AS SEB banka Capital Adequacy and Risk Management Report 2016

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1 AS SEB banka Capital Adequacy and Risk Management Report 2016 AS SEB banka Capital Adequacy and Risk Management Report (Pillar 3)

2 Table of contents Contents Page. Basis for the report 2 Internal capital adequacy assessment process 3 Own funds and capital requirements 4 Credit exposure 16 Credit risk mitigation 22 Credit quality 25 List of tables Page. Table 1. Balance sheet reconciliation 4 Table 2. Capital adequacy analysis 5 Table 3. Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer 6 Table 4. Amount of institution-specific countercyclical capital buffer 6 Table 5. Transitional own funds 7 Table 6. Capital instrument s main features 12 Table 7. Leverage ratio 13 Table 8. Overview of risk exposure amounts 15 Table 9. Overview of credit risk exposure 16 Table 10. EAD by exposure class and geography 18 Table 11. EAD by exposures class and industry 19 Table 12. EAD by remaining maturity 20 Table 13. Credit risk mitigation 23 Table 14. Individually assessed impaired loans by industry and geography 25 Table 15. Portfolio assessed loans 25 Table 16. Past due loans that are not impaired 26 Table 17. Change of reserves for impaired loans and portfolio assessed loans 26 1

3 Basis for the report This report is prepared in accordance with the requirements of the Capital Requirements Directive (CRD IV) and the Capital Requirements Regulation No 575/2013 (CRR) Part 8 and the European Banking Authority s (EBA) implementing technical standards (ITS) with regard to disclosure of own funds (EU Regulation No 1423/2013), countercyclical capital buffer (EU Regulation No 2015/1555) and leverage ratio (EU regulation No 2016/200). Where appropriate, templates recommended by the EBA s guidelines on disclosure requirements under Part 8 of the CRR have been used. Together with the Annual Report, this report provides information on AS SEB banka (the Bank ) material risks as part of the Pillar 3 framework, including details on the Bank s risk profile and business volumes by customer categories and risk classes, which form the basis for the calculation of the capital requirement. The Pillar 3 report complements the Annual Report with additional information, and is intended to be read in conjunction with the Annual Report, in particular the Notes to the Consolidated Financial Statements, including Risk Policy and Management section within it, where the Bank s risk and capital management policies and practices are described. Reference is also made to SEB Group s Annual Report and Capital Adequacy and Risk Management Report (Pillar 3), which describes SEB Group s risk and capital management, including internal ratings systems, internal measurement approaches and principles for calculating own funds and capital adequacy. SEB Group s Pillar 3 report is available in English and is published on SEB Group s webpage Disclosures in relation to remuneration are included in the Annual Report sections Remuneration and related social security expense, The Supervisory Council and the Board of Directors of the Bank and in the separate Financial Information section Remuneration policy. Significant accounting policies for the Group are presented in the Notes to the Financial Statements, Note 1 - Summary of Significant Accounting Policies, Financial Risk Management Disclosures. AS SEB banka is a subsidiary of the consolidated group of Skandinaviska Enskilda Banken AB (publ) that is registered in Sweden. AS SEB banka Group consists of has fully owned subsidiaries SIA SEB līzings (Leasing company), IP AS SEB Investment Management (Investment management company) and AS SEB atklātais pensiju fonds (Pension fund). The report is based on the Bank s consolidated situation as of 31 December The Financial Group forms the basis for consolidation for prudential purposes, which requires the Bank to prepare consolidated accounts for the group entities engaged in financial service activities without consolidation of the entities involved in other activities. To comply with this requirement, the Bank has fully consolidated all its subsidiaries SIA SEB līzings, IP AS SEB Investment Management and AS SEB atklātais pensiju fonds. Consolidation Group in Pillar 3 Report is same as in Annual Report. The information in this report is not required to be, and has not been, subject to external audit. 2

4 Internal Capital adequacy assessment process The Group s Capital Policy defines how capital management should support the business goals. Shareholders return requirement shall be balanced against the capital requirements of the regulators and the equity necessary to conduct the business of the Group. Asset and Liability Committee (ALCO) and the Chief Financial Officer are responsible for the process linked to overall business planning, to assess capital requirements in relation to the Group s risk profile, and for proposing a strategy for maintaining the desired capital levels. The Group s capitalisation shall be riskbased and built on an assessment of all risks incurred in the Group s business. It shall be forward-looking and aligned with short- and long term business plans as well as with expected macroeconomic developments. Internal Capital Adequacy Assessment Process (ICAAP) is managed by Treasury. Together with continuous monitoring, and reporting of the capital adequacy to the Management Board, this ensures that the relationships between shareholders equity, ICAAP and regulatory based requirements are managed in such a way that the Group does not jeopardise the profitability of the business and the financial strength of the Group. Capital ratios are the main communication vehicle for capital strength. Good risk management notwithstanding, the Group must keep capital buffers against unexpected losses. In the SEB Group capital is managed centrally, meeting also local requirements as regards statutory and internal capital. Following the SEB Group Capital Policy the parent company shall promptly arrange for additional capital if SEB banka requires capital injections to meet the decided level. Internal Capital Adequacy Assessment Process ( ICAAP ) is part of the SEB Group s ICAAP. The ICAAP is a continuous work process within SEB. Ahead of the annual reporting to the Swedish Finansinspektionen (FI) and to local Financial Supervisory Authorities, a more concentrated ICAAP project starts. The yearly recurring process normally starts during Q4 and ends during the next coming Q1. Each year s ICAAP planning including deliveries and deadlines is communicated by Group Financial Management to responsible parties in key subsidiaries, including AS SEB banka. Typically, at the end of January every year the responsible person, Head of Treasury, has to send the first draft of their ICAAP document to Group Financial Management. At the end of February Group Financial Management should receive the final version including comments on issues raised by Group Financial Management. The ICAAP Framework shall be approved by SEB banka Management Board (the Management Board) and by the SEB banka Supervisory Council (Council). ICAAP Framework is revised on a yearly basis. The framework will be maintained by SEB banka Treasury in coordination with SEB Group Financial Management. Any changes or amendments need to be approved by the Management Board and Council and are to be proposed by SEB banka Treasury after coordination with SEB Group Financial Management. The focus of SEB Group Financial Management and SEB Group Risk lies on methodology, while SEB banka Treasury focuses on processes, monitoring, reporting and compliance with Latvian regulations. 3

5 Own funds and capital requirements Table 1. Balance sheet reconciliation Balance sheet items, EUR thousands 31 Dec 2016 Cross reference Financial to the own Group Group funds template Cash and balances with central bank 105, ,929 Balances due from banks 511, ,891 Loans and advances to customers 2,479,400 2,479,400 Securities designated at fair value through profit or loss 250, ,688 Investment securities available-for-sale 3,021 3,021 Derivative financial instruments 122, ,663 Intangible assets 11,729 11,729 a Property and equipment 10,567 10,567 Other assets 28,023 28,023 TOTAL ASSEST 3,523,911 3,523,911 Balances due to banks 681, ,731 Due to customers 2,247,682 2,247,682 Derivative financial instruments 122, ,546 of which fair value gains or losses arising from the institution s own credit risk related to derivative liabilities 1,724 1,724 b Other liabilities 37,865 37,865 Total liabilities 3,089,824 3,089,824 Share capital 145, ,283 c Share premium 5,073 5,073 d Other reserves 2,483 2,483 of which funds for general banking risk e Revaluation reserve on investment securities available-forsale (218) (218) f Retained earnings 281, ,466 g Total equity 434, ,087 TOTAL LIABILITIES AND EQUITY 3,523,911 3,523,911 4

6 Table 2. Capital adequacy analysis EUR thousands 31 Dec Dec 2015 Own funds Common Equity Tier 1 capital 365, ,789 Tier 1 capital 365, ,789 Total own funds 365, ,789 Own funds requirements Risk exposure amount 1,836,476 1,707,690 Expressed as own funds requirement 146, ,615 Common Equity Tier 1 capital ratio 19.9% 22.9% Tier 1 capital ratio 19.9% 22.9% Total capital ratio 19.9% 22.9% Own funds in relation to own funds requirement Regulatory Common Equity tier 1 capital requirement including buffer 1) 7.0% 7.0% of which capital conservation buffer requirement 2.5% 2.5% of which systemic risk buffer requirement of which countercyclical capital buffer requirement Common Equity Tier 1 capital available to meet buffet 2) 15.4% 18.4% Transitional floor 80% of capital requirement according to Basel I Minimum floor own funds requirement according Basel I 147, ,702 Own funds according Basel I 367, ,711 Own funds in relation to own funds requirement Basel I Leverage ratio Exposure measure for leverage ratio calculation 3,822,807 3,880,991 of which on balance sheet item 3,549,689 3,644,200 of which off balance items 273, ,711 Leverage ratio 9.6% 10.1% 1) Includes only Pillar I general minimum capital requirements. 2) CET1 ratio less minimum capital requirement of 4.5% excluding buffer. 5

7 Table 3. Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer Disclosure according to EU Regulation No 1555/ Dec 2016, EUR thousands General credit exposures Exposure value for SA Exposure value for IRB Trading book exposure Sum of long and short position of trading book Value of trading book exposure for internal models Securitisation exposure Exposure value for SA Exposure value for IRB Own funds requirements Of which: General credit exposures Of which: Trading book exposures Of which: Securitisa tion exposures Total Own funds requirement weights Countercyclical capital buffer rate Latvia 120,820 2,714, , , % Sweden 1, % 1.5% Norway 2, % 1.5% Other 2,761 34,036 2,408 2, % TOTAL 123,581 2,752, , , % Table 4. Amount of institution-specific countercyclical capital buffer Disclosure according to EU regulation No 1555/ Dec 2016, EUR thousands Total risk exposure amount 2,876,040 Institution specific countercyclical buffer rate 0.0% Institution specific countercyclical buffer requirement 6

8 Table 5. Transitional own funds Disclosure according to Article 5 in EU Regulation No 1423/2013 EUR thousands Common Equity Tier 1 (CET1) capital: instruments and reserves 1 Capital instruments and the related share premium accounts 150, ,356 of which: share capital of which: share premium of which: Instrument type 3 31 Dec Dec 2015 Amounts Subject to Pre- Regulation (EU) N 575/2013 Treatment or Prescribed Residual Amount of Regulation (EU) N 575/2013 BS Cross reference 2 Retained earnings 281, ,173 g 3 Accumulated other comprehensive income (and other reserves, to include unrealised gains and losses under the applicable accounting (218) 5,328 f standards) 3a Funds for general banking risk e 4 Amount of qualifying items referred to in Article 484 (3) and the related share premium accounts subject to phase out from CET1 5 Minority Interests (amount allowed in consolidated CET1) Independently reviewed interim profits net of any foreseeable charge or 5a dividend (52,346) (35,053) 6 Common Equity Tier 1 (CET1) capital before regulatory adjustments 379, ,093 Common Equity Tier 1 (CET1) capital: regulatory adjustments 7 Additional value adjustments (negative amount) (412) (322) 8 Intangible assets (net of related tax liability) (negative amount) (11,729) (7,092) a 9 Empty Set in the EU Deferred tax assets that rely on future profitability excluding those arising 10 from temporary differences (net of related tax liability where the conditions in Article 38 (3) are met) (negative amount) 11 Fair value reserves related to gains or losses on cash flow hedges 12 Negative amounts resulting from the calculation of expected loss amounts 13 Any increase in equity that results from securitised assets (negative amount) 14 Gains or losses on liabilities valued at fair value resulting from changes in own credit standing 15 Defined-benefit pension fund assets (negative amount) 16 Direct and indirect holdings by an institution of own CET1 instruments (negative amount) 17 Holdings of the CET1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount) Direct and indirect holdings by the institution of the CET1 instruments of 18 financial sector entities where the institution does not have a significant investment in those entities (amount above the 10% threshold and net of eligible short positions) (negative amount) Direct, indirect and synthetic holdings by the institution of the CET1 19 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount) 20 Empty Set in the EU 20a Exposure amount of the following items which qualify for a RW of 1250%, where the institution opts for the deduction alternative 20b of which qualifying holdings outside the financial sector (negative amount) 20c of which: securitisation positions (negative amount) 20d of which: free deliveries (negative amount) (14,989) (1,724) (1,901) b c d 7

9 Amounts Subject to Pre- Regulation (EU) N 575/2013 Treatment or Prescribed EUR thousands Residual Amount 31 Dec Dec 2015 of Regulation (EU) BS Cross N 575/2013 reference Deferred tax assets arising from temporary differences (amount above 21 10% threshold, net of related tax liability where the conditions in 38 (3) are met) (negative amount) 22 Amount exceeding the 17,65% threshold (negative amount) of which: direct and indirect holdings by the institution of the CET1 23 instruments of financial sector entities where the institution has a significant investment in those entities 24 Empty Set in the EU 25 of which: deferred tax assets arising from temporary differences 25a Losses for the current financial year (negative amount) 25b Foreseeable tax charges relating to CET1 items (negative amount) 26 Regulatory adjustments applied to Common Equity Tier 1 in respect of amounts subject to pre-crr treatment 26a Regulatory adjustments relating to unrealised gains and losses pursuant to Article 467 and 468 Of which : filter for unrealised gain 1 Of which : filter for unrealised gain 2 26b Amount to be deducted from or added to Common Equity Tier 1 capital with regard to additional filters and deductions required pre CRR 27 Qualifying AT1 deductions that exceed the AT1 capital of the institution (negative amount) 28 Total regulatory adjustments to Common equity Tier 1 (CET1) (13,865) (24,304) 29 Common Equity Tier 1 (CET1) capital 365, ,789 Additional Tier 1 (AT1) capital: instruments 30 Capital instruments and the related share premium accounts 31 of which: classified as equity under applicable accounting standards 32 of which: classified as liabilities under applicable accounting standards 33 Amount of qualifying items referred to in Article 484 (4) and the related share premium accounts subject to phase out from AT1 Public sector capital injections grandfathered until 1 January 2018 Qualifying Tier 1 capital included in consolidated AT1 capital (including 34 minority interests not included in row 5) issued by subsidiaries and held by third parties 35 of which: instruments issued by subsidiaries subject to phase out 36 Additional Tier 1 (AT1) capital before regulatory adjustments Additional Tier 1 (AT1) capital: regulatory adjustments Direct and indirect holdings by an institution of own AT1 Instruments 37 (negative amount) 38 Holdings of the AT1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount) a Direct and indirect holdings of the AT1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above the 10% threshold and net of eligible short positions) (negative amount) Direct and indirect holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above the 10% threshold net of eligible short positions) (negative amount) Regulatory adjustments applied to Additional Tier 1 capital in respect of amounts subject to pre-crr treatment and transitional treatments subject to phase-out as prescribed in Regulation (EU) No 585/2013 (ie. CRR residual amounts) Residual amounts deducted from Additional Tier 1 capital with regard to deduction from Common Equity Tier 1 capital during the transitional period pursuant to article 472 of Regulation (EU) No 575/2013 8

10 EUR thousands 31 Dec Dec 2015 Amounts Subject to Pre- Regulation (EU) N 575/2013 Treatment or Prescribed Residual Amount of Regulation (EU) N 575/2013 BS Cross reference 41b Residual amounts deducted from Additional Tier 1 capital with regard to deduction from Tier 2 capital during the transitional period pursuant to article 475 of Regulation (EU) No 575/ c 42 Amounts to be deducted from added to Additional Tier 1 capital with regard to additional filters and deductions required pre- CRR Qualifying T2 deductions that exceed the T2 capital of the institution (negative amount) 43 Total regulatory adjustments to Additional Tier 1 (AT1) capital 44 Additional Tier 1 (AT1) capital 45 Tier 1 capital (T1 = CET1 + AT1) 365, ,789 Tier 2 (T2) capital: instruments and provisions 46 Capital instruments and the related share premium accounts 47 Amount of qualifying items referred to in Article 484 (5) and the related share premium accounts subject to phase out from T2 Public sector capital injections grandfathered until 1 January Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties 49 of which: instruments issued by subsidiaries subject to phase out 50 Credit risk adjustments 51 Tier 2 (T2) capital before regulatory adjustments Tier 2 (T2) capital: regulatory adjustments Direct and indirect holdings by an institution of own T2 instruments and 52 subordinated loans (negative amount) Holdings of the T2 instruments and subordinated loans of financial sector entities where those entities have reciprocal cross holdings with 53 the institution designed to inflate artificially the own funds of the institution (negative amount) 54 54a 54b 55 Direct and indirect holdings of the T2 instruments and subordinated loans of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount) of which new holdings not subject to transitional arrangements of which holdings existing before 1 January 2013 and subject to transitional arrangements Direct and indirect holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount) 56 Regulatory adjustments applied to tier 2 in respect of amounts subject to pre-crr treatment and transitional treatments subject to phase out as prescribed in Regulation (EU) No 575/2013 (i.e. CRR residual amounts) 56a Residual amounts deducted from Tier 2 capital with regard to deduction from Common Equity Tier 1 capital during the transitional period pursuant to article 472 of Regulation (EU) No 575/ b Residual amounts deducted from Tier 2 capital with regard to deduction from Additional Tier 1 capital during the transitional period pursuant to article 475 of Regulation (EU) No 575/2013 9

11 EUR thousands 31 Dec Dec Total regulatory adjustments to Tier 2 (T2) capital 58 Tier 2 (T2) capital 59 Total capital (TC = T1 + T2) 365, ,789 Risk weighted assets in respect of amounts subject to pre-crr treatment 59a and transitional treatments subject to phase out as prescribed in Regulation (EU) No 575/2013 (i.e. CRR residual amount) of which: items not deducted from CET1 (Regulation (EU) No 575/2013 residual amounts) (items to be detailed line by line, e.g. Deferred tax assets that rely on future profitability net of related tax liability, indirect holdings of own CET1, etc.) of which: items not deducted from AT1 items (Regulation (EU) No 575/2013 residual amounts) (items to be detailed line by line, e.g. Reciprocal cross holdings in T2 instruments, direct holdings of nonsignificant investments in the capital of other financial sector entities, etc.) Items not deducted from T2 items (Regulation (EU) No 575/2013 residual amounts) (items to be detailed line by line, e.g. Indirect holdings of own T2 instruments, indirect holdings of non-significant investments in the capital of other financial sector entities, indirect holdings of significant investments in the capital of other financial sector entities etc.) 60 Total risk weighted assets 1,836,476 1,707,690 Capital ratios and buffers 61 Common Equity Tier 1 (as a percentage of risk exposure amount) 19.9% 22.9% 62 Tier 1 (as a percentage of risk exposure amount) 19.9% 22.9% 63 Total capital (as a percentage of risk exposure amount) 19.9% 22.9% Amounts Subject to Pre- Regulation (EU) N 575/2013 Treatment or Prescribed Residual Amount of Regulation (EU) N 575/2013 BS Cross reference 64 Institution specific buffer requirement (CET1 requirement in accordance with article 92 (1) (a) plus capital conservation and countercyclical buffer requirements, plus systemic risk buffer, plus the systemically important institution buffer (G-SII or O-SII buffer), expressed as a percentage of risk exposure amount) 7.0% 7.0% 65 of which : capital conservation buffer requirements 2.5% 2.5% 66 of which : countercyclical buffer requirements 67 of which : systemic risk buffer requirements 67a of which : Global Systemically Important Institutions (G-SII) or Other Systemically Important Institutions (O-SII) buffer 68 Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount) 69 (Non relevant in EU regulation) 70 (Non relevant in EU regulation) 71 (Non relevant in EU regulation) 15.4% 18.4% 72 Direct and indirect holdings of the capital of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions) Direct and indirect holdings by the institution of the CET 1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 10% threshold and net of eligible short positions) Amounts below the thresholds for deduction (before risk weighting) 74 Empty Set in the EU Deferred tax assets arising from temporary differences (amount below 75 10% threshold, net of related tax liability where the conditions in Article 38 (3) are met) 10

12 EUR thousands 31 Dec Dec 2015 Applicable caps on the inclusion of provisions in Tier Credit risk adjustments included in T2 in respect of exposures subject to standardized approach (prior to the application of the cap) Cap on inclusion of credit risk adjustments in T2 under standardised approach Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap) Cap for inclusion of credit risk adjustments in T2 under internal ratingsbased approach 79 Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2013 and 1 Jan 2022) 80 Current cap on CET1 instruments subject to phase out arrangements 81 Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) 82 Current cap on AT1 instruments subject to phase out arrangements 83 Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) 84 Current cap on T2 instruments subject to phase out arrangements 85 Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) Amounts Subject to Pre- Regulation (EU) N 575/2013 Treatment or Prescribed Residual Amount of Regulation (EU) N 575/2013 BS Cross reference 11

13 Table 6. Capital instrument s main features Disclosure according to Article 3 in EU Regulation No 1423/ Dec Issuer AS SEB Banka reg.no Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement) SE Governing law(s) of the instrument The Commercial Law of the Republic of Latvia Regulatory treatment 4 Transitional CRR rules Common equity Tier1 capital 5 Post-transitional CRR rules Common equity Tier1 capital 6 Eligible at solo/(sub-)consolidated/solo & (sub-)consolidated Solo & consolidated 7 Instrument type (types to be specified by each jurisdiction) Shares 8 Amount recognised in the regulatory capital (currency in thousands, as of most recent reporting date) EUR Nominal amount of instrument one category shares with equal voting 9a Issue price rights the nominal value of all shares of the Bank is EUR b Redemption price N/A 10 Accounting classification Shareholder s own funds 11 Original date of issuance Perpetual or dated Perpetual 13 Original maturity date Perpetual 14 Issuer call subject to prior supervisory approval NO 15 Optional call date, contingent call dates, and redemption amount N/A 16 Subsequent call dates, if applicable N/A Coupons / dividends 17 Fixed or floating dividend/coupon Fixed, annually payments 18 Coupon rate and any related index N/A 19 Existence of a dividend stopper NO 20a Fully discretionary, partially discretionary or mandatory (in terms of timing Mandatory 20b Fully discretionary, partially discretionary or mandatory (in terms of amount) Mandatory 21 Existence of step up or other incentive to redeem NO 22 Noncumulative or cumulative N/A 23 Convertible or non-convertible Non-convertible 24 If convertible, conversion trigger (s) N/A 25 If convertible, fully or partially N/A 26 If convertible, conversion rate N/A 27 If convertible, mandatory or optional conversion N/A 28 If convertible, specify instrument type convertible into N/A 29 If convertible, specify issuer of instrument it converts into N/A 30 Write-down features NO 31 If write-down, write-down trigger (s) N/A 32 If write-down, full or partial N/A 33 If write-down, permanent or temporary N/A 34 If temporary write-down, description of write-up mechanism N/A 35 Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument) N/A 36 Non-compliant transitioned features NO 37 If yes, specify non-compliant features N/A N/A inserted if the question in not applicable. 12

14 Table 7. Leverage ratio Disclosure according to Reg (EU) 2016/200 EUR thousands 31 Dec 2016 Applicable Table LRSum: Summary reconciliation of accounting assets and leverage ratio exposures amount 1 Total assets as per published financial statements 3,525,136 1) 2 3 Adjustment for entities which are consolidated for accounting purposes but are outside the scope of regulatory consolidation (Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework but excluded from the leverage ratio total exposure measure in accordance with Article 429(13) of Regulation (EU) No 575/2013) 4 Adjustments for derivative financial instruments 24,553 5 Adjustment for securities financing transactions (SFTs) 6 Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures) 273,118 EU-6a (Adjustment for intragroup exposures excluded from the leverage ratio total exposure measure in accordance with Article 429(7) of Regulation (EU) No 575/2013) EU-6b (Adjustment for exposures excluded from the leverage ratio total exposure measure in accordance with Article 429(14) of Regulation (EU) No 575/2013) 7 Other adjustments 8 Leverage ratio total exposure measure 3,822,807 1) Difference with Balance total assets is due to credit value adjustments, which are not included. CRR leverage Table LRCom: Leverage ratio common disclosure ratio exposures On-balance sheet exposures (excluding derivatives and SFTs) 1 On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral) 3,401,166 2 (Asset amounts deducted in determining Tier 1 capital) 3 Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) (sum of lines 1 and 2) 3,401,166 Derivative exposures 4 Replacement cost associated with all derivatives transactions (ie net of eligible cash variation margin) 123,970 5 Add-on amounts for PFE associated with all derivatives transactions (mark- to-market method) 24,553 EU-5a Exposure determined under Original Exposure Method 6 Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the applicable accounting framework 7 (Deductions of receivables assets for cash variation margin provided in derivatives transactions) 8 (Exempted CCP leg of client-cleared trade exposures) 9 Adjusted effective notional amount of written credit derivatives 10 (Adjusted effective notional offsets and add-on deductions for written credit derivatives) 11 Total derivatives exposures (sum of lines 4 to 10) 148,523 SFT exposures 12 Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions 13 (Netted amounts of cash payables and cash receivables of gross SFT assets) 14 Counterparty credit risk exposure for SFT assets 13

15 CRR leverage Table LRCom: Leverage ratio common disclosure ratio exposures EU-14a Derogation for SFTs: Counterparty credit risk exposure in accordance with Articles 429b(4) and 222 of Regulation (EU) No 575/ Agent transaction exposures EU-15a (Exempted CCP leg of client-cleared SFT exposure) 16 Total securities financing transaction exposures (sum of lines 12 to 15a) Other off-balance sheet exposures 17 Off-balance sheet exposures at gross notional amount 586, (Adjustments for conversion to credit equivalent amounts) (313,582) 19 Other off-balance sheet exposures (sum of lines 17 and 18) 273,118 Exempted exposures in accordance with Article 429(7) and (14) of Regulation (EU) No 575/2013 (on and off balance sheet) EU-19a (Intragroup exposures (solo basis) exempted in accordance with Article 429(7) of Regulation (EU) No 575/2013 (on and off balance sheet)) EU-19b (Exposures exempted in accordance with Article 429 (14) of Regulation (EU) No 575/2013 (on and off balance sheet)) Capital and total exposure measure 20 Tier 1 capital 365, Leverage ratio total exposure measure (sum of lines 3, 11, 16, 19, EU-19a and EU- 19b) 3,822,807 Leverage ratio 22 Leverage ratio 9.6% Choice on transitional arrangements and amount of derecognised fiduciary items EU-23 Choice on transitional arrangements for the definition of the capital measure EU-24 Amount of derecognised fiduciary items in accordance with Article 429(11) of Regulation (EU) No 575/2013 Table LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures) CRR leverage ratio exposures EU-1 Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: 3,401,166 EU-2 Trading book exposures EU-3 Banking book exposures, of which: 3,401,166 EU-4 Covered bonds EU-5 Exposures treated as sovereigns 435,600 Eu-6 Exposures to regional governments, MDB, international organisations and PSE not treated as sovereigns EU-7 Institutions 521,218 EU-8 Secured by mortgages of immovable properties 1,674,030 EU-9 Retail exposures 125,195 EU-10 Corporate 502,352 EU-11 Exposures in default 101,044 EU-12 Other exposures (eg equity, securitisations, and other non-credit obligation assets) 41,727 Comments Leverage ratio is considered in the capital and risk management and planning. The leverage ratio is frequently monitored and risks involved assessed. In 2016, there were no significant factors impacting the leverage ratio. 14

16 Table 8. Overview of risk exposure amounts Minimum Risk Exposure Amount own funds requirements Breakdown by Risk Type, EUR thousands 31 Dec 31 Dec Dec 2016 Credit risk (excluding counterparty credit risk) (CCR) 1,651,188 1,516, ,095 of which standardised approach (SA) 78,625 89,562 6,290 of which foundation internal rating-based (F-IRB) approach 1,286,458 1,140, ,917 of which advanced internal rating-based (A-IRB) approach 286, ,383 22,888 Counterparty credit risk 31,215 30,390 2,497 of which mark to market 31,203 30,309 2,496 of which CVA Settlement risk Securitisation exposures in banking book Market risk 10,745 10, of which standardised approach 10,745 10, Large exposures Operational risk 143, ,855 11,466 of which advanced measurement approach 143, ,855 11,466 Amounts below the thresholds for deduction (subject to 250% risk weight) Floor adjustment TOTAL 1,836,476 1,707, ,918 15

17 Credit exposure Table 9. Overview of credit risk exposure 31 Dec 2016, EUR thousands Original exposure pre CCF pre CRM EAD post CRM and post CCF Average EAD for the year REA Minimum own funds requirement 2) Average risk weight (%) 2) Institutions 649, , , ,370 11, Corporates 1,949,324 1,783,071 1,691,436 1,177,232 94, of which large corporates 818, , , ,668 36, of which SME corporates 1,113,309 1,050,739 1,042, ,149 56, of which specialised lending 17,457 17,425 15,519 21,414 1, Retail exposures 988, , , ,164 22, of which secured by immovable property 736, , , ,796 15, of which qualifying revolving retail exposures of which retail SME 137, , ,726 30,003 2, of which other retail exposures 114, , ,520 63,365 5, Securitisation positions IRB approach 3,587,361 3,399,850 3,337,081 1,603, , Central governments or central banks 389, , ,969 9, Regional governments or local authorities 6,493 6,441 7,687 Institutions Corporate 4,320 4,320 1,662 4, Retail exposures 163, , ,969 52,837 4, Other 39,064 39,064 42,113 12, Standardised approach 602, , ,400 78,625 6, TOTAL 4,190,103 3,988,380 3,858,481 1,682, ,

18 31 Dec 2015, EUR thousands Original exposure pre CCF pre CRM EAD post CRM and post CCF Average EAD for the year REA Minimum own funds requirement 2) Average risk weight (%) 2) Institutions 200, , ,854 47,052 3, Corporates 1,797,187 1,661,433 1,692,007 1,123,977 89, of which large corporates 692, , , ,312 35, of which SME corporates 1,093,205 1,025,386 1,018, ,235 53, of which specialised lending 11,656 11,648 12,609 8, Retail exposures 966, , , ,530 22, of which secured by immovable property 719, , , ,220 16, of which qualifying revolving retail exposures 68,637 54,412 59,872 24,777 1, of which retail SME 130, , ,902 27,476 2, of which other retail exposures 47,453 47,524 49,586 22,057 1, Securitisation positions IRB approach 2,964,401 2,805,253 3,339,399 1,457, , Central governments or central banks 948, , ,778 16,174 1, Regional governments or local authorities 8,630 8,421 8,554 Institutions Corporate 3,177 3,177 1,315 3, Retail exposures 156, , ,881 47,195 3, Other 52,539 52,539 53,157 23,016 1, Standardised approach 1,169,235 1,152, ,684 89,562 7, TOTAL 4,133,636 3,957,751 4,017,083 1,547, , ) Own funds requirement 8% of risk exposure amount according to Regulation (EU) No 575/2013 (CRR). 2) Average risk weights include defaults, repos. 17

19 Table 10. EAD by exposure class and geography 31 Dec Dec 2015 EUR thousands Latvia Other 1) Total Latvia Other 1) Total Institutions 9, , ,271 5, , ,855 Corporates 1,757,508 25,563 1,783,071 1,639,808 21,625 1,661,433 of which large corporates 706,529 8, , ,971 10, ,399 of which SME corporates 1,050, ,050,739 1,025, ,025,386 of which specialised lending ,804 17, ,013 11,648 Retail exposures 957,202 12, , ,603 13, ,964 of which secured by immovable property 726,333 10, , ,196 12, ,379 of which qualifying revolving retail exposures 54, ,412 of which retail SME 126,861 1, , , ,649 of which other retail exposures 104, ,845 46, ,524 Securitisation positions IRB approach 2,724, ,736 3,399,850 2,578, ,642 2,805,253 Central governments or central banks 332,075 53, , , ,436 Regional governments or local authorities 6,441 6,441 8,421 8,421 Institutions Corporate 4,320 4,320 3,177 3,177 Retail exposures 152, , , ,925 Other 36,361 2,703 39,064 39,068 13,471 52,539 Standardised approach 531,744 56, ,529 1,138,846 13,652 1,152,498 TOTAL 3,255, ,520 3,988,380 3,717, ,294 3,957,751 1 ) Other countries mainly comprise Sweden, Estonia, Russia, United Kingdom, Belgium, Lithuania. 18

20 Table 11. EAD by exposures and industry IRB approach Standardised approach Central Regional of which governments governments EUR thousands Institutions Corporates SME Retail Institutions Other Total 2016 or central or local corporates banks authorities Banks 647,271 78, , ,615 Business and household services 253,632 99,449 21,049 11, , ,752 Construction 30,539 21,314 5,026 3,258 38,823 42,500 Finance and insurance 1, ,497 4,594 2,200 Manufacturing 219,795 68,335 12,015 4, , ,673 Transportation 248,326 84,162 2,644 4, , ,512 Wholesale and retail 222, ,914 20,905 9, , ,157 Agriculture, forestry and fishing 174, ,035 50,483 16, , ,811 Mining, oil and gas extraction 5,246 4, ,874 13,363 Electricity, gas and water supply 111,502 42, , ,140 Shipping 18,037 1, ,319 13,585 Public administration 307,712 6, , ,097 Commercial real estate management 434, ,780 10, , ,931 Residential real estate management 28,693 28, ,196 38,199 Other corporates 24,418 18,317 24,418 31,392 Household mortgages 736, , ,379 Household other 104, , , ,288 Other 10,218 9,974 3,551 38,439 52,208 70,156 TOTAL 647,271 1,783,071 1,050, , ,029 6, ,061 3,988,380 3,957,751 Total

21 Table 12. EAD by remaining maturity 31 Dec 2016, EUR thousands < 3 3 < 6 6 < 12 1 < 5 months months months years 5 years < TOTAL Institutions 593, , ,271 Corporates 143, , , , ,157 1,783,071 of which large corporates 48,079 43, , , , ,907 of which SME corporates 95,017 72, , , ,153 1,050,739 of which specialised lending ,277 17,425 Retail exposures 62,211 16,085 42, , , ,509 of which secured by immovable property 37,686 1,739 7,296 24, , ,583 of which qualifying revolving retail exposures of which retail SME 12,962 9,862 27,298 74,130 3, ,080 of which other retail exposures 11,563 4,484 8,136 69,289 11, ,845 Securitisation positions IRB approach 799, , ,430 1,163, ,643 3,399,850 Central governments or central banks 126,236 1,326 15, ,385 13, ,029 Regional governments or local authorities , ,441 Institutions Corporate 4,320 4,320 Retail exposures 3,633 1,228 4,533 66,612 76, ,676 Other 2, ,750 39,064 Standardised approach 136,959 2,570 20, ,589 90, ,529 TOTAL 936, , ,840 1,501,769 1,080,644 3,988,380 20

22 31 Dec 2015, EUR thousands < 3 3 < 6 6 < 12 1 < 5 5 years months months months years < TOTAL Institutions 86, ,529 45, ,855 Corporates 209, , , , ,077 1,661,433 of which large corporates 71,621 46,689 96, , , ,399 of which SME corporates 136,283 94, , ,453 46,173 1,025,386 of which specialised lending 1,393 3,733 6,521 11,648 Retail exposures 84,842 20,990 41, , , ,964 of which secured by immovable property 50,690 2,061 4,559 26, , ,379 of which qualifying revolving retail exposures 5,138 4,076 7,529 37,670 54,412 of which retail SME 19,232 13,294 25,276 66,056 1, ,649 of which other retail exposures 9,782 1,559 3,763 21,387 11,032 47,524 Securitisation positions IRB approach 380, , ,975 1,101, ,088 2,805,253 Central governments or central banks 785, , ,722 23, ,436 Regional governments or local authorities 210 1, ,113 1,922 8,421 Institutions Corporate 3,177 3,177 Retail exposures 3,760 1,142 4,349 61,107 74, ,925 Other 43 14,013 38,482 52,539 Standardised approach 792,945 3,444 51, ,425 99,767 1,152,498 TOTAL 1,173, , ,893 1,306, ,855 3,957,751 21

23 Credit risk mitigation Depending on the creditworthiness of the customer, as well as the nature and complexity of the transaction, collateral and netting agreements can be used to a varying extent to mitigate the credit risk. In the selection of a particular credit risk mitigation technique, consideration is given to its suitability for the product and customer in question, its legal enforceability, and on the experience and capacity to manage and control the particular technique. The most important credit risk mitigation techniques are pledges, guarantees and agreements. The most common types of pledges are real estate, floating charges and financial securities. For large corporate customers, credit risk is commonly mitigated through the use of restrictive covenants in the credit agreements, including negative pledges. Independent and professional credit analysis is particularly important for this customer segment. A credit analysis function within the Large Corporates & Financial Institutions division provides independent analysis and credit opinions to business units throughout the bank where relevant as well as to the credit committees. All non-retail collateral values are reviewed at least annually by the relevant credit committees. Collateral values for watch-listed engagements are reviewed on a more frequent basis. The general rule is that the value of the collateral shall be calculated on the basis of the estimated market value of the asset with a conservative discount. The market value shall be documented by an independent external valuation or, when applicable, by a well justified internal estimate. The general control process for various credit risk mitigation techniques includes credit review and approval requirements, specific credit product policies and credit risk monitoring and control. The value of both the exposure and the mitigating collateral are monitored on a regular basis. The frequency depends on the type of counterparty, the structure of the transaction and the type of collateral. 22

24 Table 13. Credit risk mitigation 31 Dec 2016, EUR thousands EAD Protection via guarantees and credit derivatives Protection via pledged collaterals Of which, financial collaterals Institutions 647,271 Corporates 1,783, ,369 7,774 of which large corporates 714, ,140 3,057 of which SME corporates 1,050, ,961 4,716 of which specialised lending 17, Retail exposures 969, ,386 8,270 of which secured by immovable property 736, , of which qualifying revolving retail exposures of which retail SME 128,080 97,670 7,770 of which other retail exposures 104,845 21, Securitisation positions IRB approach 3,399,850 1,664,755 16,044 Central governments or central banks 386,029 79,624 Regional governments or local authorities 6,441 Institutions Corporate 4,320 Retail exposures 152,676 Other 39,064 Standardised approach 588,530 79,624 TOTAL 3,988,380 79,624 1,664,755 16,044 23

25 31 Dec 2015, EUR thousands EAD Protection via guarantees and credit derivatives Protection via pledged collaterals Of which, financial collaterals Institutions 196,855 Corporates 1,661, ,560 9,197 of which large corporates 624, ,296 4,783 of which SME corporates 1,025, ,005 4,414 of which specialised lending 11, Retail exposures 946, ,681 11,290 of which secured by immovable property 719, , of which qualifying revolving retail exposures 54,412 of which retail SME 125,649 98,556 10,524 of which other retail exposures 47,524 23, Securitisation positions IRB approach 2,805,253 1,600,241 20,487 Central governments or central banks 943,436 80,133 Regional governments or local authorities 8,421 Institutions Corporate 3,177 Retail exposures 144,925 Other 52,539 Standardised approach 1,152,498 80,133 TOTAL 3,957,751 80,133 1,600,241 20,487 24

26 Credit quality The definitions of past due and impaired loans as well as Bank s impairment process are described in the Annual Report Note 1 Summary of significant accounting policies, Note 3 Financial risk management. Table 14. Individually assessed impaired loans by industry and geography 31 Dec Dec 2015 EUR thousands Latvia Other Total Latvia Other Total Banks Finance and insurance Wholesale and retail ,587 1,587 Transportation 10,369 10, Shipping 6,428 6,428 6,498 6,498 Business and household services Construction Manufacturing 1,927 1,927 2,819 2,819 Agriculture, forestry and fishing 2,240 2,240 1,640 1,640 Mining, oil and gas extraction 1,712 1,712 1,388 1,388 Electricity, water and gas supply Other Corporates 17,040 6,428 23,468 9,643 6,498 16,141 Commercial real estate management 12,184 12,184 37,189 37,189 Residential real estate management 1,263 1,263 3,179 3,179 Property Management 13,447 13,447 40,367 40,367 Public Administration Household mortgage Other 6,018 6,018 7,417 7,417 Households 6,018 6,018 7,417 7,417 TOTAL INDIVIDUALLY ASSESSED IMPAIRED LOANS 36,506 6,428 42,933 57,428 6,498 63,925 Amounts before provisions for credit losses. Table 15. Portfolio assessed loans 31 Dec Dec 2015 EUR thousands Latvia Other Total Latvia Other Total Corporates 4,449 4,449 6,522 6,522 Household mortgage, past due > 60 days 36,741 1,354 38,096 52,707 1,115 53,823 Household mortgage restructured Other 7, ,881 10, ,045 Households 44,558 1,419 45,976 63,552 1,316 64,868 TOTAL PORTFOLIO ASSESSED LOANS 49,006 1,419 50,425 70,074 1,316 71,390 25

27 Table 16. Past due loans that are not impaired 31 Dec 2016, EUR thousands Corporates Households Other Total < 30 days 18,883 24,013 2,295 45, days 1,145 3, ,062 >60 days 1) 2, ,966 TOTAL 22,994 27,486 2,739 53, Dec 2015, EUR thousands Corporates Households Other Total < 30 days 30,178 30,190 2,779 63, days 2,417 5, ,269 >60 days 1) 3, ,008 TOTAL 35,599 35,532 3,293 74,424 1) Excluding portfolio assessed loans past due more than 60 days which are included in table 15. Table 17. Change of reserves for impaired loans and portfolio assessed loans Loans to credit institutions Loans to the public Total Specific loan loss reserves 1) Opening balance 26,434 24,818 26,434 24,818 Reversals for utilisation (4,841) (10,847) (4 841) (10,847) Provisions 10,980 16,867 10,980 16,867 Reversals (9,967) (4,273) (9,967) (4,273) Exchange rate differences 145 (131) 145 (131) Closing balance 22,752 26,434 22,752 26,434 Collective loan loss reserves 2) Opening balance 52,092 70,717 52,092 70,717 Net provisions (10,312) (18,673) (10,312) (18 673) Exchange rate differences Closing balance 42,040 52,092 42,040 52,092 Contingent liabilities reserves Opening balance Net provisions Reversal for utilisation Closing balance TOTAL 64,792 78,526 64,792 78,526 1) Specific reserves for individually appraised loans. 2) Collective reserves for individually appraised loans, reserves for loans assessed on a portfolio basis and country risk reserves. 26

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