Crédito Agrícola CONSOLIDATED ANNUAL REPORT Notes 1

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1 Notes 1

2 Notes 2

3 08 Notes Notes 3

4 I. NOTES 8.1. NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS OF THE GROUP 1. INTRODUCTION The constitution, in 1991, of the Sistema Integrado do Mútuo (SICAM), composed of the Caixa Central and its Associated Caixas, established an arrangement of co-responsibility between them. The Caixas have freedom of association to the Caixa Central and may pursue their business outside SICAM, although under stricter rules, similar to those applied for all other credit institutions. The consolidated accounts presented herein reflect the overall situation of the net worth of the Sistema Integrado do Mútuo (SICAM), composed of the Caixa Central and Associated Caixas de Mútuo which, with their affiliates and associates, form the Financial Group Mútuo (or Grupo GCA ). These financial statements were prepared in conformity with the legal and regulatory provisions in force established in article 74 of the Legal System for Mutual Agricultural Credit, Decree-Law 36/92 and the instructions stipulated in article 7 of this diploma. Grupo is a nationwide financial group, with a large number of local banks (Caixas Agrícolas) and specialist companies, with the central structure being the Caixa Central de Mútuo. This is a banking institution that also has powers to supervise, guide and monitor the activities of the Associated Caixas and Fenacam, a cooperative representative institution that provides specialist services to GCA. The financial statements attached herewith refer to the consolidated activity of Grupo, and were prepared in order to comply with the requirements on the presentation of accounts of Banco de Portugal. The Executive Board of Directors of Caixa Central approved the consolidated financial statements as at 31 December 2015 on 28 April These financial statements shall be submitted for approval to the General Meeting of Associates to be held on 28 May The General Meeting may refuse the proposal of the members of the Board of Directors relative to the approval of the presented accounts and deliberate the preparation of new accounts or reformulation of specific points. Notes 4

5 As GCA decided that the insurance activity should be concentrated in a holding with stakes held exclusively in the area of insurance and pensions, a Grupo insurance holding was incorporated during 2015, Seguros e Pensões S.G.P.S., to which the majority stakes held by SGPS in CA Vida and CA Seguros were transferred. This entity is now included in the perimeter of Grupo, and shall be consolidated by the full method. In 2015 there were no alterations in the scope of SICAM derived from mergers between associated Caixas Agrícolas. A merger occurred between the CCAM of Ribatejo Norte and the CCAM of Tramagal in 2014, which produced CCAM de Ribatejo Norte e Tramagal, C.R.L. The consolidated accounts integrate the accounts of 82 associated Caixas de Mútuo as at 31 December BASIS FOR PRESENTATION, CONSOLIDATION PRINCIPLES AND MAIN ACCOUNTING PRINCIPLES 2.1. Basis of presentation of the accounts The consolidated financial statements of GCA were prepared on a going-concern principle, based on the books and accounting ledgers kept in accordance with the principles established in the International Financial Reporting Standards (IAS/IFRS), as endorsed by the European Union, pursuant to Regulation (EC) 1606/2002 of the European Parliament and the Council of 19 July, transposed into Portuguese law by Decree Law 35/2005 of 17 February and by Banco de Portugal Notice 1/2005 of 21 February, and in accordance with the specific rules on consolidation of accounts established in article 74 of the Legal System for Mutual Agricultural Credit, Decree-Law 36/92 of 28 March, and Banco de Portugal Instruction 71/96. When GCA companies use different accounting standards, IAS/IFRS conversion adjustments are prepared. The adoption of the new standards, interpretations, amendments or revisions referred to above had no impact on the consolidated financial statements of Grupo for the year ended on 31 December The amounts indicated herein are presented in euros (unless explicitly indicated otherwise), rounded off to the closest euro. Except with respect to matters regulated by Banco de Portugal, as mentioned above in Note 2.1, in 2011 the Company use the Standards and Interpretations issued by the International Accounting Standards Board (IASB) and by the International Financial Reporting Interpretations Committee (IFRIC) which are relevant for Notes 5

6 their operations and have been approved by the European Union, effective for periods started from 1 January 2015 onwards. In the preparation of the consolidated financial statements, GCA followed the historical cost convention, modified, when applicable, by measurement at fair value, which was the case of financial assets available for sale, derivative financial instruments and investment properties. The preparation of financial statements in conformity with the IFRS requires the use of estimates, assumptions and critical judgments in the process of determining the accounting policies to be adopted by GCA, with significant impact on the book value of the assets and liabilities, as well as the income and costs of the reporting period. Although these estimates are based on the best experience of the Board of Directors and its best expectations in relation to current and future events and actions, the real current and future results could differ from these estimates. Areas involving a higher degree of judgment or complexity, or where assumptions and estimates are significant for the consolidated financial statements, are set forth in Note Alterations to the accounting policies and comparative information During 2015, the real estate properties identified as generating financial flow were transferred to the heading "investment properties, primarily derived from rents earned, where these properties had previously been recorded under "non-current assets held for sale. For purposes of comparability, the value of the identified real estate properties with the same characteristics and existing in the balance sheet as at the comparative date of 31 December 2014 was assessed and restated Provisions, Net Restatement Gross Impairment & Net assets alterations ASSETS Notes assets amortisation assets (Restated) Cash and deposits at central banks 6 423,407, ,407, ,407,710 Cash balances at other credit institutions 7 78,252,455-78,252,455-78,252,455 Financial assets held for trading 8 31,796,258-31,796,258-31,796,258 Other financial assets at fair value through profit or loss 9 77,298,709-77,298,709-77,298,709 Financial assets available for sale 10 5,758,538,372 (10,785,262) 5,747,753,110-5,747,753,110 Investments in financial institutions 11 3,194,001-3,194,001-3,194,001 Credit to customers 13 8,099,442,498 (838,001,231) 7,261,441,267-7,261,441,267 Non-current assets held for sale ,990, ,990,098 Investment properties ,835,032 94,835,032 Other tangible assets ,916,891 (277,883,461) 269,033, ,033,430 Intangible assets ,126,332 (173,930,518) 61,195,814-61,195,814 Investments in affiliates, associates and joint ventures 18 5,163,983-5,163,983-5,163,983 Current tax assets 19 3,191,644-3,191,644-3,191,644 Deferred tax assets ,356, ,356, ,356,848 Other assets 21 1,049,277,623 (110,522,125) 938,755,498 (762,825,130) 175,930,368 Total Assets 16,461,963,324 (1,411,122,597) 15,050,840,727-15,050,840,727 Notes 6

7 With the exception of the alteration referred to above, the accounting policies used in the preparation of the financial statements for the year are consistent with those used in the previous year, except for the new standards and interpretations issued by the IASB and IFRIC, respectively. Additionally, the "non-current assets held for sale" are henceforth identified in a specific balance sheet heading, while previously they had been presented as a sub-heading of other assets. The amendments to the IFRS standards listed below did not have any impact on the accounting policies or financial statements prepared with reference to 31 December The following amendments were made to the IFRS during 2015: 1. Impact of adoption of standards and interpretations which became effective on 1 January 2012: Standards Improvements to the standards This cycle of improvements affects the following standards: IFRS 1, IFRS 3, IFRS 13 and IAS 40: - IFRS 1 First-time adoption of IFRS. The improvement to IFRS 1 clarifies that a first time adopter can either use a previous version or the new version of a standard that, although not being of compulsory application, is available for early adoption. - IFRS 3, Business combinations. The improvement to IFRS 3 clarifies that the standard is not applicable to the accounting of the constitution of any joint arrangement pursuant to IFRS 11, in the financial statements of the joint arrangement. - IFRS 13, Fair value: measurement and disclosure. The improvement clarifies that the exception of the measurement at fair value of a portfolio on a net basis, is applicable to all types of contracts (including nonfinancial contracts) under IAS IAS 40, Investment properties (applicable in the European Union for financial years starting on or after 1 January 2015). This improvement clarifies that IAS 40 and IFRS 3 are not mutually exclusive. IFRS 3 should always be used whenever an investment property is acquired, to determine if the acquisition corresponds, or not, to a business combination. Notes 7

8 Interpretations - IFRIC 21 (new), Levies. IFRIC 21 is an interpretation of IAS 37 and the recognition of liabilities, clarifying that a past event which gives rise to the obligation of payment of a levy or tax (other than corporate income tax - IRC) corresponds to the activity described in the pertinent legislation obliging the payment. 2. Existing standards and amendments to standards that have been published but are only of mandatory application for annual periods starting on or after 1 February 2015, and which Grupo has decided against early adoption: Standards Improvements to the standards (generally applicable in financial years starting on or after 1 February 2015). This cycle of improvements affects the following standards: IFRS 2, IFRS 3, IFRS 8, IFRS 13, IAS 16, IAS 38 and IAS 24: - IFRS 2, Share-based payments (applicable in financial years starting or after 1 February 2015). The improvement to IFRS 2 alters the definition of vesting conditions (acquisition conditions), establishing only two types of vesting conditions: service conditions and performance conditions. The new definition of performance conditions establishes that only conditions related to the entity are considered. - IFRS 3, Business combinations (applicable in financial years starting on or after 1 February 2015). This improvement clarifies that an obligation to pay a contingent purchase value is classified in accordance with IAS 32, as a liability or an equity instrument, when meeting the definition of a financial instrument. Contingent payments classified as liabilities are measured at fair value through profit or loss for the year. - IFRS 8, Operating segments (applicable in financial years starting on or after 1 February 2015). This improvement amends IFRS 8, henceforth requiring the disclosure of judgements made by the Management for the aggregation of operating segments, as well as reconciliation between the assets by segment and the total assets of the Entity to which this information refers. - IFRS 13, Fair value: measurement and disclosure (applicable in financial years starting on or after 1 February 2015). The improvement to IFRS 3 clarifies that the standard does not remove the possibility of measurement of accounts receivable and payable based on the invoiced values, when the discount effect is not materially relevant. Notes 8

9 - IAS 16, Tangible fixed assets and IAS 38 Intangible assets (applicable in financial years starting on or after 1 February 2015). The improvement to IAS 16 and IAS 38 clarifies the treatment to give gross the book values and accumulated depreciation/amortisation, when an Entity adopts the revaluation model in the subsequent measurement of tangible fixed assets and/or intangible assets, foreseeing two methods. This clarification is significant when the useful lives and/or depreciation/amortisation methods are reviewed during the revaluation period. - IAS 24, Disclosures of related parties (applicable in financial years starting on or after 1 February 2015). This improvement to IAS 24 alters the definition of related party, henceforth including Entities which provide management services to the reporting Entity, or to the parent entity of the reporting Entity. b) IAS 19 (amendment), Defined benefit plans Employee contributions (applicable in financial years starting on or after 1 February 2015). The amendment of IAS 19 is applicable to contributions of employees or third party entities for defined benefit plans, and intends to simplify their accounting, when the contributions are not associated to the number of years of service. c) IAS 1 (amendment), Review of disclosures (applicable in financial years starting on or after 1 January 2016). The amendment gives indications relative to materiality and aggregation, the presentation of subtotals, the structure of the financial statements, the disclosure of accounting policies, and the presentation of items of Other comprehensive income generated by investments measured by the equity method. d) IAS 16 and IAS 38 (amendment), Permitted calculation methods of amortisation and depreciation (applicable in financial years starting on or after 1 January 2016). This amendment clarifies that the use of calculation methods of depreciation/amortisation of assets based on the revenue received are not, as a rule, considered appropriate to measure the standard consumption of the economic benefits associated to the asset. This is of prospective application. e) IAS 16 and IAS 41 (amendment), Agriculture: plants which produce consumable biological assets (applicable in financial years starting on or after 1 January 2016). This amendment defines the concept of a plant which produces consumable biological assets, and removes this type of asset from the scope of application of IAS 41 Agriculture to the scope of IAS 16 Tangible assets, with the consequent impact on measurement. However, the biological assets produced by these plants remain under the scope of IAS 41 - Agriculture. Notes 9

10 f) IAS 27 (amendment), Equity method in separate financial statements (applicable in financial years starting on or after 1 January 2016). This amendment enables an entity to apply the equity method in the measurement of investments in subsidiaries, joint ventures and associates, in the separate financial statements. This amendment is applied retrospectively. g) Amendments IFRS 10, 12 and IAS 28 Investment entities: application of the exemption to the obligation to consolidate (applicable in financial years starting on or after 1 January 2016). This amendment is still subject to endorsement by the European Union. This amendment clarifies that the exemption from the obligation to consolidate an Investment Entity is applicable to an intermediary holding company which constitutes a subsidiary of an investment entity. Furthermore, the option of applying the equity method, pursuant to IAS 28, is extendible to an entity which is not an investment entity, but that holds an interest in an associate or joint venture which is an Investment Entity. h) IFRS 11 (amendment), Accounting for acquisition of interests in joint operations (applicable in financial years starting on or after 1 January 2016). This amendment introduces guidelines about the accounting for acquisition of interests in a joint operation classified as a business, with application of the principles of IFRS 3 Business combinations. i) Improvements to the standards (generally applicable in financial years starting on or after 1 January 2016). This cycle of improvements affects the following standards: IFRS 5, IFRS 7, IAS 19 and IAS 34: - IFRS 5, Non-current assets held for sale and discontinued operations (applicable in financial years starting on or after 1 January 2016). The improvement clarifies that when an asset (or group for divestment) is reclassified from "held for sale" to "held for distribution", or vice versa, this does not constitute an alteration to the plan to sell or distribute. - IFRS 7, Financial instruments: disclosures (applicable in financial years starting on or after 1 January 2016). This improvement includes additional information on the significance of the continued involvement in the transfer (derecognition) of financial assets, for purposes of compliance with the duties of disclosure. - IAS 19, Employee benefits (applicable in the financial years starting on or after 1 January 2016). This improvement clarifies that, in the determination of the discount rate of liabilities related to postemployment defined benefit plans, this must correspond to high quality liabilities of the same currency in which the responsibilities are calculated. Notes 10

11 - IAS 34, Interim reporting (applicable in the financial years starting on or after 1 January 2016). This improvement clarifies the meaning of "information disclosed in other areas of the interim financial statements", and requires the inclusion of cross-referencing for this information. j) IFRS 9 (new), Financial instruments (applicable in financial years starting on or after 1 January 2018). This standard is still subject to endorsement by the European Union. IFRS 9 replaces the requirements of IAS 39, regarding: (i) the classification and measurement of financial assets and liabilities; (ii) the recognition of impairment of credit receivable (through the expected loss model); and (iii) the requirements for recognition and classification of hedge accounting, k) IFRS 15 (new), Revenue of contracts with customers (applicable in financial years starting on or after 1 January 2018). This standard is still subject to endorsement by the European Union. This new standard is applicable only to contracts for delivery of products or provision of services, and requires that the entity recognise the revenue when the contractual liability to deliver assets or render services is fulfilled and for the amount reflected in the consideration to which the entity is entitled, as established in the "5 stage methodology. These standards were not adopted by GCA in the preparation of the financial statements relative to 31 December 2015 as their application is not yet compulsory. The impacts of their future adoption are being assessed and estimated by the management Principles of consolidation and recording of associates The consolidation of accounts of Grupo is conducted in compliance with the requirements of the following legislation: Article 74 of the Legal System for Mutual Agricultural Credit and Agricultural Credit Cooperatives (Decree-Law 24/91, of 11 January, with the most recent amendments introduced by Decree-Law 142/2009, of 16 June); Decree-Law 36/92, of 28 March; and Banco de Portugal Notice 1/2005. Grupo holds, directly and indirectly, financial stakes in affiliates and associates. Affiliates are considered companies in which this percentage stake is more than 50% of its capital or companies in which Caixa Central has effective control of their management Associates are companies in which the Notes 11

12 percentage stake stands between 20% and 50% of its capital or in which SICAM, directly or indirectly, exerts significant influence on their management and financial policy. a) Affiliates or subsidiaries: The consolidated financial statements include the accounts of Caixa Central de Mútuo, C.R.L. (Caixa Central), the Associated Caixas de and the affiliates and associates controlled directly and indirectly by Caixa Central (Note 4). Regarding the participated companies, "affiliates" are considered those in which GCA effectively controls their current management in order to obtain economic benefits from their activities. Control is normally evident through holding more than 50% of the share capital or voting rights. The financial statements of all the companies controlled by the Group (subsidiaries or affiliates) were included in these consolidated financial statements by the full consolidation method. The Group controls an entity when it is exposed to, or has rights to variable returns arising from its involvement with the Entity, and has the capacity to affect these same returns through the power it exercises over the Entity. The subsidiaries are consolidated from the date when their control is transferred to the Group, and are excluded from consolidation from the date when this control ends. The consolidation of the accounts of the affiliates was carried out by the full consolidation method, from the date when Caixa Central takes control of its activities up to the time when this control ceases to exist. The transactions and significant balances between the companies object of the consolidation were eliminated. Furthermore, when applicable, consolidation adjustments are made in order to assure consistency in the application of the accounting principles of Grupo. Acquisitions of affiliates are recorded by the purchase method. The acquisition cost corresponds to the sum of the fair values of the assets acquired and liabilities incurred or undertaken, as well as any equity instruments issued in exchange for control over the acquired entity. The costs directly attributable to the transaction are recorded as costs when incurred. On the acquisition date, the assets, liabilities and contingent assets that are identifiable and meet the requirements for recognition established in IFRS 3 "Business combinations", are stated at their fair value. When the acquisition of control is carried out for a percentage of less than 100%, in the application of the purchase method, the non-controlling interests can be measured at fair value or in proportion to the fair Notes 12

13 value of the acquired assets and liabilities, with this option being defined in each transaction. Whenever control is acquired through potential rights, the non-controlling interests are measured at fair value. Subsequent transactions involving the divestment or acquisition of holdings from non-controlling interests, which do not imply change of control, do not result in the recognition of gains, losses or goodwill, with any difference between the transaction value and the book value of the traded holding being recorded in Equity, under Other equity instruments. Any losses generated in each period by subsidiaries with non-controlling interests are allocated according to the percentage held in them, regardless of assuming a negative balance. Up to 1 January 2006, and as permitted by the accounting policies defined by Banco de Portugal, goodwill was totally annulled against reserves in the year of acquisition of the holdings. Pursuant to that permitted by IFRS 1, GCA did not carry out any alteration to this record, and therefore the goodwill generated in operations occurred up to 1 January 2006 remains recorded in reserves. The value corresponding to the holding of third parties in the affiliates is presented under the equity heading of "Minority Interests". The consolidated profit derives from the sum of the net income of SICAM and the affiliates, in proportion to their effective holding, after consolidation adjustments, namely the elimination of dividends received and capital gains and losses generated in transactions between companies included in the consolidation perimeter. b) Associates Associates are entities in which GCA has significant influence, but does not control. Significant influence is considered to exist when GCA has financial holdings (directly or indirectly held) above 20% (but less than 50% with voting rights in proportion to the holding) or the power to participate in decisions about the financial and operational policies of the entity but has neither control nor has joint control over it. Any dividends received are recorded as a decrease of the value of the financial investment. Investments in associates are initially measured at cost in the consolidated financial statements. Investments in associates are recorded by the equity method, from the date that GCA acquires significant influence until the date it ceases. Notes 13

14 The excess of the cost of acquisition over the fair value of the share of the identifiable assets and liabilities acquired, goodwill, is recognised as part of the financial investment in the Associate. If the acquisition cost is lower than the fair value of the net assets of the acquired Associate, the difference is recognised directly as a gain in the consolidated comprehensive income statement. If the financial holding in an associate is reduced, but maintaining the significant influence, only a proportional amount of the values recognised previously in other comprehensive income is reclassified to the Income Statement. Unrealised gains or losses in transactions between the Group and its Associates are eliminated in the application of the equity method. The accounting policies of the Associates are changed whenever necessary so as to ensure that the same policies are applied consistently by all the companies of the Group. When the share of the losses of an Associate exceeds the investment in the Associate, the Group recognises additional losses if it has undertaken liabilities or made payments in benefit of the Associate. The consolidated financial statements include the part attributable to GCA of the total profit and loss recognised by the associate. c) Goodwill Acquisitions of subsidiaries and associates occurred after 1 January 2006 are recorded by the purchase method. The acquisition cost corresponds to the fair value determined on the acquisition date of the assigned assets, issued equity instruments, minus the costs directly attributable to the issue. Goodwill refers to the difference calculated between the fair value of the acquisition price of investments in subsidiaries, associates or businesses, and the fair value of the assets and liabilities of these companies or businesses on the date of their acquisition. Goodwill is recorded in the assets and is subject to impairment tests, pursuant to IAS 36, at least once a year, and is not amortised. Impairment losses relative to goodwill are not reversible. Furthermore, whenever it is detected that the fair value of the acquired net assets is higher than their acquisition cost (negative goodwill), the differential is recognised through profit or loss. Goodwill is allocated to the cash generating units to which it belongs, for the purpose of conducting impairment tests. When the Group reorganises its corporate structure, implying an alteration of the composition of its cash generating units, to which goodwill has been imputed, the reorganisation process should involve the reallocation of the goodwill to the new cash generating units. The reallocation is made through an approach of relative value, in view of the new cash generating units arising from the reorganisation. Notes 14

15 2.4. Summary of the main accounting policies The most significant accounting policies used in the preparation of the consolidated financial statements were as follows: a) Accrual basis GCA follows the principle of accrual based accounting in relation to most of the items in its consolidated financial statements. Hence, the costs and income are recorded as they are generated, independently of the time of their payment or receipt. b) Operations in foreign currency Assets and liabilities denominated in foreign currency are converted into Euros at the exchange rate in force on the reporting date indicated by Banco de Portugal. Income and costs relative to transactions in foreign currency are recorded in the period when they occur, at the exchange rates in force on the day when they were carried out. Additionally, the following accounting procedures are used: - the spot exchange rate position for each currency, which corresponds to the net balance of the assets and liabilities of any specific currency, is revalued daily pursuant to the fixing exchange rates indicated by Banco de Portugal, and recorded against profit or loss; - the forward position of a currency, which corresponds to the net balance of the forward transactions awaiting settlement, is revalued at the market forward exchange rate, or, if such does not exist, at a rate calculated based on the market interest rate for this currency and for the residual term of the transaction. The difference between the balances converted into Euros at the revaluation rates used and the balances converted to the contracted rates corresponds to revaluation of the forward exchange position, and is recorded through profit or loss. Non-monetary assets and liabilities measured at fair value are converted at the exchange rates of the date when the fair value was determined, with the currency conversion differences being stated through profit or loss. The currency conversion differences of financial assets available for sale are, however, recognised in other comprehensive income, and likewise the currency conversion differences relative to cash flow hedges. Notes 15

16 Exchange rates on the reporting date: Date Currency ISOCode Exchange Rate 31/12/2015 AUD /12/2015 BRL /12/2015 CAD /12/2015 CHF /12/2015 CNY /12/2015 CVE /12/2015 DKK /12/2015 GBP /12/2015 JPY /12/2015 MOP /12/2015 NOK /12/2015 RUB /12/2015 SCP /12/2015 SEK /12/2015 USD /12/2015 ZAR c) Credit to customers Credit to customers includes loans to customers and other securitised loan operations (commercial paper) not intended for sale in the short term, which are recorded on the date when the credit amount is advanced to the customer, being recognised at nominal value. Subsequently, the credit and accounts receivable are recorded at amortised cost, being submitted to periodic impairment tests. The interest component, including that relative to any premiums/discounts, is disclosed in the accounts autonomously in the respective net income accounts. Income is recognised when received and distributed by monthly periods. Whenever applicable, the external commissions and costs imputable to the contracting of the operations underlying the assets included in this category should also be divided into periods over the maturity period of the credit, pursuant to the effective rate method. The interest is recognised pursuant to the accrual principle, where the commissions and costs associated to the credit is divided into periods over the life of the operations, regardless of when they are charged or paid. Notes 16

17 GCA classifies instalments of principal or interest that remain unpaid once 30 days have elapsed after their due date as overdue credit. Credit with overdue instalments is denounced under the terms defined in the approved credit manual, with the entire debt being considered overdue at that time. Credit to customers is derecognised on the balance sheet when (i) GCA's contractual rights relative to the respective cash flow expire; (ii) GCA has substantially transferred all the risks and benefits associated to its ownership; or (iii) even if GCA retains part, but not substantially all, of the risks and benefits associated to its ownership, control over the credit has been transferred. Guarantees provided and irrevocable commitments Liabilities for guarantees provided and irrevocable commitments are recorded as off-balance sheet items at risk value, where any flows of interest, commissions or other income are stated through profit or loss over the life of the operations. Impairment GCA periodically analyses the credit to customers and other amounts receivable to detect any evidence of impairment. A financial asset is considered impaired if, and only if, there is evidence that the occurrence of an event (or events) has had a measurable impact on the expected future cash flow of this asset or group of assets. For purposes of calculation of impairment of the granted credit, GCA has segmented its portfolio as follows: Credit granted to companies; Mortgage loans; Consumer credit; Credit granted through credit cards; Other credit to individuals; Off-balance sheet items. Moreover, liabilities relative to commercial paper, operations in foreign currency and financial lease contracts were also included. Pursuant to the impairment model in force at GCA for the portfolio of credit to customers, the existence of impairment loss is analysed in individual terms, on a case-by-case basis, and in collective terms. When a group of financial assets is assessed together, the future cash flows of this group are estimated based on the contractual flow of the assets of this group and on the historical data relative to losses on assets with similar credit risk characteristics. Notes 17

18 Whenever GCA considers this necessary, the historical information is updated based on current observable data, so as to reflect the effects of current conditions. The selection criteria of the customers subject to individual analysis were as follows: All customers with liabilities of more than 1,000,000 euros; and Customers with overdue credit (for more than 90 days) of more than 50,000 euros. The evidence of impairment of an asset or group of assets defined by GCA is related to the observation of various events referred to as "loss events", in particular of the following: Situations of default on the contract, namely late payment of the principal and/or interest; Significant financial difficulties of the debtor; Significant alteration of the net worth of the debtor; Occurrence of adverse alterations, namely:. of payment conditions and/or capacity;. of the economic conditions of the sector in which the debtor is placed, with impact on capacity to comply with obligations. Impairment losses for customers not in default correspond to the product of the probability of indications (PI) and the amount of the difference between the book value of the credit in question and the updated value of the cash flow of this operation. The PI corresponds to the probability of an operation or customer entering into a situation of default during a period of emergence. This period is equivalent to the time which elapses between the occurrence of an event causing losses and the time that the existence of this event is detected by the Services of GCA (incurred but nor reported). For all segments of the portfolio, GCA considered a period of emergence of 6 months. If there is evidence that GCA has incurred an impairment loss in credit and other amounts receivable, the amount of the loss is determined by the difference between the book value of these assets and the present value of their estimated future cash flow, discounted at the original interest rate of the financial asset or assets. The book value of the asset or assets is reduced by the balance of the account of impairment losses. For loans with a variable interest rate, the discount rate used to determine any impairment loss is the current interest rate, determined by the contract. Impairment losses are recognised against profit or loss. When, in a subsequent period, the amount of the impairment losses attributed to an event is reduced, the previously recognised amount is reversed, and the account of impairment losses is adjusted. The amount of the reversal is recognised directly in the income statement. Notes 18

19 Annulment of principal and interest GCA periodically writes off, from the assets, credit which is considered uncollectible by using the constituted impairment, after specific analysis by the bodies of the structure responsible for credit monitoring and recovery, and approval of the Executive Board of Directors of GCA. Any recovery of credit written off from the assets is reflected as a deduction to the balance of impairment losses reflected in the income statement under the heading Impairment of credit net of reversions and recoveries. Pursuant to the policies in force at GCA, interest of overdue credit that is not backed by assets (unsecured) is annulled three months after the due date of the operation or first instalment in arrears. The interest that is not recorded, relative to the credit referred to above, is only recognised during the year when it is collected. The overdue interest of credit secured by a mortgage or other assets is not annulled. Nevertheless, for credit secured by assets and mortgage with overdue instalments of principal that have remained unpaid for more than six months and twelve months, respectively, the calculation and recording of interest on the outstanding principal is interrupted. The recovery of interest written off from the assets is also reflected as credit in the heading Impairment of credit net of reversions and recoveries. d) Other financial assets and liabilities Financial assets and liabilities are recognised on the transaction date, i.e. on the date when the purchase or sale commitment is undertaken. The classification of the financial instruments on the initial date of recognition depends on their characteristics and the intention of acquisition. Financial assets are initially recognised at fair value plus their transaction costs, except for financial assets held for trading, which are recognised immediately through profit or loss. These categories of assets are derecognised when (i) GCA's contractual rights to receive their cash flow expire; (ii) GCA has substantially transferred all the risks and benefits associated to their ownership; or (iii) even if GCA retains part, but not substantially all, of the risks and benefits associated to their ownership, GCA has transferred control over the assets. i) Financial assets held for trading at fair value through profit or loss Financial assets held for trading include income earning securities traded on active markets, acquired for the purpose of sale or repurchase in the short term, as well as derivatives. Trading derivatives with net Notes 19

20 value receivable (positive fair value) are included under the heading of financial assets held for trading. Trading derivatives with net value payable (negative fair value) are included under the heading of financial liabilities held for trading. Financial assets at fair value through profit or loss include fixed and variable yield securities trade in active markets that GCA has decided to record and measure at fair value through profit or loss, being classifiable in the context of point 9 b) i of IAS 39, in order to prevent or significantly reduce an inconsistency in measurement or recognition. Financial assets and liabilities held for trading and financial assets at fair value through profit or loss are initially recognised at fair value. Gains and losses arising from subsequent measurement at fair value are recognised through profit or loss. The interest inherent to financial assets is calculated in accordance with the effective interest rate method and recognised in the income statement under the heading Interest and similar income. Dividends are recorded under the respective income statement accounts when the entitlement to their payment is established. The fair value of financial assets traded in active markets is their bid-price or closing market price on the reporting date. If a market price is not available, the fair value of the instrument is estimated based on valuation techniques, which include price assessment models or discounted cash flow techniques. ii) Financial assets available for sale Financial assets available for sale include equity and debt instruments that are not classified as financial assets held for trading, at fair value through profit or loss, investments held to maturity, credit or loans and accounts receivable. Financial assets available for sale are measured at fair value, except for equity instruments not listed on an active market and whose fair value cannot be measured reliably, which remain recorded at cost. Gains and losses relative to subsequent variation of fair value are reflected under a specific equity heading, the "Fair value reserve", until their sale (or up to the recognition of impairment losses), at which time they are transferred to profit or loss. Currency conversion gains or losses of debt instruments are recognised directly through profit or loss for the period, while currency conversion gains or losses of equity instruments are recognised directly in reserves. Notes 20

21 The interest inherent to financial assets is calculated in accordance with the effective interest rate method and recorded in the income statement under the heading Interest and similar income. Dividends are recorded under the respective income statement accounts when the entitlement to their payment is established. iii) Investments in financial institutions Only the amounts receivable from other credit institutions are recorded in this heading. These are financial assets with fixed or determinable payments, not listed on an active market and not included in any other category of financial asset. These assets are initially recognised at their fair value, minus any commissions included in the effective rate and plus all incremental costs directly attributable to the transaction. Subsequently, these assets are recognised in the balance sheet at amortised cost, minus impairment losses. The interest is recognised based on the effective rate method, which enables calculating the amortised cost and distributing the interest over the period of the operations. The effective rate is the rate which is used to discount the estimated future cash flow associated to the financial instrument on the date of its initial recognition. The effective interest rate calculated for a financial asset of this nature is not altered in subsequent reporting periods. iv) Sale operations with repurchase agreement A repurchase agreement is defined as an agreement to transfer a financial asset to another party in exchange for money or other retribution and a concurrent obligation to acquire the financial asset at a future date for the same amount of money, or another exchanged retribution including interest. Securities sold with a repurchase agreement are kept in the portfolio in which they were originally recorded. The funds received are recorded, on the settlement date, in a specific liability account, with the respective interest being divided into periods through the effective interest rate method. v) Purchase operations with resale agreement A purchase with a resale agreement is defined as an agreement by which an institution purchases a financial asset with the commitment to resell this asset as a predetermined price and at a particular established date or at a date to be established. Notes 21

22 Financial assets acquired with a resale agreement at a fixed price, or at a price equal to the purchase price plus the interest inherent to the period of the operation, are not recognised on the balance sheet, with the acquisition cost being recorded as loans to other credit institutions. The difference between the purchase value and the resale value is treated as interest and is deferred over the life of the agreement, through the effective interest rate method. vi) Other financial liabilities An instrument is classified as a financial instrument when there is a contractual obligation of its settlement being made against the submission of money or another financial asset, independently of its legal form. Other financial liabilities, which essentially include funds of credit institutions, customer deposits and issued debt, are initially stated at fair value, which corresponds to the consideration received net of transaction costs, and are subsequently stated at amortised cost. As established in Decree-Law 182/87, of 21 April, the Mútuo Guarantee Fund was created, whose operation was regulated by Decree-Law 345/98, of 9 November. The latter sought to reconvert the Mútuo Guarantee Fund, so as to direct its objectives towards (i) guaranteeing the reimbursement of deposits constituted at Caixa Central and in its associated Caixas de Mútuo; and (ii) promoting and carrying out actions aimed at assuring the solvency and liquidity of these institutions, with a view to defending the Sistema Integrado do Mútuo (SICAM). vii) Impairment of financial assets GCA periodically conducts impairment tests on its financial assets; and likewise for credit to customers and other amounts receivable as mentioned in Note 2.4.c). When there is evidence of impairment in a financial asset or group of financial assets, the impairment losses are recorded against profit or loss. For listed securities and investment funds, it is considered that there is objective evidence of impairment in a situation of continued devaluation or significant loss of value in the market price of the securities. Continued devaluation or significant loss of value is considered a depreciation of value for a period of time above 12 months or concerning a value above 30%, respectively. For unlisted securities, objective evidence of impairment is considered the existence of an event with impact on the estimated value of the future cash flow of the financial asset, provided that it can be reasonably estimated. Notes 22

23 If, in a subsequent period, the amount of the impairment losses attributed to an event is reduced, the previously recognised value is reversed through adjustment of the account of impairment losses. The amount of the reversal is recognised directly in the income statement. For financial assets available for sale, in the event of objective evidence of impairment, arising from a significant or prolonged reduction of the fair value of security or from financial difficulties of the issuer, the accumulated loss in the fair value revaluation reserve is removed from the equity and recognised through profit or loss. Impairment losses recorded for fixed income securities may be reversed through profit or loss, if there is a positive change in the fair value of the security arising from an event which has occurred after the determination of the impairment. Impairment losses relative to variable income securities cannot be reversed; hence any potential capital gains arising after the recognition of impairment losses are reflected in the fair value reserve. Regarding variable income securities for which impairment has been recorded, subsequent negative variations in fair value are always recognised through profit or loss. e) Derivative financial instruments Derivative financial liabilities are recorded at their fair value on the date of their contracting. Furthermore, they are reflected under off-balance sheet headings at their notional value. Derivative financial instruments are subsequently measured at their respective fair value. Fair value is calculated: Based on prices in active markets (for example, with respect to futures traded on organised markets); Based on models which incorporate valuation techniques accepted in the market, including discounted cash flow and options valuation models. Derivatives are recorded at fair value, with the monthly calculated profit or loss being recognised in income and costs for the year, in the heading "Earnings of assets and liabilities at fair value through profit or loss". Positive and negative revaluation is recorded under the headings of "Financial assets held for trading" and "Financial liabilities at fair value through profit or loss", respectively. GCA does not have any hedge derivative financial instruments in its balance sheet. Derivatives that are embedded in other financial instruments are treated separately from the main instrument, whenever: i) their economic features and their risks are not related to the economic features and risks of the main instrument; and ii) the main instrument is not measured at fair value through profit or loss. These embedded derivatives are disembedded (separated from the host contract), with the fair value variations recognised through profit or loss. Notes 23

24 f) Other tangible assets The tangible assets used by GCA for the development of its activity are stated at acquisition cost (including directly attributable costs) minus accumulated depreciation and impairment losses. The acquisition cost includes the purchase price of the asset, the expenses directly attributable to its acquisition and costs incurred to prepare the asset so as to place it in condition for use. The financial costs incurred in relation to loans obtained for construction of tangible assets are recognised as part of the cost of constructing the asset. The depreciation of tangible assets is recorded on a systematic basis over the estimated period of useful life of the asset: Years of useful life Properties for own use 50 Expenses in rented buildings 10 Information technology and office equipment 4 to 10 Furniture and interior facilities 6 to 10 Vehicles 4 The useful lives of assets are reviewed in each financial reporting period so that the depreciation carried out is in accordance with the consumption patterns of the assets. Land is not depreciated. Alterations to useful lives are treated as an alteration of accounting estimate and are applied prospectively. Expenditure related to investment in works which cannot be recovered, carried out in building that are not owned by GCA are depreciated over a period compatible with its expected utilisation or the rental agreement, whichever is lowest. Whenever there are indications of loss of value in tangible assets, impairment tests are performed in order to estimate the recoverable amount of the asset, and when required, to record an impairment loss. The recoverable amount is determined as the highest between the fair value minus costs of selling and the value in use of the asset, with the latter calculated based on the present value of estimated future cash flow, arising from the continued use and divestment of the asset at the end of its defined useful life. Gains or losses in the divestment of assets are determined by the difference between the realisation value and the book value of the asset, and recognised in the consolidated comprehensive income statement. Notes 24

25 g) Intangible assets This heading essentially includes expenses during the development phase of projects relative to information systems that are already installed or under implementation, as well as the cost of acquired software, in both cases when the impact is expected to be reflected beyond the year when the costs are incurred. Internally generated assets, namely expenses related to internal development, are recorded as costs when incurred, whenever it is not possible to distinguish between the research phase and the development phase, or when it is not possible to reliably determine the costs incurred at each phase or the probability of economic benefits flowing to GCA. Intangible assets are recorded at acquisition cost, minus accumulated amortisation and impairment losses. Amortisation is recorded as costs for the year on a systematic basis over the useful life of the assets, which corresponds to a period of 3 to 6 years. h) Non-current assets held for sale GCA records real estate properties, equipment and other assets received in lieu of payment for operations where credit is overdue under "Non-current assets held for sale". These assets are recorded at the value agreed in the repossession contract, which corresponds to the lowest value between the outstanding debt and the valuation of the asset. The real estate properties are subject to periodic valuation which leads to the recording of impairment losses whenever the value arising from this valuation (net of sales costs) is lower than their book value. Tangible fixed assets are recorded in this heading from the time when the promissory contract for repossession or judicial agreement is signed. In exception to the arrangement referred to in the paragraph above, real estate properties which are "encumbered" and thus prevented from sale, are recorded under Other assets, pursuant to paragraph 7 of IFRS 5 Non-current assets held for sale and discontinued operations : For this to be the case the asset (or divestment group) must be available for immediate sale in its present condition subject only to terms that are usual and customary for sales of such assets (or divestment groups) and its sale must be highly probable. GCA does not recognise potential capital gains for these assets. i) Investment properties GCA records real estate properties in Investment properties, following the same rules of valuation and Notes 25

26 measurement of assets recorded in the heading Other tangible assets, whose differentiating feature derives from the fact of corresponding to the real estate properties owned by GCA, not used in the activity and identified as being income earning, i.e. where the objective is to gain some type of income. Costs and income received from investment properties of Grupo Caixa Agrícola are recorded in the income statement under the heading "Other net operating income". j) Provisions This liability heading includes the provisions constituted to meet tax-related risks, lawsuits and other specific risks arising from the activity of Grupo, pursuant to IAS 37 (Note 23). The provisions for other risks and costs are constituted based on the assumptions of IAS 37 - Provisions, contingent liabilities and contingent assets, corresponding to present liabilities or obligations with high probability of future occurrence or liability whose settlement is expected to give rise to an expenditure of funds. Their high degree of certainty necessarily implies the recording of provisions, so they cannot merely be disclosed as a contingent liability. k) Deposits and other funds After initial recognition, the deposits and financial resources of Customers and Credit Institutions are valued at amortised cost, based on the effective interest rate method. l) Securitised debt issued by GCA GCA bond issues are recorded under the heading "Other subordinated liabilities". On the date of issue, the issued bonds are recognised at fair value (issue value), including expenses and transaction fees, and are subsequently valued at amortised cost, based the effective interest rate method. m) Employee benefits SICAM has signed the Collective Vertical Labour Agreement (ACTV) for, therefore its employees and their families are entitled to pensions due to retirement, disability and survival. However, since the employees are enrolled in Social Security, SICAM's liabilities related to employee pensions consist of the payment of supplementary pensions in accordance with the stipulations of the aforesaid collective agreement (ACTV). SICAM has a Grupo Caixa Agrícola Pension Fund to cover its liabilities, so as to finance the payment of supplementary retirement pensions due to old age or disability, and pensions for the widowed or orphaned in addition to those provided by Social Security. These supplements are calculated, by reference to the Notes 26

27 collective agreement (ACTV), according to (i) the guaranteed pension at the presumed age of retirement, (ii) with the coefficient being between the number of years of service until the date of calculation and the total number of years of service at the date of retirement. This Fund, whose benefits to be attributed by the Pension Plan are those defined in the collective agreement (ACTV) of Mútuo, is thus joint and several, with its management being the responsibility of Companhia de Seguros Vida S.A. Pursuant to the statutes of SICAM, the members of its governing bodies are not covered by the described benefits. The ACTV pension calculations were based on the following lengths of time of service: For future seniority bonuses and automatic promotions, the length of service time was considered for purposes of level and seniority; For the calculations in Annex V, the starting point was the recruitment date recognised for the Pension Fund. For the distribution of liabilities for past services to be borne by the Pension Fund, the following was assumed: When the seniority date for the purposes of level and length of service is after the recruitment date recognised for the Pension Fund, the latter is used to calculate past and total length of service; When the seniority date used for purposes of level and length of service is before the recruitment date recognised for the Pension Fund, the latter is considered in the calculation of the time of past service and seniority date used for purposes of level and length of service, as it correspond to the date of recruitment into the Bank. The Projected Unit Credit method was used to calculate retirement pensions due to old age and deferred survival and the Single Successive Bonus for retirement due to disability and immediate survival. Only those legally married are accepted for survivor pensions. For surviving men, the age is taken as three years younger than the pensioner, and for women as three years older. The calculation of this benefit is based on the remuneration level of the participant, in line with Annex VI of the collective agreement (ACTV). SICAM annually records the contribution to the Pension Fund as a cost, which is estimated by Companhia de Seguros Vida S.A. for each contributing entity according to the number of enrolled workers. Notes 27

28 Banco de Portugal Notice 4/2005 determines that it is compulsory for pension funds to assure the full financing of pension liabilities under current payment and a minimum level of 95% of liabilities related to past service of current personnel. However, it establishes a transitional period between 5 and 7 years for coverage of increased responsibilities derived from the adoption of IAS 19. During 2008, Banco de Portugal issued Notice 7/2008 on 14 October 2008, allowing deferral of the impact of transition described above for an additional period of three years, beyond the initially stipulated period. Caixa Central decided to extend the deferral of the transition impacts as permitted by the Notice referred to above. The employees' post employment benefits also include medical care (SAMS), which were calculated based on the same assumptions as the liabilities related to supplementary pensions. Due to the application of IAS 19 Reviewed (starting in 2013), the actuarial gains and losses derived from (i) the differences between the actuarial and financial assumptions used and the values which actually occurred and (ii) the changes of actuarial assumptions, are fully recognised as comprehensive income for the year when they occur, being recorded in a retained earnings heading. The values recorded for the year through profit or loss are henceforth stated at their net interest: Cost of the Service (P&L): The cost of the service includes the cost of current services, cost of past services and gains or losses upon settlement; Net interest (P&L): Net interest is determined by multiplying the discount rate by the net liability (asset) of defined benefits (both determined at the beginning of the annual reporting period, taking into account any variation of the net liability (asset) of defined benefits during the period as a consequence of the payment of contributions and benefits); Re-measurements (Other comprehensive income): Includes all the changes derived from the remeasurement of liabilities due to past and present services of the plan. n) Seniority bonus Under the terms of the collective agreement (ACTV), SICAM accepted the commitment to attribute a seniority bonus to active employees upon completing fifteen, twenty-five and thirty years of good and effective service, of the value of one, two and three months of their effective monthly retribution (in the year of attribution), respectively. SICAM determines the present value of benefits related to seniority bonus through actuarial calculations using the Projected Unit Credit method. The actuarial assumptions (financial and demographic) are based on expected wage growth and mortality tables used to calculate pension liabilities. The discount rate is determined based on market rates of bonds of companies with high rating and similar maturity period to that of the settlement of the liabilities. Notes 28

29 The impact of the estimated actuarial deviations in each year is recorded through profit or loss for the year. o) Recognition of income from services and commissions The income from services and commissions received from a particular activity is recognised through profit or loss when the particular activity has been completed. The income from services and commissions received while the services are being rendered is recognised through profit or loss for the year to which they refer. Income from services and commissions that is an integral part of the effective interest rate of a financial instrument is recognised through profit or loss by the effective interest rate method. p) Income tax GCA entities are taxed individually and are subject to the tax system established in the Corporate Income Tax Code (IRC Code). The accounts of the branches are integrated in the accounts of Caixa Central for tax purposes. Total income tax recorded through profit or loss incorporates current and deferred taxes. Current tax is calculated based on the taxable profit for the year, which is different from the book value profit due to adjustments to taxable profit arising from costs or income not relevant for tax purposes, or which will only be considered in other periods. Deferred tax assets and liabilities correspond to the value of the tax recoverable and payable in future periods arising from temporary differences between the book value of an asset or liability and its taxable base. Tax credits are also recorded as deferred tax assets. Deferred tax liabilities are usually recorded for all temporary taxable differences, while deferred tax assets are only recorded up to the amount for which future taxable profits are likely so as to enable the use of the corresponding deductible taxable differences or tax losses. However, deferred taxes are not recorded in the following situations: Deferred tax assets or liabilities arising on initial recognition of assets and liabilities in transactions that do not affect the accounting profit or loss or taxable profit; Deductible temporary differences arising from profit not distributed to affiliates and associates, to the extent that Caixa Central is able to control their reversal and when it is probable that this will not occur in the predictable future. Notes 29

30 Deferred taxes are calculated using tax rates that are expected to be in force on the date of the reversal of the temporary differences, which correspond to the rates approved, or largely approved, on the reporting date. Income taxes (current or deferred) are reflected in the profit or loss for the year, except in cases when their underlying transactions have been reflected in other equity headings (for example, in the case of the revaluation of financial assets available for sale). In these cases, the corresponding tax is also recognised against equity, and does not affect the net income for the year. q) Financial leasing Financial lease operations are recorded as follows: - As the lessor: As the lessor, assets divested under a financial leasing arrangement are derecognised, with the balance of the credit granted being recorded in the balance sheet as "Credit to customers" (amount equivalent to the net investment made in the leased assets, together with any non-guaranteed residual in favour of the GCA entity), which is reimbursed through the capital amortisation established in the financial plan of the contracts. The interest included in the instalments is recorded as financial income under "Interest and similar income", based on a constant periodic rate of return, calculated on the aforesaid net investment value. - As the lessee: Assets under financial leasing arrangement are recorded at fair value in "Other tangible assets" and in liabilities, with processing of the respective amortisation. The instalments relative to financial lease contracts are broken down in accordance with the respective financial plan, with the liability being decreased by the portion corresponding to the amortisation of the principal. The interest paid is recorded under "Interest and similar costs". r) Insurance 1) Insurance contracts Insurance contracts are taken out where the Insurer assumes a significant risk of the insured person, accepting to compensate this person in the case of an uncertain future event which affects this person in an adverse manner. This type of contract is established under IFRS 4 (Pure Life Insurance). Investment contracts are contracts which exclusively involve financial risk, not having any significant insurance risk. These contracts may also be differentiated between purely financial contracts and those Notes 30

31 with a discretionary participation feature (profit-sharing). If the investment contracts are purely financial, they fall under IAS 39, however, if they attribute a discretionary participation they come under the terms of IFRS 4 (Capitalisation products with guaranteed rates and profit-sharing), continuing to recognise the premiums received as income and the corresponding increase in liabilities as cost. Potential capital gains, net of capital losses, derived from the revaluation of assets allocated to insurance with profit-sharing, are distributed between a liability component and an equity component, based on the conditions of the products and the historical record of attributed profit-sharing. 2) Recognition of income and costs Premiums of non-life insurance contracts, life insurance contracts and investment contracts with discretionary participating features in profit or loss are recorded when issued, under the income statement heading "Premiums, net of resinsurance". Issued premiums relative to non-life insurance and the associated acquisition costs are recognised as income and cost throughout the corresponding risk periods, through movement of the provision for unearned premiums. Liabilities related to insurance associated to life insurance contracts and investment contracts with discretionary participating features in profit or loss are recognised through the life insurance mathematical provision, with the cost being reflected at the same time as when the income associated to the issued premiums are recorded. The main accounting policies and basis of measurement of the technical provisions are as follows: i) Provision for unearned premiums This provision reflects the portion of the issued premiums stated for the year, relative to risk not yet incurred as at the reporting date and imputable to one or various following years, aimed at guaranteeing the coverage of the risks undertaken and costs derived thereof during the period between the end of the year and the maturity date of each insurance contract. This is determined, for each contract in force, by application of the pro-rata temporis method to the gross premiums issued. The calculated amount of the provision for unearned premiums is deducted by the portion of the deferred cost of the remunerations by the insurance intermediaries and other acquisition costs. Notes 31

32 ii) Provision for risks in progress The provision for risks in progress corresponds to the amount needed to provide against probable compensation payments and other charges payable after the end of the financial year and which exceed the value of the unearned premiums and the premiums payable for contracts in force. This provision is calculated for direct insurance on the basis of ratios for claims, assignment, expenses and income, as defined by the Portuguese Supervision Authority for Insurance and Pension Funds (ASF). iii) Provision for claims The provision for claims corresponds to the cost of claims that have occurred and have not yet been paid, the estimated liabilities for claims due to events which have occurred but have not yet been reported (IBNR - incurred but not yet reported) and the direct and indirect costs associated to their settlement. The provision for reported and unreported claims is estimated by GCA based on past experience, available information and by application of statistical methods. In order to calculate the provision for IBNR in branches related to vehicles, accidents at work, housing, business, services and civil liability (operations and in general), actuarial estimates were made based on triangulation of amounts paid, taking into account the specific features of each branch. For all other branches, a general rate of 4% was applied to the value of costs related to claims for the year of declared claims, to provision the liability related to claims declared after the closing of the year. The provision for claim management costs is calculated using the average cost method. A mathematical provision was also considered for the branch of accidents at work for the following liabilities related to claims occurred up to 31 December: (i) pensions payable already confirmed by the Labour Court; (ii) pensions payable with a conciliation agreement already made; (iii) pensions of claims that have already occurred but are awaiting a final agreement or decision. The mathematical provisions relative to claims that have occurred, involving payment of life-long annuities concerning the branch of accidents at work, are calculated using actuarial assumptions based on actuarial methods recognised in the existing labour legislation. Additionally, a mathematical provision has been constituted to meet: (i) liabilities related to pension claims that have already occurred due to potential permanent disability of claimants under treatment; and (ii) claims due to events that have already occurred but have not yet been reported. Provisions for claims are not recorded at their present value, except for the mathematical provision for work-related accidents, which is calculated based on estimated future cash flows, updated at a discount rate of 3.25%. Notes 32

33 Any shortfall or surplus of the provision for claims, if existing, is recorded through current profit or loss, when determined. iv) Provision for claim rate deviations The provision for claim rate deviation is intended to meet exceptionally high claims ratios in insurance branches which, by their very nature, is expected to have greater fluctuations. Under the risks assumed by GCA, this provision is only constituted for the risk of seismic phenomena, being calculated by application of a risk factor, defined by the ASF for each seismic zone and applied to the insured capital retained by GCA. v) Assigned reinsurance technical provisions These provisions are determined by application of the criteria described above for direct insurance, taking into account the percentage assignment to reinsurance as well as other clauses in the reinsurance treaties in force. vi) Mathematical provision for the life branch The mathematical provision for the Life Branch corresponds to the difference between the present values of the Company's liabilities and the actuarial values of the liabilities of the policyholders, relative to the policies issued. The calculations are based on recognised actuarial methods in conformity with the technical notes approved by the Supervision Authority for Insurance and Pension Funds (ASF) for each modality. Pursuant to these technical notes, the provision is calculated based on the GKM80 mortality table and the technical interest rates defined for each modality. vii) Provisions for stabilisation of the life branch portfolio This provision for portfolio stabilisation is constituted for annual renewable group insurance contracts, whose main coverage guarantees the risk of death, with a view to coping with the increased risk inherent to the progressively higher average age of the insured group, whenever the pricing for this group has been based on a single rate which must be kept for a certain period due to contractual commitment. viii) Provision for rate commitment in the life branch On each reporting date, the Company evaluates the adequacy of liabilities arising from insurance contracts and investment contracts with discretionary participating features. This assessment is based on future cash flow projections associated to each contract, discounted considering the time structure of interest rates provided by the European Insurance and Occupational Pensions Authority (EIOPA), for calculation of Notes 33

34 Technical Provisions under the Solvency II regime. This is carried out product by product or aggregated when the risks of the products are similar or managed together. In the event of any discrepancy between the values of the liabilities and the discounted future cash flow projection, this is recorded on the income statement against the heading of provision for rate commitment. ix) Provision for profit-sharing Provision for profit-sharing to be attributed (shadow accounting) Pursuant to IFRS 4, unrealised gains and losses of financial assets allocated to liabilities arising from insurance and investment contracts with discretionary profit-sharing are attributed to policyholders, in proportion to their estimated share, through recognition of a liability, based on the expectation that they will receive these unrealised gains and losses when they are realised. This provision corresponds to the net value of the fair value adjustments of the investments allocated to Life Insurance with profit -sharing, in the estimated proportion of the policyholder or beneficiary of the contract. The estimated amounts to be attributed to the insured persons in the form of profit-sharing, for each modality or group of modalities, should be calculated based on a suitable plan applied consistently, taking into account the profit sharing plan, the maturity of the commitments, the allocated assets as well as other specific variables of the modality or modalities in question. Throughout the duration period of the contracts of each modality or group of modalities, the corresponding balance of the provision for profit-sharing to be attributed should be fully used by offsetting the negative fair value adjustments of the investments and their transfer to the provision for attributed profit-sharing. Provision for attributed profit-sharing This provision includes the amounts intended for the insurance policyholders or beneficiaries of contracts in the form of profit-sharing which has not yet been distributed, namely through inclusion in the mathematical provision of the contracts. x) Insurance and investment contracts with discretionary participation in profit As mentioned above, GCA maintained most of its accounting policies applicable to insurance contracts and investment contracts with participation in profit, for cases where the profit-sharing includes a discretionary component on the company side, continuing to recognise premiums received as income and the corresponding increase in liabilities as cost. Notes 34

35 It is considered that an insurance or investment contract contains profit-sharing with a discretionary component when the contractual conditions stipulate the attribution to the insured person, supplementary to the guaranteed component of the contract, additional benefits characterised by: Being probable that they constitute a significant portion of the total benefits to be attributed under the contract; and Whose amount or timing of distribution is contractually at the discretion of the issuer; and Are dependent on the performance of a particular group of contracts, realised or unrealised income in certain assets held by the issuer of the contract, or the result of the entity responsible for the issue of the contract. The liabilities derived from insurance contracts and investment contracts with discretionary participation in profit are included in the liability adequacy tests conducted by GCA. xi) Embedded derivatives in insurance contracts Pursuant to that permitted by IFRS 4, the options held by insurance policyholders for early redemption of contracts in force for a fixed amount, or for a fixed amount plus interest, are not separable from the host contract. xii) Adequacy tests for liabilities Pursuant to the requirements of IFRS 4, GCA carries out adequacy tests on liabilities related to current insurance contracts with reference to the reporting date of the financial statements, taking into account estimates of the present value of the future cash flow associated to the contracts, including expenses to be incurred with the settlement of claims and the cash flow associated to options and guarantees implicit in the insurance contracts. If the present value of the liabilities estimated by these tests is higher than the value of the liabilities recognised in the financial statements, net of the book value of the deferred acquisition costs and the intangible assets related to the contract in question, additional provisions are recorded against profit or loss for the year. The methodology and main assumptions used for in the adequacy tests on liabilities were the following: Notes 35

36 Life branch Adequacy tests on liabilities are performed by updating, at the risk-free market interest rate, of the future cash flow of claims, redemptions, maturities, commissions and management expenses deducted from the future cash flow of premiums. This future cash flow is projected for each policy, taking account the prudent technical bases in use, which are calculated based on the historical analysis of their data as follows: Mortality: Based on files taken from the information technology systems, the number of insured persons is obtained, by age group at the beginning and end of the year, and the claims in the year. This data is used to calculate the number of people exposed to risk at each age, which is multiplied by the probability of death from a specific mortality table so as to determine the expected number of claims in accordance with this table. Comparing this value with the real figure gives the real claims rate for the year in percentage of the table. The mortality assumption is then determined by analysing the values for the last five years. This analysis is carried out separately for Life R and Capitalisation products. Redemptions: Based on files taken from the information technology systems, the mathematical provisions are obtained for the beginning and end of the year, by product. This data is used to calculate the average value of mathematical provisions for each product, where the amount of redemptions is divided by this figure to obtain the redemption rate for the year. The redemption assumption for each product is determined by analysing the values for the last five years. Expenses: The expenses involve costs related to investment, administrative and claims. In order to obtain the unit costs, the investment expenses are divided by the average value of mathematical provisions, the investment expenses are divided by the average number of insured persons and the expenses related to claims are divided by the total number of claims for the year. Yield Rates: The future yield rates, applicable to the mathematical provisions, are determined by the risk-free market interest rate. The projected participation in future profit is based on yield rates obtained, with this projected profit-sharing subsequently being incorporated in the mathematical provisions, and then projected for maturities, claims and future redemptions. Notes 36

37 Provisions for Claims: The future cash flows are projected from the run-off of the company in the death and disability coverage for the purpose of determining future cost by comparison with present cost. Statistical methods are used to this end. Being short term, the cash flow is calculated without discount of provisions. Non-life branches The appointed actuaries regularly assess the adequacy of the provisions, based on analysis of the liabilities of the companies in the areas of uncertainties, contract duration, nature of claims and expenditure on claim settlement. A whole series of micro and macroeconomic scenarios are also applied in order the check their adequacy. xiii) Impairment of debtor balances related to insurance and reinsurance contracts With reference to each reporting date of the financial statements, GCA assesses the existence of indications of impairment in the assets generated by insurance and reinsurance contracts, namely the accounts receivable from insured persons, intermediaries, reinsurers and the technical provisions of assigned reinsurance. If any impairment losses are identified, the book value of the corresponding assets is reduced through profit or loss for the year, with the cost being reflected in the income statement heading of Impairment of other financial assets net of reversions and recoveries. s) Cash flow statement For purposes of preparation of the Cash Flow Statement, the heading of cash and cash equivalents incorporates the values recorded in the balance sheet under the headings of cash, deposits at central banks and at other credit institutions. Compulsory deposit requirements at Central Banks are excluded. 3. MAIN ESTIMATES AND UNCERTAINTIES ASSOCIATED TO THE APPLICATION OF ACCOUNTING POLICIES The estimates and judgments with impact on GCA s consolidated financial statements are continually evaluated, representing the best estimate of the Board of Directors at each reporting date, taking into account the historical performance, accumulated experience and expectations regarding future events, which under the circumstances in question are believed to be reasonable. The intrinsic nature of the estimates may lead to the real reflection of the situations that have been estimated, for financial reporting purposes, being different from the estimated amounts. The preparation of the financial statements requires the preparation of estimates and the adoption of assumptions by the management, which might affect the value of the assets and liabilities, revenue and costs, as well as the contingent liabilities that are disclosed. Notes 37

38 The most significant estimates and assumptions used by the management are the following: Fair value of the financial instruments Fair value is based on market prices, whenever available. However, in the absence of a market price, the financial instruments are valued based on indicative bids calculated by third parties using valuation models or pursuant to valuation methodologies essentially using inputs that can be observed in markets with a significant impact on the valuation of the instrument. Employee benefits Liabilities related to supplementary retirement and survivor pensions are estimated based on actuarial and financial assumptions, in particular with respect to mortality, wage and pension growth and long term interest rates. Here, the actual results may differ from these estimates. Deferred tax assets Unused deferred taxes assets due to tax losses are recognised, to the extent that it is probable that there will be future taxable profits, as established by the law. For the effect, judgements are made to determine the amount of deferred tax assets which may be recognised, based on the level of expected future taxable profit according to economic and financial projects under conditions of uncertainty. Should these estimates prove incorrect, there is a risk of adjustment in the value of deferred taxes assets in future years. Valuation of real estate assets The valuation service is are carried out by independent experts, registered at the Portuguese Securities Commission (CMVM), who are qualified and have recognised competence and professional experience for the duties they perform. These valuation procedures require the collection of precise information from updated documentation, during inspection of the property and the surrounding area, and in the analysis of the market, transactions, the relationship between supply and demand, and the prospects for development. The treatment of the information enables the adoption of basic values for the calculation, applying the method and using it for comparative purposes. The realisation value of the assets will depend on the future evolution of the real estate market. Notes 38

39 Impairment of properties for own use Properties for own use are stated at acquisition cost minus accumulated depreciation and any impairment losses. The valuations of properties for own use, used in the impairment tests, were carried out on a going concern basis and using the depreciated restoration cost method. Determination of insurance contract liabilities The Group's liabilities related to insurance contracts are determined based on the methods and assumptions described in Note 2.4. n) above. These liabilities reflect an estimated figure for the impact of future events on the Group s insurance companies, based on actuarial assumptions, the historical claims rate and other methods accepted in the sector. In view of the nature of insurance activity, the determination of provisions for claims and other liabilities due to insurance contracts is highly subjective, therefore the actual figures to be disbursed in the future could well be considerably different from the estimates. However, the Group considers that the liabilities related to insurance contracts stated in the consolidated accounts adequately reflect the best estimate on the reporting date of the amounts that the Group will have to disburse. Impairment of credit to customers The Group assesses its credit portfolio periodically, in order to identify possible evidence of impairment. In this context, the customers in default and whose total liabilities are deemed to be of a significant amount for the Group are analysed individually to assess the need to record impairment losses. These estimates are based on assumptions covering various factors which may change in the future and consequently alter the impairment values. Furthermore, a collective impairment analysis is also made to all other credit operations which were not subject to individual analysis, by placing these operations in credit segments, with similar features and risks, with collective impairment losses being estimated, whose calculation is based on the historical behaviour of losses for similar assets. Where no objective existence of impairment has been observed in credit analysed on an individual basis, this credit is grouped together based on similar risk features and assessed collectively for purposes of impairment. Notes 39

40 4. GROUP COMPANIES As at 31 December 2015, Grupo is composed of the following entities: Banks Equity Net Assets Profit/(Loss) for the year Direct holding Effective holding Consolidation method Caixas de Mútuo (1) 1,219,230,905 12,663,349,131 49,808, % % Full Caixa Central de Mútuo 254,978,032 6,022,848,429 4,961, % % Full Asset management and brokerage Gest - Sociedade Gestora de Fundos de Investimento Mobiliário S.A. 2,860,051 3,757, , % % Full Imóveis, Unipessoal, Lda. 3,122,207 56,493,981 (5,725,049) % % Full Provision of Services FENACAM - Federação Nacional das Caixas de Mútuo FCRL 4,778,584 7,102,670 (394,902) 99.98% 99.98% Full Consult - Assessoria Financeira e de Gestão S.A. 314, , , % % Full Informática-Serviços de Informática S.A. 7,017,874 18,573, , % 99.45% Full Venture Capital Agrocapital Sociedade de Capital de Risco, S.A. 986,571 1,125,272 (26,699) 66.67% 66.67% Full Investment Funds FEIIA CA Imobiliário 220,390, ,618,589 (11,903,818) 92.77% 99.89% Full FIIF CA Arrendamento Habitacional 106,075, ,351,585 (4,805,582) % % Full FEIIF ImoValorCA 19,582,925 21,005,120 74, % % Full FCR Central Frie 2,195,229 2,198,040 (23,367) 28.57% 28.57%Eq. Equity Method FCR Agrocapital 1 13,184,278 13,314,505 (1,145,033) 27.78% 30.00%Eq. Equity Method Insurance Seguros 49,171, ,738,587 10,172, % 97.40% Full Vida 80,826,673 1,880,125,527 6,717, % 99.96% Full Other CA Serviços - Serviços Informáticos e de Gestão - ACE - 59,911, % 99.98% Full SGPS S.A. 73,832, ,352,188 30,562, % % Full Seguros & Pensões SGPS S.A. 127,688, ,688,794 (186) 99.98% 99.98% Full CCCAM Gestão de Investimentos Unipessoal Lda 317,794 22,273,645 (560,190) % % Full RNA - Rede Nacional de Assistencia 2,669, , % 20.00%Eq. Equity Method Note: Values as at 31 December 2015 (accounting balances before consolidation adjustments) (1) These values correspond to the algebraic sum of the balances of the Associated Caixas Agrícolas The head offices of the Group entities are as follows: The head office of Caixa Central de Mútuo, CRL, SGPS S.A. and Crédito Agrícola Imóveis, Sociedade Imobiliária Unipessoal, Lda is at Rua Castilho, n.º 233, Lisboa. The head office of Seguros, S.A., Vida, S.A. and Seguros e Pensões S.G.P.S. is at Rua de Campolide 372, Lisboa. The head office of CA Informática Serviços de Informática, S.A. and CA Serviços Serviços Informáticos e de Gestão - ACE is at Rua Teófilo Braga, Lote 43 Damaia, Amadora. The head office of Gest - Sociedade Gestora de Fundos de Investimento Mobiliário, S.A., Consult S.A., CCCAM Gestão de Investimentos Unipessoal Lda and Agrocapital SCR S.A. is at Avenida da Republica, n.º 23, Lisboa. Notes 40

41 The head office of FENACAM - Federação Nacional das Caixas de Mútuo, FCRL is at Rua Professor Henrique Barros, Edifício Sagres, 7.º Piso, Prior Velho. The head office of Agrocapital Sociedade de Capital de Risco S.A. is at Rua Júlio Dinis nº.535, Porto. FEIIA CA Imobiliário and FIIF CA Arrendamento Habitacional are real estate investment funds whose holding company is Square Asset Management Sociedade Gestora de Fundos de Investimento Imobiliário S.A, with head office at Rua Tierno Galvan, Torre 3, Piso 7, Sala 706, Lisboa. FEIIF Imovalor CA is a real estate investment fund, whose holding company is Selecta Sociedade Gestora de Fundos de Investimento Imobiliário S.A, with head office at Rua de S. Caetano à Lapa, nº 6, Bloco C, 1º Piso, Lisboa. The head office of RNA Seguros de Assistência S.A. is at Av. Eng.º Duarte Pacheco Edf. Amoreiras, Torre 1-12º Piso - Sala 1, Lisboa. FCR Agrocapital 1 is a venture capital fund for qualifying investors, whose holding company is Agrocapital SCR S.A. FCR Central Frie is a venture capital fund for qualifying investors, whose holding company is Caixa Central CRL, with head office at Rua Castilho, n.º Lisboa. The alterations to the consolidation perimeter during 2015 are described in Note SEGMENTAL REPORTING In order to comply with the provisions in IFRS 8, Grupo has analysed its business lines, and identified four materially relevant segments, namely: Commercial/retail banking: includes all activities related to its own portfolio, derivatives, investments and funds from other credit institutions and treasury operations. Investment fund and asset management: includes operations related mainly to the management of real estate investment funds. Insurance activity: includes operations relating to the marketing and management of life and non-life insurance. Notes 41

42 Consulting services: includes economic and financial services or specialist strategies, accountancy and company management consulting, and preparation or review of economic and financial studies. Other: Includes all other operations, in particular those related to the provision of other services supporting GCA's business. During 2015 and 2014, the segmentation of GCA's net income by business line is as follows: 2015 Commercial/retail banking Insurance activity Investment fund and asset management Life branch Non-life branch Consulting services Other Total Net interest income 245,129,356 9,541 62,715,331 2,985, (1,192,458) 309,647,068 Technical margin of insurance activity - - (11,952,171) 31,613, ,661,279 Income from equity instruments 338, , , ,056-2,005,267 Earnings from services and commissions 130,192,921 (3,714,474) (12,689,516) (14,503,641) - (1,004,932) - 98,280,358 Other net operating income and other 127,095,504 (6,186,141) (22,636,534) 8,495, ,475 (22,088,901) 85,617,974 Net operating income 502,756,366 (9,891,074) 16,246,255 28,753, ,743 (23,592,235) 515,211,946 Staff costs and general administrative overheads (287,667,776) (5,787,694) (6,798,478) (14,846,858) (693,049) 14,350,840 (301,443,015) - Depreciation and amortisation for the year (13,169,813) (34,482) (543,267) (1,854,088) (794) (11,870,307) (27,472,751) - Provisions and impairment (126,901,606) (319,583) - (1,114,207) 5,722 15,387,950 (112,941,724) - Earnings from holdings in associates (226,596) (226,596) Earnings before taxes and minority interests 75,017,171 (16,032,833) 8,904,510 10,938, ,622 (5,950,348) 73,127,860 Taxes (18,706,056) (67,754) (2,187,228) (766,565) (15,581) 2,988,180 (18,755,004) Earnings after taxes and minority interests 56,311,115 (16,100,587) 6,717,282 10,172, ,041 (2,962,168) 54,372,856 Minority interests (260,362) (260,362) Net income for the year 56,311,115 (16,100,587) 6,717,282 10,172, ,041 (3,222,530) 54,112, Commercial/retail banking Insurance activity Investment fund and asset management Life branch Non-life branch Consulting services Other Total Net interest income 248,224,904 28,348 57,430,397 3,262,558 (369) (2,005,972) 306,939,866 Technical margin of insurance activity - - (44,928,107) 23,430, (21,497,257) Income from equity instruments 341, ,935 75, ,307-1,641,309 Earnings from services and commissions 128,522,319 (4,003,856) (11,518,041) (10,765,112) - (1,633,954) - 100,601,356 Other net operating income and other 177,289,656 (31,050,946) 27,952,632 6,907,486 1,207,894 6,566, ,873,423 Net operating income 554,377,946 (35,026,454) 29,680,816 22,910,782 1,207,525 3,408, ,558,697 Staff costs and general administrative overheads (286,284,166) (5,997,238) (5,977,058) (14,719,194) (832,514) 14,375,515 - (299,434,655) Depreciation and amortisation for the year (14,190,456) (29,807) (324,026) (2,087,302) (9,248) (15,502,749) - (32,143,588) Provisions and impairment (200,506,567) (301,967) (17,408,240) (1,309,890) (277,722) 40,484,337 - (179,320,049) Earnings from holdings in associates (100,227) (100,227) Earnings before taxes and minority interests 53,396,757 (41,355,466) 5,971,492 4,794,396 88,041 42,664,958 65,560,178 Taxes (28,891,360) (202,423) (1,912,102) (1,400,265) (23,692) (6,151,864) (38,581,706) Earnings after taxes and minority interests 24,505,397 (41,557,889) 4,059,390 3,394,131 64,349 36,513,094 26,978,472 Minority interests (95,001) (95,001) Net income for the year 24,505,397 (41,557,889) 4,059,390 3,394,131 64,349 36,418,093 26,883,471 Notes 42

43 As at 31 December 2015 and 2014, the segmentation of GCA's main assets and liabilities by business line is as follows: Commercial/retail banking Insurance activity 2015 Investment fund and asset management Life branch Non-life branch Consulting services Other Total Cash and deposits at central banks and other credit institutions 421,057,461 9,765,867 12,326,747 3,631, ,027 (25,253,210) - 421,806,895 Financial assets held for trading 223,737-35,081, ,304,739 Financial assets available for sale 3,729,380,698-1,750,434, ,136, (313,639,752) 5,346,311,852 - Investments in financial institutions 94,827,185 27,805, (27,503,879) 95,128,432 - Credit to customers 7,548,031,463-6,985, ,555,016,699 - Investment properties - 82,583, ,583,185 - Other 1,236,527, ,565,272 72,483,710 15,603, ,714 (163,773,662) 1,399,607,140 Total net assets 13,030,048, ,719,450 1,877,310, ,371, ,888 (530,170,503) 14,935,758,942 Funds of central banks (385,809,900) (385,809,900) Financial liabilities held for trading (3,945) (3,945) Funds of other credit institutions (240,007,012) (3,267,330) - (745,513) - 4,012,843 (240,007,012) Customer funds and other loans (10,969,821,411) ,735,748 (10,910,085,663) Other (291,523,502) (6,781,425) (1,796,484,211) (149,454,307) (164,905) 49,359,598 (2,195,048,752) Total liabilities (11,887,165,770) (10,048,755) (1,796,484,211) (150,199,820) (164,905) 113,108,189 (13,730,955,272) Commercial/retail banking Insurance activity 2014 Investment fund and asset management Life branch Non-life branch Consulting services Other Total Cash and deposits at central banks and other credit institutions 501,641,248 2,291,889 14,341,519 4,053, ,856 (21,070,531) - 501,660,165 Financial assets held for trading 869,057-29,447, ,479,644-31,796,258 Financial assets available for sale 4,137,131,853-1,623,985, ,889, (161,147,051) - 5,749,860,515 Investments in financial institutions 190,677 28,002,247 7,054,106 14,063,250 - (46,116,279) - 3,194,001 Credit to customers 7,309,836, (48,395,319) - 7,261,441,267 Investments held to maturity 139,582, (139,582,134) - - Other 1,177,348, ,451,890 79,838,386 24,246, ,685 (109,996,895) 1,504,995,926 Total net assets 13,266,599, ,746,026 1,754,667, ,253, ,635 (524,828,565) 15,052,948,132 Funds of central banks (980,225,728) (980,225,728) Financial liabilities held for trading (196,836) (196,836) Funds of other credit institutions (136,156,329) (4,823,533) - (1,510,425) - 6,333,893 (136,156,394) Customer funds and other loans (10,620,336,672) ,727,820 (10,536,608,852) Other (361,348,608) (6,829,638) (1,673,480,464) (148,401,211) (140,693) 3,472,997 (2,186,727,617) Total liabilities (12,098,264,173) (11,653,171) (1,673,480,464) (149,911,636) (140,693) 93,534,710 (13,839,915,427) Notes 43

44 6. CASH AND DEPOSITS IN CENTRAL BANKS This heading is detailed as follows: The credit institutions established in Member States are subject to the constitution of minimum reserves in accounts at the National Central Banks Cash: Domestic currency 98,530, ,668,949 Foreign currency 7,593,622 6,691, ,123, ,359, Demand deposits at Banco de Portugal 248,090, ,047, ,214, ,407,710 ============ ============ The minimum reserve requirements of the European Central Bank (ECB) are applicable to credit institutions in the euro zone, being primarily aimed at stabilising monetary market interest rates and the creating (or expanding) structural liquidity scarcity. The value of the minimum reserves to be met by each institution is determined based on the application of the reserve coefficients to the base of incidence, which arises from the sum of a sub-group of its balance sheet liability headings. Currently, the coefficient is 1% for liabilities falling due in two years or less. The periods of maintenance of minimum reserves are defined in accordance with the timeframe prepared by the ECB. In order to pursue the goal of stabilising interest rates, the ECB minimum reserve requirements enable institutions to use an average figure. Thus, compliance with the minimum reserves is verified by comparing the average figures of daily balances for current accounts held by the institution at Banco de Portugal throughout the reserve maintenance period with the amount of reserves to be met mentioned above. The minimum reserves effectively constituted are remunerated, during their maintenance period, at their average marginal placement rate (weighted according to the number of calendar days) of the main refinancing operations of the Eurosystem. Pursuant to the Decision of the Board of the European Central Bank (ECB/2014/23 of 5 June 2014), deposits which exceed the average value of minimum reserves to be met shall be remunerated at a rate of zero per cent, or at the interest rates for the permanent deposit facility, whichever is lower. As such, a negative interest rate may be applied on surplus reserves. Notes 44

45 In the current context of negative deposit rates, the deposits at Banco de Portugal are remunerated at 0%, up to the amount of the Minimum Cash Reserves (MCR), and at the Deposit Facility rate for any amount above the MCR. The Deposit Facility Rate was -0.20% as at 31 December 2014 and -0.30% as at 31 December DEMAND DEPOSITS AT OTHER CREDIT INSTITUTIONS This heading is detailed as follows: Cash balances at domestic credit institutions: Cheques for collection 49,202,302 49,645,366 Demand deposits 6,071,619 3,313, ,273,921 52,958, Cash balances at credit institutions abroad: Demand deposits 12,318,607 25,293, ,592,528 78,252, Interest receivable ,592,683 78,252,455 ========= ========= As at 31 December 2015 and 2014, most of the cheques for collection were cleared during the first days of January 2016 and 2015, respectively. Notes 45

46 8. FINANCIAL ASSETS HELD FOR TRADING This heading is detailed as follows: Securities Issued by residents Equity instruments - 1,479,644 Debt instruments - - Derivative financial instruments with positive fair value (Note 12) Forward foreign exchange trading 6, ,057 Interest rate swaps 35,298,179 29,447,557 35,304,739 31,796,258 Listed - - Unlisted 35,304,739 31,796,258 35,304,739 31,796,258 The securities included under this heading are detailed in Annex I. 9. OTHER FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS This heading is detailed as follows: Securities Issued by non-residents Debt instruments 68,176,744 77,271,424 Issued by residents Debt instruments 26,865 27,285 68,203,609 77,298,709 Listed 68,203,609 77,298,709 Unlisted ,203,609 77,298,709 The securities issued by residents correspond to Portuguese sovereign debt. The securities included under this heading are detailed in Annex I. Notes 46

47 10. FINANCIAL ASSETS AVAILABLE FOR SALE This heading is detailed as follows: Securities Issued by residents Debt instruments 1,747,148,451 1,130,723,181 Equity instruments 57,092,203 91,226,449 Issued by non-residents Debt instruments 3,467,619,319 4,475,035,797 Equity instruments 81,100,603 61,552,946 5,352,960,576 5,758,538,372 Impairment (Note 24) (6,648,724) (10,785,262) (6,648,724) (10,785,262) 5,346,311,852 5,747,753,110 Listed 5,329,749,559 5,717,677,954 Unlisted 16,562,293 30,075,156 5,346,311,852 5,747,753,110 The heading of debt instruments issued by residents includes the value of 1,377,869,606 euros which corresponds to Portuguese sovereign debt. The heading of debt instruments issued by non-residents includes foreign sovereign debt of the value of 2,490, euros, with the most relevant values being related to sovereign debt issued by Spain and Italy 489,457,267 euros and 1,718, euros, respectively in thousand euros Up to 3 months 3 months to 1 year Contractual residual periods 1 to 3 years 3 to 5 years Over 5 years Undetermined Total Financial assets available for sale 66, , ,472 2,141,854 1,486, ,193 5,352,961 The securities included under this heading are detailed in Annex I. Notes 47

48 11. INVESTMENTS IN CREDIT INSTITUTIONS The composition of this heading is as follows: Investments in Domestic Credit Institutions: In other credit institutions: Deposits 30,300,000 3,057,362 Commercial paper at a discount 60,000,000 Loans 5,050, ,000 Repurchase agreements Subordinated investments Other investments 2,331 2,338 95,352,331 3,179,700 Interest receivable (223,899) 14,301 95,128,432 3,194,001 As at 31 December 2015 and 2014, the residual periods of the investments in credit institutions presented the following structure: Up to three months 30,302,331 3,017,110 3 months to 1 year 65,050, ,590 95,352,331 3,179,700 Interest receivable (223,899) 14,301 95,128,432 3,194,001 As at 31 December 2015, the details of this heading by entity are presented as follows:. Caixa Geral de Depósitos 60,000,000. Banco Bilbao Vizcaya Argentaria 30,000,000. Finanfarma 5,050,000. Novo Banco 300,000. Other 2,331 95,352, DERIVATIVES As at 31 December 2015 and 2014, this heading is detailed as follows: 2015 Book value Notional amount Assets Liabilities held for held for trading trading Total Trading derivatives (Note 8) Forward Foreign Exchange Transactions Forward Foreign Exchange Trading 6,561 (3,945) 2,615 Purchases 150,893 Sales 154,705 Swaps 133,841,667 35,298,178-35,298, ,147,265 35,304,739 (3,945) 35,300,793 Notes 48

49 2014 Book value Notional amount Assets Liabilities held for held for trading trading Total Trading derivatives (Note 8) Forward Foreign Exchange Transactions Forward Foreign Exchange Trading 869,057 (22,668) 846,389 Purchases 12,957,143 Sales 12,102,473 Swaps 117,925,000 29,447,557 (174,168) 29,273, ,984,616 30,316,614 (196,836) 30,119,778 The distribution of GCA's transactions with derivative financial instruments as at 31 December 2015 and 2014, by residual periods, presents the following details: 2015 > 3 months > 6 months > 1 year 3 months 6 months 1 year 5 years 5 years Total Forward Foreign Exchange Transactions Forward Foreign Exchange Trading Purchases 150, ,893 Sales 154, ,705 Swaps - 19,560,000 34,570,000 57,795,000 21,916, ,841, ,598 19,560,000 34,570,000 57,795,000 21,916, ,147, > 3 months > 6 months > 1 year 3 months 6 months 1 year 5 years 5 years Total Forward Foreign Exchange Transactions Forward Foreign Exchange Trading Purchases 412,808 12,544, ,957,143 Sales 415,890 11,686, ,102,473 Swaps 6,000, ,925, ,925,000 6,828,699 24,230, ,925, ,984,616 The distribution of GCA's transactions with derivative financial instruments as at 31 December 2015 and 2014, by type of counterpart, presents the following details: Notional Value Book Value Forward Foreign Exchange Transactions Forward Foreign Exchange Trading Customers 305,598 2,615 Swaps Interest rate swaps Financial Institutions 133,841,667 35,298, ,147,265 35,300,793 Notes 49

50 13. CREDIT TO CUSTOMERS This heading is detailed as follows: Domestic credit Medium and long term: Secured loans 3,202,231,712 3,115,573,266 Unsecured loans 881,833, ,881,253 Mortgage loans - standard arrangement 2,155,807,514 2,085,615,302 Mortgage loans - subsidised 186,785, ,623,013 Commercial paper 319,316, ,989,080 Financial leasing contracts 127,559, ,955,114 Short term: Credit in current accounts Customers 380,394, ,415,629 Other credit Credit cards 31,597,363 31,669,475 Other credit 330,854, ,496,067 Current account overdrafts 13,280,523 14,108,601 7,629,660,414 7,372,326,800 Credit to abroad Medium and long term Loans 5,039,192 4,686,120 Short term Other credit 62,516,077 37,761,578 Current account overdrafts 7,552 5,134 67,562,821 42,452,832 Interest receivable 29,920,645 33,617,159 Commissions associated to amortised cost: Revenue with deferred income (22,081,025) (20,652,042) Expenses with deferred charge 120,775 47,457 (21,960,250) (20,604,585) Total credit not immediately due 7,705,183,630 7,427,792,206 Overdue credit and interest Overdue credit 660,214, ,476,954 Overdue interest 7,876,929 10,173,338 Total overdue credit and interest 668,091, ,650,292 8,373,274,784 8,099,442,498 Accumulated Impairment and Provisions Overdue credit and interest - customers (574,529,845) (550,803,300) Bad debt (243,728,240) (287,197,931) (818,258,085) (838,001,231) 7,555,016,699 7,261,441,267 Notes 50

51 As at 31 December 2015 and 2014, the credit granted to customers presented the following structure by activity sector: Values in euros 2015 Not due Overdue Total Companies Wholesale and retail commerce; repair of vehicles 624,142,159 83,580, ,723,106 Manufacturing industries 596,850,670 60,530, ,381,427 Construction 302,487, ,537, ,025,426 Agriculture, livestock production, hunting, forestry and fisheries 411,653,850 21,035, ,689,448 Real estate activities 305,683,975 53,687, ,371,588 Financial and insurance activities 387,735,085 15,264, ,000,044 Public Administration and Defence; Mandatory Social Security 248,120, , ,515,320 Human and social assistance activities 227,773,832 4,185, ,959,813 Accommodation, restaurants and similar 234,280,250 20,342, ,622,827 Transport and storage 72,250,834 12,366,026 84,616,860 Consulting, scientific and technical activities 74,011,382 5,285,941 79,297,323 Other service activities 68,199,457 2,694,243 70,893,700 Administrative and supporting service activities 62,954,343 3,820,812 66,775,155 Artistic, performance and sports activities 29,383,371 3,323,425 32,706,796 Education 37,480,221 2,341,473 39,821,694 Electricity, gas, stream, hot and cold water and air 38,581, ,581,477 Capture, treatment and distribution of water; sanitation 55,053,202 1,201,662 56,254,864 Mining industries 12,923,836 5,025,180 17,949,016 Information and communication activities 13,416,725 4,618,391 18,035,116 Activities of families employing domestic staff 14,761 24,823 39,584 Activities of international bodies and other institutions abroad 2,038, ,039,470 Other 8,864,460 8,372,790 17,237,250 3,813,900, ,636,891 4,234,537,304 Individuals Housing ** 2,396,992,717 50,751,500 2,447,744,217 Other purposes 1,486,330, ,825,834 1,675,155,939 3,883,322, ,577,334 4,122,900,156 Interest receivable 29,920,645-29,920,645 Commissions associated to amortised cost -21,960, ,960,250 Overdue interest to be settled Companies Individuals - 5,894,983 5,894,983-1,981,946 1,981,946 Overall total 7,705,183, ,091,154 8,373,274,784 Notes 51

52 Values in euros 2014 Not due Overdue Total Companies Wholesale and retail commerce; repair of vehicles 620,743,863 77,054, ,798,631 Manufacturing industries 511,395,287 63,389, ,784,954 Construction 341,356, ,021, ,378,033 Agriculture, livestock production, hunting, forestry and fisheries 409,555,735 21,308, ,864,353 Real estate activities 286,866,324 53,596, ,462,901 Financial and insurance activities 324,510,244 10,444, ,954,559 Public Administration and Defence; Mandatory Social Security 221,607, , ,821,759 Human and social assistance activities 217,720,470 5,693, ,414,219 Accommodation, restaurants and similar 182,751,011 20,569, ,320,102 Transport and storage 54,684,642 12,209,837 66,894,479 Consulting, scientific and technical activities 73,434,234 4,850,614 78,284,848 Other service activities 56,369,946 12,478,190 68,848,136 Administrative and supporting service activities 74,088,876 2,428,750 76,517,626 Artistic, performance and sports activities 33,373,880 3,219,286 36,593,166 Education 33,633,514 2,029,844 35,663,358 Electricity, gas, stream, hot and cold water and air 30,685, ,952 31,025,415 Capture, treatment and distribution of water; sanitation 45,343, ,329 45,467,924 Mining industries 57,003,881 6,389,555 63,393,436 Information and communication activities 13,478,379 4,015,381 17,493,760 Activities of families employing domestic staff 0 24,823 24,823 Other 4,243,690 2,465,621 6,709,311 3,592,847, ,868,446 4,007,715,793 Individuals Housing ** 2,321,673,558 53,488,824 2,375,162,382 Other purposes 1,500,258, ,119,684 1,693,378,411 3,821,932, ,608,508 4,068,540,793 Interest receivable 33,617,159 33,617,159 Commissions associated to amortised cost -20,604,585-20,604,585 Overdue interest to be settled Companies 7,149,668 7,149,668 Individuals 3,023,670 3,023,670 Overall total 7,427,792, ,650,292 8,099,442,498 Notes 52

53 For the years ended on 31 December 2015 and 2014, the residual periods of the credit to customers presented the following structure: Up to three months 1,118,500,706 1,209,599,889 Three months to one year 645,488, ,034,120 One year to three years 528,242, ,090,799 Three to five years 728,236, ,189,613 Over five years 5,344,845,928 5,090,515,503 8,365,314,389 8,086,429,924 Interest receivable 29,920,645 33,617,159 Commissions associated to amortised cost (21,960,250) (20,604,585) 8,373,274,784 8,099,442,498 Up to this date, has not carried out any operation of securitisation of its credit portfolio. 14. NON-CURRENT ASSETS HELD FOR SALE The movement in tangible assets available for sale during 2015 and 2014 may be presented as follows: 31/12/2014 Impairment 31/12/2015 Gross value Impairment Acquisitions Divestments Adjustments Use of impairment Adjustments Impairment allocations Restoration of impairment Gross value Impairment Net value Non-current assets held for sale: Real estate properties 750,086,010 (85,409,531) 142,841,261 (99,828,571) 17,055,319 6,948,848 (36,756,343) (34,363,262) 6,199, ,154,019 (143,381,218) 666,772,801 Transport 648,280 (196,683) 264,352 (349,354) - 60,517 - (29,122) 17, ,278 (147,359) 415,919 Other 3,444,602 (582,580) 171,103 (1,553,599) - 597,512 (16,222) (497,694) 522 2,062,106 (498,462) 1,563, ,178,892 (86,188,794) 143,276,716 (101,731,524) 17,055,319 7,606,877 (36,772,565) (34,890,078) 6,217, ,779,403 (144,027,039) 668,752,364 Gross value 31/12/2013 Impairment Transfer* Impairment FII Real Estate Portfolio Acquisitions Divestments Adjustments Use of impairment Adjustments Impairment allocations Restoration of impairment 31/12/2014 Gross value Impairment Gross value Impairment Net value Non-current assets held for sale: Real estate properties 1,007,037,444 (129,399,243) (141,344,354) 120,750,970 (98,147,515) (33,652,403) 6,310,483 47,029,786 (16,591,266) 5,996,413 (104,558,132) 1,244, ,086,010 (85,409,531) 664,676,479 Transport 694,352 (149,749) - 501,626 (547,698) - 2,770 - (122,062) 72, ,280 (196,683) 451,597 Other 2,351,188 (226,758) (526,342) 1,639,928 (20,172) (355,822) ,444,602 (582,580) 2,862,022 1,010,082,984 (129,775,750) (141,870,696) 122,892,524 (98,715,385) (33,652,403) 6,313,253 47,029,786 (17,069,150) 6,068,771 (104,558,132) 1,244, ,178,892 (86,188,794) 667,990,098 * Transfer to the heading "Investment properties" of the rented properties of the real estate property investment funds held by Grupo in 2014, of the value of 94,835,032 euros (see Note 15). Transfer also occurred in 2014, to the heading of "Other assets" of the properties not classified in accordance with the provisions noted in paragraph 7 of IFRS 5 Non-current Assets Held for Sale and Discontinued Operations, being recorded and classified under other assets due to credit recovery, in the balance sheet heading of "Other assets", of the gross value of 9,723,100 euros and accumulated impairment value of 1,244,296 euros. Notes 53

54 Fair value assessments were also made of all the assets of the Real Estate Investment Funds, giving rise to adjustments of fair value, to their book value and in the reinforcement of impairments that were already estimated but not yet covered. 15. INVESTMENT PROPERTIES The existing balance as at 31 December 2015, of the total value of 82,583,185 euros (in 2014 this value stood at 94,835,032 euros) corresponds to the book value of the rented properties, or properties held for this purpose, of the real estate investment funds held by Grupo, which were transferred from the heading Non-current assets held for sale. Their nature refers to properties whose direct objective is housing rental, which are therefore concentrated in FII CA Arrendamento Habitacional. The movement during 2015 was as follows: 31/12/ /12/2015 Fair value Acquisitions Divestments Fair value adjustments Fair value Investment properties: Real estate properties 94,835, ,600 (7,968,793) (4,976,654) 82,583,185 94,835, ,600 (7,968,793) (4,976,654) 82,583, OTHER TANGIBLE ASSETS The movement which occurred under the headings of "Other tangible assets" during 2015 and 2014 was as follows: 31/12/ /12/2015 Gross Accumulated Impairment Write-offs, Gross Accumulated Impairment Net Description Value Depreciation Losses Acquisitions Depreciation Losses divestments & other Value Depreciation Losses Value Real Estate Properties: For own use 300,700,630 (77,821,946) (846,733) 781,447 (5,704,989) (280,761) (5,053,399) 294,879,149 (81,977,407) (1,127,494) 211,774,248 Works in rented properties 16,929,526 (8,764,451) - 229,166 (833,217) - (190,482) 16,784,943 (9,414,400) - 7,370,543 Other real estate properties 2,904,833 (908,465) - 37,018 (80,124) - 70,349 2,990,330 (966,718) - 2,023,612 (Note 24) 320,534,989 (87,494,862) (846,733) 1,047,631 (6,618,330) (280,761) (5,173,532) 314,654,422 (92,358,525) (1,127,494) 221,168,403 Transport 217,013,612 (187,883,219) - 7,226,792 (9,371,601) - (432,876) 219,280,140 (192,727,432) - 26,552,708 Works of art 995, , (362) 1,023, ,023,578 Equipment under financial leasing: Equipment 980,006 (833,064) - 154,058 (7,443) - (4,134) 1,021,538 (732,116) - 289,422 Other assets under financing leasing - (29,847) - - (33,127) (62,974) - (62,974) 980,006 (862,911) - 154,058 (40,570) - (4,134) 1,021,538 (795,090) - 226,448 Other tangible assets: Tangible assets in progress 6,356, ,973, (2,175,789) 6,154, ,154,151 Other 1,035,860 (795,735) - 99 (85,882) - (179) 1,035,347 (881,184) - 154,163 7,392,688 (795,735) - 1,973,211 (85,882) - (2,175,968) 7,189,498 (881,184) - 6,308, ,916,890 (277,036,727) (846,733) 10,430,037 (16,116,383) (280,761) (7,786,872) 543,169,176 (286,762,231) (1,127,494) 255,279,451 Notes 54

55 31/12/ /12/2014 Gross Accumulated Impairment Write-offs, Gross Accumulated Impairment Net Description Value Depreciation Losses Acquisitions Depreciation Losses divestments & other Value Depreciation Losses Value (Note 24) Real Estate Properties: For own use 300,362,076 (72,453,822) (801,775) 887,882 (5,781,160) (44,958) (136,292) 300,700,630 (77,821,946) (846,733) 222,031,951 Works in rented properties 16,607,564 (8,096,831) - 300,989 (852,020) - 205,373 16,929,526 (8,764,451) - 8,165,075 Other real estate properties 2,906,120 (830,696) - - (79,056) - - 2,904,833 (908,465) - 1,996, ,875,760 (81,381,349) (801,775) 1,188,871 (6,712,236) (44,958) 69, ,534,989 (87,494,862) (846,733) 232,193,394 Equipment 221,009,331 (186,526,755) - 5,687,577 (11,162,054) - 122, ,013,612 (187,883,219) - 29,130,393 Works of art 985, , , ,595 Equipment under financial leasing: Equipment 998,708 (864,039) - 53,296 (20,623) - (20,400) 980,006 (833,064) - 146,942 Other assets under financing leasing - (5,765) - - (24,082) (29,847) - (29,847) 998,708 (869,804) - 53,296 (44,705) - (20,400) 980,006 (862,911) - 117,095 Other tangible assets: Tangible assets in progress 6,996, ,869, (3,509,882) 6,356, ,356,828 Other 1,035,860 (706,290) - - (89,445) - - 1,035,860 (795,735) - 240,125 8,032,852 (706,290) - 2,869,718 (89,445) - (3,509,882) 7,392,688 (795,735) - 6,596, ,902,464 (269,484,198) (801,775) 9,809,244 (18,008,440) (44,958) (3,338,907) 546,916,890 (277,036,727) (846,733) 269,033, INTANGIBLE ASSETS The movement which occurred under the headings of "Intangible assets" during 2015 and 2014 was as follows: 31/12/ /12/2015 Gross Accumulated Write-offs, Gross Accumulated Net Description Value Amortisation Acquisitions Amortisation divestments & other Value Amortisation Value Automatic data treatment system (software) 221,990,864 (169,638,059) 2,605,424 (11,350,404) 12,084, ,916,758 (180,224,814) 55,691,944 Other intangible assets 4,455,830 (4,292,459) - (5,964) 12,317 4,461,727 (4,292,003) 169,724 Intangible assets in progress 8,679,638-9,718,433 - (13,047,420) 5,350,651-5,350, ,126,332 (173,930,518) 12,323,857 (11,356,368) (950,984) 245,729,136 (184,516,817) 61,212,319 31/12/ /12/2014 Gross Accumulated Write-offs, Gross Accumulated Net Description Value Amortisation Acquisitions Amortisation divestments & other Value Amortisation Value Automatic data treatment system (software) 202,707,425 (155,576,908) 16,488,219 (14,130,179) 2,864, ,990,864 (169,638,059) 52,352,805 Other intangible assets 4,466,292 (4,297,952) - (4,969) - 4,455,830 (4,292,459) 163,371 Intangible assets in progress 13,471,763-11,447,689 - (16,239,814) 8,679,638-8,679, ,645,480 (159,874,860) 27,935,908 (14,135,148) (13,375,566) 235,126,332 (173,930,518) 61,195,814 As at 31 December 2015 and 2014, the heading Automatic data treatment system (software) includes the amounts of 49,789,980 euros and 46,171,534 euros, respectively, relative to costs incurred with employees allocated to software developed internally at CA Serviços. The value incurred during 2015 reached 3,618,446 euros. As at 31 December 2015, the heading "Intangible assets in progress" essentially refers to costs incurred allocated to software which is under internal development at CA Serviços. During 2015 and 2014, the capital gains calculated in the divestment of intangible assets are recorded in the heading Earnings of divestment of other assets Other tangible assets (Nota 41). Notes 55

56 18. INVESTMENTS IN ASSOCIATES AND JOINT VENTURES This heading is detailed as follows: FCR Agrocapital 1 3,955,254 4,298,761 FCR Central Frie 626, ,852 Rede Nacional de Assistência, SA 533, , ,116,110 5,163,983 ======== ========= As at 31 December 2015, the most significant data withdrawn from the financial statements of these companies is summarised in Note INCOME TAX The balances of income tax assets and liabilities as at 31 December 2015 and 2014 were as follows: Deferred tax assets Due to temporary differences 163,096, ,709,439 Due to tax losses carried forward 7,427,422 4,647, ,523, ,356,848 Deferred tax liabilities Due to temporary differences (8,264,917) (25,448,612) 162,258, ,908,236 Current tax assets Recoverable corporate income tax 24,969,273 3,191,644 Current tax liabilities Income tax payable (7,872,979) (37,044,554) 17,096,294 (33,852,910) Notes 56

57 The details and movement which occurred in deferred taxes during 2015 and 2014 were as follows: 2015 Balance Variation Variation Balance Other as at in in as at movements 31/12/2014 Net income Reserves 31/12/2015. Tangible assets and impairment 52, ,358. Intangible assets Provisions not accepted for tax purposes: Provisions for bad debt 66,905,293 5,040, ,945,553 Provisions for overdue credit and interest 58,753,858 1,180, ,934,331 Provisions for general credit risks 7,618,673 1,588, ,207,247 Provision for financial investments 39,620 (31,610) - - 8,010 Provisions for real estate properties 1,032,144 53, ,085,280 Provisions for other investments 1,898,891 (716,750) - - 1,182,141 Provisions for other risks and costs 627,414 (4,871) ,543. Pensions Early retirement pensions 358, , ,463 Contribution made (10,635) 5, (4,668) Seniority bonus 4,234,251 (207,469) - - 4,026,782 Health expenses 109,547 (6,042) ,505. Fair value statement through reserves of financial assets available for sale (11,532,443) (10,162,522) 5,580,585 23,169,631 7,055,251. Revaluation of fixed assets not accepted for tax purposes (453,067) 40, (412,132). Tax gains (3,806,253) 3,617, (188,613). Tax losses carried forward 4,647,409 2,780, ,427,422. Commissions 9, ,860. Consolidated tax - elimination of intergroup gains - 3,354,391 3,354,391. Other (5,577,027) 1,789,018 - (3,788,009) 124,908,236 8,600,283 5,580,585 23,169, ,258, Balance Variation Variation Variation Balance as at in in Net Income in as at 31/12/2013 Retained Earnings Reserves 31/12/2014. Tangible assets and impairment 78,232 (25,817) - 52,415. Intangible assets 104 (84) Provisions not accepted for tax purposes: Provisions for bad debt 55,147,013 11,758,280-66,905,293 Provisions for overdue credit and interest 54,860,512 3,893,346-58,753,858 Provisions for general credit risks 7,102, ,879-7,618,673 Provision for financial investments 40,514 (894) - 39,620 Provisions for real estate properties 938,033 94,111-1,032,144 Provisions for other investments 1,346, ,535-1,898,891 Provisions for other risks and costs 512, , ,414. Pensions Early retirement pensions 462,900 (104,634) - 358,266 Contribution made 125,348 (135,983) - (10,635) Seniority bonus 4,372,360 (138,109) - 4,234,251 Health expenses 168,827 (59,280) - 109,547. Fair value statement through reserves of financial assets available for sale (15,767,721) 4,123, ,710 (11,532,443). Revaluation of fixed assets not accepted for tax purposes (524,306) 71,239 - (453,067). Tax gains (1,180,468) (2,625,785) - (3,806,253). Tax losses carried forward 4,927,231 (279,822) - 4,647,409. Commissions 69,213 (59,353) - 9,860. Other 399,167 (5,976,194) (5,577,027) 113,078,199 11,718, , ,908,236 The amount of deferred tax assets for 2015 and 2014 is mainly derived from provisions for credit granted with a mortgage guarantee. The value of deferred tax due to tax losses refers to the tax losses calculated individually by the entities of the Group, which are distributed over the following years when the losses were recorded: Year/Tax loss Total 1,518, ,273, ,273, ,273, ,340, Notes 57

58 The costs related to income tax recorded through profit or loss, as well as the tax charge, measured by the ratio between the allocation for income tax and earnings for the year before tax, may be presented as follows: Current taxes 27,355,287 53,074,773 Deferred taxes Recording and reversal of temporary differences -8,600,283-14,493, Total tax recognised through profit or loss 18,755,004 38,581,706 Profit before taxes 73,127,860 65,560,178 Tax payable 25.65% 58.85% The reconciliation between the nominal tax rate and effective tax rate for 2015 and 2014 may be demonstrated as follows: Tax Tax rate Amount rate Amount Earnings before tax 73,127,860 65,560,178 Tax calculated based on the nominal tax rate + municipal surcharge (1.5%) 22.50% 16,453, % 16,062,244 Additional rate (State surcharge) 3% and 5% 1,495,802 3% and 5% 6,760,209 Provisions not accepted for tax purposes, net of recoveries 4% 3,233,771 17% 10,895,781 Municipal surcharge 2% 1,496,085 3% 1,942,762 Autonomous taxation 2% 1,281,715 2% 1,354,406 Tax corrections relative to previous years -2% (1,277,368) 2% 1,388,310 Correction of ID rate (+1.5%) 0% - -3% (2,251,485) Tax benefits 0% (221,700) -1% (470,235) Contribution of the banking sector 1% 589,788 1% 707,584 Untaxed capital gains and losses -2% (1,708,870) 0% - PU redemption tax - Tax withheld from the fund 0% - -1% (968,552) Potential AID and PID relative to consolidated adjustments -5% (3,354,391) 4% 2,695,042 Reduction of deferred tax rate (-2%) 0% - -3% (1,669,941) Other 1% 766,404 3% 2,135,583 Tax recorded in the income statement 25.65% 18,755, % 38,581,706 The values for current taxes and deferred taxes are calculated individually by the entities of Grupo Crédito Agrícola, where the corporate income tax rate (IRC) used for 2015 was 21%, plus the additional rates of the state surcharge (3%) and municipal surcharge (5%), if applicable. An average tax rate of 25% was estimated for 2015, which was used as the reference rate for calculation of deferred taxes due to consolidation adjustments carried out (25.57% in 2014). Notes 58

59 20. TECHNICAL PROVISIONS The composition of this heading is as follows: Life branch: Mathematical provision 1,395,303,496 1,251,540,302 Provision for claims 9,770,796 5,965,090 Other technical provisions: Provisions for profit sharing 46,119,444 90,788,454 Provisions for stabilisation of the portfolio 12,089,490 13,695,770 Provision for rate commitment 28,767,086 37,230,005 1,492,050,312 1,399,219,621 Non-life branch provisions: Provisions for unearned premiums 16,441,137 15,939,177 Provisions for claims 99,520,360 97,075,386 Other technical provisions: Provisions for risks underway 2,346,811 3,480,330 Provision for claim rate deviations 1,148, , ,457, ,394,072 1,611,507,323 1,516,613,693 The movement which occurred in the technical provisions during 2014 and 2015 was as follows: Net reinforcements Net reinforcements Balance as at of recoveries Uses / Balance as at of recoveries Balance as at 01/01/2014 & annulments adjustments 31/12/2014 & annulments Uses Adjustments 31/12/2015 (Note 43) (Note 43) 1,261,656, ,757,800 66,199,257 1,516,613, ,226,127 - (44,332,496) 1,611,507,324 Notes 59

60 As at 31 December 2015 and 2014, the mathematical provision is detailed as follows: Investment Saving Protection 40,761,440 48,506,901 Retirement Saving Protection 97,215, ,476,546 Education Saving Protection 16,657,914 16,862,578 CA Retirement Saving Plan+6 4,582,425 4,869,099 CA Active Saving 330,460, ,084,548 Super-Credit Protection 23,060 27,472 CA Retirement Saving Plan 201,477, ,297,822 CA Free Protection 267, ,146 CA Full Life 42,784 40,412 CA Super ,158,223 80,284,334 CA Spring 27,162,294 26,616,753 CA Summer Growing Rate 26,478,437 25,644,419 CA Summer Retirement Saving Plan 11,529,168 11,063,683 CA Guaranteed Future Retirement Saving Plan 26,457,815 25,904,832 CA Woman 10,793 12,679 CA Super 5 40,626,639 39,201,601 CA Super 5-3.8% 8,058,004 7,964,518 CA Super 5 Retirement Saving Plan 33,370,130 32,381,735 CA Super 5 - Retirement Saving Plan (3.8%) 7,261,599 7,199,149 CA Always + 14,472,763 14,493,536 CA Always + Retirement Saving Plan 11,967,132 11,669,509 CA Maximum Guarantee 29,149,845 28,469,519 CA Maximum Guarantee - Retirement Saving Plan 22,312,634 21,789,802 CA Key Personnel 7,905 6,538 CA Credit Key Personnel 26,123 13,722 CA Guarantee 5 (1st series) 19,477,961 19,328,464 CA Guarantee 5 - Retirement Saving Plan (1st series) 29,773,095 29,615,300 CA Guarantee 5-2nd series 51,644,604 51,418,169 CA Guarantee 5 Retirement Saving Plan - 2nd series 62,707,060 61,975,224 CA University (Saving) 19,511,723 15,125,207 Alive Company 0 0 CA Pension Fund Protection 0 0 CA Premium CA Woman 5,716 2,677 CA Capital Retirement Saving Plan 66,207,230 0 CA Capital Active Saving 102,610,054 0 CA University [Capital] 10,760, ,395,236,725 1,251,540,302 Notes 60

61 21. OTHER ASSETS The composition of this heading is as follows: Other assets Other disposable assets 846,784 1,006,463 Gold and other precious metals 591, ,461 Receivables due to future transactions - 474,740 Pledged account investments 2,037,441 3,663,087 Administrative Public Sector VAT recoverable 969, ,881 IMT (property transfer tax) - requested refunds 1,736,521 1,692,489 Other values receivable 1,311,578 2,265,076 Receivables due to unrealised capital 1,999 1,720 Credit litigation expenses 4,676,468 4,056,268 Shareholders' loans 1,186,599 1,183,689 Subsidies receivable 607,494 1,300,199 Other assets due to credit recovery 9,363,604 9,723,100 Miscellaneous receivables - advances 3,356,776 3,433,064 Financial leasing customers 1,358,812 1,682,033 Other miscellaneous receivables 59,925,079 51,198,134 87,969,523 82,784,404 Liabilities related to pensions and other benefits (Note 47) Total liabilities - (62,898,329) Net worth of the pension fund - 63,189,835 Actuarial deviations ,506 Income receivable From irrevocable commitments undertaken 129, ,128 From banking services 1,896,535 1,850,327 Other income receivable 459,512 1,712,856 2,486,034 3,693,311 Expenses with deferred charge Hire and rental charges 438, ,244 Insurance 1,325,407 1,013,230 Other deferred expenses 4,672,965 6,023,656 Contributions to the Resolution Fund - 1,454 Contributions to the FGD, FGCAM and SII 2,482 10,534 6,439,009 7,436,118 Amounts to be settled Multibanco automatic teller machines (ATM clearing) 60,063,075 51,518,611 Transactions of securities to be settled 176,293 21,007,056 Currency conversion payable 193,186 - Foreign exchange position (2,257) - Protocol agreements 5,020,036 4,967,746 IT systems 220,065 13,525,228 Office supplies 1,225,537 1,070,044 Off-setting of values 5,925 8,062 Other transactions to be settled 5,281,193 9,203,010 72,183, ,299, ,077, ,505,096 Impairment Other assets Other miscellaneous receivables (Note 23) (23,527,157) (19,574,728) (23,527,157) (19,574,728) 145,550, ,930,368 Notes 61

62 The heading Multibanco automatic teller machines (ATM clearing) corresponds to the amount immobilised at ATMs, pending settlement by SIBS. As at 31 December 2015 and 2014, the heading "Other assets - Shareholders' loans" refers to shareholders' loans granted to Propaço. As at 31 December 2015 and 2014, the heading "Other miscellaneous receivables" includes the values of 5,850,613 euros and 7,502,828 euros, respectively, relative to subsidies receivable from IFAP by CA Seguros. The balances of this heading are explained by the recording of outstanding values with debtors due to services rendered by entities of the Group to third parties, which have not yet been settled. The considerable decrease in the heading Transactions of securities to be settled derives from the reduction observed at Caixa Central, of approximately 20,830,763 euros. This entirely refers to the balances of transactions within and outside the Stock Exchange (purchases and sales) carried out by and on behalf of customers, which are offset by the receivable balances stated in the liabilities of the balance sheet under Other liabilities in the heading Transactions of securities to be settled. The decrease recorded in 2015 was due to the reinforcement of the control mechanisms relative to operating procedures, which enabled greater efficacy in closing transactions and positions, before the end of the year, thus reducing the situations pending settlement (see Note 27). Notes 62

63 22. FUNDS OF CENTRAL BANKS AND OTHER CREDIT INSTITUTIONS These headings are detailed as follows: Funds of Central Banks Funds of Banco de Portugal Term deposits 385,200, ,200,000 Interest payable 609,900 25, ,809, ,225,728 Funds of domestic credit institutions Deposits 216,989, ,124,744 Other funds ,989, ,124,744 Funds of credit institutions abroad Other credit institutions: Deposits 12,144, ,814 Loans 10,000,000 - Sale operations with repurchase a - 4,587,660 Other funds - 722,000 22,144,779 5,910,474 Interest payable 872, , ,007, ,156,394 As at 31 December 2014, the heading Sale operations with repurchase agreement refers to transactions of Portuguese public debt securities with foreign counterparts, aimed at obtaining liquidity. As at 31 December 2015 and 2014, the residual periods of the funds of Central Banks and Other Credit Institutions present the following structure: Up to three months 135,907, ,813,218 Three months to one year 103,227,416 28,222,000 One year to three years 385,200,000 - Three to five years - 385,200, ,334,487 1,116,235,218 Interest payable 1,482, , ,816,912 1,116,382,122 The heading Funds of Banco de Portugal includes a loan of the total value of 385,200,000 euros, which falls due in September Notes 63

64 The following securities were given in guarantee to Banco de Portugal to back financing operations at the Eurosystem, as at 31 December 2015: The non-derecognised assets which are associated to sale operations with repurchase agreement are as follows: Name ISIN Quantity Final Value SPGB /10/20 ES T3 50,000 59,217, BTPS /19 IT , ,079, CCTS 0 06/15/22 IT ,000 75,204, CCTS 0 12/15/22 IT , ,824, BCPPL /16 PTBCSSOE ,959, BCPPL /22/17 PTBCUB1E ,400, OT JUN 20 PTOTECOE ,000,000, ,155, OT OUT 25 PTOTEKOE0011 3,500,000,000 32,187, OT FEV 24 PTOTEQOE0015 4,000,000,000 45,790, PORTB 0 09/23/16 PTPBTWGE ,000,000 79,892, Name ISIN Quantity Repurchase Value BTPS 3 1/2 11/17 IT ,725,000 4,587, ,710, CUSTOMER FUNDS AND OTHER LOANS This heading is detailed as follows: Deposits Demand 3,385,962,550 2,909,640,291 Term 5,232,707,099 5,450,232,469 Saving 2,257,385,572 2,119,528,384 Other customers' funds 170, ,259 Cheques and orders payable 9,883,682 6,329,605 Other 45, ,206 10,886,154,615 10,486,475,214 Interest payable 23,931,048 50,133,638 10,910,085,663 10,536,608,852 Notes 64

65 As at 31 December 2015 and 2014, the residual periods of customer funds and other loans presented the following structure: Up to three months 6,320,983,363 5,931,408,245 Three months to one year 4,256,090,864 4,218,046,277 One year to three years 280,462, ,922,272 Three to five years 9,660,263 6,624,145 Over five years 18,957,638 4,474,275 10,886,154,615 10,486,475,214 Interest payable 23,931,048 50,133,638 10,910,085,663 10,536,608, PROVISIONS AND IMPAIRMENT The movement which occurred in GCA's provisions during 2015 and 2014 was as follows: 2015 Balance as at Net reinforcements Uses Transfers Adjustments Balance as at 31/12/2014 of rec. & annulments 31/12/2015 Impairment for credit to customers (Note 13): Bad debt 287,197,933 (8,912,017) (159,818) (34,086,370) (311,486) 243,728,243 Overdue credit and interest 550,803,298 84,794,601 (62,046,922) (31,505) 1,010, ,529, ,001,231 75,882,584 (62,206,740) (34,117,875) 698, ,258,086 Provisions: Other risks and charges 7,500,400 5,843,437 (1,198,033) (440,489) (379,263) 11,326,053 7,500,400 5,843,437 (1,198,033) (440,489) (379,263) 11,326,053 Impairment of other financial assets: Financial assets available for sale (Note 10) 10,785, ,027 (225,934) (2,764,321) (1,701,310) 6,648,724 Impairment of other assets: Non-current assets held for sale (Note 14) 86,188,794 28,672,558 (7,606,876) 36,276, , ,027,039 Other assets (Note 21) 19,574,728 2,817,411 (584,295) 1,046, ,163 23,527,157 Tangible assets (Note 16) 846, , ,127,495 Intangible assets (Note 17) 33, , ,644,114 31,770,730 (8,191,170) 37,322,685 1,169, ,715, ,931, ,051,778 (71,821,878) - (212,495) 1,004,948, Balance as at Net reinforcements Uses Transfers Adjustments Balance as at 31/12/2013 of rec. & annulments 31/12/2014 Impairment for credit to customers (Note 13): Bad debt 166,416,361 78,185,772 3,708,399 38,837,521 49, ,197,933 Overdue credit and interest 497,736,358 78,614,728 (15,724,171) (9,885,493) 61, ,803, ,152, ,800,500 (12,015,772) 28,952, , ,001,231 Provisions: Other risks and charges 4,125,557 5,712,011 (3,342,142) 1,564,250 (559,276) 7,500,400 4,125,557 5,712,011 (3,342,142) 1,564,250 (559,276) 7,500,400 Impairment of other financial assets: Financial assets available for sale (Note 10) 4,876,962 3,117, ,448 2,571, ,944 10,785,262 Impairment of other assets: Non-current assets held for sale (Note 19) 129,775,750 11,000,379 (4,726,144) (32,597,078) (12,505,510) 90,947,397 Other assets (Note 19) 17,712,710 2,643, ,314 (491,177) (773,049) 19,574,728 Tangible assets (Note 14) 801,776 45, (680) 846,734 Intangible assets (Note 15) 33, , ,201,056 16,807,538 (4,128,042) (30,516,278) (13,176,295) 122,187, ,479, ,320,049 (19,485,956) - (13,623,815) 967,689,610 Notes 65

66 As at 31 December 2015 and 2014, the heading Provisions other risks and costs includes provisions constituted to meet tax-related, legal and other specific risks derived from GCA's activity. 25. INSTRUMENTS REPRESENTING SHARE CAPITAL This heading is detailed as follows: CCAM Nordeste Alentejano, CRL 545, ,765 CCAM Pernes, CRL 334, ,450 CCAM do Sotavento Algarvio, CRL 309, ,475 CCAM Ribatejo Norte e Tramagal, CRL 162, ,670 CCAM do Guadiana Interior, CRL 117, ,300 CCAM de Trás-os-Montes e Alto Douro, CRL 88,925 89,160 CCAM Médio Ave, CRL 55,305 55,305 CCAM do Baixo Vouga, CRL 13,175 13,175 CCAM Costa Azul, CRL 4,775 5,275 CCAM Beja e Mértola, CRL 1,000 - CCAM do Vale do Távora e Douro, CRL 1,000 - CCAM Região do Fundão e Sabugal, CRL CCAM Salvaterra de Magos, CRL CCAM de Vale de Sousa e Baixo Tâmega, CRL CCAM do Noroeste, CRL CCAM Vila Verde e Terras do Bouro, CRL - 500, ,634,295 2,255,655 ============ ============ Pursuant to IAS 32, securities representing share capital are equity instruments if the entity has the unconditional right to refuse their reimbursement. The introduction of the IAS/IFRS implied an adjustment with reference to 1 January 2006 of the value of 41,447,495 euros, derived from the classification of special shares as liabilities (Note 29). The reductions of securities representing share capital refer to reimbursements made to associates. Notes 66

67 26. OTHER SUBORDINATED LIABILITIES This heading is detailed as follows: Subordinated loans granted by FGCAM: Not represented by securities 84,956,724 94,433,884 Investment securities: Issued 34,932,700 47,612, ,889, ,046, Interest payable 519, , ,409, ,533,965 ============ ============ Taking into account the maturity periods of the subordinated liabilities, the residual duration of the balance as at 31 December 2015 and 2014 is analysed as follows: Less than three months - 300,000 Three months to one year 7,672,900 21,874,300 One year to three years 36,126,500 19,834,900 Three to five years 13,765,800 38,080,300 Over five years 62,324,224 61,956,724 Interest payable 519, , ,409, ,533,965 ============ ============ Notes 67

68 As at 31 December 2015, GCA had subordinated loans granted by the Mútuo Guarantee Fund of the value of 84,956,724 euros (94,433,844 euros as at 31 December 2014). The balance of the Mútuo Guarantee Fund detailed by entity is analysed as follows: Interest Rate Interest due in force on Description Entity holding the securities Currency date Maturity date 2015 Balance Repayments Issues Balance FGCAM loan C Coimbra Euro 05-Jun % 05/06/ ,000, ,000,000 FGCAM loan C Costa Verde Euro 31-Jan % 31/01/ ,000, ,000,000 FGCAM loan C Bairrada e Aguieira Euro % 23/06/2020 8,000, ,000,000 FGCAM loan C Bairrada e Aguieira Euro % 23/06/2024 8,000, ,000,000 FGCAM loan C Beira Baixa (Sul) Euro 15-May % 30/06/2020 4,000, ,000,000 FGCAM loan C Entre Tejo e Sado Euro 19-Mar % 31/12/ ,956, ,956,724 FGCAM loan C Álcacer Sal e Montemor-Novo Euro 29-Apr % 30/11/ ,000, ,000,000 FGCAM loan C Moravis Euro 29-Apr % 15/12/2022 8,000, ,000,000 FGCAM loan C Alentejo Central Euro /10/2015 1,995,192 1,995, FGCAM loan C Alentejo Central Euro /10/2015 7,481,968 7,481, ,433,884 9,477,160-84,956,724 Notes 68

69 The balance of the Investment Securities issued is analysed as follows: Description Entity holding the securities Unit Interest Rate Number of Nominal Interest due in force on Bonds Currency Value date Maturity date 2015 Balance Repayments Issues Balance Investment Security/2010 C Vale de Sousa e Baixo Tâmega 2,000,000 Euro /12/ ,000,000 10,000, Investment Security/2011 C Noroeste 5,883 Euro 500 3/mar % 30/09/2016 2,941, ,941,500 Investment Security/2011 C Noroeste 9,186 Euro 500 2/abr % 02/04/2017 4,593, ,593,000 Investment Security/2012 C Noroeste 2,142 Euro 500 2/abr % 02/04/2018 1,071, ,071,000 Investment Security/2011 C Área Metropolitana do Porto Euro 22/jun % 22/12/2016 1,400, ,400,100 Investment Security/2010 C Beira Douro 1,032 Euro /06/ , , Investment Security/2015 C Beira Douro 1,513 Euro Dec % 15/12/ , ,500 Investment Security/2011-1st Issue C Vale do Távora 610 Euro Jul % 30/06/ , ,800 Investment Security/2011-2nd Issue C Vale do Távora 2,400 Euro Dec % 30/12/2016 1,200, ,200,000 Investment Security/2012-1st Issue C Vale do Távora 2,347 Euro Jun % 29/06/2017 1,173, ,173,500 Investment Security/2015 C Vale do Távora 653 Euro Nov % 09/11/ , ,500 Investment Security/2011 C Terra Quente 3,000 Euro Mar % 30/09/2016 1,500, ,500,000 Investment Security/2012-1st Issue C Terra Quente 3,000 Euro Mar % 30/03/2017 1,500, ,500,000 Investment Security/2012-2nd Issue C Terra Quente 1,578 Euro Feb % 01/08/ , ,000 Investment Security/2015 C Terra Quente 735 Euro Dec % 04/01/ , ,500 Investment Security/2011 C Vale de Cambra 286,600 Euro /04/2015 1,433,000 1,433, Investment Security/2010 C Serras de Ansião 60,000 Euro /03/ , , Investment Security/2010 C Guadiana Interior 376,228 Euro /10/2015 1,881,140 1,881, Investment Security/2014 C Guadiana Interior 201,860 Euro 5 28-Jul % 28/07/2019 1,009, ,009,300 Investment Security/2013 C Costa Azul 32,000 Euro Jun % 30/12/ ,000, ,000,000 47,612,340 14,130,140 1,450,500 34,932,700 Notes 69

70 27. OTHER LIABILITIES This heading is detailed as follows: Creditors and other funds Funds - captive account 2,538,989 2,159,574 Funds - pledged account 10,504,163 9,390,952 Other funds 2,979,581 2,028,247 Administrative Public Sector Tax withholdings at source 9,087,987 9,837,027 Social Security Contributions 3,381,239 3,274,411 Value Added Tax 915,608 1,224,143 Other taxes 3,422,224 3,758,759 Collections on behalf of third parties 216, ,302 Contributions to other health systems 622, ,937 Financial liabilities of insurance contracts 252,277, ,327,738 Liabilities in investment funds, incorporated in the consolidation perimeter 238, ,329 Miscellaneous payables Payables due to supply of goods and services 12,359,883 11,150,943 Payables due to amounts payable 196, ,309 Payables - portions to be realised in securities underwritten 984,537 2,488,410 Payables - credit cards 292, ,634 Advances due to CPCV (real estate properties) 3,753,208 2,544,891 Subsidies receivable - 4,796 Other creditors 23,825,211 22,090, ,597, ,789,661 Liabilities related to pensions and other benefits (Note 47) Total liabilities 70,763,328 - Net worth of the pension fund (68,072,518) - 2,690,810 - Charges payable For staff costs Provisions for holidays and holiday allowance 21,945,224 22,792,152 Seniority bonus 20,084,297 19,494,776 Other 1,917,897 1,750,644 General administrative overheads 38,150 55,404 Other 3,412,009 2,956,294 47,397,577 47,049,270 Revenue with deferred income Commissions on guarantees provided 543, ,093 Rents 398, ,629 Other 394, ,729 1,336,430 1,423,451 Notes 70

71 Amounts to be settled Transactions of securities to be settled 176,062 21,045,725 Multibanco clearing chamber - transit in real time 14,487,288 14,158,287 Foreign exchange position - 830,856 Electronic transfers 143, ,675 Amounts charged - direct debit system (SDD) 3 6 Off-setting of values 4,832,164 4,867,428 Other transactions to be settled 35,372,570 39,026,379 55,011,501 80,068, ,033, ,330,738 The Group recognises under "Other liabilities", the participation units of investment funds, which are included in the consolidation perimeter, held by entities outside the Group, due to being a liability, pursuant to AG29A and BC68 of IAS 32, and no longer recognises them under non-controlling interests. As at 31 December 2015, the heading Creditors and other funds Financial liabilities of insurance contracts refers to CA Vida contracts, with guaranteed rates, without discretionary profit-sharing, valued at amortised cost. The evolution between 31 December 2014 and 31 December 2015 was as follows: Amount managed Amounts Gain and loss variations Inflow Outflow (technical interest) Amount managed valued at amortised cost 255,327,738 1,701,345 13,300,992 8,549, ,277,846 The value indicated in the heading Transactions of securities to be settled derives from the variation observed at Caixa Central, entirely relative to the receivable balances of transactions within and outside the Stock Exchange (purchases and sales) carried out by and on behalf of customers, which are offset by the payable balances stated in the assets of the balance sheet under Other liabilities in the heading Transactions of securities to be settled. The decrease recorded in 2015 was due to the reinforcement of the control mechanisms relative to operating procedures, which enabled greater efficacy in closing transactions and positions, before the end of the year, thus reducing the situations pending settlement (see Note 21). As at 31 December 2015 and 2014, the balance of the heading Values to be settled Values collected - direct debit system (SDD) includes amounts under the direct debit system. The values recorded under this heading were charged to the customer of the paying entity, having been cleared through Banco de Portugal in the first days of January 2016 and 2015, respectively. Notes 71

72 As at 31 December 2015 and 2014, the balance of the heading Other transactions to be settled includes the Nostro accounts, namely in foreign currency, which remain pending the value date of the movement. The majority corresponds to transactions with value date in early January 2016 and 2015, respectively, with the transactions being settled at that time. 28. CONTINGENT LIABILITIES AND COMMITMENTS The contingent liabilities and commitments associated to the banking activities are recorded under offbalance sheet headings and present the following details: Guarantees provided and any other possible liabilities Guarantees and sureties provided 200,554, ,486,098 Assets given as guarantee 904,842,123 1,521,965,202 Open documentary credit 1,723,033 2,005,873 Assets given as guarantee - other assets 7,918,983 9,857,505 Guarantee deposits 17,494 17,494 Commitments to third parties Due to credit lines Irrevocable commitments 629,516, ,092,062 Revocable commitments 311,597, ,505,469 Due to securities underwritten 64,703,778 52,350,000 Potential liability in relation to the System of indemnity of investors 494, ,727 Liabilities due to services rendered Deposit and custody of values 1,272,004,330 1,141,122,272 Values administered by the institution 2,538,271,614 2,389,744,163 Values received for collection 52,831,314 68,641,332 Other 16,326,636 13,190,253 6,000,801,971 6,561,350,450 As at 31 December 2015 and 2014, the heading "Assets given as guarantee" includes the value of the securities included in the pool of collateral at Banco de Portugal to back financing operations from the Eurosystem. This heading also includes securities given as guarantee to cover repos contracted with other non-resident financial institutions. The entirety of the balance of the heading Commitments to third parties Due to subscription of securities corresponds to the underwriting of commercial paper. Although this is not recorded in the off-balance sheet accounts under the legal system of Mútuo, the Group is jointly liable for the non-financed amount of the pension funds of the Caixas Agrícolas which do not belong to SICAM (Note 49). Notes 72

73 29. CAPITAL The statutory share capital of Grupo, divided and represented by registered securities, with unit nominal value of 5 euros is 997,212,651 euros as at 31 December Of the total amount of underwritten capital, the amount of 1,834,295 euros was transferred to the liability heading Liability instruments representing capital, by application of IAS 32 Financial Instruments (Note 25). The publication of the new Legal System for Mutual Agricultural Credit, in Diário de República (Decree-Law 142/2009, of 16 June), as mentioned in the Introduction implied the adaptation of the Statutes of the Caixas de to the new Legal System which, at the limit, had to be amended by the date of the first mandatory general meeting held in 2010, as stipulated in the transitory provisions in article 5 of Decree- Law 142/2009 of 16 June. Therefore, during 2009 and in early 2010, the Statutes of the CCAM were amended and approved at the General Meeting, in order to assure the General Meeting's decision on the exoneration of associates. This is why the registered securities underwritten by its associates continued under the same classification of equity, under the terms of IAS 32, with the exception of those classifiable under liabilities, also as defined in IAS 32. Pursuant to the Statutes of the Caixas Agrícolas, the conditions of exoneration of the associates are as follows: Up to 31 October of each year, the associates may either present their exoneration or request a reduction of their participation, by letter addressed to the Board of Directors, in accordance with the following conditions: At least three years must have elapsed after the equity securities have been paid up. The reimbursement must not lead to a reduction in the share capital to a figure below the minimum amount stipulated in the statutes nor imply default or the worsening of default in any relationship or prudential limits established by the law or Banco de Portugal in relation to Caixa Agrícola. The exoneration takes effect after approval by the General Meeting that deliberates on the report and accounts for the year when the request is submitted. Associates that are exonerated or have reduced their participation are entitled to the reimbursement of their equity securities, under the terms of number 7 of article 8 of the Statutes, although the Board of Directors may order suspension of the reimbursement as established in number 8 of this same article 8. The reimbursement may be made in three annual instalments, unless a shorter timeframe is decided by the Board of Directors. Notes 73

74 The share capital was increased during 2015, once by the value of 23,084,695 euros by incorporation of reserves, and on another occasion by the value of 14,107,280 euros due to the entry of new shareholders. As at 31 December 2015 and 2014, the statutory capital corresponded to the associates of the following Caixas Agrícolas: Notes 74

75 CCAM de Pombal, CRL 55,968,130 55,966,520 CCAM Batalha, CRL 43,504,865 42,371,290 CCAM Alto Douro, CRL 37,777,960 35,146,765 CCAM Costa Azul, CRL 33,732,655 32,528,440 CCAM Açores, CRL 31,140,940 30,938,910 CCAM do Noroeste, CRL 29,299,825 28,515,900 CCAM Alto Cávado e Basto, CRL 28,277,960 27,276,835 CCAM da Serra da Estrela, CRL 27,271,845 24,981,050 CCAM do Vale do Távora e Douro, CRL 22,028,050 20,506,985 CCAM C. da Rainha, Óbidos e Peniche, CRL 21,476,830 21,457,800 CCAM Terras Sousa, Ave, Basto e Tâmega, CRL 19,749,060 18,707,405 CCAM do Sotavento Algarvio, CRL 18,779,800 18,641,035 CCAM de Trás-os-Montes e Alto Douro, CRL 18,414,025 17,863,245 CCAM de Vale de Sousa e Baixo Tâmega, CRL 18,339,515 16,991,895 CCAM de São Teotónio, CRL 17,782,235 17,752,555 CCAM P. Varzim, V. Conde e Esposende, CRL 17,105,535 17,267,550 CCAM do Baixo Mondego, CRL 16,989,845 16,292,150 CCAM Beira Douro, CRL 15,290,045 14,984,280 CCAM de Alcobaça, CRL 14,176,825 13,622,050 CCAM Coimbra, CRL 14,146,290 14,073,660 CCAM Alenquer, CRL 13,538,405 13,498,925 CCAM Vale do Dão e Alto Vouga, CRL 13,459,715 12,733,555 CCAM da Zona do Pinhal, CRL 12,364,420 12,215,150 CCAM S. Bart. Messin. e S. Marcos Serra, CRL 12,273,135 11,983,340 CCAM do Baixo Vouga, CRL 12,131,330 12,128,750 CCAM de Terras de Viriato, CRL 11,864,195 11,212,055 CCAM Ribatejo Norte e Tramagal, CRL 11,813,630 11,917,000 CCAM S. João da Pesqueira, CRL 11,786,570 11,730,170 CCAM Lourinhã, CRL 11,366,870 10,813,045 CCAM Beja e Mértola, CRL 11,132,025 11,092,280 CCAM Costa Verde, CRL 10,901,940 10,829,440 CCAM do Guadiana Interior, CRL 10,716,340 10,802,320 CCAM Salvaterra de Magos, CRL 10,627,565 10,565,590 CCAM Coruche, CRL 10,481,530 10,464,600 CCAM Região do Fundão e Sabugal, CRL 10,175,755 9,683,090 CCAM da Terra Quente, CRL 10,103,370 9,535,585 CCAM Albufeira, CRL 9,946,260 9,950,230 CCAM de Silves, CRL 9,681,130 9,509,415 CCAM Loures, Sintra e Litoral, CRL 9,392,770 9,352,325 CCAM de Cantanhede e Mira, CRL 9,170,035 8,962,585 CCAM Médio Ave, CRL 9,089,360 9,001,170 CCAM Estremoz, CRL 9,033,760 8,257,570 CCAM Área Metropolitana do Porto, CRL 8,261,360 7,764,555 CCAM Nordeste Alentejano, CRL 8,174,805 7,949,135 CCAM de Lafões, CRL 8,107,790 8,011,775 CCAM Cadaval, CRL 8,055,610 7,141,330 CCAM Ferreira do Alentejo, CRL 7,890,770 7,876,530 CCAM Oliveira de Azeméis e Estarreja, CRL 7,828,780 7,787,815 CCAM de Moravis, CRL 7,648,010 7,557,180 Notes 75

76 CCAM Arruda dos Vinhos, CRL 7,420,535 7,036,185 CCAM Oliveira do Bairro, CRL 7,354,865 7,261,260 CCAM Alentejo Central, CRL 7,066,525 6,922,385 CCAM da Bairrada e Aguieira, CRL 7,029,270 6,952,135 CCAM Terras de Miranda do Douro, CRL 7,010,715 6,463,665 CCAM Aljustrel e Almodovar, CRL 7,008,025 5,354,715 CCAM Arouca, CRL 6,748,490 6,725,385 CCAM Paredes, CRL 6,606,170 6,127,695 CCAM Porto de Mós, CRL 6,536,415 6,205,945 CCAM Alcácer-Sal e Montemor-Novo, CRL 6,509,610 6,454,550 CCAM Beira Centro, CRL 6,446,805 6,304,945 CCAM Vila Franca de Xira, CRL 6,435,430 6,071,025 CCAM Vila Verde e Terras do Bouro, CRL 6,408,225 5,098,080 CCAM do Algarve, CRL 6,322,766 6,130,711 CCAM do Ribatejo Sul, CRL 6,194,135 6,119,700 CCAM Elvas e Campo Maior, CRL 6,156,375 6,162,225 CCAM Sousel, CRL 6,009,425 5,947,125 CCAM Mogadouro e Vimioso, CRL 5,838,055 5,518,760 CCAM Azambuja, CRL 5,776,525 5,435,210 CCAM do Norte Alentejano, CRL 5,683,210 5,441,875 CCAM Sobral de Monte Agraço, CRL 5,582,920 5,463,605 CCAM Pernes, CRL 5,503,335 5,468,685 CCAM Anadia, CRL 5,470,445 5,461,075 CCAM Entre Tejo e Sado, CRL 5,438,295 5,192,025 CCAM Oliveira do Hospital, CRL 5,247,765 5,030,615 CCAM de Albergaria e Sever, CRL 5,216,065 5,021,975 CCAM Borba, CRL 5,202,800 5,130,335 CCAM Vagos, CRL 5,173,850 5,050,695 CCAM Alcanhões, CRL 5,161,125 5,014,160 CCAM da Beira Baixa (Sul), CRL 5,134,840 4,971,490 CCAM Serras de Ansião, CRL 5,122,795 4,064,025 CCAM Cartaxo, CRL 5,081,320 4,965,430 CCAM Vale de Cambra, CRL 5,046,055 5,018, ,212, ,798,891 As at 31 December 2015 and 2014, the shareholder structure of GCA is distributed over thousands of underwriters of shares in the Caixas Agrícolas, where no single shareholder has a stake above 0.1%. Notes 76

77 30. RESERVES AND RETAINED EARNINGS As at 31 December 2015 and 2014, the headings of reserves and retained earnings were detailed as follows: Revaluation reserves: Reserves derived from measurement at fair value, net: Of financial assets available for sale 17,610,917 81,918, Fixed asset revaluation reserves 6,111,050 6,269,081 Other revaluation reserves - pension fund (Note 47) 4,708,945 10,539,462 Other (2,407,583) (3,229,241) ,023,329 95,497, Other reserves 311,892, ,064,960 Retained earnings (186,142,240) (187,860,896) ,750, ,204, Profit for the year (Note 31) 54,112,494 26,883, ,886, ,585,383 ========= ========= The value indicated in Other reserves is distributed among the following statutory reserves: Legal reserve 253,059, ,304,811 Statutory reserve 843, ,333 Special reserve 23,862,565 26,157,624 Reserve for cooperative training and education 4,199,604 4,203,222 Reserve for mutualism 3,738,433 3,671,132 Reserves for differences in capital repayments 1,043,174 1,043,174 Reserves for remun. of equity securities in following years 1,471,381 1,578,149 Reserves for capital rights of the associates 241,539 8,407 Other reserves 23,432,813 22,297, ,892, ,064,960 Legal reserve Notes 77

78 The legal reserve is intended to cover any losses for the year. Pursuant to article 33 of the statutes of the Caixas, the legal reserve is annually credited with 20% of the net annual surplus and any other amounts paid in by the associates to this end, until its amount is equal to the capital. Reserve for cooperative training and education The reserve for cooperative training and education is intended to finance expenses related to technical, cultural and cooperative training of the associates, management and employees of Caixa Central, being reinforced with additional funds of the maximum of 2.5% of the net annual surplus, along with any other amounts obtained for this purpose. Reserve for mutualism The reserve for mutualism is intended to cover the cost of mutual assistance required by associates or employees, being credited with the maximum of 2.5% of the net annual surplus. Revaluation reserves This heading includes the revaluation reserve derived from the measurement at fair value of the financial assets available for sale and the revaluation of fixed assets. This reserve cannot be distributed, although it may be used, in situations following the revaluation of fixed assets, to increase the share capital or cover losses, according to their use (amortisation) or divestment of the assets to which it refers. Notes 78

79 31. CONSOLIDATED PROFIT During 2015, the determination of the consolidated profit can be summarised as follows: Dec.2015 Profit for the year of the Caixas de Mútuo (1) 49,808,963 Profit for the year of the Caixa Central de Mútuo 4,961,464 54,770,427 Impact on net income of the reconciliation of common balances at SICAM 1,540,688 Net income of SICAM 56,311,115 Net income of all the other Group companies: SGPS S.A. 30,562,856 Seguros Companhia de Seguros de Ramos Reais, S.A. 10,172,173 Vida, Companhia de Seguros S.A. 6,717,282 Gest - Sociedade Gestora de Fundos de Investimento Mobiliário S.A. 534,704 Informática - Serviços de Informática S.A. 395,900 Consult - Acessoria Financeira e de Gestão S.A. 235,041 FII ImoValor CA 74,109 Serviços - ACE (2) - Seguros e Pensões SGPS S.A. (186) Agrocapital - Sociedade de Capital de Risco S.A. (26,699) Fenacam - Federação Nacional das Caixas de Mútuo FCRL (394,903) CCCAM Gestão de Investimentos Unipessoal Lda (560,190) FII CA Arrendamento Habitacional (4,805,582) CA Imóveis, Unipessoal Lda (5,725,049) FII CA Imobiliário (11,903,818) 25,275,638 Annulment of the reinforcement of provisions for impairment in affiliates and associates recorded in the individual accounts of the Group companies 696,204 Annulment of the impairment in PUs of the Real Estate Investment Funds recorded in the year 34,287,659 Earnings from application of the equity method to associates (202,230) 34,781,633 Adjustment of intergroup relations and annulment of common balances: Adjustment of impairment in real estate properties held in FII CA Imobiliário, due to devaluation of (13,577,787) Annulment of the gains of the intergroup sales of financial stakes of the entities CA Vida and CA Seguros (58,529,729) Adjustment of provisions for additional paid-in capital of CA SGPS in CCCAM GI and CA Imóveis 6,050,199 Correction of the fair value of investment properties 4,241,450 AID reinforcement in consolidation adjustments and annulments 3,715,312 Adjustment - sibs shares from CH to JV (1,130,727) Annulment of gains and losses in intergroup real estate property sales 245,400 Annulment of insurance mediation commissions paid to the CCAMs 66,891 Annulment of insurance premiums charged to CA Group companies 1,217,417 Annulment of intergroup dividends (4,186,540) Earnings of non-controlling interests of investment funds 12,879 Other consolidation adjustments (120,295) (61,995,531) 54,372,856 Earnings attributable to non-controlling interests (260,362) Consolidated profit for the year of Grupo 54,112,494 (1) This value derives from the sum of the net income of all the Caixas belonging to SICAM. (2) At the end of each year, the net income of the ACE is divided in the invoicing to Group entities, in proportion to the total invoiced in that same year Notes 79

80 32. NON-CONTROLLING INTERESTS The value of third party stakes in companies of the Group, in 2015 and 2014, is distributed by entity as follows: The movement in non-controlling interests during the years ended on 31 December 2015 and 2014 was as follows: % Income % Income held Balance Sheet Statement held Balance Sheet Statement Seguros 97.40% 1,278,454 (264,476) 97.40% 1,100,877 (88,247) Agrocapital SCR 66.67% 328,824 8, % 337,723 (1,760) Informática 99.45% 38,598 (2,177) 99.45% 36,421 (1,728) Vida 99.96% 32,331 (2,687) 99.92% 64,949 (3,248) Seguros e Pensões 99.98% 25, Fenacam 99.98% % 1,056 (18) 1,704,701 (260,362) 1,541,026 (95,001) Non-controlling interests as at 31 December ,269,986 ======== Net income for the year attributable to non-controlling interests: Seguros 88,247 Agrocapital SCR 3,248 Credito Agrícola Vida 1,760 Credito Agrícola Informática 1,728 Fenacam ,001 Variation in the equity (revaluation reserves) of insurers (366,041) Non-controlling interests as at 31 December ,541,026 ======== Net income for the year attributable to non-controlling interests: Seguros 264,476 Credito Agrícola Vida 2,687 Credito Agrícola Informática 2,177 Agrocapital SCR ( 8,899 ) Fenacam ( 79 ) ,362 Variation in the equity (revaluation reserves) of insurers ( 96,687 ) Non-controlling interests as at 31 December ,704,701 ======== Notes 80

81 33. INTEREST AND SIMILAR INCOME This heading is detailed as follows: Interest of deposits at central banks 51, ,852 Interest of deposits in other credit institutions: Cash balances at domestic credit institutions 1,909 2,105 Cash balances at credit institutions abroad 1,391 1,139 3,300 3,244 Interest of investments in credit institutions: Investments in domestic credit institutions 233, ,738 Investments in credit institutions abroad 25,569 1, , ,940 Interest of credit to customers: Loans 170,414, ,231,111 Housing 39,980,628 42,033,366 Credit in current accounts 21,649,340 26,895,289 Current account overdrafts 5,884,130 6,586,730 Other 42,216,741 42,512, ,145, ,258,591 Interest of overdue credit 14,922,481 16,797,262 Interest of other financial assets measured at fair value through profit or loss Interest on financial assets held for sale 4,187, ,681,322 2,920, ,899,627 Interest of financial assets held for trading 7,160,837 7,189,752 Interest on investments held to maturity 6,397,478 13,830,434 Other interest and similar income 14,224,259 15,738, ,573, ,375, ,032, ,548, INTEREST AND SIMILAR COSTS This heading is detailed as follows: Interest of customer funds and other loans 86,828, ,481,977 Interest of funds of other credit institutions 1,538,091 1,152,905 Interest of funds of central banks 602,403 1,902,969 Interest of trading financial liabilities derivative financial instruments Discount of transactions of bonds in the capital market 213, , , ,196 Interest of subordinated liabilities 2,432,086 2,512,122 Other interest and similar costs 85,360,724 78,954, ,385, ,608,508 Notes 81

82 35. INCOME FROM EQUITY INSTRUMENTS This heading is detailed as follows: Financial assets available for sale Issued by residents 1,003, ,331 Issued by non-residents 1,001, ,978 2,005,267 1,641,309 As at 31 December 2015 and 2014, the value relative to dividends receivable from securities issued by residents refers to equity instruments, contained in the portfolios of securities of CA Vida. The value of dividends of securities issued by non-residents refers to securities of the CIMD Group, held by SGPS. 36.INCOME FROM SERVICES AND COMMISSIONS This heading is detailed as follows: For guarantees provided Guarantees and sureties 4,819,215 5,359,602 Open documentary credit 81,708 85,487 4,900,923 5,445,089 For commitments assumed before third parties Irrevocable commitments Irrevocable credit lines 6,129,613 6,381,981 Other irrevocable commitments 1,592,965 1,508,901 7,722,578 7,890,882 For services rendered Lending operations Other credit operations 25,541,282 24,897,790 Annuities 6,208,539 6,143,778 Transfer of values 2,277,678 2,857,861 Collective investment undertakings in securities Management commission 2,351,885 2,013,389 Collection of values 513, ,590 Deposit and custody of values 1,333,396 1,220,358 Management of cards 102,812 90,059 Other services rendered Placement and marketing 4,449,411 4,281,417 Other interbank commissions 389, ,217 Other 27,062,995 27,078,575 70,230,287 69,531,034 For transactions conducted on account of third parties For securities In Stock Exchange transactions 98, ,618 In transactions outside the Stock Exchange 1,121 7,776 Other transactions conducted on behalf of third parties 17,882 54, , ,373 Other commissions received 33,374,989 34,864, ,346, ,946,225 Notes 82

83 37. COSTS OF SERVICES AND COMMISSIONS This heading is detailed as follows: For guarantees received 5, For banking services provided by third parties Deposit and custody of values 1,366,298 1,216,480 Collection of values 24,827 30,095 Administration of values 40,635 48,114 Other banking services provided by third parties 8,315,163 7,974,052 For operations conducted by third parties 5,984,254 6,132,099 Other commissions paid 2,329,886 1,943,528 18,066,289 17,344, EARNINGS FROM ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS This heading is detailed as follows: 2015 Gains Losses Net Financial assets held for trading: Securities 44 (13,316,097) (13,316,053) Trading derivatives 1,523,949 (2,546,646) (1,022,697) Other financial assets at fair value through profit or loss 1,149,135 (2,276,655) (1,127,520) 2,673,128 (18,139,398) (15,466,270) 2014 Gains Losses Net Financial assets held for trading: Securities 535,713 (5,423,591) (4,887,878) Trading derivatives 1,434,522 (69,456) 1,365,066 Other financial assets at fair value through profit or loss 4,191,690 (105,273) 4,086,417 6,161,925 (5,598,320) 563, EARNINGS FROM FINANCIAL ASSETS AVAILABLE FOR SALE This heading is detailed as follows: Issued by residents Debt instruments 26,058,493 28,322,247 Equity instruments 9,736, ,211 Issued by non-residents Debt instruments 69,148, ,645,599 Equity instruments (6,190) - 104,937, ,693,057 As can be seen, the largest value essentially refers to capital gains received from the divestment of foreign public debt securities, recorded in the portfolio of financial assets held for sale, which also shows the Notes 83

84 greatest variation, with a reduction of gains of approximately 110,496,655 euros, compared to 2014, due to the lower appreciation of the portfolio. 40. EARNINGS FROM FOREIGN CURRENCY CONVERSION REVALUATION During 2015 and 2014, the earnings relative to foreign currency conversion revaluation correspond to spot foreign exchange transactions, of the total value of 2,736,781 euros and 847,325 euros, respectively. The earnings derived from the revaluation of monetary assets and liabilities expressed in foreign currency are reflected in this heading. Being spot transactions, they refer to transactions settled within two business days or less. 41. EARNINGS FROM DIVESTMENT OF OTHER ASSETS This heading is detailed as follows: Earnings from non-financial assets Non-current assets held for sale (6,126,422) (6,726,325) Other tangible assets (542,333) (833,332) Other non-financial assets - (26) (6,668,755) (7,559,683) Notes 84

85 42. OTHER NET OPERATING INCOME This heading is detailed as follows: Other operating income Rents 5,368,580 4,903,362 Reimbursement of expenses 2,458,180 2,408,991 Recovery of credit, interest and expenses Recovery of uncollectible credit 9,462,650 9,931,239 Recovery of interest and expenses of overdue credit 15,103,160 15,583,531 Income from miscellaneous services rendered 3,922,815 3,764,625 Unrealised gains - investment properties 4,241,450 - Gains relative to previous years 1,015, ,342 Earnings from investment funds incorporated in the consolidation perimeter Other 12,879 9,834,992 36,734 11,608,446 51,420,654 49,186,270 Other operating costs Levies and donations (1,350,856) (1,315,561) Contributions to the Resolution Fund of Mútuo (3,144,471) (4,816,446) Other taxes (6,255,743) (6,223,875) Flaws in management and execution of procedures (247,828) (140,508) Other operating charges and costs relative to previous years (2,204,891) (1,363,735) Other operating charges and costs (38,138,253) (48,997,026) (51,342,042) (62,857,151) 78,612 (13,670,881) The large value in other operating charges and costs refers to the amount of unrealised losses in assets held by the real estate investment funds, which stood at 7,560,422 euros at the end of 2015 (31,913,112 euros in 2014). This variation is due to the fact that the entirety of the real estate portfolio of FII CA Imobiliário was revalued in 2014, which was reflected in potential losses for that year. Notes 85

86 43. TECHNICAL MARGIN OF INSURANCE ACTIVITY The composition of this heading is as follows: Premiums net of reinsurance Life branch Gross premiums issued 342,946, ,188,728 Assigned reinsurance premiums (6,240,514) (6,287,524) 336,706, ,901,204 Non-life branch Gross premiums issued 87,075,428 81,285,125 Assigned reinsurance premiums (18,330,523) (15,977,538) 68,744,905 65,307,587 Costs related to claims 405,451, ,208,791 Amounts paid Gross amounts 254,575, ,426,463 Portion of the reinsurers (8,011,517) (9,478,215) 246,563, ,948,248 Variation of technical provisions, net of reinsurance (Note 18) (139,226,127) (188,757,800) 19,661,279 (21,497,257) Notes 86

87 44. STAFF COSTS This heading is detailed as follows: Salaries and wages Employees 137,009, ,788,477 Management and Supervisory Bodies 15,083,237 14,555,961 Mandatory social security charges Pension Funds (Note 46) Current service cost 497, ,352 Interest costs 20, ,792 Insurance premiums paid - 1,045,897 Charges relative to remunerations: Social Security 30,173,551 29,720,516 SAMS 6,401,373 6,260,669 Other 226, ,918 Other compulsory social charges 1,090, ,896 Optional social charges 82,138 49,563 Other staff costs: Contractual indemnities 1,592,866 1,017,441 Other 1,116, , ,295, ,134,660 The average number of employees of Grupo in 2015 and 2014 is detailed as follows: Directors Management Technical staff Commercial staff 1,639 1,652 Administrative staff Other ,166 4,237 Notes 87

88 45. GENERAL ADMINISTRATIVE OVERHEADS This heading is detailed as follows: Related to supplies: Water, energy and fuel 6,842,392 7,242,968 Consumables 994, ,576 Publications 226, ,368 Hygiene and cleaning material 126, ,788 Material for assistance and repair 40,529 45,346 Other third party supplies 1,293,578 1,279,048 9,522,986 9,848,094 Related to services: Communications 11,923,046 11,375,031 Maintenance and repair 7,256,860 7,320,708 Advertising and publishing 6,119,425 6,322,296 Travel and representation costs 5,016,654 5,234,529 Hire and rental charges 6,829,848 6,483,222 Transport 2,347,663 2,148,297 Insurance 1,014, ,387 Staff training 705, ,944 Specialised services: Information technology 15,117,089 14,893,659 Retainers and fees 7,723,668 8,158,733 Legal and notary expenses 3,147,716 3,433,111 Security and surveillance 1,148,461 1,117,241 Information 1,578,731 1,401,759 Occasional manpower 201, ,071 Database 181, ,838 Other specialised services: Multibanco services 7,028,150 7,301,317 External valuators 1,813,082 1,946,426 Other third party services 19,471,154 18,279,332 98,624,140 97,451,901 The heading Other specialised services other third party services includes the value of 2,260,226 euros relative to the total fees invoiced by the chartered accountants during 2015 (2,446,082 euros in 2014), disclosed for effects of compliance with the amendment introduced by Decree-Law 185/2009, of 12 August, to article 66-A of the Commercial Companies Code. 108,147, ,299,995 Notes 88

89 46. RELATED ENTITIES As at 31 December 2015, the amount of credit granted to members of the governing bodies relative to the Caixas Agrícolas incorporated in GCA reached 18,195,141 euros (17,684,106 euros as at 31 December 2014). The total amount of remunerations received by the members of the governing bodies of the entities composing Grupo, relative to 2015, stood at 15,730,028 euros. 47. RETIREMENT PENSIONS AND HEALTHCARE Actuarial studies have been conducted by Companhia de Seguros Vida, S.A. (an entity of Grupo ) relative to current and retired employees in order to determine Grupo Crédito Agrícola's liabilities due to past services. The amendments, published in June 2011, to IAS 19, the international accounting standard establishing the treatment of employee benefits, were enforced from 1 January 2013 onwards. The transition period for implementing the amendments to IAS 19 ended at the end of 2013, and all companies that have adopted this standard for the accounting statement of employee benefits (pension plans) are obliged to reflect the amendments to IAS during Therefore, the financial statements now have to report this with regard to 2013, and must follow the amendments to IAS 19 which entered into force on 1 January This has altered the accounting policy for recognising actuarial deviations in pension plans. The corridor method is no longer used, and the former recording under "other assets" or other liabilities" is no longer made. Actuarial gains and losses are now recognised directly in equity, under the heading "Other reserves". As at 31 December 2015, the value recorded under revaluation reserves comprehensive income, regarding the actuarial gains and losses was positive by 4,708,945 euros (the value relative to 2014 was also positive by 10,539,462 euros). The amendments to IAS 19 implies the application of a single rate to the plan's liabilities and assets, with the net income of the pension plan now corresponding only to current costs and net expenditure on interest. The impact on net income is recognised under the heading Staff costs, which refers to value of costs related to current service and net interest, to the amount of 518,257 euros (1,506,041 euros in December 2014) (Note 44). Notes 89

90 The actuarial and financial assumptions used in the calculation of the liabilities as at 31 December 2015 and 2014 were as follows: 31/12/ /12/2014 Demographic assumptions Mortality table TV 88/90 TV 88/90 Invalidity table EVK 80 EVK 80 Retirement age (**) (**) Assessment methods Projected Unit Credit Projected Unit Credit Financial assumptions: Discount rate (*) (*) Growth rate of wages and other benefits 1.40% 1.40% Growth rate of pensions 1.00% 1.00% Wage revaluation rate for Social Security: - pursuant to n.2, article 27 of Decree-Law 187/ % 1.40% - pursuant to n.1, article 27 of Decree-Law 187/ % 1.40% (*) Different discount rate for different groups of the population: Active workers and Licenses with actuarial age < 55 years old: 2.70% 3.25% Active workers and Licenses with actuarial age 55 years old: 2.30% 2.75% Pre-retired, retired and and pensioners: 2.00% 2.25% (**) Pursuant to Decree-Law 167-E/2013 The liabilities related to retirement pensions, as at 31 December 2015 and 2014, of the Pension Fund (FPCAM) and their coverage present the following details: Estimated liabilities due to past services: Active and former employees 44,717,700 38,699,267. Unpaid leave 1,549,686 1,400,442. Early retirement 3,817,190 2,428,459. Pensions under payment 20,659,246 20,370, Total liabilities 70,743,824 62,898,329 ========= ========= Coverage of liabilities:. Net worth of the Fund (Note 21) 68,072,518 63,189, Surplus /(shortfall) ( 2,671,306 ) 291,506 ========= ========= Banco de Portugal Notice 4/2005 determines that it is compulsory for pension funds to assure the full financing of pension liabilities under current payment and a minimum level of 95% of liabilities related to past service of current personnel. However, it establishes a transitional period between 5 and 7 years for coverage of increased responsibilities derived from the adoption of IAS 19. During 2008, Banco de Portugal Notes 90

91 issued Notice 7/2008 on 14 October 2008, allowing deferral of the impact of transition described above for an additional period of three years, beyond the initially stipulated period. Caixa Agrícola has decided to extend the deferral of the transition impacts as permitted by the Notice referred to above. The SICAM Pension Fund covers the Caixas de Mútuo of Leiria, Torres Vedras and Mafra. However, they are not part of the consolidation perimeter of Grupo. As at 31 December 2015, GCA's balances do not include the amounts of these Caixas Agrícolas. The liabilities of these Caixas Agrícolas calculated under the terms of IAS 19, and the respective share in the value of the Fund as at 31 December 2015, are broken down as follows: Total liabilities due to past services ( 4,250,529 ) Coverage of liabilities:. Net worth of the Fund 4,158, Surplus / (shortfall) ( 91,994 ) ======== As at 31 December 2015 and 2014, the balances relative to the pension fund are as follows (Note 21): Value of liabilities related to pensions ( 70,763,328 ) ( 62,898,329 ) Value of the Pension Fund 68,072,518 63,189, Differential ( 2,690,810 ) 291,506 ======== ======== The book value of the liabilities related to the pension fund, apart from the value relative to the Pension Fund of Mútuo FPCAM (70,743,824 euros), includes liabilities undertaken by other entities of the Grupo. These liabilities also include the net value of the financing of the autonomous pension fund of the insurers, corresponding to defined contribution plans, rather than defined benefit plans as is the case of FPCAM, being of the total value of 19,504 euros in As a result of the policy alteration due to implementation of IAS 19 Revised, the actuarial deviations are no longer deferred, and are now recorded directly in comprehensive income, under a heading of revaluation reserves. Pursuant to IAS 19 Revised, the value recorded for the year through profit or loss includes the cost of past services and net interest. The service cost includes the cost of current services, the cost of past services and gains or losses upon settlement, minus expected income. Although of materially insignificant, in 2015, it was decided that the values recorded for the year relative to the insurance premiums paid and income from Notes 91

92 insurance should be considered and integrated in comprehensive income and not through profit or loss for the year. During 2015 and 2014, the costs related to pensions were detailed as follows: Cost of net interest 20, ,792 Cost of current service 497, ,352 Insurance premiums paid - 1,045, Annual increase of liabilities 518,257 1,433,959 ======== ======= Pursuant to Banco de Portugal Circular Letter 106/08/DSBDR of 18 December, from 2008 onwards, the cost of current service and net interest shall be recorded in the heading "Staff costs" (Note 44). Notes 92

93 The movement which occurred in the value of the liabilities during 2014 and 2015 was as follows: Liabilities as at 31 December ,496, Cost of current service 341,352 Contributions of the employees 1,425,948 Net interest 2,152,077 Actuarial gains and losses ( 1,157,948 ) Pensions paid ( 946,751 ) SAMS paid by the Pension Fund ( 412,918 ) Liabilities as at 31 December ,898, Cost of current service:. of Group entities (GCA) 497,701. contribution of the participants (employees) 1,472,618 Net interest 1,807,842 Actuarial gains and losses:. alteration of financial assumptions (discount rate) 6,193,241. alteration of demographic assumptions and experience of gains and losses ( 775,706 ) Pensions paid ( 925,048 ) SAMS paid by the Pension Fund ( 425,145 ) Liabilities as at 31 December ,743,824 ======== The average duration of the liabilities related to pensions, taking into account the created population groups, was as follows: - Active workers and those on unpaid leave aged < 55 years old: 27.8 years; - Active workers and those on unpaid leave aged 55 years old: 16.8 years; - Early retired, Retired and Pensioners: 11.7 years. Notes 93

94 The movement in the Pension Fund during 2014 and 2015 was as follows: Net worth as at 31 December ,395, Contributions of Grupo 628,014 Contributions of the employees 1,425,948 Capital received from insurance 19,462 Net income of the Fund 5,169,159 Participation in profit in insurance 957,468 Insurance premiums paid ( 1,045,897 ) Pensions paid ( 946,751 ) SAMS paid by the Pension Fund ( 412,918 ) Net worth as at 31 December ,189, Contributions of Grupo 4,643,179 Contributions of the employees 1,472,618 Capital received from insurance 420,354 Net income of the Fund 246,751 Participation in profit in insurance 820,604 Insurance premiums paid ( 1,370,636 ) Pensions paid ( 925,048 ) SAMS paid by the Pension Fund ( 425,145 ) Net worth as at 31 December ,072,518 ========= As at 31 December 2015, the assets incorporated in the Pension Fund of are composed of: Public debt (57.70%), corporate bonds (24.58%), shares (5.34%), related to real estate investments (1.54%) and other investment assets (10.84%). These assets are stated at fair value Public debt 41,679, % 15,740, % Corporate bonds 17,753, % 40,459, % Other investment assets 7,828, % 2,897, % Shares 3,858, % 6,929, % Assets related to real estate investment 1,111, % 1,082, % Total assets of the CAM Pension Plan 72,231,054 67,108,762 According to the actuarial report of the Pension Fund of Mútuo, the yield of the asset portfolio was positive 9.06% in This portfolio is structured as follows: Notes 94

95 Asset Categories Average Yield Public Debt 1.03% Corporate bonds -0.49% Euro shares 5.76% Non-Euro shares -0.20% Other investment assets -1.03% Assets related to real estate investment 2.69% a)risks associated to the benefits of the plan: The plan guarantees pensions for old age, disability, early retirement and survivors, as defined in the Collective Labour Agreement for the Mútuo institutions. The payment of pension refers to a supplementary scheme beyond the pensions paid by Social Security. The plan also foresees the payment of contributions for medical and social support after retirement. Hence, the risks associated to the benefits of the plan are as follows: - Risk of dependency on the benefits provided by the public Social Security schemes; - Risk of mortality during the period of formation of the benefit and risk of longevity during the retirement period; - Risk of disability of the participants; - Risk relative to early retirement. Currently, this risk is mitigated as the anticipation of the retirement age of the general Social Security system is suspended. Notes 95

96 b)presentation of sensitivity analyses on each significant actuarial assumption: Values in Euros Value of the liabilities Variation DISCOUNT RATE Increase by 50 basis points 67,996,307-6,998,048 Decrease by 50 basis points 83,127,113 8,132,758 GROWTH RATE OF PENSIONS Increase by 50 basis points 79,759,143 4,764,788 Decrease by 50 basis points 70,697,626-4,296,729 MORTALITY TABLE Adjustment of previous year 77,728,004 2,733,649 GROWTH RATE OF WAGES Increase by 50 basis points 78,483,384 3,489,029 Decrease by 50 basis points 71,869,013-3,125,342 The scenario of adjustment of the mortality table consisted in considering an age for the covered population of 1 year less than the actual age of the participants and beneficiaries. For the scenario of the wage growth rate, sensitivity analysis was conducted on the assumption of growth of the wage tables of the Collective Labour Agreement as well as on the wage subject to Social Security contributions. Furthermore, Grupo is committed to contributing to the seniority bonus of the employees (Note 29). As at 31 December 2015 and 2014, these liabilities are detailed as follows: Seniority bonus: Active and former employees 19,495,617 18,838,480. Unpaid leave 588, , Total liabilities related to seniority bonus (Note 27) 20,084,297 19,494,716 ========= ========= Notes 96

97 48. DISCLOSURES RELATIVE TO FINANCIAL INSTRUMENTS Market Risk Market risk represents any potential losses derived from an adverse change in the market value of a financial instrument as a consequence of variations in interest rates, exchange rates, share prices, commodity prices, credit spreads or other equivalent variables. The market risk management rules established by Caixa Central for each portfolio include limits of market risk regarding exposure to credit and liquidity risk, required yield, types of authorised instruments and permissible maximum loss levels. In order to mitigate the risks associated to an assessment of the risks incurred, a policy has been implemented of separation of duties between the execution of market transactions and the control of the risk incurred at any time during this execution. Any hedge operations can be proposed by the portfolio managers or those responsible for risk control, taking into account the risk limits and authorised instruments. In the case of CA Vida, the portfolio of securities is entirely managed by CA Gest, with investment policies being defined according to the risk that is intended to be taken and the desired yield, which stipulates limits of distribution by asset categories, by geographic areas and by credit risk, among others. The Insurer's portfolio is valued monthly based on inputs of the Management Entity. With respect to the management of credit and market risk of the portfolio of securities, CA Vida carries out the following controls: Permanent contact is ensured with the Management Entity, in order to assess the evolution of the portfolio; Monthly risk analysis reports are prepared by the Management Entity, with the respective analysis being made; and Regular meetings are held with the Management Entity, every month and whenever recommended by market outlook and evolution, with the re-definition of the portfolio risk profiles where necessary. Notes 97

98 The value at risk (VaR) of the portfolio as at 31 December 2015 is presented as follows: Monte Carlo Historic 1Y Market Value Duration Parametric VaR VaR VaR Position of Portfolio ,289,703, ,198,804 54,526,120 72,005,848 Variation relative to ,310, ,887,132-94,252, ,674,952 Foreign Exchange Risk Foreign exchange risk occurs as a result of changes in exchange rates for currencies whenever there is an open position in one of them. Control and assessment of foreign exchange risk are carried out on a daily basis, individually for each branch and in consolidated terms. Amounts and compliance with limits in terms of total position are calculated. Foreign exchange risk management is centralised at Grupo, being the responsibility of the Financial Department, within the limits approved by the Executive Board of Directors. Grupo has low exposure to this type of risk. Effectively, the profile defined for foreign exchange risk is very conservative and embodied in the coverage policy followed. Interest Rate Risk Grupo incurs interest risk whenever, during the course of its activity, it contracts operations with future financial flows whose present value is sensitive to interest rate variations. The overall interest rate risk incurred derives from various factors, namely: different periods regarding maturity or review of the rates of assets, liabilities and off-balance sheet items (repricing risk); alterations of the slope of the interest rate curve (curve risk); asymmetric variations of the different market curves which affect the different balance sheet and off-balance sheet values (base risk); and existence of explicit or implicit options in many banking products (option risk). The interest rate risk management policy is defined and monitored by the Asset and Liability Committee (ALCO). Grupo conducts monthly assessments of its exposure to this type of risk, using a methodology based on grouping various sensitive assets and liabilities at intervals of time in line with the rate review dates. For each interval, the assets and liabilities cash flow is calculated and the corresponding gap sensitive to interest rate risk is measured. An assessment is then made of the impact of these gaps on Notes 98

99 the evolution of net interest income and on the economic value of the entity in various scenarios of interest rate evolution. The risk/yield relationship is defined within limits and monitored every month by the ALCO in terms of the exposure of net interest income and the economic impact of adverse interest rate changes. At CA Vida, this risk is monitored on a daily basis, with observation of the differential between the amount of assets and liabilities that will be subject to interest rate repricing based on predefined intervals of time. The Company can sell trade derivative financial instruments, namely, by selling futures on interest rates, strictly for the purpose of hedging against the risk of asset variation. The use of futures only contemplates contracts that can be traded on the Stock Exchange or in regulated markets. The Company also trades interest rate swaps over-the-counter, aimed at assuring a suitable model for the financial flows generated by closed portfolios, traded and contracted with financial institutions whose rating is preferentially investment grade, in order to minimise the credit and/or counterpart risk in portfolios. As at 31 December 2015 and 2014, the exposure to interest rate risk, excluding derivatives, can be summarised as follows (values in thousand euros): 2015 Fixed Rate Variable Rate Sub-total Not subject to interest rate risk Total Assets Cash and deposits at Central Banks - 354, , ,214 Cash balances at other credit institutions - 67,593 67,593-67,593 Financial assets held for trading 35,305-35,305-35,305 Other financial assets at fair value through profit or loss 68,204-68,204-68,204 Financial assets available for sale 4,703, ,838 5,295,868 50,443 5,346,311 Investments in Credit Institutions 88,362 6,990 95,352 (224) 95,128 Credit to Customers (gross balance) 1,798,794 6,566,520 8,365,314 7,960 8,373,274 6,693,695 7,588,156 14,281,850 58,179 14,340,030 Liabilities Funds of central banks 385, , ,810 Financial liabilities held for trading Funds of other credit institutions 225,265 13, , ,007 Customer funds and other loans 7,448,485 3,427,786 10,876,271 33,815 10,910,085 Instruments representing equity ,634 1,634 Other subordinated debt - 119, , ,409 8,058,954 3,561,545 11,620,499 37,451 11,657,949 Derivatives held for trading 111, , ,925 Net Exposure (1,477,184) 4,026,611 2,549,427 20,729 2,570,155 Notes 99

100 2014 Fixed Rate Variable Rate Sub-total Not subject to interest rate risk Undetermined Total Assets Cash and deposits at Central Banks - 423, , ,408 Cash balances at other credit institutions - 78,252 78, ,252 Financial assets held for trading 31,796-31, ,796 Other financial assets at fair value through profit or loss 77,299-77, ,299 Financial assets available for sale 5,595,185 44,638 5,639, ,192 2,524 5,758,539 Investments in Credit Institutions 3,180-3, ,194 Credit to Customers (gross balance) 1,418,678 6,663,692 8,082,371 13,012 4,060 8,099,443 7,126,138 7,209,990 14,336, ,218 6,584 14,471,930 Liabilities Funds of central banks 980, , ,226 Financial liabilities held for trading Funds of other credit institutions 50,216 85, , ,156 Customer funds and other loans 10,404,350 78,444 10,482,794 50,134 3,681 10,536,609 Instruments representing equity ,256-2,256 Other subordinated debt - 142, , ,534 11,434, ,430 11,741,393 52,904 3,681 11,797,978 Derivatives held for trading 111, , ,925 Net Exposure (4,420,750) 6,903,560 2,482,810 76,314 2,903 2,562,027 As at 31 December 2015 and 20141, the composition of the financial instruments with exposure to interest rate risk according to their maturity or repricing date, excluding derivatives, is presented in the following table (values in thousand euros): 2015 Sight Up to 3 months 3 months to 1 year Repricing Dates / Maturity Dates 1 to 3 years 3 to 5 years Over 5 years Sub-total Not subject to interest rate risk Assets Cash and deposits at Central Banks 354, , ,214 Cash balances at other credit institutions 67, ,593-67,593 Financial assets held for trading , ,031-35,305-35,305 Other financial assets at fair value through profit or los ,560 25,166 11,592 68,204-68,204 Financial assets available for sale - 222,010 1,117, ,125 1,887,115 1,096,481 4,995, ,045 5,346,312 Investments in financial institutions 30,302-65, ,352 (224) 95,128 Credit to customers (gross balance) 1,915,828 2,633,109 3,485, ,644 73, ,568 8,365,315 7,960 8,373,275 2,367,937 2,855,119 4,682, ,553 2,007,245 1,257,641 13,981, ,781 14,340,030 Liabilities Funds of central banks , , ,810 Financial liabilities held for trading Funds of other credit institutions 85,381 50, , , ,007 Customer funds and other loans 2,853,979 3,562,208 4,212, ,717 9,618 18,636 10,886,154 23,931 10,910,085 Instruments representing equity ,634 1,634 Other subordinated debt 1,815 2,289 9,227 35,864 10,327 60, , ,409 2,941,176 3,615,026 4,325, ,781 19,944 79,004 11,630,381 27,568 11,657,949 Net Exposure (573,239) (759,907) 357, ,772 1,987,301 1,178,637 2,350, ,213 2,682,081 Total 2014 Sight Up to 3 months 3 months to 1 year Repricing Dates / Maturity Dates 1 to 3 years 3 to 5 years Over 5 years Sub-total Not subject to interest rate risk Undetermined Assets Cash and deposits at Central Banks 423, , ,408 Cash balances at other credit institutions 78, , ,252 Financial assets held for trading ,361 18,087 2,349 31, ,797 Other financial assets at fair value through profit or los ,642 51,973 20,683 77, ,298 Financial assets available for sale - 94, , ,665 1,630,856 2,945,405 5,642, ,192-5,758,539 Investments in financial institutions 11 3, , ,194 Credit to customers (gross balance) 1,877,531 2,670,675 3,172, ,954 75, ,314 8,086,431 13,012-8,099,443 2,379,201 2,768,226 3,390, ,622 1,776,469 3,115,751 14,342, ,218-14,471,930 Liabilities Funds of central banks - 595, , , ,226 Financial liabilities held for trading Funds of other credit institutions 71,720 36,893 25,355 2, , ,156 Customer funds and other loans 1,491,513 2,283,274 5,253,328 1,447,946 6,102 4,312 10,486,475 50,134-10,536,609 Instruments representing equity ,256-2,256 Other subordinated debt ,874 19,835 38,080 61, , ,534 1,563,233 2,915,641 5,300,580 1,469, ,382 66,269 11,744,953 53,025-11,797,978 Net Exposure 815,968 (147,415) (1,910,138) (557,227) 1,347,087 3,049,482 2,597,759 76,193-2,673,952 Total Notes 100

101 Considering the values presented above, there is relevant exposure to interest rate risk, both in terms of net interest income and the economic value of the capital. This risk measures the impact of a variation of interest rates, positive or negative, on these indicators according to net exposure in the different time intervals. The table below presents the sensitivity analysis for the interest rate risk to which the Group was exposed at 31 December 2015 and This analysis was based on a simulation involving assets and liabilities sensitive to a 200 basis point variation in the reference rate (values in thousand euros): 2015 Impact derived from variation of the reference interest rate bp bp - 50 bp + 50 bp bp bp Assets Cash and deposits at Central Banks 55,405 23,485 10,849 (9,322) (17,340) (30,188) Cash balances at other credit institutions (0) (0) (0) Financial assets held for trading 1, (434) (859) (1,685) Other financial assets at fair value through profit or loss 3,390 1, (809) (1,607) (3,147) Financial assets available for sale 453, , ,508 (102,412) (202,128) (387,368) Investments in financial institutions (24) (48) (95) Credit to customers (gross balance) 252, ,505 58,850 (56,208) (109,923) (210,428) 767, , ,497 (169,208) (331,905) (632,909) Liabilities Funds of central banks 21,920 10,750 5,323 (5,223) (10,348) (20,314) Funds of other credit institutions 1, (384) (765) (1,517) Customer funds and other loans 73,954 36,593 18,203 (18,020) (35,860) (71,019) Other subordinated debt 3,377 1, (797) (1,577) (3,084) Financial liabilities held for trading ,819 49,770 24,729 (24,424) (48,550) (95,935) Impact on economic value 666, , ,769 (144,785) (283,355) (536,975) The Sensitivity Analysis Table shows the variation in the theoretical market value of various Asset and Liabilities headings in various scenarios of variation in market interest rates (+50bp, +100bp, +200bp, -50bp, -100bp, -200bp), which required updating the cash flow associated to each operation in the different market scenarios considered. The variation of residual values in absolute terms (Assets minus Liabilities) can be interpreted as the impact on the economic value of the Group s Equity Impact derived from variation of the reference interest rate bp - 100bp - 50 bp + 50 bp bp bp Assets Cash and deposits at Central Banks (199) (388) (743) Cash balances at other credit institutions (0) (0) (1) Financial assets held for trading 2,496 1, (586) (1,159) (2,262) Other financial assets at fair value through profit or loss 6,644 3,236 1,589 (1,544) (3,055) (5,924) Financial assets available for sale 670, , ,432 (151,296) (297,683) (571,662) Investments in financial institutions (0) (1) (1) Credit to customers (gross balance) 246, ,154 57,198 (54,604) (106,768) (204,330) 926, , ,033 (208,231) (409,054) (784,923) Liabilities Funds of central banks 30,101 14,690 7,257 (7,087) (14,009) (27,375) Funds of other credit institutions (129) (257) (510) Customer funds and other loans 125,516 62,027 30,834 (30,483) (60,620) (119,885) Other subordinated debt 4,700 2,288 1,129 (1,100) (2,171) (4,232) Financial liabilities held for trading ,845 79,266 39,351 (38,798) (77,057) (152,003) Impact on economic value 765, , ,682 (169,433) (331,997) (632,920) Notes 101

102 Liquidity risk Liquidity risk is associated with the potential inability of Grupo finance its assets and meet all liabilities payable on the contracted dates. The liquidity management policy is defined and monitored daily by the Financial Department. To assess the overall exposure to this type of risk in the short, medium and long-term, reports are prepared which not only enable identifying negative mismatches but assessment of their dynamic coverage. The Group and Caixa Central also monitor the liquidity ratios from a prudential perspective, calculated according to the rules required by Banco de Portugal. On matters of liquidity, Grupo pursues a conservative policy reflected in a loan-to-deposit ratio in each of its areas which is clearly below the average ratio in the national banking system. Surplus funds from Grupo are channelled to Caixa Central, where they are centrally invested in assets of high credit and liquidity quality, namely public debt of euro zone countries and shortterm investment in renowned credit institutions, both domestic and international. Grupo has a solid position in the retail market, distributed evenly over the entire country, reflected in its network of 675 branches and a funding base that is dispersed, stable and with a high degree of permanence. From the perspective of prevention and management of liquidity risk contingency, the following points are especially taken into account and monitored: Control and containment of any possible concentration of commercial funds which, if this were to develop, could lead to a more permeable portfolio, thus reducing its stability and permanence. Regular simulations are carried out to assess impact, using conservative hypotheses regarding the stability of retail funds and without considering tenders of additional sources of financing. Albeit without depending on these supplementary sources of funding, in view of the structural treasury position of Grupo, maintenance of financing lines with domestic and international credit institutions, which are regularly tested. Regular launch of liability products to enable maintaining the standards of permanence of the projected funds. Maintenance of a cushion of assets with immediate liquidity to cope with any unexpected increased cash outflow. Notes 102

103 CA Vida's treasury situation is monitored on a daily basis, with controls on bank balances and the necessary guidelines to maintain liquidity. The prudential management of liquidity risk requires the maintenance of sufficient cash or liquid financial instruments and the possibility to close market positions. The Management monitors updated forecasts on the liquidity reserve, considering the expected cash flow. This is based on an analysis of the residual contractual maturity of the financial liabilities and obligations related to insurance contracts, and the expected date of inflows of financial assets. Specifically with regard to investment portfolios, the Management Entity conducts the daily treasury management, taking into consideration cash inflow and outflow, and the settlement of transactions on securities. Moreover, the investment policy gives priority to the acquisition of securities traded in regulated markets. As at 31 December 2015 and 2014, the contractual residual periods of the financial instruments showed the following structure (values in thousand euros): 2015 Contractual residual periods Sight Up to 3 months 3 months to 1 year 1 to 3 years 3 to 5 years Over 5 years Undetermine d Assets Cash and deposits at Central Banks 354, ,214 Cash balances at other credit institutions 67, ,593 Financial assets held for trading ,050-21, ,305 Other financial assets at fair value through profit or loss ,623-17,696-68,204 Financial assets available for sale - 66, , ,472 2,141,854 1,486, ,544 5,346,312 Investments in financial institutions - 30,302 65, (224) 95,128 Credit to customers (gross balance) 1,118, , , ,237 5,344,846 7,960 8,373, ,807-1,214,867-1,382,022-1,441,337 2,891,122 6,849, ,280 14,340,030 Liabilities Funds of central banks , ,810 Financial liabilities held for trading Funds of other credit institutions 27, , , ,007 Customer funds and other loans 3,395,846 2,925,137 4,256, ,463 9,660 18,958 23,931 10,910,086 Instruments representing equity ,634 1,634 Other subordinated debt - - 7,673 36,126 13,766 62, ,409 3,423,515-3,033,379-4,366, ,789 23,426 81,282 27,568 11,657,950 Differential (3,001,708) - (1,818,512) - (2,984,969) - 739,548 2,867,696 6,768, ,712 2,682,080 Total Sight Up to 3 months 3 months to 1 year 2014 Contractual residual periods 1 to 3 years 3 to 5 years Over 5 years Deferred interest and commissions Undetermined Assets Cash and deposits at Central Banks 423, ,408 Cash balances at other credit institutions 78, ,252 Financial assets held for trading ,361 18,087 2, ,797 Other financial assets at fair value through profit or loss ,642 51,973 20, ,298 Financial assets available for sale - 70, , ,665 1,647,185 3,050,925 7,226 8,966 5,758,539 Investments in financial institutions - 3, ,194 Credit to customers (gross balance) 1,209, , , ,190 5,090,515 13,012-8,099, ,660-1,283, ,154-1,348,759 2,355,435 8,164,472 20,252 8,966 14,471,930 Liabilities Funds of central banks - 595, , ,226 Financial liabilities held for trading Funds of other credit institutions 58,934 48,879 28, ,156 Customer funds and other loans 1,551,936 4,379,473 4,218, ,922 6,624 4,474 50,134-10,536,609 Instruments representing equity ,256-2,256 Other subordinated debt ,874 19,835 38,080 61, ,534 1,610,870-5,023,826-4,268, , ,904 66,431 53,025-11,797,978 Differential (1,109,210) - (3,740,595) - (3,479,011) - 1,003,002 1,925,531 8,098,041 (32,773) 8,966 2,673,952 Total Credit Risk Grupo has shown an improvement in its performance, as at 31 December 2015, reflected in the containment of claims and reinforcement of the impairment for customer credit. This now provides Notes 103

104 a ratio of coverage of overdue credit (for more than 90 days) by impairments of 125.8%, with the ratio of credit overdue for more than 90 days credit standing at 7.8%, the ratio of credit at risk at 11.2% and the ratio of net credit risk at 1.6%. In a context where the economic and regulatory environment on matters of risk and capital management has remained particularly demanding, with frequent tightening of regulations and standards, the activities developed in this area seek to assure the necessary framework for these challenges and provide Caixa Central and Grupo with the means to assure the management of the different risks in line with best practices in the market, through a substantial array of initiatives, including working closely with technology and the development of specific in-house skills. Credit portfolio by segment (in million euros) Segment Total exposure (1) Performing credit (2) Remedied (3) Restructured (4) (4) / (2) Non-performing credit (5) (5) / (1) Restructured (6) (6) / (5) Companies 5,117 4, % % % Corporate 3,539 3, % % % Construction and CRE 1, % % % Other % 41 8% 17 41% Individuals 3,891 3, % 359 9% 93 26% Mortgage loan 2,491 2, % 117 5% 19 16% Consumer credit and other 1,400 1, % % 74 30% Other % 3 1% 1 22% Total 9,256 8, % 1,214 13% % Notes: Exposure: includes outstanding and overdue credit, off-balance sheet items (irrevocable credit lines, guarantees provided and documentary credit) and the entirety of overdue interest. Remedied credit: includes regular contracts which have defaulted in the past and which, after their settlement, have maintained a consecutive period of at least 12 months of regular performance. Credit that has been restructured due to the customer's financial difficulties, under Banco de Portugal Instruction 32/2013. Non-performing credit: includes the total amount in debt of credit overdue for more than 90 days and credit liabilities of debtors showing indication of financial difficulties. Commercial real estate (CRE): (properties for commercial purposes). The analysis of GCA's credit portfolio, as at 31 December 2015, reveals a significant weight of the companies segment, which is why it is also the segment which most contributes to non-performing credit and restructured credit, in particular the construction and commercial real estate sector. Restructured credit reached 1,111 million euros in this period, representing close to 41% of the non-performing credit and only 8% of performing credit. Notes 104

105 Credit impairment by segment Segment Total exposure (1) Total impairmen t (2) (2) / (1) Impairment of performing credit (3) Impairment of non-performing credit (4) (in million euros) Companies 5, % % Corporate 3, % % Construction and CRE 1, % % Other % % Individuals 3, % % Mortgage loan 2, % % Consumer credit and other 1, % % Other % % Total 9, % % (4) / (2) Notes: Exposure: includes outstanding and overdue credit, off-balance sheet items (irrevocable credit lines, guarantees provided and documentary credit) and the entirety of overdue interest. Non-performing credit: includes the total amount in debt of credit overdue for more than 90 days and credit liabilities of debtors showing indication of financial difficulties. Commercial real estate (CRE): (properties for commercial purposes). The calculated impairment indicated in the table does not include "Debtors and Other investments" of the value of 5.8 million euros. In the companies segment, the weight of impairment in total exposure is most important in the construction and commercial real estate sector. For individual customers, the highest weight refers to the segment of consumer credit and credit for other purposes. The impairment associated to non-performing credit represents around 67% of total impairment of the portfolio, once again with highest contributions from consumer credit and the construction and commercial real estate sector. Credit and impairment individual analysis and collective analysis by segment Individual Analysis Collective Analysis Total (in million euros) Segment Exposure Impairment Rate Exposure Impairment Rate Exposure Impairment Rate Companies % 4, % 5, % Corporate % 2, % 3, % Construction and CRE % % 1, % Other % % % Individuals % 3, % 3, % Mortgage loan % 2, % 2, % Consumer credit and other % 1, % 1, % Other % % % Total 1, % 8, % 9, % Notes: Notes 105

106 Exposure: includes outstanding and overdue credit, off-balance sheet items (irrevocable credit lines, guarantees provided and documentary credit) and the entirety of overdue interest. Commercial real estate (CRE): (properties for commercial purposes). The calculated impairment indicated in the table does not include "Debtors and Other investments" of the value of 5.8 million euros. The individual analysis of GCA's credit portfolio, as at 31 December 2015, reveals higher rates than those obtained in collective analysis. In the individual analysis, the segment of consumer credit and credit for other purposes and other credit for companies show the highest impairment rates. In total, the segment of credit granted to the construction/commercial real estate sector records the highest rate (18%). Credit and impairment individual assessment and collective assessment by segment Notes: Activity sector Exposure Exposure: includes outstanding and overdue credit, off-balance sheet items (irrevocable credit lines, guarantees provided and documentary credit) and the entirety of overdue interest. Individual Analysis Collective Analysis Total Impairmen t Rate Exposure Impairmen t Rate Exposure (in million euros) Impairmen t Construction % % % Wholesale and retail trade % % % Real estate activities % % % Manufacturing and mining industries % % % Accommodation, restaurants and similar % % % Agriculture, livestock production, hunting, forestry and fi % % % Other sectors % 1, % 1, % Total % 4, % 5, % Rate The analysis by activity sector indicates the importance of wholesale and retail trade, and manufacturing and mining industries in the total credit granted to companies and, once again, confirms the construction and real estate sectors as those with the highest impairment rates. Maximum exposure to credit risk As at 31 December 2015 and 2014, the maximum exposure to credit risk by type of financial instrument, excluding the securities in portfolio, may be summarised as follows: Balance sheet items: Credit to customers 8,373,274,784 8,099,442,498 Cash balances at other credit institutions 67,592,683 78,252,455 Investments in credit institutions 95,128,432 3,194,001 Notes 106

107 ,535,995,899 8,180,888, Off-balance sheet items: Guarantees provided 200,554, ,366,971 Irrevocable commitments 629,516, ,814, ,070,742 1,131,181, ,366,066,641 9,312,070,714 =========== =========== Credit quality of the financial assets without default or impairments As at 31 December 2015 and 2014, the credit quality of the financial instruments with internal reference rating can be summarised as follows: Assets Aaa Aa1 Aa2 Aa3 A1 to A3 Baa1 to B3 C Undetermined Total 2015 Financial assets held for trading ,304,739 35,304,739 Other financial assets at fair value through profit or loss ,014,854-61,188,755 68,203,609 Financial assets available for sale 115,780,625 62,864,618 92,319, ,024,344 4,613,340,937 3,848, ,781,537 5,352,960, ,780,625 62,864,618 92,319, ,024,344 4,620,355,791 3,848, ,275,031 5,456,468,924 Assets Aaa Aa1 Aa2 Aa3 A1 to A3 Baa1 to B3 C Undetermined Total Financial assets held for trading Other financial assets at fair value through profit or loss Financial assets available for sale Financial assets held to maturity Grupo 's reference rating is based on the rating disclosed by the international agency Moody's, or if non-existent, the highest of the ratings disclosed by the agencies Fitch and Standard & Poors. In terms of credit to customers, the Group has a heuristic rating model associated to a workflow process, which seeks to standardise the procedure for analysing credit risk among companies and acceptance scoring models associated to the process of granting credit to individual customers. To this end, Grupo has been developing and improving its risk management capability, based on methodologies which enable obtaining a more precise view of the risk profile of its portfolio. Notes 107

108 The main areas in which CA Vida is exposed to credit risk are: Amounts payable by reinsurers relative to indemnities that have already been paid; Credit risk of securities in portfolio; Counterpart risk due to transactions with derivatives. The Company defines its acceptable credit risk levels by establishing limits to its exposure to a single counterpart or to the counterpart as a whole, and to geographic and sector segments. These risks are subject to an annual review or more frequent supervision. The limits of credit risk by category and geographic zone are approved annually by the Executive Board of Directors. Exposures to entities in an individual manner and to entities of the same activity or geographic sector are attached to the continuous monitoring control associated to investments, with diversification limits being defined in the Company's investment policy. The credit risk of the entities to which the Company is exposed through debt securities issued by these entities is analysed using ratings of the independent external agencies Moody s, Standard & Poors and Fitch. The adopted rating is the second best disclosed. Restructuring As at 31 December 2015 and 2014, the book value of credit to customers whose terms have been renegotiated or is considered to be in default or with impairment is as follows: 2015 Credit at Risk Restructured credit to customers (gross) Credit to customers at risk (gross) Of which: restructured credit Non-performing credit to customers (gross) Accumulated provisions/ impairments for credit Credit written off from assets Private sector residents 1,076,704, ,438,304 94,838, ,784, ,209, ,169,439 Resident individuals, of which: 334,122, ,564,020 25,211, ,258, ,658, ,142,183 Housing 63,714,839 84,341, ,172 55,527,285 41,440,610 8,024,741 Consumer and other purposes 270,408, ,222,500 24,456, ,731, ,218, ,117,442 Resident non-financial companies 742,581, ,874,285 69,626, ,525, ,550, ,027,256 Public administration 9,125,603 2,727, Other residents Non-residents 1,200,149 1,383, , ,317 1,078, ,118 Total 1,087,030, ,548,765 94,965, ,673, ,287, ,566,557 Credit at Risk Restructured credit to customers (gross) 2014 Credit to customers at risk (gross) Of which: restructured credit Non-performing credit to customers (gross) Accumulated provisions/ impairments for credit Credit written off from assets Private sector residents 858,407, ,810,114 79,155, ,958, ,978, ,246,283 Resident individuals, of which: 278,246, ,037,829 18,829, ,980, ,415, ,189,391 Housing 58,344,189 88,334, ,920 58,580,335 41,429,670 6,701,345 Consumer and other purposes 219,902, ,703,546 18,678, ,399, ,986, ,488,046 Resident non-financial companies 580,161, ,772,285 60,325, ,978, ,562, ,056,892 Public administration 6,530,134 1,452, Other residents Non-residents 314,065 1,385,558-1,036, , ,392 Total 865,251, ,648,406 79,155, ,994, ,960, ,640,675 Duration of default of overdue credit operations Notes 108

109 As at 31 December 2015 and 2014, the duration of default of overdue credit operations can be summarised as follows (Note 13): Até 3 meses De 3 a 6 meses De 6 a 12 meses De 1 a 3 anos De 3 a 5 anos Mais de 5 anos Juros a receber Concentration Risk Concentration risk management principles and policies 1. Risk management at GCA Risk management is one of the priority areas for the Group, in recognition of its decisive impact in the creation of value. The Executive Board of Directors of Caixa Central is responsible for defining the overall strategy on risktaking, incorporating measurable goals relative to the risk that is intended to be taken and the desired profitability. The Overall Risk Department (hereafter also referred to as DRG) and the Asset and Liability Committee (ALCO), working closely with the other areas with responsibility in the field, play a crucial role in the definition of policies and procedures for risk management, subject to the approval of the Executive Board of Directors of Caixa Central. 1.1 Duties of the Overall Risk Department CCCAM, through the Overall Risk Department, is responsible for defining the overall principles and policies on risk management. This is accomplished by the development and provision of instruments for analysis and support to decision-making, calculation of impairment on a consolidated basis, ICAAP (Internal Capital Adequacy Assessment Process), design of models and systems to support the risk function, creation of rules and establishment of guidelines for procedures and processes. The Overall Risk Department is responsible for supervising credit risk management and coordinating the management of all the other risks, from a strategic perspective. On the other hand, the Credit Risk Department (DRC) is responsible for assuring the operationalisation of the policies defined by the Overall Risk Department concerning credit risk at CCCAM, with its local management being entrusted to the CCAM. Notes 109

110 Regarding concentration risk, the Overall Risk Department is responsible for implementing the Concentration Risk Management Model: identification of the relevant variables for assessment, measurement of the associated concentration and preparation of in-house and external reporting. In the process of identifying, assessing and monitoring Concentration Risk, the Overall Risk Department is also responsible for drawing up the reporting established in Banco de Portugal Instruction 23/2007, so as to enable calculation of the Individual Concentration Index stipulated in Banco de Portugal Instruction 5/ Duties of the Asset and Liability Committee (ALCO) The Asset and Liability Committee (ALCO) is chaired by Caixa Central and includes various departments and bureaus directly responsible for: 1) Control of the activities related to the Balance Sheet of Caixa Central and GCA. 2) Risk control by production of management, accounting and reporting information for Caixa Central and GCA. Among the duties performed by the ALCO, it is particular entrusted with the following in the context of risk management: Assessment and on-going monitoring of the different financial risks (namely, concentration risk) to which GCA and Caixa Central are subject, ensuring their measurement and control based on predefined methods and indicators. Proposal to the Executive Board of Directors on pertinent risk thresholds for asset and liability management. With regard to Concentration Risk, the ALCO is responsible for supervising the management of concentration in financial risks (in particular, interest rate, exchange, liquidity and market risk) with the contribution of the Financial Department, as well as monitoring overall concentration risk for the Group in coordination with the Overall Risk Department. 1.3 Duties of the Inspection, Guidance and Monitoring Department (DFOA) The Guidance and Monitoring Department (DFOA), in the context of risk management, is responsible for monitoring and guiding the management of the Associated Caixas, especially in terms of risk-taking policy. Regarding the management of concentration risk, the Inspection, Guidance and Monitoring Department is responsible for coordination between the CCCAM bodies (DRG and ALCO) and the CCAM, with the latter being responsible for local management of concentration risk. Notes 110

111 2. Integration of best practices in concentration risk management According to the guidelines of the Basel Committee, the CEBS (Committee of European Banking Supervisors), institutions should implement a systematic practice for management of concentration risk, including identification, assessment, adjustment, monitoring and control. The Basel Committee offers two options for the management of this risk: a basic approach (onedimensional methodologies for assessment of concentration risk) and an advanced approach (use of internal models of economic capital which should adequately measure concentration risk, but which are sometimes limited by lack of data). 2.1 Measurement of concentration risk: Implemented approach GCA has progressively been implementing the management of concentration risk, and this will continue to receive the Group's attention and effort in the medium term. The assessment of concentration risk (under the responsibility of the Overall Risk Department) is based on an appraisal of the credit, investment and funding portfolios, according to the different variables of relevance from a single and multi-dimensional point of view, using the Herfindahl and Gini indexes, as well as the Relative Weight of the Exposures. Where pertinent, a coefficient for the correlation of variables is also used in order to explore possible connections between variables at risk or to relate internal variables with the actual situation. GCA's objective is to assure the permanent enhancement of the robustness of the methods use in concentration risk management. 2.2 Monitoring of concentration risk GCA has established a Management Model to serve as a framework for monitoring and controlling concentration risk, by means of periodic review of the conducted concentration analyses and the implementation of risk prevention or corrective measures. 3. Common features of each concentration Analysis of credit risk concentration The concentration risk was analysed in the Portfolio of Credit to Customers of GCA (SICAM), as considered for the Group s prudential reporting (concerning credit to customers). The concept of exposure considered for the concentration analysis was the balance of the operation that has been used (which means the sum of the outstanding and overdue principal). This differs from the concept considered in the Annex to Notes 111

112 Instruction 5/2011 (in the calculation of the Index of Sectoral Concentration and the Index of Individual Concentration): Total Amount (sum of the balance used and the unused credit limits). Single dimension analyses are conducted ((Region, Product Group, Rate, Guarantee, Customer, Activity Sector, Total Period, Residual Period) as well as multi-dimensional analyses (Product Group by Region, Activity Sector by Region and Guarantee by Product Group) of exposure to concentration risk. The multidimensional analysis by Product Group and Region aims to assess the level of concentration of the portfolio of credit to customers based in each region of the country in terms of distribution by Product Group. The multi-dimensional analysis by Activity Sector and Region aims to assess the level of concentration of the portfolio of credit to customers based in each region of the country in terms of distribution by Activity Sector (classification of economic activity - CAE). Within each multi-dimensional analysis mentioned, three regions are especially selected for concentration analysis. On a final note, the multi-dimensional analysis by Guarantee and Product Group aims to assess the level of concentration of the portfolio of credit to customers of a specific product group in terms of distribution by type of guarantee involved. For this last analysis, two product groups were chosen for concentration analysis. 3.1 Analysis by region The Region variable was chosen to analyse the geographic concentration risk in Portugal, with the Domicile Branch having been considered as a reference for the region of the operation. The regions follow the classification in NUTS III, of the National Statistical Institute (INE). The correlation was analysed between the customer credit portfolio by region and the GDP by the region. Another correlation analysis was made between the weight of the number of GCA Branches per region and the distribution of the GCA (SICAM) credit portfolio per region. A further correlation analysis was made between the weight of customer credit and the proportion of impairment, by region. It was also considered pertinent to compare the distribution of the GCA (SICAM) credit portfolio with the Portuguese banking sector. 3.2 Analysis by product group The concentration of the distribution of the customer credit portfolio was analysed by type of Product Group. Notes 112

113 The correlation was analysed between the weight of Customer Credit and the proportion of Impairment by Product Group. 3.3 Analysis by type of rate The distribution of the Portfolio was drawn up (Weight by type of Rate: Balance Used and Production of Credit in the current year) and compared with the results of the analysis of Balance Used, Overdue Credit and Total Amount. 3.4 Analysis by guarantees The customer credit portfolio concentration was analysed by type of guarantee, taking into account just one of the Guarantees available and recorded in the system, selected according to its relevance in a conceptually established hierarchy. The distribution of the Portfolio was drawn up and analysed (Weight by type of Guarantee: Balance Used and Production of Credit in the current year) and compared with the results of the analysis of Balance Used, Overdue Credit and Total Amount. The correlation was analysed between the weight of Customer Credit and the proportion of Impairment by Guarantee. 3.5 Analysis by type of customer The distribution of the Portfolio was drawn up (Weight by type of customer: Balance Used and Production of Credit in the current year) and compared with the results of the analysis of Balance Used, Overdue Credit and Total Amount. The correlation was analysed between the weight of Customer Credit and the proportion of Impairment by Customer. It was considered pertinent to compare the distribution of credit by type of customer at GCA (SICAM) with the Portuguese banking sector. Taking all the customers, Individual and Companies, the following distribution was found in terms of the Group and the market. 3.6 Analysis by economic activity sector (CAE) The distribution of the Portfolio was drawn up (Weight by economic activity classification: Balance Used and Production of Credit in the current year) and compared with the results of the analysis of Balance Used, Overdue Credit and Total Amount. Notes 113

114 The correlation was analysed between the weight of Customer Credit to Non-financial Companies in the Banking Sector and the GCA Credit Portfolio. 3.7 Analysis by total period The distribution of the Portfolio was drawn up (Weight by Total Period bracket: Balance Used and Production of Credit in the current year) and compared with the results of the analysis of Balance Used, Overdue Credit and Total Amount. It was considered pertinent to compare the distribution of credit by operation period at GCA (SICAM) with the Portuguese banking sector. 3.8 Analysis by residual period The distribution of the Portfolio was drawn up (Weight by Residual Period bracket: Balance Used and Production of Credit in the current year) and compared with the results of the analysis of Balance Used, Overdue Credit and Total Amount. 3.9 Analysis by company size The analysis by company size sought to investigate the concentration of credit granted by type of "Company" customer at. In this study, the companies are distributed by turnover. Large companies have a turnover of more than 50 million euros, Medium-sized companies between 10 and 50 million euros, Small between 2 and 10 million euros, and Micro companies less than 2 million euros. The distribution of the Portfolio was drawn up (Weight by Company Size: Balance Used and Production of Credit in the current year) and compared with the results of the analysis of Balance Used, Overdue Credit and Total Amount Analysis by product group in the Greater Lisbon Region The multi-dimensional analysis by Product Group in the Greater Lisbon Region aims to assess the level of concentration of the credit portfolio based in this region in terms of its distribution by Product Group. The regions of Lisbon, the West and Algarve were selected due to showing highest concentration in the single dimension analysis of GCA's credit portfolio by region. The distribution of the Portfolio was drawn up (Weight by Product Group in Lisbon: Balance Used and Production of Credit in the current year) and compared with the results of the analysis of Balance Used, Overdue Credit and Total Amount. Notes 114

115 3.11 Analysis by product group in the West Region The multi-dimensional analysis by Product Group in the West Region aims to assess the level of concentration of the credit portfolio based in this region in terms of its distribution by Product Group. The distribution of the Portfolio was drawn up (Weight by Product Group in the West: Balance Used and Production of Credit in the current year) and compared with the results of the analysis of Balance Used, Overdue Credit and Total Amount Analysis by product group in the Algarve Region The multi-dimensional analysis by Product Group in the Algarve Region aims to assess the level of concentration of the credit portfolio based in this region in terms of its distribution by Product Group. The distribution of the Portfolio was drawn up (Weight by Product Group in the Algarve: Balance Used and Production of Credit in the current year) and compared with the results of the analysis of Balance Used, Overdue Credit and Total Amount Analysis by activity sector in the Lisbon Region The multi-dimensional analysis by Activity Sector in Lisbon aims to assess the level of concentration of the credit portfolio based in the Lisbon region in terms of its distribution by Activity Sector. The regions of Lisbon, the West and Algarve were selected due to showing highest concentration in the single dimension analysis of GCA's credit portfolio by region. The distribution of the Portfolio was drawn up (Weight by Activity Sector in Lisbon: Balance Used and Production of Credit in the current year) and compared with the results of the analysis of Balance Used, Overdue Credit and Total Amount Analysis by activity sector in the West Region The multi-dimensional analysis by Activity Sector in the West aims to assess the level of concentration of the credit portfolio based in the West region in terms of its distribution by Activity Sector. The distribution of the Portfolio was drawn up (Weight by Activity Sector in the region: Balance Used and Production of Credit in the current year) and compared with the results of the analysis of Balance Used, Overdue Credit and Total Amount Analysis by activity sector in the Algarve Region The multi-dimensional analysis by Activity Sector in the Algarve aims to assess the level of concentration of the credit portfolio based in the West region in terms of its distribution by Activity Sector. Notes 115

116 The distribution of the Portfolio was drawn up (Weight by Activity Sector in the region: Balance Used and Production of Credit in the current year) and compared with the results of the analysis of Balance Used, Overdue Credit and Total Amount Analysis by type of guarantee for credit for business activity The multi-dimensional analysis by Type of Guarantee for credit granted to companies to finance their business aims to assess the level of concentration of the credit portfolio of this product group in terms of its distribution by Type of Guarantee. The distribution of the Portfolio was drawn up (Weight by Type of Guarantee for Credit for Business Activity: Balance Used and Production of Credit in the current year) and compared with the results of the analysis of Balance Used, Overdue Credit and Total Amount Analysis by type of guarantee for credit for business investments The multi-dimensional analysis by Type of Guarantee for credit granted to companies for investment purposes aims to assess the level of concentration of the credit portfolio of this product group in terms of its distribution by Type of Guarantee. The distribution of the Portfolio was drawn up (Weight by Type of Guarantee for Credit for Business Investment: Balance Used and Production of Credit in the current year) and compared with the results of the analysis of Balance Used, Overdue Credit and Total Amount. Analysis of credit risk concentration of the portfolio of resources 4.1 Analysis by region The Region variable was chosen to analyse the geographic concentration risk of the portfolio of resources in Portugal. The correlation was analysed between the weight of the number of GCA Branches per region and the distribution of the SICAM portfolio of resources by region. The correlation was also analysed between the Distribution of Deposits and Equivalent by District in Portugal (Banking Sector) and SICAM. Notes 116

117 4.2 Analysis by product group The concentration of the distribution of the portfolio of resources was analysed by type of Product Group. 4.3 Analysis by customer The concentration of the distribution of the portfolio of resources was analysed by type of Customer, between individuals and companies, with the latter being divided by type of economic activity. The correlation was also analysed between the weight of each type of Customer in Portugal (Banking Sector) and at GCA (SICAM). The correlation was also analysed between the types of customers of resources at Other Credit Institutions and in the GCA (SICAM) Portfolio of Resources by Institutional Sector. 4.4 Analysis by activity sector The concentration of the distribution of the portfolio of resources was analysed by Activity Sector. 4.5 Analysis by residual period The concentration of the distribution of the portfolio of resources was analysed by Residual Period. 4.6 Analysis by amount The concentration of the distribution of the portfolio of resources was analysed by category of Amount. 4.7 Analysis by residual period for category of amount: 5 to 25 thousand euros A multi-dimensional analysis was made of the concentration of the distribution of the portfolio of resources associated to the category of Amount of 5 to 25 thousand euros by Residual Period. The categories of amount with significant concentration were selected, following their single dimension analysis. 4.8 Analysis by residual period for category of amount: 25 to 50 thousand euros A multi-dimensional analysis was made of the concentration of the distribution of the portfolio of resources associated to the category of Amount of 25 to 50 thousand euros by Residual Period. The categories of amount with significant concentration were selected, following their single dimension analysis. Notes 117

118 Analysis of liquidity risk concentration The Concentration Risk was analysed for the SICAM Balance Sheet headings. The concept of exposure considered for the analysis of concentration was the cash flow as at 31 December The analyses are made according to the residual maturity of the Asset and Liability headings and Liquidity Gap. 1. ANALYSIS OF ASSETS Total Assets were analysed from the perspective of their residual maturity. The same was done for the most representative/concentrated headings. 2. ANALYSIS OF LIABILITIES The Total Liabilities were analysed from the perspective of their residual maturity. The same was done for the most representative/concentrated headings. 3. LIQUIDITY GAP ANALYSIS The Liquidity Gap was analysed from the perspective of its residual maturity (Positive Gap and Negative Gap). Specific risks of insurance activity Insurance companies incur risks through insurance contracts, which are classified in the category of specific insurance risk. Nature of specific insurance risk Specific insurance risk includes the risks inherent to the marketing of insurance contracts, associated to product design and pricing, the process of subscription and provisioning for liabilities, and the management of claims and reinsurance. These risks are applicable to all activity branches and can be subdivided into different sub-risks: a) Product design risk: risk of an insurance company taking on risky exposure derived from features of products that had not been anticipated during the phase of design and definition of the price of the contract. b) Premium risk: related to claims to occur in the future, relative to policies currently in force, whose premiums have already been charged or are fixed. The risk is that the premiums that have already been charged or are fixed may prove insufficient to cover all the future liabilities derived from these contracts (underpricing). c) Subscription risk: risk of exposure to financial loss related to selection and approval of the risks to be insured. Notes 118

119 d) Provisioning risk: this is the risk that the constituted provisions for claims prove insufficient to meet costs related to claims that have already been submitted. e) Claim rate risk: this is the risk that more claims may be submitted than expected, or that some claims have costs that are much higher than expected, leading to unexpected losses. f) Retention risk: this is the risk that a higher retention of risks (less reinsurance protection) may cause losses due to the occurrence of catastrophic events or higher claim rate. There is also catastrophic risk, derived from extreme events which imply the devastation of property, or the death/injury of people, generally due to natural disasters (earthquakes, hurricanes, floods). This is the risk that a single event, or series of enormous events, normally in a short period (up to 72 hours), implies a significant deviation in the number and cost of claims, in relation to what had been expected. Management of specific insurance risk Specific insurance risk is managed by the Company through operating procedures with embedded preventive control and detection, highly automated, run by skilled staff and with clear responsibilities for senior management: a) Product design (new products and changes to existing products) and pricing, which identifies the risks derived from the coverage and sums insured, defines systems to determine premiums, checks the adequacy of the reinsurance programme associated to new products, verifies compliance with legal rules and standards and in-house regulations, conducts a full test programme, and defines the training plan and outsourcing of services associated to the new product. The prices applied to risks are adjusted according to pricing factors, which enables assessing the risk level associated to each insurance contract, determined on the basis of technical actuarial studies. b) Distribution and management of the risk portfolio, which includes definition of the subscription policies, levels of delegation of power in acceptance of risk, incentive schemes for sales and the subscription of new insurance, and the procedures for portfolio management and review of premiums. The rules for accepting risk are stipulated in the supporting IT systems, and blocking and warning mechanisms are established whenever any of these rules are broken. In cases where there are conditions attached to risk acceptance, the subscription is made centrally, with written evidence of the conditions and the person responsible for the decision. c) Provisioning, under which the technical provisions are defined and managed, assuring coverage of the Company's obligations towards insured persons and claimants, based on studies assessing the adequacy of provisions prepared regularly by the appointed actuary. Notes 119

120 d) Claims management, under which payments are made to claimants, assuring: (i) the treatment and management of claims in a timely fashion; (ii) rigorous compliance with the law, regulations and in-house rules; (iii) minimisation of the average cost of claims, without compromising the fair treatment of all claimants and injured persons. e) Reinsurance management, which carries out the specification, implementation, monitoring, reporting and control of treaties and other conditions agreed with the reinsurers. The reinsurance policy plays a crucial role in mitigating specific insurance risks, enabling greater stabilisation of net income and solvency levels, the more efficient use of the available capital and an increase in the Company s capacity to take on risks. The management of specific insurance risk is also backed by a variety of studies carried out by the technical office and by the actuary in charge, analysing the adequacy of the pricing, identifying the types of risk and the most profitable segments, and determining suitable value for the technical provisions. Fair value of financial assets and liabilities The comparison between the fair value and book value of the main assets and liabilities, as at 31 December 2015 and 2014, is presented in the table below (in thousand euros): 2015 Balances Analysed Balances not analysed Book value Fair value Difference Book value Total book value Assets Cash and deposits at Central Banks 354, , ,214 Cash balances at other credit institutions 67,593 67, ,593 Investments in Credit Institutions 95,128 95, ,128 Credit to Customers (net balance) 7,555,017 9,050,179 1,495,162-7,555,017 8,071,952 9,567,252 1,495,300-8,071,952 Liabilities Funds of central banks 385, , ,810 Funds of other credit institutions 240, , ,007 Customer funds and other loans 10,910,086 10,903,314 (6,771) - 10,910,086 Other subordinated debt 120, ,027 5, ,410 11,656,312 11,655,964 (348) - 11,656,312 Notes 120

121 2014 Balances Analysed Balances not analysed Book value Fair value Difference Book value Total book value Assets Cash and deposits at Central Banks 423, , ,408 Cash balances at other credit institutions 78,252 78, ,252 Investments in Credit Institutions 3, (3,071) - 3,194 Credit to Customers (net balance) 7,168,079 7,659, ,339 93,362 7,261,441 7,672,933 8,161, ,268 93,362 7,766,295 Liabilities Funds of central banks 980, , ,226 Funds of other credit institutions 132, , , ,156 Customer funds and other loans 10,528,550 10,547,152 18,602 8,059 10,536,609 Other subordinated debt 142, ,508 7, ,534 11,783,559 11,810,461 26,902 11,966 11,795,525 The main considerations on the fair value of the financial assets and liabilities are as follows: For sight balances, it was considered that the book value corresponds to fair value; The fair value for remaining instruments was determined by Caixa Central based on discounted cash flow models, taking into account the contractual conditions of the operations involved and using appropriate interests rates for the instruments, which included: a) Market interest rates for "Funds at credit institutions" and "Other subordinated liabilities"; b) The interest rate applied by the Caixa Central for comparable credit operations; c) Reference interest rates for issue of products for retail placement; d) Interest rates applied in intergroup operations conducted under the Legal System of Crédito Agrícola, namely the taking of funds from the Associated Caixas for centralised investment at Caixa Central. Specific curves were used for the headings Credit to customers, Investments in other credit institutions and Funds from other credit institutions based on the application of the Euribor/Swap curve as at 31 December 2015 on the average spreads for operations carried out in the last three months prior to 31 December The rates applied were as follows: Euribor - Euribor / Swap Credit Spread: Individuals Credit Spread: Business Mortgage Loan Spread Spread: Customer Funds Spread: Funds of Other Credit Institutions 1 day (overnight) 0.00% 1 month 0.00% 2 months 0.00% 3 months 0.00% 4 months 0.00% 5 months 0.00% 6 months 0.00% 9 months 0.00% 12 months 0.06% 2 years 0.00% 4.21% 3.26% 0.96% 0.03% 0.00% 3 years 0.06% 4 years 0.19% 5 years 0.33% 8 years 0.72% 10 years 0.96% 15 years 1.35% 20 years 1.51% 30 years 1.56% Notes 121

122 As established in IFRS 7 and for purposes of presentation, the financial instruments recorded in the balance sheet at fair value are classified according to the following hierarchy: Level 1 Prices in active markets This level includes financial instruments valued based on active market prices (enforceable bids), disclosed through trading platforms; Level 2 Valuation techniques based on market data This level considers financial instruments valued by in-house models which use data observable in the market, namely interest rate or exchange rate curves. Level 3 - Valuation techniques using inputs not based on observable market data This level includes financial instruments valued based on in-house valuation methods essentially considering inputs not observable in markets with significant impact on the valuation of the instrument, or valued based on indicative bids calculated by third parties through valuation models. As at 31 December 2015 and 2014, the method of calculation of the fair value of the financial instruments reflected in the financial statements can be summarised as follows: Valued at historical cost (1) 2015 Valuation Techniques Prices in active Market data (3) Models (4) Total market (2) Financial assets held for trading - 6,561 35,298,179-35,304,739 Other financial assets at fair value through profit or loss - 68,203, ,203,609 Financial assets available for sale 23,211,016 5,310,706,788-19,042,771 5,352,960,576 23,211,016 5,378,916,958 35,298,179 19,042,771 5,456,468,924 Financial liabilities held for trading , , , ,836 Valued at historical cost (1) 2014 Valuation Techniques Prices in active market (2) Market data (3) Models (4) Total Financial assets held for trading - 1,479,644 30,316,614-31,796,258 Other financial assets at fair value through profit or loss - 77,298, ,298,709 Financial assets available for sale 27,409,620 5,731,128, ,758,538,372 27,409,620 5,809,907,105 30,316,614-5,867,633,338 Financial liabilities held for trading , , , ,836 (1) Unlisted securities for which it is not possible to determine the fair value reliably. (2) Apart from the financial instruments listed on the Stock Exchange, this category includes securities valued based on active market prices, disclosed through trading platforms (Level 1). Notes 122

123 (3) Valuation based on market interest rates, namely interest rate curves, swap curves and exchange rates (Level 2). (4) Corresponds to securities valued through indicative bids disclosed by the issuer (Level 3). The total value corresponds to Banco Finantia Internacional subordinated debt securities. During 2015 and 2014, there was no reclassification between levels or categories of financial assets, except for the reclassification of the entire portfolio of investments held to maturity to the portfolio of financial assets available for sale. Concerning sovereign debt, the entire portfolio is recorded in the portfolio of financial assets available for sale, broken down by country, as indicated in the table below: 2015 OAFJVAR AFDV Qty Value Qty Value Portugal 25,000 26,865 1,257,582,099 1,377,869,606 Austria ,750,000 42,745,812 Belgium ,959,000 12,756,865 Spain ,725, ,457,267 France ,229,000 57,579,082 Ireland ,578,000 55,201,502 Italy - - 1,616,898,000 1,718,477,694 Germany ,036,000 64,237,313 Holland ,800,000 49,600,011 Total 25,000 26,865 3,539,557,099 3,867,925,152 During the previous year of 2014, sovereign debt is distributed over the portfolio of financial assets available for sale and the portfolio of investments held to maturity: 2014 OAFJVAR AFDV Qty Value Qty Value Portugal 25,000 27, ,483, ,061,175 Austria ,950,000 21,362,984 Belgium ,559,000 38,424,094 Spain - - 1,218,051,000 1,556,110,467 France ,829, ,084,599 Ireland - - 4,380,000 5,080,566 Italy - - 1,522,714,000 1,761,183,385 Germany ,514,000 28,964,604 Holland ,055,000 43,918,109 Total 25,000 27,285 3,403,535,279 4,062,189,983 Notes 123

124 47. CONSOLIDATED PRUDENTIAL RATIOS From 1 January 2014 onwards, the solvency of European banking has been assessed through the Common Equity Tier 1 (CET1) ratio, under the Basel III Agreement. A transitional arrangement was in force during 2014, which enables calculating the CET1 ratio in the form of phasing-in implementation. At the end of 2015, the main level 1 own funds ratio (Common Equity Tier 1) stood at 12.9%, the same value obtained for the level 1 own funds ratio (Tier 1), and the total capital ratio stood at 13,3%, thus generously complying with the minimum requirements established by the regulator. In million euros OWN FUNDS AND SOLVENCY RATIO - GCA Δ 14/15 Total Own Funds (a) ,048 1, % Common equity tier ,048 1, % Tier 1 1, ,048 1, % Position at risk of assets and equivalent 15,825 13,505 15,301 14, % Own fund requirements 9,088 8,495 7,985 8, % Credit (b) 8,096 7,487 6,919 7, % Operational 992 1,008 1,066 1, % Solvency ratios (c) Common equity tier % 13.1% p.p. Tier % 11.4% 13.1% 13.1% p.p. Total 10.9% 10.8% 13.1% 13.5% 0.38 p.p. (a) Including net income for 2015; in previous periods the net income at the end of the year is incorporated. (b) Including own fund requirements for adjustment risk of credit assessment. (c) Up to December 2013 the ratios were calculated pursuant to Banco de Portugal Notices 5/2007 and 6/2010, after which the rules of Directive 2013/36/EU (CRD IV - Capital Requirements Directive) and Regulation (EU) 575/2013 (CRR- Capital Requirements Regulation) are applied. 48. RESOLUTION FUND a)the Resolution Fund is a legal person governed by public law with administrative and financial autonomy, ruled by the Legal Framework of Credit Institutions and Financial Companies (RGICSF) and by its regulations, aimed at financially intervening in financial institutions in difficulty, by application of measures determined by Banco de Portugal. In this context, and as defined in the RGICSF, the sources of funding of the Resolution Fund are: a.revenue from contribution of the banking sector; b.initial contributions of the participant institutions; Notes 124

125 c.periodic contributions of the participant institutions; d.amounts derived from loans; e.income from investment of funds; f.donations; and g.any other revenue, income or amounts derived from its activity or attributed by law or contract, including the amounts received from the credit institution object of resolution or from the transition institution., as is the case of most financial institutions operating in Portugal, is one of the participant institutions in the Resolution Fund, making contributions derived from the application of a rate defined annually by Banco de Portugal, essentially based on the amount of its liabilities. In 2015, the periodic contribution made by reached 1,833,242 euros, based on a contribution rate of 0.015%. b)under its responsibility as the supervisory and resolution authority of the Portuguese financial sector, Banco de Portugal, on 3 August 2014, decided to apply a resolution measure to Banco Espírito Santo, S.A. ( BES ), pursuant to number 5 of article 145-G of the RGICSF, which consisted in the transfer of its most of its activity to a transition bank, named Novo Banco, S.A. ( Novo Banco ), created especially for the purpose. The Resolution Fund provided 4,900 million euros for payment of the share capital of Novo Banco. Of this total value, 377 million euros correspond to the Resolution Fund's own financial resources. Additionally, a loan of 700 million euros was granted by a banking syndicate to the Resolution Fund, with the participation of each credit institution having been weighted according to various factors, including its size. Crédito Agrícola participates in this loan with 6 million euros. The remaining amount, 3,823 million euros, required to finance the adopted resolution measure, came from a loan granted by the Portuguese State, which shall be repaid by the Resolution Fund. The funds which shall be generated with the sale of Novo Banco shall be fully allocated to the Resolution Fund. c) Recently, on 29 December 2015, Banco de Portugal determined re-transmitting to BES the liability for the non-subordinated bonds issued by BES, with nominal value of approximately 2 thousand million euros, which had been intended for institutional investors, and proceeded with the final adjustment of the perimeter of assets, liabilities, off-balance sheet items and assets under management transferred to Novo Banco, in particular: i) the clarification that no liabilities that were contingent or unknown on the date of the application of the resolution measure to BES had been transferred to Novo Banco; Notes 125

126 ii) the re-transmission to BES of the holding in the company BES Finance, which is necessary to assure full compliance with the resolution measure and its enforcement with respect to the non-transfer to Novo Banco of subordinated debt instruments issued by BES; and iii) the clarification that the Resolution Fund is responsible for neutralising, by compensation at Novo Banco, any negative effects of future decisions derived from the resolution process, derived from liabilities or contingencies. d) Also during the month of December 2015, the national authorities decided to sell the majority of the assets and liabilities associated to the activity of Banif Banco Internacional do Funchal, S.A. ( Banif ) to Banco Santander Totta, for 150 million euros, in the context of the application of a resolution measure. This operation involved an estimated public support of 2,255 million euros aimed at covering future contingencies, funded by 489 million euros from the Resolution Fund and 1,766 million euros directly from the Portuguese State, as a result of the options agreed between the Portuguese authorities, the European instances and Banco Santander Totta, for delimitation of the perimeter of the assets and liabilities to be divested. In the context of this resolution measure, the assets of Banif which were identified as problematic were transferred to an asset management vehicle, created for the purpose Oitante, S.A., with the Resolution Fund being the sole holder of its share capital, through the issue of bonds representing the debt of this vehicle, of the value of 746 million euros, backed by the Resolution Fund and counter-backed by the Portuguese State. A restricted series of assets, as well as the shareholder positions of subordinated creditors and related parties remained at Banif, which shall be wound up in the future. e) The deliberations referred to above imply significant risk of litigation involving the Resolution Fund. On the date of approval of the financial statements attached herewith, the Executive Board of Directors does not have information enabling a reliable estimate as to whether the Resolution Fund will face insufficient funds as a result of the process underway of divestment of Novo Banco, the outcome of lawsuits in course and any other liabilities which might follow from the recent resolution measure applied to Banif, and if this is the case, how it will be funded. Under these circumstances, on this date it is not possible to assess the likely impact of these situations on the present financial statements, as any costs payable by the Bank will depend on the conditions in which the development of the matters referred to above take place and the determinations issued by the Ministry of Finance, under the terms of its legally attributed competencies. Notes 126

127 With the application of a resolution measure to Banco Espírito Santo on 4 August 2014, the Resolution Fund provided the financial support determined by Banco de Portugal for purposes of payment of the share capital of Novo Banco, of the value of 4,900 million euros. The process of divestment of Novo Banco is currently underway, and should be product of this divestment prove insufficient to repay the loans received, the Resolution Fund, under the terms of the previous paragraph, might request special contributions from the participant institutions. 49. SUBSEQUENT EVENTS On the date of preparation and completion of the present Consolidated Financial Statements of Grupo, there was no subsequent event as at 31 December 2015, the reference date of these financial statements, which might require adjustments or modifications of the values of the assets and liabilities, under the terms of IAS 10 - Events after the reporting period. THE HEAD OF THE ACCOUNTS DEPARTMENT THE EXECUTIVE BOARD OF DIRECTORS Notes 127

128 Details of the Portfolio of Securities GRUPO CRÉDITO AGRÍCOLA DETAILS OF SECURITIES AS AT 31 DECEMBER 2015 Nature and type Entity holding the securities FINANCIAL ASSETS HELD FOR TRADING 0 Derivative financial instruments Asset category Instruction 23/2004 Code of the security Forward foreign exchange trading CCCAM AFDN , Interest rate swaps CCCAM AFDN , Type of issuer Interest rate swaps CA Vida AFDN ,925, ,081,002-1,022,196 Country of the issuer Listed/ Unlisted Price Quantity Nominal value Accounting criterion Book value Value corrections Gains/ Losses 0 35,304,739-1,022,196 0 Total 0 111,925,000 35,304,739-1,022,196 OTHER FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS 0 Debt instruments 0 Of public debt TBonds Oct 17 CA Gest OAFJVAR PTOTELOE0010 OUT PRT S % 25,000 1 JV 26, Of other issuers 0 Non-subordinated debt , BBVASM 6.75% 29/12/49-20 CA Vida OAFJV XS OUT ESP S 98.44% 6,200,000 1 JV 6,103,169 - (143,753) Corsair 5% 28/07/17 CA Vida OAFJV XS OUT JEY S % 3,400,000 1 JV 3,559, ,860 DEMETER 3.75% F CA Vida OAFJV XS OUT NLD S 73.34% 4,000,000 1 JV 2,933,467 - (1,183,200) DEMETER 4% 20/03/19 CA Vida OAFJV XS OUT NLD S % 10,000,000 1 JV 10,239,111 - (72,000) DEMETER 4.75% 20/12/18 CA Vida OAFJV XS OUT NLD S % 10,000,000 1 JV 11,003, ,000 DEMETR 3.85% 20/03/19 CA Vida OAFJV XS OUT NLD S 74.22% 2,000,000 1 JV 1,484,489 - (575,400) DEMETR 4.05% 20/03/19 CA Vida OAFJV XS OUT NLD S 48.22% 2,000,000 1 JV 964,400 - (1,098,600) DEMETR 4.1% 20/03/19 CA Vida OAFJV XS OUT NLD S 74.17% 2,000,000 1 JV 1,483,378 - (580,400) DEMETR 4.3% 20/03/19 CA Vida OAFJV XS OUT NLD S 68.68% 2,000,000 1 JV 1,373,689 - (693,200) DEMETR 4.75% 20/03/22 CA Vida OAFJV XS OUT NLD S 64.39% 4,000,000 1 JV 2,575,778 - (1,609,000) DEMETR 4.9% 20/03/19 CA Vida OAFJV XS OUT NLD S 29.22% 2,000,000 1 JV 584,422 - (1,491,800) DEMETR 4.9% 20/03/22 CA Vida OAFJV XS OUT NLD S 65.53% 4,000,000 1 JV 2,621,244 - (1,575,200) DEMETR 5.1% 20/03/22 CA Vida OAFJV XS OUT NLD S 56.89% 4,000,000 1 JV 2,275,467 - (1,907,200) DEMETR 5.25% 20/03/2022 CA Vida OAFJV XS OUT NLD S 65.38% 4,000,000 1 JV 2,615,333 - (1,596,000) DEMETR 5.25% 20/03/22 CA Vida OAFJV XS OUT NLD S 31.31% 4,000,000 1 JV 1,252,533 - (2,931,800) DEMETR 6.2% 20/03/22 CA Vida OAFJV XS OUT NLD S 6.30% 4,000,000 1 JV 252,089 - (3,957,800) Douro 7.85% 20/09/18 CA Vida OAFJV XS OUT NLD S % 7,500,000 1 JV 8,152, ,500 SMART 4.67% 20/06/18 CA Vida OAFJV XS OUT LUX S % 7,500,000 1 JV 7,817, ,000 UCGIM 4.25% 29/07/16 CA Vida OAFJV IT OUT ITA S % 850,000 1 JV 884,820 - (4,474) 0 68,176,744 - (17,529,467) 0 Total 0 83,475,000 68,203,609 - (17,529,467) Notes 128

129 GRUPO CRÉDITO AGRÍCOLA DETAILS OF SECURITIES AS AT 31 DECEMBER 2015 Nature and type Entity holding the securities FINANCIAL ASSETS AVAILABLE FOR SALE 0 Debt instruments 0 Of public debt Asset category Instruction 23/2004 Code of the security Type of issuer BGB 0.8% 22/06/25 CA Seguros AFDV BE OUT BEL S 98.90% 2,500,000 1 JV 2,472,546 - (70,347) BGB 2.6% 22/06/24 CA Seguros AFDV BE OUT BEL S % 5,000,000 1 JV 5,821,052-31,505 BTPS 1.5% 15/12/16 CA Seguros AFDV IT OUT ITA S % 1,000,000 1 JV 1,015,197-5,077 BTPS 3.5% 01/06/18 CA Seguros AFDV IT OUT ITA S % 2,500,000 1 JV 2,711, ,075 BTPS 3.75% 01/05/21 CA Seguros AFDV IT OUT ITA S % 15,500,000 1 JV 18,054,157-1,489,014 BTPS 4.50% 01/03/24 CA Seguros AFDV IT OUT ITA S % 3,800,000 1 JV 4,786, ,651 BTPS 4.75% 01/09/28 CA Seguros AFDV IT OUT ITA S % 2,500,000 1 JV 3,339, ,890 DBR 3% 04/07/20 CA Seguros AFDV DE OUT DEU S % 6,000,000 1 JV 6,925, ,520 FRTR 2.25% 25/10/22 CA Seguros AFDV FR OUT FRA S % 14,500,000 1 JV 16,352, ,112 FRTR 4.25% 25/10/18 CA Seguros AFDV FR OUT FRA S % 6,080,000 1 JV 6,891, ,091 IRISH 0.8% 15/03/22 CA Seguros AFDV IE00BJ38CQ36 OUT IRL S % 4,400,000 1 JV 4,521,803 - (3,743) IRISH 2.4% 15/05/30 CA Seguros AFDV IE00BJ38CR43 OUT IRL S % 2,000,000 1 JV 2,210,095 - (189,397) NETHER 4% 15/07/18 CA Seguros AFDV NL OUT NLD S % 4,550,000 1 JV 5,128, ,973 RAGB 1.15% 19/10/18 CA Seguros AFDV AT0000A12B06 OUT AUT S % 5,000,000 1 JV 5,207,876-58,710 RAGB 1.65% 21/10/24 CA Seguros AFDV AT0000A185T1 OUT AUT S % 2,000,000 1 JV 2,165,392 - (4,630) SPGB 1.6% 30/04/25 CA Seguros AFDV ES Z1 OUT ESP S % 5,000,000 1 JV 5,031,020 - (83,908) SPGB 2.75% 31/10/24 CA Seguros AFDV ES B2 OUT ESP S % 900,000 1 JV 986,903 - (16,264) SPGB 4.50% 31/01/18 CA Seguros AFDV ES Q7 OUT ESP S % 2,500,000 1 JV 2,830, ,342 SPGB 5.15% 31/10/28 CA Seguros AFDV ES C5 OUT ESP S % 2,500,000 1 JV 3,348, ,742 SPGB 5.5% 30/04/21 CA Seguros AFDV ES B9 OUT ESP S % 16,000,000 1 JV 20,489,075-1,664,224 SPGB 5.85% 31/01/22 CA Seguros AFDV ES K0 OUT ESP S % 2,500,000 1 JV 3,350,104 - (4,129) TBonds Oct 25 CA Vida AFDV PTOTEKOE0011 OUT PRT S % 35,038,000 1 JV 36,323,842 - (1,121,675) TBonds Oct 17 CA Vida AFDV PTOTELOE0010 OUT PRT S % 12,400,000 1 JV 13,448,207-3,822 TBonds June 2018 CA Vida AFDV PTOTENOE0018 OUT PRT S % 8,295,000 1 JV 9,354, ,561 TBonds June 2019 CA Vida AFDV PTOTEMOE0027 OUT PRT S % 30,550,000 1 JV 35,571,085 - (25,392) BGB 0.8% 22/06/25 CA Vida AFDV BE OUT BEL S 98.90% 3,500,000 1 JV 3,461,488 - (5,570) BGB 1.25% 22/06/18 CA Vida AFDV BE OUT BEL S % 959,000 1 JV 1,001,778-33,055 BTNS 2.5% 25/07/16 CA Vida AFDV FR OUT FRA S % 449,000 1 JV 461,016-1,531 BTPS 1.5% 15/12/16 CA Vida AFDV IT OUT ITA S % 8,380,000 1 JV 8,507,005-47,374 BTPS 2.5% 01/05/19 CA Vida AFDV IT OUT ITA S % 3,000,000 1 JV 3,234, ,232 BTPS 3.5% 01/03/30 CA Vida AFDV IT OUT ITA S % 30,577,000 1 JV 36,601,727-1,224,979 BTPS 3.5% 01/06/18 CA Vida AFDV IT OUT ITA S % 179,000 1 JV 194,138-6,254 BTPS 3.75% 01/05/21 CA Vida AFDV IT OUT ITA S % 2,400,000 1 JV 2,795, ,906 BTPS 4.25% 01/02/19 CA Vida AFDV IT OUT ITA S % 1,780,000 1 JV 2,032, ,437 BTPS 4.5% 01/08/18 CA Vida AFDV IT OUT ITA S % 2,700,000 1 JV 3,056,365-53,101 BTPS 4.50% 01/02/18 CA Vida AFDV IT OUT ITA S % 975,000 1 JV 1,083,602-92,440 BTPS 4.50% 01/03/24 CA Vida AFDV IT OUT ITA S % 22,729,000 1 JV 28,623, ,639 BTPS 4.75% 01/09/28 CA Vida AFDV IT OUT ITA S % 28,964,000 1 JV 38,689,816-4,905,133 BTPS 4.75% 01/09/44 CA Vida AFDV IT OUT ITA S % 59,593,000 1 JV 85,437,876-9,532,288 Country of the issuer Listed/ Unlisted Price Quantity Nominal value Accounting criterion Book value Value corrections Gains/ Losses Notes 129

130 GRUPO CRÉDITO AGRÍCOLA DETAILS OF SECURITIES AS AT 31 DECEMBER 2015 Nature and type Entity holding the securities Asset category Instruction 23/2004 Code of the security Type of issuer BTPS 5.25% 01/08/17 CA Vida AFDV IT OUT ITA S % 2,575,000 1 JV 2,845, ,449 BTPSH 0 01/02/19 CA Vida AFDV IT OUT ITA S 99.24% 3,550,000 1 JV 3,523, ,249 BTPSS 0 01/08/18 CA Vida AFDV IT OUT ITA S 99.61% 5,130,000 1 JV 5,109, ,157 DBR 0.5% 15/02/25 CA Vida AFDV DE OUT DEU S 99.86% 45,000,000 1 JV 44,938,386 - (194,837) DBR 1.50% 15/02/23 CA Vida AFDV DE OUT DEU S % 1,450,000 1 JV 1,597, ,993 FRTR 1% 25/05/18 CA Vida AFDV FR OUT FRA S % 2,000,000 1 JV 2,071,922-25,081 FRTR 2.25% 25/10/22 CA Vida AFDV FR OUT FRA S % 28,200,000 1 JV 31,801,673 - (51,120) IRISH 0.8% 15/03/22 CA Vida AFDV IE00BJ38CQ36 OUT IRL S % 20,600,000 1 JV 21,169, ,806 IRISH 2.4% 15/05/30 CA Vida AFDV IE00BJ38CR43 OUT IRL S % 20,198,000 1 JV 22,318,426 - (689,922) IRISH 4.50% 18/10/18 CA Vida AFDV IE00B28HXX02 OUT IRL S % 4,380,000 1 JV 4,981, ,896 NETHER 0 15/04/16 CA Vida AFDV NL OUT NLD S % 100,000 1 JV 100, NETHER 1.25% 15/01/18 CA Vida AFDV NL OUT NLD S % 35,773,000 1 JV 37,325, ,687 NETHER 1.75% 15/07/23 CA Vida AFDV NL OUT NLD S % 6,377,000 1 JV 7,046, ,135 OBL 0.25% 11/10/19 CA Vida AFDV DE OUT DEU S % 10,586,000 1 JV 10,775, RAGB 1.15% 19/10/18 CA Vida AFDV AT0000A12B06 OUT AUT S % 2,050,000 1 JV 2,135,165-75,808 RAGB 1.65% 21/10/24 CA Vida AFDV AT0000A185T1 OUT AUT S % 30,700,000 1 JV 33,237,380 - (117,438) SPGB 1.95% 30/07/30 CA Vida AFDV ES A2 OUT ESP S 96.19% 9,400,000 1 JV 9,041,906 - (355,942) SPGB 2.1% 30/04/17 CA Vida AFDV ES I2 OUT ESP S % 2,200,000 1 JV 2,291,756-12,378 SPGB 2.75% 31/10/24 CA Vida AFDV ES B2 OUT ESP S % 4,613,000 1 JV 5,058,077-72,626 SPGB 3.3% 30/07/16 CA Vida AFDV ES W5 OUT ESP S % 650,000 1 JV 671,408-6,759 SPGB 3.8% 30/04/24 CA Vida AFDV ES W3 OUT ESP S % 69,329,000 1 JV 83,173,114-3,659,296 SPGB 4.1% 30/07/18 CA Vida AFDV ES A5 OUT ESP S % 6,045,000 1 JV 6,758, ,461 SPGB 4.4% 31/10/23 CA Vida AFDV ES X3 OUT ESP S % 878,000 1 JV 1,079, ,612 SPGB 4.50% 31/01/18 CA Vida AFDV ES Q7 OUT ESP S % 2,600,000 1 JV 2,943, ,989 SPGB 4.6% 30/07/19 CA Vida AFDV ES L2 OUT ESP S % 2,160,000 1 JV 2,524,727-19,612 SPGB 5.15% 31/10/28 CA Vida AFDV ES C5 OUT ESP S % 74,746,000 1 JV 100,109,807-5,479,630 SPGB 5.5% 30/04/21 CA Vida AFDV ES B9 OUT ESP S % 2,000,000 1 JV 2,560,834 - (13,093) SPGB 5.5% 30/07/17 CA Vida AFDV ES OUT ESP S % 2,925,000 1 JV 3,244, ,804 SPGB 5.85% 31/01/22 CA Vida AFDV ES K0 OUT ESP S % 18,100,000 1 JV 24,251,855-25,621 BTPS /2020 Caixa Central AFDV IT OUT ITA S % 523,000,000 1 JV 524,354,196 - (3,717,439) BTPS /19 Caixa Central AFDV IT OUT ITA S % 230,000,000 1 JV 235,952,249 - (1,557,006) BTPS /21 Caixa Central AFDV IT OUT ITA S % 95,000,000 1 JV 102,026,070 - (720,331) BTPS 4 01/09/20 Caixa Central AFDV IT OUT ITA S % 160,000,000 1 JV 187,495,455 - (1,480,129) CCTS 0 06/15/22 Caixa Central AFDV IT OUT ITA S % 105,000,000 1 JV 105,771, ,496 CCTS 0 12/15/2020 Caixa Central AFDV IT OUT ITA S % 55,000,000 1 JV 56,286,441-29,001 CCTS 0 12/15/22 Caixa Central AFDV IT OUT ITA S % 250,000,000 1 JV 253,765,653-1,174,614 OT APR 21 Caixa Central AFDV PTOTEYOE0007 OUT PRT S % 60,000,000 1 JV 69,258,295 - (207,700) OT FEV 24 Caixa Central AFDV PTOTEQOE0015 OUT PRT S % 45,000,000 1 JV 58,089,341 - (3,140,337) OT JUN 20 Caixa Central AFDV PTOTECOE0029 OUT PRT S % 353,000,000 1 JV 419,247,336 - (2,514,671) TBonds Oct 17 Caixa Central AFDV PTOTELOE0010 OUT PRT S % 450,000 1 JV 488,143-2,867 OT OUT 25 Caixa Central AFDV PTOTEKOE0011 OUT PRT S % 45,000,000 1 JV 46,636,067 - (3,263,121) PORTB 0 03/18/16 Caixa Central AFDV PTPBTUGE0029 OUT PRT S % 20,000,000 1 JV 19,999, Country of the issuer Listed/ Unlisted Price Quantity Nominal value Accounting criterion Book value Value corrections Gains/ Losses Notes 130

131 GRUPO CRÉDITO AGRÍCOLA DETAILS OF SECURITIES AS AT 31 DECEMBER 2015 Nature and type Entity holding the securities Asset category Instruction 23/2004 Code of the security Type of issuer PORTB 0 05/20/16 Caixa Central AFDV PTPBT5GE0026 OUT PRT S % 125,000,000 1 JV 124,996,250 - (2,194) PORTB 0 07/22/16 Caixa Central AFDV PTPBTVGE0028 OUT PRT S % 50,000,000 1 JV 49,999,000 - (315) PORTB 0 09/23/16 Caixa Central AFDV PTPBTWGE0027 OUT PRT S 99.98% 314,500,000 1 JV 314,424,520 - (67,422) SPGB /19 Caixa Central AFDV ES O6 OUT ESP S % 35,000,000 1 JV 40,356,895 - (252,275) SPGB /10/20 Caixa Central AFDV ES T3 OUT ESP S % 140,000,000 1 JV 168,495,019 - (1,416,380) BTPS 4 01/09/20 CCAM Vale do Dao e Alto Vouga CRL AFDV IT OUT ITA S % 95,000 1 JV 110,059 - (1,065) PORTB 0 05/20/16 CCAM Porto de MOs CRL AFDV PTPBT5GE0026 OUT PRT S 99.97% 2,884,800 1 JV 2,884, PORTB 0 05/20/16 CCAM Sobral de Monte Agraco CRL AFDV PTPBT5GE0026 OUT PRT S 99.97% 856,800 1 JV 856,800-8 BTPS 2,15% 15/12/21 CCAM Vale do Dao e Alto Vouga CRL AFDV IT OUT ITA S % 333,000 1 JV 357, OT OUT 17 CCAM da Zona do Pinhal CRL AFDV PTOTELOE0010 OUT PRT S % 1,000,000 1 JV 1,084,569 78,603 OT JUN 20 CCAM de Pombal CRL AFDV PTOTECOE0029 OUT PRT S % 5,000,000 1 JV 5,942,097 41,295 OT (3,875% 02/15/30) CCAM Regiao Braganca e Alto Douro CRL AFDV PTOTEROE0014 OUT PRT S % 10,000,000 1 JV 11,208, ,171 TBonds June 2019 CCAM Porto de MOs CRL AFDV PTOTEMOE0027 OUT PRT S % 1,233,956 1 JV 1,435, ,307 TBonds Apr 21 CCAM Porto de MOs CRL AFDV PTOTEYOE0007 OUT PRT S % 229,135 1 JV 264,037-96,982 TBonds 15/April/2037 CCAM Porto de MOs CRL AFDV PTOTE5OE0007 OUT PRT S % 1,729,000 1 JV 1,920, ,856 TBonds 15/February/2045 CCAM Porto de MOs CRL AFDV PTOTEBOE0020 OUT PRT S % 1,951,100 1 JV 2,164,420-1,648 TBonds June 2018 CCAM Porto de MOs CRL AFDV PTOTENOE0018 OUT PRT S % 6,000 1 JV 6,751 - (11,660) TBonds Oct 25 CCAM Porto de MOs CRL AFDV PTOTEKOE0011 OUT PRT S % 893,000 1 JV 924,245-41,737 TBonds 4.45% Jun 2018 CCAM Lourinha CRL AFDV PTOTENOE0018 OUT PRT S % 15,000,000 1 JV 16,921,375 2,057,597 OT JUN 20 CCAM Lourinha CRL AFDV PTOTECOE0029 OUT PRT S % 5,500,000 1 JV 6,535, ,402 TBonds 4.95% Oct 2023 CCAM Lourinha CRL AFDV PTOTEAOE0021 OUT PRT S % 5,000,000 1 JV 6,040,182 1,575,553 TBonds 15/February/2045 CCAM Regiao Braganca e Alto Douro CRL AFDV PTOTEBOE0020 OUT PRT S % 3,650,000 1 JV 4,059,420 (1,006,809) TBonds Feb 24 CCAM Vale do Dao e Alto Vouga CRL AFDV PTOTEQOE0015 OUT PRT S % 2,000,000 1 JV 2,475,320-37,417 TBonds 15/April/2037 CCAM Sobral de Monte Agraco CRL AFDV PTOTE5OE0007 OUT PRT S % 415,000 1 JV 460,993-23,284 TBonds 15/February/2045 CCAM Sobral de Monte Agraco CRL AFDV PTOTEBOE0020 OUT PRT S % 757,400 1 JV 840,209-1,431 TBonds June 20 CCAM Beja e Mertola CRL AFDV PTOTECOE0029 OUT PRT S % 5,000,000 1 JV 5,930, ,645 TBonds June 2018 CCAM do Algarve CRL AFDV PTOTENOE0018 OUT PRT S % 5,000,000 1 JV 5,640, ,123 TBonds June 2018 CCAM de Vale de Sousa e Baixo Tamega CRL AFDV PTOTENOE0018 OUT PRT S % 76,000,000 1 JV 85,734,965 9,363,454 TBonds June 2019 CCAM Sobral de Monte Agraco CRL AFDV PTOTEMOE0027 OUT PRT S % 581,908 1 JV 676,780-50,121 TBonds June 20 CCAM de Vale de Sousa e Baixo Tamega CRL AFDV PTOTECOE0029 OUT PRT S % 5,000,000 1 JV 5,940, ,499 TBonds Oct 17 CCAM de Vale de Sousa e Baixo Tamega CRL AFDV PTOTELOE0010 OUT PRT S % 1,600,000 1 JV 1,805, ,987 TBonds Oct 25 CCAM Sobral de Monte Agraco CRL AFDV PTOTEKOE0011 OUT PRT S % 742,000 1 JV 767,961-24,590 TBonds June 2018 CCAM Regiao do Fundao e Sabugal CRL AFDV PTOTENOE0018 OUT PRT S % 1,500,000 1 JV 1,689, ,087 TBonds Feb 24 CCAM Coimbra CRL AFDV PTOTEQOE0015 OUT PRT S % 800,000 1 JV 1,033,347 30,661 TBonds June 20 CCAM Batalha CRL AFDV PTOTECOE0029 OUT PRT S % 3,500,000 1 JV 4,152, ,400 TBonds June 2019 CCAM de Terras de Viriato CRL AFDV PTOTEMOE0027 OUT PRT N % 273,000 1 JV 318, TBonds Feb 24 CCAM de Terras de Viriato CRL AFDV PTOTEQOE0015 OUT PRT N % 246,000 1 JV 318, BTPS 2.15% 12/15/21 CCAM de Terras de Viriato CRL AFDV IT OUT ITA N % 70,000 1 JV 75, BTPS 2.15% 12/15/21 CCAM de Terras de Viriato CRL AFDV IT OUT ITA N % 295,000 1 JV 320, BTPS 4 01/09/20 CCAM de Terras de Viriato CRL AFDV IT OUT ITA N % 273,000 1 JV 320, SPGB 3.8% 30/04/24 CCAM de Terras de Viriato CRL AFDV ES W3 OUT ESP N % 263,000 - JV 322, SPGB /31/23 CCAM de Terras de Viriato CRL AFDV ES U9 OUT ESP N % 240,000 - JV 320, SPGB 3.8% 30/04/24 CCAM Vale do Dao e Alto Vouga CRL AFDV ES W3 OUT ESP S % 92,000 1 JV 108,061 - (2,332) SPGB /31/23 CCAM Vale do Dao e Alto Vouga CRL AFDV ES U9 OUT ESP S % 84,000 1 JV 107,579 - (4,191) Country of the issuer Listed/ Unlisted Price Quantity Nominal value Accounting criterion Book value Value corrections Gains/ Losses 0 3,867,925,152-36,496,784 Notes 131

132 GRUPO CRÉDITO AGRÍCOLA DETAILS OF SECURITIES AS AT 31 DECEMBER 2015 Nature and type Entity holding the securities Of other public issuers 0 Asset category Instruction 23/2004 Code of the security Type of issuer ICO 4% 30/04/18 CA Vida AFDV XS OUT ESP S % 300,000 1 JV 333,848-21,942 ICO 4.375% 20/05/19 CA Vida AFDV XS OUT ESP S % 6,575,000 1 JV 7,612,505-1,078,067 ICO 4.625% 31/01/17 CA Vida AFDV XS OUT ESP S % 6,950,000 1 JV 7,570, ,429 ICO 5% 05/07/16 CA Vida AFDV XS OUT ESP S % 350,000 1 JV 367,081-8,215 MADRID 4.125% 21/05/24 CA Vida AFDV ES OUT ESP S % 6,600,000 1 JV 7,917,465-1,141,239 MADRID 4.688% 12/03/20 CA Vida AFDV ES OUT ESP S % 1,700,000 1 JV 2,027,552-20,199 RATPFP 2.875% 09/09/22 CA Vida AFDV XS OUT FRA S % 750,000 1 JV 871, ,173 MADRID 4.125% 21/05/24 CA Seguros AFDV ES OUT ESP S % 500,000 1 JV 599,864-89,007 Of other issuers 0 Non-subordinated debt 0 Country of the issuer Listed/ Unlisted Price Quantity Nominal value Accounting criterion Book value Value corrections Gains/ Losses 0 27,300,835-2,842,271 BCPPL /17 CA Vida AFDV PTBITIOM0057 IC PRT S % 5,700,000 1 JV 5,836,783 - (45,161) BCPPL /16 CA Vida AFDV PTBCSSOE0011 IC PRT S % 9,900,000 1 JV 10,220, ,572 BCPPL /22/17 CA Vida AFDV PTBCUB1E0005 IC PRT S % 6,900,000 1 JV 7,490, ,704 CXGD 1% 27/01/22 CA Vida AFDV PTCGH1OE0014 IC PRT S % 5,100,000 1 JV 5,133,866 - (374) CXGD 3% 15/01/19 CA Vida AFDV PTCGHAOE0019 IC PRT S % 1,900,000 1 JV 2,098, ,338 CXGD 3.75% 18/01/18 CA Vida AFDV PTCGHUOE0015 IC PRT S % 9,000,000 1 JV 9,942, ,051 CXGD 3.875% 06/12/16 CA Vida AFDV PTCGF11E0000 IC PRT S % 2,200,000 1 JV 2,277, ,237 CXGD 4.25% 27/01/20 CA Vida AFDV PTCG2YOE0001 IC PRT S % 5,000,000 1 JV 5,914,281-1,259,813 NOVBNC 5% 23/04/19 CA Vida AFDV XS IC PRT S 89.51% 4,300,000 1 JV 3,848,825 - (619,530) OIBRBZ 6.25% 26/07/16 CA Vida AFDV PTPTCYOM0008 IC PRT S 91.36% 4,600,000 1 JV 4,202,611 - (566,199) PTIPL 5.375% 15/05/20 CA Vida AFDV PTPTIHOT0014 IC PRT S % 10,028,571 1 JV 10,568, ,808 AALLN 1.75% 03/04/18 CA Vida AFDV XS IC S 85.66% 4,400,000 1 JV 3,769,020 - (358,694) ABBEY 2% 14/01/19 CA Vida AFDV XS IC GBR S % 2,700,000 1 JV 2,858,930-87,726 ABESM 4.625% 12/10/16 CA Vida AFDV ES IC ESP S % 2,350,000 1 JV 2,453,134-85,119 ABESM 5.75% 09/03/18 CA Vida AFDV XS IC NLD S % 2,600,000 1 JV 3,014, ,139 ACEIM 2.625% 15/07/24 CA Vida AFDV XS IC ITA S % 3,450,000 1 JV 3,656, ,316 ADIFAL 3.5% 27/05/24 CA Vida AFDV XS IC ESP S % 6,000,000 1 JV 6,866, ,821 ADPFP 1.5% 24/07/23 CA Vida AFDV FR IC FRA S % 500,000 1 JV 512,219-9,620 ADRIT 3.25% 20/02/21 CA Vida AFDV XS IC ITA S % 1,000,000 1 JV 1,128, ,063 AEMSPA 3.625% 13/01/22 CA Vida AFDV XS IC ITA S % 5,550,000 1 JV 6,447, ,023 AEMSPA 4.50% 02/11/16 CA Vida AFDV XS IC ITA S % 6,345,000 1 JV 6,609, ,145 AIB 2.875% 28/11/16 CA Vida AFDV XS IC IRL S % 900,000 1 JV 919,469-17,876 ALB 1.875% 08/12/21 CA Vida AFDV XS IC S 96.59% 5,542,000 1 JV 5,352,898 - (42,520) AMXLMM 1% 04/06/18 CA Vida AFDV XS IC MEX S % 3,700,000 1 JV 3,749,164-25,219 ATLIM 1.625% 12/06/23 CA Vida AFDV IT IC ITA S % 500,000 1 JV 507,409-13,808 AYTCED 3.50% 14/03/16 CA Vida AFDV ES IC ESP S % 1,300,000 1 JV 1,343,711-14,138 AYTCED 4.75% 04/12/18 CA Vida AFDV ES IC ESP S % 4,100,000 1 JV 4,626, ,362 AYTCED 4.75% 15/06/16 CA Vida AFDV ES IC ESP S % 700,000 1 JV 731,659-5,305 BAA 4.375% 25/01/17 CA Vida AFDV XS IC GBR S % 1,350,000 1 JV 1,462,473-56,545 BAC 4.625% 07/08/17 CA Vida AFDV XS IC USA S % 1,050,000 1 JV 1,140,320-60,539 Notes 132

133 Nature and type Entity holding the securities Asset category Instruction 23/2004 Code of the security Type of issuer BAC 4.75% 03/04/17 CA Vida AFDV XS IC USA S % 3,700,000 1 JV 4,036, ,325 BACR 2.625% 11/11/25 CA Vida AFDV XS IC S % 600,000 1 JV 600,856-1,450 BACR 4% 20/01/17 CA Vida AFDV XS IC GBR S % 400,000 1 JV 431,227-18,024 BACR 4.125% 15/03/16 CA Vida AFDV XS IC GBR S % 1,806,000 1 JV 1,879,246-13,764 BANBRA 3.75% 25/07/18 CA Vida AFDV XS IC BRA S 94.75% 13,150,000 1 JV 12,459,375 - (1,111,349) BANCAR 3.875% 24/10/18 CA Vida AFDV IT IC ITA S % 11,000,000 1 JV 11,974, ,417 BBVASM 2.375% 22/01/19 CA Vida AFDV XS IC ESP S % 3,300,000 1 JV 3,557, ,741 BBVASM 3.25% 24/01/16 CA Vida AFDV ES IC ESP S % 1,800,000 1 JV 1,856,903-3,936 BBVASM 3.75% 17/01/18 CA Vida AFDV XS IC ESP S % 2,600,000 1 JV 2,870, ,869 BBVASM 4.875% 15/04/16 CA Vida AFDV XS IC ESP S % 3,000,000 1 JV 3,144,783-37,689 BKIASM 3.625% 05/10/16 CA Vida AFDV ES IC ESP S % 500,000 1 JV 516,608-21,824 BKTSM 4.125% 22/03/17 CA Vida AFDV ES IC ESP S % 500,000 1 JV 539,474-23,683 BMW 0.875% 17/11/20 CA Vida AFDV XS IC S % 3,800,000 1 JV 3,802,211 - (928) BNDES 3.625% 21/01/19 CA Vida AFDV XS IC S 92.44% 2,200,000 1 JV 2,033,690 - (139,251) BNP 3.75% 25/11/20 CA Vida AFDV XS IC FRA S % 1,000,000 1 JV 1,144, ,679 BNP 6.125%29/12/49-22 CA Vida AFDV XS IC FRA S % 3,000,000 1 JV 3,078,519-68,589 BOGAEI 3.625% 04/12/17 CA Vida AFDV XS IC IRL S % 500,000 1 JV 532,227-22,527 BPLN 2.177% 16/02/16 CA Vida AFDV XS IC GBR S % 500,000 1 JV 510,678-1,204 BRCORO 4.5% 05/12/16 CA Vida AFDV PTBRIHOM0001 IC PRT S % 20,800,000 1 JV 21,684,971-1,741,699 BRCORO 6.875% 02/04/18 CA Vida AFDV PTBSSGOE0009 IC PRT S % 9,000,000 1 JV 10,676, ,561 BTPS 3.75% 01/08/21 CA Vida AFDV IT IC S % 20,950,000 1 JV 24,663,731 - (13,705) CABKSM 4% 16/02/17 CA Vida AFDV ES IC ESP S % 1,300,000 1 JV 1,400,073-51,028 CAFP4.375% 02/11/16 CA Vida AFDV FR IC FRA S % 500,000 1 JV 520,906-17,425 CAIXAB 3.50% 31/03/16 CA Vida AFDV ES IC ESP S % 1,550,000 1 JV 1,602,898-18,836 CAIXAB 4.625% 04/06/19 CA Vida AFDV ES IC ESP S % 3,400,000 1 JV 3,972, ,254 CAIXAC 3.50% 07/03/16 CA Vida AFDV ES IC NLD S % 1,800,000 1 JV 1,861,187-3,676 CAJAMM 5% 28/06/19 CA Vida AFDV ES IC ESP S % 2,550,000 1 JV 3,017, ,719 CAJAMM 5.75% 29/06/16 CA Vida AFDV ES IC ESP S % 4,900,000 1 JV 5,169, ,279 CAJARU 3.75% 22/11/18 CA Vida AFDV ES IC ESP S % 14,000,000 1 JV 15,269,183-1,115,202 CARGIL 2.50% 15/02/23 CA Vida AFDV XS IC USA S % 1,850,000 1 JV 2,008, ,717 CEIFP 3.875% 23/09/16 CA Vida AFDV FR IC FRA S % 800,000 1 JV 812,721-10,906 CEIFP 4.625% 05/10/17 CA Vida AFDV FR IC FRA S % 3,000,000 1 JV 3,139, ,436 CESDRA 4.125% 23/07/19 CA Vida AFDV XS IC CZE S % 250,000 1 JV 276,354-22,024 Citigroup Inc 4.375% 30/01/17 CA Vida AFDV XS IC USA S % 400,000 1 JV 434,046-21,582 CNH 2.875% 27/09/21 CA Vida AFDV XS IC LUX S 99.67% 2,500,000 1 JV 2,491,806 - (8,643) COFP 3.994% 09/03/20 CA Vida AFDV FR IC FRA S % 300,000 1 JV 327,537-17,728 CS 1.375% 29/11/19 CA Vida AFDV XS IC CHE S % 4,300,000 1 JV 4,428, ,486 CXGD /03/16 CA Vida AFDV PTCG36OM0000 IC PRT S % 3,900,000 1 JV 4,369,421 - (73,147) DANBNK 5.875% 29/04/49-22 CA Vida AFDV XS IC DNK S % 6,200,000 1 JV 6,358,873-47,170 DLNA 4.25% 17/11/17 CA Vida AFDV XS IC NLD S % 2,250,000 1 JV 2,385, ,879 EDF 5% 22/01/49-26 CA Vida AFDV FR IC FRA S % 1,000,000 1 JV 1,023,656 - (10,911) Country of the issuer Listed/ Unlisted Price Quantity Nominal value Accounting criterion Book value Value corrections Gains/ Losses Notes 133

134 Nature and type Entity holding the securities Asset category Instruction 23/2004 Code of the security Type of issuer EDPPL 5.375% 16/09/75-21 CA Vida AFDV PTEDPUOM0024 IC PRT S 99.41% 2,500,000 1 JV 2,485,167 - (41,319) EIBKOR 2% 30/04/20 CA Vida AFDV XS IC KOR S % 2,400,000 1 JV 2,552, ,000 ELEPOR 2% 22/04/25 CA Vida AFDV XS IC PRT S 91.88% 500,000 1 JV 459,410 - (47,245) EDP FINANCE - ELEPOR 4.75% 26/09/16 CA Vida AFDV XS IC NLD S % 1,000,000 1 JV 1,028,750-22,509 EDP FINANCE - ELEPOR 5.75% 21/09/17 CA Vida AFDV XS IC NLD S % 20,400,000 1 JV 22,873, ,760 EDP FINANCE - ELEPOR 5.75% 21/09/17 CA Vida AFDV XS IC NLD S % 3,531,000 1 JV 3,826, ,938 EDP FINANCE - ELEPOR 5.875% 01/02/16 CA Vida AFDV XS IC NLD S % 4,445,000 1 JV 4,462,958 - (211,066) ELIASO 1.375% 27/05/24 CA Vida AFDV BE IC S 98.58% 2,500,000 1 JV 2,464,518 - (34,954) ENEL 4% 14/09/16 CA Vida AFDV XS IC LUX S % 2,700,000 1 JV 2,802,555-78,583 ENELIM 4.875% 20/02/18 CA Vida AFDV IT IC ITA S % 3,640,000 1 JV 4,129, ,764 ENELIM 5% 15/01/75-20 CA Vida AFDV XS IC ITA S % 1,600,000 1 JV 1,750,216-69,044 ENELIM 5.25% 20/06/17 CA Vida AFDV XS IC ITA S % 2,000,000 1 JV 2,198, ,139 ENGSM 2.5% 11/04/22 CA Vida AFDV XS IC ESP S % 2,000,000 1 JV 2,199, ,273 ENGSM 4.25% 05/10/17 CA Vida AFDV XS IC ESP S % 500,000 1 JV 539,031-27,160 ENIIM 2.625% 22/11/21 CA Vida AFDV XS IC ITA S % 2,600,000 1 JV 2,806, ,553 ENIIM 3.5% 29/01/18 CA Vida AFDV XS IC ITA S % 250,000 1 JV 273,847-17,887 ERSTBK 1.875% 13/05/19 CA Vida AFDV XS IC AUT S % 2,300,000 1 JV 2,410,550-75,241 ESBIRE 6.25% 11/09/17 CA Vida AFDV XS IC IRL S % 500,000 1 JV 559,177-49,715 F 1.114% 13/05/20 CA Vida AFDV XS IC GBR S % 4,900,000 1 JV 4,916,422 - (15,135) FADE 3.875% 17/03/18 CA Vida AFDV ES IC ESP S % 700,000 1 JV 775,178-23,198 FADE 4.875% 17/12/17 CA Vida AFDV ES IC ESP S % 600,000 1 JV 650,747-46,895 FCACAP 1.25% 13/06/18 CA Vida AFDV XS IC S % 1,900,000 1 JV 1,907,656-6,902 FCAIM 7% 23/03/17 CA Vida AFDV XS IC S % 4,000,000 1 JV 4,450,103 - (19,764) FERROV 3.5% 13/12/21 CA Vida AFDV XS IC ITA S % 2,800,000 1 JV 3,130, ,208 FERSM 3.375% 07/06/21 CA Vida AFDV XS IC ESP S % 1,700,000 1 JV 1,904, ,676 FGACAP 4% 17/10/18 CA Vida AFDV XS IC IRL S % 4,000,000 1 JV 4,316, ,615 FIAT 6.625% 15/03/18 CA Vida AFDV XS IC S % 8,500,000 1 JV 9,668,446 - (68,062) FNCIM 5.75% 12/12/18 CA Vida AFDV XS IC S % 1,000,000 1 JV 1,120,315 - (8,767) FRFP 5.75% 19/01/17 CA Vida AFDV FR IC FRA S % 2,000,000 1 JV 2,220, ,318 GASSM 3.50% 15/04/21 CA Vida AFDV XS IC NLD S % 2,300,000 1 JV 2,631, ,973 GASSM 4.125% 26/01/18 CA Vida AFDV XS IC ESP S % 2,750,000 1 JV 3,061, ,296 GASSM 4.375% 02/11/16 CA Vida AFDV XS IC ESP S % 6,400,000 1 JV 6,660, ,173 GASSM 5% 13/02/18 CA Vida AFDV XS IC ESP S % 5,900,000 1 JV 6,718, ,839 GASSM 6.375% 09/07/19 CA Vida AFDV XS IC ESP S % 1,600,000 1 JV 1,961, ,847 GE 2.875% 18/06/19 CA Vida AFDV XS IC IRL S % 3,800,000 1 JV 4,175, ,268 GLEINT 4.125% 03/04/18 CA Vida AFDV XS IC LUX S 96.93% 500,000 1 JV 484,641 - (31,749) GLEINT 5.25% 22/03/17 CA Vida AFDV XS IC LUX S % 1,500,000 1 JV 1,529,112 - (47,275) GLENLN /04/21 CA Vida AFDV XS IC LUX S 79.14% 1,500,000 1 JV 1,187,126 - (337,839) GS 4.375% 16/03/17 CA Vida AFDV XS IC USA S % 3,000,000 1 JV 3,251, ,090 GS 4.5% 30/01/17 CA Vida AFDV XS IC USA S % 850,000 1 JV 924,087-36,540 GS 5.125% 23/10/19 CA Vida AFDV XS IC USA S % 2,800,000 1 JV 3,277, ,684 Country of the issuer Listed/ Unlisted Price Quantity Nominal value Accounting criterion Book value Value corrections Gains/ Losses Notes 134

135 Nature and type Entity holding the securities Asset category Instruction 23/2004 Code of the security Type of issuer GSZFP 0.5% 13/03/22 CA Vida AFDV FR IC FRA S 97.48% 4,100,000 1 JV 3,996,568 - (91,949) HERIM 2.375% 04/07/24 CA Vida AFDV XS IC ITA S % 2,300,000 1 JV 2,483, ,030 HNZ 2% 30/06/23 CA Vida AFDV XS IC USA S % 200,000 1 JV 203,838-3,510 IBESM 1.75% 17/09/23 CA Vida AFDV XS IC NLD S % 1,700,000 1 JV 1,738,965-32,682 IBESM 2.5% 24/10/22 CA Vida AFDV XS IC NLD S % 3,700,000 1 JV 3,987, ,874 IBESM 3.5% 13/10/16 CA Vida AFDV XS IC ESP S % 4,500,000 1 JV 4,651, ,296 IBESM 4.50% 21/09/17 CA Vida AFDV XS IC NLD S % 1,700,000 1 JV 1,843, ,220 IGT 4.125% 15/02/20-19 CA Vida AFDV XS IC USA S % 13,450,000 1 JV 13,658,861 - (167,993) IGT 5.375% 02/02/18 CA Vida AFDV XS IC S % 1,000,000 1 JV 1,142,480 - (13,088) INTNED 1.25% 13/12/19 CA Vida AFDV XS IC NLD S % 4,700,000 1 JV 4,824, ,102 INTNED 4.25% 13/01/17 CA Vida AFDV XS IC NLD S % 500,000 1 JV 541,243-21,046 INTPET 4.875% 14/05/16 CA Vida AFDV XS IC CYM S % 1,260,000 1 JV 1,315,551-14,308 ISPIM 3.625% 03/12/22 CA Vida AFDV IT IC ITA S % 1,300,000 1 JV 1,534, ,383 ISPIM 3.75% 23/11/16 CA Vida AFDV XS IC ITA S % 500,000 1 JV 517,362-2,269 ISPIM 4.375% 16/08/16 CA Vida AFDV IT IC ITA S % 5,775,000 1 JV 6,019, ,368 ISPIM 4.75% 15/06/17 CA Vida AFDV XS IC ITA S % 5,550,000 1 JV 6,046, ,070 ISPIM 5.15% 16/07/20 CA Vida AFDV XS IC ITA S % 4,300,000 1 JV 4,864,759 - (114,803) JPM 3.875% 23/09/20 CA Vida AFDV XS IC USA S % 1,750,000 1 JV 2,014, ,339 LGFP 5.375% 26/06/17 CA Vida AFDV XS IC FRA S % 1,650,000 1 JV 1,816,154-72,544 LGFP 5.50% 16/12/19 CA Vida AFDV XS IC FRA S % 3,300,000 1 JV 3,879,732-20,551 LINHLD 3.875% 28/11/18 CA Vida AFDV XS IC ITA S % 2,500,000 1 JV 2,682, ,449 LLOYDS 4.625% 02/02/17 CA Vida AFDV XS IC GBR S % 3,775,000 1 JV 4,115, ,784 LLOYDS 5.375% 03/09/19 CA Vida AFDV XS IC GBR S % 2,500,000 1 JV 2,981, ,995 LLOYDS 6.50% 24/03/20 CA Vida AFDV XS IC GBR S % 6,600,000 1 JV 8,303, ,615 Lloyds TSB Bank 6.375% 17/06/16 CA Vida AFDV XS IC GBR S % 4,895,000 1 JV 5,206, ,422 LUXIM 3.625% 19/03/19 CA Vida AFDV XS IC ITA S % 300,000 1 JV 338,684-30,885 MAERSK 1.5% 24/11/22 CA Vida AFDV XS IC S 97.74% 1,500,000 1 JV 1,466,095 - (25,088) MLFP 1.125% 28/05/22 CA Vida AFDV XS IC LUX S % 2,500,000 1 JV 2,512,550 - (181) MLFP 2.75% 20/06/19 CA Vida AFDV XS IC LUX S % 200,000 1 JV 216,685-13,810 MRDGF 4.50% 04/12/23 CA Vida AFDV XS IC NLD S % 2,500,000 1 JV 2,953, ,796 MS 4.375% 12/10/16 CA Vida AFDV XS IC LUX S % 400,000 1 JV 416,897-21,341 MS 4.50% 23/02/16 CA Vida AFDV XS IC LUX S % 4,352,000 1 JV 4,544,500-32,434 MS 5% 02/05/19 CA Vida AFDV XS IC LUX S % 1,950,000 1 JV 2,294, ,261 MSFT 2.125% 06/12/21 CA Vida AFDV XS IC USA S % 1,800,000 1 JV 1,943, ,583 MTNA 4.50% 29/03/18 CA Vida AFDV XS IC NLD S 99.62% 7,200,000 1 JV 7,172,552 - (635,214) MTNA 4.625% 17/11/17 CA Vida AFDV XS IC LUX S 98.18% 2,350,000 1 JV 2,307,307 - (62,148) MTNA 9.375% 03/06/16 CA Vida AFDV XS IC NLD S % 2,720,000 1 JV 2,944,110-17,772 NAB 2% 12/11/20 CA Vida AFDV XS IC AUS S % 2,000,000 1 JV 2,118, ,769 NDAQ 3.875% 07/06/21 CA Vida AFDV XS IC USA S % 1,100,000 1 JV 1,238, ,112 ODGR 2.375% 10/02/21 CA Vida AFDV XS IC DEU S % 4,700,000 1 JV 5,036, ,951 OMVAV 5.25% 29/12/49-21 CA Vida AFDV XS IC S 96.59% 4,000,000 1 JV 3,863,770 - (153,018) Country of the issuer Listed/ Unlisted Price Quantity Nominal value Accounting criterion Book value Value corrections Gains/ Losses Notes 135

136 Nature and type Entity holding the securities Asset category Instruction 23/2004 Code of the security Type of issuer OMVAV 6.25% 29/12/49-25 CA Vida AFDV XS IC S 97.36% 4,000,000 1 JV 3,894,514 - (125,390) PBBGR 0.875% 20/01/17 CA Vida AFDV DE000A12UA67 IC DEU S % 5,000,000 1 JV 5,051,153-11,956 PBBGR 1.375% 15/01/18 CA Vida AFDV DE000A13SWA4 IC S % 13,700,000 1 JV 13,844, ,360 PEMEX 3.125% 27/11/20 CA Vida AFDV XS IC MEX S 95.94% 6,000,000 1 JV 5,756,118 - (259,072) PEMEX 5.5% 09/01/17 CA Vida AFDV XS IC S % 2,100,000 1 JV 2,263,871 - (43,672) PETBRA 3.75% 14/01/21 CA Vida AFDV XS IC CYM S 70.90% 23,300,000 1 JV 16,519,970 - (7,387,316) PEUGOT 4.25% 25/02/16 CA Vida AFDV XS IC FRA S % 1,570,000 1 JV 1,635,170-12,098 PEUGOT 5.625% 11/07/17 CA Vida AFDV FR IC S % 2,574,000 1 JV 2,814,175-20,617 PEUGOT 7.375% 06/03/18 CA Vida AFDV FR IC S % 3,000,000 1 JV 3,553,472 - (9,882) POHBK 1.25% 14/05/18 CA Vida AFDV XS IC FIN S % 1,800,000 1 JV 1,853,567-33,785 POPSM 2.875% 19/05/16 CA Vida AFDV XS IC S % 2,000,000 1 JV 2,051,465 - (1,436) POPSM 4% 18/10/16 CA Vida AFDV ES IC ESP S % 300,000 1 JV 311,426-5,633 POPSM 4.125% 30/03/17 CA Vida AFDV ES IC ESP S % 4,700,000 1 JV 5,064, ,013 PORTEL 4.375% 24/03/17 CA Vida AFDV XS IC NLD S 63.52% 5,225,000 1 JV 3,318,967 - (1,850,785) PORTEL 5% 04/11/19 CA Vida AFDV XS IC NLD S 55.19% 3,300,000 1 JV 1,821,359 - (1,338,037) PORTEL 5.625% 08/02/16 CA Vida AFDV XS IC NLD S 97.52% 4,745,000 1 JV 4,627,512 - (341,564) RABOBK 2.375% 22/05/23 CA Vida AFDV XS IC NLD S % 2,200,000 1 JV 2,406, ,323 RABOBK 5.5% 22/01/49-29 CA Vida AFDV XS IC NLD S % 2,600,000 1 JV 2,633,359-18,690 RBS 1.625% 25/06/19 CA Vida AFDV XS IC GBR S % 1,800,000 1 JV 1,847,487-33,722 RBS 4.875% 20/01/17 CA Vida AFDV XS IC GBR S % 1,885,000 1 JV 2,064,016-91,720 RBS 5.375% 30/09/19 CA Vida AFDV XS IC GBR S % 3,400,000 1 JV 4,034, ,230 RBS 6.934% 09/04/18 CA Vida AFDV XS IC GBR S % 8,000,000 1 JV 9,359, ,508 REESM 2.125% 01/07/23 CA Vida AFDV XS IC NLD S % 1,700,000 1 JV 1,806,667-93,451 REESM 2.375% 31/05/19 CA Vida AFDV XS IC ESP S % 2,200,000 1 JV 2,370, ,119 REESM 3.875% 25/01/22 CA Vida AFDV XS IC NLD S % 900,000 1 JV 1,080, ,857 RENAUL 1.25% 08/06/22 CA Vida AFDV FR IC FRA S 98.22% 4,000,000 1 JV 3,928,662 - (55,646) RENAUL 4% 16/03/16 CA Vida AFDV XS IC FRA S % 4,000,000 1 JV 4,155,056-35,558 RENAUL 4% 25/01/16 CA Vida AFDV XS IC FRA S % 1,990,000 1 JV 2,068,327-5,023 RENAUL 4.25% 27/04/17 CA Vida AFDV XS IC FRA S % 1,425,000 1 JV 1,534,921-66,955 RENAUL 4.625% 18/09/17 CA Vida AFDV FR IC FRA S % 400,000 1 JV 430,785-25,648 RENEPL 4.125% 31/01/18 CA Vida AFDV PTRELBOE0017 IC PRT S % 14,700,000 1 JV 16,215, ,876 RENRED 4.75% 16/10/20 CA Vida AFDV XS IC NLD S % 17,454,000 1 JV 20,187,356-1,160,164 REPSM 2.125% 16/12/20 CA Vida AFDV XS IC S 99.28% 10,300,000 1 JV 10,226,055 - (75,862) REPSM 2.625% 28/05/20 CA Vida AFDV XS IC NLD S % 3,100,000 1 JV 3,204,388 - (120,942) REPSM 3.875% 29/12/49-21 CA Vida AFDV XS IC NLD S 88.79% 6,500,000 1 JV 5,771,550 - (765,358) REPSM 4.75% 16/02/17 CA Vida AFDV XS IC NLD S % 250,000 1 JV 271,943 - (68) RIOLN 2.875% 11/12/24 CA Vida AFDV XS IC GBR S % 800,000 1 JV 857,889-63,723 ROSW 2% 25/06/18 CA Vida AFDV XS IC NLD S % 600,000 1 JV 634,367-1,545 RWE 3.5% 21/04/75-25 CA Vida AFDV XS IC DEU S 80.06% 4,500,000 1 JV 3,602,923 - (366,232) SABSM 3.375% 23/01/18 CA Vida AFDV ES IC ESP S % 1,200,000 1 JV 1,314,136-58,617 SABSM 4.25% 24/01/17 CA Vida AFDV ES IC ESP S % 2,600,000 1 JV 2,812, ,047 Country of the issuer Listed/ Unlisted Price Quantity Nominal value Accounting criterion Book value Value corrections Gains/ Losses Notes 136

137 Nature and type Entity holding the securities Asset category Instruction 23/2004 Code of the security Type of issuer SANFP 1.875% 04/09/20 CA Vida AFDV FR IC FRA S % 1,900,000 1 JV 2,024,840-94,860 SANTAN /04/17 CA Vida AFDV PTBSQDOE0020 IC PRT S % 1,100,000 1 JV 1,129,818-19,601 SANTAN 4% 27/03/17 CA Vida AFDV XS IC ESP S % 5,700,000 1 JV 6,129, ,238 SANTAN 4.125% 04/10/17 CA Vida AFDV XS IC ESP S % 200,000 1 JV 215,122-12,879 SANTAN 4.125% 09/01/17 CA Vida AFDV ES IC ESP S % 800,000 1 JV 864,586-36,944 SOLBBB 5.118% 29/06/49-21 CA Vida AFDV XS IC S 99.95% 1,500,000 1 JV 1,499,213 - (7,974) SRGIM 1,5% 21/04/23 CA Vida AFDV XS IC ITA S % 4,600,000 1 JV 4,693,885-80,020 SRGIM 3.25% 22/01/24 CA Vida AFDV XS IC ITA S % 4,700,000 1 JV 5,440, ,148 SRGIM 4.375% 11/07/16 CA Vida AFDV XS IC ITA S % 1,100,000 1 JV 1,146,970-1,592 TELEFO 1.477% 14/09/21 CA Vida AFDV XS IC ESP S % 2,900,000 1 JV 2,907,709 - (2,163) TELEFO 3.987% 23/01/23 CA Vida AFDV XS IC ESP S % 600,000 1 JV 701,303-78,909 TELEFO 4.375% 02/02/16 CA Vida AFDV XS IC ESP S % 3,235,000 1 JV 3,373,570-10,448 TELEFO 4.693% 11/11/19 CA Vida AFDV XS IC ESP S % 1,950,000 1 JV 2,236, ,530 TELEFO 4.75% 07/02/17 CA Vida AFDV XS IC ESP S % 4,300,000 1 JV 4,690, ,963 TELEFO 4.797% 21/02/18 CA Vida AFDV XS IC ESP S % 3,800,000 1 JV 4,296, ,166 TELEFO /09/17 CA Vida AFDV XS IC ESP S % 300,000 1 JV 332,528-26,863 TELEFO /03/49-24 CA Vida AFDV XS IC NLD S % 7,900,000 1 JV 8,253,073 - (191,130) TITIM 4.5% 20/09/17 CA Vida AFDV XS IC ITA S % 700,000 1 JV 750,807-39,576 TITIM 4.75% 25/05/18 CA Vida AFDV XS IC ITA S % 1,850,000 1 JV 2,062, ,032 TITIM 5.125% 25/01/16 CA Vida AFDV XS IC ITA S % 3,750,000 1 JV 3,938,286-10,549 TITIM 5.375% 29/01/19 CA Vida AFDV XS IC ITA S % 1,700,000 1 JV 1,988, ,977 TITIM 6.125% 14/12/18 CA Vida AFDV XS IC ITA S % 23,500,000 1 JV 26,814, ,328 TITIM 7% 20/01/17 CA Vida AFDV XS IC ITA S % 4,100,000 1 JV 4,640, ,182 UCGIM 2.625% 31/10/20 CA Vida AFDV IT IC ITA S % 3,200,000 1 JV 3,524, ,314 UCGIM 3% 31/01/24 CA Vida AFDV IT IC ITA S % 900,000 1 JV 1,052,066-82,254 UCGIM 3.375% 11/01/18 CA Vida AFDV XS IC ITA S % 2,250,000 1 JV 2,456, ,498 UCGIM 4.875% 07/03/17 CA Vida AFDV XS IC ITA S % 2,400,000 1 JV 2,622, ,522 UCGIM 6.7% 05/06/18 CA Vida AFDV XS IC ITA S % 4,300,000 1 JV 4,860,116 - (101,850) VALEBZ 3.75% 10/01/23 CA Vida AFDV XS IC BRA S 80.48% 1,100,000 1 JV 885,261 - (252,036) VALEBZ 4.375% 24/03/18 CA Vida AFDV XS IC S 95.88% 10,827,000 1 JV 10,381,025 - (795,729) VOTORA 3.25% 25/04/21 CA Vida AFDV XS IC BRA S 72.99% 4,800,000 1 JV 3,503,710 - (1,358,016) WFC 1.125% 29/10/21 CA Vida AFDV XS IC USA S % 2,300,000 1 JV 2,310,940-21,948 WFC 4.125% 03/11/16 CA Vida AFDV XS IC USA S % 1,025,000 1 JV 1,066,017-33,197 ABBEY 2% 14/01/19 CA Seguros AFDV XS IC GBR S % 500,000 1 JV 529,459-2,529 ACEIM 2.625% 15/07/24 CA Seguros AFDV XS IC ITA S % 500,000 1 JV 529,936-27,722 ADIFAL 3.5% 27/05/24 CA Seguros AFDV XS IC ESP S % 1,000,000 1 JV 1,144, ,115 ADPFP 2.375% 11/06/19 CA Seguros AFDV FR IC FRA S % 500,000 1 JV 539,604-34,564 ADRIT 3.25% 20/02/21 CA Seguros AFDV XS IC ITA S % 600,000 1 JV 677,025-62,689 AEMSPA 3.625% 13/01/22 CA Seguros AFDV XS IC ITA S % 1,000,000 1 JV 1,161, ,335 AIB 2.875% 28/11/16 CA Seguros AFDV XS IC IRL S % 500,000 1 JV 510,855-10,146 ALB 1.875% 08/12/21 CA Seguros AFDV XS IC S 96.59% 900,000 1 JV 869,337 - (7,267) Country of the issuer Listed/ Unlisted Price Quantity Nominal value Accounting criterion Book value Value corrections Gains/ Losses Notes 137

138 Nature and type Entity holding the securities Asset category Instruction 23/2004 Code of the security AYTCED 4.75% 15/06/16 CA Seguros AFDV ES IC ESP S % 600,000 1 JV 627,214-9,111 Type of issuer BANBRA 3.75% 25/07/18 CA Seguros AFDV XS IC BRA S 94.76% 300,000 1 JV 284,275 - (24,639) BANCAR 3.875% 24/10/18 CA Seguros AFDV IT IC ITA S % 500,000 1 JV 544,333-42,733 BBVASM 2.375% 22/01/19 CA Seguros AFDV XS IC ESP S % 500,000 1 JV 539,012-3,933 BCPPL /17 CA Seguros AFDV PTBITIOM0057 IC PRT S % 1,000,000 1 JV 1,024,089 - (7,179) BMW 0.875% 17/11/20 CA Seguros AFDV XS IC S % 1,000,000 1 JV 1,000, BNFP 2.60% 28/06/23 CA Seguros AFDV FR IC USA S % 500,000 1 JV 553,952-47,931 BPLN 1.526% 26/09/22 CA Seguros AFDV XS IC FRA S % 500,000 1 JV 505,907-4,028 CAJARU 3.75% 22/11/18 CA Seguros AFDV ES IC ESP S % 500,000 1 JV 545,379-43,731 CARLB 2.625% 03/07/19 CA Seguros AFDV XS IC GBR S % 500,000 1 JV 538,162-33,813 CESDRA 4.125% 23/07/19 CA Seguros AFDV XS IC CZE S % 500,000 1 JV 552,764-44,762 CS 1.375% 29/11/19 CA Seguros AFDV XS IC CHE S % 500,000 1 JV 514,905-14,870 CXGD 1% 27/01/22 CA Seguros AFDV PTCGH1OE0014 IC PRT S % 1,000,000 1 JV 1,006,668-3,304 CXGD 3% 15/01/19 CA Seguros AFDV PTCGHAOE0019 IC PRT S % 500,000 1 JV 552,165-40,171 DPW 1.875% 27/06/17 CA Seguros AFDV XS IC CHE S % 500,000 1 JV 516,657-12,835 EDF 2.75% 10/03/23 CA Seguros AFDV FR IC DNK S % 500,000 1 JV 559,883-52,446 ELEPOR 2% 22/04/25 CA Seguros AFDV XS IC PRT S 91.89% 300,000 1 JV 275,662 - (28,096) ELEPOR 2.625% 18/01/22 CA Seguros AFDV XS IC FRA S % 500,000 1 JV 509, ELIASO 1.375% 27/05/24 CA Seguros AFDV BE IC S 98.58% 300,000 1 JV 295,753 - (4,119) ENGSM 2.5% 11/04/22 CA Seguros AFDV XS IC ESP S % 300,000 1 JV 329,883-30,953 ENIIM 2.625% 22/11/21 CA Seguros AFDV XS IC ITA S % 500,000 1 JV 539,704-38,787 ENIIM 4.25% 03/02/20 CA Seguros AFDV XS IC USA S % 250,000 1 JV 293,422-34,810 ERSTBK 1.875% 13/05/19 CA Seguros AFDV XS IC AUT S % 500,000 1 JV 524,058-20,485 ESBIRE 3.494% 12/01/24 CA Seguros AFDV XS IC NOR S % 500,000 1 JV 588,914-72,963 FERROV 3.5% 13/12/21 CA Seguros AFDV XS IC ITA S % 500,000 1 JV 559,073-61,013 FERROV 4% 22/07/20 CA Seguros AFDV XS IC GBR S % 300,000 1 JV 342,919-39,896 FERSM 3.375% 07/06/21 CA Seguros AFDV XS IC ESP S % 500,000 1 JV 560,125-2,272 FERSM 3.375% 30/01/18 CA Seguros AFDV XS IC DEU S % 300,000 1 JV 326,385-17,521 FGACAP 2.875% 26/01/18 CA Seguros AFDV XS IC PRT S % 500,000 1 JV 529,790-16,659 GALPPL 4.125% 25/01/19 CA Seguros AFDV PTGALIOE0009 IC ESP S % 1,000,000 1 JV 1,086,458-51,690 GASSM 3.50% 15/04/21 CA Seguros AFDV XS IC NLD S % 500,000 1 JV 572,015-60,209 GE 2.875% 18/06/19 CA Seguros AFDV XS IC IRL S % 500,000 1 JV 549,482-27,452 GLENLN /04/21 CA Seguros AFDV XS IC LUX S 79.15% 500,000 1 JV 395,746 - (112,121) HERIM 2.375% 04/07/24 CA Seguros AFDV XS IC ITA S % 1,190,000 1 JV 1,285,266-49,112 HOLNVX 2,625% 07/09/20 CA Seguros AFDV XS IC GBR S % 500,000 1 JV 539,360-36,773 HTHROW 1.50% 11/02/30 CA Seguros AFDV XS IC ITA S 89.90% 1,000,000 1 JV 898,975 - (103,548) IBESM 2.5% 24/10/22 CA Seguros AFDV XS IC NLD S % 500,000 1 JV 538,937-38,069 INTNED 1.25% 13/12/19 CA Seguros AFDV XS IC NLD S % 500,000 1 JV 513,289-14,083 ISPIM 3.625% 03/12/22 CA Seguros AFDV IT IC ITA S % 500,000 1 JV 590,218-70,543 MLFP 2.75% 20/06/19 CA Seguros AFDV XS IC LUX S % 200,000 1 JV 216,700-14,061 MRDGF 4.50% 04/12/23 CA Seguros AFDV XS IC NLD S % 500,000 1 JV 590, ,780 Country of the issuer Listed/ Unlisted Price Quantity Nominal value Accounting criterion Book value Value corrections Gains/ Losses Notes 138

139 Nature and type Entity holding the securities Asset category Instruction 23/2004 Code of the security Type of issuer NAB 2% 12/11/20 CA Seguros AFDV XS IC AUS S % 500,000 1 JV 529,721-31,716 NDAQ 3.875% 07/06/21 CA Seguros AFDV XS IC USA S % 300,000 1 JV 337,900-26,610 ODGR 2.375% 10/02/21 CA Seguros AFDV XS IC DEU S % 500,000 1 JV 535,849-27,126 OMVAV 1.75% 25/11/19 CA Seguros AFDV XS IC FRA S % 500,000 1 JV 521,795-22,738 PBBGR 0.875% 20/01/17 CA Seguros AFDV DE000A12UA67 IC DEU S % 1,000,000 1 JV 1,010,255-8,207 PBBGR 1.375% 15/01/18 CA Seguros AFDV DE000A13SWA4 IC S % 900,000 1 JV 909,503-2,922 PEMEX 3.125% 27/11/20 CA Seguros AFDV XS IC MEX S 95.94% 500,000 1 JV 479,719 - (19,236) RABOBK 2.375% 22/05/23 CA Seguros AFDV XS IC NLD S % 1,000,000 1 JV 1,093,786-67,067 REESM 2.125% 01/07/23 CA Seguros AFDV XS IC NLD S % 200,000 1 JV 212,561-11,204 REESM 2.375% 31/05/19 CA Seguros AFDV XS IC ESP S % 500,000 1 JV 538,846-6,816 REESM 3.875% 25/01/22 CA Seguros AFDV XS IC NLD S % 500,000 1 JV 600,206-82,980 RENAUL 0.625% 04/03/20 CA Seguros AFDV FR IC AUS S 98.33% 500,000 1 JV 491,627 - (10,232) RENRED 4.75% 16/10/20 CA Seguros AFDV XS IC NLD S % 1,000,000 1 JV 1,156,733-19,603 REPSM 2.125% 16/12/20 CA Seguros AFDV XS IC S 99.29% 1,000,000 1 JV 992,879 - (6,091) REPSM 2.625% 28/05/20 CA Seguros AFDV XS IC NLD S % 300,000 1 JV 310, ,766 RIOLN 2.875% 11/12/24 CA Seguros AFDV XS IC GBR S % 500,000 1 JV 536,220 - (18,618) ROSW 2% 25/06/18 CA Seguros AFDV XS IC NLD S % 500,000 1 JV 528,666-24,118 SANFP 1.875% 04/09/20 CA Seguros AFDV FR IC FRA S % 300,000 1 JV 319,727-20,002 SRGIM 3.25% 22/01/24 CA Seguros AFDV XS IC ITA S % 500,000 1 JV 578,785-67,700 STLNO 1.25% 17/02/27 CA Seguros AFDV XS IC ESP S 93.14% 1,000,000 1 JV 931,380 - (77,884) TELEFO 3.987% 23/01/23 CA Seguros AFDV XS IC ESP S % 500,000 1 JV 584,473-60,566 TELNO 1.75% 15/01/18 CA Seguros AFDV XS IC PRT S % 500,000 1 JV 522,954-16,576 TITIM 4.5% 25/01/21 CA Seguros AFDV XS IC ESP S % 500,000 1 JV 576,021-57,616 TRNIM 0.875% 02/02/22 CA Seguros AFDV XS IC GBR S 98.96% 1,000,000 1 JV 989,583 - (13,266) UCGIM 2.625% 31/10/20 CA Seguros AFDV IT IC ITA S % 500,000 1 JV 550,723-52,276 ULFP 1.625% 26/06/17 CA Seguros AFDV XS IC CHE S % 500,000 1 JV 514,331-11,090 VALEBZ 3.75% 10/01/23 CA Seguros AFDV XS IC BRA S 80.49% 500,000 1 JV 402,443 - (113,198) VINCI 3.375% 30/03/20 CA Seguros AFDV FR IC ITA S % 400,000 1 JV 453,497-44,531 VOD 1% 11/09/20 CA Seguros AFDV XS IC ESP S % 500,000 1 JV 504,040-5,394 VOTORA 3.25% 25/04/21 CA Seguros AFDV XS IC BRA S 73.00% 500,000 1 JV 365,014 - (140,558) WFC 1.125% 29/10/21 CA Seguros AFDV XS IC USA S % 500,000 1 JV 502,394-23,935 WSTP 3.875% 20/03/17 CA Seguros AFDV XS IC BRA S % 500,000 1 JV 537,666-4,902 ABBEY 0 13/03/2017 Caixa Central AFDV US002799AP93 OIF GBR S 99.78% 4,450,000 1 JV 4,080,438 - (4,213) ACAFP 0 01/29/17 Caixa Central AFDV FR IC FRA S % 4,200,000 1 JV 6,279,000-12,199 BCPPL /17 Caixa Central AFDV PTBITIOM0057 IC PRT S 99.75% 70,000,000 1 JV 71,818,562 - (429,811) BCPPL /16 Caixa Central AFDV PTBCSSOE0011 IC PRT S % 12,700,000 1 JV 13,118, ,884 BCPPL /22/17 Caixa Central AFDV PTBCUB1E0005 IC PRT S % 25,950,000 1 JV 28,177, ,610 BIALPT 0 07/10/19 Caixa Central AFDV PTBPCAOE0006 OUT PRT S % 4,730,000 1 JV 4,879,350-9,474 CELBI 0 03/21/19 Caixa Central AFDV PTBINDOE0009 OUT PRT S % 7,500,000 1 JV 8,076, ,168 CS 0 08/24/18 Caixa Central AFDV AU3FN IC GBR S 99.78% 10,000,000 1 JV 6,721,152 - (18,309) CXGD /03/16 Caixa Central AFDV PTCG36OM0000 IC PRT S % 20,100,000 1 JV 23,067,161-8,624 Country of the issuer Listed/ Unlisted Price Quantity Nominal value Accounting criterion Book value Value corrections Gains/ Losses Notes 139

140 Nature and type Entity holding the securities Asset category Instruction 23/2004 Code of the security Type of issuer DB 0 09/2021 Caixa Central AFDV DE000DB7XJC7 IC DEU S 99.01% 5,500,000 1 JV 5,447,070 - (92,562) EDP FINANCE - ELEPOR 5.875% 01/02/16 Caixa Central AFDV XS OIF NLD S % 7,750,000 1 JV 8,197,952-2,178 EDP FINANCE 02/02/2018 Caixa Central AFDV XS OIF NLD S % 16,815,000 1 JV 16,649,017 - (64,459) EDP FINANCE - ELEPOR 5.75% 21/09/17 Caixa Central AFDV XS OIF NLD S % 8,850,000 1 JV 10,051,551 - (203,995) EDP FINANCE - ELEPOR 5.75% 21/09/17 Caixa Central AFDV XS OIF NLD S % 10,830,000 1 JV 11,910,559 - (36,504) EDP FINANCE - ELEPOR 4.75% 26/09/16 Caixa Central AFDV XS OIF NLD S % 6,000,000 1 JV 6,248, ,683 EDP FINANCE /2016 Caixa Central AFDV XS OIF NLD S % 8,550,000 1 JV 8,917,872 - (7,052) GENER 0 12/12/20 Caixa Central AFDV PTGNSAOM0005 OUT PRT S 99.50% 6,000,000 1 JV 5,673,083 - (28,500) ISPIM 0 06/2020 Caixa Central AFDV XS IC ITA S % 15,000,000 1 JV 15,077,031-71,702 LLOYDS 0 28/08/18 Caixa Central AFDV AU3FN IC GBR S 99.80% 8,000,000 1 JV 5,374,773 - (14,749) NOSPL 0 03/28/22 Caixa Central AFDV PTNOSBOE0004 SGPS PRT S % 10,000,000 1 JV 10,142,233-72,234 Parque Eólico do Pisco Caixa Central AFDV PTPEOAOM0009 OUT PRT S % 6,625,000 1 JV 6,695, Parque Eólico do Pisco-3ªsérie Caixa Central AFDV PTPEOCOM0007 OUT PRT S % 3,750,000 1 JV 3,788, Parque Eólico do Pisco-4ªsérie Caixa Central AFDV PTPEODOM0006 OUT PRT S % 1,000,000 1 JV 1,000, PESTA 0 28/02/2020 Caixa Central AFDV PTGRPCOE0002 SGPS PRT S 96.63% 5,500,000 1 JV 5,382,501 - (185,600) RABOBK 0 09/25/2018 Caixa Central AFDV AU3FN IC GBR S % 5,000,000 1 JV 3,368,390 - (11,987) RENEPL 0 01/16/20 Caixa Central AFDV PTRELKOM0008 SGPS PRT S % 5,000,000 1 JV 5,449,775-11,205 RENPL /2025 Caixa Central AFDV XS SGPS PRT S 98.32% 14,000,000 1 JV 14,073,826 - (969,213) SANTAN 0 04/03/2020 Caixa Central AFDV XS IC ESP S 99.07% 20,000,000 1 JV 19,820,498 - (196,600) SEMPL 0 04/17/19 Caixa Central AFDV PTSEMFOE0003 SGPS PRT S % 4,874,000 1 JV 4,968,945 - (86,895) SONPL 0 08/27/2020 Caixa Central AFDV PTSONKOE0003 SGPS PRT S % 15,000,000 1 JV 15,326, ,626 SUGALG /27/20 Caixa Central AFDV ES OUT NLD S 99.50% 10,000,000 1 JV 10,026,639 - (50,000) TAGUS 05/2025 Caixa Central AFDV PTTGUAOM0005 OIF PRT S 95.50% 30,500,000 1 JV 19,173,531 - (286,745) UCGIM 0 02/20 Caixa Central AFDV XS OIF ITA S % 30,000,000 1 JV 30,130,973-1,139 Dívida subordinada 0 Instrumentos de capital 0 Country of the issuer Listed/ Unlisted Price Quantity Nominal value Accounting criterion Book value Value corrections Gains/ Losses 0 1,319,541,784-14,190,561 Património Crescente CA Seguros AFDV PTSQUBHM0002 OUT PRT S % 461,500 1 JV 6,819,309-1,855,040 Fundo Florestal - Floresta Atlântica CA Seguros AFDV PTFLTBIM0004 OUT PRT S % 10,000 1 JV 676, ,806 B.Comercial Português-Nom. CA Vida AFDV PTBCP0AM0007 OUT PRT S 4.89% 1,700,000 1 JV 83,130 - (27,140) EDP-Energias de Portugal SA CA Vida AFDV PTEDP0AM0009 OUT PRT S % 30,000 1 JV 99,630 - (1,796) Sonae - SGPS CA Vida AFDV PTSON0AM0001 OUT PRT S % 70,000 1 JV 73,360 - (31,745) Património Crescente CA Vida AFDV PTSQUBHM0002 OUT PRT S % 653,762 1 JV 9,660,249-2,161,825 Abertis Infraestructuras S.A. CA Vida AFDV ES OUT ESP S % 5,000 1 JV 72,050 - (9,872) Acerinox S.A. CA Vida AFDV ES OUT ESP S % 26,200 1 JV 246,725 - (49,185) Aegon NV CA Vida AFDV NL OUT NLD S % 17,000 1 JV 88,910 - (14,489) Air Liquide SA CA Vida AFDV FR OUT S % 1,350 1 JV 139,928 - (16,398) Alcatel - Lucent CA Vida AFDV FR OUT FRA S % 20,000 1 JV 73,000 - (6,959) Allianz AG Holding CA Vida AFDV DE OUT DEU S % 2,170 1 JV 354, ,571 Arkema SA CA Vida AFDV FR OUT FRA S % 2,000 1 JV 129,180 - (18,817) Assicurazioni Generali Spa CA Vida AFDV IT OUT ITA S % 18,517 1 JV 313,308-8,853 AXA SA CA Vida AFDV FR OUT FRA S % 6,496 1 JV 163,894-63,253 Notes 140

141 Nature and type Entity holding the securities Asset category Instruction 23/2004 Code of the security Type of issuer Banco Bilbao & Vizcaya Argentaria SA. CA Vida AFDV ES OUT ESP S % 10,500 1 JV 70,760 - (23,824) Banco Santander Central Hispano SA CA Vida AFDV ES J37 OUT ESP S % 28,000 1 JV 127,624 - (40,939) BPOST SA CA Vida AFDV BE OUT BEL S % 3,000 1 JV 67,770 - (2,085) Casino Guichard Perrachon SA. CA Vida AFDV FR OUT FRA S % 2,700 1 JV 114,521 - (98,546) Credit Agricole SA. CA Vida AFDV FR OUT FRA S % 9,000 1 JV 97,920 - (19,431) Delta Lloyd N.V. CA Vida AFDV NL OUT NLP S % 26,500 1 JV 144,293 - (270,190) Deutsche Lufthansa AG - Ord. CA Vida AFDV DE OUT DEU S % 16,100 1 JV 234,497-21,859 Deutsche Post AG. CA Vida AFDV DE OUT DEP S % 4,000 1 JV 103,820 - (9,293) Electricite de France CA Vida AFDV FR OUT FRA S % 20,900 1 JV 283,718 - (194,597) Endesa SA CA Vida AFDV ES OUT ESP S % 15,000 1 JV 277,875-50,877 Engie CA Vida AFDV FR OUT FRA S % 15,400 1 JV 251,405 - (45,847) ENI Spa. CA Vida AFDV IT OUT ITA S % 10,200 1 JV 140,760 - (8,040) Faurecia CA Vida AFDV FR OUT FRA S % 3,000 1 JV 111,030 - (7,994) Fortum Oyj. CA Vida AFDV FI OUT FIN S % 12,000 1 JV 167,040 - (39,530) HeidelbergerCement AG. CA Vida AFDV DE OUT DEU S % 5,400 1 JV 408,348-93,318 Hugo Boss AG - PFD CA Vida AFDV DE000A1PHFF7 OUT S % 1,500 1 JV 114,900 - (19,522) Michelin CA Vida AFDV FR OUT FRA S % 2,000 1 JV 175,800-32,548 Neopost CA Vida AFDV FR OUT FRA S % 13,000 1 JV 292,110 - (152,238) Obrascon Huarte Lain SA. CA Vida AFDV ES OUT ESP S % 7,500 1 JV 39,525 - (101,737) Osram Light AG CA Vida AFDV DE000LED4000 OUT S % 3,500 1 JV 135,765 - (3,574) Renault SA CA Vida AFDV FR OUT FRR S % 2,000 1 JV 185,260-16,707 Repsol YPF SA CA Vida AFDV ES OUT ESP S % 19,250 1 JV 194,810 - (105,140) REXEL SA CA Vida AFDV FR OUT FRA S % 17,264 1 JV 212,002 - (24,801) Royal Dutch Shell PLC CA Vida AFDV GB00B03MLX29 OUT NLD S % 10,834 1 JV 228,543 - (60,623) RWE AG. CA Vida AFDV DE OUT DEU S % 14,000 1 JV 163,940 - (49,507) Saipem Spa. CA Vida AFDV IT OUT ITA S % 16,000 1 JV 119,840 - (43,578) Schneider Electric SA. CA Vida AFDV FR OUT FRA S % 6 1 JV Software AG CA Vida AFDV DE OUT DES S % 4,000 1 JV 105,680-9,530 Solvay SA CA Vida AFDV BE OUT BEL S % 2,165 1 JV 213,101 - (28,751) St.Microelectronics NV CA Vida AFDV NL OUT NLP S % 15,000 1 JV 93,975 - (38,822) Stora Enso Oyj - R CA Vida AFDV FI OUT FIN S % 52,300 1 JV 438,797-52,148 Technip SA CA Vida AFDV FR OUT FRA S % 5,900 1 JV 269,837 - (82,635) Total SA CA Vida AFDV FR OUT FRA S % 3,035 1 JV 125,239 - (10,792) UPM-Kymmene Oyj. CA Vida AFDV FI OUT FIN S % 40,430 1 JV 696, ,330 Allianz RCM Europe Equity Growth-IT CA Vida AFDV LU OUT LUX S % 2,623 1 JV 6,922,018-2,109,272 BlackRock Str Fd-Europ Abs Rtn-ABS-A CA Vida AFDV LU OUT LUX S % 20,288 1 JV 2,733,582-83,586 CA Europa Shares CA Vida AFDV PTYCFFLM0009 OUT PRT S % 863,486 1 JV 3,403,345-65,865 Candriam Diversified Futures-I CA Vida AFDV FR OUT FRA S % JV 2,488,683 - (161,296) Candriam Equities L Europe OPT5 CA Vida AFDV LU OUT LUX S % 42,175 1 JV 6,439,690 - (60,310) DB Platinum IV Systematica Alpha CA Vida AFDV LU OUT LUX S % 19,902 1 JV 2,640,447 - (9,553) Fidelity Funds-European Dynamic Growth Fund-Y ACC CA Vida AFDV LU OUT LUX S % 261,459 1 JV 4,489,254-1,617,976 Country of the issuer Listed/ Unlisted Price Quantity Nominal value Accounting criterion Book value Value corrections Gains/ Losses Notes 141

142 Nature and type Entity holding the securities Asset category Instruction 23/2004 Code of the security Type of issuer Fundlogic Alt. PLC Salar Conv. Abs. Ret. Fund CA Vida AFDV IE00B527HL34 OUT IRL S % 25,952 1 JV 2,615,743 - (34,257) Lyxor ETF MSCI Europe CA Vida AFDV FR OUT FRA S % 68,191 1 JV 8,387,493 - (293,629) Merrill Lynch Inv. Solutions-Och-Ziff EUR M/S-CA CA Vida AFDV LU OUT GBR S % 23,812 1 JV 2,638,570 - (11,430) Pictet Multi Asset Global Opportunities CA Vida AFDV LU OUT LUX S % 23,406 1 JV 2,711,089-61,089 Pioneer Funds - European Potential - I CA Vida AFDV LU OUT LUX S % 3,872 1 JV 6,635,904-1,503,909 UBS Lux Equity EU OPP UNC EUR-QA CA Vida AFDV LU OUT LUX S % 41,351 1 JV 6,646, ,383 Fundo Compensação do Trabalho CA Servicos AFDV - OUT PRT N JV CA Monetário CA SGPS AFDV PTYCFLHM0007 OUT PRT N - 322,960 - JV 1,813,678-40,993 Corretaje e Informatión Monetária Y De Divisas, SA CA SGPS AFDV - OIF ESP N - 29,040 6 CH 3,432, Floresta Atlântica-Soc.Gestora Fundos Inv.Imob.SA CA SGPS AFDV - OUT PRT N - 10,125 5 CH 50, Fundo Compensação do Trabalho CA SGPS AFDV - OUT PRT N JV Banco de Crédito Social Cooperativo S.A. CA SGPS AFDV - OUT ESP N - 5,000,000 1 CH 5,000, AGROGARANTE Caixa Central AFDV PTAGM0AM0007 OIF PRT N - 302,610 1 CH 302, CA Europa Shares Caixa Central AFDV PTYCFFLM0009 OUT PRT N % 505,416 - JV 1,992,044 - (35,129) CA Flexível Caixa Central AFDV PTYCFELM0000 OUT PRT N % 339,329 - JV 1,955, ,861 Discovery Portugal Real Estate Fund Caixa Central AFDV LU OUT LUX N - 9,307 - JV 9,230,366-13,431 FCR Fundo Revitalizar Centro Caixa Central AFDV - OUT PRT N - 1,090,909 1 CH 1,090, FCR Fundo Revitalizar Norte Caixa Central AFDV - OUT PRT N - 1,090,909 1 CH 1,090,909 (29,827) - FCR Fundo Revitalizar Sul Caixa Central AFDV - OUT PRT N - 818,182 1 CH 818,182 (21,273) - Fundo Compensação do Trabalho Caixa Central AFDV - OUT PRT N % JV GARVAL Caixa Central AFDV PTGGM0AM0004 OUT PRT N - 69,000 1 CH 69, LISGARANTE Caixa Central AFDV PTLGR0AM0003 OUT PRT N - 100,000 1 CH 100, NORGARANTE Caixa Central AFDV PTNGM0AM000 OUT PRT N - 86,860 1 CH 86, SIBS - Sociedade Interbancária de Serviços, S.A. Caixa Central AFDV PTSIB0AM0008 OUT PRT N - 25,680 5 CH 1,171,864 (784,692) - SWIFT Caixa Central AFDV - OUT BEL N CH 99, UNICRE Caixa Central AFDV PTUNEOAM0016 OUT PRT N - 7,207 5 CH 460,223 (106,437) - VISA EUROPE LIMITED Caixa Central AFDV - OUT GBR N CH ABAP CCAM de Cantanhede e Mira CRL AFDV - OUT PRT N - 1 5,000 CH 5, Adega Cooperativa de Vidigueira, Cuba e Alvito CRL CCAM do Guadiana Interior CRL AFDV - OUT PRT N CH 2, ADIRN CCAM Ribatejo Norte e Tramagal CRL AFDV - OUT PRT N CH AGETAV - Agência de Desenvolvimento de Tavira, S.A. CCAM do Sotavento Algarvio CRL AFDV - OUT PRT N - 1,000 5 CH 4, Agroraiana CCAM Elvas e Campo Maior CRL AFDV - OUT PRT N - 2,000 2 CH 4,988 (4,988) - Agroraiana CCAM Elvas e Campo Maior CRL AFDV - OUT PRT N - 6,000 2 CH 14,940 (14,940) - AIBAP CCAM de Cantanhede e Mira CRL AFDV - OUT PRT N - 1 5,000 CH 5, ASDOURO CCAM Douro e Coa CRL AFDV - OUT PRT N CH 22,446 (22,446) - CARMIM CCAM Alentejo Central CRL AFDV - OUT PRT N CH Centro Tecnológico de Citricultura CCAM de Silves CRL AFDV - OUT PRT N CH 12,500 (12,500) - Cerfundão, Lda. CCAM Regiao do Fundao e Sabugal CRL AFDV - OUT PRT N ,000 CH 10, Coop. Agro-Pecuária Beira Central CRL CCAM Oliveira do Hospital CRL AFDV - OUT PRT N CH Cooperativa Agrícola da Vidigueira CCAM do Guadiana Interior CRL AFDV - OUT PRT N CH Cooperativa de Melgaço CCAM do Noroeste CRL AFDV - OUT PRT N CH 2,494 (2,494) - Country of the issuer Listed/ Unlisted Price Quantity Nominal value Accounting criterion Book value Value corrections Gains/ Losses Notes 142

143 Nature and type Entity holding the securities Asset category Instruction 23/2004 Code of the security Cooperzoo CCAM Area Metropolitana do Porto CRL AFDV - OUT PRT N CH 1, Cortiçol CCAM Aljustrel e Almodovar CRL AFDV - OUT PRT N CH Credicentro CCAM Coimbra CRL AFDV - OUT PRT N CH 120 (120) - Credicentro CCAM de Pombal CRL AFDV - OUT PRT N CH 434 (434) - DAI, S.A. CCAM Coruche CRL AFDV - OUT PRT N - 47, CH 1,272,811 (517,140) - Dolmen CCAM de Vale de Sousa e Baixo Tamega CRL AFDV - OUT PRT N CH Epralima CCAM do Noroeste CRL AFDV - OUT PRT N CH Escola Profissional da Mealhada CCAM da Bairrada e Aguieira CRL AFDV - OUT PRT N ,100 CH 176,100 (93,562) - FERECC CCAM Alcanhoes CRL AFDV - OUT PRT N CH FERECC CCAM Alenquer CRL AFDV - OUT PRT N CH FERECC CCAM Arruda dos Vinhos CRL AFDV - OUT PRT N CH 5 (5) - FERECC CCAM Azambuja CRL AFDV - OUT PRT N CH FERECC CCAM C da Rainha Obidos e Peniche CRL AFDV - OUT PRT N CH FERECC CCAM Cartaxo CRL AFDV - OUT PRT N CH FERECC CCAM do Ribatejo Sul CRL AFDV - OUT PRT N CH FERECC CCAM Loures Sintra e Litoral CRL AFDV - OUT PRT N CH FERECC CCAM Sobral de Monte Agraco CRL AFDV - OUT PRT N CH FERECC CCAM Vila Franca de Xira CRL AFDV - OUT PRT N CH 897 (897) - Fundo Compensação do Trabalho CCAM Loures Sintra e Litoral CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Alentejo Central CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM C da Rainha Obidos e Peniche CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Oliveira do Hospital CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Vila Franca de Xira CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Porto de MOs CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Acores CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Albufeira CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Alcacer-Sal e Montemor-Novo CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Aljustrel e Almodovar CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Alto Cavado e Basto CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Anadia CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Area Metropolitana do Porto CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM de Cantanhede e Mira CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM de Lafoes CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM de Pombal CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM do Baixo Mondego CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM do Douro Corgo e Tamega CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM do Guadiana Interior CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM do Noroeste CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM do Norte Alentejano CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM do Vale do TAvora e Douro CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Entre Tejo e Sado CRL AFDV - OUT PRT N JV Type of issuer Country of the issuer Listed/ Unlisted Price Quantity Nominal value Accounting criterion Book value Value corrections Gains/ Losses Notes 143

144 Nature and type Entity holding the securities Asset category Instruction 23/2004 Code of the security Fundo Compensação do Trabalho CCAM Lourinha CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Medio Ave CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Mogadouro e Vimioso CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Nordeste Alentejano CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Oliveira do Bairro CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Paredes CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Pernes CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Regiao do Fundao e Sabugal CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Salvaterra de Magos CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM de Vale de Sousa e Baixo Tamega CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM da Beira Baixa (Sul) CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM do Algarve CRL AFDV - OUT PRT N JV Fundo Compensação do Trabalho CCAM Beira Douro CRL AFDV - OUT PRT N JV Type of issuer FUNDO DE REESTRUTURAÇÃO EMPRESARIAL CCAM C da Rainha Obidos e Peniche CRL AFDV - OUT PRT N - 5, JV 4,455,775 - (34,631) Globalgarve CCAM do Algarve CRL AFDV - OUT PRT N CH 2,500 (2,500) - Matadouro do Litoral Alentejano CCAM de Sao Teotonio CRL AFDV - OUT PRT N - 160,000 0 CH 24,000 (24,000) - Matadouro Regional do Algarve CCAM do Algarve CRL AFDV - OUT PRT N - 7,000 5 CH 35,000 (35,000) - Matadouro Regional do Barroso e Alto Tâmega, S.A. CCAM do Douro Corgo e Tamega CRL AFDV - OUT PRT N - 5,000 5 CH 25,000 (25,000) - Matadouro Regional do Barroso e Alto Tâmega, S.A. CCAM do Douro Corgo e Tamega CRL AFDV - OUT PRT N - 45,000 5 CH 225,000 (225,000) - Mobitral CCAM Ferreira do Alentejo CRL AFDV - OUT PRT N CH 1,500 (1,500) - Parkurbis, S.A. CCAM Regiao do Fundao e Sabugal CRL AFDV - OUT PRT N - 5,000 5 CH 25,000 (25,000) - Qualifica CCAM Beja e Mertola CRL AFDV - OUT PRT N CH Régie Lima CCAM do Noroeste CRL AFDV - OUT PRT N ,000 CH 1, Regivouga CCAM Oliveira de Azemeis e Estarreja CRL AFDV - OUT PRT N CH 499 (499) - SIBS - Sociedade Interbancária de Serviços, S.A. CCAM Acores CRL AFDV PTSIB0AM0008 OUT PRT N - 10,000 5 CH 1,281,911 (1,130,727) - Sicogest CCAM de Pombal CRL AFDV - OUT PRT N - 1 4,500 CH 4,500 (4,500) - Sicogest CCAM Serras de Ansiao CRL AFDV - OUT PRT N - 1 2,000 CH 2,000 (2,000) - Spidouro CCAM do Vale do TAvora e Douro CRL AFDV - OUT PRT N - 1,500 5 CH 7,482 (7,482) - Spidouro CCAM Regiao Braganca e Alto Douro CRL AFDV - OUT PRT N - 1,500 5 CH 7,482 (7,482) - Unicama CCAM de Sao Teotonio CRL AFDV - OUT PRT N CH Uniões Regionais CCAM Coruche CRL AFDV - OUT PRT N CH ADRAVE - AGÊNCIA DESENVOLVIMENTO REGIONAL VALE AVE SA GI AFDV - OUT PRT N - 30,486 - CH 10,830 (10,830) - NEXPONOR - SICAFI, S.A. GI AFDV PTNEX0AM0002 OUT PRT S % 535,000 - JV 2,122,131 - (552,869) FCR PORTUGAL VENTURES - FIEP GI AFDV - OUT PRT N CH 405,000 (74,099) - FCR PORTUGAL VENTURES GLOBAL 2 (B) GI AFDV - OUT PRT N CH 3,111,085 (1,960,836) - FCR PORTUGAL VENTURES GLOBAL 2 (cat. C) GI AFDV - OUT PRT N CH 2,148,588 (1,407,622) - FUNDO DE REESTRUTURAÇÃO EMPRESARIAL FCR GI AFDV - OUT PRT N 80.53% 8,735 - JV 7,034,205 - (1,654,487) Fundo Florestal - Floresta Atlântica GI AFDV PTFLTBIM0004 OUT PRT N ,000 - JV 1,217, ,316 UNICAMPUS - FEIIF GI AFDV PTYE1GIM0001 OUT PRT N JV 504,456-2,793 PROPAÇO - SOC. IMOBILIÁRIA DE PAÇO D ARCOS, LDA. GI AFDV - OUT PRT N CH 194 (194) - Fundo Compensação do Trabalho CA Consult AFDV - OUT PRT N JV Country of the issuer Listed/ Unlisted Price Quantity Nominal value Accounting criterion Book value Value corrections Gains/ Losses Notes 144

145 Nature and type Entity holding the securities Asset category Instruction 23/2004 Code of the security Type of issuer Country of the issuer Listed/ Unlisted Price Quantity Nominal value Accounting criterion Book value Value corrections Gains/ Losses ADRAL, S.A. Shares Fenacam AFDV - OUT PRT N % 400 4,99 CH 1, HORTOBELI, S.A. Shares Fenacam AFDV - OUT PRT N % ,94 CH 14,964 (14,964) - MAP, S.A. Shares Fenacam AFDV - OUT PRT N % 65,051 5 CH 220,238 - SUCRAL, S.A. Shares Fenacam AFDV - OUT PRT N % 12, CH 329,742 (77,736) - Títulos CONFAGRI Fenacam AFDV - OUT PRT N % 2,800 5 CH 14, Fundo Compensação do Trabalho Fenacam AFDV - OUT PRT N JV CA Monetário Agrocapital AFDV PTYCFLHM0007 OUT PRT N - 85,469 - JV 479, CA Monetário CA Imóveis AFDV PTYCFLHM0007 OUT PRT N - 1,400 - JV 7, ,192,806 (6,648,724) 6,499,205 0 Total 4,859,168,264 5,352,960,576 (6,648,724) 60,028,820 Notes 145

146 Notes 146

147 Notes