QUANTITATIVE DISCLOSURE BAWAG GROUP AG QUANTITATIVE DISCLOSURE REPORT ACCORDING TO REGULATION (EU) NO. 575/2013 (“CRR”) 2019 1 QUANTITATIVE DISCLOSURE LIST OF TABLES Table 1: Total assets ......................................................................................................................................................6 Table 2: Total liabilities and equity..................................................................................................................................7 Table 3: Differences between accounting and regulatory scopes of consolidation and (…) (1/2) ......................................8 Table 3: Differences between accounting and regulatory scopes of consolidation and (…) (2/2) ......................................9 Table 4: Outline of the differences in the scopes of consolidation (entity by entity).........................................................10 Table 5: Scope of consolidation (IFRS, CRR) (1/3) .......................................................................................................11 Table 5: Scope of consolidation (IFRS, CRR) (2/3) .......................................................................................................12 Table 5: Scope of consolidation (IFRS, CRR) (3/3) .......................................................................................................13 Table 6: Main features, full terms and conditions of capital instruments ........................................................................14 Table 7: Overview of RWAs ..........................................................................................................................................28 Table 8: Flow statements of credit risk exposures under the IRB approach ...................................................................29 Table 9: Specialized lending exposures ........................................................................................................................29 Table 10: Equity exposures ............................................................................................................................................30 Table 11: Analysis of CCR exposure by approach ...........................................................................................................31 Table 12: CVA capital charge .........................................................................................................................................31 Table 13: Impact of netting and collateral held on exposure values .................................................................................31 Table 14: Composition of collateral for exposures to CCR ................................................................................................32 Table 15: Exposures to CCPs .........................................................................................................................................32 Table 16: Credit derivatives exposures ...........................................................................................................................33 Table 17: Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer ...34 Table 18: Institution specific countercyclical capital buffer .............................................................................................35 Table 19: Exposure values by exposure class .................................................................................................................36 Table 20: Geographical breakdown of exposures ............................................................................................................37 Table 21: Concentration of exposures by industry or counterparty types (1/3) .................................................................38 Table 21: Concentration of exposures by industry or counterparty types (2/3) .................................................................39 Table 21: Concentration of exposures by industry or counterparty types (3/3) .................................................................40 Table 22: Maturity of exposures .....................................................................................................................................41 Table 23: Credit quality of exposures by exposure class and instrument..........................................................................42 Table 24: Credit quality of exposures by industry or counterparty types ...........................................................................43 Table 25: Credit quality of exposures by geography ........................................................................................................44 Table 26: Credit quality of forborne exposures ................................................................................................................45 Table 27: Credit quality of performing and non-performing exposures by past due days ..................................................46 Table 28: Performing and non-performing exposures and related provisions ...................................................................47 Table 29: Collateral obtained by taking possession and execution processes ...................................................................48 Table 30: Changes in the stock of defaulted and impaired loans and debt securities .......................................................48 2 QUANTITATIVE DISCLOSURE Table 31: Changes in the stock of general and specific credit risk adjustments ...............................................................49 Table 32: Assets............................................................................................................................................................50 Table 33: Collateral received ..........................................................................................................................................50 Table 34: Encumbered assets/collateral received and associated liabilities ......................................................................50 Table 35: Standardized approach (1/2) ..........................................................................................................................52 Table 35: Standardized approach (2/2) ..........................................................................................................................53 Table 36: Standardized approach – CCR exposures by regulatory portfolio and risk .........................................................54 Table 37: Equity exposures by objective .........................................................................................................................55 Table 38: Shares in non–consolidated companies ..........................................................................................................55 Table 39: Breakdown of securities .................................................................................................................................56 Table 40: Exposure to interest rate risk on positions not included in the trading book (PvBP per currency) ......................57 Table 41: Exposures and capital requirements for securitization .....................................................................................58 Table 42: Remuneration by business area .....................................................................................................................59 Table 43: Remuneration ................................................................................................................................................60 Table 44: Variable remuneration ....................................................................................................................................60 Table 45: Deferred remuneration ...................................................................................................................................60 Table 46: Deferred remuneration awarded during financial year .....................................................................................60 Table 47: Pay bands .....................................................................................................................................................61 Table 48: Remuneration for managing directors .............................................................................................................62 Table 49: Variable remuneration for managing directors .................................................................................................62 Table 50: Deferred remuneration for managing directors ................................................................................................62 Table 51: Deferred remuneration awarded during financial year 2019 for managing directors .........................................62 Table 52: Summary reconciliation of accounting assets and leverage ratio exposures ......................................................63 Table 53: Leverage ratio ................................................................................................................................................63 Table 54: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures) ........................64 Table 55: Exposures to small and medium–sized enterprises and corporates (1/2) ..........................................................65