Document


Contents			Page

1. Overview			3
1.1. Background
1.2. Basis of disclosures
1.3. Scope of applications
1.4. Location and verification

2. Risk Management Objectives and Policies			5
2.1. Risk governance
2.2. Risk management

3. Prudential Metrics			7

4. Capital Adequacy			9
4.1. Capital management
4.2. Regulatory capital framework
4.3. Capital structure
4.4. Linkages between financial statements and regulatory exposures
4.5. Minimum capital requirement: Pillar 1
4.6. Leverage ratio

5. Credit Risk Measurement, Mitigation and Reporting			15
5.1. Credit risk overview
5.2. Credit risk - retail and private banking
5.3. Credit risk - commercial banking
5.4. Credit risk - treasury
5.5. Exposures
5.6. Impairment provisions
5.7. Credit risk concentrations
5.8. Credit risk mitigation
5.9. Securitization

6. Market and Liquidity Risk			27
6.1. Market risk overview
6.2. Interest rate risk
6.3. Foreign exchange risk
6.4. Liquidity risk

7. Operational Risk			32

8. Other Information			33
8.1. Abbreviations
8.2. Cautionary statements regarding forward-looking statements

Effective January 1, 2015, the BMA implemented the capital reforms proposed by the BCBS and referred to as the Basel III regulatory framework. Basel III aims to raise the quality, consistency and transparency of the capital base, limit the build-up of excess leverage and increase capital requirements for the banking sector. Basel III adopts CET1 capital as the predominant form of regulatory capital with the CET1 ratio as a new metric. Basel III also adopts the new Leverage Ratio, Liquidity Coverage Ratio ("LCR") and Net Stable Funding Ratio ("NSFR") regimes. We are now subject to the following requirements:

In December 2017, the BCBS published standards that it described as the finalization of the Basel III post-crisis regulatory reforms (the standards are commonly referred to as “Basel IV”). Among other things, these standards revise the BCBS’s standardized approach for credit risk (including recalibrating risk weights and introducing new segmentations for exposures) and provides a new standardized approach for operational risk capital. Under the BCBS framework, these standards will generally be effective on January 1, 2022, with an aggregate output floor phasing in through January 1, 2027. The impact of these standards on us will depend on the manner in which they are adopted by the BMA.

There is a requirement to calculate and maintain regulatory capital ratios on both a consolidated and a solo basis in respect of the Group’s businesses in Bermuda, the Cayman Islands, Guernsey and Jersey. Differences may exist between jurisdictions in the calculation of regulatory capital requirements. However, there are no differences between the basis of consolidation of the Group for accounting and prudential purposes. Full details of the basis of consolidation can be found in Note 2 of the Group's audited consolidated financial statements for the year ended December 31, 2021.

The Risk Policy and Compliance Committee ("RPCC"): This committee of the Board assists the Board in fulfilling its responsibilities by overseeing the Group's risk profile and its performance against approved risk appetites and tolerance thresholds. Specifically, the committee considers the sufficiency of the Group's policies, procedures and limits related to the identification, measurement, monitoring and control of activities that give rise to credit, market, liquidity, interest rate, operational, regulatory, compliance, climate and reputational risks, as well as overseeing its compliance with laws, regulations and codes of conduct.

The Group Risk and Compliance Committee ("GRCC"): This committee comprises executive and senior management team members and is chaired by the Group Chief Risk Officer. It provides a forum for the strategic assessment of risks assumed across the Group as a whole based on an integrated view of credit, market, liquidity, legal, regulatory and financial crime compliance, fiduciary, operational, cybersecurity, climate, insurance, pension, investment, capital and reputational risks, ensuring that these exposures are consistent with the risk appetites and tolerance thresholds promulgated by the Board and oversees the compliance of regulatory obligations arising under applicable laws, rules and regulations. It is responsible (i) for reviewing, evaluating and recommending the Group's Risk Appetite Framework, the results of the Capital Assessment and Risk Profile and recovery and resolution planning processes (including all associated stress testing performed) and the Group's key risk policies to the Board for approval; (ii) for reviewing and evaluating current and proposed business strategies in the context of our risk appetites; and (iii) for identifying, reviewing and advising on current and emerging risk issues and associated mitigation plans; and (iv) for reviewing the Group’s compliance with external regulations and internal policies.

The Group Asset and Liability Committee ("GALCO"): This committee comprises executive and senior management team members and is chaired by the Group CFO. The committee is responsible for liquidity, interest rate and foreign exchange rate risk management and other balance sheet issues. It also oversees key policies and the execution of the Group's investment and capital management strategies and monitors the associated risks assumed. It is supported in the execution of its mandate by the work undertaken by the dedicated Asset & Liability Committees in each of the Bank's segments.

The Group Credit Committee ("GCC"): This committee comprises executive and senior management and is chaired by the Group Chief Risk Officer. The committee is responsible for a broad range of activities relating to the monitoring, evaluation and management of credit risks assumed across the Group at both transaction and portfolio levels. It is supported in the execution of its mandate by the Financial Institutions Committee ("FIC"), a dedicated sub-committee that is responsible for the evaluation and approval of recommended inter-bank and counterparty exposures assumed in the Group's treasury and investment portfolios, and by the activities of the jurisdictional Credit Committees, which review and approve transactions within delegated authorities and recommends specific transactions outside of these limits to the GCC for approval.

Group Compliance – This unit provides independent analysis and assurance of our compliance with applicable laws, regulations, codes of conduct and recommended best practices, including those associated with the prevention of financial crime, including money laundering and terrorist financing. It is also responsible for assessing our potential exposure to upstream risks and for providing guidance on the preparations that should be made in advance of these changes coming into effect. The Group Head of Compliance and Operational Risk reports directly to the Chairman and CEO.


		a	b	c	d	e
	(in millions of $)	Dec 31, 2021	Sep 30, 2021	Jun 30, 2021	Mar 31, 2021	Dec 31, 2020
	Available capital (amounts)
1	CET1	896.3	875.9	854.3	836.1	816.0
1a	CET1 capital as if CECL transitional arrangements had not been applied	891.6	871.2	849.6	831.4	809.7
2	Tier 1	896.3	875.9	854.3	836.1	816.0
2a	Tier 1 capital as if CECL transitional arrangements had not been applied	891.6	871.2	849.6	831.4	809.7
3	Total capital	1,080.3	1,060.1	1,038.8	1,021.5	1,003.1
3a	Total capital as if CECL transitional arrangements had not been applied	1,075.6	1,055.4	1,034.1	1,016.8	996.8
	Risk-weighted assets (amounts)
4	Total RWA	5,101.5	5,185.1	5,321.3	5,105.5	5,068.6
	Risk-based capital ratios as a percentage of RWA
5	CET1 ratio (%)	17.6%	16.9%	16.1%	16.4%	16.1%
5a	CET1 as if CECL transitional arrangements had not been applied	17.5%	16.8%	16.0%	16.3%	16.0%
6	Tier 1 ratio (%)	17.6%	16.9%	16.1%	16.4%	16.1%
6a	Tier 1 as if CECL transitional arrangements had not been applied	17.5%	16.8%	16.0%	16.3%	16.0%
7	Total capital ratio (%)	21.2%	20.4%	19.5%	20.0%	19.8%
7a	Total capital as if CECL transitional arrangements had not been applied	21.1%	20.4%	19.4%	19.9%	19.7%
	Additional CET1 buffer requirements as a percentage of RWA
8	Capital conservation buffer requirement (2.5% from 2019) (%)	2.5%	2.5%	2.5%	2.5%	2.5%
9	Countercyclical buffer requirement (%)	—%	—%	—%	—%	—%
10	Bank D-SIB additional requirements (%)	3.0%	3.0%	3.0%	3.0%	3.0%
11	Total of bank CET1 specific buffer requirements (%) (row 8 + row 9+ row 10)	5.5%	5.5%	5.5%	5.5%	5.5%
12	CET1 available after meeting the bank's minimum capital requirements (%)	7.6%	6.9%	6.1%	6.4%	6.1%
	Basel III Leverage Ratio
13	Total Basel III leverage ratio measure	15,921.6	15,938.0	16,284.6	15,418.0	15,349.4
14	Basel III leverage ratio (%) (row 2/row 13)	5.6%	5.5%	5.2%	5.4%	5.3%
14a	Leverage ratio as if CECL transitional arrangements had not been applied (%) (row 2a/row 13)	5.6%	5.5%	5.2%	5.4%	5.3%
	Liquidity Coverage Ratio
15	Total HQLA	7,135.0	6,877.3	7,305.9	6,635.4	6,771.7
16	Total net cash outflow	5,645.7	5,627.1	6,005.7	5,509.7	5,291.6
17	LCR ratio (%)2	126%	122%	122%	120%	128%
	Net Stable Funding Ratio
18	Total available stable funding	6,019.6	5,878.1	5,840.2	5,779.0	5,569.7
19	Total required stable funding	4,948.8	4,980.4	5,057.0	4,936.3	4,924.0
20	NSFR ratio (%)2	122%	118%	115%	117%	113%

The Group manages its capital both on a total Group basis and, where appropriate, on a legal entity basis, through its CARP process. The Group Finance division has the responsibility for measuring, monitoring and reporting capital levels within guidelines and risk appetite limits. The management of capital will also involve jurisdictional management to ensure compliance with local regulation. In establishing the guidelines and limits for capital, a variety of factors are taken into consideration, including the overall risk of the business in stressed scenarios, regulatory requirements, capital levels relative to our peers, and the impact on our credit ratings.

•Pillar 2: Under the Basel framework as implemented by the BMA, the Group undertakes a CARP process, which is an internal assessment of all material risks to determine the Group's capital adequacy. This internal assessment takes account of the minimum capital requirement and other risks not covered by the minimum capital requirement (Pillar 2). Where capital is deemed as not being able to mitigate a particular risk, alternative management actions are identified and described within the CARP. The CARP is presented to the RPCC before being presented to the Board for challenge and approval and then submission to the BMA. The CARP process is performed annually or more frequently should the need arise.

CET1 capital is comprised of common share capital, the share premium account, retained earnings and other reserves. It may also include interim retained profits that have been reviewed by external auditors, but losses must be taken into account, whether audited or not. Regulatory adjustments to CET1 capital include: unrealized gains and losses on AFS investments3, goodwill and intangible assets, the Group’s defined benefit pension obligations and deferred tax. For accounting purposes, acquired customer relationships are capitalized as intangible assets where they meet certain criteria and amortized over a period not exceeding 15 years.


	(in millions of $)	Amounts	Source based on reference numbers/letters of the balance sheet under the regulatory scope of consolidation
Common Equity Tier 1 capital: instruments and reserves
1	Directly issued qualifying common share capital plus related stock surplus	998.1	(c)
2	Retained earnings**	109.0	(d)
3	Accumulated other comprehensive income (and other reserves)	(124.9)	(e)
6	Common Equity Tier 1 capital before regulatory deductions	982.2
Common Equity Tier 1 capital regulatory adjustments
8	Goodwill (net of related tax liability)	(25.4)	(a)
9	Other intangibles other than mortgage servicing rights (net of related tax liability)	(60.7)	(b)
15	Defined benefit pension fund net assets	(21.8)
26	National specific regulatory adjustments	22.0	(e)
28	Total regulatory adjustments to Common Equity Tier 1	(85.9)
29	Common Equity Tier 1 capital (CET1)	896.3
44	Additional Tier 1 capital (AT1)	—
45	Tier 1 capital (T1= CET1 + AT1)	896.3
Tier 2 capital: instruments and provisions
46	Directly issued qualifying Tier 2 instruments plus related stock surplus	175.0

50	Provisions	9.0
58	Tier 2 capital (T2)	184.0
59	Total regulatory capital (TC = T1 + T2)	1,080.3
60	Total risk-weighted assets	5,101.5
Capital ratios and buffers
61	Common Equity Tier 1 (as a percentage of risk-weighted assets)	17.6%
62	Tier 1 (as a percentage of risk-weighted assets)	17.6%
63	Total capital (as a percentage of risk-weighted assets)	21.2%
64	Institution specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets)	5.5%
65	Of which: capital conservation buffer requirement	2.5%
66	Of which: bank-specific countercyclical buffer requirement	—%
67	Of which: higher loss absorbency requirement	3.0%
68	Common Equity Tier 1 (as a percentage of risk-weighted assets) available after meeting the bank's minimum capital requirement.	386.1
Applicable caps on the inclusion of provisions in Tier 2
76	Provisions eligible for inclusion in Tier 2 in respect of exposures subject to standardised approach (prior to application of cap)	9.0
77	Cap on inclusion of provisions in Tier 2 under standardised approach	63.8


(in millions of $)	Balance sheet as at December 31, 2021	Under regulatory scope of consolidation as at December 31, 2021	Reference
Assets
Cash due from banks	2,179.8	2,179.8
Securities purchased under agreement to resell	96.1	96.1
Short-term investments	1,198.9	1,198.9
Investment in securities	6,237.3	6,237.3
Loans, net of allowance for credit losses	5,240.7	5,248.6
Premises, equipment and computer software	138.7	138.7
Goodwill	25.4	—	(a)
Intangible assets	60.8	—	(b)
Equity method investments	12.6	12.6
Other real estate owned	0.7	0.7
Other assets	144.3	125.1
Total assets	15,335.2	15,237.8
Liabilities
Total deposits	13,870.2	13,772.8
Employee benefit plans	126.2	126.2
Other liabilities	189.4	189.4
Long-term debt	171.9	171.9
Total liabilities	14,357.7	14,260.3
Shareholders' equity
Paid-in share capital	1,018.1	1,018.1
Of which: amount eligible for CET1	1,018.1	1,018.1	(c)
Retained earnings	104.3	104.3	(d)
Treasury common shares	(20.1)	(20.1)	(c)
Accumulated other comprehensive loss	(124.9)	(124.9)	(e)
Total shareholders' equity	977.5	977.5
Total liabilities and shareholders' equity	15,335.2	15,237.8


	a	b	c	d	e	f	g
(in millions of $)	Balance sheet as at December 31, 2021	Under regulatory scope of consolidation as at December 31, 2021	Carrying values of items:
			Subject to credit risk framework	Subject to counterparty credit risk framework	Subject to the securitization framework	Subject to market risk framework	Not subject to capital requirements or subject to deduction from capital
Assets
Cash due from banks	2,179.8	2,179.8	2,179.8	—	—	—	—
Securities purchased under agreement to resell	96.1	96.1	96.1	—	—	—	—
Short-term investments	1,198.9	1,198.9	1,198.9	—	—	—	—
Investment in securities	6,237.3	6,237.3	1,113.6	—	5,123.7	—	—
Loans, net of allowance for credit losses	5,240.7	5,248.6	5,248.6	—	—	—	(7.9)
Premises, equipment and computer software	138.7	138.7	138.7	—	—	—	—
Goodwill	25.4	—	—	—	—	—	25.4
Intangible assets	60.8	—	—	—	—	—	60.8
Equity method investments	12.6	12.6	12.6	—	—	—	—
Other real estate owned	0.7	0.7	0.7	—	—	—	—
Other assets	144.3	125.1	125.1	—	—	—	19.2
Total assets	15,335.2	15,237.8	10,114.1	—	5,123.7	—	97.4
Liabilities
Total deposits	13,870.2	13,870.2	—	—	—	—	13,870.2
Employee benefit plans	126.2	126.2	—	—	—	—	126.2
Other liabilities	189.4	189.4	—	—	—	—	189.4
Long-term debt	171.9	171.9	—	—	—	—	171.9
Total liabilities	14,357.7	14,357.7	—	—	—	—	14,357.7


		a	b	c	d	e
	(in millions of $)	Total	Items subject to:
			Credit risk framework	Securitization framework	Counterparty credit risk framework	Market risk framework
1	Asset carrying value amount under scope of regulatory consolidation (as per template LI1)	15,237.8	15,237.8	—	—	—
2	Liabilities carrying value amount under regulatory scope of consolidation (as per template LI1)	—	—	—	—	—
3	Total net amount under regulatory scope of consolidation	15,237.8	15,237.8	—	—	—
4	Off-balance sheet amounts	1,298.3	1,298.3	—	—	—




9	Exposure amounts considered for regulatory purposes	16,536.1	16,536.1	—	—	—


		a	b	c
		RWA		Minimum capital requirements
	(in millions of $)	Dec 31, 2021	Sep 30, 2021	Dec 31, 2021
1	Credit risk (excluding counterparty credit risk) (CCR)	3,425.5	3,501.2	274.0
2	Of which standardised approach (SA)	3,425.5	3,501.2	274.0





12	Securitization exposures in banking book	799.6	804.9	64.0


15	Of which SA/simplified supervisory formula approach (SSFA)	799.6	804.9	64.0



19	Operational risk	867.9	867.9	69.4

21	Of which Standardised Approach	867.9	867.9	69.4

23	Amounts below the thresholds for deduction (subject to 250% risk weight)	8.6	11.1	0.7

25	Total	5,101.5	5,185.1	408.1


	(in millions of $)	December 31, 2021	September 30, 2021
1	Total consolidated assets as per published financial statements	15,335.2	15,332.2

3	Adjustment for fiduciary assets recognised on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure	(77.1)	(78.0)
4	Adjustments for derivative financial instruments	54.8	55.0

6	Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures)	608.7	628.8

8	Leverage ratio exposure	15,921.6	15,938.0


	(in millions of $)	December 31, 2021	September 30, 2021
On-balance sheet exposures
1	On-balance sheet items (excluding derivatives and SFTs, but including collateral)	15,335.2	15,332.2
2	(Asset amounts deducted in determining Basel III Tier 1 capital)	(77.1)	(78.0)
3	Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of lines 1 and 2)	15,258.1	15,254.2
Derivative exposures
4	Replacement cost associated with all derivatives transactions (ie net of eligible cash variation margin)	18.0	20.6
5	Add-on amounts for PFE associated with all derivatives transactions	21.2	18.7



9	Adjusted effective notional amount of written credit derivatives	15.7	15.7

11	Total derivative exposures (sum of lines 4 to 10)	54.8	55.0






Other off-balance sheet exposures
17	Off-balance sheet exposure at gross notional amount	1,243.5	1,299.4
18	(Adjustments for conversion to credit equivalent amounts)	(634.8)	(670.6)
19	Off-balance sheet items (sum of lines 17 and 18)	608.7	628.8
Capital and total exposures
20	Tier 1 capital	896.3	875.9
21	Total exposures (sum of lines 3, 11, 16 and 19)	15,921.6	15,938.0
Leverage ratio
22	Basel III leverage ratio	5.6%	5.5%

Credit risk is defined as the risk that unexpected losses arise as a result of the Group's borrowers or market counterparties failing to meet their obligations to repay. Credit risk is managed through the jurisdictional CRM departments. CRM provides a system of checks and balances for our diverse credit-related activities by establishing and monitoring all credit-related policies and practices throughout the Group and assuring their uniform application. These activities are designed to diversify credit exposure on an industry and client basis, thus lessening overall credit risk. These credit management activities also apply to our use of derivative financial instruments, including foreign exchange contracts and interest rate risk management instruments, which are used primarily to facilitate client transactions.

Individual credit authority for commercial and other loans is limited to specified amounts and maturities. Credit decisions involving commitment exposure in excess of the specified individual limits are submitted to CRM and then to the GCC, which provides a forum for ongoing review of loan activity, establishing our credit guidelines and policies and approving selected credit transactions in accordance with our business objectives. The committee reviews large credit exposures, establishes and reviews credit strategy and policy and approves selected credit transactions. The FIC manages counterparty risk in respect of (third party) bank counterparties which do not have commercial credit relationships within the Group and also approves country exposure limits.

As part of our ongoing credit granting process, internal ratings are assigned to commercial clients before credit is extended, based on an assessment of creditworthiness. At least annually, a review of all significant credit exposures is undertaken to identify, at an early stage, clients who might be facing financial difficulties. Internal borrower risk ratings are also reviewed during this process, allowing identification of adverse individual borrower and sector trends, accurate application of internal borrower risk ratings which incorporates but not limited to an assessment of climate risk impacting borrower risk ratings.

Additionally, credit risk is mitigated is by requiring collateral. Management's assessment of the borrower's creditworthiness determines whether collateral is obtained. The amount and type of collateral held varies but may include deposits held in financial institutions, mutual funds, US Treasury securities, other marketable securities, income-producing commercial properties, accounts receivable, residential real estate, property, plant and equipment, and inventory. Values of variable collateral are monitored on a regular basis to ensure that they are maintained at an appropriate level, which includes but is not limited to an assessment of the climate risk impact on the value of the collateral.

For residential mortgages, a combination of lending policy criteria, lending guidelines and underwriting are used to make a decision on applications for credit. The primary factors considered are affordability, residential status, residential history, credit history, employment history, nature of income and LTV of the residential property. In addition, confirmation of a borrower's identity is obtained and an assessment of the value of the collateral carried out prior to granting a credit facility. When considering applications the primary focus is placed on the willingness and ability to repay.

For other retail lending products, similar lending policy criteria are used, and each of these products has its own policy and underwriting guidelines to enable decisions on applications for credit and to manage accounts. The factors used are attuned to the lending product in question, although affordability and credit history are considered in all cases. Ongoing monitoring of all retail and private banking credit is undertaken by the business unit concerned as well as by CRM. In addition, the GCC reviews reports on a weekly basis. In the event that particular exposures show adverse features such as arrears, the Bank's specialist recovery teams generally work with borrowers to resolve the situation.

Consideration is also given to risk mitigation measures which will provide the Group with protection, such as third-party guarantees, supporting collateral and security, legal documentation and financial covenants. Commercial portfolio asset quality monitoring is based upon a number of measures, including the monitoring of financial covenants, cash flows, pricing movements and variable collateral. In the event that particular exposures begin to show adverse features such as payment arrears, covenant breaches or business trading losses, a full risk reassessment is undertaken. Where appropriate, a recovery team will work with the borrower to resolve the situation. If this proves unsuccessful, the case will be subject to intensive monitoring and management procedures designed to maximize debt recovery.

The Group establishes limits for countries and each financial institution where there is an expected exposure. Ongoing asset quality monitoring is undertaken by Treasury and CRM and reports are sent to the FIC, GCC and the GRCC on a monthly basis. Exception reporting takes place against a range of asset quality triggers. Treasury uses a number of risk mitigation techniques including netting and collateralization agreements. Other methods (such as margining and derivatives) are used periodically to mitigate the risk associated with particular transactions or group of transactions.

For its exposure to Treasury credit risk, the Group uses S&P, Fitch and Moody's as external credit assessment institutions as permitted under Basel III for sovereign, financial institutions, asset-backed securities, covered bonds and corporate credit risks. With regard to financial institutions and corporates, the Group's preference for a long-term rating is the senior unsecured rating. However, counterparty ratings and/or short-term deposit or commercial paper ratings are used if this is unavailable. For asset-backed securities, the issue or tranche rating is used.


		Average Exposure	Position at
	(in millions of $)	2021	December 31, 2021
1	Cash	70.2	66.5
2	Claims on Sovereigns	2,539.2	3,091.5
3	Claims on Public Sector Entities	88.2	68.2
4	Claims on Corporates	666.0	559.0
5	Claims on Banks and Securities Firms	1,804.6	1,527.6
6	Securitizations	5,194.9	5,134.3
7	Retail Loans	226.6	222.3
8	Residential Mortgages	3,444.3	3,582.8
9	Commercial Mortgages	703.5	675.7
10	Past Due Loans	72.4	63.3
11	Other Balance Sheet Exposures	268.5	246.6
12	Non-Market Related Off Balance Sheet Credit exposures	628.7	608.7
13	Market Related Off Balance Sheet Credit Exposures	58.0	54.8
14	Total	15,765.2	15,901.3


	(in millions of $)	Bermuda	Cayman	Channel Islands & UK	Other	Total
1	Cash	42.0	24.5	—	—	66.5
2	Claims on Sovereigns	939.1	825.6	1,326.8	—	3,091.5
3	Claims on Public Sector Entities	68.2	—	—	—	68.2
4	Claims on Corporates	384.0	57.0	118.0	—	559.0
5	Claims on Banks and Securities Firms	497.9	535.5	483.3	10.9	1,527.6
6	Securitizations	1,966.4	2,396.3	771.6	—	5,134.3
7	Retail Loans	82.4	101.1	38.8	—	222.3
8	Residential Mortgages	1,029.3	752.8	1,800.7	—	3,582.8
9	Commercial Mortgages	470.8	76.7	128.2	—	675.7
10	Past Due Loans	50.5	0.3	12.5	—	63.3
11	Other Balance Sheet Exposures	126.6	7.9	61.8	50.3	246.6
12	Non-Market Related Off Balance Sheet Credit exposures	191.2	279.6	137.9	—	608.7
13	Market Related Off Balance Sheet Credit Exposures	32.6	6.8	15.4	—	54.8
14	Total	5,881.0	5,064.1	4,895.0	61.2	15,901.3


	(in millions of $)	Up to 12 months	1-5 years	More than 5 years	No specific maturity	Total
1	Cash	66.5	—	—	—	66.5
2	Claims on Sovereigns	1,809.1	954.7	327.7	—	3,091.5
3	Claims on Public Sector Entities	0.3	61.8	6.1	—	68.2
4	Claims on Corporates	256.0	153.5	149.5	—	559.0
5	Claims on Banks and Securities Firms	1,527.6	—	—	—	1,527.6
6	Securitizations	0.3	19.8	5,114.2	—	5,134.3
7	Retail Loans	145.5	54.7	22.1	—	222.3
8	Residential Mortgages	609.9	1,227.9	1,745.0	—	3,582.8
9	Commercial Mortgages	110.4	51.2	514.1	—	675.7
10	Past Due Loans	29.7	5.8	27.8	—	63.3
11	Other Balance Sheet Exposures	—	—	—	246.6	246.6
12	Non-Market Related Off Balance Sheet Credit exposures	608.7	—	—	—	608.7
13	Market Related Off Balance Sheet Credit Exposures	54.8	—	—	—	54.8
14	Total	5,218.8	2,529.4	7,906.5	246.6	15,901.3

On January 1, 2020, the Group adopted Accounting Standards Update 2016-13 Financial Instruments – Credit Losses (Topic 326). Accordingly, from the date of adoption, the Group uses a CECL model which is based on expected losses. The model used by the Group up to December 31, 2019 to estimate credit losses was based on incurred losses. The CECL model is applied by the Group to the measurement of credit losses on financial instruments at amortized cost, including loan receivables and HTM debt securities. The Group also applies the CECL model to certain off-balance sheet credit exposures such as undrawn loan commitments, standby letters of credit, financial guarantees, and other similar instruments. In line with Topic 326, the Group will present credit losses on AFS securities as a valuation allowance rather than as a direct write-down. Changes in expected credit losses are recorded through the respective credit loss allowances on the consolidated balance sheets as well as in the provision for credit losses (or recoveries) in the consolidated statements of operations.

Under the CECL model, the Group collects and maintains attributes as they relate to its financial instruments that are within the scope of CECL including fair value of collateral, expected performance over the lifetime of the instruments and reasonable and supportable assumptions about future economic conditions. The Group's measurement of expected losses takes into account historical loss information and is primarily based on the product of: the respective instrument’s PD, LGD and EAD. For AFS securities, any allowance for credit losses is based on an impairment assessment.


	(in millions of $)	Commercial Loans	Commercial Real Estate Loans	Consumer Loans	Residential Mortgage Loans	Total
1	Neither past due nor impaired	718.5	686.8	212.0	3,501.6	5,118.9
2	Impaired but not delinquent	0.8	1.6	—	62.4	64.8
3	Delinquent:	18.6	4.7	2.8	58.9	85.0
4	30 to 59 Days	0.1	—	0.6	12.6	13.2
5	60 to 89 Days	—	—	0.7	1.5	2.2
6	Over 90 Days	18.6	4.7	1.4	44.8	69.5
7	Total Exposures (1+2+3)	737.9	693.2	214.8	3,622.9	5,268.7
8	Allowances for expected credit losses	(11.1)	(1.2)	(3.0)	(12.8)	(28.1)
9	Net Exposures (7+8)	726.8	692.0	211.7	3,610.1	5,240.7
10	Provision taken (released) during the period	(0.4)	(0.9)	(1.6)	(0.6)	(3.5)

For AFS debt securities in an unrealized loss position, the Group first assesses whether it intends to sell, or it is more likely than not that it will be required to sell the security before recovery of its amortized cost basis. If either of the criteria regarding intent or requirement to sell is met, the security’s amortized cost basis is written down to fair value through income. For debt securities available-for-sale that do not meet the aforementioned criteria, the Group evaluates whether the decline in fair value has resulted from credit losses or other factors. In making this assessment, management considers the extent to which fair value is less than amortized cost, any changes to the rating of the security by a rating agency, and adverse conditions specifically related to the security, among other factors. If this assessment indicates that a credit loss exists, the present value of cash flows expected to be collected from the security are compared to the amortized cost basis of the security. If the present value of cash flows expected to be collected is less than the amortized cost basis, a credit loss exists and an allowance for credit losses is recorded for the credit loss, limited by the amount that the fair value is less than the amortized cost basis. Any impairment that has not been recorded through an allowance for credit losses is recognized in other comprehensive income.

Management estimates the allowance balance using relevant available information, from internal and external sources, relating to past events, current conditions, and reasonable and supportable forecasts. Historical credit loss experience provides the basis for the estimation of expected credit losses. Adjustments to historical loss information are made for differences in the current-loan specific risk characteristics such as differences in underwriting practices, vintage, portfolio mix, delinquency level, term as well as changes in environmental conditions, such as changes in macroeconomic factors and collateral values.

The allowance for credit losses is measured on a collective pool basis when similar risk characteristics exist. The Group has identified the following portfolio segments: Residential mortgages, Consumer loans (including overdrafts), Commercial loans (including overdrafts), Commercial real estate loans and Credit cards. For Loans and overdrafts, Management uses a probability of default and loss-given-default model to estimate the allowance for credit losses, and a loss-rate. Loans that do not share risk characteristics are evaluated on an individual basis. Loans evaluated individually are not also included in the collective evaluation. For Credit cards, Management uses a loss rate to estimate expected credit losses.

The management of concentration risk is addressed in the first instance by the Group's large exposure policy and related credit guidelines, which require that credit facilities to entities that are affiliated through common ownership or management are aggregated for adjudication and reporting purposes. The policy also defines what constitutes a large exposure and the related reporting requirements. The CRM function also undertakes monitoring and assessment of our exposure to concentration risk, reporting the results of these analyses to the GCC, the GRCC and RPCC.

5.7.2 Industry Concentration encompasses the scenario that a risk factor inherent within an industry is tied to an entire portfolio of accounts or investments; e.g., a portfolio made up of a large number of small individual loans where all the counterparties are hotel operators. We believe that due to the nature of the Group's client base our exposure to the property, insurance and fund sectors could be classified as industry concentration, although we believe that geographic and product concentration are the more appropriate risks to measure.

Butterfield operates as a full service bank in Bermuda and Cayman and aims to satisfy the requirements of its customers in these communities through the range of products and services it offers. Accordingly, there is no dependence or concentration on a single product in these markets outside of the residential mortgage portfolios which comprise 68.8% of the Group’s loan book; in Bermuda residential mortgage lending makes up 53.1% of the Bermuda loan book, and loans for many purposes (education, business support, family requirements) may also be in the form of residential mortgages.


		a	b	c	d	e	f
		Exposures before CCF and CRM		Exposures post-CCF and CRM		RWA and RWA Density
		On-balance sheet amount	Off-balance sheet amount	On-balance sheet amount	Off-balance sheet amount	RWA	RWA Density
1	Cash	66.5	—	66.5	—	—	—	%
2	Claims on Sovereigns	3,091.5	—	4,386.6	—	12.4	0.3	%
3	Claims on Public Sector Entities	68.2	—	6.4	—	3.2	50.0	%
4	Claims on Corporates	559.0	—	457.2	—	378.8	82.8	%
5	Claims on Banks and Securities Firms	1,527.6	—	1,527.6	—	341.8	22.4	%
6	Securitizations	5,134.3	—	3,997.9	—	799.6	20.0	%
7	Retail Loans	222.3	—	203.4	—	162.3	79.8	%
8	Residential Mortgages	3,582.8	—	3,582.8	—	1,279.0	35.7	%
9	Commercial Mortgages	675.7	—	675.7	—	675.7	100.0	%
10	Past Due Loans	63.3	—	63.2	—	94.8	150.0	%
11	Other Balance Sheet Exposures	246.6	—	246.6	—	246.6	100.0	%
12	Non-Market Related Off Balance Sheet Credit exposures	—	1,243.5	—	608.7	218.0	35.8	%
13	Market Related Off Balance Sheet Credit Exposures	—	54.8	—	54.8	12.9	23.6	%
14	Total Standardised Approach	15,237.8	1,298.3	15,214.0	663.5	4,225.1	26.6	%


		a	b	c	d	e	f	g	h
	Risk Weight Asset Classes	—%	20%	35%	50%	75%	100%	150%	Total credit exposures amount (post CCF and post-CRM)
1	Cash	66.5	—	—	—	—	—	—	66.5
2	Claims on Sovereigns	4,324.9	61.8	—	—	—	—	—	4,386.6
3	Claims on Public Sector Entities	—	—	—	6.4	—	—	—	6.4
4	Claims on Corporates	—	5.5	—	148.0	—	303.7	—	457.2
5	Claims on Banks and Securities Firms	—	1,406.9	—	120.8	—	—	—	1,527.6
6	Securitizations	—	3,997.9	—	—	—	—	—	3,997.9
7	Retail Loans	—	—	—	—	164.6	38.9	—	203.4
8	Residential Mortgages	—	—	3,520.4	—	62.4	—	—	3,582.8
9	Commercial Mortgages	—	—	—	—	—	675.7	—	675.7
10	Past Due Loans	—	—	—	—	—	—	63.2	63.2
11	Other Balance Sheet Exposures	—	—	—	—	—	246.6	—	246.6
12	Non-Market Related Off Balance Sheet Credit exposures	246.9	93.5	73.7	39.8	4.6	150.2	—	608.7
13	Market Related Off Balance Sheet Credit Exposures	—	50.6	—	2.9	—	1.4	—	54.8
14	Total Standardised Approach	4,638.2	5,616.2	3,594.1	317.8	231.6	1,416.3	63.2	15,877.5

A combination of ratings published by Fitch, Moody’s and S&P are used to derive the external rating to be used under the standardized approach for securitization exposures. In line with the BMA’s Revised Framework for Regulatory Capital Assessment, where two credit assessments by ECAIs are available, the less favorable of the two credit assessments is applied. Where more than two credit assessments are available, the two most favorable credit assessments are used and where the two most favorable assessments are different, the less favorable of the two is applied.


		a	b	c	d	e	h	l	p
		Exposure values (by RW bands)					Exposure values (by regulatory approach)	RWA (by regulatory approach)	Capital charge after cap
		≤ 20% RW	> 20% to 50% RW	> 50% to 100% RW	> 100% to 1250% RW	1250% RW	SA / SSFA	SA / SSFA	SA / SSFA
1	Total exposures	5,134.3	—	—	—	—	5,134.3	799.6	64.0
2	Traditional securitization	5,134.3	—	—	—	—	5,134.3	799.6	64.0
3	Of which securitization	5,134.3	—	—	—	—	5,134.3	799.6	64.0
4	Of which retail underlying	5,134.0	—	—	—	—	5,134.0	799.5	64.0
5	Of which wholesale	0.3	—	—	—	—	0.3	0.1	—

Interest rate risk is our exposure to movements in interest rates. Such risk is a normal part of banking and exposure to it can be an important source of profitability and shareholder value. However, where risk is excessive, the threat to earnings and capital can be significant. Changes in interest rates affect earnings by changing net income as well as the level of other interest-sensitive income and expenses. Such changes also affect underlying value of assets, liabilities and off balance-sheet instruments, and hence the economic value of the Group, since the present value of future cash flows changes as interest rates shift. With respect to investments, this risk only arises in the banking book, as the Group does not run a trading book.

According to the BMA “an institution’s trading book consists of positions in financial instrument and commodities held either with the intention of trading or in order to hedge other elements of the banking book. Positions not assigned to the trading book fall into the banking book.” Further, “each licensed institution must agree a trading book policy statement with the Authority. This includes the case of institutions seeking exemption from the detailed market risk calculation since exemption is dependent on receipt by the Authority of such a statement.” As such, the Group has submitted a policy statement to the BMA which declares the activities of the Group as non-trading.

The principal objective of our interest rate risk management is to maximize profit potential while minimizing exposure to changes in interest rates. Our actions in this regard are taken under the guidance of GALCO. The committee is actively involved in formulating the economic assumptions that we use in our financial planning and budgeting processes and establishes policies which control and monitor the sources, uses and pricing of funds. From time to time, we utilize hedging techniques to reduce interest rate risk. GALCO uses interest income simulation and economic value of equity analysis to measure inherent risk in our balance sheet at specific points in time.

Subsequent to the calculation of the above interest rate shock scenarios for the year-end 2020, long-term rates have increased and almost reached pre-Covid levels. In 2021, the NII remained challenged by low interest rates specially impacting reinvestment rates. The balance sheet has also grown significantly since the last quarter of the year 2020 (~+$2 billion from the end of Q3 2020) primarily as a consequence of an increase in deposits. The balance sheet still remains very asset-sensitive and anticipated rate hikes by Central Banks should improve the NII in 2022.

The Group holds various non-Bermuda Dollar (“BMD”) denominated assets and liabilities and maintains investments in subsidiaries whose domestic currency is either not the BMD or their domestic currency is not pegged to the U.S. Dollar (“USD”). The domestic currencies of Bermuda, the Cayman Islands and The Bahamas are all pegged to the USD; although that does not mean that will always remain the case. Assets and liabilities denominated in currencies other than BMD or USD are translated to USD at the rates of exchange prevailing at the balance sheet date. The resulting gains or losses are included in foreign exchange revenue in the consolidated statement of operations. Assets and liabilities of subsidiaries outside of Bermuda are translated at the rate of exchange prevailing on the balance sheet date while associated revenues and expenses are translated to USD at the average rate of exchange prevailing through the accounting period. Unrealized translation gains or losses on investments in foreign currency based subsidiaries are recorded as a separate component of shareholders’ equity within accumulated other comprehensive loss. Such gains or losses are recorded in the consolidated statement of operations only when realized. Our foreign currency subsidiaries may give rise to significant foreign currency translation movements against the BMD. We also provide foreign exchange services to our clients, principally in connection with our community banking and wealth management businesses, and effect other transactions in non-BMD currencies. Foreign currency volatility and fluctuations in exchange rates may impact the value of non-BMD denominated assets and liabilities and raise the potential for losses resulting from foreign currency trading positions where aggregate obligations to purchase and sell a currency other than BMD or USD do not offset one another, or offset each other in different time periods. If the policies and procedures we have in place to assess and mitigate potential impacts of foreign exchange volatility are not followed, or are not effective to mitigate such risks, our results and earnings may be negatively affected.

Liquidity is monitored and managed at each banking jurisdictional level and on a group-wide basis. The Group treasury functions, located in Bermuda, Cayman Islands, Guernsey, Jersey and the United Kingdom, manage day-to-day liquidity. The Group Market Risk function has the responsibility for measuring and reporting to senior management on liquidity risk positions. Liquidity is managed based on demand, commitments, specific events and uncertainties to meet current and future financial obligations of a short-term nature. The objective in managing liquidity is to respond to the needs of depositors and borrowers as well as to earnings enhancement opportunities in a changing marketplace. Management is responsible for establishing and monitoring liquidity targets as well as strategies to meet these targets. The Group adopts a cautious liquidity risk appetite with internal quantitative liquidity risk tolerances more stringent than regulatory requirements. Specifically the Group manages liquidity against internal limits established by the Market Risk Management Policy and its related Liquidity Risk Standard and quarterly stress testing methodology.

There is no central bank in Bermuda and thus there is no ‘lender of last resort’, and neither does the Group have committed standby facilities in its favor. The Group does have access to funding from the inter-bank market on an uncommitted basis and also have put in place formalized but uncommitted repurchase and collateralized facilities with counterparties which enable it to access funding on a secured basis. However, in a financial crisis, access to some of these liquidity sources may be restricted or the Group may not be able to access them at all. Another source of liquidity for the Group is the ability to draw funding from capital markets globally. The availability and cost of these funds are influenced, in part, by the Group's credit rating; as a result, a downgrade in the Group's credit ratings could have an adverse impact on its liquidity funding and the cost thereof. Similarly, a downgrade in Bermuda’s sovereign credit rating could also adversely affect the Group's ability to access liquidity.


		a	b
	(in millions of $)	Total unweighted value (average)	Total weighted value (average)
High-quality liquid assets
1	Total HQLA		6,651.8
Cash outflows
2	Retail deposits and deposits from small business customers, of which:	2,718.6	286.3
3	Stable deposits	—	—
4	Less stable deposits	2,718.6	286.3
5	Unsecured wholesale funding, of which:	8,618.9	6,802.5
6	Operational deposits (all counterparties) and deposits in networks of cooperative banks	452.1	113.0
7	Non-operational deposits (all counterparties)	8,166.0	6,688.7
8	Unsecured debt	0.8	0.8
9	Secured wholesale funding	—	0.5
10	Additional requirements, of which:	757.8	179.0
11	Outflows related to derivative exposures and other collateral requirements	22.5	22.5
12	Outflows related to loss of funding of debt products	—	—
13	Credit and liquidity facilities	735.3	156.4
14	Other contractual funding obligations	—	—
15	Other contingent funding obligations	143.0	7.1
16	TOTAL CASH OUTFLOWS		7,275.4
Cash inflows
17	Secured lending (eg reverse repo)	608.4	413.6
18	Inflows from fully performing exposures	1,458.9	1,405.8
19	Other cash inflows	—	—
20	TOTAL CASH INFLOWS	2,067.3	1,819.4
			Total adjusted value
21	Total HQLA		6,651.8
22	Total net cash outflows		5,456.0
23	Liquidity coverage ratio (%)		122%


		a	b	c	d	e
		Unweighted value by residual maturity				Weighted value
	(in millions of $)	No maturity*	<6 months	6 months to <1 year	≥1 year
Available stable funding (ASF) item
1	Capital:	—	—	—	1,172.9	1,172.9
2	Regulatory capital	—	—	—	997.9	997.9
3	Other capital instruments	—	—	—	175.0	175.0
4	Retail deposits and deposits from small business customers:	3,022.1	313.8	142.1	55.1	3,185.3
5	Stable deposits	—	—	—	—	—
6	Less stable deposits	3,022.1	313.8	142.1	55.1	3,185.3
7	Wholesale funding:	5,625.9	4,395.3	302.9	8.8	1,556.8
8	Operational deposits	—	451.1	—	—	225.5
9	Other wholesale funding	5,625.9	3,944.2	302.9	8.8	1,331.3
10	Liabilities with matching interdependent assets	—	—	—	—	—
11	Other liabilities:	—	280.9	3.9	32.3	34.2
12	NSFR derivative liabilities	—	3.6	—	—	—
13	All other liabilities and equity not included in the above categories	—	277.2	3.9	32.3	34.2
14	Total ASF	—	—	—	—	5,949.2
Required stable funding (RSF) item
15	Total NSFR high-quality liquid assets (HQLA)					786.2
16	Deposits held at other financial institutions for operational purposes	33.8	—	—	—	33.8
17	Performing loans and securities:	0.2	1,678.7	597.3	4,082.4	3,685.6
18	Performing loans to financial institutions secured by Level 1 HQLA	—	—	—	—	—
19	Performing loans to financial institutions secured by non-Level 1 HQLA and unsecured performing loans to financial institutions	—	1,127.0	—	—	169.0
20	Performing loans to non-financial corporate clients, loans to retail and small business customers, and loans to sovereigns, central banks and PSEs, of which:	—	229.8	307.2	1,593.1	1,579.4
21	With a risk weight of less than or equal to 35% under the Basel II standardised approach for credit risk	—	—	—	—	—
22	Performing residential mortgages, of which:	—	321.9	290.1	2,424.4	1,881.9
23	With a risk weight of less than or equal to 35% under the Basel II standardised approach for credit risk	—	321.9	290.1	2,424.4	1,881.9
24	Securities that are not in default and do not qualify as HQLA, including exchange-traded equities	0.2	—	—	64.9	55.3
25	Assets with matching interdependent liabilities	—	—	—	—	—
26	Other liabilities:	—	417.4	1.1	26.5	420.9
27	Physical traded commodities, including gold	—				—
28	Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs		—	—	—	—
29	NSFR derivative assets		11.7	—	—	10.9
30	NSFR derivative liabilities before deduction of variation margin posted		3.6	—	—	0.7
31	All other assets not included in the above categories	—	402.1	1.1	26.5	409.3
32	Off-balance sheet items		—	—	1,271.5	38.1
33	Total RSF					4,964.6
34	Net Stable Funding Ratio (%)					120%

The Group views the management of operational risk as integral to its objective of creating and maintaining shareholder value. Risk management requires the consideration of the risk/reward relationship in both the management of existing activities and the execution of all new business strategies. Our success is also dependent, in part, upon maintaining our reputation as a well-managed institution with shareholders, existing and prospective clients, creditors, and regulators. In order to maintain this reputation, we seek to minimize the frequency and severity of operational losses associated with compliance and fiduciary matters, product, process, technology failures, and business continuity.

Certain of the statements made in this document are forward-looking statements within the meaning of the U.S. Private Securities Litigation Reform Act of 1995. Forward-looking statements include statements with respect to our beliefs, plans, objectives, goals, expectations, anticipations, assumptions estimates, intentions, and future performance, including, without limitation, our dividend payout target, and involve known and unknown risks, uncertainties and other factors, which may be beyond our control, and which may cause the actual results, performance, capital, ownership or achievements of Butterfield to be materially different from future results, performance or achievements expressed or implied by such forward-looking statements due to a variety of factors, including worldwide economic conditions and fluctuations of interest rates, a decline in Bermuda’s sovereign credit rating, the successful completion and integration of acquisitions or the realization of the anticipated benefits of such acquisitions in the expected time-frames or at all, success in business retention and obtaining new business, the impact of the COVID-19 pandemic, the scope and duration of the pandemic, actions taken by governmental authorities in response to the pandemic, the eventual timing and duration of economic stabilization and recovery from the pandemic and other factors. Forward-looking statements can be identified by words such as "anticipate," "assume," "believe," "estimate," "expect," "indicate," "intend," "may," "plan," "point to," "predict," "project," "seek," "target," "potential," "will," "would," "could," "should," "continue," "contemplate" and other similar expressions, although not all forward-looking statements contain these identifying words. All statements other than statements of historical fact are statements that could be forward-looking statements.

All forward-looking statements in this disclosure are expressly qualified in their entirety by this cautionary notice, including, without limitation, those risks and uncertainties described in our Securities and Exchange Commission (“SEC”) reports and filings. Such reports are available upon request from Butterfield, or from the SEC, including through the SEC’s website at https://www.sec.gov. Any forward-looking statements made by Butterfield are current views as at the date they are made. Except as otherwise required by law, Butterfield assumes no obligation and does not undertake to review, update, revise or correct any of the forward-looking statements included in this disclosure, whether as a result of new information, future events or other developments. You are cautioned not to place undue reliance on the forward-looking statements made by Butterfield in this disclosure. Comparisons of results for current and any prior periods are not intended to express any future trends or indications of future performance, and should only be viewed as historical data.


Date: March 1, 2022	THE BANK OF N.T. BUTTERFIELD & SON LIMITED


	By:	/s/ Shaun Morris
	Name:	Shaun Morris
	Title:	General Counsel and Group Chief Legal Officer


Exhibit						Description

99.1						Pillar III filing - December 31, 2021


		a	b	c	d	e	g
		Gross carrying values of		Allowances / impairments	Of which ECL accounting provisions for credit losses on SA exposures		Net values (a+b-c)
	(in millions of $)	Defaulted exposures	Non-defaulted exposures		Allocated in regulatory category or Specific	Allocated in regulatory category or General
1	Loans	61.0	5,207.7	28.1	19.1	9.0	5,240.7
2	Debt securities	—	2,889.5	—			2,889.5
3	Off-balance sheet exposures	—	1,031.1	0.6	0.6		1,030.5
4	Total	61.0	9,128.3	28.6	19.6	9.0	9,160.7


	(in millions of $)	Total
1	Defaulted loans and debt securities at end of the previous reporting period	66.1
2	Loans and debt securities that have defaulted since the last reporting period	5.8
3	Returned to non-defaulted status	5.0
4	Amounts written off	5.7
5	Other changes	(0.2)
6	Defaulted loans and debt securities at end of the reporting period (1+2-3-4±5)	61.0


Life insurance policies	Credit balances	Assignments
Shares	Guarantees	Equitable charges
Debentures	Chattel mortgages	Charges over residential property


	(in millions of $)	Gross Carrying Values of Impaired exposures	Allowances / impairments	Write offs in the year
1	Bermuda	111.0	18.8	5.7
2	Cayman	5.2	0.1	—
3	Guernsey	7.7	2.1	—
4	Total	123.9	21.0	5.7


		a	b	c	d	e	f	g
		Exposures unsecured: carrying amount	Exposures secured by collateral	Exposures secured by collateral, of which: secured amount	Exposures secured by financial guarantees	Exposures secured by financial guarantees, of which: secured amount	Exposures secured by credit derivatives	Exposures secured by credit derivatives, of which: secured amount
1	Loans	268.3	4,972.3	4,972.3	—	—	—	—
2	Debt securities	2,889.5	—	—	—	—	—	—
3	Total	3,157.9	4,972.3	4,972.3	—	—	—	—
4	Of which defaulted	11.4	49.6	49.6


		a	b	c	d	e	f
		Replacement cost	Potential Future Exposure	EEPE	Alpha used for computing regulatory EAD 1	EAD post-CRM	RWA
1	SA-CCR (for derivatives)	18.0	21.2		1.4	54.8	12.9




6	Total	18.0	21.2	—	—	54.8	12.9


		a	b
		EAD (post-CRM)	RWA










11	Exposures to non-QCCPs (total	54.8	12.9
12	Exposures for trades at non-QCCPs (excluding initial margin and default fund contribution); of which:	54.8	12.9
13	(i) OTC derivatives	54.8	12.9


	(in millions of $)	Carrying Value
1	Retail	5,123.4
2	Of which residential mortgages	5,110.3
3	Of which other retail exposures	13.2
4	Wholesale	0.2
5	Of which commercial mortgages	0.2
6	Total	5,123.7


	∆EVE		∆NII
(in millions of $)	Dec 31, 2021	Dec 31, 2020	Dec 31, 2021	Dec 31, 2020
Parallel up	(86.9)	98.1	60.8	70.5
Parallel down	112.6	315.6	75.4	69.9
Steepener	(31.4)	122.3
Flattener	7.6	(25.9)
Short rate up	29.6	67.9
Short rate down	131.5	180.3
Maximum	131.5	315.6	75.4	70.5
	December 31, 2021		Dec 31, 2020
Tier 1 capital	896.3		816.0