverage to 101% at end-1h15 (95% at end-2014). In Fitch s view, CRN s conservative underwriting is also reflected in below sector average NPLs by lending type. The performance of CRN s residential mortgage loan book (NPL ratio of 1.2% at end-1h15) is key to its consistently better than sector average asset quality. These loans have an average loan to value (LTV) of 66%, which indicates conservative collateral valuation upon origination. The SME lending book is also performing relatively well (NPL ratio 5.7% at end-1h15) thanks to Navarra s export-oriented industry. The non-real estate development loan exposure is well diversified by economic sector. CRN s prudent credit policies are also reflected in better than sector average performance of real estate development loans, which had an NPL ratio of 21.1% at end-1h15, although Fitch still views this as high. Single-Name Loan Risk Concentration Risk concentration in single names is moderate thanks to CRN s loan breakdown. The 20 largest non-financial risk exposures (including committed credit lines) accounted for 7% of total risks and a moderate 61% of FCC at end-1h15, and mostly related to the construction and real-estate sector. Earnings and Profitability Stable, but Modest, Underlying Profitability At 0.88% of average total assets, CRN s operating profitability improved in 1H15 compared to 2014 due to a widening net interest margin (NIM) and lower loan impairment charges, but this remains modest. In 1H15, NIM benefited from a downward re-pricing of deposits despite modest net loan growth and lower carry-trade revenues. The presence of interest rate floors on 3

4 part of the loan book supported NIM in the past, although these have largely been eliminated and/or renegotiated, so they will no longer affect earnings. The pending court decision to remove interest rate floor clauses on mortgages presents additional NIM pressure. Figure 3 CRN's Capital Metrics Evolution FCC ratio (%) Unreserved problem assets/fcc H Source: Fitch We expect pressure on CRN s NIM to increase in 2016 as further scope to reprice deposits downwards fades away, net loan volumes remain low and revenues from carry trade and prevailing interest rate floors decline. However, fee-based income will continue to grow due to CRN s cross-selling of insurance and fund management products and costs remaining under control. Cost efficiency remains a key feature for CRN, although expenses slightly increased in 1H15 to 55% (50% excluding contributions to the Spanish Deposit Guarantee Fund). However, we expect earnings to be largely supported by further drops in loan impairment charges. Capitalisation and Leverage Ample Loss-Absorption Buffers CRN s capitalisation and loss-absorption buffers are robust for its risk profile. At end-1h15, the FCC ratio was 16.6%. This ratio has improved by 280bp since end-2013, largely thanks to a high retention rate, the reduction of risk-weighted assets derived from loan deleveraging and regular (albeit small) contributions from cooperative members. However, at end-1h15, riskweighted asset density remained fairly high for a retail bank, at 52% of total assets, in part because CRN applies the standardised approach for measuring credit risk, indicating further scope for improvement. At this date the leverage ratio was strong at 8.8%. Capital at risk from unserved problem assets is low at 10% of FCC. Funding and Liquidity Stable Funding Profile For funding, CRN primarily relies on a stable and granular retail deposit base (70% of total funding at end-1h15), which results in an adequate and stable funding structure for the bank s risk profile. Deposits have been growing in recent years and also in 1H15 by almost 5%, helped by the group s strong regional presence and expansion in neighbouring areas. As a result, its loan-to-deposit ratio improved to 104% at end-1h15 (98% if adjusted for impairment reserves, securitisations and mediation loans). Figure 4 CRN s Funding Structure 1H15 (EURm) (%) Customer deposits 6, Total short-term funding O/w bank borrowings O/w repos O/w commercial paper O/w short-term ECB funding Total long-term 1, funding O/w ECB s TLTRO O/w covered bonds 1, O/w funds for mediation loans Total funding 9, Source: CRN, Fitch Wholesale funding reliance is moderate at EUR1.3bn (14% of total funding at end-1h15) and mostly in the form of covered bonds, as highlighted by a EUR500m issuance completed in March CRN had an additional EUR977m of ECB funding (TLTROs and weekly auctions) held through its subsidiary Banco Cooperativo. These are purely held for carry-trade purposes and partly replace EUR975m of LTRO funding that matured in January Debt maturities are manageable and refer largely to secured debt issues, which free up collateral upon maturity. Fitch views liquidity buffers as ample. CRN held an unencumbered ECB-eligible asset pool of EUR1.8bn (17% of total assets at end-1h15), mostly comprised of Spanish government securities. This is complemented by the entity s capacity to issue further EUR400m of covered bonds which could ultimately be retained and discounted at the ECB. Support Sovereign Support No Longer Reliable CRN s Support Rating of 5 and Support Rating Floor of No Floor reflects Fitch s belief that, in light of the EU s regulatory initiatives, including the Bank Recovery and Resolution Directive and Single Resolution Mechanism, the propensity of the sovereign to provide timely support to the bank has reduced and, although still possible, cannot be relied on. 4

5 Figure 5 Peer Analysis Caja Rural de Navarra Caja Laboral Popular Caja Rural de Castilla La Mancha Caja Rural del Sur Dec 14 Dec 13 Dec 14 Dec 13 Dec 14 Dec 13 Dec 14 Dec 13 a Current Long-Term IDR BBB+/Stable BBB+/Stable BBB/Stable BBB/Positive Current Viability Rating bbb+ bbb+ bbb bbb Size (EURm) Total assets 9,653 9,657 24,725 24,613 6,669 5,475 6,466 7,761 Risk weighted assets 5,089 5,571 10,101 10,425 2,531 2,309 3,307 4,029 Total equity ,617 1, Fitch core capital (FCC) ,446 1, Asset quality data (%) Growth of gross loans Impaired loans/gross loans Reserves for impaired loans/impaired loans Impaired loans less reserves for impaired loans/fcc Loan impairment charges/average gross loans Impaired loans + FAs/gross loans + FAs Profitability ratios (%) Net interest income/average earning assets Non-interest expenses/gross revenues Loans and securities impairment charges/pre-impairment operating profit Operating profit/average total assets Operating profit/average equity Net income/average total equity Capitalisation (%) FCC/risk-weighted assets Fitch eligible capital/risk-weighted assets n.a. n.a. Tangible common equity/ tangible assets Core Tier 1 regulatory capital ratio n.a. Equity/total assets Internal capital generation Funding (%) Loans/customer deposits Interbank assets/interbank liabilities , Customer deposits/total funding (excluding derivatives) a 2013 Consolidated data from Grupo Cooperativo Iberico, the banking group of which Caja Rural del Sur was part before its dissolution in mid-2014 Source: Fitch 5

6 Caja Rural de Navarra, Sociedad Cooperativa de Credito Income Statement 30 Jun Dec Dec Dec Months - Interim6 Months - Interim As % of Year End As % of Year End As % of Year End As % of USDm EURm EURm Earning EURm Earning EURm Earning Unknown Unknown Earning Assets Unqualified Assets Unqualified Audited/Report Assets not seen Assets 1. Interest Income on Loans Other Interest Income Dividend Income Gross Interest and Dividend Income Interest Expense on Customer Deposits Other Interest Expense Total Interest Expense Net Interest Income Net Gains (Losses) on Trading and Derivatives Net Gains (Losses) on Other Securities Net Gains (Losses) on Assets at FV through Income Statement n.a Net Insurance Income n.a Net Fees and Commissions Other Operating Income Total Non-Interest Operating Income Personnel Expenses Other Operating Expenses Total Non-Interest Expenses Equity-accounted Profit/ Loss - Operating Pre-Impairment Operating Profit Loan Impairment Charge Securities and Other Credit Impairment Charges Operating Profit (57.9) (0.63) 24. Equity-accounted Profit/ Loss - Non-operating n.a Non-recurring Income Non-recurring Expense Change in Fair Value of Own Debt n.a Other Non-operating Income and Expenses (4.0) (3.6) (0.07) (6.7) (0.07) (16.3) (0.18) (14.2) (0.15) 29. Pre-tax Profit (65.7) (0.71) 30. Tax expense (0.8) (0.01) (29.2) (0.32) 31. Profit/Loss from Discontinued Operations n.a Net Income (36.5) (0.40) 33. Change in Value of AFS Investments Revaluation of Fixed Assets n.a Currency Translation Differences n.a Remaining OCI Gains/(losses) n.a Fitch Comprehensive Income (36.5) (0.40) 38. Memo: Profit Allocation to Non-controlling Interests n.a Memo: Net Income after Allocation to Non-controlling Interests (36.5) (0.40) 40. Memo: Common Dividends Relating to the Period n.a Memo: Preferred Dividends Related to the Period n.a Exchange rate USD1 = EUR USD1 = EUR USD1 = EUR USD1 = EUR

7 Caja Rural de Navarra, Sociedad Cooperativa de Credito Balance Sheet 30 Jun Dec Dec Dec Months - Interim 6 Months - Interim As % of Year End As % of Year End As % of Year End As % of USDm EURm Assets EURm Assets EURm Assets EURm Assets Assets A. Loans 1. Residential Mortgage Loans n.a Other Mortgage Loans n.a Other Consumer/ Retail Loans n.a Corporate & Commercial Loans n.a Other Loans 6, , , , , Less: Reserves for Impaired Loans Net Loans 7, , , , , Gross Loans 7, , , , , Memo: Impaired Loans included above Memo: Loans at Fair Value included above n.a B. Other Earning Assets 1. Loans and Advances to Banks 1, Reverse Repos and Cash Collateral n.a Trading Securities and at FV through Income Derivatives Available for Sale Securities 2, , , , , Held to Maturity Securities Equity Investments in Associates Other Securities Total Securities 2, , , , , Memo: Government Securities included Above 2, , , , Memo: Total Securities Pledged Investments in Property Insurance Assets n.a Other Earning Assets n.a Total Earning Assets 10, , , , , C. Non-Earning Assets 1. Cash and Due From Banks Memo: Mandatory Reserves included above n.a Foreclosed Real Estate Fixed Assets Goodwill Other Intangibles Current Tax Assets Deferred Tax Assets Discontinued Operations n.a Other Assets Total Assets 11, , , , , Liabilities and Equity D. Interest-Bearing Liabilities 1. Customer Deposits - Current 3, , , , , Customer Deposits - Savings n.a Customer Deposits - Term 4, , , , , Total Customer Deposits 7, , , , , Deposits from Banks 1, , , , Repos and Cash Collateral Commercial Paper and Short-term Borrowings Total Money Market and Short-term Funding 8, , , , , Senior Unsecured Debt (original maturity > 1 year) Subordinated Borrowing n.a Covered Bonds 1, , n.a Other Long-term Funding , Total LT Funding (original maturity > 1 year) 1, , , Derivatives Trading Liabilities n.a Total Funding 10, , , , , E. Non-Interest Bearing Liabilities 1. Fair Value Portion of Debt n.a Credit impairment reserves Reserves for Pensions and Other n.a Current Tax Liabilities Deferred Tax Liabilities Other Deferred Liabilities n.a Discontinued Operations n.a Insurance Liabilities n.a Other Liabilities Total Liabilities 10, , , , , F. Hybrid Capital 1. Pref. Shares and Hybrid Capital accounted for as Debt Pref. Shares and Hybrid Capital accounted for as Equity G. Equity 1. Common Equity Non-controlling Interest Securities Revaluation Reserves Foreign Exchange Revaluation Reserves n.a Fixed Asset Revaluations and Other Accumulated OCI n.a Total Equity 1, Total Liabilities and Equity 11, , , , , Memo: Fitch Core Capital Memo: Fitch Eligible Capital USD1 = EUR USD1 = EUR USD1 = EUR USD1 = EUR Exchange rate 7

8 Caja Rural de Navarra, Sociedad Cooperativa de Credito Summary Analytics 30 Jun Dec Dec Dec Months - Interim Year End Year End Year End A. Interest Ratios 1. Interest Income on Loans/ Average Gross Loans n.a. 2. Interest Expense on Customer Deposits/ Average Customer Deposits n.a. 3. Interest Income/ Average Earning Assets Interest Expense/ Average Interest-bearing Liabilities Net Interest Income/ Average Earning Assets Net Int. Inc Less Loan Impairment Charges/ Av. Earning Assets (0.35) 7. Net Interest Inc Less Preferred Stock Dividend/ Average Earning Assets B. Other Operating Profitability Ratios 1. Non-Interest Income/ Gross Revenues Non-Interest Expense/ Gross Revenues Non-Interest Expense/ Average Assets Pre-impairment Op. Profit/ Average Equity Pre-impairment Op. Profit/ Average Total Assets Loans and securities impairment charges/ Pre-impairment Op. Profit Operating Profit/ Average Equity (7.84) 8. Operating Profit/ Average Total Assets (0.66) 9. Operating Profit / Risk Weighted Assets (0.97) C. Other Profitability Ratios 1. Net Income/ Average Total Equity (4.94) 2. Net Income/ Average Total Assets (0.42) 3. Fitch Comprehensive Income/ Average Total Equity (4.94) 4. Fitch Comprehensive Income/ Average Total Assets (0.42) 5. Taxes/ Pre-tax Profit (2.16) Net Income/ Risk Weighted Assets (0.61) D. Capitalization 1. Fitch Core Capital/ Risk Weighted Assets Fitch Eligible Capital/ Risk Weighted Assets Tangible Common Equity/ Tangible Assets Tier 1 Regulatory Capital Ratio Total Regulatory Capital Ratio Core Tier 1 Regulatory Capital Ratio Equity/ Total Assets Cash Dividends Paid & Declared/ Net Income 3.29 n.a. n.a. n.a. 9. Internal Capital Generation (5.04) E. Loan Quality 1. Growth of Total Assets 5.54 (0.05) Growth of Gross Loans 2.63 (0.32) (3.06) Impaired Loans/ Gross Loans Reserves for Impaired Loans/ Gross Loans Reserves for Impaired Loans/ Impaired Loans Impaired loans less Reserves for Impaired Loans/ Fitch Core Capital (0.43) (3.08) 7. Impaired Loans less Reserves for Impaired Loans/ Equity (0.42) (2.94) 8. Loan Impairment Charges/ Average Gross Loans Net Charge-offs/ Average Gross Loans n.a. n.a. n.a. n.a. 10. Impaired Loans + Foreclosed Assets/ Gross Loans + Foreclosed Assets F. Funding and Liquidity 1. Loans/ Customer Deposits Interbank Assets/ Interbank Liabilities Customer Deposits/ Total Funding (excluding derivatives) Liquidity Coverage Ratio n.a. n.a. n.a. n.a. 5. Net Stable Funding Ratio n.a. n.a. n.a. n.a. 8

9 Caja Rural de Navarra, Sociedad Cooperativa de Credito Reference Data 30 Jun Dec Dec Dec Months - Interim 6 Months - Interim As % of Year End As % of Year End As % of Year End As % of USDm EURm Assets EURm Assets EURm Assets EURm Assets A. Off-Balance Sheet Items 1. Managed Securitized Assets Reported Off-Balance Sheet n.a Other off-balance sheet exposure to securitizations n.a Guarantees , Acceptances and documentary credits reported off-balance sheet Committed Credit Lines Other Contingent Liabilities , Total Assets under Management n.a. - 11, , B. Average Balance Sheet Average Loans 7, , , , , Average Earning Assets 10, , , , , Average Assets 11, , , , , Average Managed Securitized Assets (OBS) n.a Average Interest-Bearing Liabilities 9, , , , , Average Common equity Average Equity Average Customer Deposits 6, , , , , C. Maturities Asset Maturities: Loans & Advances < 3 months n.a Loans & Advances 3-12 Months n.a Loans and Advances 1-5 Years n.a Loans & Advances > 5 years n.a Debt Securities < 3 Months n.a Debt Securities 3-12 Months n.a Debt Securities 1-5 Years n.a Debt Securities > 5 Years n.a Loans & Advances to Banks < 3 Months n.a Loans & Advances to Banks 3-12 Months n.a Loans & Advances to Banks 1-5 Years n.a Loans & Advances to Banks > 5 Years n.a Liability Maturities: Retail Deposits < 3 months n.a Retail Deposits 3-12 Months n.a Retail Deposits 1-5 Years n.a Retail Deposits > 5 Years n.a Other Deposits < 3 Months n.a Other Deposits 3-12 Months n.a Other Deposits 1-5 Years n.a Other Deposits > 5 Years n.a Deposits from Banks < 3 Months n.a Deposits from Banks 3-12 Months n.a Deposits from Banks 1-5 Years n.a Deposits from Banks > 5 Years n.a Senior Debt Maturing < 3 months n.a Senior Debt Maturing 3-12 Months n.a Senior Debt Maturing 1-5 Years n.a Senior Debt Maturing > 5 Years n.a Total Senior Debt on Balance Sheet n.a. n.a. - n.a. - n.a. - n.a. - Fair Value Portion of Senior Debt n.a Subordinated Debt Maturing < 3 months n.a Subordinated Debt Maturing 3-12 Months n.a Subordinated Debt Maturing 1-5 Year n.a Subordinated Debt Maturing > 5 Years n.a Total Subordinated Debt on Balance Sheet n.a. n.a. - n.a. - n.a. - n.a. - Fair Value Portion of Subordinated Debt n.a D. Risk Weighted Assets 1. Risk Weighted Assets 5, , , , , Fitch Adjustments to Risk Weighted Assets Fitch Adjusted Risk Weighted Assets 5, , , , , E. Equity Reconciliation 1. Equity 1, Add: Pref. Shares and Hybrid Capital accounted for as Equity n.a. n.a. - n.a Add: Other Adjustments n.a Published Equity 1, F. Fitch Eligible Capital Reconciliation 1. Total Equity as reported (including non-controlling interests) 1, Fair value effect incl in own debt/borrowings at fv on the B/S- CC only Non-loss-absorbing non-controlling interests Goodwill Other intangibles Deferred tax assets deduction Net asset value of insurance subsidiaries First loss tranches of off-balance sheet securitizations Fitch Core Capital Eligible weighted Hybrid capital Government held Hybrid Capital Fitch Eligible Capital Exchange Rate USD1 = EUR USD1 = EUR USD1 = EUR USD1 = EUR

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