Investor Presentaiton

Page 26 Key Modelling Aspects ECL calculation: 12-month and Lifetime LGD Segmentation Only default population for estimation Identification of population sub-segments where different models can be developed per segment (e.g. Secured/Unsecured, Modified/Non Modified exposures). LGD Estimation The two main parameters are: Loss Given Loss, which for secured exposures is an estimate of collateral liquidation, while for unsecured exposures, estimation is performed via cash payments of non- cured exposures. Cure Rate based on an estimated workout period, where segmentation or behavioural models are typically developed. Macroeconomic Adjustment Factors for secured lending include house prices, CRE prices, Typical macro economic factors for cure rate and unsecured lending. Indicative Data Needed Collateral information: < NPL facilities/Settlements CF Records Write-off's Deem Write-off Post-default payment behaviour Time to recovery Cash recoveries Haircut 18% Time-to-default 16% 1 LGD Loss given loss 14% Time to liquidation 12% HPI 2 Cure rate Costs Sep-15 Jan-16 SLFRS9 LGD term structure $!!! What is not Compliant Using regulatory LGD values without analyzing whether adjustments are required Amortizing Exposure (Linear) May-16 Sep-16 Jan-17 May-17 Sep-17 Jan-18 May-18 | Sep-18 Jan-19 | May-19 Sep-19 Jan-20 May-20 EY

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