Commission Implementing Regulation (EU) 2026/1872 amending Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and instructions for Article 78(2) of Directive 2013/36/EU

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Commission Implementing Regulation (EU) 2026/1872 of 29 July 2026 amending the implementing technical standards laid down in Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions to be applied in the Union for the reporting referred to in Article 78(2) of Directive 2013/36 /EU of the European Parliament and of the Council

C/2026/5110

OJ L, 2026/1872, 12.8.2026, ELI: http://data.europa.eu/eli/reg_impl/2026/1872/oj (BG, ES, CS, DA, DE, ET, EL, EN, FR, GA, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)

Date of entry into force unknown (pending notification) or not yet in force., Date of effect: 01/09/2026

ELI: http://data.europa.eu/eli/reg_impl/2026/1872/oj

Language 1

Language 2

Language 3

Official Journal of the European Union

L series

2026/1872

12.8.2026

COMMISSION IMPLEMENTING REGULATION (EU) 2026/1872

of 29 July 2026

amending the implementing technical standards laid down in Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions to be applied in the Union for the reporting referred to in Article 78(2) of Directive 2013/36 /EU of the European Parliament and of the Council

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC ( 1 ) , and in particular Article 78(8), fourth subparagraph thereof,

Whereas:

(1)

Directive (EU) 2024/1619 of the European Parliament and of the Council ( 2 ) amended Directive 2013/36/EU, inter alia, to introduce into that Directive requirements concerning ESG risks and to amend the supervisory benchmarking requirements. Those amendments should be reflected in Commission Implementing Regulation (EU) 2016/2070 ( 3 ) .

(2)

Commission Delegated Regulation (EU) 2025/1496 ( 4 ) amended Article 520a of Regulation (EU) No 575/2013 of the European Parliament and of the Council ( 5 ) to defer the application of the Fundamental Review of the Trading Book standards for the calculation of own funds requirements for market risk. That amendment has as a consequence that, until 1 January 2027, institutions are required to continue to apply the market risk framework laid down in the version of Regulation (EU) No 575/2013 in force on 8 July 2024. It follows that the scope of application of the benchmarking exercise should temporarily remain limited to institutions that are permitted to use the internal approaches (Internal Model Approach) as referred in Article 78(1), point (a), of Directive 2013/36/EU.

(3)

Moreover, it is opportune that the data collection for institutions using the internal models approach and falling in scope of the exercise for market risk is restricted to the elements of the Alternative Standardised Approach until 1 January 2027. That would substantially reduce the burden for the participating institutions during that period, but still guarantee comparability of annual data collections and ensure the provision of the data considered most useful by the supervisors.

(4)

Commission Implementing Regulation (EU) 2024/3117 ( 6 ) contains the templates for supervisory reporting of the use of the IRB Approach to credit risk. It is therefore appropriate to ensure that for credit risk benchmarking, exposure classes used for determining the benchmarking portfolios are aligned with the breakdown followed by the credit risk IRB templates laid down in that Implementing Regulation

(5)

Implementing Regulation (EU) 2016/2070 should therefore be amended accordingly.

(6)

This Regulation is based on the draft implementing technical standards submitted to the Commission by the EBA.

(7)

The EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits, and requested the advice of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council ( 7 ) ,

HAS ADOPTED THIS REGULATION:

Article 1

Implementing Regulation (EU) 2016/2070 is amended as follows:

(1)

Annex II is replaced by the text in Annex I to this Regulation;

(2)

Annex V is replaced by the text in Annex II to this Regulation;

(3)

Annex VI is replaced by the text in Annex III to this Regulation;

(4)

Annex VII is replaced by the text in Annex IV to this Regulation;

(5)

Annex X is replaced by the text in Annex V to this Regulation.

Article 2

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union .

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 29 July 2026.

For the Commission

The President

Ursula VON DER LEYEN

( 1 )

OJ L 176, 27.6.2013, p. 338 , ELI: http://data.europa.eu/eli/dir/2013/36/oj .

( 2 ) Directive (EU) 2024/1619 of the European Parliament and of the Council of 31 May 2024 amending Directive 2013/36/EU as regards supervisory powers, sanctions, third-country branches, and environmental, social and governance risks ( OJ L, 2024/1619, 19.6.2024, ELI: http://data.europa.eu/eli/dir/2024/1619/oj ).

( 3 ) Commission Implementing Regulation (EU) 2016/2070 of 14 September 2016 laying down implementing technical standards for templates, definitions and IT-solutions to be used by institutions when reporting to the European Banking Authority and to competent authorities in accordance with Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council ( OJ L 328, 2.12.2016, p. 1 , ELI: http://data.europa.eu/eli/reg_impl/2016/2070/oj ).

( 4 ) Commission Delegated Regulation (EU) 2025/1496 of 12 June 2025 amending Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to the date of application of the own funds requirements for market risk ( OJ L, 2025/1496, 19.9.2025, ELI: http://data.europa.eu/eli/reg_del/2025/1496/oj ).

( 5 ) Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and amending Regulation (EU) No 648/2012 ( OJ L 176, 27.6.2013, p. 1 , ELI: http://data.europa.eu/eli/reg/2013/575/oj ).

( 6 ) Commission Implementing Regulation (EU) 2024/3117 of 29 November 2024 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Commission Implementing Regulation (EU) 2021/451 ( OJ L, 2024/3117, 27.12.2024, ELI: http://data.europa.eu/eli/reg_impl/2024/3117/oj ).

( 7 ) Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC ( OJ L 331, 15.12.2010, p. 12 , ELI: http://data.europa.eu/eli/reg/2010/1093/oj ).

ANNEX I

‘

ANNEX II

SUPERVISORY BENCHMARKING PORTFOLIOS

DEFINITION OF THE SUPERVISORY BENCHMARK PORTFOLIOS

C 101.00 –

Definition of Low Default Portfolio counterparties

C 102.00 –

Definition of Low Default Portfolios

The following mapping between the exposure classes and the breakdown of the CR IRB template shall be applied:

C 103.00 –

Definition of High Default Portfolios

The following mapping between the exposure classes and the breakdown of the Credit Risk IRB template shall be applied:

C 104.00 –

Definition of High Default Portfolios for IFRS 9 templates

DEFINITION OF THE SUPERVISORY BENCHMARK PORTFOLIOS

When mapping the exposures of the institutions to the counterparties and the portfolios specified in Annex I, the institution shall use the columns, labels, legal references and instructions provided in this Annex.

Where ‘Not applicable’ is used in Annex I, no specific split shall be required for the variable it relates to.

C 101.00 –

Definition of Low Default Portfolio counterparties

Only exposures to the counterparties listed in Annex I, table C 101.00 which are treated under the Foundation IRB approach or under the Advanced IRB approach shall be reported in Annex III, template C 101.00. In Annex VIII, templates C 111.00, C 112.00 and C 113.00, -exposures to counterparties listed in Annex I, table C 101.00 which are treated under the standardised approach shall also be reported. Independent of the regulatory approach, exposures to related entities of the counterparties listed in Annex I, table C 101.00, including subsidiaries and parent companies, shall not be reported.

Column

Label

Legal reference

Instructions

0010

Counterparty code

The code assigned by EBA to each legal entity included in the low default portfolio (‘LDP’) sample.

0020

Legal entity identifier (LEI)

20-digit, alpha-numeric code that connects to key reference information that enables clear and unique identification of companies Cparticipating in global financial markets.

0030

Credit register code

The code used by the national credit register of the place of residence of the counterparty. The code is used as an identifier for the counterparty.

0040

Commercial register code

The code assigned to a counterparty by the public commercial register of the country where that counterparty is registered.

0050

ISIN code

The ‘International Securities Identification Number’ used to identify uniquely securities issued by a counterparty.

0060

Bloomberg ticker

The string of characters or numbers used to identify a company or entity uniquely in Bloomberg.

0070

Name

The name of the legal entity included in the LDP samples.

0080

Geographical area

The country of residence (ISO Code or ‘Other countries’) of the counterparty (0010).

0090

Portfolio name

The sample to which the counterparty (0010) is assigned. It is one of the following:

(a)

Sovereign sample;

(b)

Institutions sample;

(c)

Large corporate sample.

0100

Sector of counterparty

Annex VI, to Commission Implementing Regulation (EU) 2021/451

The relevant economic sector to which the counterparty (0010) is assigned. It is one of the following:

(a)

central banks;

(b)

general governments;

(c)

credit institutions;

(d)

other financial corporations;

(e)

non-financial corporations;

(f)

households;

(g)

not applicable.

The assignment of counterparties to sectors is made in accordance with the instructions in Annex V, Section 1, point 42, of Implementing Regulation (EU) 2021/451 for all counterparties except for the “European Investment Bank”, which shall be assigned to (b) General Governments due to its treatment as multilateral development bank under Article 117(2), point (j), of Regulation (EU) No 575/2013.

0110

Type of exposure

Only exposures other than specialised lending exposures shall be reported in Annex III, template C 101.00.

0120

Type of facility

Not applicable: exposures shall be reported in Annex III, template C 101.00 independently of the type of facility.

0130

Type of risk

Exposures shall be split into parts and assigned to portfolios based on the type of risk:

(a)

counterparty credit risk;

(b)

credit risk and free deliveries;

(c)

credit risk, counterparty credit risk and free deliveries.

0140

Regulatory approach

Exposures to counterparties shall be split into parts and assigned to portfolios based on the regulatory approach used for the calculation of RWEA:

(a)

foundation IRB Approach;

(b)

advanced IRB Approach;

(c)

Standardised Approach.

C 102.00 –

Definition of Low Default Portfolios

Column

Label

Legal reference

Instructions

0010

Portfolio ID

The unique ID assigned to the portfolio by EBA.

0020

Portfolio name

Each portfolio is assigned to one of the following portfolio names:

(a)

sovereign;

(b)

institutions;

(c)

large corporates;

(d)

specialised lending exposures, which comprises all the exposures defined under Article 147(2)(c)(ii) and 147(8) of Regulation (EU) No 575/2013.

0030

Type of risk

The instructions provided for column 0130 of table C 101.00 shall apply.

0040

Regulatory approach

Exposures shall be split into parts and assigned to portfolios based on the regulatory approach used for the calculation of RWEA:

(a)

foundation IRB Approach;

(b)

advanced IRB Approach;

(c)

specialised lending slotting criteria.

0050

Geographical area

Exposures shall be split into parts and assigned to portfolios based on the country of residence (ISO Code or ‘Other countries’) of the obligors.

0060

Rating

Article 153(5) of Regulation (EU) No 575/2013

Exposures shall be split into parts and assigned to portfolios based on the rank of the internal rating applied by the institution from lowest risk to highest risk excluding defaults with a probability of default (‘PD’) corresponding to 100 %. The ranking shall take values from Rating 1, Rating 2 etc.

Template C08.02 of Annex I to the Implementing Commission Regulation (EU) 2024/3117 and related instructions.

Where the reporting institution applies a unique rating system or is able to report in accordance with an internal master scale, that internal master scale shall be used. In all other cases, the different rating systems shall be merged and ordered according to the following instructions:

(a)

obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher;

(b)

where a large number of grades or pools is used, a reduced number of grades or pools to be reported may be agreed with the competent authorities.

For specialised lending exposures risk weighted in accordance with the approach set out in Article 153(5) of Regulation (EU) No 575/2013, the rating split shall be based on the supervisory risk weight category described in Table 1 of that Article, as follows:

(a)

rating 1: category 1 with remaining maturity less than 2,5 years;

(b)

rating 2: category 2 with remaining maturity less than 2,5 years;

(c)

rating 3: category 3 with remaining maturity less than 2,5 years;

(d)

rating 4: category 4 with remaining maturity less than 2,5 years;

(e)

rating 5: category 1 with remaining maturity equal or more than 2,5 years;

(f)

rating 6: category 2 with remaining maturity equal or more than 2,5 years;

(g)

rating 7: category 3 with remaining maturity equal or more than 2,5 years;

(h)

rating 8: category 4 with remaining maturity equal or more than 2,5 years.

The rating scale used for reporting in Annex I, template C 08.02 of Implementing Regulation (EU) 2021/451 shall be used. Where the institution uses a group master scale, that master scale shall be used.

0070

Exposure class

Annex II, Paragraph 76, to Implementing Regulation (EU) 2021/451

Exposures shall be split into parts and assigned to portfolios based on the exposure class:

(a)

central governments and central banks;

(b)

institutions;

(c)

For corporates exposures in Low Default Portfolios:

(c.1)

corporates – general;

(c.2)

corporates – specialised lending exposures;

(e)

not applicable.

The following mapping between the exposure classes and the breakdown of the CR IRB template shall be applied:

(*)

Exposure Class

Code in the Portfolio ID

(a)

central governments and central banks;

GOVT

A.2; B.2

(b)

institutions;

INST

A.3; A.4; A.5; B.3; B.4

(c.1)

corporates – general;

LCOR

A.6.2; A.6.3; B.5.2; B.5.3

(c.2)

corporates – specialised lending exposures;

COSP

A.6.1; B.5.1

(*)

Commission Implementing Regulation (EU) 2024/3117 of 29 November 2024 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Commission Implementing Regulation (EU) 2021/451 (OJ L 2024/3117, 27.12.2024), Annex II: Instructions for reporting on own funds requirements, Part II: Template related instructions, Section 3.3.2

In accordance with Article 147(3a), of Regulation (EU) No 575/2013 exposures to regional governments, local authorities and public sector entities which are treated as exposures to central governments shall be assigned to the exposure class (a) central governments and central banks.

The exposure classes "equity exposures", “exposures in the form of units or shares in a CIU”, "items representing securitisation positions" and “other non-credit obligation assets” referred to in article 147(2), points (e), (ea), (f) and (g) of Regulation (EU) No 575/2013, shall not be reported.

0080

Sector of counterparty

Annex VI, to Implementing Regulation (EU) 2021/451

Exposures shall be split into parts and assigned to portfolios based on the relevant economic sector:

(a)

central banks;

(b)

general governments;

(c)

credit institutions;

(d)

other financial corporations;

(e)

non-financial corporations;

(f)

households;

(g)

not applicable.

The assignment of exposures to sectors is made in accordance with the instructions in Annex V Section 1, point 42, to Implementing Regulation (EU) 2021/451.

0090

Default status

Exposures shall be split into parts and assigned to portfolios based on the default status in accordance with Article 178 of Regulation (EU) No 575/2013:

(a)

defaulted;

(b)

non-defaulted;

(c)

not applicable.

0100

Type of facility

Article 166(8) and (10) of Regulation (EU) No 575/2013

Exposures shall be split into parts and assigned to portfolios based on the type of facility. Where more than one facility type value applies to the credit product, the exposure value shall be split on the basis of the facility type values.

The type of facility is one of the following:

(a)

full risk (100 %);

(b)

note issuance facility and revolving underwriting facility (Medium risk);

(c)

issued warranties and indemnities, guarantees, irrevocable stand-by letters of credit, documentary credit and other medium risk off-balance sheet items (Medium risk), including tender, performance, customs and tax bonds, guarantees, irrevocable standby letters of credit not having the character of credit substitutes and other medium risk off-balance sheet items;

(d)

undrawn committed revolving credit facility (Medium- low risk) including revolving lending commitments that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to a deterioration in a borrower’s creditworthiness;

(e)

undrawn committed term credit facility (Medium-low risk) including term lending commitments that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to a deterioration in a borrower’s creditworthiness;

(f)

undrawn committed other credit facility (Medium-low risk) including lending commitments, other than revolving and term, that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to a deterioration in a borrower’s creditworthiness;

(g)

issued short-term letters of credit and other medium-low risk off-balance sheet items (Medium-low risk);

(h)

undrawn uncommitted credit lines (Low risk) including lending facilities that are undrawn and that may be cancelled unconditionally at any time without notice or that do provide for automatic cancellation due to a deterioration in borrower’s creditworthiness;

(i)

undrawn purchase commitments for revolving purchased receivables and other low-risk off-balance sheet items (Low risk) including commitments that are able to be unconditionally cancelled or that effectively provide for automatic cancellation at any time by the institution without prior notice;

(j)

not applicable.

0110

Collateralisation status

Template C08.01, columns 150 to 220, of Annex I to the Implementing Commission Regulation (EU) 2024/3117 and related instructions.

Exposures shall be split into parts and assigned to portfolios based on the collateralisation status of each part:

(a)

exposures with credit protection;

(b)

exposures without credit protection;

(c)

not applicable.

The part of the exposure with credit protection shall be determined by the value of the collateral after haircuts applied in accordance with Part Three, Title II, Chapter 4, Section 4, of Regulation (EU) No 575/2013 and, where applicable, institutions’ internal guidelines.

0120

Collateral type

Template C08.01, columns 0040 to 0060 and 0150 to 0220, of Annex I to the Implementing Commission Regulation (EU) 2024/3117 and related instructions.

Exposures shall be split into parts and assigned to portfolios based on the collateral type:

(a)

eligible financial collateral (template C 08.01, column 0180);

(b)

other eligible collateral: Receivables (template C 08.01, column 0210);

(c)

other eligible collateral: Residential real estate (template C 08.01 column 0190);

(d)

other eligible collateral: Commercial real estate (template C 08.01, column 0190);

(e)

other eligible collateral: Physical collateral (template C 08.01, column 0200);

(f)

other funded credit protection (template C 08.01, columns 0060 and 0170);

(g)

credit derivatives (template C 08.01, columns 0050 and 0160);

(h)

guarantees (template C 08.01, columns 0040 and 0150);

(i)

not applicable.

The part of the exposure secured by a specific type of collateral shall be determined by the value of that specific type of the collateral after the required haircuts are applied in accordance with Part Three, Title II, Chapter 4, Section 4, of Regulation (EU) No 575/2013 and, where applicable, institutions’ internal guidelines.

0130

Counterparty

Exposures shall be split into parts and assigned to portfolios based on the type of counterparty:

(a)

public sector entities (Article 4 points (1) and (8), of Regulation (EU) No 575/2013);

(b)

counterparties other than public sector entities;

(c)

not applicable.

0140

Size of counterparty

Exposures shall be split into parts and assigned to portfolios based on the size of the counterparty which shall be determined based on the total annual turnover for the consolidated group of which the counterparty is a part:

(a)

<=EUR 50 million;

(b)

EUR 50 million and <=EUR 200 million;

(c)

EUR 200 million;

(d)

EUR 200 million and <=EUR 500 million;

(e)

EUR 500 million;

(f)

not applicable.

The total annual turnover shall be calculated in accordance with the Annex, Article 4, to Commission Recommendation 2003/361/EC and shall refer to the year ending one year before the reporting reference date.

0150

NACE code

Exposures shall be split into parts and assigned to portfolios based on the economic activity of the counterparty determined by the NACE Rev. 2 set out in Regulation (EC) No 1893/2006 * :

(a)

NACE 1: C Manufacturing;

(b)

NACE 2: G Wholesale and retail trade;

(c)

NACE 3: F Construction;

(d)

NACE 4: H Transport and storage;

(e)

NACE 5: D Electricity, gas, steam and air conditioning supply;

(f)

NACE 6: A Agriculture, forestry and fishing;

(g)

NACE 7: L Real estate activities;

(h)

NACE 8: All other exposures than those included in points (a) to (g) above;

(i)

not applicable.

0160

Type of exposure

Article 147(8) of Regulation (EU) No 575/2013

Exposures shall be split into parts and assigned to portfolios based on the type of exposure:

(a)

not applicable;

(b)

specialised lending exposures – project finance;

(c)

specialised lending exposures – income-producing real estate and high-volatility commercial real estate;

(d)

specialised lending exposures – object finance;

(e)

specialised lending exposures – commodities finance;

(f)

eligible covered bonds that meet the requirements of Article 129(1) of Regulation (EU) No 575/2013;

(g)

other exposures than those referred to in (b) to point (f).

0170

Size of exposure

Template C08.01, column 0110, of Annex I to the Implementing Commission Regulation (EU) 2024/3117 and related instructions.

Exposures shall be split into parts and assigned to portfolios based on the size of the exposure expressed in terms of exposure value (i.e. exposure at default (‘EAD’)):

(a)

Not applicable.

0180

Indexed loan-to-value range

Exposures shall be split into parts and assigned to portfolios based on the indexed loan-to-value (‘ILTV’) range which shall be the ratio between the current loan amount and the current value of the property:

(a)

bucket 1:<=55 % if the property is a residential immovable property;

<=60 % if the property is a commercial immovable property;

(b)

bucket 2: > 55 % <=70 % if the property is a residential immovable property;

60 % <=70 % if the property is a commercial immovable property;

(c)

bucket 3: > 70 % <=80 %;

(d)

bucket 4: > 80 % <=90 %;

(e)

bucket 5: > 90 % <= 100 %;

(f)

bucket 6: > 100 % <= 110 %;

(g)

bucket 7: > 110 %;

(h)

not applicable.

The indexed loan-to-value range shall be calculated in a prudent manner and comply with the following requirements:

(a)

total amount of the loan: the outstanding amount of the mortgage loan plus any undrawn committed amount of the mortgage loan (after applying the corresponding credit conversion factor). The loan amount shall be calculated before taking into consideration any specific credit risk adjustments and shall include all other loans (including loans known to the institution that are provided by other financial institutions that are known to the institution) secured with liens of equal or higher ranking on the same residential property with respect to the lien securing the loan. Where there is insufficient information for ascertaining the ranking of the other liens, the institution shall assume that those liens rank pari passu with the lien securing the loan.

(b)

value of the property: the value of the property is the latest independent valuation of the property and converted to a current value using a property price index. The valuation shall be performed in an independent way and by qualified appraisers. Qualifying requirements and minimum appraisal standards shall comply with the following requirements:

(i)

there is an individual assessment of the property and the property is valued in a prudently conservative manner (e.g. excluding expectations of future price appreciations and taking into account any potential for the current property price to be above a level that is sustainable over the life of the loan, for example due to a property price bubble);

(ii)

where a market value can be determined, the valuation is not higher than the market value;

(iii)

the valuation is supported by adequate appraisal documentation.

0190

Balance sheet recognition

Exposures shall be split into parts and assigned to portfolios based on the balance sheet recognition:

(a)

on-balance sheet items;

(b)

off-balance sheet items;

(c)

other;

(d)

not applicable.

Exposures representing securities financing transactions, derivatives and long settlement transactions or contractual cross product netting and which are subject to counterparty credit risk shall be assigned to point (c). Those exposures shall not be reported in points (a) or (b).

C 103.00 –

Definition of High Default Portfolios

Column

Legal reference

Instructions

0010

Portfolio ID

The unique ID assigned by EBA to each portfolio.

0020

Portfolio name

Each portfolio is assigned to one of the following portfolio names:

1.0

CORP

1.1

CORP Defaulted

1.2

CORP Non-Defaulted

2.0

SMEC

2.1

SMEC Defaulted

2.2

SMEC Non-Defaulted

3.0

Other retail SME

3.1

Other retail SME Defaulted

3.2

Other retail SME Non-Defaulted

4.0

Mortgages non SME

4.1

Mortgages non SME Defaulted

4.2

Mortgages non SME Non-defaulted

5.0.

Mortgages SME

5.1

Mortgages SME Defaulted

5.2

Mortgages SME Non-defaulted

6.0

Other retail non-SME

6.1

Other retail non-SME Defaulted

6.2

Other retail non-SME Non-defaulted

7.0

QRRE

7.1

QRRE Defaulted

7.2

QRRE Non-defaulted

0030

Type of risk

The instructions provided for column 0130 of table C 101.00 shall apply.

0040

Regulatory approach

Exposures shall be split into parts and assigned to portfolios based on the regulatory approach used for the calculation of RWEA:

(a)

foundation IRB Approach;

(b)

advanced IRB Approach.

0050

Geographical area

Exposures shall be split into parts and assigned to portfolios based on the country of residence (ISO Code or ‘Other countries’) of the obligors.

For the ‘Retail – SME – secured by real estate’ and ‘Retail – Non-SME – secured by real estate’ portfolios, exposures shall be split into parts based on the location of the collateral.

0060

Rating

The instructions provided for column 0060 of table C 102.00 shall apply.

0070

Exposure class

Exposures shall be split into parts and assigned to portfolios based on the exposure class:

(d)

For corporate exposures in High Default Portfolios:

(d.1)

corporates – SME;

(d.2)

corporates – non SME;

(e)

For retail exposures:

(e.1)

retail – SME;

(e.1.1)

retail – SME – Secured by real estate;

(e.1.2)

retail – SME – Other;

(e.2)

Retail – Non SME;

(e.2.1)

retail – Non SME – Other;

(e.2.2)

retail – Non SME – Secured by real estate;

(e.3.3)

Retail – Qualifying revolving;

(f)

not applicable.

The following mapping between the exposure classes and the breakdown of the Credit Risk IRB template shall be applied:

(*)

Exposure Class

Portfolio Code

(d.1)

corporates – SME;

SMEC

A.6.2; A.6.3; B.5.2; B.5.3

(d.2)

corporates – non SME;

CORP

A.6.2; A.6.3; B.5.2; B.5.3

(e.1.1)

retail – SME – Secured by real estate;

RSMS

B.6.5

(e.1.2)

retail – SME – Other;

SMOT

B.6.7, B.6.3 ()

(e.2.1)

retail – Non SME – Other;

RETO

B.6.8, B.6.3 (*)

(e.2.2)

retail – Non SME – Secured by real estate;

MORT

B.6.6

(e.3.3)

Retail – Qualifying revolving;

RQRR

B.6.2

(*)

Commission Implementing Regulation (EU) 2024/3117 of [29 November 2024] laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Commission Implementing Regulation (EU) 2021/451 (OJ L 2024/3117, 27.12.2024), Annex II: Instructions for reporting on own funds requirements, Part II: Template related instructions, Section 3.3.2

()

Excluding counterparties and their exposures classified as non-SME

(*)

Excluding counterparties and their exposures classified as SME

The exposure classes "equity exposures", “exposures in the form of units or shares in a CIU”, "items representing securitisation positions" and “other non-credit obligation assets” referred to in Article 147(2), points (e), (ea), (f) and (g), of Regulation (EU) No 575/2013, shall not be reported.

0080

Sector of counterparty

The instructions provided for column 0100 of table C 102.00 shall apply.

0090

Default status

The instructions provided for column 0090 of table C 102.00 shall apply.

0100

Type of facility

The instructions provided for column 0120 of table C 102.00 shall apply.

0110

Collateralisation status

The instructions provided for column 0110 of table C 102.00 shall apply.

0120

Collateral type

The instructions provided for column 0120 of table C 102.00 shall apply.

0130

Counterparty

The instructions provided for column 0130 of table C 102.00 shall apply.

0140

Size of counterparty

The instructions provided for column 0140 of table C 102.00 shall apply.

0150

NACE code

The instructions provided for column 0150 of table C 102.00 shall apply.

0160

Type of exposure

The instructions provided for column 0110 of table C 102.00 shall apply.

0170

Size of exposure

The instructions provided for column 0170 of table C 102.00 shall apply.

0180

Indexed loan-to-value range

The instructions provided for column 0180 of table C 102.00 shall apply

0190

Balance sheet recognition

The instructions provided for column 0190 of table C 102.00 shall apply.

0200

Collateralisation status IFRS 9

IFRS 9 B.5.55

Exposures shall be assigned to portfolios based on their collateralisation status, as used for the purpose of the expected credit loss measurement under IFRS 9:

(a)

Collateralised exposures.

This portfolio shall include all those exposures, for which, in accordance with IFRS 9 B5.5.55, the measurement of expected credit losses reflects the cash flows expected from the related collateral and/or other credit enhancements that are part of the contractual terms of the exposure into question and are not recognised separately by the entity. Those exposures that are only partially collateralised shall be reported for their full amount within this portfolio.

(b)

Not-collateralised exposures.

This portfolio shall include all those exposures, for which, the measurement of the related expected credit losses is not affected by the presence of any collateral or any other form of credit enhancements.

(c)

Not applicable.

C 104.00 –

Definition of High Default Portfolios for IFRS 9 templates

Column

Legal reference

Instructions

0010

Portfolio ID

The unique ID assigned by EBA to each portfolio.

0020

Portfolio name

The instructions provided for column 0020 of C 103 shall apply.

0030

Type of risk

The instructions provided for column 0130 of C 101 shall apply.

0040

Regulatory approach

The instructions provided for column 0140 of C 101 shall apply.

0050

Geographical area

The instructions provided for column 0080 of C 101 shall apply.

0060

Rating

The instructions provided for column 0060 of C 102 shall apply.

0070

Exposure class

The instructions provided for column 0070 of C 103 shall apply.

0080

Sector of counterparty

The instructions provided for column 0100 of C 101 shall apply.

0090

Default status

The instructions provided for column 0090 of C 102 shall apply.

0100

Type of facility

The instructions provided for column 0120 of C 101 shall apply.

0110

Collateralisation status

The instructions provided for column 0110 of C 102 shall apply.

0120

Collateral type

The instructions provided for column 0120 of C 102 shall apply.

0130

Counterparty

The instructions provided for column 0130 of C 102 shall apply.

0140

Size of counterparty

The instructions provided for column 0140 of C 102 shall apply.

0150

NACE code

The instructions provided for column 0150 of C 102 shall apply.

0160

Type of exposure

The instructions provided for column 0110 of C 101 shall apply.

0170

Size of exposure

The instructions provided for column 0170 of C 102 shall apply.

0180

Indexed loan-to-value range

The instructions provided for column 0180 of C 102 shall apply

0190

Balance sheet recognition

The instructions provided for column 0190 of C 102 shall apply.

0200

Collateralisation status IFRS 9

IFRS 9 B.5.55

The instructions provided for column 0200 of C 103 shall apply.

’

ANNEX II

‘

ANNEX V

MARKET RISK BENCHMARK INSTRUMENTS AND PORTFOLIOS

Section 1:

Instructions

Section 2:

Instruments

Section 3:

Individual portfolios – Single instrument

Section 4:

Individual portfolios – Multi instruments

Section 5:

Aggregated Portfolios

Section 6:

Additional specifications for instruments

Section 7:

SBM validation portfolios

Section 1:

Instructions

(a)

For the purposes of this Annex, the following shall apply:

(i)

‘Booking date’ means the date and time on which institutions book the transactions for the purposes of the benchmarking exercise;

(ii)

‘Initial Market Valuation (IMV)’ means the marked-to-market value of the instruments referred to in Section 2 of this Annex, at the IMV reference date and time;

(iii)

‘IMV reference date’ means the date and time with reference to which institutions shall determine the IMV of the transactions in the benchmarking portfolio;

(iv)

‘IMV remittance date’ means the date by which institutions shall submit the results of the IMV of the transactions in the benchmarking portfolio;

(v)

‘VaR’ means the Value at Risk;

(vi)

‘sVaR’ means the Stressed Value at Risk;

(vii)

‘IRC’ means the Incremental Risk Charge;

(viii)

‘CTP’ means the Correlation Trading Portfolio;

(ix)

‘APR’ means the All Price Risk calculated in accordance with Article 377(2) of Regulation (EU) No 575/2013;

(x)

‘Risk Measures’, (RM), for Internal Model Approved (IMA) banks, means the value of the VaR, sVaR, and when required IRC and APR for the portfolios, as set out in Section3 to 5 of this Annex, between the RM initial and RM final reference date;

(xi)

‘RM initial reference date’ means the date on which institutions shall start to compute the RM values;

(xii)

‘RM final reference date’ means the date on which institutions shall finish to compute the RM values;

(xiii)

‘RM remittance date’ means the date by which institutions shall submit the results of the RM of the transactions in the benchmarking portfolio;

(xiv)

‘Present Value (PV)’ means the marked-to-market value of the portfolios, set out in Section 3 of this Annex, at the RM final reference date;

(xv)

‘ATM’ means ‘At The Money’ in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative;

(xvi)

‘OTM’ means ‘Out of The Money’ in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative;

(xvii)

‘ITM’ means ‘In The Money’ in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative;

(xviii)

‘long’ means ‘bought’ and ‘short’ means ‘sold’;

(xix)

‘CDS’ means Credit Default Swaps;

(xx)

for CDS, ‘long’ means ‘bought protection’ and ‘short’ means ‘sold protection’;

(xxi)

‘MLN’ means millions;

(xxii)

‘OTC’ means Over-The-Counter;

(xxiii)

‘ASA’ means the alternative standardised approach as referred to in Part Three, Title IV, Chapter 1a, Section 1 of Regulation (EU) No 575/2013;

(xxiv)

‘SBM’ means the Sensitivities-Based Method as referred to in Part Three, Title IV, Chapter 1a, Section 2 of Regulation (EU) No 575/2013;

(xxv)

‘DRC’ means the Default Risk requirement as referred to in Part Three, Title IV, Chapter 1a, Section 5 of Regulation (EU) No 575/2013;

(xxvi)

‘RRAO’ means the Residual Risk Add-On as referred to in Part Three, Title IV, Chapter 1a, Section 4 of Regulation (EU) No 575/2013.

(b)

The following dates shall apply for the ‘benchmarking’ exercise:

(i)

the booking date shall be 19 February 2026;

(ii)

the IMV (and initial SBM) reference date shall be 27 February 2026 (at 5:30 pm CET);

(iii)

the IMV (and initial SBM, and SBM validation) remittance date shall be 13 March 2026;

(iv)

the RM initial reference date shall be 18 May 2026;

(v)

the RM (and final ASA) final reference date shall be 29 May 2026;

(vi)

the RM (and final ASA) remittance date shall be 26 June 2026;

(c)

Unless explicitly specified otherwise in Section 2 of this Annex, all positions shall be booked on the booking date referred to in point (b)(i) of this Section. Once positions have been booked, each portfolio shall age for the duration of the benchmarking exercise and shall be calculated under the assumption that the institution does not take any action to manage the portfolio in any way during the entire period of the benchmarking exercise. Unless explicitly stated otherwise in the specifications for a particular instrument, strike prices for option positions shall be determined relative to prices for the underlying as observed at market close on the booking date.

(d)

For the purposes of the initial market valuation, the valuation of each instrument shall be submitted to the institution’s competent authority by the IMV remittance date. By that date, the institution shall submit an explanatory note accompanying the results, in accordance with point (e). IMV shall be provided in accordance with the institution’s front office valuation, where possible. In case IMVs are not provided by the institution’s front office, the institution shall specify in the explanatory note who is the IMV data source provider.

(e)

The explanatory note that institutions are to submit together with the IMV shall include all of the following for each instrument:

(i)

the risk factors used to calculate the instrument’s IMV;

(ii)

the pricing model used to calculate the instrument’s IMV and a description of this pricing model;

(iii)

available reference data for the instrument in the institution’s own format;

(iv)

the aspects referred to in points (h), (i), (l), (n), (o), (p), (w), (x), (z), and (hh) of this Section;

(v)

institutions approved to use internal models shall also report:

(1)

the risk factors included in the internal model for the instrument;

(2)

the risk factors included in the internal model that are also valuation inputs for the IMV of the instrument;

(3)

the internal model specifics in relation to the instruments.

(f)

For the purposes of point (e), sub point (v), all of the following shall be reported:

(i)

concise internal model descriptions;

(ii)

revaluation methods applied;

(iii)

functional form applied for modelling of returns (such as absolute, relatives, other methods;

(iv)

qualitative information on the time series used to calibrate the VaR model in relation to the instrument (such as source, methodology for normalisation, buckets applied, other information deemed relevant by the institutions to explain the results provided).

(g)

The explanatory note referred to in point (d) shall be updated with each resubmission of any value, reflecting the changes between submissions. The explanatory note shall contain one section which lists all submission dates and the reasons for resubmissions.

(h)

The risks of the positions shall be calculated without taking into account the funding costs. Where applicable, institutions shall use the overnight rate of the instrument currency as the discount rate. Collateral agreement shall be considered in place for the derivatives instruments referred to in Section 2 of this Annex. Where that is not possible, reasons shall be provided in the explanatory note referred to in point (d).

(i)

Counterparty credit risk and credit valuation adjustment (‘CVA’) risk shall not be taken into account in the valuation of the risks of the portfolios. Where that is not possible, reasons shall be provided in the explanatory note referred to in point (d) of this Section. Institutions shall report cases where other typologies of Valuation Adjustments are included in the IMV and explain for each financial instrument the methodology and the impact in the explanatory note referred to in point (d) of this Section.

(j)

For transactions that include long positions in CDS, institutions shall assume an immediate up-front fee is paid to enter the position as per the market standards and conventions. The maturity date for all CDS shall correspond to conventional quarterly termination dates.

(k)

Additional specifications needed in order to carry out pricing calculations required for CDS positions shall be consistent with commonly used market standards and conventions and shall be explained in the explanatory note referred to in point (d) of this Section.

(l)

The maturity date shall ensure that the transaction is closest to the term-to-maturity specified in accordance with market standards and conventions.

(m)

With respect to the details of instruments not referred to in Section 2 of this Annex, institutions shall provide the assumptions that have been used, including the day count convention and the choice for a tradable and liquid instrument, where permitted, along with the results in the explanatory note referred to in point (d) of this Section.

(n)

Institutions that believe that assumptions in addition to those specified in this Section are relevant to the interpretation of the results of its exercise, including close of business timing, coupon rolls, mapping against indices and others, shall submit a description of those assumptions in the explanatory note referred to in point (d) of this Section.

(o)

The explanatory note referred to in point (d) of this Section shall include explanations for risks not captured by the model for the instruments referred to in Section 2 of this Annex.

(p)

All options shall be treated as if they are traded OTC, unless explicitly specified otherwise.

(q)

The standard timing conventions for OTC options shall be followed. The time to maturity for an ‘n-month’ option shall be in n months. Where options expire on a non-trading day, institutions shall adjust the expiration date per business date, in accordance with market standards and conventions.

(r)

All OTC options shall be treated as follows:

(i)

as American for single name equities and commodities;

(ii)

as European for equity indices, foreign exchange and swaptions.

(s)

All OTC options shall be considered ‘naked’ so that the premium shall be excluded from the initial market valuation.

(t)

Regarding the CTPs, institutions that have permission to use the APR model for CTPs shall provide details about their most relevant assumptions, market standards and conventions regarding the CTP instruments referred to in Section 2 of this Annex, including the hedge ratios they have calculated to make the CTP instruments CS01 neutral at the booking date.

(u)

The IMV for each instrument shall be provided in the EBA instrument currency specified in Section 2 of this Annex for that instrument.

(v)

For portfolios composed of one or more instruments denominated in EBA instrument currencies that are different from the EBA portfolio currency, the result shall be converted into the reported EBA portfolio currency using the ECB spot exchange rate of the relevant date. The converted result shall be explained in the explanatory note referred to in point (d) of this Section.

(w)

When booking positions, institutions shall follow appropriate market conventions, unless otherwise specified in these instructions in the Instruments descriptions (Section 2 of this Annex).

(x)

Where an instrument, or the underlying instrument for a derivative, is subject to a corporate action that affects the benchmarking exercise, such as a call from the issuer, a default or similar actions, institutions shall exclude such instrument from the exercise together with any related CDS or option.

(y)

With regard to an index series, ‘on-the-run’ shall refer to the most liquid and tradable series of that index available in the market. Institutions shall explain their choice of ‘on-the-run’ series along with the related results in the accompanying explanatory note referred to in point (d) of this Section.

(z)

Where not specified otherwise, institutions shall apply the EU Benchmarks Regulation for the interest rate in order to book the instruments specified in Section 2 of this Annex. Institutions shall specify the rate applied, apart from the ones specified in Section 2 of this Annex, in the explanatory note referred to in point (d) of these instructions.

(aa)

Risk measures for the portfolios referred to in Section 3 to Section 5 of this Annex, together with the Present Value, shall be computed from the ‘RM initial reference date’ to the ‘RM final reference date’. FRTB ASA Risk measures (SBM, DRC and RRAO) shall be computed for the ‘RM final reference date’. Institutions shall submit the results of those calculations to their competent authority by RM remittance date. IMV and SBM shall be reported for each instrument. Risk measures, SBM, DRC, RRAO and Present Value, where applicable, shall be reported for each portfolio, both individual and aggregated. SBM, DRC and RRAO, where applicable, shall be reported at least for the same portfolios for which risk measures are reported.

(bb)

For the portfolios referred to in Section 7 of this Annex, institutions shall report SBM results and submit them in line with the reporting dates of the IMV submission.

(cc)

Institutions in the scope of the benchmarking exercise shall report solely instruments under internal models for which they have received approval by the supervisors and that are not forbidden to being trade by internal policy decision or trading system limitations.

(dd)

The results for individual and the aggregated portfolios shall be submitted only where the results of all the instruments that are part of them are also being submitted.

(ee)

In Section 2 of this Annex (Instruments), ‘Year T’ shall mean ‘2026’ and Year T + X shall mean 2026 + X, with X as specified in Section 2.

(ff)

In Section 2 of this Annex (Instruments), institutions shall determine the day of expiry/maturity in accordance with the following instructions:

(i)

Where the date is specified, that specific date shall be used;

(ii)

Where no date is specified, market convention, where available, shall be used. If for example there is a market convention that the day of expiry/maturity is the 3rd Friday of the month, then ‘June Year T’ shall mean the 3rd Friday of the month of the year T;

(iii)

At the end of the month, where it is specified ‘End of’, it shall mean the last calendar day in the month;

(iv)

For a fix period of time following the ‘booking date’, if the period is defined as a number of days, it is the last day of the period. If the period is defined in weeks, months or years, it is the same day of the following week, month or year with respect to the booking date, or, if the last month or year of the period is shorter, the last day of that month or year; if the ‘booking date + x period’ is a holiday day, then select the following working day;

(v)

In case it is not specified otherwise the following assumptions shall be used: Day count convention: Act/360, Holiday calendar: Target2.

(gg)

In Section 2 of this Annex (Instruments), for all CDS, unless explicitly specified otherwise, the following requirements shall apply:

(i)

Coupon frequency: Quarterly;

(ii)

Coupon(bps): 100;

(iii)

Day count: ACT/360;

(iv)

ISDA Definitions year: 2014;

(v)

Restructuring clause: Modified-Modified Restructuring (MMR);

(vi)

Maturity: December Year T+4;

(vii)

Debt type: Senior;

(viii)

Tenor: 5 Year;

(ix)

Effective date as booking date;

(x)

The used discount curve and recovery rate shall be indicated in the explanatory note referred to in point (d) of this Annex.

(hh)

The IMV of bond instruments shall include accrued interest.

(ii)

Institutions shall provide the information related to the time of valuation of the PV mentioning the time in the explanatory note referred to in point (e) of this Section. Where possible, valuation of the PV shall be computed at close of business day.

(jj)

The risk measures of the portfolios shall be calculated in the same currency of the portfolio currency, not including any FX Risk, also related to the reporting currency of the institutions. The FX Risk shall be considered only when intrinsically included in the instruments. Where both reporting and portfolio currency results are reported as part of the exercise, for the ASA figures, results calculated in the reporting currency of the institution shall be translated into the EBA portfolio currency by spot conversion using the ECB spot exchange rate associated with the date of the calculation. The translation into the EBA portfolio currency does not imply a change in the FX risk factors.

(kk)

Where Article 325q(7) of Regulation (EU) No 575/2013 (“base currency approach”) applies, when performing SBM calculations and reporting SBM sensitivities, institutions shall consider the FX risk factors resulting from the application of the base currency approach. The reported values shall not be expressed in the chosen base currency but rather in the institutions’ reporting currency by applying spot conversion using the ECB spot exchange rate associated with relevant date.

Section 2:

Instruments

Institutions shall provide IMV, in accordance with the instructions laid down in Section 1 of this Annex, for the following financial instruments, where Institutions shall provide risk measures and the Present Value of the portfolios specified in Section 3 and Section 4:

EQUITY

Long EURO STOXX 50 index (Ticker: FESX) Futures.

Notional: equivalent to the value of the index times 1 000 EUR

Exchange: Eurex

Expiry date: September Year T

EBA instrument currency: EUR

Long 10 000 BAYER (Ticker: BAYN GR) shares.

Exchange: Xetra

EBA instrument currency: EUR

Short Futures BAYER (Ticker: BAYN GR).

Notional: equivalent to the value of 10 000 shares of the underlying asset

Exchange: Eurex

Expiry date: September Year T

EBA instrument currency: EUR

Short Futures, STELLANTIS (Ticker: STLA FP).

Notional: equivalent to the value of 10 000 shares of the underlying asset

Exchange: Euronext

Expiry date: September Year T

EBA instrument currency: EUR

Short Futures, ALLIANZ (Ticker: ALV GR).

Notional: equivalent to the value of 10 000 shares of the underlying asset

Exchange: Eurex

Expiry date: September Year T

EBA instrument currency: EUR

Short Futures BARCLAYS (Ticker: BARC LN).

Notional: equivalent to the value of 10 000 shares of the underlying asset

Exchange: Eurex

Expiry date: September Year T

EBA instrument currency: GBP

Short Futures DEUTSCHE BANK (Ticker: DBK GR).

Notional: equivalent to the value of 10 000 shares of the underlying asset

Exchange: Eurex

Expiry date: September Year T

EBA instrument currency: EUR

Short Futures CRÉDIT AGRICOLE (Ticker: ACA FP).

Notional: equivalent to the value of 10 000 shares of the underlying asset

Exchange: Euronext

Expiry date: September Year T

EBA instrument currency: EUR

Long Call Options. Underlying BAYER (Ticker: BAYN GR), ATM (1 contract = 100 shares).

Notional: equivalent to the value of 10 000 shares of the underlying asset

Expiry date: September Year T

EBA instrument currency: EUR

Short Call Options. Underlying BAYER (Ticker: BAYN GR), ATM (1 contract = 100 shares).

Notional: equivalent to the value of 10 000 shares of the underlying asset

Expiry date: December Year T

EBA instrument currency: EUR

Long Call Options. Underlying PFIZER (Ticker PFE US) 10 % OTM, (1 contract = 100 shares).

Notional: equivalent to the value of 10 000 shares of the underlying asset

Expiry date: September Year T

EBA instrument currency: USD

Long Put Options. Underlying PFIZER (Ticker PFE US) 10 % OTM, (1 contract = 100 shares).

Notional: equivalent to value of 10 000 shares of the underlying asset

Expiry date: September Year T

EBA instrument currency: USD

Long Call Options. Underlying BAYER (Ticker: BAYN GR), 10 % OTM (1 contract = 100 shares).

Notional: equivalent to the value of 10 000 shares of the underlying asset

Expiry date: December Year T

EBA instrument currency: EUR

Short Call Options. Underlying BAYER (Ticker: BAYN GR), 10 % OTM (1 contract = 100 shares).

Notional: equivalent to the value of 10 000 shares of the underlying asset

Expiry date: September Year T

EBA instrument currency: EUR

Long Call Options. Underlying AVIVA (Ticker: AV/LN), 10 % OTM (1 contract = 100 shares).

Notional: equivalent to the value of 10 000 shares of the underlying asset

Expiry date: December Year T

EBA instrument currency: GBP

Long Put Options. Underlying AVIVA (Ticker: AV/LN), 10 % OTM (1 contract = 100 shares).

Notional: equivalent to the value of 10 000 shares of the underlying asset

Expiry date: December Year T

EBA instrument currency: GBP

Short Futures NIKKEI 225 (Ticker NKY).

Notional: equivalent to the value of the index times 20 000 JPY

Exchange: CME

Expiry date: September Year T

EBA instrument currency: JPY

Auto-callable Equity product.

Long position

Booking on ‘Booking date’

Notional amount (‘Capital’): EUR 1 000 000

Underlying: Index EURO STOXX 50 (Ticker: SX5E)

EBA instrument currency: EUR

Maturity: 5 years

Annual Pay-out and annual observation (‘Booking date + 1 year’, ‘Booking date + 2 years’, ‘Booking date + 3 years’, ‘Booking date + 4 years’, ‘Booking date + 5 years’). Pay-out occurs 10 days after reference date.

Coupon: 6 %

Autocall level (‘Initial value’): End of day Booking date + 1 month

Barrier coupon payment 60 % of autocall level

Protection barrier: 55 % of autocall level

—

Capital not guaranteed if the index is below the protection barrier (capital returned on year 5 will be pro-rata where the level is below the protection barrier: for instance, if the SX5E = 40 % of its initial level then the capital returned is 40 %);

—

If SX5E ≥ 60 % (barrier coupon) of initial value at the end of any year, then the coupon paid out is 6 %;

—

If SX5E ≥ 100 % of initial value at the end of any year, then the product is called and the pay-out is the coupon plus the capital (100 %);

—

If SX5E < 60 % (barrier coupon) of initial value at the end of any year, then no coupon is paid;

—

If SX5E < 55 % (protection barrier) of initial value at the end of year 5, then the capital is only paid pro-rata. Else if SX5E>= 55 % (protection barrier) of initial value at the end of year 5, then the capital is fully paid.

Long Call Options. Underlying EURO STOXX 50 index (Ticker: SX5E), ATM.

Notional: equivalent to the value of the index times 1 000 EUR

Expiry date: September Year T

EBA instrument currency: EUR

Long Call Options. Underlying EURO STOXX 600 index (Ticker: SXXP), ATM.

Notional: equivalent to the value of the index times 10 000 EUR

Expiry date: September Year T

EBA instrument currency: EUR

Long VIX Index (CBOE) Futures.

Notional: equivalent to the value of the index times 100 000 USD

Expiry date: September Year T

EBA instrument currency: USD

5-year IRS EUR – Receive fixed rate and pay floating rate.

Fixed leg: receive annually

Floating rate: 6-month EURIBOR, pay semi-annually. Daycount: ACT/360

Notional: EUR 10 000 000

Roll convention and calendar: standard

Effective date as booking date (i.e. the rates to be used shall be those at the market close as of the booking date)

Maturity: Booking date + 5 years

EBA instrument currency: EUR

Two-year EUR swaption on 5-year IRS EUR – pay fixed rate and receive floating rate.

Notional: EUR 10 000 000.

The institution is the seller of the option on the swap. The counterparty of the institution buys the right to enter a swap with the institution; if the counterparty exercises its right, the counterparty shall receive the fixed rate while the institution shall receive the floating rate.

Swaption with maturity of two years (Booking date + 2 years) on IRS defined as follow: Fixed leg – pay annually; Floating rate: 6-month EURIBOR, receive semi-annually; Notional: EUR 10 000 000; Roll convention and calendar: standard; Effective date of the underlying swap: Booking date + 2 years.

Maturity of the underlying swap: Booking date + 7 years

Premium paid at the booking date (Booking date). Cash settled

The strike price is based on the ATM rate of the forward starting swap defined in this instrument

EBA instrument currency: EUR

5-year IRS USD. Receive fixed rate and pay floating rate.

Fixed rate: receive annually

Floating rate: 3-month USD SOFR rate (overnight SOFR, daily compounded), pay quarterly

Notional: USD 1 000 000

Roll convention and calendar: standard

Effective date as booking date (i.e. the rates to be used shall be those at the market close as of the booking date)

Maturity date: Booking date + 5 years

EBA instrument currency: USD

2-year IRS GBP. Receive fixed rate and pay floating rate.

Fixed rate: receive annually

Floating rate: SONIA (overnight) rate compounded and paid quarterly. Daycount: ACT/365

Notional: GBP 10 000 000

Roll convention and calendar: standard

Effective date as booking date (i.e. the rates to be used shall be those at the market close as of the booking date)

Maturity: Booking date + 2 years

EBA instrument currency GBP

Collared 10y floating rate note sold by UBS.

Notional (Principal) Amount: USD 1 000 000.

Floating Rate Notes (the ‘Notes’) are senior unsecured obligations of UBS AG (‘UBS’).

EBA instrument currency USD

—

The Notes shall bear interest at a per annum rate equal to USD 3-Month SOFR (overnight SOFR, daily compounded) plus 1,5 % per annum (the ‘Floating Interest Rate’), subject to a maximum interest rate of 7,5 % per annum (the ‘Interest Rate Cap’) and a minimum interest rate of 2,5 % per annum (the ‘Interest Rate Floor’).

—

Any payment on the Notes, including interest and principal at maturity, shall be subject to the creditworthiness of UBS AG. Institutions are asked to use an appropriate discounting curve, motivating that in the explanatory note.

—

Income: The Notes will pay interest quarterly at a rate equal to the Floating Interest Rate, provided that if on any Coupon Determination Date (i) the Floating Interest Rate is less than the Interest Rate Floor, then the applicable interest rate for the related Interest Period will be equal to the Interest Rate Floor, or (ii) the Floating Interest Rate is greater than the Interest Rate Cap, then the applicable interest rate for the related Interest Period will be equal to the Interest Rate Cap.

Interest Payment Amount

The amount of interest to be paid on the Notes for an Interest Period shall be equal to the product of (a) the principal amount of the Notes, (b) the Applicable Interest Rate for that Interest Period and (c) a fraction, the numerator of which is the number of days in the Interest Period (calculated on the basis of a 360-day year of twelve 30-day months) and the denominator of which is 360.

Trade and Settlement Date

‘Booking date’

Interest Payment Dates

Quarterly, on the Booking date + 3 months, Booking date + 6 months, Booking date + 9 months and Booking date + 1 year, commencing on Booking date + 3 months, during the term of the Notes (subject to adjustments, as described herein).

Maturity Date

Currency

Booking date + 10 years

USD

Day count Basis

30/360

Business Day Convention

Following Unadjusted

Coupon Determination

For each Interest Period, the second London Banking day immediately preceding the relevant Interest Date.

Date

‘London Banking Day’ means any day on which commercial banks are open for general business (including dealings in foreign exchange and foreign currency deposits) in London and on which dealings in U.S. dollars are transacted in the London interbank market.

Long GERMANY GOVT (Inflation) EUR 1 000 000 (ISIN DE0001030583).

Maturity: 15 April 2033

EBA instrument currency: EUR

Short GERMANY GOVT EUR 1 000 000 (ISIN DE0001030708).

Maturity: 15 August 2030

EBA instrument currency: EUR

Long ITALY GOVT (Inflation) EUR 1 000 000 (ISIN IT0005138828).

Maturity: 15 September 2032

EBA instrument currency: EUR

Long ITALY GOVT EUR 1 000 000 (ISIN IT0005340929).

Maturity: 1 December 2028

EBA instrument currency: EUR

Long SPAIN GOVT EUR 1 000 000 (ISIN ES00000127A2).

Maturity: 30 July 2030

EBA instrument currency: EUR

Short FRANCE GOVT EUR 1 000 000 (ISIN FR0012993103).

Maturity: 25 May 2031

EBA instrument currency: EUR

Short GERMANY GOVT EUR 1 000 000 (ISIN DE0001135176).

Maturity: 4 January 2031

EBA instrument currency: EUR

Long UNITED KINGDOM GOVT GBP 1 000 000 (ISIN GB0004893086).

Maturity: 7 June 2032

EBA instrument currency: GBP

Long PORTUGAL GOVT EUR 1 000 000 (ISIN PTOTEXOE0024).

Maturity: 15 June 2029

EBA instrument currency: EUR

Short UNITED STATES GOVT USD 1 000 000 (ISIN US91282CAV37).

Maturity: 15 November 2030

EBA instrument currency USD

Long BRAZIL GOVT (callable) 1 000 000 USD (ISIN US105756BZ27).

Maturity: 13 January 2028

EBA instrument currency: USD

Long MEXICO GOVT (callable) 1 000 000 USD (ISIN US91087BAT70).

Maturity: 19 May 2033

EBA instrument currency USD

10-year IRS EURO – Receive floating rate and pay fixed rate.

Fixed leg: pay annually

Floating rate: 3-month EURIBOR, receive quarterly. Daycount: ACT/360

Notional: EUR 10 000 000

Roll convention and calendar: standard

Effective date as the booking date (i.e. rates to be used are those at the market close on booking date)

Maturity: Booking date + 10 years

EBA instrument currency: EUR

5-year IRS EURO – Receive floating rate and pay fixed rate.

Fixed leg: pay annually

Floating rate: 6-month EURIBOR, receive every 6 months. Daycount: ACT/360

Notional: EUR 10 000 000

Roll convention and calendar: standard

Effective date as the booking date (i.e. rates to be used are those at the market close on booking date)

Maturity: Booking date + 5 years

EBA instrument currency: EUR

5-year Mark to Market (MtM) Cross Currency EUR/USD SWAP. Receive USD and pay EUR.

EUR: 3-month ESTER, pay quarterly compounded with a payment lag of 2 days. Daycount: ACT/360

USD: 3-month SOFR (overnight SOFR, daily compounded), receive quarterly compounded with a payment lag of 2 days. Daycount: ACT/360

Leg 1 – USD: Notional EUR 10 000 000 equivalent adjusted on a quarterly basis

Leg 2 – EUR: Notional EUR 10 000 000

Roll convention and calendar: standard

Effective date as booking date + 6 months

Maturity: Booking date + 5.5 years

EBA instrument currency: EUR

See also Section 6 of this Annex – Instrument additional specifications

10-year IRS EURO – Receive ESTER and pay EURIBOR.

ESTER leg: receive annually. Daycount: ACT/360

EURIBOR leg: 3-month EURIBOR + Basis, pay quarterly. Daycount: ACT/360

Notional: EUR 10 000 000

Roll convention and calendar: standard

Effective date as booking date (i.e. the rates to be used shall be those at the market close as of the booking date)

Maturity: Booking date + 10 years

EBA instrument currency: EUR

Long ITALY GOVT (Inflation) EUR 1 000 000 (ISIN IT0005387052).

Maturity: 15 May 2030

EBA instrument currency: EUR

5-year Zero Coupon Inflation swap EUR – Receive Inflation indexed return and pay fixed rate (r).

Inflation Index: CPI (HICPxT)

Fixed leg (Pay fixed):

Rec Inflation indexed return

Notional: EUR 10 000 000

Base fixing date: Booking date – 3 months

Final Fixing: Booking date + 4 years 9 months

Maturity: Booking date + 5 years

EBA instrument currency: EUR

Two-year EUR swaption on 5-year IRS EUR – receive fixed rate and pay floating rate.

Notional: EUR 10 000 000.

The institution is the seller of the option on the swap. The counterparty of the institution buys the right to enter a swap with the institution; if the counterparty exercises its right, the counterparty shall receive the floating rate while the institution shall receive the fixed rate.

Swaption with maturity of two years (Booking date + 2 years) on IRS defined as follow: Fixed leg- receive annually; Floating rate: 6-month EURIBOR, pay every 6 months; Notional: EUR 10 000 000; Roll convention and calendar: standard; Effective date of the underlying swap: Booking date + 2 years.

Maturity of the underlying swap: Booking date + 7 years

Premium paid at the booking date (Booking date). Cash settled

The strike price is based on the ATM rate of the forward starting swap defined in this instrument+ 100 bps

EBA instrument currency: EUR

6-month USD/EUR forward contract. Cash settled. Long USD – Short EUR; Notional USD 10 000 000; Forward Strike: equal to 100 % of the relevant ECB spot reference rate at the end of the booking date.

EBA instrument currency: EUR

6-month EUR/GBP forward contract. Cash settled. Long EUR – Short GBP; Notional 10 000 000 GBP; Forward Strike: equal to 100 % of the relevant ECB spot reference rate at the end of the booking date.

EBA instrument currency: EUR

Long 10 000 000 USD Cash.

Cash position. To be considered as having intrinsic FX risk as described in paragraph (kk)

EBA instrument currency: EUR

Long EUR/USD Call option (long EUR, short USD). Cash settled. Notional: EUR 10 000 000. Equivalent amount based on EUR/USD ECB reference spot rate as of end of the booking date.

Strike price: 110 % of EUR/USD ECB reference rate as of end of the booking date

Expiry date: Booking date + 1 year

EBA instrument currency: EUR

Long EUR/USD Call Option (long EUR, short USD). Cash settled. Notional: EUR 10 000 000. Equivalent amount based on EUR/USD ECB reference spot rate as of end of the booking date.

Strike price: 90 % of EUR/USD ECB reference rate as of end of the booking date

Expiry date: Booking date + 1 year

EBA instrument currency: EUR

Short EUR/USD Call Option (short EUR, long USD). Cash settled. Notional: EUR 10 000 000. Equivalent amount based on EUR/USD ECB reference spot rate as of end of the booking date.

Strike price: 100 % of EUR/USD ECB reference rate as of end of the booking date

Expiry date: Booking date + 1 year

EBA instrument currency: EUR

Short EUR/GBP Call Option (short EUR, long GBP). Cash settled. Notional: EUR 10 000 000. Equivalent amount based on EUR/GBP ECB reference spot rate as of end of the booking date.

Strike price: 110 % of EUR/GBP ECB reference rate as of end of the booking date

Expiry date: Booking date + 1 year

EBA instrument currency: EUR

Long EUR/JPY Put Option (short EUR, long JPY). Cash settled. Notional: EUR 10 000 000. Equivalent amount based on EUR/JPY ECB reference spot rate as of end of the booking date.

Strike price: 110 % of EUR/JPY ECB reference rate as of end of the booking date

Expiry date: Booking date + 1 year

EBA instrument currency: EUR

Short EUR/AUD Put Option (long EUR, short AUD). Cash settled. Notional: EUR 10 000 000. Equivalent amount based on EUR/AUD ECB reference spot rate as of end of the booking date.

Strike price: 110 % of EUR/AUD ECB reference rate as of end of the booking date

Expiry date: Booking date + 1 year

EBA instrument currency: EUR

6-month EUR/DKK forward contract (long EUR, short DKK). Cash settled; Notional EUR 10 000 000;

Forward Strike: equal to 100 % of the relevant EUR/DKK ECB spot reference rate at the end of the booking date.

EBA instrument currency: EUR

6-month EUR/BRL Non deliverable forward contract (long EUR, short BRL); Notional EUR 10 000 000;

Forward Strike: equal to 100 % of the relevant EUR/BRL ECB spot reference rate at the end of the booking date.

EBA instrument currency: EUR

COMMODITIES

Long 6-month 3 500 troy ounces London Gold Forward (long Gold, short USD). Cash Settled. Strike Price: 6-month end-of-day forward price on the booking date

EBA instrument currency: USD

Short 12-month 3 500 troy ounces London Gold Forward (short Gold, long USD). Cash Settled. Strike Price: 12-month end-of-day forward price on the booking date

EBA instrument currency: USD

Long Call option 30 000 barrels Brent Crude Oil (long Brent Crude Oil, short USD). Cash settled. Strike price: 12- month end-of-day forward price on the booking date. Expiry date: Booking date + 6 months

EBA instrument currency USD

Short Put option 30 000 barrels Brent Crude Oil (long Brent Crude Oil, short USD). Cash settled. Strike price: 12- month end-of-day forward price on the booking date. Expiry date: Booking date + 6 months

EBA instrument currency USD

Long Call option 5 000 troy ounces London Gold (long Gold, short USD). Cash settled. Strike price: 18- month end-of-day forward price on the booking date. Expiry date: Booking date + 18 months

EBA instrument currency: USD

CREDIT SPREAD

Long (i.e. Buy protection) USD 1 000 000 CDS on PORTUGAL.

Restructuring clause: FULL

EBA instrument currency: USD

Long (i.e. Buy protection) USD 1 000 000 CDS on ITALY.

Restructuring clause: FULL

EBA instrument currency: USD

Short (i.e. Sell protection) USD 1 000 000 CDS on SPAIN.

Restructuring clause: FULL

EBA instrument currency: USD

Long (i.e. Buy protection) USD 1 000 000 CDS on MEXICO.

Restructuring clause: FULL

EBA instrument currency: USD

Long (i.e. Buy protection) USD 1 000 000 CDS on BRAZIL.

Restructuring clause: FULL

EBA instrument currency: USD

Long (i.e. Buy protection) USD 1 000 000 CDS on UK.

Restructuring clause: FULL

EBA instrument currency: USD

Short (i.e. Sell protection) EUR 1 000 000 CDS on Telefonica (Ticker TEF SM).

EBA instrument currency: EUR

Long (i.e. Buy protection) EUR 1 000 000 CDS on Telefonica (Ticker TEF SM).

Maturity: December Year T+2

EBA instrument currency: EUR

Short (i.e. Sell protection) EUR 1 000 000 CDS on Aviva (Ticker AV LN).

ISDA Definitions year 2003

EBA instrument currency: EUR

Long (i.e. Buy protection) EUR 1 000 000 CDS on Aviva (Ticker AV LN).

ISDA Definitions year 2003

Maturity: December Year T+2

EBA instrument currency: EUR

Short (i.e. Sell protection) EUR 1 000 000 CDS on Vodafone (Ticker VOD LN).

EBA instrument currency: EUR

Short (i.e. Sell protection) EUR 1 000 000 CDS on ENI SpA (Ticker ENI IM).

EBA instrument currency: EUR

Short (i.e. Sell protection) USD 1 000 000 CDS on Eli Lilly (Ticker LLY US).

Restructuring clause: No restructuring (XR14)

EBA instrument currency: USD

Short (i.e. Sell protection) EUR 1 000 000 CDS on Unilever (Ticker UNA NA).

EBA instrument currency: EUR

Long (i.e. Buy protection) EUR 1 000 000 CDS on Total SA (Ticker FP FP).

EBA instrument currency: EUR

Long (i.e. Buy protection) EUR 1 000 000 CDS on Volkswagen Group (Ticker VOW GR).

EBA instrument currency: EUR

Long position on TURKEY Govt. notes USD 1 000 000 (ISIN US900123CT57).

Maturity: 26 April 2029

EBA instrument currency: USD

Long (i.e. Buy protection) USD 1 000 000 CDS on TURKEY. Effective date as booking date.

Restructuring clause: FULL

EBA instrument currency: USD

Long position on Telefonica notes EUR 1 000 000 (ISIN XS1681521081).

Maturity: 12 January 2028

EBA instrument currency: EUR

Long position on Volkswagen Group notes EUR 1 000 000 (ISIN XS2234567233).

Maturity: 22 September 2028

EBA instrument currency: EUR

Short position Volkswagen Group notes EUR 1 000 000 (ISIN XS1167667283).

Maturity: 16 January 2030

EBA instrument currency: EUR

Long position on Total SA notes EUR 1 000 000 (ISIN XS1856281834).

Maturity: 11 July 2033

EBA instrument currency: EUR

Long AUSTRIA GOVT EUR 1 000 000 (ISIN AT0000A04967).

Maturity: 15 March 2037

EBA instrument currency: EUR

Long (i.e. Buy protection) USD 1 000 000 CDS on AUSTRIA.

Maturity: June Year T+15

EBA instrument currency: USD

Long NETHERLANDS GOVT EUR 1 000 000 (ISIN NL0013552060).

Maturity: 15 January 2040

EBA instrument currency: EUR

Long (i.e. Buy protection) USD 1 000 000 CDS on NETHERLANDS.

Maturity: June Year T+20

EBA instrument currency: USD

Long BELGIUM GOVT EUR 1 000 000 (ISIN BE0000348574).

Maturity: 22 June 2050

EBA instrument currency: EUR

Long (i.e. Buy protection) USD 1 000 000 CDS on BELGIUM.

Maturity: June Year T+30

EBA instrument currency: USD

Long (Buy protection) EUR 10 000 000 CDS on iTraxx Europe index on-the-run series.

Maturity: June Year T+4

EBA instrument currency: EUR

Short Put option. EUR 10 000 000. Underlying iTraxx Europe index on-the-run series (same instrument of 529).

Strike price: ATM

Expiry date: Booking date + 6 months

EBA instrument currency: EUR

Long AXA SA (callable) EUR 1 000 000 (ISIN XS1799611642).

Maturity: 28 May 2049

EBA instrument currency: EUR

Long AT&T Bond (callable) USD 1 000 000 (ISIN US00206RFW79).

Maturity: 15 August 2037

EBA instrument currency: USD

Long BAYER AG (callable) EUR 1 000 000 (ISIN XS2199266268).

Maturity: 06 January 2030

EBA instrument currency: EUR

Long ORANGE SA Bond (callable) EUR 1 000 000 (ISIN FR0013323870).

Maturity: 20 March 2028

EBA instrument currency: EUR

Instruments included in the alternative correlation trading portfolio (ACTP)

Short (i.e. Sell protection) position in iTraxx Europe index on-the-run series.

Attachment point: 3 %

Detachment point: 6 %

Notional: EUR 5 000 000

Maturity: 5 years

EBA instrument currency: EUR

Long (i.e. Buy protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series.

Maturity: June Year T+4

EBA instrument currency: EUR

Notional adj. to fully hedge CS01 of 601 with no re-hedging required

Long (i.e. Buy protection) position in iTraxx Europe index on-the-run series.

Attachment point: 3 %

Detachment point: 6 %

Notional: EUR 5 000 000

Maturity: 5 years

EBA instrument currency: EUR

Short (i.e. Sell protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series.

Maturity: June Year T+4

EBA instrument currency: EUR

Notional adj. to fully hedge CS01 of 603 with no re-hedging required

Short (i.e. Sell protection) position in iTraxx Europe index on-the-run series.

Attachment point: 12 %

Detachment point: 100 %

Notional: EUR 5 000 000

Maturity: 5 years

EBA instrument currency: EUR

Long (i.e. Buy protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series.

Maturity: June Year T+4

EBA instrument currency: EUR

Notional adj. to fully hedge CS01 of 605 with no re-hedging required

Long (i.e. Buy protection) position in iTraxx Europe index on-the-run series.

Attachment point: 12 %

Detachment point: 100 %

Notional: EUR 5 000 000

Maturity: 5 years

EBA instrument currency: EUR

Short (i.e. Sell protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series.

Maturity: June Year T+4

EBA instrument currency: EUR

Notional adj. to fully hedge CS01 of 607 with no re-hedging required

Short (i.e. Sell protection) position in iTraxx Europe index on-the-run series.

Attachment point: 3 %

Detachment point: 6 %

Notional: EUR 5 000 000

Maturity: 5 years

EBA instrument currency: EUR

Recovery rate: 40 % fixed.

Long (i.e. Buy protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series.

Maturity: June Year T+4

EBA instrument currency: EUR

Notional adj. to fully hedge CS01 of 609 with no re-hedging required

Section 3:

Individual portfolios – Single instrument

Institutions shall provide the required risk measures, along with the Present Value, of the following individual portfolios:

Portfolio

Combination of instruments:

The first figure represents the instrument (as referred to in Section 2 of this Annex).

The second figure represents the quantity of each instrument or number of contracts, as applicable.

EBA portfolio currency

IMA Risk measures (VaR, SVaR, and where appropriate IRC and APR) required for the exercise

FRTB ASA Risk measures (SBM, DRC, RRAO) required for the exercise

1001

101 – 1 instrument

EUR

Yes

1002

102– 1 instrument

EUR

Yes

1003

103 – 1 instrument

EUR

Yes

1004

104 – 1 instrument

EUR

Yes

1005

105– 1 instrument

EUR

Yes

1006

106 – 1 instrument

GBP

Yes

1007

107 – 1 instrument

EUR

Yes

1008

108 – 1 instrument

EUR

Yes

1009

109 – 1 instrument

EUR

Yes

1010

110 – 1 instrument

EUR

Yes

1011

111 – 1 instrument

USD

Yes

1012

112 – 1 instrument

USD

Yes

1013

113 – 1 instrument

EUR

Yes

1014

114 – 1 instrument

EUR

Yes

1015

115 – 1 instrument

GBP

Yes

1016

116 – 1 instrument

GBP

Yes

1017

117 – 1 instrument

JPY

Yes

1018

118 – 1 instrument

EUR

Yes

1019

119 – 1 instrument

EUR

Yes

1020

120 – 1 instrument

EUR

Yes

1021

121 – 1 instrument

USD

Yes

2001

201 – 1 instrument

EUR

Yes

2002

202 – 1 instrument

EUR

Yes

2003

203 – 1 instrument

USD

Yes

2004

204 – 1 instrument

GBP

Yes

2005

205 – 1 instrument

USD

Yes

2006

206 – 1 instrument

EUR

Yes

2007

207 – 1 instrument

EUR

Yes

2008

208– 1 instrument

EUR

Yes

2009

209 – 1 instrument

EUR

Yes

2010

210 – 1 instrument

EUR

Yes

2011

211 – 1 instrument

EUR

Yes

2012

212 – 1 instrument

EUR

Yes

2013

213 – 1 instrument

GBP

Yes

2014

214 – 1 instrument

EUR

Yes

2015

215 – 1 instrument

USD

Yes

2016

216 – 1 instrument

USD

Yes

2017

217 – 1 instrument

USD

Yes

2018

218 – 1 instrument

EUR

Yes

2019

219 – 1 instrument

EUR

Yes

2020

220 – 1 instrument

EUR

Yes

2021

221 – 1 instrument

EUR

Yes

2022

222 – 1 instrument

EUR

Yes

2023

223 – 1 instrument

EUR

Yes

2024

224 – 1 instrument

EUR

Yes

3001

301 – 1 instrument

EUR

Yes

3002

302 – 1 instrument

EUR

Yes

3003

303 – 1 instrument

EUR

Yes

3004

304 – 1 instrument

EUR

Yes

3005

305 – 1 instrument

EUR

Yes

3006

306 – 1 instrument

EUR

Yes

3007

307 – 1 instrument

EUR

Yes

3008

308 – 1 instrument

EUR

Yes

3009

309 – 1 instrument

EUR

Yes

3010

310 – 1 instrument

EUR

Yes

3011

311 – 1 instrument

EUR

Yes

4001

401 – 1 instrument

USD

Yes

4002

402 – 1 instrument

USD

Yes

4003

403 – 1 instrument

USD

Yes

4004

404 – 1 instrument

USD

Yes

4005

405 – 1 instrument

USD

Yes

5001

501 – 1 instrument

USD

Yes

5002

502 – 1 instrument

USD

Yes

5003

503 – 1 instrument

USD

Yes

5004

504 – 1 instrument

USD

Yes

5005

505 – 1 instrument

USD

Yes

5006

506 – 1 instrument

USD

Yes

5007

507 – 1 instrument

EUR

Yes

5008

508 – 1 instrument

EUR

Yes

5009

509 – 1 instrument

EUR

Yes

5010

510 – 1 instrument

EUR

Yes

5011

511 – 1 instrument

EUR

Yes

5012

512 – 1 instrument

EUR

Yes

5013

513 – 1 instrument

USD

Yes

5014

514 – 1 instrument

EUR

Yes

5015

515 – 1 instrument

EUR

Yes

5016

516 – 1 instrument

EUR

Yes

5017

517 – 1 instrument

USD

Yes

5018

518 – 1 instrument

USD

Yes

5019

519 – 1 instrument

EUR

Yes

5020

520 – 1 instrument

EUR

Yes

5021

521 – 1 instrument

EUR

Yes

5022

522 – 1 instrument

EUR

Yes

5023

523 – 1 instrument

EUR

Yes

5024

524 – 1 instrument

USD

Yes

5025

525 – 1 instrument

EUR

Yes

5026

526 – 1 instrument

USD

Yes

5027

527 – 1 instrument

EUR

Yes

5028

528 – 1 instrument

USD

Yes

5029

529 – 1 instrument

EUR

Yes

5030

530 – 1 instrument

EUR

Yes

5031

531 – 1 instrument

EUR

Yes

5032

532 – 1 instrument

USD

Yes

5033

533 – 1 instrument

EUR

Yes

5034

534 – 1 instrument

EUR

Yes

6001

601 – 1 instrument

EUR

Yes

6002

602 – 1 instrument

EUR

Yes

6003

603 – 1 instrument

EUR

Yes

6004

604 – 1 instrument

EUR

Yes

6005

605 – 1 instrument

EUR

Yes

6006

606 – 1 instrument

EUR

Yes

6007

607 – 1 instrument

EUR

Yes

6008

608 – 1 instrument

EUR

Yes

6009

609 – 1 instrument

EUR

Yes

6010

610 – 1 instrument

EUR

Yes

Section 4:

Individual portfolios – Multi instruments

Institutions shall provide the required risk measures, along with the Present Value, of the following individual portfolios:

Portfolio

Combination of instruments:

The first figure represents the instrument (as referred to in Section 2 of this Annex).

The second figure represents the quantity of each instrument or number of contracts, as applicable.

EBA portfolio currency

IMA Risk measures (VaR, SVaR, and where appropriate IRC and APR) required for the exercise

FRTB ASA Risk measures required for the exercise

1101

103 – 1 instrument

104 – 1 instrument

105 – 1 instrument

EUR

Yes

1102

113 – 1 instrument

110 – 1 instrument

EUR

Yes

1103

115 – 1 instrument

116 – 1 instrument

GBP

Yes

1104

109 – 1 instrument

110 – 1 instrument

EUR

Yes

1105

111 – 1 instrument

112 – 1 instrument

USD

Yes

1106

102 – 1 instrument

114 – 1 instrument

EUR

Yes

1107

106 – 1 instrument

107 – 1 instrument

108 – 1 instrument

EUR

Yes

1108

101 – 1 instrument

103 – 1 instrument

EUR

Yes

1109

101 – 1 instrument

103 – 1 instrument

104 – 1 instrument

EUR

Yes

1110

102– 1 instrument

104 – 1 instrument

EUR

Yes

2201

206 – 1 instrument

207 – 1 instrument

EUR

Yes

2202

206 – 1 instrument

207 – 1 instrument

208 – 1 instrument

EUR

Yes

2203

206 – 1 instrument

207 – 1 instrument

208 – 1 instrument

209 – 1 instrument

210 – 1 instrument

211 – 1 instrument

212 – 1 instrument

EUR

Yes

2204

201 – 1 instrument

218 – 1 instrument

EUR

Yes

2205

201 – 1 instrument

219 – 1 instrument

EUR

Yes

2206

218 – 1 instrument

219 – 1 instrument

EUR

Yes

2207

201 – 1 instrument

202 – 1 instrument

EUR

Yes

2208

215 – 1 instrument

216 – 1 instrument

217 – 1 instrument

USD

Yes

2209

203 – 1 instrument

215 – 1 instrument

USD

Yes

2210

208 – 1 instrument

209 – 1 instrument

210 – 1 instrument

214 – 1 instrument

EUR

Yes

2211

209 – 1 instrument

219 – 1 instrument

EUR

Yes

2212

201 – 1 instrument

223 – 1 instrument

EUR

Yes

3301

301 – 1 instrument

302 – 1 instrument

EUR

Yes

3302

303 – 1 instrument

304 – 1 instrument

EUR

Yes

3303

304 – 1 instrument

305 – 1 instrument

306 – 1 instrument

EUR

Yes

3304

307 – 1 instrument

308 – 1 instrument

EUR

Yes

4401

401 – 1 instrument

402 – 1 instrument

USD

Yes

4402

403 – 1 instrument

404 – 1 instrument

USD

Yes

4403

401 – 1 instrument

404 – 1 instrument

USD

Yes

5501

501 – 1 instrument

502 – 1 instrument

503 – 1 instrument

USD

Yes

5502

504 – 1 instrument

505 – 1 instrument

USD

Yes

5503

507 – 1 instrument

508 – 1 instrument

EUR

Yes

5504

503 – 1 instrument

504 – 1 instrument

USD

Yes

5505

509 – 1 instrument

510 – 1 instrument

EUR

Yes

5506

511 – 1 instrument

512 – 1 instrument

514 – 1 instrument

515 – 1 instrument

516 – 1 instrument

EUR

Yes

5507

517 – 1 instrument

518 – 1 instrument

USD

Yes

5508

519 – 1 instrument

520 – 1 instrument

522 – 1 instrument

EUR

Yes

5509

520 – 1 instrument

521 – 1 instrument

EUR

Yes

5510

519 – 1 instrument

508 – 1 instrument

EUR

Yes

5511

515 – 1 instrument

522 – 1 instrument

EUR

Yes

5512

520 – 1 instrument

521 – 1 instrument

516 – 1 instrument

EUR

Yes

5513

506 – 1 instrument

503 – 1 instrument

USD

Yes

5514

502 – 1 instrument

209 – 1 instrument

EUR

Yes

5515

504 – 1 instrument

217 – 1 instrument

USD

Yes

5516

505 – 1 instrument

216 – 1 instrument

USD

Yes

5517

504 – 1 instrument

217 – 1 instrument

505 – 1 instrument

216 – 1 instrument

USD

Yes

5518

502 – 1 instrument

209 – 1 instrument

219 – 1 instrument

EUR

Yes

5519

523 – 1 instrument

525 – 1 instrument

527 – 1 instrument

EUR

Yes

5520

524 – 1 instrument

526 – 1 instrument

528 – 1 instrument

USD

Yes

5521

523 – 1 instrument

524 – 1 instrument

525 – 1 instrument

526 – 1 instrument

527 – 1 instrument

528 – 1 instrument

EUR

Yes

5522

529 – 1 instrument

530 – 1 instrument

EUR

Yes

6601

601 – 1 instrument

602 – 1 instrument

EUR

Yes

6602

603 – 1 instrument

604 – 1 instrument

EUR

Yes

6603

605 – 1 instrument

606 – 1 instrument

EUR

Yes

6604

607 – 1 instrument

608 – 1 instrument

EUR

Yes

6605

609 – 1 instrument

610 – 1 instrument

EUR

Yes

Section 5:

Aggregated Portfolios

Institutions shall provide the required risk measures, along with the Present Value, of the following financial aggregated portfolios:

Aggreg. Portfolio

Description

Combination of Individual Portfolios (individual portfolios as stated by their numbers as referred to in Section 3 and 4 of this Annex)

EBA portfolio Currency

IMA Risk measures (VaR, SVaR, and where appropriate IRC and APR) required for the exercise

FRTB ASA Risk measures required for the exercise

10000

ALL-IN no-CTP

1001, 1101, 1104, 1106, 2001, 2002, 2203, 2206, 3301, 3303, 3304, 4401, 4402, 5503, 5506, 5508, 5521

EUR

Yes

11000

EQUITY Cumulative

1001, 1101, 1104, 1106

EUR

Yes

12000

IR Cumulative

2001, 2002, 2203, 2206

EUR

Yes

13000

FX Cumulative

3301, 3303, 3304

EUR

Yes

14000

Commodity Cumulative

4401, 4402

USD

Yes

15000

Credit Spread cumulative

5503, 5506, 5508, 5521

EUR

Yes

16000

CTP cumulative EUR

6601, 6602

EUR

Yes

Section 6:

Additional specifications for instruments

Institutions shall apply the following additional specifications to the financial instruments described in Section 2 of this Annex:

Instrument:

220

Description:

5-year Mark to Market (MtM) Cross Currency EUR/USD SWAP

Receive USD and pay EUR

Notional: EUR 10 000 000 , USD (EUR 10 000 000 * FX USD/EUR)

Pay:

Float leg 2

Rec:

Float leg 1

Notional Exchange and Reset:

On effective date and maturity date. Further, on every coupon payment date, an additional payment corresponding to adjustment of the USD notional on Float leg 2 is made. The USD notional is adjusted to equal 10 000 000 EUR, at spot rate 2 business days in advance of each payment date.

Cash balance

Included

Float Leg 1

Notional:

10 000 000 EUR equivalent converted to USD at spot on effective date, equivalent adjusted on a quarterly basis

Effective Date:

Booking date + 6 months

Maturity Date:

Booking date + 5,5 years

Payment Date Generation:

Forward from Effective Date

Coupon Payment Frequency:

Quarterly

Coupon Rate:

3-month SOFR (overnight SOFR, daily compounded) + 0bps.

Coupon Rate Reset Freq:

Quarterly

Coupon Rate Fixing Convention:

Compounded daily over the 3-month period

Coupon Rate Compounding Frequency:

Simple Interest

Day Count:

ACT/360

Payment Business Day:

LON, NYC, TARGET

Payment Business Day Convention:

Modified Following

Notional Reset Business Day:

LON, NYC, TARGET

Notional Reset Business Day Convention:

Coupon Rate Reset Business Day:

LON, NYC, TARGET

Coupon Rate Reset Business Day Convention:

Float Leg 2

Notional:

10 000 000 EUR

Effective Date:

Booking date + 6 months

Maturity Date:

Booking date + 5,5 years

Payment Date Generation:

Forward from Effective Date

Coupon Payment Frequency:

Quarterly

Coupon Rate:

3-month ESTER + 0 bps.

Coupon Rate Reset Frequency:

Quarterly

Coupon Rate Fixing Convention:

Compounded daily over the 3-month period

Coupon Rate Compounding Frequency:

Simple Interest

Day Count:

ACT/360

Payment Business Day:

LON, NYC, TARGET

Payment Business Day

Modified Following

Notional Reset Business Day:

LON, NYC, TARGET

Notional Reset Business Day Convention:

Coupon Rate Reset Business Day:

LON, NYC, TARGET

Coupon Rate Reset Business Day Convention:

Section 7:

SBM validation portfolios

(a)

Institutions shall provide the SBM risk measure of the portfolios defined in Annex X (SBM validation portfolios) as part of the IMV submission and submit them in line with the reporting dates of the IMV submission.

(b)

The following shall apply for the submission of the results corresponding to SBM validation portfolios:

(i)

Institutions shall report solely template C 106.02.

(ii)

Institutions shall assume that the risk sensitivities and curvature risk positions defined by the instruments specified in Annex X are expressed in the institution’s reporting currency and that the information are provided in the format specified in the reporting instructions for templates C 106.01 / C 120.01 and the corresponding table with guidance for reporting these templates in Annex VI (Template instructions). Where an instrument forming part of a validation portfolio specified in Annex X relates to curvature risk, banks should consider both the upward and downward curvature risk positions, which are provided under the same instrument number, but in separate rows within the instruments specified in Annex X.

’

ANNEX III

‘

ANNEX VI

RESULTS SUPERVISORY BENCHMARK PORTFOLIOS

TEMPLATE RELATED INSTRUCTIONS

C 106.00 –

Initial Market Valuation and exclusion justification

C 106.01 –

SBM. Risk sensitivities by Instrument

C 106.02 –

SBM. OFR Composition by SBM Validation Portfolio

C 107.01 –

VaR & sVaR Non-CTP. Details.

C 107.02 –

VaR, sVaR and PV – Non-CTP. EBA portfolio currency results.

C 108.00 –

Profit & Loss Time Series

C 109.01 –

IRC. Details of the Model

C 109.02 –

IRC. Details by Portfolio

C 109.03 –

IRC. Amount by Portfolio/Date.

C 110.01 –

CT. Details of the Model.

C 110.02 –

CT. Details by Portfolio.

C 110.03 –

CT. APR by Portfolio/Date

C 120.01 –

SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO

C 120.02 –

SBM. OFR COMPOSITION BY PORTFOLIO

C 120.04 –

DRC. MARKET VALUES AND GROSS JTD AMOUNTS BY INSTRUMENT/PORTFOLIO

C 120.05 –

DRC. OFR COMPOSITION BY PORTFOLIO

C 120.06 –

ASA. OFR

TEMPLATE RELATED INSTRUCTIONS

C 106.00 –

Initial Market Valuation and exclusion justification

Column

Label

Legal reference

Instructions

0010

Instrument number

Annex V, Section 2, to this Regulation

The instrument number taken from Annex V to this Regulation shall be reported.

0020

Instrument modelled for VaR and sVaR (TRUE/FALSE)

—

Either TRUE or FALSE shall be reported.

0030

Instrument modelled for IRC (TRUE/FALSE)

—

Either TRUE or FALSE shall be reported.

0040

Instrument modelled for correlation trading (TRUE/FALSE)

Either TRUE or FALSE shall be reported.

0050

Rationale for exclusion

Article 3(2)

One of the following shall be reported:

(a)

Model not authorised by regulator;

(b)

Instrument or underlying not authorised internally;

(c)

Underlying or modelling feature not contemplated internally;

(d)

Other rationale for exclusion. Please, explain that rationale in column 0060.

0060

Free text box

An institution may provide any additional information in this column.

0070

Initial market valuation (‘IMV’)

The mark-to-market value of each instrument on the reference date at 5:30 pm CET (as referred to in Annex V, Section 1, point (b) to this Regulation.

The cell shall be left blank where the institution does not wish to provide an IMV for a certain portfolio (i.e. zero values shall be reported only where the result of the calculation is zero).

C 106.01 –

SBM. Risk sensitivities by Instrument

Institutions shall report the sensitivities towards the risk factors that the instrument is exposed to. One row shall be reported per risk factor/sensitivity. The upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Article 325g of Regulation (EU) 575/2013 shall be reported in individual rows. All values shall refer to the “IMV (and initial SBM) reference date” as specified in Section 1, point (b)(ii), of Annex V to this Regulation. Institutions shall report each combination of Instrument number, Risk identifier (column 0010), Bucket (column 0020) and Additional identifier (column 0030) only once.

Instructions concerning sheets (z-axis)

Label

Legal reference

Instructions

Instrument number

Section 2 of Annex V

The instrument number taken from Annex V shall be reported.

Column

Label

Legal reference

Instructions

0010

Risk factor identifier

Articles 325l, 325m, 325n, 325o, 325p and 325q of Regulation (EU) No 575/2013

The risk factor identifier as specified in the table at the end of this Annex shall be reported.

0020

Bucket

Article 325d(3) of Regulation (EU) No 575/2013

The bucket shall be reported, where the risk factor identifier selected in column 0010 corresponds to the risk class:

—

General interest rate risk, the answer shall be the name of the currency of the relevant risk-free rate, inflation or cross-currency-basis risk factor (following the ISO 4217 currency designation, e.g. “EUR”).

—

Credit spread risk for non-securitisation, the answer shall be the bucket number in Article 325ah (1), Table 4, of Regulation (EU) No 575/2013.

—

Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR), the answer shall be the bucket number in Article 325am (1), Table 7, of that Regulation.

—

Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR), the answer shall be the bucket number in Article 325ak, Table 6, of that Regulation.

—

Equity risk, the answer shall be the bucket number in Article 325ap (1), Table 8, of that Regulation.

—

Commodity risk, the answer shall be the bucket number in Article 325as, Table 9, of that Regulation.

—

FX risk and the components Delta or Curvature, the answer shall be the name of the currency (e.g. “USD”, the reported currency codes shall follow the ISO 4217 currency designation).

—

FX risk and the component Vega, the answer shall be the name of the currency pair (e.g. “EUR_USD”, the reported currency codes shall follow the ISO 4217 currency designation).

0030

Additional identifier1

Articles 325l to 325q and Article 325ai of Regulation (EU) No 575/2013

The following information distinguishing the risk factor at intra-bucket level shall be reported. Where the risk factor identifier selected in column 0010 corresponds to the risk class:

—

General interest rate risk and the component Delta, the answer shall be the name of the risk-free curve or another corresponding unique identifier.

—

Credit spread risk for non-securitisation or the risk class credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR), the answer shall be the LEI of the issuer and it shall be identical for any two reported sensitivities towards two risk factors that receive a correlation parameter ρ κl

(name) equal to 1 in accordance with Article 325ai(1) of Regulation (EU) No 575/2013.

—

Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR), the answer shall be the tranche name or another corresponding unique identifier.

—

Equity risk, the answer shall be the ISIN of the underlying instrument.

—

Commodity risk, the answer shall be the name of the commodity or another corresponding unique identifier.

Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable.

0050

Risk sensitivity (Reporting currency results)

Article 325d(2) and Articles 325g, 325r, 325s, 325t and 325ax of Regulation (EU) No 575/2013

Risk sensitivities (delta / vega sensitivities and curvature risk positions) shall be reported at the level of each instrument for all relevant risk factors as specified in the columns 0010 to 0030. The values shall be reported in the institution’s reporting currency. Where the risk factor identifier selected in column 0010 corresponds to the:

—

Delta risk component of the sensitivities-based method, the net sensitivity to the risk factor (S k ) as specified in Article 325r of Regulation (EU) No 575/2013 shall be reported. Where institutions have obtained permission from their competent authority to use alternative definitions of delta risk sensitivities in accordance with Article 325t(5) of that Regulation, they shall refer to those alternative definitions for the reporting.

—

Vega risk component of the sensitivities-based method, the vega risk sensitivity of an option to a given risk factor (S k ) as specified in Article 325s of Regulation (EU) No 575/2013 shall be reported. Where institutions have obtained permission from their competent authority to use alternative calculations of vega risk sensitivities in accordance with Article 325t(6) of that Regulation, they shall refer to those alternative calculations for the reporting. Regardless of whether the definition of Article 325s or an alternative calculation in accordance with Article 325t(6) of that Regulation is used by the institution, the sensitivity shall be reported after weighting it by the corresponding implied volatility.

—

Curvature risk component of the sensitivities-based method, the upward net curvature risk position of that risk factor (CVR k

) or the downward net curvature risk position of that risk factor (CVR k

) as specified in Article 325g of Regulation (EU) No 575/2013 shall be reported.

The reported figure shall be expressed as a decimal with a minimum precision of two decimal places.

Zero values shall be reported only where the result of the calculation is actually zero.

0060

Reporting currency

The name of the reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation, e.g. “EUR”).

0070

Risk sensitivity (EBA instrument currency results)

Section 2 of Annex V to this Regulation and Article 325d(2) and Articles 325g, 325r and 325s of Regulation (EU) No 575/2013

The values shall be reported following the instructions for column 0050 but translated at the ECB spot exchange rate associated with the currency of the instrument as defined in Section 2 of Annex V to this Regulation.

0080

Pricing model

Article 325t of Regulation (EU) No 575/2013

The institution shall specify which pricing model applies to derive the sensitivities. One of the following shall be reported:

(a)

‘Institution’s pricing models that serve as a basis for reporting profit and loss to senior management’ (as for Article 325t(1), first subparagraph, of Regulation (EU) No 575/2013);

(b)

‘Institution’s internal model approach’ (as for Article 325t(1), second subparagraph, of that Regulation);

0090

Sensitivities definition

Articles 325r, 325s and 325t of Regulation (EU) No 575/2013

The institution shall specify which sensitivities definition is applied in the calculation of the own funds requirements.

One of the following shall be reported:

(a)

‘Sensitivities definition in Articles 325r and 325s of Regulation (EU) No 575/2013’;

(b)

‘Sensitivities definition in accordance with Article 325t(5) and (6) of Regulation (EU) No 575/2013’;

Where the risk factor identifier selected in column 0010 corresponds to the curvature risk component of the sensitivities-based method, the value indicated in point (b) shall be reported if any of the sensitivities used in the calculation of the reported curvature risk position are based on a sensitivity definition in accordance with Article 325t(5) and (6) of Regulation (EU) No 575/2013, and the value indicated in point (a) shall be reported otherwise.

0100

Free text box

An institution may provide additional information in this column concerning pricing model and sensitivities definition applied.

0110

Additional identifier2

Article 325p(2) of Regulation (EU) No 575/2013

Where the risk factor identifier selected in column 0010 corresponds to the risk class Commodity risk and the Delta risk component of the sensitivities-based method, the answer shall be the set of legal terms regarding the delivery location or another corresponding unique identifier.

Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable.

0120

Credit quality category

Article 325m(1) and Article 325ah(1) of Regulation (EU) No 575/2013

Where the risk factor identifier selected in column 0010 corresponds to the risk class Credit spread risk for non-securitisation and the Delta risk component of the sensitivities-based method, the answer shall be one of the following:

(a)

‘CQS 1’;

(b)

‘CQS 2’;

(c)

‘CQS 3’;

(d)

‘CQS 4’;

(e)

‘CQS 5’;

(f)

‘CQS 6’;

(g)

‘No CQS assigned (unrated)’.

Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable.

C 106.02 –

SBM. OFR Composition by SBM Validation Portfolio

Instructions concerning sheets (z-axis)

Label

Legal reference

Instructions

Portfolio

Annex V, Section 7, to this Regulation

The number of the portfolio taken from Annex X to this Regulation shall be reported.

Column

Label

Legal reference

Instructions

0010

Risk class

Article 325d(1) of Regulation (EU) No 575/2013

The risk class shall be reported. The answer shall be one of the following:

(a)

‘General interest rate risk (GIRR)’;

(b)

‘Credit spread risk.Non-securitisations CSR’ (credit spread risk (CSR) for non-securitisation);

(c)

‘Credit spread risk.Non-ACTP CSR’ (credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR));

(d)

‘Credit spread risk.ACTP CSR’ (credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR));

(e)

‘Equity risk’;

(f)

‘Commodities risk’;

(g)

‘Foreign-exchange risk’.

0020

Component

Article 325e(1) of Regulation (EU) No 575/2013

The component of the sensitivities-based method shall be reported. The answer shall be one of the following:

(a)

‘Delta risk’;

(b)

‘Vega risk’;

(c)

‘Curvature risk’;

0030

Correlation scenario

Article 325h of Regulation (EU) No 575/2013

The correlation scenario shall be reported. The answer shall be one of the following:

(a)

‘Medium correlation scenario’;

(b)

‘High correlation scenario’;

(c)

‘Low correlation scenario’.

0040

Own funds requirements (Reporting currency results)

Article 325h of Regulation (EU) No 575/2013

Own funds requirements values shall be reported for the “IMV reference date” (as specified in Annex V, Section 1, point (b) to this Regulation) for each portfolio for all relevant combinations of risk class, component and correlation scenario. The values shall be reported in the institution’s reporting currency and shall be expressed with a minimum precision of two decimal places.

0050

Submission of SBM validation portfolio results

Article 325e(1) of Regulation (EU) No 575/2013

The answer shall be one of the following:

(a)

‘Submitted’ shall be reported if the institution submits results corresponding to this portfolio;

(b)

‘Not submitted – no exposure to risk factor’ shall be reported if the institution chooses not to submit results for the relevant SBM validation portfolio, as there is there is no internal approval by the management of that institution to operate in instruments that would generate exposure towards the relevant risk factor.

0060

Free text box

An institution may provide any additional information in this column.

C 107.01 –

VaR & sVaR Non-CTP. Details.

Row

Label

Legal reference

Instructions

0010 – 0060

VaR

0010

Methodology

One of the following shall be reported in column 0010:

(a)

Historical simulation;

(b)

Monte Carlo simulation;

(c)

Parametric methodology;

(d)

Combination / other methodology (please specify).

The institution shall use column 0020 to clarify the answer given in column 0010. Where option (d) was selected in column 0010, the institution shall provide details in column 0020.

0020

Computation of 10-day horizon

Article 365(1) of Regulation (EU) No 575/2013

One of the following shall be reported in column 0010:

(a)

1 day re-scaled to 10 days;

(b)

10 days with overlapping periods;

(c)

10 days other methodology.

The institution shall use column 0020 to clarify the answer given in column 0010.

0030

Length of observation period

Article 365(1) point (d) of Regulation (EU) No 575/2013

One of the following shall be reported in column 0010:

(a)

Up to 1 year;

(b)

More than 1 and up to 2 years;

(c)

More than 2 and up to 3 years;

(d)

More than 3 years.

The institution shall use column 0020 to clarify the answer given in column 0010.

0040

Data Weighting

Article 365(1) point (d), of Regulation (EU) No 575/2013

One of the following shall be reported in column 0010:

(a)

Unweighted (VaR data weighting);

(b)

Weighted (VaR data weighting);

(c)

Higher of weighted and unweighted (VaR data weighting) in points (a) and (b).

The institution shall use column 0020 to clarify the answer given in column 0010.

0050

Backtesting add-on

Article 366(2) of Regulation (EU) No 575/2013

Backtesting add-on means the addend between 0 and 1 in accordance with Article 366(2), Table 1, of Regulation (EU) No 575/2013

The institution shall use column 0020 to clarify the answer given in column 0010.

0060

VaR Regulatory add-on

Article 366(2) of Regulation (EU) No 575/2013 (‘at least 3’)

VaR Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for VaR (at least 3) in accordance with Article 366(2) of Regulation (EU) No 575/2013. The VaR Regulatory add-on is the sum of the backtesting add-on and of the qualitative add-on, where applicable, in excess to 3.

The institution shall use column 0020 to clarify the answer given in column 0010.

0070-0100

SVaR (i.e. Stressed VaR)

0070

Methodology

One of the following shall be reported in column 0010:

(a)

Historical simulation;

(b)

Monte Carlo simulation;

(c)

Parametric methodology;

(d)

Combination / other methodology (please specify).

The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020.

0080

Computation of 10 day Horizon

Article 365(1) of Regulation (EU) No 575/2013

One of the following shall be reported in column 0010:

(a)

1 day re-scaled to 10 days;

(b)

10 days with overlapping periods;

(c)

10 days other methodology.

The institution shall use column 0020 to clarify the answer given in column 0010.

0090

SVaR Regulatory add-on

Article 366(2) of Regulation (EU) No 575/2013

Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for sVaR (at least 3) in accordance with Article 366(2) of Regulation (EU) No 575/2013. The regulatory add-on is the sum of 3, backtesting add-on and qualitative add-on (if applicable).

The institution shall use column 0020 to clarify the answer given in column 0010.

0100

SVaR period

Article 365(2) of Regulation (EU) No 575/2013

One of the following shall be reported in column 0010:

(a)

Daily computation of the stressed VaR calibrated to one continuous 12-month period starting from the date specified in column 0020;

(b)

Weekly computation of the stressed VaR calibrated to one continuous 12-month period starting from the date specified in column 0020;

(c)

Daily computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 0010 of C107.02 starting from the dates specified in column 0020;

(d)

Weekly computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 0010 of C107.02 starting from the dates specified in column 0020;

(e)

Maximum of daily computation of the stressed VaR calibrated to more than one single 12-month period;

(f)

Maximum of weekly computation of the stressed VaR calibrated to more than one single 12-month period;

(g)

Other choices for the stressed VaR calibration (please specify).

The institution shall use column 0020 to provide the starting date in the format of ‘dd/mm/yyyy’ in case of options (a) or (b) given in column 0010 and the starting dates in the format ‘dd/mm/yyyy’ used for each stressed VaR computation in case of options (c) or (d) given in column 0010. The institution shall also use column 0020 to clarify the 12-month period used for each stressed VaR computation in case of options (e), (f) and (g) given in column 0010.

C 107.02 –

VaR, sVaR and PV – Non-CTP. EBA portfolio currency results.

Instructions concerning sheets (z-axis)

Label

Legal reference

Instructions

Portfolio

Sections 3, 4 and 5 of Annex V

The portfolio number taken from Annex V shall be reported.

Column

Label

Legal reference

Instructions

0010

Date

VaR, sVaR and Present Value (PV) results shall be reported for all the 10 business days between the ‘RM initial reference date’ and the ‘RM (and final ASA) final reference date’, as specified in Section 1, point (b), of Annex V. The ‘dd/mm/yyyy’ convention shall be adopted to report the dates.

0020

VaR

Article 365 of Regulation (EU) No 575/2013

The 10-day regulatory VaR obtained for each portfolio, without applying the ‘at least 3’ regulatory multiplication factor, shall be reported.

Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a VaR on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).

0030

sVaR

Article 365 of Regulation (EU) No 575/2013

The 10-day regulatory sVaR obtained for each portfolio, without applying the ‘at least 3’ regulatory multiplication factor, shall be reported.

Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a sVaR on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).

0040

The present value (PV) for each portfolio shall be reported.

Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a PV on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).

C 108.00 –

Profit & Loss Time Series

Template C 108.00 (‘Profit & Loss Time Series’) shall be completed only by institutions that calculate VaR using historical simulation.

Instructions concerning sheets (z-axis)

Label

Legal reference

Instructions

Portfolio

Sections 3, 4 and 5 of Annex V

The portfolio number taken from Annex V shall be reported.

Column

Label

Legal reference

Instructions

0010

Date

Article 365(1) point (d), of Regulation (EU) No 575/2013

On each business day, determined in accordance with the calendar in the institution’s jurisdiction, institutions shall provide the P&L series used to calculate VaR in C107.02 column 0010 with a minimum of 250 observations starting from the ‘RM (and final ASA) final reference date’, as specified in Section 1, point (b)(v), of Annex V, and going backward.

0020

Daily P&L

Institutions that calculate VaR using historical simulation shall fill the full length historic series used by the institution, with a minimum of one-year data series, with the portfolio valuation change (i.e. daily P&L) produced by using historically simulated daily risk factor changes (i.e. the daily P&L series used to derive the regulatory 1-day VaR).

In case a day is a bank holiday in the relevant jurisdiction, this cell shall be left blank (i.e. a zero P&L shall be reported only where there was no change in the hypothetical value of the portfolio on a given business day).

C 109.01 –

IRC. Details of the Model

Row

Label

Legal reference

Instructions

0010

Number of modelling factors

EBA/GL/2012/3

The number of modelling factors at the overall IRC model level shall be reported. The answer shall be one of the following:

(a)

1 modelling factor;

(b)

2 modelling factors;

(c)

More than 2 modelling factors.

The institution shall use column 0020 to clarify the answer given in column 0010.

0020

Source of LGDs

EBA/GL/2012/3

The source of LGDs at the overall IRC Model level shall be reported. The answer shall be one of the following:

(a)

Market convention;

(b)

LGD used in IRB;

(c)

Other source of LGD (please specify).

The institution shall use column 0020 to clarify the answer given in column 0010. In case option (c) was selected in column 0010, the institution shall provide details in this column.

C 109.02 –

IRC. Details by Portfolio

Instructions concerning sheets (z-axis)

Label

Legal reference

Instructions

Portfolio

Sections 3, 4 and 5 of Annex V

The portfolio number taken from Annex V, only for those portfolios where IRC is requested, shall be reported.

Row

Label

Legal reference

Instructions

0010

Liquidity Horizon

Article 374(5) of Regulation (EU) No 575/2013

EBA/GL/2012/3

The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following:

(a)

Up to 3 months;

(b)

More than 3 and up to 6 months;

(c)

More than 6 and up to 9 months;

(d)

More than 9 and up to 12 months.

0020

Source of PDs

EBA/GL/2012/3

The source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following:

(a)

Rating agencies;

(b)

IRB;

(c)

Market implied PDs;

(d)

Other source of PDs (please specify).

The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in this column 0020.

0030

Source of transition matrices

EBA/GL/2012/3

The source of transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following:

(a)

Rating agencies;

(b)

IRB;

(c)

Market implied transition matrices;

(d)

Other sources of transition matrices (please specify).

The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in this column 0020.

C 109.03 –

IRC. Amount by Portfolio/Date.

Instructions concerning sheets (z-axis)

Label

Legal reference

Instructions

Portfolio

Sections 3, 4 and 5of Annex V

The portfolio number taken from Annex V, only for those portfolios where IRC is requested, shall be reported.

Column

Label

Legal reference

Instructions

0010

Date

IRC shall be reported for all the 10 business days between the ‘RM initial reference date’ and the ‘RM (and final ASA) final reference date’, as specified in Section 1, point (b), of Annex V. The ‘dd/mm/yyyy’ convention shall be adopted to report the dates.

0020

IRC

Articles 372 to 376 of Regulation (EU) No 575/2013

EBA/GL/2012/3

The regulatory IRC obtained for each portfolio shall be reported.

Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate an IRC on the date reported in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).

C 110.01 –

CT. Details of the Model.

Row

Label

Legal reference

Instructions

0010

Number of modelling factors

Article 377 of Regulation (EU) No 575/2013

The number of modelling factors at the overall correlation trading model level shall be reported. The answer shall be one of the following:

(a)

1 modelling factor;

(b)

2 modelling factors;

(c)

More than 2 modelling factors.

The institution shall use column 0020 where it wants to clarify the answer given in column 0010.

0020

Source of LGDs

Article 377 of Regulation (EU) No 575/2013

The source of LGDs at the overall correlation trading model level shall be reported. The answer shall be one of the following:

(a)

Market convention;

(b)

LGD used in IRB;

(c)

Other sources of LGD (please specify).

The institution shall use column 0020 to clarify the answer given in column 0010. In case option (c) was selected in column 0010, the institution shall provide details in this column.

C 110.02 –

CT. Details by Portfolio.

Instructions concerning sheets (z-axis)

Label

Legal reference

Instructions

Portfolio

Sections 3, 4 and 5 of Annex V

The portfolio number taken from Annex V, only for those portfolios where APR is requested, shall be reported.

Row

Label

Legal reference

Instructions

0010

Liquidity horizon

Article 377(2) of Regulation (EU) No 575/2013

The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following:

(a)

Up to 3 months;

(b)

More than 3 and up to 6 months;

(c)

More than 6 and up to 9 months;

(d)

More than 9 and up to 12 months.

0020

Source of PDs

Article 377 of Regulation (EU) No 575/2013

The source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following:

(a)

Rating agencies;

(b)

IRB;

(c)

Market implied PDs;

(d)

Other source of PDs (please specify).

The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020.

0030

Source of transition matrices

Article 377 of Regulation (EU) No 575/2013

The source of the transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following:

(a)

Rating agencies;

(b)

IRB;

(c)

Market implied transition matrices;

(d)

Other source of transition matrices (please specify).

The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020.

C 110.03 –

CT. APR by Portfolio/Date

Instructions concerning sheets (z-axis)

Label

Legal reference

Instructions

Portfolio

Section 3, 4 and 5 of Annex V

The portfolio number taken from Annex V, only for those portfolios where APR is requested, shall be reported

Column

Label

Legal reference

Instructions

0010

Date

Article 377 of Regulation (EU) No 575/2013

All price risk (‘APR’) shall be reported for all the 10 business days between the ‘RM initial reference date’ and the ‘RM (and final ASA) final reference date’ as referred to in Section 1, point (b), of Annex V. The ‘dd/mm/yyyy’ convention shall be adopted to report the dates.

0060

APR

Article 377 of Regulation (EU) No 575/2013

The results obtained by applying the regulatory correlation trading model to each portfolio shall be reported.

Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not use a correlation trading model on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).

C 120.01 –

SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO

Institutions shall report, instrument by instrument, the sensitivities towards the risk factors that the instrument is exposed to. One row shall be reported per risk factor/sensitivity. The upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Article 325g of Regulation (EU) No 575/2013 shall be reported in individual rows. All values shall refer to the “RM (and final ASA) final reference date” (as defined in Section 1, point (b)(v), of Annex V to this Regulation). Institutions shall report each combination of Portfolio, Instrument number (column 0010), Risk identifier (column 0020), Bucket (column 0030) and Additional identifier (column 0040) only once.

Instructions concerning sheets (z-axis)

Label

Legal reference

Instructions

Portfolio

Sections 3, 4 and 5 of Annex V

The number of the portfolio taken from Annex V shall be reported.

Column

Label

Legal reference

Instructions

0010

Instrument number

Section 2 of Annex V

The instrument number taken from Annex V shall be reported.

0020

Risk factor identifier

Articles 325l, 325m, 325n, 325o, 325p, 325q of Regulation (EU) No 575/2013

The risk factor identifier as specified in the table at the end of this Annex shall be reported.

0030

Bucket

Article 325d(3) of Regulation (EU) No 575/2013

The bucket shall be reported, where the risk factor identifier selected in column 0020 corresponds to the risk class:

—

General interest rate risk. The answer shall be the name of the currency of the relevant risk-free rate, inflation or cross-currency-basis risk factor (following the ISO 4217 currency designation, e.g. “EUR”).

—

Credit spread risk for non-securitisation. The answer shall be the bucket number in Article 325ah (1), Table 4, of Regulation (EU) No 575/2013.

—

Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR). The answer shall be the bucket number in Article 325am (1), Table 7, of that Regulation.

—

Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR). The answer shall be the bucket number in Article 325ak, Table 6, of that Regulation.

—

Equity risk. The answer shall be the bucket number in Article 325ap (1), Table 8, of that Regulation.

—

Commodity risk. The answer shall be the bucket number in Article 325as, Table 9, of that Regulation.

—

FX risk and the components Delta or Curvature. The answer shall the name of the currency (e.g. “USD”, the reported currency codes shall follow the ISO 4217 currency designation),

—

FX risk and the component Vega. The answer shall be the name of the currency pair (e.g. “EUR_USD”, the reported currency codes shall follow the ISO 4217 currency designation).

0040

Additional identifier1

Articles 325l to 325q and 325ai of Regulation (EU) No 575/2013

The following information distinguishing the risk factor at intra-bucket level shall be reported. Where the risk factor identifier selected in column 0020 corresponds to the risk class:

—

General interest rate risk and the component Delta, the answer shall be the name of the risk-free curve or another corresponding unique identifier.

—

(name) equal to 1 in accordance with to Article 325ai(1) of Regulation (EU) No 575/2013.

—

Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR), the answer shall be tranche name or another corresponding unique identifier.

—

Equity risk, the answer shall be the ISIN of the underlying instrument.

—

Commodity risk, the answer shall be the name of the commodity or another corresponding unique identifier.

Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable.

0060

Risk sensitivity (Reporting currency results)

Article 325d(2) and Articles 325g, 325r, 325s, 325t and 325ax of Regulation (EU) No 575/2013

Risk sensitivities (delta / vega sensitivities and curvature risk positions) shall be reported at the level of each instrument for all relevant risk factors as specified in the columns 0020 to 0040. The values shall be reported in the institution’s reporting currency. Where the risk factor identifier selected in column 0020 corresponds to the:

—

Delta risk component of the sensitivities-based method, the net sensitivity to the risk factor (S k ) as specified in Article 325r of Regulation (EU) No 575/2013 shall be reported. Where institutions have obtained permission from their competent authority to use alternative calculations of delta risk sensitivities in accordance with Article 325t(5) of that Regulation, they shall refer to these alternative definitions for the reporting.

—

Vega risk component of the sensitivities-based method, the vega risk sensitivity of an option to a given risk factor (S k ) as specified in Article 325s of Regulation (EU) No 575/2013 shall be reported. Where institutions have obtained permission from their competent authority to use alternative calculations of vega risk sensitivities in accordance with Article 325t(6) of that Regulation, they shall refer to those alternative calculations for the reporting. Regardless of whether the calculation of Article 325s or an alternative calculation in accordance with Article 325t(6) of that Regulation is used by the institution, the sensitivity shall be reported after weighting it by the corresponding implied volatility.

—

Curvature risk component of the sensitivities-based method, the upward net curvature risk position of that risk factor (CVR k

) or the downward net curvature risk position of that risk factor (CVR k

) as specified in Article 325g of Regulation (EU) No 575/2013 shall be reported.

The reported figure shall be expressed as a decimal with a minimum precision of two decimal places.

Zero values shall be reported only where the result of the calculation is actually zero.

0070

Reporting currency

The name of the reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation, e.g. “EUR”).

0080

Risk sensitivity (EBA portfolio currency results)

Sections 3 and 4 of Annex V to this Regulation and

Article 325d(2) and Articles 325g, 325r, 325s,, 325t and 325ax of Regulation (EU) No 575/2013

The values shall be reported following the instructions for column 0060 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation.

0090

Risk weight

Part Three, Title IV, Chapter 1a, Section 6, of Regulation (EU) No 575/2013

The risk weight corresponding to the risk factor as specified in the columns 0020 to 0040 shall be reported. Where the risk factor identifier selected in column 0020 corresponds to the Curvature risk component, the risk weight used to determine the applicable relative shift shall be reported.

The reported figure shall be expressed as a decimal with a minimum precision of four decimal places.

0110

Additional identifier2

Article 325p(2) of Regulation (EU) No 575/2013

Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable.

0120

Credit quality category

Article 325m(1) and Article 325ah(1) of Regulation (EU) No 575/2013

(a)

‘CQS 1’;

(b)

‘CQS 2’;

(c)

‘CQS 3’;

(d)

‘CQS 4’;

(e)

‘CQS 5’;

(f)

‘CQS 6’;

(g)

‘No CQS assigned (unrated)’.

Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable.

C 120.02 –

SBM. OFR COMPOSITION BY PORTFOLIO

Instructions concerning sheets (z-axis)

Label

Legal reference

Instructions

Portfolio

Sections 3, 4 and 5 of Annex V

The number of the portfolio taken from Annex V shall be reported.

Column

Label

Legal reference

Instructions

0010

Risk class

Article 325d(1) of Regulation (EU) No 575/2013

The risk class shall be reported. The answer shall be one of the following:

(a)

‘General interest rate risk (GIRR)’;

(b)

‘Credit spread risk.Non-securitisations CSR’ (credit spread risk (CSR) for non-securitisation);

(c)

‘Credit spread risk.Non-ACTP CSR’ (credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR));

(d)

‘Credit spread risk.ACTP CSR’ (credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR));

(e)

‘Equity risk’;

(f)

‘Commodities risk’;

(g)

‘Foreign-exchange risk’.

0020

Component

Article 325e(1) of Regulation (EU) No 575/2013

The component of the sensitivities-based method shall be reported. The answer shall be one of the following:

(a)

‘Delta risk’;

(b)

‘Vega risk’;

(c)

‘Curvature risk’;

0030

Correlation scenario

Article 325h of Regulation (EU) No 575/2013

The correlation scenario shall be reported. The answer shall be one of the following:

(a)

‘Medium correlation scenario’;

(b)

‘High correlation scenario’;

(c)

‘Low correlation scenario’.

0040

Own funds requirements (Reporting currency results)

Article 325h of Regulation (EU) No 575/2013

Own funds requirements values shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio for all relevant combinations of risk class, component and correlation scenario. The values shall be reported in the institution’s reporting currency and shall be expressed with a minimum precision of two decimal places.

0050

Reporting currency

The reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation).

0060

Own funds requirements (EBA portfolio currency results)

Sections 3 and 4 of Annex V to this Regulation and Article 325h of Regulation (EU) No 575/2013

The values shall be reported following the instructions for column 0040 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation.

0070

Positions without optionality subjected to curvature risk own funds requirements

Article 325e(3) of Regulation (EU) No 575/2013

Where the component in column 0020 corresponds to curvature risk:

(a)

‘TRUE’ shall be reported if the institution applies the approach set out in Article 325e(3), first subparagraph of Regulation (EU) No 575/2013 in calculating the result reported in columns 0040 and 0060.

(b)

‘FALSE’ shall be reported otherwise.

‘FALSE’ shall also be reported where none of those cases applies.

0080

Base currency approach applied for foreign-exchange risk delta and curvature

Article 325q(7) of Regulation (EU) No 575/2013

Where the risk class in column 0010 corresponds to foreign-exchange risk and the component in column 0020 corresponds to delta risk or curvature risk:

(a)

‘TRUE’ shall be reported if the institution applies the approach set out Article 325q(7) of Regulation (EU) No 575/2013 in calculating the result reported in columns 0040 and 0060.

(b)

‘FALSE’ shall be reported otherwise.

‘FALSE’ shall also be reported where none of those cases applies.

0090

Division of curvature risk components for foreign-exchange risk by scalar

Article 325q(6) of Regulation (EU) No 575/2013

Where the risk class in column 0010 corresponds to foreign-exchange risk and the component in column 0020 corresponds to curvature risk:

(a)

‘TRUE’ shall be reported if the institution applies the approach set out Article 325q(6) of Regulation (EU) No 575/2013 in calculating the result reported in columns 0040 and 0060.

(b)

‘FALSE’ shall be reported otherwise.

‘FALSE’ shall also be reported where none of those cases applies.

0100

Free text box

An institution may provide any additional information in this column.

C 120.04 –

DRC. MARKET VALUES AND GROSS JTD AMOUNTS BY INSTRUMENT/PORTFOLIO

Institutions shall report, instrument by instrument, the exposures corresponding to the instrument. One row shall be reported per exposure. All values shall refer to the “RM (and final ASA) final reference date” (as defined in Section 1, point (b)(v), of Annex V to this Regulation). Exposures shall be reported before any offsetting has taken place but after replication or decomposition steps (as defined in Articles 325z and 325ac of Regulation (EU) No 575/2013), where applicable.

Instructions concerning sheets (z-axis)

Label

Legal reference

Instructions

Portfolio

Sections 3, 4 and 5 of Annex V

The number of the portfolio taken from Annex V shall be reported.

Column

Label

Legal reference

Instructions

0010

Instrument number

Section 2 of Annex V

The instrument number taken from Annex V shall be reported.

0020

Risk class

Article 325v(2) of Regulation (EU) No 575/2013

The risk class for which the default risk requirement (DRC) is reported in columns 0030 and 0040 shall be reported. The answer shall be one of the following instrument types:

(a)

‘Instruments other than securitisation positions’;

(b)

‘ Securitisation positions that are not included in the ACTP’;

(c)

‘ Securitisation positions that are included in the ACTP’.

0030

Bucket1

Article 325y(3), Article 325aa(4) and Article 325ad(2) of Regulation (EU) No 575/2013

The bucket shall be reported.

Where the risk class reported in column 0020 corresponds to ‘non- securitisations ’, the answer shall be one of the following:

(a)

‘Corporates’;

(b)

‘Sovereigns’;

(c)

‘Local governments/municipalities’.

Where instead the risk class reported in column 0020 corresponds to ‘ securitisations that are not included in the ACTP’, the answer shall be one of the following:

(d)

‘ABCP – Asia’;

(e)

‘ABCP – Europe’;

(f)

‘ABCP – North America’;

(g)

‘ABCP – Rest of the world’;

(h)

‘Auto loans/leases – Asia’;

(i)

‘Auto loans/leases – Europe’;

(j)

‘Auto loans/leases – North America’;

(k)

‘Auto loans/leases – Rest of the world’;

(l)

‘Collateralised debt obligations squared (CDO-squared) – Asia’;

(m)

‘Collateralised debt obligations squared (CDO-squared) – Europe’;

(n)

‘Collateralised debt obligations squared (CDO-squared) – North America’;

(o)

‘Collateralised debt obligations squared (CDO-squared) – Rest of the world’;

(p)

‘Collateralised loan obligations – Asia’;

(q)

‘Collateralised loan obligations – Europe’;

(r)

‘Collateralised loan obligations – North America’;

(s)

‘Collateralised loan obligations – Rest of the world’;

(t)

‘Commercial mortgage-backed securities (CMBS) – Asia’;

(u)

‘Commercial mortgage-backed securities (CMBS) – Europe’;

(v)

‘Commercial mortgage-backed securities (CMBS) – North America’;

(w)

‘Commercial mortgage-backed securities (CMBS) – Rest of the world’;

(x)

‘Credit cards – Asia’;

(y)

‘Credit cards – Europe’;

(z)

‘Credit cards – North America’;

(aa)

‘Credit cards – Rest of the world’;

(bb)

‘Other retail – Asia’;

(cc)

‘Other retail – Europe’;

(dd)

‘Other retail – North America’;

(ee)

‘Other retail – Rest of the world’;

(ff)

‘Other wholesale – Asia’;

(gg)

‘Other wholesale – Europe’;

(hh)

‘Other wholesale – North America’;

(ii)

‘Other wholesale – Rest of the world’;

(jj)

‘Residential mortgage-backed securities (RMBS) – Asia’;

(kk)

‘Residential mortgage-backed securities (RMBS) – Europe’;

(ll)

‘Residential mortgage-backed securities (RMBS) – North America’;

(mm)

‘Residential mortgage-backed securities (RMBS) – Rest of the world’;

(nn)

‘Small and medium-sized enterprises (SMEs) – Asia’;

(oo)

‘Small and medium-sized enterprises (SMEs) – Europe’;

(pp)

‘Small and medium-sized enterprises (SMEs) – North America’;

(qq)

‘Small and medium-sized enterprises (SMEs) – Rest of the world’;

(rr)

‘Student loans – Asia’;

(ss)

‘Student loans – Europe’;

(tt)

‘Student loans – North America’;

(uu)

‘Student loans – Rest of the world’.

Where instead the risk class reported in column 0020 corresponds to ‘ securitisations that are included in the ACTP’, the answer shall be ‘ securitisations that are included in the ACTP’.

0040

Bucket2

Article 325ad(2) of Regulation (EU) No 575/2013

Where the risk class reported in column 0020 corresponds to ‘ securitisations that are included in the ACTP’, the answer shall be the name of the index, otherwise it shall report (NUL).

0050

Obligor

Article 325v(2), Article 325x(1), and Articles 325z and 325ac of Regulation (EU) No 575/2013

Institutions shall report information related to the obligor. Where the risk class reported in column 0020 corresponds to:

—

‘Instruments other than securitisation positions’, the answer shall be the LEI of the obligor;

—

‘ securitisation positions that are not included in the ACTP’, the answer shall be the name of the obligor or a unique identifier denoting the underlying asset pool and tranche;

—

‘ securitisation positions that are included in the ACTP’, the answer shall be a unique identifier denoting index family, series and tranche.

0060

Credit quality category

Article 325y(1) and (2), Article 325aa(1) and Article 325ad(1) of Regulation (EU) No 575/2013

Institutions shall report the credit quality. The answer shall be one of the following:

(a)

‘CQS 1’;

(b)

‘CQS 2’;

(c)

‘CQS 3’;

(d)

‘CQS 4’;

(e)

‘CQS 5’;

(f)

‘CQS 6’;

(g)

‘No CQS assigned (unrated)’;

(h)

‘No CQS assigned (defaulted)’;

(i)

‘No CQS assigned (0 % risk-weight’).

Where the risk class reported in column 0020 corresponds to ‘ securitisations that are included in the ACTP’ or ‘ Securitisations that are not included in the ACTP’, the answer shall be one of the above or the following:

(j)

‘CQS 7’;

(k)

‘CQS 8’;

(l)

‘CQS 9’;

(m)

‘CQS 10’;

(n)

‘CQS 11’;

(o)

‘CQS 12’;

(p)

‘CQS 13’;

(q)

‘CQS 14’;

(r)

‘CQS 15’;

(s)

‘CQS 16’;

(t)

‘CQS 17’;

(u)

‘CQS All Other’;

0070

Default risk weight

Article 325v(1), point (f), Article 325y(1) and (2), Article 325aa(1) and Article 325ad(1) of Regulation (EU) No 575/2013

Institutions shall report the relevant risk weight. Risk weights applied to securitisation exposures shall be reported after multiplication by 8 % in accordance with Article 325aa(1) of Regulation (EU) No 575/2013.

0080

Seniority

Article 325w(3) and (6) of Regulation (EU) No 575/2013

The seniority of the exposure shall be reported. Where the risk class reported in column 0020 corresponds to ‘Instruments other than securitisation positions’ or ‘securitisation positions that are not included in the ACTP’, the answer shall be one of the following:

(a)

‘Equity instruments’;

(b)

‘Non-senior debt instruments’;

(c)

‘Senior debt instruments’;

(d)

‘Covered bonds’.

The cell shall be left blank where none of those cases applies.

0090

Maturity

Articles 325x, 325z and 325ac of Regulation (EU) No 575/2013

The maturity date of the exposure shall be reported. The ‘dd/mm/yyyy’ convention shall be adopted to report the date.

0100

Recovery rate

Article 325v(1), point (e), of Regulation (EU) No 575/2013

Institutions shall report the recovery rate. The recovery rate shall be calculated using the applicable loss given default (LGD) as recovery rate = 1 – LGD.

The recovery rate reported figure shall be expressed as a decimal value, between 0 and 1, with a minimum precision of four decimal places.

0110

Direction

Article 325v(1), points (a) and (b), of Regulation (EU) No 575/2013

Institutions shall report the direction of the exposure in accordance with the definitions of Article 325v(1), points (a) and (b), of Regulation (EU) No 575/2013. The answer shall be one of the following:

(a)

‘Short exposure’;

(b)

‘Long exposure’.

0120

Attachment point (%)

Articles 325aa and 325ad of Regulation (EU) No 575/2013

Where the reported exposure refers to a tranche, institutions shall report the attachment point of the tranche.

The reported figure shall be expressed as a decimal with a minimum precision of four decimal places.

0130

Detachment point (%)

Articles 325aa and 325ad of Regulation (EU) No 575/2013

Where the reported exposure refers to a tranche, institutions shall report the detachment point of the tranche.

The reported figure shall be expressed as a decimal with a minimum precision of four decimal places.

0140-0170

Reporting currency results

The values shall be reported referring to the institution’s reporting currency and shall be expressed with a minimum precision of two decimal places where applicable.

0140

Notional

Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013

Where the risk class reported in column 0020 corresponds to ‘Instruments other than securitisation positions’, institutions shall report the notional amount of the instrument. The value shall correspond to the term V notional in Article 325w(1) and (2) of Regulation (EU) No 575/2013 or the term V in Article 325w(5) of that Regulation, depending on the type of exposure.

The cell shall be left blank where none of those cases applies or where the institution does not explicitly calculate or use the amount to be reported in this column in order to estimate the Gross jump-to-default (JTD) amount.

0150

P&L + Adjustment

Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013

Institutions shall report the sum of P&L and Adjustment for each exposure:

—

Where the risk class reported in column 0020 corresponds to ‘Instruments other than securitisation positions’ and the reported exposure is a long exposure, institutions shall report the sum of P&L long and Adjustment long in accordance with Article 325w(1) of Regulation (EU) No 575/2013.

—

Where the risk class reported in column 0020 corresponds to ‘Instruments other than securitisation positions’ and the reported exposure is a short exposure, institutions shall report the sum of P&L short and Adjustment short in accordance with Article 325w(2) of that Regulation.

0160

Gross JTD amount

Article 325v(1), point (c), Article 325w(1), (2) and (5), Article 325z(1) and Article 325ac(2) of Regulation (EU) No 575/2013

Institutions shall report the gross JTD amount for the specific exposure.

0170

Currency

The reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation).

0180-0200

EBA portfolio currency results

Sections 3 and 4 of Annex V to this Regulation and Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013

The values shall be reported following the instructions for column 0030 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation.

0180

Notional

Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013

0190

P&L + Adjustment

Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013

Institutions shall report the sum of P&L and Adjustment for each exposure:

—

0200

Gross JTD amount

Article 325v(1), point (c), Article 325w(1), (2) and (5), Article 325z(1) and Article 325ac(2) of Regulation (EU) No 575/2013

Institutions shall report the gross jump-to-default (JTD) amount for the specific exposure.

C 120.05 –

DRC. OFR COMPOSITION BY PORTFOLIO

Instructions concerning sheets (z-axis)

Label

Legal reference

Instructions

Portfolio

Sections 3, 4 and 5 of Annex V

The number of the portfolio taken from Annex V shall be reported.

Column

Label

Legal reference

Instructions

0010

Risk class

Article 325v(2) of Regulation (EU) No 575/2013

The risk class for which default risk requirement are reported in columns 0030 and 0040 shall be reported. The answer shall be one of the following instrument types:

(a)

‘instruments other than securitisation positions’;

(b)

‘ securitisation positions that are not included in the ACTP’;

(c)

‘ securitisation positions that are included in the ACTP’.

0020

Bucket1

Article 325y(3), Article 325aa(4) and Article 325ad(2) of Regulation (EU) No 575/2013

The bucket shall be reported.

Where the risk class reported in column 0010 corresponds to ‘Instruments other than securitisation positions’, the answer shall be one of the following:

(a)

‘corporates’;

(b)

‘sovereigns’;

(c)

‘local governments/municipalities’.

Where instead the risk class reported in column 0010 corresponds to ‘ securitisation positions that are not included in the ACTP’, the answer shall be one of the following:

(d)

‘ABCP – Asia’;

(e)

‘ABCP – Europe’;

(f)

‘ABCP – North America’;

(g)

‘ABCP – Rest of the world’;

(h)

‘Auto loans/leases – Asia’;

(i)

‘Auto loans/leases – Europe’;

(j)

‘Auto loans/leases – North America’;

(k)

‘Auto loans/leases – Rest of the world’;

(l)

‘Collateralised debt obligations squared (CDO-squared) – Asia’;

(m)

‘Collateralised debt obligations squared (CDO-squared) – Europe’;

(n)

‘Collateralised debt obligations squared (CDO-squared) – North America’;

(o)

‘Collateralised debt obligations squared (CDO-squared) – Rest of the world’;

(p)

‘Collateralised loan obligations – Asia’;

(q)

‘Collateralised loan obligations – Europe’;

(r)

‘Collateralised loan obligations – North America’;

(s)

‘Collateralised loan obligations – Rest of the world’;

(t)

‘Commercial mortgage-backed securities (CMBS) – Asia’;

(u)

‘Commercial mortgage-backed securities (CMBS) – Europe’;

(v)

‘Commercial mortgage-backed securities (CMBS) – North America’;

(w)

‘Commercial mortgage-backed securities (CMBS) – Rest of the world’;

(x)

‘Credit cards – Asia’;

(y)

‘Credit cards – Europe’;

(z)

‘Credit cards – North America’;

(aa)

‘Credit cards – Rest of the world’;

(bb)

‘Other retail – Asia’;

(cc)

‘Other retail – Europe’;

(dd)

‘Other retail – North America’;

(ee)

‘Other retail – Rest of the world’;

(ff)

‘Other wholesale – Asia’;

(gg)

‘Other wholesale – Europe’;

(hh)

‘Other wholesale – North America’;

(ii)

‘Other wholesale – Rest of the world’;

(jj)

‘Residential mortgage-backed securities (RMBS) – Asia’;

(kk)

‘Residential mortgage-backed securities (RMBS) – Europe’;

(ll)

‘Residential mortgage-backed securities (RMBS) – North America’;

(mm)

‘Residential mortgage-backed securities (RMBS) – Rest of the world’;

(nn)

‘Small and medium-sized enterprises (SMEs) – Asia’;

(oo)

‘Small and medium-sized enterprises (SMEs) – Europe’;

(pp)

‘Small and medium-sized enterprises (SMEs) – North America’;

(qq)

‘Small and medium-sized enterprises (SMEs) – Rest of the world’;

(rr)

‘Student loans – Asia’;

(ss)

‘Student loans – Europe’;

(tt)

‘Student loans – North America’;

(uu)

‘Student loans – Rest of the world’.

Where instead the risk class reported in column 0010 corresponds to ‘ securitisation positions that are included in the ACTP’, the answer shall be ‘ securitisations that are included in the ACTP’.

0030

Bucket2

Article 325ad(2) of Regulation (EU) No 575/2013

Where the risk class reported in column 0010 corresponds to ‘ securitisation positions that are included in the ACTP’, the answer shall be the name of the index, otherwise it shall be left (NUL)

0040

Own funds requirements (Reporting currency results)

Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013

Own funds requirements for default risk shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation). The values shall be reported in the institution’s reporting currency and shall be expressed with a minimum precision of two decimal places.

0050

Reporting currency

The reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation).

0060

Own funds requirements (EBA portfolio currency results)

Sections 3 and 4 of Annex V to this Regulation and Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013

C 120.06 –

ASA. OFR

Column

Label

Legal reference

Instructions

0010

Portfolio number

Sections 3, 4 and 5 of Annex V

The number of the portfolio taken from Annex V shall be reported.

0020-0040

Reporting currency results

Sections 3 and 4 of Annex V

0020

SBM OFR

Article 325h of Regulation (EU) No 575/2013

Own funds requirements for the sensitivities-based method of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.

0030

DRC OFR

Article 325v of Regulation (EU) No 575/2013

Own funds requirements for the default risk requirement of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.

0040

RRAO OFR

Article 325u of Regulation (EU) No 575/2013

Own funds requirements for the residual risk add-on of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.

0050-0070

EBA portfolio currency results

Sections 3 and 4 of Annex V

When the reporting currency of the institution is different from the EBA portfolio currencies specified in Sections 3 and 4 of Annex V, the institutions shall convert the reporting currency at the applicable ECB spot exchange rate.

0050

SBM OFR

Article 325h of Regulation (EU) No 575/2013

0060

DRC OFR

Article 325v of Regulation (EU) No 575/2013

0070

RRAO OFR

Article 325u of Regulation (EU) No 575/2013

Table: guidance for the reporting of templates 106.01 (column 0010) and 120.01 (column 0020)

—

The column "risk class" refers to Article 325d(1) of Regulation (EU) No 575/2013. The following acronyms are used to denote the risk classes:

(a)

“GIRR” (general interest rate risk);

(b)

“CSR_NON_SEC” (credit spread risk (CSR) for non-securitisation);

(c)

“CSR_SEC_NON_ACTP” (credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR));

(d)

“CSR_SEC_ACTP” (credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR));

(e)

“EQ” (equity risk);

(f)

“CM” (commodity risk);

(g)

“FX” (foreign exchange risk).

—

The column "component" refers to Article 325e(1) of Regulation (EU) No 575/2013. The following acronyms are used to denote the components of the sensitivities-based method:

(a)

“DELTA” (delta risk);

(b)

“VEGA” (vega risk);

(c)

“CURVATURE” (curvature risk).

—

The column "maturity" refers to the maturity of the risk factor, where risk factors are defined along specified vertices following Articles 325l, 325m, 325n, 325o, 325p and 325q of Regulation (EU) No 575/2013. For vega general interest rate risk factors as specified in Article 325l(7) of that Regulation two maturities are given and separated by a hyphen (e.g. “0,5 years – 0,5 years”), the first refers to the maturity of the option and the second to residual maturity of the underlying of the option at the expiry date of the option.

—

The column "additional specifications" further specifies the respective risk factor with regards to the distinction between inflation risk and cross-currency basis risk factors according to Article 325l of Regulation (EU) No 575/2013, the distinction between risk factors relating to debt instruments and risk factors relating to credit default swaps according to Articles 325m and 325n of that Regulation, the distinction between equity spot price and equity repo rate risk factors according to Article 325o of that Regulation and the distinction between the upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Article 325g of that Regulation.

Risk class

Component

Maturity

Additional specification

Risk factor identifier

Legal reference

DELTA

0 years

CM_D_00.00

Article 325p of Regulation (EU) No 575/2013

DELTA

0,25 years

CM_D_00.25

Article 325p of Regulation (EU) No 575/2013

DELTA

0,5 years

CM_D_00.50

Article 325p of Regulation (EU) No 575/2013

DELTA

1 year

CM_D_01.00

Article 325p of Regulation (EU) No 575/2013

DELTA

2 years

CM_D_02.00

Article 325p of Regulation (EU) No 575/2013

DELTA

3 years

CM_D_03.00

Article 325p of Regulation (EU) No 575/2013

DELTA

5 years

CM_D_05.00

Article 325p of Regulation (EU) No 575/2013

DELTA

10 years

CM_D_10.00

Article 325p of Regulation (EU) No 575/2013

DELTA

15 years

CM_D_15.00

Article 325p of Regulation (EU) No 575/2013

DELTA

20 years

CM_D_20.00

Article 325p of Regulation (EU) No 575/2013

DELTA

30 years

CM_D_30.00

Article 325p of Regulation (EU) No 575/2013

VEGA

0,5 years

CM_V_00.50

Article 325p of Regulation (EU) No 575/2013

VEGA

1 year

CM_V_01.00

Article 325p of Regulation (EU) No 575/2013

VEGA

3 years

CM_V_03.00

Article 325p of Regulation (EU) No 575/2013

VEGA

5 years

CM_V_05.00

Article 325p of Regulation (EU) No 575/2013

VEGA

10 years

CM_V_10.00

Article 325p of Regulation (EU) No 575/2013

CURVATURE

Upward shift

CM_CU

Articles 325p, 325g of Regulation (EU) No 575/2013

CURVATURE

Downward shift

CM_CD

Articles 325p, 325g of Regulation (EU) No 575/2013

CSR_NON_SEC

DELTA

0,5 years

Debt instrument

CSR_NON_SEC_D_00.50_DEBT

Article 325m of Regulation (EU) No 575/2013

CSR_NON_SEC

DELTA

1 year

Debt instrument

CSR_NON_SEC_D_01.00_DEBT

Article 325m of Regulation (EU) No 575/2013

CSR_NON_SEC

DELTA

3 years

Debt instrument

CSR_NON_SEC_D_03.00_DEBT

Article 325m of Regulation (EU) No 575/2013

CSR_NON_SEC

DELTA

5 years

Debt instrument

CSR_NON_SEC_D_05.00_DEBT

Article 325m of Regulation (EU) No 575/2013

CSR_NON_SEC

DELTA

10 years

Debt instrument

CSR_NON_SEC_D_10.00_DEBT

Article 325m of Regulation (EU) No 575/2013

CSR_NON_SEC

DELTA

0,5 years

Credit Default Swap

CSR_NON_SEC_D_00.50_CDS

Article 325m of Regulation (EU) No 575/2013

CSR_NON_SEC

DELTA

1 year

Credit Default Swap

CSR_NON_SEC_D_01.00_CDS

Article 325m of Regulation (EU) No 575/2013

CSR_NON_SEC

DELTA

3 years

Credit Default Swap

CSR_NON_SEC_D_03.00_CDS

Article 325m of Regulation (EU) No 575/2013

CSR_NON_SEC

DELTA

5 years

Credit Default Swap

CSR_NON_SEC_D_05.00_CDS

Article 325m of Regulation (EU) No 575/2013

CSR_NON_SEC

DELTA

10 years

Credit Default Swap

CSR_NON_SEC_D_10.00_CDS

Article 325m of Regulation (EU) No 575/2013

CSR_NON_SEC

VEGA

0,5 years

CSR_NON_SEC_V_00.50

Article 325m of Regulation (EU) No 575/2013

CSR_NON_SEC

VEGA

1 year

CSR_NON_SEC_V_01.00

Article 325m of Regulation (EU) No 575/2013

CSR_NON_SEC

VEGA

3 years

CSR_NON_SEC_V_03.00

Article 325m of Regulation (EU) No 575/2013

CSR_NON_SEC

VEGA

5 years

CSR_NON_SEC_V_05.00

Article 325m of Regulation (EU) No 575/2013

CSR_NON_SEC

VEGA

10 years

CSR_NON_SEC_V_10.00

Article 325m of Regulation (EU) No 575/2013

CSR_NON_SEC

CURVATURE

Upward shift

CSR_NON_SEC_CU

Articles 325m, 325g of Regulation (EU) No 575/2013

CSR_NON_SEC

CURVATURE

Downward shift

CSR_NON_SEC_CD

Articles 325m, 325g of Regulation (EU) No 575/2013

CSR_SEC_ACTP

DELTA

0,5 years

Debt instrument

CSR_SEC_ACTP_D_00.50_DEBT

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_ACTP

DELTA

1 year

Debt instrument

CSR_SEC_ACTP_D_01.00_DEBT

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_ACTP

DELTA

3 years

Debt instrument

CSR_SEC_ACTP_D_03.00_DEBT

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_ACTP

DELTA

5 years

Debt instrument

CSR_SEC_ACTP_D_05.00_DEBT

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_ACTP

DELTA

10 years

Debt instrument

CSR_SEC_ACTP_D_10.00_DEBT

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_ACTP

DELTA

0,5 years

Credit Default Swap

CSR_SEC_ACTP_D_00.50_CDS

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_ACTP

DELTA

1 year

Credit Default Swap

CSR_SEC_ACTP_D_01.00_CDS

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_ACTP

DELTA

3 years

Credit Default Swap

CSR_SEC_ACTP_D_03.00_CDS

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_ACTP

DELTA

5 years

Credit Default Swap

CSR_SEC_ACTP_D_05.00_CDS

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_ACTP

DELTA

10 years

Credit Default Swap

CSR_SEC_ACTP_D_10.00_CDS

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_ACTP

VEGA

0,5 years

CSR_SEC_ACTP_V_00.50

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_ACTP

VEGA

1 year

CSR_SEC_ACTP_V_01.00

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_ACTP

VEGA

3 years

CSR_SEC_ACTP_V_03.00

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_ACTP

VEGA

5 years

CSR_SEC_ACTP_V_05.00

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_ACTP

VEGA

10 years

CSR_SEC_ACTP_V_10.00

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_ACTP

CURVATURE

Upward shift

CSR_SEC_ACTP_CU

Articles 325n, 325g of Regulation (EU) No 575/2013

CSR_SEC_ACTP

CURVATURE

Downward shift

CSR_SEC_ACTP_CD

Articles 325n, 325g of Regulation (EU) No 575/2013

CSR_SEC_NON_ACTP

DELTA

0,5 years

Debt instrument

CSR_SEC_NON_ACTP_D_00.50_DEBT

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_NON_ACTP

DELTA

1 year

Debt instrument

CSR_SEC_NON_ACTP_D_01.00_DEBT

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_NON_ACTP

DELTA

3 years

Debt instrument

CSR_SEC_NON_ACTP_D_03.00_DEBT

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_NON_ACTP

DELTA

5 years

Debt instrument

CSR_SEC_NON_ACTP_D_05.00_DEBT

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_NON_ACTP

DELTA

10 years

Debt instrument

CSR_SEC_NON_ACTP_D_10.00_DEBT

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_NON_ACTP

DELTA

0,5 years

Credit Default Swap

CSR_SEC_NON_ACTP_D_00.50_CDS

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_NON_ACTP

DELTA

1 year

Credit Default Swap

CSR_SEC_NON_ACTP_D_01.00_CDS

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_NON_ACTP

DELTA

3 years

Credit Default Swap

CSR_SEC_NON_ACTP_D_03.00_CDS

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_NON_ACTP

DELTA

5 years

Credit Default Swap

CSR_SEC_NON_ACTP_D_05.00_CDS

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_NON_ACTP

DELTA

10 years

Credit Default Swap

CSR_SEC_NON_ACTP_D_10.00_CDS

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_NON_ACTP

VEGA

0,5 years

CSR_SEC_NON_ACTP_V_00.50

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_NON_ACTP

VEGA

1 year

CSR_SEC_NON_ACTP_V_01.00

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_NON_ACTP

VEGA

3 years

CSR_SEC_NON_ACTP_V_03.00

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_NON_ACTP

VEGA

5 years

CSR_SEC_NON_ACTP_V_05.00

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_NON_ACTP

VEGA

10 years

CSR_SEC_NON_ACTP_V_10.00

Article 325n of Regulation (EU) No 575/2013

CSR_SEC_NON_ACTP

CURVATURE

Upward shift

CSR_SEC_NON_ACTP_CU

Articles 325n, 325g of Regulation (EU) No 575/2013

CSR_SEC_NON_ACTP

CURVATURE

Downward shift

CSR_SEC_NON_ACTP_CD

Articles 325n, 325g of Regulation (EU) No 575/2013

DELTA

Spot price

EQ_D_SPOT

Article 325o of Regulation (EU) No 575/2013

DELTA

Repo rate

EQ_D_REPO

Article 325o of Regulation (EU) No 575/2013

VEGA

0,5 years

EQ_V_00.50

Article 325o of Regulation (EU) No 575/2013

VEGA

1 year

EQ_V_01.00

Article 325o of Regulation (EU) No 575/2013

VEGA

3 years

EQ_V_03.00

Article 325o of Regulation (EU) No 575/2013

VEGA

5 years

EQ_V_05.00

Article 325o of Regulation (EU) No 575/2013

VEGA

10 years

EQ_V_10.00

Article 325o of Regulation (EU) No 575/2013

CURVATURE

Upward shift

EQ_CU

Articles 325o, 325g of Regulation (EU) No 575/2013

CURVATURE

Downward shift

EQ_CD

Articles 325o, 325g of Regulation (EU) No 575/2013

DELTA

FX_D

Article 325q of Regulation (EU) No 575/2013

VEGA

0,5 years

FX_V_00.50

Article 325q of Regulation (EU) No 575/2013

VEGA

1 year

FX_V_01.00

Article 325q of Regulation (EU) No 575/2013

VEGA

3 years

FX_V_03.00

Article 325q of Regulation (EU) No 575/2013

VEGA

5 years

FX_V_05.00

Article 325q of Regulation (EU) No 575/2013

VEGA

10 years

FX_V_10.00

Article 325q of Regulation (EU) No 575/2013

CURVATURE

Upward shift

FX_CU

Articles 325q, 325g of Regulation (EU) No 575/2013

CURVATURE

Downward shift

FX_CD

Articles 325q, 325g of Regulation (EU) No 575/2013

GIRR

DELTA

0,25 years

GIRR_D_00.25