EBA QIS end-December 2023 exercise Template Instructions v5.1

EBA - Template Instructions
EU panels Basel III monitoring exercise
End-December 2023 exercise (v.5.1 December 2023)

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Contents

1. Introduction 6
2. General Info 7
   2.1 Panel A5: Approaches for market risk 7
3. EU General Info 7
   3.1 Panel A1: Identification data 7
   3.2 Panel A2: Approaches to counterparty credit risk for derivatives 7
   3.3 Panel A3: Approaches to CVA risk 8
4. Credit risk reforms 9
   4.1 Overview 9
   4.2 Worksheet “Credit risk (SA)” 9
   4.2.1 Column AI to AK of Panel A1: EU-specific: transitional SA-CCR application for credit risk
   output floor 10
   4.2.2 Column AL to AO of Panel A: additional columns on UCC 11
   4.2.3 Panel B: Additional information for the purposes of calculating the impact of supporting
   factors 11
   4.2.4 Panel B.1: SME supporting factor 11
   4.2.5 Panel B.2: Infrastructure supporting factor 14
   4.2.6 Panel C: Additional information for equity exposures 16
   4.2.7 Panel D: Additional information for trade finance off balance sheet items 19
   4.2.8 Panel E: Additional information for Real estate exposures 21
   4.2.9 Panel F: Additional information for policy insurance 22
   4.2.10 Panel G: Additional information for leasing exposures 22
   4.3 Worksheet “Credit risk (IRB)” 25
   4.3.1 Column CT to CV of Panel A: transitional SA-CCR application for credit risk output floor
   4.3.2 Column CWto CY of Panel A: SA-CCR Keeping revised CCR approaches (incl. IMM) for
   credit risk output floor 27
   4.3.3 Column CZ to DG of Panel A: additional columns on UCC 27
   4.3.4 Panel C: Additional information for the purpose of calculating the impact of the
   supporting factors 27
   4.3.5 Panel C.1: SME supporting factor 28
   4.3.6 Panel C.2: Infrastructure supporting factor (INF SF) 30
   4.3.7 Panel D: EU Additional information on unrated corporates 32
   4.3.8 Panel E: Additional information for equity IRB Exposures 35
   4.3.9 Panel F: Additional information for trade finance off balance sheet items 38
   4.3.10 Panel G: Additional information for policy insurance 39
   4.3.11 Panel H: Additional information for leasing exposures 40
   4.4 Worksheet “EU RRE” 42

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
4.4.1 Panel A: Loss Rate 42
4.4.2 Panel B: IRBA exposure secured by real estate 43
4.4.3 Panels C to J 44
4.5 Worksheet “EU ADC” 45
5. Securitisation 52
5.1.1 Column W of Panel A.2: Output floor - EU Specific: transitional arrangement for
securitisation 52
6. CCR and CVA 53
6.1 CCR and CVA worksheet 53
6.2 EU CVA worksheet 53
6.2.1 Panel A: Size of derivatives business 54
6.2.2 Panel B: CVA capital requirements 55
6.3 EU CCP worksheet 66
6.3.1 Panel A: Central counterparties 66
6.3.2 Panel B: CCP exposure 69
7. FRTB 77
7.1 EU TB SSRM worksheet 77
7.1.1 Panel A: Number of risk factors (or buckets) 77
7.1.2 Panel B1: Revised market risk requirements for non-modellable risk factors under the
EBA SSRM methodology 78
7.1.3 Panel B2: Revised market risk requirements for modellable risk factors only under the
EBA SSRM methodology 80
7.1.4 Panel C: Number of risk factors (or buckets) by SSRM method 80
8. Prudent Valuation 82
8.1 EU PruVal 82
8.2 Panel A: Threshold for applying the simplified approach 82
8.3 Panel B: AVAs under the core approach (Panels B.1 to B.7) 83
8.3.1 Overview and general instructions 83
8.3.2 Panel B.1: Portfolios under the fall-back approach 84
8.3.3 Panel B.2: Positions under the core approach (other than positions currently subject to
the fall-back approach): Eligible data sources and recency requirements 84
8.3.4 Panel B.3: Positions under the core approach (other than positions subject to the fall￾back approach) where the institution currently makes use of the dimensionality reduction87
8.3.5 Panel B.4: Positions under the core approach (other than positions currently subject to
the fall-back approach): FAC AVAs 87
8.3.6 Panel B.5: Positions under the core approach (other than positions currently subject to
the fall-back approach): UCS AVAs 88
8.3.7 Panel B.6: Positions under the core approach (other than positions currently subject to
the fall-back approach): Unadjusted IPV differences 88
8.3.8 Panel B.7: Overall impact of the proposal 88
9. Operational Risk 90
9.1 Balance sheet and other items (panel A) 91

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
9.2 Income statement (panel B) 91
9.3 Operational losses (panel C) 95
9.4 Standardised approach component calculations (panel D) 98
9.5 Risk-weighted assets and regulatory add-ons (panel E) 101
10. Interest rate risk in the banking book (IRRBB) 104
10.1 Introduction 104
10.2 General aspects 105
10.2.1 Structure of the comprehensive IRRBB QIS 105
10.2.2 Scope of the comprehensive IRRBB QIS 106
10.2.3 Scope of instruments 106
10.2.4 Reporting currencies 106
10.2.5 Interest rate curves 106
10.2.6 Sign convention and formats 106
10.3 Panel A: IRRBB results (Recalibration of shock scenarios) 109
10.4 Panel B: Stratification of retail NMD accounts 110
10.5 Panel C: Basis Risk 114
10.6 Panel D: Credit spread risk in the banking book (CSRBB) 119
10.7 Panel E: Repricing rates for new business and NMDs remunerated at 0% 126
10.8 Panel F: Interest rates hedging practices 134
10.9 IRRBB – Specific Glossary 137
ANNEX: DEFINITION OF CHECKS INCLUDED IN THE EU TEMPLATES 141
Checks included in the Credit Risk (SA) template 141 Checks included in the template Credit risk (IRB) 145 Checks included in the template EU RRE 149

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Abbreviations EBA European Banking Authority ADC (Land) Acquisition, Development and Construction AVA Additional Valuation Adjustments BCBS Basel Committee on Banking Supervision CCPs Central counterparties CCR Counterparty credit risk CET1 Common equity tier 1 CfA Call for Advice COC Close out Cost C-QIS Comprehensive quantitative impact study CR Credit risk CRD IV Capital Requirements Directive – Directive 2013/36/EU CRE Commercial real estate CRR Capital Requirements Regulation – Regulation (EU) No 575/2013 CVA Credit Value Adjustment GCRE General commercial real estate GRRE General residential real estate IFC Investment and Funding Costs IPCRE Income-producing commercial real estate IPRRE Income-producing residential real estate IRB Internal Rating Based MPU Market Price Uncertainty MREL Minimum requirement for own funds and eligible liabilities RRE Residential real estate RWA Risk weighted assets SA Standardised Approach SFT Securities financing transaction SME Small and medium enterprise TLAC Total loss absorbing capacity UCC Unconditionally Cancellable Commitments UCS Unearned Credit Spreads

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
1. Introduction
1. The European Banking Authority (EBA) regularly monitors the impact of the implementation of the
Basel III standards on a sample of EU institutions. Such assessment is done on an annual basis and the exercise is run in parallel with the monitoring exercise carried out by the Basel Committee on Banking Supervision (BCBS). 1
2. The current QIS data collection (reference date: December 2023) includes additional templates and
panels to collect additional information for EU banks. The purpose of these additional panels and templates is to collect data on EU specificities existing in the current CRR-CRD framework or additional specific items which are part of the final provisional agreement to implement Basel III in Europe 2 (from now on CRR3 final provisional agreement). The intention of collecting this additional data is to better understand the impact of the implementation of Basel III in Europe, considering the impact of those EU specificities that are considered as potentially more impactful. Additionally, the data collected may serve the EBA to answer several mandates included in the CRR3 final provisional agreement. Finally, the information on the IRRBB and the “EU PruVal” templates will serve EBA monitoring purposes.
3. In particular, EU banks are required to fill in the EU-specific worksheets “EU RRE”, “EU ADC”, “EU TB
SSRM”, “EU PruVal”, “EU OpRisk”, “EU CVA”, “EU CCP” and “EU General Info” and the EU-specific panels in “Credit risk (SA)”, “Credit risk (IRB)”, “Securitisation”, and “CCR and CVA”.
4. The EBA is mindful of the burden placed on the institutions that participate in the data collection.
Therefore, the additional information, to be completed on a best effort basis, has been designed so as to minimise the volume of requested data.
5. This document provides specific instructions on how to fill in the EU-specific information and it should
be read in conjunction with the BCBS Basel III monitoring instructions. https://www.bis.org/bcbs/qis/ See final provisional agreement here.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
2. General Info
2.1 Panel A5: Approaches for market risk
6. Only banks that meet the conditions set out in Article 325a of the CRR2 may indicate the simplified
SA under the revised framework (cell D48) and such banks should only complete panel B1a. For such banks, data submitted in panels B1b, B2, B3, B4 and C (i.e. capital requirements under the revised SA or internal models approach) will be ignored.
3. EU General Info
3.1 Panel A1: Identification data
7. Panel A1 collects general information that will allow identifying the Bank for the purposes of using,
where appropriate, the bank’s reporting data in COREP.
Row Column Heading Description
4 C
LEI code of the
Bank
All institutions should disclose in this cell the valid Legal Entity Identifier (LEI) of the bank
8. It is very important to point out that the information regarding the LEI of the bank is strictly
confidential and the EBA will treat it as such. Results will not be disclosed at bank level and the LEI and name of the participating bank will only be used internally by the EBA for using, where appropriate, the bank’s reporting data in COREP. For the banks participating in the BCBS monitoring exercise, their relevant templates will be shared with BCBS for the purpose of EBA/BCBS monitoring exercise without, though, disclosing the LEI information to the BCBS.
3.2 Panel A2: Approaches to counterparty credit risk for derivatives
9. Panel A2 collects information on the approaches to counterparty credit risk for derivatives used under
the current framework. Please note that following the implementation of the revised CCR approaches in the CRR that are applicable since 28 June 2021, the calculation of capital requirements under the current framework should equal the calculation of capital requirements for counterparty credit risk under the revised framework. This panel complements the information collected in the “General Info” worksheet, rows 18 to 22. Row Column Heading Description 7 C Original Exposure Method (OEM) - CRR Article 282 Indicate whether the Original Exposure Method (OEM) as set out in CRR
Article 282 is used to calculate the counterparty credit risk exposure
amounts associated with derivatives contracts for a portion of the exposures reported in this study.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description 8 C Simplified SA-CCR – CRR Article 281 Indicate whether the simplified SA-CCR as set out in CRR Article 281 is used to calculate the counterparty credit risk exposure amounts associated with derivatives contracts for a portion of the exposures reported in this study.
3.3 Panel A3: Approaches to CVA risk
10. Panel A3 collects information on the approaches to CVA risk used under the current framework. This
panel complements the information collected in the “General Info” worksheet, rows 38 to 42. Row Column Heading Description 11 C Alternative method - CRR Article 385, current framework Indicate whether the Alternative Method based on Original Exposure Method (OEM) as set out in CRR Article 385 is used under the current framework to calculate own funds requirements for CVA risk for a portion of the exposures reported in this study.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
4. Credit risk reforms
4.1 Overview
11. The EU-specific panels aim to assess various options and discretions included in the revised Basel III
standards. These worksheets include EU-specific panels in order to collect information regarding specificities of the existing EU regulation compared to Basel framework related to CR SA and IRB. They also collect specific data on additional specific items which are part of CRR3 final provisional agreement.
12. Only banks using the SA (as indicated in cell C11 of Worksheet “General Info”) have to fill in
Worksheet “Credit risk (SA)”. Similarly, only banks using the IRB approach (as indicated in cells C12 and C13 of Worksheet “General Info”) need to complete Worksheet “Credit risk (IRB)”. IRB banks with partial use of the standardised approach have to complete both worksheets.
13. The template “EU RRE” needs to be completed by banks using the IRB approach only (as indicated in
cells C12 and C13 of Worksheet “General Info”).
14. The “EU ADC” template needs to be completed by both types of banks, banks using SA and banks
using the IRB approach. However, banks should fill either panel A.1 or panel A.2 depending on the approach they use to measure RWAs for ADC exposures. All banks should fill panel B, C and D. Scope of the Credit Risk Worksheets
15. The scope of “Credit risk (SA)” and “Credit risk (IRB)” worksheets is the same as described in the Basel
instructions:

• The scope of SA credit risk worksheets (“Credit risk (SA)”) is the current SA portfolio;
• The scope of IRB credit risk worksheets (“Credit risk (IRB)”) is the current IRB portfolio: exposures
  moving to standardised approach due to substitution; equity exposures moving to standardised approach, and remaining IRB exposures. The same logic applies to the “EU RRE template” but limited to the “Exposures secured by residential real estate” portfolio.

16. The Scope of the EU ADC template includes ADC exposures that are currently risk-weighted using the
    SA or the IRB approach.
    4.2 Worksheet “Credit risk (SA)”
17. The additional EU-specific panels in this worksheet aim at assessing alternative scenarios/calibrations
    under the revised framework. In particular:

• Column AI to AK of Panel A1: collects information on the transitional arrangement for the
  application of the SA-CCR approach (alpha=1) in the credit risk SA output floor calculation.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)

• Column AL to AO of Panel A1: collects additional information on UCCs.
• Panel B.1: collects information allowing to measure the impact of the CRR2 SME Supporting
  Factors under either the baseline or target scenarios.
• Panel B.2: collects information allowing to measure the impact of the CRR2 Infrastructure
  Lending Supporting Factors under either the baseline or target scenarios.
• Panel C: collects information about the CRR3 final provisional agreement treatment for
  equity exposures.
• Panel D: collects information for trade finance off balance sheet items.
• Panel E: collects information for real estate exposures.
• Panel F: collects additional information on policy insurance.
• Panel G: collects additional information for leasing exposures.
  4.2.1 Column AI to AK of Panel A1: EU-specific: transitional SA-CCR application for credit
  risk output floor
  18.Article 465(4) of the CRR3 final provisional agreement introduces a transitional implementation for the application of the SA-CCR approach in the credit risk output floor calculation. In this regard, exposures values of contracts listed in Annex II of the CRR that are calculated in accordance with the IMM approach for RWA that are not subject to a floor, should use the SA-CCR approach for the purpose of the floored RWA and set alpha=1 until 31 December 2029. The transitional SA-CCR approach (alpha=1) does not apply to exposures values of contracts listed in Annex II of the CRR that are calculated under the SA-CCR for RWA calculation that is not subject to a floor, i.e. exposures for which institutions apply the SA-CCR in columns R to AC. Columns AI to AK of Panel A1 aim to collect information on the impact of the SA-CCR transitional arrangement for the output floor calculation.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
19. Columns AI to AK of panel A1 only apply to institutions that use the IMM approach to calculate
exposures of derivative transactions for the purpose of calculating RWA that are not subject to a floor under the credit risk SA in columns R to AC. All other institutions should leave the panel empty. Column Headings Description Full non-modelling approach Use of SA-CCR with alpha = 1 for CCR exposures calculated under the IMM for RWA not subject to a floor, and CR-SA for RWA calculation Leave empty if IMM not applied AI Total exposures (post-CCF, post-CRM) Non entry cell. Total credit exposure after application of CCF and CRM and applying the transitional SA-CCR approach (alpha =1) for calculating exposures of derivative transactions that are calculated in accordance with the IMM approach for RWA not subject to a floor. It is calculated automatically as the total exposure in column AF and substituting CCR exposures in column AG with the ones calculated using the transitional SA-CCR approach in column AJ. AJ of which: CCR CCR exposures calculated with the transitional SA-CCR approach (alpha =1) for exposures of derivative transactions that are calculated in accordance with the IMM approach for RWA not subject to a floor. AK RWA Total RWA computed under the final Basel III SA to credit risk and related to the exposures in column AI.
4.2.2 Column AL to AO of Panel A: additional columns on UCC
20. Banks should report the share of off-balance sheet exposure and RWAs corresponding to UCCs in
columns AM and AO. Off-balance sheet item in the form of unconditionally cancellable commitments should be identified as for the purpose of Article 495d of the CRR3 final provisional agreement.
4.2.3 Panel B: Additional information for the purposes of calculating the impact of
supporting factors
21. This Panel, that includes two tables, is meant to assess the impact of the SME supporting factor (SME
SF) as currently set out in Article 501 CRR2 (Panel B.1) and the supporting factor for infrastructure lending exposures 3 (infrastructure supporting factor, INF SF), as featured in Article 501a CRR2 (Panel B.2). 4
4.2.4 Panel B.1: SME supporting factor
22. In Panel B.1, banks should report the breakdown of exposures to which the SME supporting factor
may apply. Such breakdown is required within the following exposure classes (and sub-classes as applicable): corporates excluding SMEs, corporate SMEs, retail, exposures secured by real estate REGULATION (EU) 2019/876 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 20 May 2019 amending Regulation (EU) No 575/2013: https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:32019R0876

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) based on the exposure class classification as set out in the revised Basel III standards. The breakdown of exposures eligible for the SME supporting factor is required also for the exposure class ‘Corporates excluding SME’ because the definitions of SME applicable for the purposes of the exposure class classification and for the supporting factor eligibility are different. The row ‘Other exposures […]’ (row
226) is meant to capture all the exposure classes of the SA other than those listed in the previous
rows of Panel B.1. To be sure, the sum of exposure amounts reported in rows 193, 197, 201, 205, 226 should result in the Total Standardised Approach amounts reported under row 146 of Panel A. 23.Within each exposure class (and sub-class as applicable), including within the category ‘Other exposures’, banks should breakdown exposures compliant with the SME supporting factor as explained in the following table.
24. It should be noted that within each exposure class (and sub-class as applicable), including within the
category ‘Other exposures’, the breakdown of exposures eligible for either the SME supporting factors (Art. 501 CRR2) or the CRR2 Infrastructure supporting factor (Art. 501a CRR2), reported in Panel B.2, is expected to be mutually exclusive, i.e. a given exposure should not be eligible for both the SME and infrastructure supporting factors. Row Heading Description 195, 199, 203, 208, 212, 216, 220, 224, exposures compliant with the criteria set in Art 501 (2) CRR2, of which amount owed is below EUR 2.5 m Banks shall report in these rows exposures that comply with the criteria set in Article 501 CRR2 and for which the total amount owed (as defined by E* in Article 501 (1) CRR2) is below EUR 2.5 mln. Example: If the total amount owed is EUR 1 million, the exposure will be reported in this row. If the amount owed is EUR 3 million, the exposure will not be reported in this row. 196, 200, 204, 209, 213, 217, 221, 225, exposures compliant with the criteria set in Art 501 (2) CRR2, of which amount owed is above EUR 2.5 m Banks shall report in these row exposures that comply with the criteria set in Article 501 CRR2 and for which the total amount owed (as defined by E* in Article 501 (1) CRR2) is above EUR 2.5 mln. Example: If the total amount owed is EUR 1 million, the exposure will not be reported in this row. If the amount owed is EUR 3 million, the exposure will be fully reported in this row. 194, 198, 202, 207, 211, 215, 219, 223, of which: exposures compliant with the criteria set in Art 501 (2) CRR2; of which; These rows include formulas, computing the total of exposures compliant with Art 501(2) CRR2, as the sum of the two subsets:

• Amount owed below EUR 2.5 mln
• Amount owed above EUR 2.5 mln

25. For all columns in this panel, the same definitions apply as for those in Panel A where the same
    heading is used.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
26. The table below includes additional instructions related to columns:
Column Heading Description
D to L Amounts applying national rules at the reporting date Banks shall report in these columns amounts calculated in accordance with national rules at the reporting date, i.e. the CRR rules. This means that both the CRR2 SME supporting factor and the CRR2 INF supporting factor apply, as specified in the CRR2 5 . In columns dedicated to exposure amounts, the rows corresponding to exposure classes (and sub￾classes as applicable), including the category ‘Other Exposures under the Standardised Approach’, are formulas linked to Panel A of the worksheet. Banks shall only report exposure amounts in the rows dedicated to the breakdown on exposures that are compliant with Art. 501 CRR2. M to V Amounts applying revised Basel III rules for SA and for CCR exposures (no supporting factors) Banks shall report in these columns amounts calculated in accordance with the revised Basel III framework, i.e. no supporting factors of any type shall apply. Note that exposures to unrated corporate SME should have a 85% RW according to the Basel III framework. In columns dedicated to exposure amounts and RWAs, the rows corresponding to exposure classes (and sub-classes as applicable), including the category ‘Other Exposures under the Standardised Approach’, are formulas linked to Panel A of the worksheet. Banks shall only report exposure amounts and RWAs in the rows dedicated to the breakdown on exposures that are compliant with Art. 501 CRR2 W to Z Amounts applying revised Basel III rules for SA and for CCR exposures and including CRR2 SME Supporting Factor and the CRR2 RW for unrated corporates SME Banks shall report in these columns amounts calculated in accordance with the revised Basel III framework, applying in addition the CRR2 SME supporting factor to eligible exposures. In these columns, banks should apply a 100% RW to exposures to unrated corporate SMEs (instead of the 85% Basel III risk-weight) and apply the SME supporting factor on top, if applicable. Regulation No 575/2013

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Column Heading Description AA-AC Full non-modelling approach with CRR2 SME supporting factor (output floor) and the CRR2 RW for unrated corporates SME Only standardised approaches should be applied for the calculation of exposures and RWA reported in this column (“full non-modelling approach”). Standardised approaches should be applied in accordance with the revised Basel III framework, applying in addition the CRR2 SME supporting factor to eligible exposures. In these columns, banks should apply a 100% RW to exposures to unrated corporate SME (instead of the 85% Basel III risk-weight) and apply the SME supporting factor on top, if applicable. AD-AF Full non-modelling approach. Use of SA-CCR with alpha = 1 for CCR exposures calculated under the IMM for RWA not subject to a floor, and CR-SA for RWA calculation with SME CRR2 Supporting Factor (output floor) and the CRR2 RW for unrated corporates SME Only banks using IMM for counterparty credit risk shall fill in these columns. Banks should follow the same instructions as for columns AA to AC. The only difference should be how CCR exposures shall be calculated -> SA-CCR with alpha = 1 (Please refer to section 4.2.1 for specific instructions on this topic). Note that for retail exposures the applicable Basel III RW of 75% should apply on top of the CRR2 SME supporting factor. In these columns, banks should apply a 100% RW to exposures to unrated corporate SME (instead of the 85% Basel III risk-weight) and apply the SME supporting factor on top, if applicable.
4.2.5 Panel B.2: Infrastructure supporting factor
27. In Panel B.2, banks should report the breakdown of exposures to which the INF supporting factor may
apply. Such breakdown is required within the following exposure classes (and sub-classes as applicable): corporates excluding SMEs, corporate SMEs, specialised lending 6 . The row ‘Other exposures […]’ (row 252) is meant to capture all the exposure classes of the SA other than those listed in the previous rows of Panel B.2. To be sure, the sum of exposures amounts reported in rows 236, 238, 240, 252 should result in the Total Standardised Approach amounts reported under row 146 of Panel A. 28.Within each exposure class (and sub-class as applicable), including within the category ‘Other exposures’, banks should breakdown exposures compliant with the INF supporting factor as explained in the following table.
29. It should be noted that within each exposure class (and sub-class as applicable), including within the
category ‘Other exposures’, the breakdown of exposures eligible for either the SME supporting factors (Art. 501 CRR2) reported in Panel B.1 or the CRR2 Infrastructure supporting factor (Art. 501a Separate rows are provided for project finance, pre-operation, operational and operational (high quality) phases, object finance, and commodity finance. In general, it is expected that exposures subject to INF SF are those in project and object finance. Commodity finance was included for completeness, and to cover special cases when this exposures class could qualify for the INF SF.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) CRR2) reported in Panel B.2 is expected to be mutually exclusive, i.e. a given exposure should not be eligible for both the SME and infrastructure supporting factors. Row Heading Description 237, 239, 243, 245, 247, 249, 251, 253 exposures compliant with the criteria set in Art 501a CRR2 (INF SF) Banks shall report in this row exposures that comply with the criteria set in Art 501a of the CRR2.
30. For all columns in this panel, the same definitions apply as for those in Panel A where the same
heading is used.
31. The table below includes additional instructions related to columns:
Column Heading Description
D to L
Amounts applying national rules at the reporting date Banks shall report in these columns amounts calculated in accordance with national rules at the reporting date, i.e. the CRR rules. This means that both the CRR2 SME supporting factor and the CRR2 INF supporting factors apply, as specified in the CRR2. In columns dedicated to exposure amounts, the rows corresponding to exposure classes (and sub-classes as applicable), including the category ‘Other Exposures under the Standardised Approach’, are formulas linked to Panel A of the worksheet. Banks shall only report exposure amounts in the rows dedicated to the breakdown on exposures that are compliant with Art. 501a CRR2. M to V Amounts applying revised Basel III rules for SA and for CCR exposures (no supporting factors) Banks shall report in these columns amounts calculated in accordance with the revised Basel III framework, i.e. no supporting factors of any type shall apply.; In columns dedicated to exposure amounts and RWAs, the rows corresponding to exposure classes (and sub-classes as applicable), including the category ‘Other Exposures under the Standardised Approach’, are formulas linked to Panel A of the worksheet. Banks shall only report exposure amounts and RWAs in the rows dedicated to the breakdown on exposures that are compliant with Art. 501a CRR2. W to Z Amounts applying revised Basel III rules for SA and for CCR exposures including Banks shall report in these columns amounts calculated in accordance with the revised Basel III framework, applying in addition the CRR2 Infrastructure supporting factor.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Column Heading Description CRR2 Infrastructure Supporting Factors AA-AC Full non-modelling approach with CRR2 INF supporting factors (output floor) Only standardised approaches should be applied for the calculation of exposures and RWA reported in this column (“full non-modelling approach”). Standardised approaches should be applied in accordance with the revised Basel III framework, applying in addition the CRR2 SME supporting factor. AD-AF Full non-modelling approach Use of SA-CCR with alpha = 1 for CCR exposures calculated under the IMM for RWA not subject to a floor, and CR-SA for RWA calculation with CRR2 INF Supporting Factor (output floor) Only banks using IMM for counterparty credit risk shall fill in these columns. Banks should follow the same instructions as for columns Z to AB. The only difference should be how CCR exposures shall be calculated -> SA￾CCR with alpha = 1 (Please refer to4.2.1 for specific instructions on this topic).
4.2.6 Panel C: Additional information for equity exposures
32. This Panel aims at assessing a CRR3 final provisional agreement of equity exposures in the credit risk
portfolio. By breaking down existing Basel III categories of equity exposures, this panel distinguishes which equity exposures could benefit from a preferential risk-weight with the application of the CRR3 final provisional agreement. Following the more detailed instructions below, banks should make reference to article 49, article 133(6) and article 495a(3) of the CRR3 final provisional agreement.
33. This Panel is dedicated to exposures currently treated in SA. Exposures treated as IRB and moving to
SA are reported in the Credit Risk IRB panels accordingly.
Row Heading Description
260 Equity exposures
This line is calculated as the sum of the lines below corresponding to speculative unlisted (261), exposures to certain legislative programs (262), and others (263). The total exposure amounts in this line should match the total exposures to equities (excluding equity investments in funds) aligned with what is reported in panel A, hence, following the definitions in the revised Basel III framework. However, RWAs amounts under the revised Basel III framework may not coincide with the amounts reported in panel A, as banks are requested to apply a different risk-weight to the specific subcategories in this panel. 261 speculative unlisted This line is linked to the corresponding line in panel A. The amounts in this line represent equity exposures that are

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description classified as “speculative unlisted” following the definitions in the revised Basel III framework. exposures to certain legislative programs; This line is linked to the corresponding line in panel A. The amounts in this line represent equity exposures that are classified as “exposures to certain legislative programs” following the definitions in the revised Basel III framework. 263 others of which ; This line is calculated as the sum of the lines below corresponding to:

• ‘Equity exposures to Central banks’ (264),
• ‘Intragroup equity exposures and equity holdings
  within institutional protection schemes (IPS) Art. 49 (2) and (3) of the CRR3 final provisional agreement (265),
• ‘Equity exposures benefiting from grandfathering in
  Art. 495a (3) of the CRR3 final provisional agreement (Long term > 6 years)’ (266), and
• Other equity exposures (250% RW) (268).
  The total exposure amounts in this line should match the total exposures to other equities (excluding equity investments in funds) aligned with what is reported in line 93 of panel A, hence. However, RWA amounts under the revised Basel III framework may not coincide with the amounts reported in panel A, as banks are requested to apply a different risk-weight to the specific subcategories in this panel. Equity exposures to Central banks Banks shall report here a subset of equity exposures that represent exposures to Central banks and that are assigned a 0% risk-weight in article 133(6) of the CRR3 final provisional agreement. Intragroup equity exposures and equity holdings within institutional protection schemes (IPS) (article 49 (2) and (3)) Banks shall report here a subset of equity exposures that represent exposures to financial sector entities included in the same scope of prudential consolidation (group) and that are not deducted from capital or – subject to supervisory approval – to institutions falling within the same institutional protection scheme (IPS). It is expected that at the highest level of consolidation, intragroup equity exposures shall net out and not be visible in the template. Banks shall report in this category all IPS exposures and intra-group exposures that qualifies under Art 49(2) and (3) of the CRR and do not net out at consolidated level. Exposures reported under this line are assign a 100% risk-weight in the new Article 49 (4) of the CRR3 final provisional agreement. Equity exposures benefiting from grandfathering in Art. Banks shall report here a subset of equity exposures that may benefit from the grandfathering provision in Art. 495a (3) of the

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description 495a (3) of the CRR3 proposal (Long term > 6 years) CRR3 final provisional agreement. Banks should report here only those exposures for which they may choose to apply the grandfathering provision (i.e. banks are not expected to apply the provision if the current applicable risk-weight is higher than the applicable risk-weight in the CRR3 final provisional agreement). of which holdings of CET1 and AT1 instruments exempted from deduction according to Art 49(1) CRR Banks shall report here a subset of exposures reported in line 266. The subset of exposures should include holdings of CET1 and AT1 instruments exempted from deduction according to Art 49(1) CRR which may benefit from the grandfathering provision in Art. 495a (3) of the CRR3 final provisional agreement. Banks should report here only those exposures for which they may choose to apply the grandfathering provision (i.e. banks are not expected to apply the provision. If the current applicable risk￾weight is higher than the applicable risk-weight in the CRR3 final provisional agreement). Other equity exposures (250% RW) Banks shall report here all other equity exposures that have not been reported as ‘Equity exposures to Central banks’, ‘Intragroup equity exposures and equity holdings within institutional protection schemes (IPS) (article 49 (2) and (3))’ or ‘Equity exposures benefiting from grandfathering in Art. 495a (3) of the CRR3 final provisional agreement (Long term > 6 years)’ and that are assign a 250% risk-weight in the CRR3 final provisional agreement. of which: Equity exposures for which a 250% RW applies following the second subparagraph of Article 133 (4) of the CRR3 final provisional agreement Banks shall report here a subset of the exposures reported in line 268. This subset should include those equity exposures that, while falling under the definitions in the first subparagraph of article 133 (4) of the CRR3 final provisional agreement, they are eligible to a 250% risk-weight because they are also compliant with the second subparagraph and with paragraph 3 of the same article:
“By way of derogation from the first subparagraph, long-term equity investment, including investments in equities of corporate clients with which the institution has or intends to establish a long-term business relationship and debt-equity swaps for corporate restructuring purposes shall be assigned a risk weight in accordance with paragraph 3 or 5, as applicable. For the purposes of this Article, a long-term equity investment is an equity investment that is held for three years or longer or incurred with the intention to be held for three years or longer as approved by the institution’s senior management.” of which: Equity Exposures that are holdings of CET1 and AT1 instruments exempted from deduction according to Art 49(1) CRR Banks shall report here a subset of exposures reported in line 268. The subset of exposures should include holdings of CET1 and AT1 instruments exempted from deduction according to Art 49(1) CRR excluding those that benefit from the grandfathering

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description provision in Art. 495a (3) of the CRR3 final provisional agreement and are reported in line 267. Column Heading Description D and E Amounts applying national rules at the reporting date Banks shall report in these columns amounts calculated in accordance with national rules at the reporting date, i.e. the CRR rules. F to H Amounts applying revised Basel III rules for SA and for CCR exposures–- applying CRR3 proposal for equity exposures Banks shall report in these columns amounts calculated in accordance with the revised Basel III framework but applying the treatment for equity exposures if eligible as specified in the CRR3 final provisional agreement. In particular, banks should reflect the applicable risk-weights as defined in Article 133, article 495a (3) and article 49 (4) of the CRR3 final provisional agreement as eligible for each line in the panel. Banks shall not apply the transitional provisions included in article 495 (1) and (2) of the CRR3 final provisional agreement. I to K Output floor–- applying CRR3 proposal for equity exposures Banks shall report in these columns amounts calculated in accordance with the non-modelling approach of the revised Basel III framework but applying the treatment for equity exposures if eligible as specified in the CRR3 final provisional agreement. In particular, banks should reflect the applicable risk-weights as defined in Article 133, article 495a (3) and
article 49 (4) of the CRR3 final provisional agreement as eligible for each
line in the panel.
L to N
EU-specific:
transitional SA￾CCR application for credit risk output floor Only banks using IMM for counterparty credit risk shall fill in these columns. Banks should follow the same instructions as for columns I to K. The only difference should be how CCR exposures shall be calculated -> SA-CCR with alpha = 1 (Please refer to section 4.2.1 for specific instructions on this topic).
4.2.7 Panel D: Additional information for trade finance off balance sheet items
34. This Panel aims at assessing the CRR3 final provisional agreement for the application of credit risk
conversion factors. Under the Basel III framework, certain types of exposures (in particular, transaction-related contingent items that include performance bonds, bid bonds, warranties and standby letters of credit related to particular transactions) are subject to a credit conversion factor (CCF) of 50% (CRE20.42 of the Basel III agreement). However, the CRR3 final provisional agreement, foresees an applicable 20% CCF to the set of those exposures that are considered trade finance exposures (Article 111 of the CRR3 final provisional agreement, also referring to the Annex for the definition of buckets). Panel D, aims at collecting the amount of exposures that would be subject to a 20% CCF following the CRR3 final provisional agreement, as opposed to the 50% CCF applicable

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) under the Basel III framework. In line 277, banks should report off balance sheet exposures that are transaction-related contingent items as defined in CRE20.42 of the Basel III agreement (performance bonds, bid bonds, warranties and standby letters of credit related to particular transactions) and are considered trade finance exposures. Exposures shall be reported post-CRM and post-CCFs. The applicable CCF will differ for each of the reporting columns affecting the exposure and RWAs amount. Column Heading Description D and E Amounts applying national rules at the reporting date Banks shall report in these columns amounts calculated in accordance with national rules at the reporting date, i.e. the CRR rules. F to H Amounts applying revised Basel III rules for SA and for CCR exposures Banks shall report in these columns amounts calculated in accordance with the revised Basel III framework. This implies that applying a 50% CCF when calculating the post CCF exposure amount (following the provisions of the Basel III framework). Also, RWAs amounts should be calculated applying the RWs foreseen in the Basel III framework. All in all, these columns should reflect the amounts reported in panel A. The only difference would be that the exposures reported here should be limited to trade finance transaction-related contingent items. I to J Amounts applying revised Basel III rules for SA and for CCR exposures and applying a 20% CCF to trade finance exposures (article 111 of the CRR3 final provisional agreement) Banks shall report in these columns amounts calculated in accordance with the revised Basel III framework but applying the CCF as foreseen in the CRR3 final provisional agreement to those off-balance sheet trade finance exposures that relate to transaction-related contingent items when calculating the post CCF exposure amount (therefore a 20% CCF). RWAs amounts should be calculated applying the RWs foreseen in the Basel III framework (therefore the same RWs used in panel A for such exposures) over the newly calculated exposure amount. K to M Output floor: Full non-modelling approach Leave empty if IMM not applied Only banks using IMM for counterparty credit risk shall fill in these columns. Banks shall report in these columns amounts calculated in accordance with the non-modelling approach of the revised Basel III framework. This implies applying a 50% CCF when calculating the post CCF exposure amount (following the provisions of the Basel III framework). Also, RWAs amounts should be calculated applying the RWs foreseen in the non￾modelling approach of the Basel III framework. All in all, these columns should reflect the amounts reported in panel A for the non-modelling approach. The only difference would be that the exposures reported here should be limited to trade finance transaction-related contingent items. N to P Output floor (applying a 20% CCF to trade finance exposures (article
111 of the Only banks using IMM for counterparty credit risk shall fill in these columns. Banks shall report in these columns amounts calculated in accordance with the non-modelling approach of the revised Basel III framework but applying the CCF as foreseen in the CRR3 final provisional agreement

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Column Heading Description CRR3 final provisional agreement)) when calculating the post CCF exposure amount (therefore a 20% CCF). RWAs amounts should be calculated applying the RWs foreseen in the non-modelling approach of the Basel III framework (therefore the same RWs used in panel A for such exposures) over the newly calculated exposure amount.
4.2.8 Panel E: Additional information for Real estate exposures
35. The revised Basel III framework caps the value of the property recognised for prudential purposes at
the value measured at loan origination, unless modifications “unequivocally” increase the value of the property. The downwards revaluation of the property is allowed upon national discretion. At the same time, the standards do not oblige banks to monitor the development of property values. However, the CRR2 requires institutions to regularly monitor the value of property pledged as collateral and make upwards or downwards adjustments to the property based on this monitoring.
Article 229 of the CRR3 final provisional agreement 7
, keeps the current requirement for frequent monitoring of property values, allowing for upwards adjustment beyond the value at loan origination (unlike the Basel III standards). However, such revaluation is only allowed up to the average value over the last six years for residential property and eight years in the case of commercial immovable property. Panel E aims at assessing the provisions of the CRR3 final provisional agreement with regards to the property value for Real estate exposures that shall be considered when calculating RWAs amounts.
36. The rows of the panel (284-308) mirror the rows in panel A for Exposures secured by real estate
portfolios. Banks shall allocate the exposure to the relevant Basel III asset class (in line with the reporting of panel A. For example: the exposures reported for line “General residential real estate” should be the same in panel A and panel E. However, for each asset class, the allocation of the exposure above or below 55% of the property value (in the case of general real state) and by LTV bucket (in case of income producing real estate) should reflect an adjusted property value after considering the guidance in Article 229 of the CRR3 final provisional agreement. In other words, when filling in panel E, for each loan, banks should consider a value of the property that has been adjusted based on the monitoring of the property value up to the average value of the property over the last 6 years (cap applicable to residential property).
37. The columns in this panel should reflect the application of the Basel III framework, taking into account
the new breakdown of the exposure above or below 55% of the property value (in the case of general real state) and by LTV bucket (in case of income producing real estate). Additionally, when filling in this panel banks should keep the effect of the CRR2 SME supporting factor when applicable. In other words, if the reported exposure is compliant with the criteria set in Art 501 (2) (conditions to be eligible for the application of the SME supporting factor), banks should apply such supporting factor on top of the relevant Basel III risk-weight, as done in panel B.1.
38. For example, a loan classified as general residential real estate with an exposure value of 100.000
euros and no exposure eligible for the application of the SME supporting factor, guaranteed by a As well as article 208 of the CRR3 final provisional agreement

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) property that has an original value of 80.000, a current property value of 95.000 and an average property value of the last six years of 89.000, should be reported as follows:
Basel III framework (Panel A) Council proposal (Panel E) Exposure RWA Exposure RWA general residential real estate; of which: 100,000 Sum of the rows below 100,000 Sum of the rows below exposure <= 55% of property value 44,000 44,000 multiplied by 20% RW 48,950 48,950 multiplied by 20% RW exposures > 55% of property value 56,000 56,000 multiplied by Counterparty RW 51,050 51,050 multiplied by Counterparty RW

• In panel A, banks should follow the rules under the Basel III framework, which means that
  the original property value (80.000) should be considered.
• Differently, in panel E, banks should use the current value of the property up to the average
  value of the property over the last 6 years. In the example, the current value of the property (95.000) is above the average of the last six years (89.000) and therefore, the latter should be considered. 39.Note that when filling in panel A banks should apply the Basel III rules assuming that the downwards revaluation was allowed per national discretion as this is the case in the EU current framework. Therefore, the only difference between the amounts reported in panel A and the amounts reported in this panel should arise from potential upwards revaluations of the property value.
  4.2.9 Panel F: Additional information for policy insurance
  40.Under the lines “of which: Policy insurance” banks should identify those exposures that are indirect exposures to credit insurers. For the sake of clarity, direct exposures to credit insurers should NOT be included in these lines.
  4.2.10 Panel G: Additional information for leasing exposures
  41.According to Article 495c of the CRR3 final provisional agreement, EBA should prepare by 36 months after entry into force (estimated end 2026) a report on the appropriate calibrations of risk parameters associated with leasing exposures under the IRB Approach, and of risk weights under the Standardised Approach, and in particular on the LGDs and Haircut provided for in Article 230. The
  article further specifies that the EBA should in particular include in its report data on average numbers
  of defaults and realised losses observed in the Union for exposures associated with different types of properties leased and different types of institutions practicing leasing activities.

42. To be able to address the mandate in Article 495c the EBA needs to assess the appropriate calibration
    of the risk parameters associated with leasing exposures under the IRB Approach, and of risk weights under the Standardised Approach, as well as to include data on average numbers of defaults and realised losses, as required by the current draft mandate. For this purpose, the EBA will consider for

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) the following QIS 2024 an extended data collection. This would allow EBA to reflect on the methodology to be used to conduct such an assessment, as well as to develop the appropriate templates, and to consult with the industry before launching it.
43. In the meantime, EBA will collect data on leasing exposures within each relevant exposure class to
understand bank’s current materiality of leasing exposures and the impact of the Basel III new rules on the capital requirements associated with them. Due to different RW treatment, the exposures should be reported separately for minimum lease payments and residual value. A proposed template and instructions are provided below in this regard. 44.Under CRR leasing exposures are split in two components:

• Discounted minimum lease payments
• Residual value
  45.According to Article 134 (7) and Article 166 (4) of the CRR, the exposure value for leases shall be the discounted minimum lease payments. Minimum lease payments are the payments over the lease term that the lessee is or can be required to make and any bargain option the exercise of which is reasonably certain. There is no specific exposure class for leases. The present value of the minimum lease payments is assigned to an exposure class according to the type of counterparty. 46.When the exposure is a residual value of leased assets, it is assigned to the same exposure class as the minimum lease payments under the SA, and is assigned to the exposure class non credit￾obligation assets (Article 147(9) of the CRR) under the IRB Approach. In both cases, the residual value is subject to a different treatment (flat RW) compared to the minimum lease payments (Article 134 (7) and Article 156 of the CRR). Under both SA and IRB, if a party other than the lessee is required to make a payment related to the residual value that payment obligation can be recognized as an unfunded credit protection provided certain conditions are fulfilled (Article 134 (7) and Article 166 (4) of the CRR).

47. Panel G collects information on bank’s leasing exposures and risk-weighted assets within various
    exposure classes under the Standardised Approach. Such breakdown is required within the following exposure classes (and sub-classes as applicable): corporates excluding SMEs, corporate SMEs, retail, exposures secured by real estate based on the exposure class classification as set out in the revised Basel III standards. The row ‘Other exposures […]’ (row 355) is meant to capture all the exposure classes of the SA other than those listed in the previous rows of Panel G. The sum of exposure amounts reported in rows 322, 326, 330, 334, 355 should result in the Total Standardised Approach amounts reported under row 146 of Panel A.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) 48.Within each exposure class (and sub-class as applicable), including within the category ‘Other exposures’, banks should breakdown leasing exposures as explained in the following table. Row Heading Description 322, 326, 330, 334, 335, 339, 343, 347, 351, 355 Corporates (excluding SMEs); Corporate SME exposures, Retail exposures; Exposures secured by real estate; general residential real estate; general commercial real estate; income producing residential real estate; income producing commercial real estate; land acquisition, development and construction; Other exposures under Standardised Approach; These rows represent the total amount for the exposure class in the row heading. It is automatically linked to the corresponding row in the main panel of Credit Risk (SA) and does not need to be filled. 323, 327, 331, 336, 340, 344, 348, 352, Of which: leasing exposures These rows are automatically calculated as the sum of rows “Of which: minimum lease payments” and “Of which: Residual value” 324, 328, 332, 337, 341, 345, 349, 353, Of which: minimum lease payments Banks shall report in these rows the discounted minimum lease payments that are allocated to the corresponding exposure class under the SA Approach. 325, 329, 333, 338, 342, 346, 350, 354, Of which: Residual value Banks shall report in these rows the residual value of leased assets that are allocated to the corresponding exposure class under the SA Approach.
49. The following table provides more information about the data that banks should fill in in the columns:
Column Heading Description
D to L Amounts applying national rules at the reporting date Banks shall report in these columns amounts calculated in accordance with national rules at the reporting date, i.e. the CRR rules. In columns dedicated to exposure amounts, the rows corresponding to exposure classes (and sub￾classes as applicable), including the category ‘Other Exposures under the Standardised Approach’, are formulas linked to Panel A of the worksheet. Banks shall only report exposure

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Column Heading Description amounts in the rows dedicated to leasing exposures. M to V Amounts applying revised Basel III rules for SA and for CCR exposures (no supporting factors) Banks shall report in these columns amounts calculated in accordance with the revised Basel III framework, without any EU specificities. In columns dedicated to exposure amounts, the rows corresponding to exposure classes (and sub￾classes as applicable), including the category ‘Other Exposures under the Standardised Approach’, are formulas linked to Panel A of the worksheet. Banks shall only report exposure amounts in the rows dedicated to leasing exposures. W-Y Output floor Full non-modelling approach Use of SA-CCR with alpha = 1 for CCR exposures calculated under the IMM for RWA not subject to a floor, and CR-SA for RWA calculation Only standardised approaches should be applied for the calculation of exposures and RWA reported in this column (“full non-modelling approach”). Standardised approaches should be applied in accordance with the revised Basel III framework. In columns dedicated to exposure amounts, the rows corresponding to exposure classes (and sub￾classes as applicable), including the category ‘Other Exposures under the Standardised Approach’, are formulas linked to Panel A of the worksheet. Banks shall only report exposure amounts in the rows dedicated to leasing exposures
4.3 Worksheet “Credit risk (IRB)”
50. The additional EU-specific panels in this worksheet aim at assessing alternative scenarios/calibrations
under the revised framework. In particular:

• Column CT to CY of Panel A: collects information on the transitional arrangement for the
  application of the SA-CCR approach (alpha=1) in the credit risk IRB output floor calculation.
• Panel C: collects information allowing to measure the impact of the CRR2 SME supporting
  factors under either the baseline or target scenarios (Panel C.1) and allowing to measure the impact of the CRR2 Infrastructure Lending supporting factors under either the baseline or target scenarios.
• Panel D: collects information about the output floor transitional arrangement applicable to
  unrated corporates as included in the CRR3 final provisional agreement.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)

• Panel E: collects information about the CRR3 final provisional agreement for equity
  exposures.
• Panel F: collects additional information for trade finance off balance sheet items.
• Panel G: Additional information for policy insurance
• Panel H: Additional information for leasing exposures
  4.3.1 Column CT to CV of Panel A: transitional SA-CCR application for credit risk output
  floor

51. The credit risk (IRB) EU-specific panels (columns CT to CY) only apply to institution using the IMM
    approach to calculate CCR exposures of derivative transactions for the purpose of calculating RWA that are not subject to a floor under the credit risk IRB approach. All other institutions should leave the panels empty. In this regard, required data for columns CT to CY are conditional on the approaches entered in Panel A2b of the “General Info” worksheet; therefore, this should be completed first. 52.Also according to Article 465(4) of the CRR3 final provisional agreement, the transitional SA-CCR approach (alpha=1) does not apply to exposure values of contracts listed in Annex II of the CRR that are calculated under the SA-CCR for the RWA calculation that is not subject to a floor, i.e. exposure, for which institutions apply the SA-CCR in columns AP to CK of panel A. Columns CT and CV of panel A aim to collect information on the impact of the SA-CCR transitional arrangement for the output floor calculation. Column Headings Description Full non-modelling approach Use of SA-CCR with alpha = 1 for CCR exposures calculated under the IMM for the RWA not subject to a floor, and CR-SA for RWA calculation Leave empty if IMM not applied CT Total exposures (post-CCF, post-CRM) Non entry cell. Total credit exposure after application of CCF and CRM and applying the transitional SA-CCR approach (alpha =1) for calculating exposures of derivative transactions that are calculated in accordance with the IMM approach for RWA not subject to a floor. It is calculated automatically for IMM banks as the total output floor exposure in column CO and substituting CCR exposures in column CP with the ones calculated using the transitional SA-CCR approach in column CU. CU of which: CCR CCR exposures calculated with the transitional SA-CCR approach (alpha =1) for exposures of derivative transactions that are calculated in accordance with the IMM approach for RWA not subject to a floor. CV RWA Total RWA computed under the final Basel III SA to credit risk for the exposures reported in column CT.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
4.3.2 Column CWto CY of Panel A: SA-CCR Keeping revised CCR approaches (incl. IMM) for
credit risk output floor
53. Columns CW to CY of panel A collect information on the impact of employing the credit risk SA rather
than the IRB approach to risk weight derivative exposures in the calculation of the credit risk output floor. The reported data in this panel are calculated using the revised CCR approaches used by the institution in columns AP to CK (i.e. IMM and/or standardised CCR approaches) for the calculation of exposures, and the credit risk SA for the calculation of RWA. Institutions that use the SA-CCR to calculate derivative exposures for the RWA not subject to a floor should apply the same SA-CCR approach, i.e. using an alpha=1.4. Column Headings Description Partly non-modelling approach Keeping revised CCR approaches (incl. IMM), and CR-SA for RWA calculation Leave empty if IMM not applied CW Total exposures (post-CCF, post-CRM) Non entry cell. Total credit exposure after application of CCF and CRM and applying the revised CCR approach(es) for calculating exposures of derivative transactions, i.e. applying the same approaches to calculate exposures as used for RWA not subject to a floor. It is calculated automatically for IMM banks as the sum of the previous columns of total exposure values (AU + CE) under the revised framework. CX of which: CCR Non entry cell. CCR exposures applying the revised CCR approach(es) for calculating exposures of derivative transactions, i.e. applying the same approaches to calculate exposures as used for RWA not subject to a floor. It is calculated automatically for IMM banks as the sum of the previous columns of CCR exposure values (AQ + CA) under the revised framework. CY RWA Total RWA computed under the final Basel III SA to credit risk for the exposures reported in column CW.
4.3.3 Column CZ to DG of Panel A: additional columns on UCC
54. Banks should report the share of off-balance sheet exposure and RWAs corresponding to UCCs in
columns DA, DC, DE and DG. In line with the reporting in other columns of panel A, banks need to report UCC exposures that would be subject to the IRB approach under the revised framework and those UCC exposures moving to the SA separately. Off-balance sheet items in the form of unconditionally cancellable commitments should be identified as for the purpose of Article 495d of the CRR3 final provisional agreement.
4.3.4 Panel C: Additional information for the purpose of calculating the impact of the
supporting factors

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
55. This panel is meant to assess the impact of the SME supporting factor (SME SF) as currently set out
in Article 501 CRR2 8 as well as the supporting factor for infrastructure lending exposures 9 (infrastructure supporting factor, INF-SF) as featured in Article 501a CRR2. 10 This panel collects data aimed at assessing the impact on the IRB exposures of an alternative Basel III target scenario modified to include the CRR2 SME supporting factor.
4.3.5 Panel C.1: SME supporting factor
56. In Panel C.1 banks should report the breakdown of exposures to which the SME supporting factor
may apply. Such breakdown is required within the following exposure classes (and sub-classes as applicable): large and mid-market general corporates, SME treated as corporates, retail residential mortgages, qualifying revolving retail exposures, other retail, eligible purchase receivables based on the exposure class classification as set out in the revised Basel III standards. The breakdown of exposures eligible for the SME supporting factor is required also for the exposure class ‘large and mid￾market general corporates’ because the definitions of SME applicable for the purposes of the exposure class classification and for the supporting factor eligibility are different. The row ‘Other exposures […]’ (row 142) is meant to capture all the exposure classes of the IRB other than those listed in the previous rows of Panel C.1. To be sure, the sum of exposure amounts reported in rows 118, 122, 126, 130, 134, 138, 142 should result in the Total IRB amounts reported in row 89 of Panel A. 57.Within each exposure class (and sub-class as applicable), including within the category ‘Other exposures […]’, banks should breakdown exposures compliant with the CRR2 SME supporting factor as explained in the following table.
58. It should be noted that, within each exposure class (and sub-class as applicable), including within the
category ‘Other exposures […]’, the breakdown of exposures eligible for either the SME supporting factors (Art. 501 CRR2) or the CRR2 Infrastructure supporting factor (Art. 501a CRR2), as reported in Panel C.2, is expected to be mutually exclusive, i.e. a given exposure should not be eligible for both the SME and infrastructure supporting factors. Row Heading Description 120, 124, 128, 132, 136, 140, exposures compliant with the criteria set in Art 501 (2) CRR2, of which amount owed is below EUR 2.5 m Banks shall report in these rows exposures that comply with criteria set in
Article 501 CRR2 and for which the total amount owed (as defined by E*
in Article 501 (1) CRR2) is below EUR 2.5 mln.
Example: If the total amount owed is EUR 1 million, the exposure will be reported in this row. If the amount owed is EUR 3 million, the exposure will not be reported in this row. REGULATION (EU) 2019/876 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 20 May 2019 amending Regulation (EU) No 575/2013: https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:32019R0876

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description 121, 125, 129, 133, 137, 141, exposures compliant with the criteria set in Art 501 (2) CRR2, , of which amount owed is above EUR 2.5 m Banks shall report in these row exposures that comply with criteria set in
Article 501 CRR2 and for which the total amount owed (as defined by E*
in Article 501 (1) CRR2) is above EUR 2.5 mln.
Example: If the total amount owed is EUR 1 million, the exposure will not be reported in this row. If the amount owed is EUR 3 million, the exposure will be reported in this row. 119, 123, 127, 131, 135, 139, of which:
exposures compliant with the criteria set in points (a) and (b) of Art 501 (2) CRR2; of which; These rows include formulas, computing the total of exposures compliant with Article 501(2) CRR2, as the sum of the two subsets:

• Amount owed below EUR 2.5 mln
• Amount owed above EUR 2.5 mln

59. For all columns in this panel, the same definitions apply as for those in panel A where the same
    heading is used.
60. The table below includes additional instructions related to columns:
    Column Heading Description
    C to L
    Amounts applying national rules at the reporting date Banks shall report in these columns amounts calculated in accordance with national rules at the reporting date, i.e. the CRR rules. This means that both the CRR2 SME supporting factor and the CRR2 INF supporting factor apply, as specified in the CRR2. In columns dedicated to exposure amounts, the rows corresponding to exposure classes (and sub-classes as applicable), including the category ‘Other Exposures under the IRB’, are formulas linked to panel A of the worksheet. Banks shall only report exposure amounts in the rows dedicated to the breakdown on exposures that are compliant with CRR2 Art. 501. M to AF Amounts applying revised Basel III rules for IRB, SA and for CCR exposures (no supporting factors) Banks shall report in these columns amounts calculated in accordance with the revised Basel III framework, i.e. no supporting factors of any type shall apply.; Banks shall report amounts separately for IRB exposures remaining under IRB in the revised framework and those migrating to CR SA; In columns dedicated to exposure amounts and RWAs, the rows corresponding to exposure classes (and sub-classes as applicable), including the category ‘Other Exposures under the IRB’, are formulas linked to panel A of the worksheet. Banks shall only report exposure amounts and RWAs in the rows dedicated to the breakdown on exposures that are compliant with CRR2 Art. 501.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Column Heading Description AG to AN Amounts applying revised Basel III rules for IRB, SA and for CCR exposures and including CRR2 SME Supporting Factor Banks shall report in these columns amounts calculated in accordance with the revised Basel III framework, applying in addition the CRR2 SME supporting factor to eligible exposures; Banks shall report amounts separately for IRB exposures remaining under IRB in the revised framework and those migrating to CR SA. Note that for retail exposures migrating to SA, the applicable Basel III RW of 75% should apply on top of the CRR2 SME supporting factor. AO-AQ Output floor including CRR2 SME supporting factors Banks shall report in these columns amounts calculated in accordance with the non-modelling approach of the revised Basel III framework, applying in addition the CRR2 SME supporting factor to eligible exposures. Note that for retail exposures the applicable Basel III RW of 75% should apply on top of the CRR2 SME supporting factor. AR-AU Full non-modelling approach Use of SA-CCR with alpha = 1 for CCR exposures calculated under the IMM for RWA not subject to a floor, and CR-SA for RWA calculation with CRR2 SME supporting factor Only banks using IMM for counterparty credit risk shall fill in these columns. Banks should follow the same instructions as for columns AO to AQ. The only difference should be how CCR exposures shall be calculated -> SA-CCR with alpha = 1 (Please refer section 4.3.3 for specific instructions on this topic). Note that for retail exposures the applicable Basel III RW of 75% should apply on top of the CRR2 SME supporting factor.
4.3.6 Panel C.2: Infrastructure supporting factor (INF SF)
61. In Panel C.2 banks are to report the breakdown of exposures to which the INF SF may apply.
62. Such breakdown is required within the following exposure classes (and sub-classes as applicable):
large and mid-market general corporates, specialised lending, SME treated as corporates based on the exposure class classification, as set out in the revised Basel III standards. The row ‘Other exposures […]’ (row 159) is meant to capture all the exposure classes of the IRB other than those listed in the previous rows of Panel C.2. To be sure, the sum of exposure amounts reported in rows 153, 155, 157, 159 should result in the Total IRB amounts reported in row 89 of Panel A. 63.Within each exposure class (and sub-class as applicable), including within the category ‘Other exposures […]’, banks should breakdown exposures compliant with the INF supporting factor as explained in the following table.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
64. It should be noted that, within each exposure class (and sub-class as applicable), including within the
category ‘Other exposures […]’, the breakdown of exposures eligible for either the SME supporting factors (Art. 501 CRR2), reported in Panel C.1, or the CRR2 Infrastructure supporting factor (Art. 501a CRR2) is expected to be mutually exclusive, i.e. a given exposure should not be eligible for both the SME and infrastructure supporting factors. Row Heading Description 154, 156, 158, 160 of which:
exposures compliant with the criteria set in
Art 501a CRR2
(INF SF)
Banks shall report in this row exposures that comply with the criteria set in Art 501a of the CRR2.
65. For all columns in this panel, the same definitions apply as for those in Panel A where the same
heading is used.
66. The table below includes additional instructions related to columns:
Column Heading Description
C to L
Amounts applying national rules at the reporting date Banks shall report in these columns amounts calculated in accordance with national rules at the reporting date, i.e. the CRR rules. This means that both the CRR2 SME supporting factor and the CRR2 Infrastructure supporting factor apply, although a given exposure should not be eligible for both the SME and infrastructure supporting factors, as specified in the CRR2. In columns dedicated to exposure amounts, the rows corresponding to exposure classes (and sub-classes as applicable), including the category ‘Other Exposures under the IRB’, are formulas linked to panel A of the worksheet. Banks shall only report exposure amounts in the rows dedicated to the breakdown on exposures that are compliant with CRR2 Art. 501a. M to AF Amounts applying revised Basel III rules for SA and for CCR exposures (no supporting factors) Banks shall report in these columns amounts calculated in accordance with the revised Basel III framework, i.e. no supporting factors of any type shall apply. Banks shall report amounts separately for IRB exposures remaining under IRB in the revised framework and those migrating to CR SA; In columns dedicated to exposure amounts and RWAs, the rows corresponding to exposure classes (and sub-classes as applicable), including the category ‘Other Exposures under the IRB’, are formulas linked to panel A of the worksheet. Banks shall only report exposure

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Column Heading Description amounts and RWAs in the rows dedicated to the breakdown on exposures that are compliant with CRR2 Art. 501a. AG to AN Amounts applying revised Basel III rules for SA and for CCR exposures and including CRR2 Infrastructure Supporting Factor Banks shall report in these columns amounts calculated in accordance with the revised Basel III framework, applying in addition the CRR2 Infrastructure supporting factor to eligible exposures. Banks shall report amounts separately for IRB exposures remaining under IRB in the revised framework and those migrating to CR SA. AO-AQ Output floor including CRR2 Infrastructure supporting factor Banks shall report in these columns amounts calculated in accordance with the non-modelling approach of the revised Basel III framework, applying in addition the CRR2 Infrastructure supporting factors to eligible exposures. AR-AU EU-specific:
transitional SA￾CCR application for credit risk output floor including CRR2 Infrastructure supporting factor Only banks using IMM for counterparty credit risk shall fill in these columns. Banks should follow the same instructions as for columns AO to AQ. The only difference should be how CCR exposures shall be calculated -> SA-CCR with alpha = 1 (Please refer section 4.3.3 for specific instructions on this topic).
4.3.7 Panel D: EU Additional information on unrated corporates
67. This panel aims at collecting the necessary information to assess the output floor impact as a result
of applying the transitional treatment to exposures to corporates as defined in article 465 (3) of the CRR3 final provisional agreement. Additionally, for comparison purposes, banks are requested to provide information about corporate exposures applying modellable approaches but following a specific breakdown as explained below.
68. For the non-modelling reporting, corporate exposures under the IRB approach should be reflected in
this panel as if the following non-modelling approaches apply:

• For rated corporates and rated corporate SME exposures, the regulatory approach that is
  adopted in jurisdictions where the use of ratings is allowed should applied. For this type of exposure, there should be no difference between the non-modellable RWAs amounts reported in this panel and the non-modellable RWAs amounts included in the Output floor columns in panel A. (Note that the only difference would be that the breakdown differs to the breakdown in panel A). For unrated corporates and unrated corporate SME exposures, the specific transitional treatment as defined in article 465 (3) of the CRR3 final provisional agreement should apply. In particular, unrated corporate exposures should be classified according to their PD level and non-modellable RWA should be calculated applying the specific 65% RW to those

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) exposures with a PD below 0.5% (in opposition to the 100% RW applicable under the Basel III framework which is applied to the non-modellable RWAs reported in panel A). In the same way, unrated corporate SME exposures should be classified according to their PD level and non￾modellable RWA should be calculated applying the specific 65% RW to those exposures with a PD below 0.5% (in opposition to the 85% RW applicable under the Basel III framework which is applied to the non-modellable RWAs reported in panel A). Additionally, for unrated corporate SME exposures, banks are requested to identify those exposures that are compliant with the criteria set in Art 501 (2) CRR2 and are therefore subject to the SME supporting factor.
69. For all columns in this panel, the same definition applies as for those in panel A where the same
heading is used. For the columns requesting information applying modellable approaches, banks should apply exactly the same rules as in panel A, the only difference would be the breakdown of exposures across lines. However, RWAs reported under columns “RWA with COM CRR3 final provisional agreement unrated corporates” should be calculated applying a 65% RW to those unrated exposures with PD<0.5%. Columns G-I, should be filled only banks using IMM for counterparty credit risk shall fill in these columns. In these columns, CCR exposures shall be calculated -> SA-CCR with alpha = 1 (Please refer section 4.3.3 for specific instructions on this topic)). Row Heading Description Corporates (excluding SMEs) as per CR SA classification Banks shall report here exposures which are treated under the IRB approach but would be classified as Corporates (excluding small and medium-sized enterprises – SMEs) according to CR SA. 168 Rated corporate exposures Banks shall report here a subset of exposures reported in line 167, for which a credit assessment by a nominated ECAI is available. Rated corporate exposures. Of which:
corporates with revenues >EUR 500mn
Banks shall report here a subset of exposures reported in line 168, that represent exposures to corporates with revenues >EUR 500mn 170 Unrated corporate exposures Banks shall report here a subset of exposures reported in line 167, for which a credit assessment by a nominated ECAI is not available. Unrated corporate exposures / PD <= 0.5% Banks shall report here a subset of exposures reported in line 170 (corporates exposures (excluding SMEs) for which a credit assessment by a nominated ECAI is not available) that have a probability of default (PD) of less or equal to 0.5% Unrated corporate exposures / PD <= 0.5%. Of which: corporates with revenues >EUR 500mn Banks shall report here a subset of exposures reported in line 171, that represent exposures to corporates with revenues >EUR 500mn Unrated corporate exposures / PD > 0.5% Banks shall report here a subset of exposures reported in line 170 (corporates exposures (excluding SMEs) for which a credit

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description assessment by a nominated ECAI is not available) that have a probability of default (PD) of more than 0.5%. Unrated corporate exposures / PD > 0.5%. Of which: corporates with revenues >EUR 500mn Banks shall report here a subset of exposures reported in line 173, that represent exposures to corporates with revenues >EUR 500mn Corporate SME exposures Banks shall report here exposures which are treated under the IRB approach but would be classified as Corporates SME exposures according to CR SA. Rated corporate SME exposures Banks shall report here a subset of exposures reported in line 175, for which a credit assessment by a nominated ECAI is available. Rated corporate SME exposures of which:
exposures compliant with the criteria set in
Art 501 (2) CRR2 (SME
SF); of which;
Banks shall report here a subset of exposures reported in line 176, that are compliant with the criteria set in Art 501 (2) CRR2 and are therefore subject to the SME supporting factor. Unrated corporate SME exposures Banks shall report here a subset of exposures reported in line 175, for which a credit assessment by a nominated ECAI is not available. Unrated corporate SME exposures / PD <= 0.5% Banks shall report here a subset of exposures reported in line 178 (corporates SME exposures for which a credit assessment by a nominated ECAI is not available) that have a probability of default (PD) of less or equal to 0.5% Unrated corporate SME exposures / PD <= 0.5% of which: exposures compliant with the criteria set in Art 501 (2) CRR2 (SME SF); of which; Banks shall report here a subset of exposures reported in line 179, that are compliant with the criteria set in Art 501 (2) CRR2 and are therefore subject to the SME supporting factor. 181 Unrated corporate exposures / PD > 0.5% Banks shall report here a subset of exposures reported in line 178 (corporates SME exposures for which a credit assessment by a nominated ECAI is not available) that have a probability of default (PD) of more than 0.5%. Unrated corporate SME exposures / PD > 0.5% of which: exposures compliant with the criteria set in Art 501 (2) Banks shall report here a subset of exposures reported in line 181, that are compliant with the criteria set in Art 501 (2) CRR2 and are therefore subject to the SME supporting factor.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description CRR2 (SME SF); of which;
4.3.8 Panel E: Additional information for equity IRB Exposures
70. This Panel aims at assessing an CRR3 final provisional agreement for the treatment of equity
exposures in the credit risk portfolio. By breaking down existing Basel III categories of equity exposures, this panel distinguishes which equity exposures could benefit from a preferential risk￾weight with the application of the CRR3 final provisional agreement. Following the more detailed instructions below, banks should make reference to article 49, article 133 (6) and article 495a (3) of the CRR3 final provisional agreement.
71. This panel is dedicated to exposures currently treated in IRB that are moving to SA under the revised
Basel III framework.
Row Heading Description
189 Equity exposures
This line is calculated as the sum of the lines below corresponding to speculative unlisted (190), exposures to certain legislative programs (191), and others (192). The total exposure amounts in this line should match the total exposures to equities (excluding equity investments in funds) aligned with what is reported in panel A, hence, following the definitions in the revised Basel III framework. However, RWAs amounts under the revised Basel III framework may not coincide with the amounts reported in panel A, as banks are requested to apply a different risk-weight to the specific subcategories in this panel. 190 speculative unlisted This line is linked to the corresponding line in panel A. The amounts in this line represent equity exposures that are classified as “speculative unlisted” following the definitions in the revised Basel III framework. exposures to certain legislative programs; This line is linked to the corresponding line in panel A. The amounts in this line represent equity exposures that are classified as “exposures to certain legislative programs” following the definitions in the revised Basel III framework. 192 others of which; This line is calculated as the sum of the lines below corresponding to:

• ‘Equity exposures to central banks’ (193),
• ‘Intragroup equity exposures and equity holdings
  within institutional protection schemes (IPS) new 49 (4) CRR3 final provisional agreement (194),
• ‘Equity exposures benefiting from grandfathering in
  Art. 495a (3) of the CRR3 final provisional agreement (Long term > 6 years)’ (195), and
• Other equity exposures (250% RW) (197).

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description The total exposure amounts in this line should match the total exposures to others equities (excluding equity investments in funds) aligned with what is reported in line 51 of panel A, hence. However, RWAs amounts under the revised Basel III framework may not coincide with the amounts reported in panel A, as banks are requested to apply a different risk-weight to the specific subcategories in this panel. Equity exposures to Central banks Banks shall report here a subset of equity exposures that represent exposures to Central banks and that that are assign a 0% risk-weight in article 133(6) of the CRR3 final provisional agreement. Intragroup equity exposures and equity holdings within institutional protection schemes (IPS) (article 49 (2) and (3)) Banks shall report here a subset of equity exposures that represent exposures to financial sector entities included in the same scope of prudential consolidation (group) and that are not deducted from capital or – subject to supervisory approval – to institutions falling within the same institutional protection scheme (IPS). It is expected that at the highest level of consolidation, intragroup equity exposures shall net out and not be visible in the template. Banks shall report in this category all IPS exposures and intra-group exposures that qualifies under Art 49(2) and (3) of the CRR and do not net out at consolidated level. Exposures reported under this line are assign a 100% risk-weight in the new Article 49 (4) of the CRR3 final provisional agreement. Equity exposures benefiting from grandfathering in Art. 495a (3) of the CRR3 final provisional agreement (Long term > 6 years) Banks shall report here a subset of equity exposures that may benefit from the grandfathering provision in Art. 495a (3) of the CRR3 final provisional agreement. Banks should report here only those exposures for which they may choose to apply the grandfathering provision (i.e. banks are not expected to apply the provision if the current applicable risk-weight is higher than the applicable risk-weight in the CRR3 final provisional agreement). of which holdings of CET1 and AT1 instruments exempted from deduction according to Art 49(1) CRR Banks shall report here a subset of exposures reported in line 195. The subset of exposures should include holdings of CET1 and AT1 instruments exempted from deduction according to Art 49(1) CRR which may benefit from the grandfathering provision in Art. 495a (3) of the CRR3 final provisional agreement. Banks should report here only those exposures for which they may choose to apply the grandfathering provision (i.e. banks are not expected to apply the provision if the current applicable risk￾weight is higher than the applicable risk-weight in the CRR3 final provisional agreement). Other equity exposures (250% RW) Banks shall report here all other equity exposures that have not been reported as ‘Equity
exposures to Central banks’, ‘Intragroup equity exposures and equity holdings within

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description institutional protection schemes (IPS) (article 49 (2) and (3))’ or ‘Equity exposures benefiting from grandfathering in Art. 495a (3) of the CRR3 final provisional agreement (Long term > 6 years)’ and that are assign a 250% risk-weight in the CRR3 final provisional agreement. of which: Equity exposures for which a 250% RW applies following the second subparagraph of Article 133 (4) of the CRR3 final provisional agreement Banks shall report here a subset of the exposures reported in line 197. This subset should include those equity exposures that, while falling under the definitions in the first subparagraph of article 133 (4) of the CRR3 final provisional agreement, they are eligible to a 250% risk-weight because they are also compliant with the second subparagraph and with paragraph 3 of the same article:
“By way of derogation from the first subparagraph, long-term equity investment, including investments in equities of corporate clients with which the institution has or intends to establish a long-term business relationship as well as venture capital firms and debt-equity swaps for corporate restructuring purposes shall be assigned a risk weight in accordance with paragraph 3 or 5, as applicable. For the purposes of this Article, a long-term equity investment is an equity investment that is held for three years or longer or incurred with the intention to be held for three years or longer as approved by the institution’s senior management.” of which: Equity Exposures that are holdings of CET1 and AT1 instruments exempted from deduction according to Art 49(1) CRR Banks shall report here a subset of exposures reported in line 197. The subset of exposures should include holdings of CET1 and AT1 instruments exempted from deduction according to Art 49(1) CRR excluding those that benefit from the grandfathering provision in Art. 495a (3) of the CRR3 final provisional agreement and are reported in line 196. Column Heading Description C and D Amounts applying national rules at the reporting date Banks shall report in these columns amounts calculated in accordance with national rules at the reporting date, i.e. the CRR rules. E to G Amounts applying revised Basel III rules for SA and for CCR exposures

• applying CRR3
  final provisional agreement for equity exposures Banks shall report in these columns amounts calculated in accordance with the revised Basel III framework but applying the treatment for equity exposures if eligible as specified in the CRR3 final provisional agreement. In particular, banks should reflect the applicable risk￾weights as defined in Article 133, article 495a (3) and article 49 (4) of the CRR3 final provisional agreement as eligible for each line in the panel. Banks shall not apply the transitional provisions included in article 495a (1) and (2) of the CRR3 final provisional agreement.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Column Heading Description H to J Output floor - applying CRR3 final provisional agreement for equity exposures Banks shall report in these columns amounts calculated in accordance with the non-modelling approach of the revised Basel III framework but applying the treatment for equity exposures if eligible as specified in the CRR3 final provisional agreement. In particular, banks should reflect the applicable risk-weights as defined in Article 133(6), article 495a (3) and article 49 (4) of the CRR3 final provisional agreement as eligible for each line in the panel. K to M EU-specific:
transitional SA￾CCR application for credit risk output floor Only banks using IMM for counterparty credit risk shall fill in these columns. Banks should follow the same instructions as for columns H to J. The only difference should be how CCR exposures shall be calculated -> SA￾CCR with alpha = 1 (Please refer to section4.2.1 for specific instructions on this topic).
4.3.9 Panel F: Additional information for trade finance off balance sheet items
72. This panel aims at assessing the CRR3 final provisional agreement for the application of credit risk
conversion factors. Under the Basel III framework, certain types of trade finance exposures (in particular, transaction-related contingent items that include performance bonds, bid bonds, warranties and standby letters of credit related to particular transactions) are subject to a credit conversion factor (CCF) of 50% (CRE20.42 of the Basel III agreement). However, the CRR3 final provisional agreement, foresees an applicable 20% CCF to such exposures (Article 111 of the CRR3 final provisional agreement, also referring to the Annex for the definition of buckets). Panel G aims at collecting the amount of exposures that would be subject to a 20% CCF following the CRR3 final provisional agreement, as opposed to the 50% CCF applicable under the Basel III framework. The panel relates therefore to F-IRB exposures that are subject to predetermined CCFs. In line 221, banks should report off balance sheet exposures that are transaction-related contingent items as defined in CRE20.42 of the Basel III agreement (performance bonds, bid bonds, warranties and standby letters of credit related to particular transactions). Exposures shall be reported post-CRM and post-CCFs. The applicable CCF will differ for each of the reporting columns affecting the exposure and RWAs amount. Column Heading Description C and D Amounts applying national rules at the reporting date Banks shall report in these columns amounts calculated in accordance with national rules at the reporting date, i.e. the CRR rules. E and G Amounts applying the revised IRB framework Banks shall report in these columns amounts calculated in accordance with the revised Basel III framework. This implies that for those off￾balance sheet F-IRB exposures that relate to transaction-related contingent items, a 50% CCF when calculating the post CCF exposure amount (following the provisions of the Basel III framework). Also, RWAs amounts should be calculated applying the RWs foreseen in the Basel III framework. All in all, these columns should reflect the amounts reported in panel A. The only difference would be that the exposures reported here should be limited to transaction-related contingent items.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Column Heading Description H and I Amounts applying the revised IRB framework and applying a 20% CCF to trade finance exposures (article 111 of the CRR3 final provisional agreement) Banks shall report in these columns amounts calculated in accordance with the revised Basel III framework but applying the CCF as foreseen in the CRR3 final provisional agreement to those off-balance sheet F-IRB exposures that relate to transaction-related contingent items when calculating the post CCF exposure amount (therefore a 20% CCF). RWAs amounts should be calculated applying the RWs foreseen in the Basel III framework (therefore the same RWs used in panel A for such exposures) over the newly calculated exposure amount. J and L Output floor: Full non-modelling approach Banks shall report in these columns amounts calculated in accordance with the non-modelling approach of the revised Basel III framework. This implies that for those off-balance sheet F-IRB exposures that relate to transaction-related contingent items, a 50% CCF when calculating the post CCF exposure amount (following the provisions of the Basel III framework). Also, RWAs amounts should be calculated applying the RWs foreseen in the non-modelling approach of the Basel III framework. All in all, these columns should reflect the amounts reported in panel A for the non-modelling approach. The only difference would be that the exposures reported here should be limited to transaction-related contingent items. M to O Output floor (applying a 20% CCF to trade finance exposures (article 111 of the CRR3 final provisional agreement)) Banks shall report in these columns amounts calculated in accordance with the non-modelling approach of the revised Basel III framework but applying the CCF as foreseen in the CRR3 final provisional agreement to those off-balance sheet F-IRB exposures that relate to transaction-related contingent items when calculating the post CCF exposure amount (therefore a 20% CCF). RWAs amounts should be calculated applying the RWs foreseen in the non-modelling approach of the Basel III framework (therefore the same RWs used in panel A for such exposures) over the newly calculated exposure amount. 4.3.10Panel G: Additional information for policy insurance 73.Under the lines “of which: Policy insurance” banks should identify those exposures that are indirect exposures to credit insurers. For the sake of clarity, direct exposures to credit insurers should NOT be included in these lines. In this panel, when filling in the amounts under the revised framework (columns J to V) banks are requested to separate those exposures to policy insurers that are treated as AIRB under the CRR2 but are guaranteed by a policy insurance and therefore will be treated under the FIRB approach under the revised framework due to the limitation in the use of AIRB approaches. Such exposures should be reported in columns P and R. Indirect exposures to
policy insurers that are already treated under the FIRB in the CRR2 framework, are expected to be reported in columns S and T. In columns U and V, banks are expected to report those indirect exposures to policy insurance that are threated under the IRB when applying the CRR2 but will be moving to SA under the revised framework due to the new substitution rules.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) 4.3.11Panel H: Additional information for leasing exposures 74.According to Article 495c of the CRR3 final provisional agreement, EBA should prepare by 36 months after entry into force (estimated end 2026) a report on the appropriate calibrations of risk parameters associated with leasing exposures under the IRB Approach, and of risk weights under the Standardised Approach, and in particular on the LGDs and Haircut provided for in Article 230. The
article further specifies that the EBA should in particular include in its report data on average numbers
of defaults and realised losses observed in the Union for exposures associated with different types of properties leased and different types of institutions practicing leasing activities.
75. To be able to address the mandate in Article 495c the EBA needs to assess the appropriate calibration
of the risk parameters associated with leasing exposures under the IRB Approach, and of risk weights under the Standardised Approach, as well as to include data on average numbers of defaults and realised losses, as required by the current draft mandate. For this purpose, the EBA will consider for the following QIS 2024 an extended data collection. This would allow EBA to reflect on the methodology to be used to conduct such an assessment, as well as to develop the appropriate templates, and to consult with the industry before launching it.
76. In the meantime, EBA will collect data on leasing exposures within each relevant exposure class to
understand bank’s current materiality of leasing exposures and the impact of the Basel III new rules on the capital requirements associated with them. Due to different RW treatment, the exposures should be reported separately for minimum lease payments and residual value. A proposed template and instructions are provided below in this regard. 77.Under CRR leasing exposures are split in two components:

• Discounted minimum lease payments
• Residual value
  78.According to Article 134 (7) and Article 166 (4) of the CRR, the exposure value for leases shall be the discounted minimum lease payments. Minimum lease payments are the payments over the lease term that the lessee is or can be required to make and any bargain option the exercise of which is reasonably certain. There is no specific exposure class for leases. The present value of the minimum lease payments is assigned to an exposure class according to the type of counterparty. 79.When the exposure is a residual value of leased assets, it is assigned to the same exposure class as the minimum lease payments under the SA, and is assigned to the exposure class non credit￾obligation assets (Article 147(9) of the CRR) under the IRB Approach. In both cases, the residual value is subject to a different treatment (flat RW) compared to the minimum lease payments (Article 134 (7) and Article 156 of the CRR). Under both SA and IRB, if a party other than the lessee is required to make a payment related to the residual value that payment obligation can be recognized as an unfunded credit protection provided certain conditions are fulfilled (Article 134 (7) and Article 166 (4) of the CRR).

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
80. Panel I collects information on bank’s leasing exposures and risk-weighted assets within various
exposure classes under the IRB Approach. Such breakdown is required within the following exposure classes (and sub-classes as applicable): Large and mid-market general corporates, SME treated as corporate, Retail residential mortgages, Non-credit obligation assets, based on the exposure class classification as set out in the revised Basel III standards. The row ‘Other retail exposures’ (row 239) is meant to capture all the retail exposure classes of the IRB Approach other than those listed in row
235. The row ‘Other exposures under the IRB Approach’ (row 248) is meant to capture all the
exposure classes of the IRB Approach other than those listed in the previous rows of Panel I. The sum of exposure amounts reported in rows 222, 231, 235, 239, 243, 248 should result in the Total IRB amounts reported in row 89 of Panel A. 81.Within each exposure class (and sub-class as applicable), including within the category ‘Other exposures’, banks should breakdown leasing exposures as explained in the following table. Row Heading Description 222, 223, 227, 231, 235, 239, 243, 244, 248 Large and mid-market general corporates; of which:
corporates with revenues >EUR 500mn corporates with revenues ≤ EUR 500mn SME treated as corporate Retail residential mortgages Other retail exposures Other assets; of which:
Non-credit obligations
Other exposures under IRB
These rows represent the total amount for the exposure class in the row heading. It is automatically linked to the corresponding row in the main panel of Credit Risk (IRB) and does not need to be filled. 224, 228, 232, 236, 240, 245, 249 Of which: leasing exposures These rows are automatically calculated as the sum of rows “Of which: minimum lease payments” and “Of which: Residual value” 225, 229, 233, 237, 241, 246, 250 Of which: minimum lease payments Banks shall report in these rows the discounted minimum lease payments that are allocated to the corresponding exposure class under the IRB Approach. 226, 230, 234, 238, 242, 247, 251 Of which: Residual value Banks shall report in these rows the residual value of leased assets that are allocated to the corresponding exposure class under the IRB Approach.
82. For all columns in this panel, the same definitions apply as for those in Panel A where the same
heading is used. The table below includes additional instructions related to columns:

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
83. The following table provides more information about the data that banks should fill in in the columns:
Column Heading Description
C to L Amounts applying national rules at the reporting date Banks shall report in these columns amounts calculated in accordance with national rules at the reporting date, i.e. the CRR rules. In columns dedicated to exposure amounts, the rows corresponding to exposure classes (and sub-classes as applicable), including the category ‘Other Exposures under the IRB’, are formulas linked to Panel A of the worksheet. Banks shall only report exposure amounts in the rows dedicated to the breakdown of leasing exposures. M to AF Amounts applying revised Basel III rules for IRB, SA and for CCR exposures (no supporting factors) Banks shall report in these columns amounts calculated in accordance with the revised Basel III framework, without any EU specificities; Banks shall report amounts separately for IRB exposures remaining under IRB in the revised framework and those migrating to CR SA; In columns dedicated to exposure amounts and RWAs, the rows corresponding to exposure classes (and sub-classes as applicable), including the category ‘Other Exposures under the IRB’, are formulas linked to Panel A of the worksheet. Banks shall only report exposure amounts and RWAs in the rows dedicated to the breakdown of leasing exposures. AG-AI Full non-modelling approach In columns dedicated to exposure amounts, the rows corresponding to exposure classes (and sub-classes as applicable), including the category ‘Other Exposures under the IRB Approach’, are formulas linked to Panel A of the worksheet. Banks shall only report exposure amounts in the rows dedicated to leasing exposures.
4.4 Worksheet “EU RRE”
84. The “EU RRE” template should be filled-in by banks applying the IRB approach to Credit Risk only. SA banks,
should leave the template empty.
85. The Art. 465 (5) of the CRR3 final provisional agreement introduces a transitional arrangement for the output
floor for exposure secured by real estate if institutions pass the so-called “super hard test”. This template aims to assess the impact of such transitional arrangement.
4.4.1 Panel A: Loss Rate
86. Panel A aims to assess whether the institution passes the super hard test defined in CRR3 final provisional
agreement Art. 465 (5) 2 nd subparagraph lit. (b) in order to apply the risk weights of CRR III Art. 465 (5) 1 st subparagraph lit. (a) and (b). Data needed to evaluate the passing of these requirements are collected in this panel.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
87. Institutions should report in this panel exposures secured by real estate where the residential real estate is
located in the jurisdiction of the institution. Exposures located in other EU jurisdictions should be reported in panels C to J.
88. The following table provides instructions on how the different lines in the panel should be understood:
Row Heading Description
Exposures secured by residential real estate
Banks shall report here all IRBA-exposure that is secured by residential real estate (without the application of any cap). Losses for exposure ≤ 55% of property value Banks shall report here the losses suffered on the exposure reported in the line above but only those which are allocated to the part up to 55% of the property value. When calculating losses, banks should refer to the indications specified in the reporting instructions to fill-in the supervisory reporting template COREP 15 – IP Losses. 9 Overall loss Rate Automatically calculated losses rate related to IRBA exposure secured by real estate on a property value ≤ 55% at any given year. Not to be filled by banks. 10 Super hard test Automatically calculated, can be “passed” or “failed” depending on whether the requirement that the Overall loss Rate calculated in the line above should be ≤ 0.25%, as described in CRR3 final provisional agreement Art. 465 (5) 2 nd subparagraph (b). Not to be filled by banks.
89. The information is requested for the six years prior to the reference date of the exercise (December
2023)
4.4.2 Panel B: IRBA exposure secured by real estate
90. Panel B collects RWA amounts under different scenarios related to the passing of the hard test and the super
hard test. The following two scenarios are measured:

• Assuming the discretion in Article 465 (5) 1 st subparagraph is exercised in the Member State of the
  institution, the super hard test is passed (CRR3 final provisional agreement Art. 465 (5) 2 nd subparagraph lit. (b) is passed) and applying the risk weights defined in CRR3 final provisional agreement Art. 465 (5) 1 st subparagraph
• Assuming the super hard test failed

91. Institutions should report in this panel exposures secured by real estate where the residential real estate is
    located in the jurisdiction of the institution. Exposures located in other EU jurisdictions should be reported in panels C to J.
92. The following table provides instructions on how the rows and columns in the panel should be understood:
    Row Heading Description
    17-27 Asset classes Banks shall report all IRBA exposures and RWA following the asset class breakdown of the CR SA template and split the exposure in three buckets:

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description

• exposures ≤ 55% of property value
• exposures >55 ≤ 80% of property value
• exposures > 80% of property value
• To identify the exposure that should be reported under each bucket,
  institutions need to consider the specifications included in article 465 (5) a) and b) of the CRR3 final provisional agreement. Column Heading Description C to D Full non￾modelling approaches Assuming CRR3 final provisional agreement Art. 465 (5) 2nd subparagraph (b) passed Banks shall report in these columns all IRBA exposure secured by real estate and the calculated RWA in accordance with the applicable non￾modelling approach of the revised Basel III framework but applying risk weights as required in Art. 465 (5) 1 st subparagraph (a) and (b) and subparagraph 3 of the CRR3 final provisional agreement. E to F Full non￾modelling approaches Assuming CRR3 final provisional agreement Art. 465 (5) 2nd subparagraph (b) failed Banks shall report in these columns exposure secured by real estate and the calculated RWA in accordance with the applicable non-modelling approach of the revised Basel III framework.
  4.4.3 Panels C to J

93. Differently to panels A and B, institutions should report in these panels exposures secured by real estate where
    the residential real estate is not located in the jurisdiction of the institution but in a different country that are
    part of the European Union. Each combination of panels (Loss rate panel and IRBA Exposure secured by real
    estate panel) should be filled with exposures secured by real estate where the residential real estate is located in a given country. For each panel, institution should select from the drop-down menu the name of the country where the residential real estate is located.
94. These panels are to be reported on a voluntary basis and banks are strongly advised to fill them in if they have
    significant exposures secured by real estate where the residential real estate is not located in the jurisdiction of the institution but in a different country that are part of the European Union.
95. Panels C-J replicate the structure of panel A and B. Banks should follow the instructions to complete panel A
    and B to complete panels C to J.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description 31, 61, 91, 121 Country Select from the drop-down menu the name of the country the residential real estate is located in.
4.5 Worksheet “EU ADC”
a. Introduction
96.Article 126a(3) of the CRR3 final provisional agreement mandates the EBA to draft GL specifying the terms: substantial cash deposit, financing ensured in an equivalent manner, appropriate amount of obligor-contributed equity, significant portion of total contracts and to address the specificities of institutions’ lending to public housing or not-for profit entities across the European Union that are regulated by national law and that exist to serve social purposes and to offer tenants long-term housing. To be able to answer to such mandate the EBA needs to collect data to understand bank’s current practices related to ADC. All banks (IRB and SA) are expected to fill in this template. b. Panel A) General information
97. Panel A collects information on bank’s exposures and risk-weighted assets to the ADC asset class.
Banks should identify those exposures that are ADC exposures following the definition in the final Basel III agreement. The information is requested separately for banks applying the SA approach and for banks applying the IRB approach. a. Panel A) 1) General information – SA banks
98. For exposures under the SA framework that are classified as ADC exposures following the definition
in the final Basel III agreement, bank’s should calculate the exposure and risk-weighted assets amounts under three different frameworks.

• Amounts applying national rules at the reporting date: Banks should apply the CRR2
  rules for the risk weighting, using the revised Basel III rules to identify the ADC exposures. These cells are linked to the relevant cell in the Credit Risk (SA) template.
• Amounts applying the revised rules for SA and CRR exposures: Banks should apply the
  revised Basel III rules for the risk weighting and the identification of the ADC exposures, without considering any EU specificity. These cells are linked to the relevant cell in the Credit Risk (SA) template.
• Amounts applying the revised rules considering additional clarifications: Banks should
  apply the revised Basel III rules for the risk weighting and the identification of the ADC exposures, but considering the following clarifications as defined in section Error! Reference source not found. Error! Reference source not found. As a consequence, the total amount identified as ADC exposures should not change, but the part of the

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) exposures that are subject to a 150% or a 100% risk-weight might be different under these rows. b. Panel A) 2) General information – IRB banks
99. Banks should report in this panel IRB exposures that would be considered as ADC exposure if the SA
classification would apply. This panel aims at collecting the necessary information to assess the change in the contribution to the output floor impact arising from those IRB exposures that would be classified as ADC exposures if the SA classification would apply and due to the consideration of additional clarifications as defined in section Error! Reference source not found. Error! Reference source not found.
100. Banks should calculate the exposure and risk-weighted assets amounts under two non￾modelling approaches (columns):

• Output floor: Banks should apply the non-modelling approaches rules for the risk
  weighting, without considering any EU specificity, using the revised Basel III rules for SA to identify the ADC exposures. Banks should report under these columns all IRB ADC exposures.
• Amounts applying the revised rules considering additional clarifications: Banks should
  follow the same rules than when completing the output floor columns, however they should consider the clarifications as defined in section Error! Reference source not found. Error! Reference source not found. As a consequence, the total amount identified as ADC exposures should not change, but the part of the exposures that are subject to a 150% or a 100% risk-weight might be different under these rows.
  c. Additional clarifications.
  When reporting the amounts applying the revised rules considering additional clarifications banks should consider the following: with reference to paragraph 75 of the “Basel III: Finalising post-crisis reforms”, please consider the following clarifications:
  i. For the term 'significant' portion of total contracts, two separate ratios for pre￾sale/sale contracts and for pre-lease/lease contracts should be calculated and
  both should be at least equal to 50%. For pre-sale/sale contracts, the ratio should be calculated as follows:
  a. In the numerator, the sum of:
  i. the sales price of legally binding pre-sale contracts with
  substantial cash deposit or financing ensured in an equivalent manner; and

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
ii. the sales price of legally binding sale contracts;
b. In the denominator, the credit facility including the drawn amount and undrawn amount, granted to the borrower to finance the ADC project. For pre-lease/lease contracts, the ratio should be calculated as follows:
a. In the numerator, the sum of:
i. the number of legally binding pre-lease contracts with
significant cash deposit or financing ensured in an equivalent manner; and b. the number of legally binding lease contracts; In the denominator, the total number of units that are part of the ADC project intended for lease contracts. In case of a mixed use of the property is foreseen by the developer (i.e. the intended use of the property is partly for sale and partly for lease) for the ADC project, both ratio should be at least equal to 50%. For “substantial cash deposit”, it shall be intended at least 10% of the sale price for pre-sale contracts and three times the monthly lease rate for pre-lease contracts.
ii. “Financing ensured in an equivalent manner” shall be intended as instalments
and cash paid on a segregated account and, in both cases subject to forfeiture.
iii. The obligor-contributed equity shall be intended in the form of:

1. Cash invested in the project and segregated from other assets of the
   obligor available to cover for the projected cost of the project, measured at the moment of the calculation of capital requirements.
2. Subsidies and grants, provided by government entities or other
   institutions, invested to cover the incurred costs of the project or segregated from other assets of the obligor available to cover the projected cost of the project.
3. Unencumbered readily marketable assets directly linked to the project
   and available to cover the projected cost of the project, measured as the market value of these assets at the moment of calculation of capital requirements . These assets should be contractually bound for being sold at a future point in time for paying development or construction expenses at that point in time linked to the project, should be free from

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) any legal claims, liens, or restrictions, and it should be ensured that they can be easily sold or traded in the market.
4. Paid development or construction expenses out-of-pocket by the
obligor in direct connection to the project, as the amount actually spent for the project, measured in the currency of the financing for the obligor and at the moment of the calculation of capital requirements.
5. Land or improvements in direct connection to the project and available
to cover the projected cost of the project, measured at the market value at the moment of contribution of the obligor into the project.
iv. The term ”appropriate amount of obligor contributed equity” shall be intended
as at least 35% of the e real estate’s property value upon completion.
Please note that these clarifications are provisional, do not constitute any form of guidelines, and are applicable exclusively within the context of this reporting exercise
c. Panel B.1 Materiality of cash deposit requirement
101. Panel B) collects data on the number of real estate units linked to ADC exposures by type of
contract. In particular, under the row “Total number of real estate units” banks should report the total number of real estate units linked to the ADC projects that are associated to different types of contracts . For each property, banks should always consider the last contract signed (i.e. if for a given property a pre-sale contract was signed and afterwards the sale contract was finalised, only the sale contract should be considered). The following table provides additional clarification about the type of contract to be considered for each column. Column C Number of real estate units by type of contract: pre￾sold Banks should report under this column, the total number of pre-sale contracts signed within all the ADC projects they are financing. Banks should exclude those pre-sale contracts when a sale contract was signed afterwards. Column D Number of real estate units by type of contract: pre￾leased - excluding social housing or not-for-profit entities Banks should report under this column, the total number of pre-lease contracts signed within all the ADC projects they are financing excluding those ADC￾projects which feature lending to social housing or not-for-profit entities across the Union that are regulated by law and that exist to serve social purposes and to offer tenants long-term housing.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Banks should exclude those pre-lease contracts when a lease contract was signed afterwards. Column E Number of real estate units by type of contract: pre￾leased - social housing or not-for-profit entities Banks should report under this column, the total number of pre-lease contracts signed within the ADC projects they are financing which feature lending to social housing or not-for-profit entities across the Union that are regulated by law and that exist to serve social purposes and to offer tenants long-term housing. Banks should exclude those pre-lease contracts when a lease contract was signed afterwards. Column F Number of real estate units by type of contract: sold Banks should report under this column, the total number of sale contracts signed within all the ADC projects they are financing. Column G Number of real estate units by type of contract: leased - excluding social housing or not-for-profit entities Banks should report under this column, the total number of lease contracts signed within all the ADC projects they are financing excluding those ADC￾projects which feature lending to social housing or not-for-profit entities across the Union that are regulated by law and that exist to serve social purposes and to offer tenants long-term housing. Column H Number of real estate units by type of contract: leased - social housing or not-for￾profit entities Banks should report under this column, the total number of lease contracts signed within all the ADC projects they are financing which feature lending to social housing or not-for-profit entities across the Union that are regulated by law and that exist to serve social purposes and to offer tenants long-term housing. Column I Number of real estate units by type of contract:
Without any contracts
Number of real estate units for which no contract was signed.
Column J
Check: reasonable number of contracts
Column H contains a check on the minimum reasonable number of contracts per bank. It is considered that the sum of all the contracts should be greater than 10.000.000. The cell will take the value

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) “check” if the total amount of contracts is below this quantity.
102. For columns C and D, in rows 27 to 33 banks should provide a breakdown of the total number
of contracts provided in row 26. In rows 27 to 32 banks should breakdown the total number of contracts by the level of the cash deposit provided. For sales contracts, the cash deposit should be measured as a share over the value of the sale price as indicated in the contract. For leasing contracts, the cash deposits should be measure based on the monthly lease rate. In row 33, banks should provide the number of contracts for which the cash deposit amount is unknown. d. Panel B.2 Additional qualitative information
103. In panel B.2 banks are asked to answer “Yes” or “No” to the question if the use any alternative
way of financing that is ensured in an equivalent manner with respect to cash deposit. In case of a positive answer, banks are requested to provide additional details in the form of a free text answer. e. Panel C) Materiality of significant portion of contracts
104. Panel C aims to gather data on the number of ADC projects for which a certain portion of
contracts have been signed. This information needs to be reported considering the total contracts, total sale contracts, total lease contracts separately (per columns). Lease contracts signed within ADC projects which feature lending to social housing or not-for-profit entities across the Union, that are regulated by law and that exist to serve social purposes and to offer tenants long-term housing, should not be considered when reporting column D. Such contracts should only be considered when reported in column E. Further, this information is requested by different share of contracts signed per project (in rows).
105. The following table provides more information about the data that banks should fill in in the
different rows:
Row 42 Total number of projects
This row includes a formula and is the sum of the rows below. It represents the total number of ADC projects Row 43- Of which a number of contracts below x% / between [x% and y%) / above x% / unknown Under these rows banks should breakdown the projects by the share of contracts that were signed for each project. The share of contracts should be calculated as the number of properties for which a contract was signed over the total number of properties for a given project. The contracts that need to be considered are all contracts

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) (independently of the cash deposit received for pre￾sale and pre-lease contracts) f. Panel D.1 Form of equity (Qualitative information)
106. In Panel D.1, banks are requested to provide Yes/No answers to the question which form of
equity do they consider in the context of ADC project. If the answer to the option “Other” is “Yes”, banks are requested to specify which form of equity they consider. For each point 1) to 5), the following definitions should be considered:
Row 56
Cash invested in the project and segregated from other assets; Cash invested in the project and segregated from other assets of the obligor available to cover for the projected cost of the project, measured at the moment of the calculation of capital requirements. Row 57 Subsides and grants Subsidies and grants, provided by government entities or other institutions, invested to cover the incurred costs of the project or segregated from other assets of the obligor available to cover the projected cost of the project. Row 58 Unencumbered readily marketable assets directly linked to the project Unencumbered readily marketable assets directly linked to the project and available to cover the projected cost of the project, measured as the market value of these assets at the moment of calculation of capital requirements. These assets should be contractually bound for being sold at a future point in time for paying development or construction expenses at that point in time linked to the project, should be free from any legal claims, liens, or restrictions, and it should be ensured that they can be easily sold or traded in the market Row 59 Paid development or construction expenses out￾of-pocket Paid development or construction expenses out-of￾pocket by the obligor in direct connection to the project, as the amount actually spent for the project, measured in the currency of the financing for the obligor and at the moment of the calculation of capital requirements

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row 60 Land or improvements in direct connection to the project Land or improvements in direct connection to the project and available to cover the projected cost of the project, measured at the market value at the moment of contribution of the obligor into the project g. Panel D.2 Obligor contributed equity
107. In Panel D) banks should report the number of ADC projects by the level of equity provided by
the developer of the ADC project.
5. Securitisation
Part of the information requested in the Securitisation template relates to an already implemented
framework and it is therefore available in supervisory reporting data. For the data points for which this is the case, the EBA is planning to pre-fill this information based on supervisory reporting data and banks are therefore not requested to fill it in. This is the case of columns C to P of panel “A.2 Information on approaches”. Banks are expected to fill in all other data points in the Securitisation template.
5.1.1 Column W of Panel A.2: Output floor - EU Specific: transitional arrangement for
securitisation
108. According to Article 465 (7)of the final CRR3 final provisional agreement, introduces a
transitional arrangement for the calculation of output floor non-modelled securitisation RWAs.
109. Under column W of the Securitisations templates, banks are requested to calculate non￾modelled RWAs applying the aforementioned transitional arrangement. Therefore, for exposures
that are risk-weighted using the SEC-IRBA or the IAA in accordance with Art. 92(4), where the part of the standardised total risk-weighted exposure amount for credit risk, for dilution risk, for counterparty credit risk or for market risk arising from the trading book business is calculated using the SEC-SA pursuant to Articles 261 or 262, institutions shall apply the following p-factors:
(a) p = 0,25 for a position in a securitisation to which Article 262 applies; (b) p = 0,5 for a position in a securitisation to which Article 261 applies.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
6. CCR and CVA
6.1 CCR and CVA worksheet
Column AA to AD of Panel A
110. Column AA to AD of panel A (‘Exposures subject to counterparty credit risk’) collect additional
information on the treatment of SFT exposures in order to isolate the impact of the minimum haircut floors as defined by the comprehensive approach for collateralised transactions (CA(SH)) and applicable in the Basel Framework (2023). The additional columns aim to improve the comparability and the reliability of the information reported in the CCR panel, to address comparability issues regarding the measurement of the reform’s impact on the SFT portfolio. Column Heading Description AA-AB Revised credit risk framework applying the revised rules to determine CCR exposures (internal models and standardised approaches): SFT exposures – Minimum Haircut Floor not applied Report total SFT exposures and RWA applying the revised credit risk and revised CCR exposure framework as in columns Q:R, however, without applying minimum haircut floors for SFT exposures. AC-AD CR SA approaches of revised credit risk framework using CCR SA approaches only for all transactions (CA(SH)) - SFT exposures – Minimum Haircut Floor not applied Report SFT exposures and RWA applying the frameworks for credit risk and CCR exposure calculation using standardised approaches only to determine exposures and risk weights as in columns W:X, however, without applying minimum haircut floors for SFT exposures.
6.2 EU CVA worksheet
111. The “EU CVA” worksheet collects data on the impact of the revisions to the minimum capital
requirements for credit valuation adjustment (CVA) risk, taking into account EU specificities. In particular, the worksheet collects additional information on the impact of exemptions listed in Article 382(3) and 382(4) of the CRR and the application of the proportionality principle under the CVA framework.
112. Required data for CVA are conditional on the approaches entered in panel A3 of the “General
Info” worksheet and panel A3 of the “EU General Info” worksheet; therefore, this should be completed first.
113. Mandatory (yellow) cells in the “EU CVA” worksheet are to be left blank, if a certain approach
(e.g. CVA Alternative Method) is not used by a bank. A zero should only be filled in if these are real zeros, i.e. if the bank uses the approach in general, but the capital requirements are zero as of date of the exercise.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
6.2.1 Panel A: Size of derivatives business
114. Panel A collects information on the size of derivative business.
115. For the purpose of this data collection, banks should use the eligibility criteria of the Original
exposure method (OEM) specified in Article 273a CRR 11 to assess if they are eligible to calculate their CVA capital requirements using the simplified approach (i.e. as 100% of the bank’s capital requirement for counterparty credit risk), instead of the materiality threshold specified in MAR50.9 (2020 version) of the final CVA framework 12 (i.e. aggregate notional amount of non-centrally cleared derivatives is less than or equal to 100 billion euro).
116. In particular, a bank should be considered eligible for the simplified approach if the size of its
on- and off-balance-sheet derivative business is equal to or less than both of the following thresholds:

• 5% of the institution's total assets;
• EUR 100 million.
  Row Column Heading Description
  18 D
  Size of the derivative business
  Article 273a(3) CRR
  All on- and off-balance sheet derivatives shall be included, except credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures. 19 D Total assets The total assets in accordance with the applicable accounting standards. For consolidated reporting the institution shall report the total assets following the prudential scope of consolidation in accordance with Section 2 of Chapter 2 of Title II of Part One CRR. 20 D Size of the derivative business as percentage of total assets Non-data entry cell. Calculated automatically as D18/D19. Ratio to be calculated taking the size of the derivative business divided by total assets. 21 D Possibility to use CCR capital requirement: Are the conditions of Article 273a (2) CRR met? Please indicate whether the institution meets the conditions of Article 273a (2) CRR (i.e. size of derivative business is equal or less than EUR 100 million and 5% of institution’s total assets). An institution shall be considered non-compliant with the conditions for using the CRR capital requirement if the conditions of Article 273a (2) are not met for three consecutive months or more than six of the preceding 12 months (see Article 273b CRR) 11 This is in line with the second reform scenario requested in the August 2020 European Commission’s Call for Advice to the EBA on Basel III, see Call for advice to the EBA on the implementation of the final Basel III reforms in light of the impact of the COVID-19 pandemic. This choice should not be considered as pre-empting any future legislation on the implementation of the final Basel III standards in the EU. 12 BCBS (2020), Targeted revisions to the credit valuation adjustment risk framework

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description 21 E Check Non-data entry cell. Checks if the conditions of Article 273a (2) are met at the reporting date. 22 D Intention to use CCR capital requirement Non-data entry cell. The institution’s intention to use CCR capital requirement as its CVA capital requirement, calculated automatically as “CRR and CVA”!G73. 23 D Calculation using CCR capital requirement Non-data entry cell. This cell indicates whether the CCR capital requirement is to be used as its CVA capital requirement or not. If an institution which can use the CCR capital requirement does not indicate its intention to use it, a warning (ie “Fill in cell above”) will be displayed.
6.2.2 Panel B: CVA capital requirements
117. Panel B collects information on the CRR and CVA capital requirements for different scope of
transactions, as those are determined in rows 33-45. In particular, institutions are asked to calculate their CRR and CVA capital requirements for the following sets of transactions:

• CRR scope as defined in Article 382 of CRR (rows 33-34);
• CRR exemptions as defined in Article 382(3) and 382(4) of CRR (rows 35-42), separately for each
  exemption; 13
• Final Basel III scope as defined in MAR50.5 (2023 version) (rows 43-44);
• Fair-valued SFTs for accounting purposes (row 45).

118. The scope of transactions determined by each row should be used consistently when calculating
     the different metrics outlined in each column (e.g. CCR EAD, CCR and CVA capital requirements) under both the current and revised frameworks.
119. All marginal impacts for exempted transactions should be expressed in absolute amounts and
     not percentages. In addition, when including an exempted counterparty in the scope of the CVA risk charge, institutions should consider all transactions with exempted counterparties as unhedged (i.e. CVA hedges are not recognised), even if they in fact have existing credit derivatives or similar instruments held as of the reporting date. Row Column Heading Description 33 D-AR Total transactions in the scope of the CVA risk charge under the CRR framework The scope of transactions should consist of all transactions under CRR Article 382 and as reported in COREP C 25.00. It is reminded that, where computations are performed on the basis of the consolidated situation of the 13 See the EBA Report on CVA risk (2015) and the EBA Policy Advice on CVA risk (2019) for further details on the exemptions.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description reporting institution (e.g. group), the consolidated portfolio of all OTC derivative transactions between all members of that group and an external counterparty (i.e. a counterparty which is not a member of the group) should be considered. Since intragroup transactions (i.e. between two members of the group) are removed as
part of the consolidation process, those transactions are
mechanically removed from the scope of the CVA charge.
SFTs shall be included in scope if the competent authority determines that the institution’s CVA risk exposures arising from those transactions are material according to Article 382(2) of the CRR. Specifically, institutions should exclude from the calculations transactions exempted under Article 382(3) and 382(4) of the CRR for both current and revised frameworks. 34 D-AR Of which: derivatives only The scope of transactions should consist of all transactions reported in row 33, excluding SFTs (i.e. derivatives only). 35 D-AR Total transactions in the scope of the CVA risk charge under the current Basel III framework (i.e. all CRR exemptions defined in
Article 382 are reintegrated
to the CRR scope)
The scope of transactions should consist of all transactions reported in row 33, disregarding the exemption for client’s transactions with a clearing member mentioned in article 382(3) and all exemptions listed in article 382(4) of the CRR. Specifically, the aforementioned transactions currently excluded from the CVA capital requirements calculation pursuant to these articles should be reintegrated for the purpose of this row. With regard to the exemption in Article 382(3), banks should re-integrate in scope the same transactions that are re-integrated for the purposes of row 36. 36 D-AR Marginal impact of reintegration of clients’ transactions (Article 382(3) CRR) Marginal impact of reintegrating transactions between a client and a clearing member, when the clearing member is acting as an intermediary between the client and a qualifying central counterparty, which are exempted under Article 382(3) to the scope of row 33. Clients should not re-integrate those transactions when the transaction meet the requirements in Article 305(2), (3) and (4) of the CRR. The marginal impact should be calculated as follows:
Calculate the relevant metric (e.g. EAD or capital requirement) for the scope of transactions referred to in row 33; Calculate the relevant metric (e.g. EAD or capital requirement) for the scope of transactions referred to in row 33 after reintegrating transactions between a client

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description and a clearing member, when the clearing member is acting as an intermediary between the client and a qualifying central counterparty. Clients should not re￾integrate those transactions when the transaction meet the requirements in Article 305(2), (3) and (4) of the CRR; Calculate the marginal impact as the difference between point 2 and 1. For example, a value of 1000, would indicate that the respective figure (e.g. EAD or capital requirement) given in row 33 would increase by 1000 due to the reintegration of client’s transactions exempted under
Article 382(3).
Values should be reported in absolute amounts (i.e. not in percentage).
37 D-AR
Marginal impact of reintegration of transactions with non-financial counterparties (Article 382(4)(a) CRR) Marginal impact of reintegrating transactions with non￾financial counterparties exempted under Article 382(4)(a) to the scope of row 33. The marginal impact should be calculated as follows:
Calculate the relevant metric (e.g. EAD or capital requirement) for the scope of transactions referred to in row 33; Calculate the relevant metric (e.g. EAD or capital requirement) for the scope of transactions referred to in row 33 after reintegrating transactions with non￾financial counterparties exempted under Article 382(4)(a); Calculate the marginal impact as the difference between point 2 and 1. For example, a value of 1000, would indicate that the respective figure (e.g. EAD or capital requirement) given in row 33 would increase by 1000 due to the reintegration of transactions with non-financial counterparties exempted under Article 382(4)(a). Values should be reported in absolute amounts (i.e. not in percentage). 38 D-AR Of which: Marginal impact of reintegration of transactions with EU non￾financial counterparties only Marginal impact of reintegrating transactions with EU non-financial counterparties exempted under Article 382(4)(a) to the scope of row 33. The marginal impact should be calculated as follows:
Calculate the relevant metric (e.g. EAD or capital requirement) for the scope of transactions referred to in row 33; Calculate the relevant metric (e.g. EAD or capital requirement) for the scope of transactions referred to in row 33 after reintegrating transactions with EU non-

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description financial counterparties exempted under Article 382(4)(a); Calculate the marginal impact as the difference between point 2 and 1. For example, a value of 1000, would indicate that the respective figure (e.g. EAD or capital requirement) given in row 33 would increase by 1000 due to the reintegration of transactions with EU non-financial counterparties exempted under Article 382(4)(a). Values should be reported in absolute amounts (i.e. not in percentage). As marginal impacts are not additive, row 37 is not necessarily the sum of row 38 and row 39. 39 D-AR Of which: Marginal impact of reintegration of transactions with third country non-financial counterparties only Marginal impact of reintegrating transactions with non￾financial counterparties established in a third country exempted under Article 382(4)(a) to the scope of row 33. The marginal impact should be calculated as follows:
Calculate the relevant metric (e.g. EAD or capital requirement) for the scope of transactions referred to in row 33; Calculate the relevant metric (e.g. EAD or capital requirement) for the scope of transactions referred to in row 33 after reintegrating transactions with non￾financial counterparties established in a third country exempted under Article 382(4)(a); Calculate the marginal impact as the difference between point 2 and 1. For example, a value of 1000, would indicate that the respective figure (e.g. EAD or capital requirement) given in row 33 would increase by 1000 due to the reintegration of transactions with non-financial counterparties established in a third country exempted under Article 382(4)(a). Values should be reported in absolute amounts (i.e. not in percentage). As marginal impacts are not additive, row 37 is not necessarily the sum of row 38 and row 39. 40 D-AR Marginal impact of reintegration of intragroup transactions (Article 382(4)(b) CRR) Marginal impact of reintegrating intragroup transactions exempted under Article 382(4)(b) and in accordance with EBA Q&A 2015_1929 to the scope of row 33. The marginal impact should be calculated as follows:
Calculate the relevant metric (e.g. EAD or capital requirement) for the scope of transactions referred to in row 33;

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description Calculate the relevant metric (e.g. EAD or capital requirement) for the scope of transactions referred to in row 33 after reintegrating intragroup transactions exempted under Article 382(4)(b) and in accordance with EBA Q&A 2015_1929. In particular, intragroup transactions of an EU subsidiary of a non-EU parent institution with that non-EU parent institution established in a third country are exempted of CVA charge only if the Commission has adopted an implementing act under Article 13(2) of EU regulation 648/2012 in respect of that third country. Equivalence decisions covering only Article 11 of EU regulation 648/2012 do not trigger an exemption of CVA charge. Calculate the marginal impact as the difference between point 2 and 1. For example, a value of 1000, would indicate that the respective figure (e.g. EAD or capital requirement)) given in row 33 would increase by 1000 due to the reintegration of intragroup transactions exempted under Article 382(4)(b) and in accordance with EBA Q&A 2015_1929. Values should be reported in absolute amounts (i.e. not in percentage). 41 D-AR Marginal impact of reintegration of transactions with pension funds counterparties (Article 382(4)(c) CRR) Marginal impact of reintegrating transactions with pension funds counterparties exempted under Article 382(4)(c) to the scope of row 33. The marginal impact should be calculated as follows:
Calculate the relevant metric (e.g. EAD or capital requirement) for the scope of transactions referred to in row 33; Calculate the relevant metric (e.g. EAD or capital requirement) for the scope of transactions referred to in row 33 after reintegrating transactions with pension funds counterparties exempted under Article 382(4)(c); Calculate the marginal impact as the difference between point 2 and 1. For example, a value of 1000, would indicate that the respective figure (e.g. EAD or capital requirement) given in row 33 would increase by 1000 due to the reintegration of transactions with pension funds counterparties exempted under Article 382(4)(c). Values should be reported in absolute amounts (i.e. not in percentage). 42 D-AR Marginal impact of reintegration of transactions with sovereign Marginal impact of reintegrating transactions with sovereign counterparties exempted under Article

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description counterparties (Article 382(4)(d) CRR) 382(4)(d) to the scope of row 33. The marginal impact should be calculated as follows:
Calculate the relevant metric (e.g. EAD or capital requirement) for the scope of transactions referred to in row 33; Calculate the relevant metric (e.g. EAD or capital requirement) for the scope of transactions referred to in row 33 after reintegrating transactions with sovereign counterparties exempted under Article 382(4)(d); Calculate the marginal impact as the difference between point 2 and 1. For example, a value of 1000, would indicate that the respective figure (e.g. EAD or capital requirement) given in row 33 would increase by 1000 due to the reintegration of transactions with sovereign counterparties exempted under Article 382(4)(d). Values should be reported in absolute amounts (i.e. not in percentage). 43 D-AR Total transactions in the scope of the CVA risk charge under the final Basel framework The scope of transactions should consists of all covered transactions as specified and defined in MAR50.5 (2023 version). Due to the fact that the figures shall be calculated following the Final Basel III scope for the CVA framework, institutions should disregard the CRR exemptions under Article 382(3) for client’s transactions with a clearing member and exemptions under Article 382(4) of the CRR. Specifically, the aforementioned transactions currently excluded from the CVA capital requirements calculation under Article 382(3) and 382(4) CRR should be reintegrated. With respect to SFTs, MAR50.5 specifies that SFTs that are fair-valued by a bank for accounting purposes are to be included in scope of the CVA risk framework if the supervisor determines that the bank's CVA loss exposures arising from SFT transactions are material. Institutions should therefore coordinate with their respective competent authority and exclude from the scope fair-valued SFTs if the competent authority determines that the bank's CVA loss exposures arising from SFT transactions should be considered non￾material. 44 D-AR Of which: derivatives only The scope of transactions should consist of all transactions reported in row 43, excluding fair-valued SFTs (i.e. derivatives only). 45 D, E, O Total SFTs that are fair￾valued for accounting purposes The scope of transactions should consist of all SFTs that are fair-valued by the bank for accounting purposes,

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description irrespective of whether the CVA loss exposures arising from SFT transactions are material or not. 46 D-AR Total non-centrally cleared SFTs that are fair-valued for accounting purposes The scope of transactions should consist of all SFTs that are fair-valued by the bank for accounting purposes, irrespective of whether the CVA loss exposures arising from SFT transactions are material or not. The SFTs transactions which qualify for Article 382(3) CRR should be excluded from the calculations, while SFTs transactions which qualify for Article 382(4) CRR should be included. 47 D-AR Total non-centrally cleared SFTs that are fair-valued for accounting purposes, excluding transactions exempted under Article 382(4) CRR The scope of transactions should consist of all SFTs that are fair-valued by the bank for accounting purposes, irrespective of whether the CVA loss exposures arising from SFT transactions are material or not. The SFTs transactions which qualify for Article 382(3) and/or Article 382(4) CRR should be excluded from the calculations.
120. Institutions should provide data for the above set of transactions computed according to:

• The current framework (columns D to M) as specified in the CRR. In particular, the current
  methods available to calculate CCR and CVA capital requirements, including the current credit risk and Credit Risk Mitigation (CRM) framework, should be applied.
• The revised framework (columns N to AR) as specified in the final Basel III framework and final
  CVA framework published (version 2020). In particular, the revised CVA framework, as well as the revised rules for credit risk and CRM framework should be used. For calculating CCR exposures, the same rules as in column D to M apply. Banks that do not adopt the IMM are expected to apply the SA-CCR.

121. All banks must fill in columns D, E and O (rows 33 to 45) irrespective of the CVA approach they
     use.
122. In case a bank is eligible (i.e. meets the OEM eligibility criteria under Article 273a(2)) and intends
     to set its CVA capital requirement equal to 100% of the bank’s capital requirement for counterparty credit risk (CCR), the bank can choose to report data only in columns D, E and O. A bank which can use CCR RWA must indicate its intention to or not to use CCR RWA in panel B1 of the “CCR and CVA” worksheet. For such a bank, if the cell is left blank, a check warning will be displayed and its CVA capital requirement is not calculated.
123. If the bank intends to set its CVA capital requirement equal to 100% of the bank’s capital
     requirement CCR (D22=”Yes”) and the bank is eligible (D21=”Yes”), the overall CVA capital requirements (column AR) will be set equal to 100% of the bank’s capital requirement CCR (column O), irrespective of whether another CVA approach was flagged as ‘Yes’ in ‘General info’ (i.e. the

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) bank will be considered using the simplified method and the not another approach for calculating CVA capital requirements).
124. In case a bank calculates its CVA capital requirement using the BA-CVA exclusively, then either
data for columns P or R-T is required under the revised framework. A bank that uses the reduced version of BA-CVA must fill in column P. A bank that uses the full version of BA-CVA must fill in column R-T. Please note that a bank must not report values in both set of columns for full and reduced BA￾CVA – (P and R-T).
125. A bank that uses the full BA-CVA approach is required to complete both column R (K_reduced
(assuming hedges are not recognised)) and column S (K_hedged (assuming recognition of all eligible hedges)). While K_hedged acknowledges that a bank might have eligible hedges which can be recognised in the CVA capital requirement position, K_reduced is required to account for potentially imperfectly hedged or unhedged positions.
126. If a bank calculates its CVA capital requirement using the SA-CVA, data for columns W-AI is
required. Such an institution is allowed to exclude a part of its CVA-relevant positions from the calculation under the SA-CVA; however, these positions (ie carved out netting sets) have to be calculated using the BA-CVA (in either, but not both, column AK or columns AM-AO). Please note that a bank using the SA-CVA must not report values in columns P and R-T; only banks that use the BA￾CVA (full or reduced) for their entire CVA portfolios are to provide data in column P or columns R-T. Row Column Heading Description 33-45 D CCR Exposures under current framework Total exposure values for counterparty credit risk under CRR. 33-45 E CCR capital requirements under current framework Total capital requirements for counterparty credit risk under CRR. Banks must report capital requirements (i.e. RWA divided by 12.5), not RWA amounts. 33-45 F CVA capital requirements under Alternative method (Article 385 CRR) Capital requirements for CVA risk using the Alternative Method under Article 385 CRR and the current framework for CCR. Banks must report capital requirements (i.e. RWA divided by 12.5), not RWA amounts. For row 33 this should correspond to COREP 25.00_R040_C090. 33-45 G Check: Filled in consistent with flag settings Non-data entry cell. It displays a warning if the bank provides data but did not report that it is using the CVA Alternative method. 33-45 H Capital requirements under Standardised method (Article 384 CRR) Capital requirements for CVA risk using the Standardised Method under Article 384 CRR and the current framework for CCR.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description Banks must report capital requirements (i.e. RWA divided by 12.5), not RWA amounts. For row 33 this should correspond to C25.00_R030_C090. 33-45 I Check: Filled in consistent with flag settings Non-data entry cell. It displays a warning if the bank provides data but did not report that it is using the CVA Standardised method. 33-45 J Capital requirements under Advanced method (Article 383 CRR) Capital requirements for CVA risk using the advanced method under Article 383 CRR and the current framework for CCR, which is the IMM approach. Banks must report capital requirements (i.e. RWA divided by 12.5), not RWA amounts. For row 33 this should correspond to C25.00_R020_C090. 33-45 K Check: Filled in consistent with flag settings Non-data entry cell. It displays a warning if the bank provides data but did not report that it is using the Advanced method. 33-45 L Total CVA capital requirements Non-data entry cell. Total CVA capital requirements under the current framework. Calculation will only populate using values reported in columns F, H and J for those approaches to CVA risk capital requirements that the bank indicates it uses per rows 38 and/or 39 on the ‘General Info’ worksheet and row 11 on the ‘EU General Info’. 33-45 M Check: Col L Total not calculated due to missing flags in General Info rows 38 and 39 or in EU General Info row Non-data entry cell. This cell indicates “Fail” if the bank provides a value in columns F, H, and/or J but did not indicate its use of the associated approach for CVA risk capital requirements in rows 38 and/or 39 on the ‘General Info’ worksheet or row 11 on ‘EU General Info’ worksheet. 33-45 N CCR Exposures under revised framework Non-data entry cell. Following the implementation of the revised CCR approaches in the CRR that are applicable since 28 June 2021, the total exposure values for counterparty credit risk under the revised framework should equal the total exposure values for counterparty credit risk under the current framework. 33-45 O CCR capital requirements under revised framework Total capital requirements for counterparty credit risk under the final Basel III framework. 33-45 P CVA capital requirement under the reduced BA-CVA:
Capital requirement for CVA risk under the reduced version of the BA-CVA approach, which does not take into account CVA risk hedges. This parameter should be

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description K-reduced (assuming hedges are not recognised) calculated in accordance with MAR50.14 to MAR50.16 (2023 version) of the Basel consolidated framework. Banks must report capital requirements (i.e. RWA divided by 12.5), not RWA amounts. 33-45 Q Check: Filled in consistent with flag settings Non-data entry cell. It displays a warning if the bank provides data but did not report that it is using the reduced version of BA-CVA. 33-45 R CVA capital requirement under the full BA-CVA:
K-reduced (assuming hedges are not recognised)
Part of the capital requirement for CVA risk under the
full BA-CVA approach, which does not take into account CVA risk hedges. This parameter should be calculated in accordance with MAR50.14 to MAR50.16 (2023 version) of the Basel consolidated framework. Institutions which only apply the reduced version of the BA-CVA shall leave this column blank (i.e. no zero shall be included here) and complete column P instead. Banks must report capital requirements (i.e. RWA divided by 12.5), not RWA amounts. 33-45 S CVA capital requirement under the full BA-CVA:
K-hedged (assuming recognition of all eligible hedges)
Part of the capital requirement that fully recognises
eligible hedges in accordance with criteria presented in MAR50.17 to MAR50.19 (2023 version). The parameter should be calculated in accordance with MAR50.21–23 (2023 version). Banks must report capital requirements (i.e. RWA divided by 12.5), not RWA amounts. 33-45 T CVA capital requirement under the full BA-CVA:
Total
Non-data entry cell. Total CVA capital requirement under the full BA-CVA. 33-45 U Check: Filled in consistent with flag settings Non-data entry cell. It displays a warning if the bank provides data but did not report that it is using the full version of BA-CVA. 33-45 V Check: K_reduced and K_hedged in columns R￾S should be larger than 0 and not equal Non-data entry cell. 33-45 W, Y, AA, AC, AE, AG CVA capital requirement under the SA-CVA (for netting sets under the SA-CVA approach):
Delta risks
Capital requirements for delta risk by risk type, calculated according to MAR50.27 to MAR50.77 (2023 version) of the Basel consolidated framework. Banks must report capital requirements (i.e. RWA divided by 12.5), not RWA amounts.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description 33-45 X, Z, AD, AF, AH CVA capital requirement under the SA-CVA (for netting sets under the SA-CVA approach):
Vega risks
Capital requirements for vega risk, by risk type, calculated according to MAR50.27 to MAR50.77 (2023 version) of the Basel consolidated framework. Banks must report capital requirements (i.e. RWA divided by 12.5), not RWA amounts. 33-45 AI CVA capital requirement under the SA-CVA (for netting sets under the SA-CVA approach):
K-full
Non-data entry cell. Total CVA capital requirement under the SA-CVA (for netting sets under the SA-CVA approach). 33-45 AJ Check: Filled in consistent with flag settings Non-data entry cell. It displays a warning if the bank provides data but did not report that it is using SA-CVA. 33-45 AK CVA capital requirement under the SA-CVA (for netting sets carved out of the SA￾CVA that use the reduced BA-CVA approach) K-reduced (assuming hedges are not recognised) This panel is for a bank that uses the SA-CVA but uses the reduced BA-CVA for the netting sets that are carved out. Capital requirement for CVA risk under the reduced version of the BA-CVA approach, which does not take into account CVA risk hedges. This parameter should be calculated in accordance with MAR50.14 to MAR50.16 (2023 version). Banks must report capital requirements (i.e. RWA divided by 12.5), not RWA amounts. 33-45 AL Check: Filled in consistent with flag settings Non-data entry cell. It displays a warning if the bank provides data but did not report that it is using the reduced version of BA-CVA for the carved-out netting sets. 33-45 AM CVA capital requirement under the SA-CVA (for netting sets carved out of the SA￾CVA that use the full BA￾CVA approach):
K-reduced (assuming hedges are not recognised) This column is for a bank that uses the SA-CVA but uses the full BA-CVA for the netting sets that are carved out.
Part of the capital requirement for CVA risk under the
full BA-CVA approach, which does not take into account CVA risk hedges. This parameter should be calculated in accordance with MAR50.14 to MAR50.16 (2023 version). Banks must report capital requirements (i.e. RWA divided by 12.5), not RWA amounts. 33-45 AN CVA capital requirement under the SA-CVA (for netting sets carved out of the SA￾This column is for a bank that uses the SA-CVA but uses the full BA-CVA for the netting sets that are carved out.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description CVA that use the full BA￾CVA approach):
K-hedged (assuming recognition of all eligible hedges
Part of the capital requirement that fully recognises
eligible hedges in accordance with criteria presented in MAR50.17 to MAR50.19 (2023 version). The parameter should be calculated in accordance with MAR50.21 to MAR50.23 (2023 version) of the Basel consolidated framework. Banks must report capital requirements (i.e. RWA divided by 12.5), not RWA amounts. 33-45 AO CVA capital requirement under the SA-CVA (for netting sets carved out of the SA￾CVA that use the full BA￾CVA approach):
K-full
Non-data entry cell. Total CVA capital requirement under the full BA-CVA for the carved-out netting sets. 33-45 AP Check: Filled in consistent with flag settings Non-data entry cell. It displays a warning if the bank provides data but did not report that it is using the full version BA-CVA for the carved-out netting sets. 33-45 AQ Check: K_reduced (column AM) and K_hedged (column AN) in should be larger than 0 and not equal Non-data entry cell. 33-45 AR Overall capital requirements for CVA Non-data entry cell. Total CVA capital requirement.
6.3 EU CCP worksheet
127. The “EU CCP” worksheet collects information on reporting entities’ exposures in cleared
derivative instruments to individual CCPs, i.e. to contracts and transactions listed in Annex II of the CRR and credit derivatives (Article 301 (1)(a) of the CRR) for as long as they are outstanding with CCPs, and derivative exposures from CCP-related transactions, in accordance with Article 300 (2) of the CRR, for which the own funds requirements are calculated in accordance with Section 9 of Chapter 6 of Title II of Part Three of the CRR.
6.3.1 Panel A: Central counterparties
128. The data collected in the “EU CCP” worksheet refer to reporting entities’ information in relation
to cleared derivative instruments to individual CCPs.
129. The sample of CCPs covers all EU CCPs and specific non-EU CCPs. Non-EU CCPs were chosen
based on their systemic importance for the EU (e.g. Tier 2 CCPs), on their importance in the global

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) clearing of derivatives corresponding to the three clearing services assessed by ESMA 14 as being of substantial systemic importance to the EU or to one or more of its Member States, and on their general importance in terms of global market share for cleared derivatives. Overall, the sample of CCPs include ten third country CCPs (TC CCPs) and fourteen CCPs established in the EU (Table 1).
Table 1 List of CCPs for worksheet “EU CCP”
Name of CCP LEI of CCP
Country of establishment of
CCP
Reportin g obligatio n
Panel
Nasdaq OMX Clearing AB 54930002A8LR1AA Sweden C7 Panel B1 European Central Counterparty N.V. 724500937F740MH Netherlands D7 Panel B2 KDPW_CCP 2594000K576D5CQ Poland E7 Panel B3 Eurex Clearing AG 529900LN3S50JPU47 S06 Germany F7 Panel B4 Cassa di Compensazione e Garanzia S.p.A. (CCG) 8156006407E264D2 Italy G7 Panel B5 LCH SA R1IO4YJ0O79SMWVC HB58 France H7 Panel B6 European Commodity Clearing 529900M6JY6PUZ9 Germany I7 Panel B7 Keler CCP 529900MHIW6Z8O Hungary J7 Panel B8 CCP Austria Abwicklungsstelle für Börsengeschäfte GmbH (CCP.A) 529900QF6QY66Q Austria K7 Panel B9 BME Clearing 5299009QA8BBE2OO B349 Spain L7 Panel B10 OMIClear - C.C., S.A. 5299001PSXO7X2J Portugal M7 Panel B11 ICE Clear Netherlands B.V. 7245003TLNC4R9X Netherlands N7 Panel B12 Athens Exchange Clearing House (Athex Clear) 213800IW53U9JMJ Greece O7 Panel B13 SKDD-CCP Smart Clear d.d (SKDD-CCP) 747800E0OA8S9C Croatia P7 Panel B14 LCH Limited F226TOH6YD6XJB17K S62 United Kingdom Q7 Panel B15 ICE Clear Europe Limited 5R6J7JCQRIPQR1EEP 713 United Kingdom R7 Panel B16 LME Clear Limited 213800L8AQD59D3JR W81 United Kingdom S7 Panel B17 Chicago Mercentile Exchange SNZ2OJLFK8MNNCLQ OF39 United States T7 Panel B18 14 Esma concludes Tier 2 CCP assessment under Article 25(2c) of EMIR (ESMA, December 2021): ‘In particular, the assessment identified three clearing services as being of substantial systemic importance to the EU or to one or more of its Member States. These are SwapClear of LCH Ltd for the clearing of interest rate derivatives denominated in Euro and Polish zloty, as well as the Credit Default Swaps service (CDS) and the Short-Term Interest Rate Derivatives service (STIR) of ICE Clear Europe Ltd, in both cases for euro-denominated products.’

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Name of CCP LEI of CCP Country of establishment of CCP Reportin g obligatio n Panel Japan Securities Clearing Corporation 549300JHM7D8P3TS 4S86 Japan U7 Panel B19 OTC Clearing Hong Kong Ltd 213800CKBBZUAHHA RH83 Hong Kong V7 Panel B20 ICE Clear Credit LLC T33OE4AS4QXXS2TT 7X50 United States W7 Panel B21 Korea Exchange, Inc. (KRX) 549300TJ3RRV6Q1UE W14 South Korea X7 Panel B22 Canadian Derivatives Clearing Corporation (CDCC) 5493004XJK1P32XQL A57 Canada Y7 Panel B23 Singapore Exchange Derivatives Clearing (SGXDC) 549300ZLWT3FK3F0F W61 Singapore Z7 Panel B24
130. Panel A collects information about the relationship between the reporting entity and each of the
ten CCPs. Further, the clearing member and the main client of the clearing member are identified, where relevant. Information reported in the “EU CCP” worksheet should only relate to the CCPs listed in Table 1.
131. Institutions should first report row 7 of column C to Z to identify the relationship with the CCP
identified in row 4. After filling in row 7 the Memo Box (row 16) shows if further information in relation to this CCP should be reported and the relevant cells and panels that should be filled in. If the reporting entity has no relation to the CCP identified in row 4, no further information in relation to this CCP are required. Row Column Heading Description 7 C-Z Do you clear transaction with this CCP? (drop down) Select from the drop-down menu the relationship with the CCP identified in row 4. The reporting entity is:

• a clearing member according to Article 2(14) EMIR; Please also select this,
  if the reporting entity is a consolidated group that clears derivatives with that CCP through a legal entity (i.e. henceforth referred to as ‘official clearing member’) that is part of the group.
• a client of a clearing member according to Article 2(15) EMIR
• a client that has established indirect clearing arrangements with a clearing
  member in accordance with Article 4(3) EMIR
• none of the above (select ‘No’).
  8 C-Z if yes, as part of indirect clearing arrangements:
  Name of the client having direct access to the clearing member If row 7 ‘Yes, as client that has established indirect clearing arrangements with a clearing member in accordance with Article 4(3) EMIR’, report the name of the legal entity that is the client having direct access to the clearing member through which the CCP-related derivative transactions with the CCP identified in row 4 are cleared. Otherwise, leave empty.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) 9 C-Z if yes, as part of indirect clearing arrangements: LEI of the client having direct access to the clearing member If row 7 ‘Yes, as client that has established indirect clearing arrangements with a clearing member in accordance with Article 4(3) EMIR’, report the LEI code of the legal entity of the client having direct access to the clearing member through which the CCP-related derivative transactions with the CCP identified in row 4 are cleared. Otherwise, leave empty. 10 C-Z if yes, as clearing member:
How is the official clearing member reached? (drop down) If row 7 ‘Yes, as clearing member according to Article 2(14) EMIR’ select from the drop-down:

• ‘Reporting entity is clearing member’ if the legal entity reporting is the
  official clearing member registered at the CCP (see list of clearing members disclosed by the CCP) identified in row 4.
• ‘Intragroup transaction’ if the official clearing member registered at the
  CCP (see list of clearing members disclosed by the CCP) identified in row 4 is not the reporting entity itself but is a legal entity within the group. Otherwise, leave empty. 11 C-Z If yes, name of official clearing member (if within the group, legal entity within the group) Indicate the name of the legal entity that is the official clearing member registered at the CCP (i.e. list of clearing members disclosed by the CCP) identified in row 4, including for clearing members reporting the name of the legal entity acting as the group’s clearing member for the CCP identified in row 4 (or, where relevant, reporting themselves). If row 7 ’No’, please leave empty. 12 C-Z If yes, LEI of official clearing member (if within the group, legal entity within the group) Indicate the LEI code of the legal entity that is the official clearing member registered at the CCP identified in row 4, including for clearing members reporting the LEI of the legal entity acting as the group’s clearing member for the CCP identified in row 4 (or, where relevant, reporting their own LEI). If row 7 ’No’, please leave empty. 13 C-Z If yes, country of official clearing member (drop down) Select the two-letter country code from the drop-down menu for the legal entity that is the official clearing member registered at the CCP identified in row 4, including for clearing members reporting the country of establishment of the legal entity acting as the group’s clearing member for the CCP identified in row 4 (or, where relevant, their own country of establishment). If row 7 ’No’, please leave empty.
  6.3.2 Panel B: CCP exposure

132. Panels B1 to B24 collect information on the exposures and capital requirements for derivative
     transactions with each of the twenty-four CCPs. Please refer to the memo box (either in row 16 or above each subpanel) for reporting obligations of each of the subpanels. If the reporting entity has no exposures in cleared derivative instruments to the CCP of the relevant subpanel 1 to 24, it should leave the subpanel empty.
133. The reporting scope includes exposures where an institution acts as a clearing member, either
     for its own purposes or as a financial intermediary between a client and a CCP. The reporting entity should report total exposures and own funds requirements for its derivative exposures to a CCP resulting from both house trades and client trades. Further, where the reporting entity is a client of a clearing member, it should report exposures and own funds requirements for its CCP-related transactions with the clearing member.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
134. Derivative transactions that are executed (i) on a third country market not considered as a
regulated market in accordance with Article 2a of (EMIR) (over-the counter third-country exchange, ‘OTC TC’), (ii) on a regulated market as within the meaning of Article 4(1)(21) of Directive 2014/65/EU (MiFID II) or on a third country market considered as equivalent to a regulated market in accordance with Article 19(6) of MiFID (‘RM’) or (iii) neither on an OTC TC nor on a RM (‘OTC bilateral’), are in scope of Panel B. Note, however, that Panel B explicitly distinguishes only between ‘OTC bilateral’ (as specified above) and ‘other’ (meaning exchange-traded derivatives, where RM and OTC TC are not further distinguished).
135. Derivative transactions in relation to clearing activities and services that are not authorised in
accordance with Article 14 of EMIR (for EU CCPs) or not recognised in accordance with Article 25 of EMIR (for TC CCPs) should be filled in, if such transactions exist, and should be considered as transactions with a non-qualifying CCP, since in accordance with Article 4(88) of the CRR qualifying central counterparty (‘QCCP’) means ‘a central counterparty that has been either authorised in accordance with Article 14 of Regulation (EU) No 648/2012 or recognised in accordance with Article 25 of that Regulation’. Table 2 shows for each CCP in scope of the ‘EU CCP’ worksheet whether the derivative transactions of the underlying risk category are authorised or recognised. 15 Risk categories, for which derivative transactions are not authorised or recognised, and should therefore be treated as transactions with a non-qualifying CCP, are marked in purple in Panel B.
Table 2 Classes of financial derivative instruments covered by CCP’s authorisation or recognition
(marked with ‘X’), by CCP
Risk Category
Interest
Rate: OTC bilateral
Interest
Rate:
Other
Credit:
OTC
Credit:
Other FX Equity:
OTC
Equity:
Other Commodity
Nasdaq OMX
ECC X X
KDPW X
Eurex X
CCG X X
LCH SA X
ECC X
Keler X
CCP.A
BME X
OMI X
ICE NL X X
Athex X
SKDD
LCH Ltd X
15 See https://www.esma.europa.eu/sites/default/files/library/third-country_ccps_recognised_under_emir.pdf (for TC CCPs derivative transactions recognised by ESMA) and https://www.esma.europa.eu/sites/default/files/library/ccps_authorised_under_emir.pdf (for EU CCPs derivative transactions authorised by ESMA).

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) ICE EU Ltd X LME X CME X JSCC X OTC CHK X X ICC X KRX CDCC X SGXDC X
136. Column C to L refer to CCP trade exposures. Column C refers to the number of transactions
subject to capital requirements for exposures to the relevant CCP identified in the subpanel B1 to B24. The numbers should not comprise in or out-flows but should correspond to the overall positions in the CCR portfolio at the reporting date. Furthermore, a derivative instrument that is split into two or more legs (at least) for the sake of modelling shall still be considered as one single transaction.
137. Columns D to H refer to the notional amounts for derivatives before any netting and without any
adjustments in accordance with Article 279b of the CRR. The notional amount should be reported by residency of the end-counterparty to the derivative transactions (columns D to G). ‘Rest of the world’ includes all transactions not with end-counterparties in the EU (column D), the UK (column E) or the US (column F). The total notional amount should be reported in column H; it should be equal to the sum of columns D to G in the case of OTC bilateral derivatives. Please note that information on residency of the end-counterparty might not be available for exchange-traded derivatives. In that case, columns D to G should be left empty and only the total notional amount should be reported in column H.
138. Column I refers to the current market value (CMV) defined as the net market value of the
portfolio of transactions gross of any collateral held or posted, where both positive and negative market values are used in computing the CMV (Article 272 (12) of the CRR).
139. Column J refers to the net variation margin amounts (VM) posted or received, computed in
accordance with Article 276 of the CRR.
140. Column K refers to the market value of collateral posted as initial margin (IM) as defined in point
(140) of Article 4(1) of the CRR for the corresponding derivative transactions. In addition, provisions under Article 301(2) of the CRR apply. In particular, IM shall not include contributions to a CCP for mutualised loss-sharing arrangements (i.e. in cases where a CCP uses IM to mutualise losses among the clearing members, it shall be treated as a default fund exposure). The total IM amount posted to the CCP should be broken down for each row of corresponding set of derivative transactions, on a best effort basis, with the sum of these broken-down IM amounts equalling to the total IM amount.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
141. Column L refers to the total exposure value for trade exposures for derivative transactions with
the relevant CCP identified in subpanel B1 to B10, calculated in accordance with Sections 1 to 8 of
Chapter 6 of Title II of the CRR, as set out in Article 306(3) of the CRR.
142. Column M refers to the total contribution to the default fund of the relevant CCP identified in
the subpanel B1 to B10 for the corresponding derivative transactions. The total default fund contribution (DFC) to the CCP should be broken down for each row of corresponding set of derivative transactions, on a best effort basis, with the sum of these broken-down DFC amounts equalling to the total DFC amount.
143. Column N refers to the own funds requirements for trade exposures calculated in accordance
with Section 9 of Chapter 6 of Title II of Part Three of the CRR.
144. Column O refers to the own funds requirements for contributions to the default fund resulting
from derivative transactions calculated according to Section 9 of Chapter 6 of Title II of Part Three of the CRR.
145. Column P refers to the total capital requirements for CCP exposures determined in accordance
with Section 9 of Chapter 6 of Title II of Part Three of the CRR.
146. Column Q refers to the capital requirements for credit valuation adjustment risk (CVA)
determined in accordance with Title VI of Part Three of the CRR, where applicable.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Colum n Heading Description
1) CCP exposure: Report the trade exposures, default fund
contributions and capital requirements for derivative transactions with the relevant CCP identified in subpanel B1 to B10 23; 40; 45; 46; 49/ 63; 80; 85;86; 89/ 103; 120; 125; 126; 129/ 143; 160; 165; 166; 169/ 183; 200; 205; 206; 209/ 223; 240; 245; 246; 249/ 263; 280; 285; 286; 289/ 303; 320; 325; 326; 329/ 343; 360; 365; 366; 369/ 383; 400; 405; 406; 409/ 423; 440; 445; 446; 449/ 463; 480; 485; 486; 489/ 503; 520; 525; 526; 529/ 543; 560; 565; 566; 569/ 583; 600; 605; 606; 609/ 623; 640; 645; 646; 649/ 663; 680; 685; 686; 689/ 703; 720; 725; 726; 729/ 743; 760; 765; 766; 769/ 783; 800; 805; 806; 809/ 823; 840; 845; 846; 849/ 863; 880; 885; 886; 889/ 903; 920; 925; 926; 929/ 943; 960; 965; 966; 969 C-I; K; M Interest rate/ credit/ FX/ Equity/ Commo dity derivativ es Derivative transactions of the reporting entity subject to clearing by the CCP (directly or indirectly) should be broken down by the following asset classes: interest rate, credit, foreign exchange (FX), equity and commodity. If the reporting entity has no derivative transactions for a certain asset class a zero should be filled in. Total interest rate, credit, foreign exchange and commodity derivatives are automatically calculated, i.e. no entry cells. 24/64/104/144/184/224/264/304/344/384/424/464/504/544/584/624 /664/704/744/784/824/864/904/944 C-I; K; M OTC bilateral denomi nated in EUR Interest rate derivative transactions executed OTC bilateral that are denominated in EURO. 26/66/106/146/186/226/266/306/346/386/426/466/506/546/586/626 /666/706/746/786/826/866/906/946 C-I; K; M Other denomi nated in EUR Interest rate derivative transactions executed OTC TC or on regulated markets that are denominated in EURO. 28/68/108/148/188/228/268/308/348/388/428/468/508/548/588/628 /668/708/748/788/828/868/908/948 C-I; K; M OTC bilateral denomi nated in PLN Interest rate derivative transactions executed OTC bilateral that are denominated in Polish zloty. 30/70/110/150/190/230/270/310/350/390/430/470/510/550/590/630 /670/710/750/790/830/870/910/950 C-I; K; M Other denomi nated in PLN Interest rate derivative transactions executed OTC TC or on regulated markets that are denominated in Polish zloty. 32/72/112/152/192/232/272/312/352/392/432/472/512/552/592/632 /672/712/752/792/832/872/912/952 C-I; K; M OTC bilateral denomi nated in other EU/EEA Interest rate derivative transactions executed OTC bilateral that are denominated in another currency used in a country of the EU or EEA other than EURO or Polish zloty.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) currenci es 34/74/114/154/194/234/274/314/354/394/434/474/514/554/594/634 /674/714/754/794/834/874/914/954 C-I; K; M Other denomi nated in other EU/EEA currenci es Interest rate derivative transactions executed OTC TC or on regulated markets that are denominated in another currency used in a country of the EU or EEA other than EURO or Polish zloty. 36/76/116/156/196/236/276/316/356/396/436/476/516/556/596/636 /676/716/756/796/836/876/916/956 C-I; K; M Other OTC bilateral All other interest rate derivative transactions executed OTC bilateral that are not reported in rows above 38/78/118/158/198/238/278/318/358/398/438/478/518/558/598/638 /678/718/758/798/838/878/918/958 C-I; K; M Other All other interest rate derivative transactions executed OTC TC or on regulated markets that are not reported in rows above. 41/81/121/161/201/241/281/321/361/401/441/481/521/561/601/641 /681/721/761/801/841/881/921/961 C-I; K; M OTC denomi nated in EUR Credit derivative transactions executed OTC that are denominated in EURO. 43/83/123/163/203/243/283/323/363/403/443/483/523/563/603/643 /683/723/763/803/843/883/923/963 C-I; K; M Other All other credit derivative transactions that are not reported as transactions executed OTC and denominated in EURO. 25; 27; 29; 31; 33; 35; 37; 39; 42; 44/ 65; 67; 69; 71; 73; 75; 77; 79; 82; 84/ 105; 107; 109; 111; 113; 115; 117; 119; 122; 124/ 145; 147; 149; 151; 153; 155; 157; 159; 162; 164/ 185; 187; 189; 191; 193; 195; 197; 199; 202; 204/ 225; 227; 229; 231; 233; 235; 237; 239; 242; 244/ 265; 267; 269; 271; 273; 275; 277; 279; 282; 284/ 305; 307; 309; 311; 313; 315; 317; 319; 322; 324/ 345; 347; 349; 351; 353; 355; 357; 359; 362; 364/ 385; 387; 389; 391; 393; 395; 397; 399; 402; 404/ 425; 427; 429; 431; 433; 435; 437; 439; 442; 444/ 465; 467; 469; 471; 473; 475; 477; 479; 482; 484/ 505; 507; 509; 511; 513; 515; 517; 519; 522; 524/ 545; 547; 549; 551; 553; 555; 557; 559; 562; 564/ 585; 587; 589; 591; 593; 595; 597; 599; 602; 604/ 625; 627; 629; 631; 633; 635; 637; 639; 642; 644/ 665; 667; 669; 671; 673; 675; 677; 679; 682; 684/ 705; 707; 709; 711; 713; 715; 717; 719; 722; 724/ 745; 747; 749; 751; 753; 755; 757; 759; 762; 764/ 785; 787; 789; 791; 793; 795; 797; 799; 802; 804/ 825; 827; 829; 831; 833; 835; 837; 839; 842; 844/ 865; 867; 869; 871; 873; 875; 877; 879; 882; 884/ 905; 907; 909; 911; 913; 915; 917; 919; 922; 924/ 945; 947; 949; 951; 953; 955; 957; 959; 962; 964 C-I; K; M of which:
subject to clearing obligatio n
Derivative transactions that are subject to clearing obligations in accordance with Article 4 of EMIR. 47/87/127/167/207/247/287/327/367/407/447/487/527/567/607/647 /687/727/767/807/847/887/927/967 C-I; K; M OTC Bilateral Equity derivative transactions executed OTC bilateral.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) 48/88/128/168/208/248/288/328/368/408/448/488/528/568/608/648 /688/728/768/808/848/888/928/968 C-I; K; M Other All other equity derivative transactions that are not reported as transactions executed OTC. 50/90/130/170/210/250/290/330/370/410/450/490/530/570/610/650 /690/730/770/810/850/890/930/970 C-I; K; M Energy Derivati ves Derivative transactions as referred to in points (b) and (d) of Article 2(4) of Regulation (EU) No 1227/2011 of the European Parliament and of the Council. 51/91/131/171/211/251/291/331/371/411/451/491/531/571/611/651 /691/731/771/811/851/891/931/971 C-I; K; M Other All other commodity derivative transactions that are not reported as energy derivatives. 52/92/132/172/212/252/292/332/372/412/452/492/532/572/612/652 /692/732/772/812/852/892/932/972 C to Q Total No entry cell: automatic calculated as the sum of interest rate, credit, foreign exchange (FX), equity and commodity derivatives transactions of the reporting entity subject to clearing by the CCP (directly or indirectly). 53/93/133/173/213/253/293/333/373/413/453/493/533/573/613/653 /693/733/773/813/853/893/933/973 C to Q of which:
Own trades
Derivative transactions of the reporting entity subject to clearing by the CCP (directly or indirectly) entered into for the own purposes of the reporting entity. If not applicable a zero should be filled in. 54/94/134/174/214/254/294/334/374/414/454/494/534/574/614/654 /694/734/774/814/854/894/934/974 C to Q of which:
client trades
Derivative CCP-related transactions of the reporting entity subject to clearing by the CCP entered into as a result of a contractual arrangement with a client. If not applicable a zero should be filled in. Qualitative questions 56/96/136/176/216/256/296/336/376/416/456/496/536/576/616/656 /696/736/776/816/856/896/936/976 C Main CCR approac h used to calculat e trade exposur e for this CCP (drop down) Choose from the drop-down menu the current CCR approach used to calculate derivative trade exposures:

• SA-CCR according to Section
  3 of Chapter 6 of Title II of
  Part Three of the Regulation
  (EU) No 575/2013 as amended by Regulation
  (EU) 2019/876 (CRR2).
• Simplified SA-CCR according
  to Section 4 of Chapter 6 of
  Title II of Part Three of the
  CRR2.
• Original exposure method
  (OEM) according to Section
  5 of Chapter 6 of Title II of
  Part Three of the CRR2.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)

• Internal model method
  (IMM) according to Section
  6 of Chapter 6 of Title II of
  Part Three of the CRR.
  57/97/137/177/217/257/297/337/377/417/457/497/537/577/617/657 /697/737/777/817/857/897/937/977 C Approac h used to calculat e own funds for exposur e to this CCP (drop down) Choose from the drop-down menu the approach used to calculate the own funds requirements for exposure to the CCP identified in subpanel B1 to B10:
  If institution is a client of a clearing member:
• Article 305 (1) CRR applies:
  capital requirements calculated according to
  Section 1 to 8 of Chapter 6
  of the CRR, with Section 4 of Chapter 4 of this Title and with Title VI, as applicable.
• Article 305 (2) CRR: capital
  requirements of trade exposures are calculated according to Article 306 of the CRR (risk weight of 2%).
• Article 305 (3) CRR: capital
  requirements of trade exposures are calculated according to Article 306 of the CRR, but with a risk weight of 4 %. If institution is a clearing member:
  Article 303 of the CRR applies.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
7. FRTB
7.1 EU TB SSRM worksheet
148. The “EU TB SSRM” worksheet collects additional information on the application of the EBA Stress
Scenario Risk Measure (SSRM) methodology described in the Final Draft RTS on the calculation of the SSRM under Article 325bk(3) of Regulation (EU) No 575/2013 (Capital Requirements Regulation 2 – CRR2) – herein RTS on SSRM. 16
149. This worksheet is applicable to IMA banks only.
150. The scope of trading desks considered for filling in this worksheet must be identical to the scope
of trading desks used to calculate IMA capital requirement in worksheet “TB” panel B2b. Further, data reported in this worksheet must be as of the same date as data reported in worksheet “TB” panel B2b.
151. When completing this worksheet, banks should assume that all IMA trading desks are in the BT
and PLA test green zone.
7.1.1 Panel A: Number of risk factors (or buckets)
152. Institutions may calculate an at a risk factor level or bucket level in accordance with Article 1 and
2 of the RTS on SSRM, respectively.
153. Institutions are required to count the number of risk factors (or buckets), first on the scope of
the risk factors (or buckets) that are considered by the institution as modellable (columns F-I), and second on the scope of the risk factors (or buckets) that are considered by the institution as non￾modellable (columns J-M). Regarding modellable risk factors, institutions should report the number of risk factors or buckets, as if those were subject to the SSRM charge – although in a real world, those risk factors would not be subject to that charge. Institutions can decide to compute the SSRM for those risk factors at bucket level where they would be allowed to do so in accordance with the RTS on SSRM.
154. Where institutions calculate a stress scenario risk measure (SSRM) at a risk factor level in
accordance with Article 1, the number of risk factors should be reported in columns F, G, J, K, broken down by the number of risk factors that are parameters of a curve/surface (columns F, J) or not (columns G, K).
155. Where institutions calculate a stress scenario risk measure (SSRM) at a bucket level in
accordance with Article 2, the number of buckets should be reported in columns H and L. 16 Final Draft RTS on the calculation of the stress scenario risk measure under Article 325bk(3) of Regulation (EU) No 575/2013 (Capital Requirements Regulation 2 – CRR2)

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
156. The number of risk factors (or buckets) shall be broken down by risk class and where relevant
specifying whether the risk factor is reflecting only idiosyncratic risk). Row Column Heading Description Institutions are required to count the number of risk factors (or buckets), first on the scope of the risk factors (or buckets) that are considered by the institution as modellable (columns F-I), and second on the scope of the risk factors (or buckets) that are considered by the institution as non-modellable (columns J-M). The number of risk factors (or buckets) shall be broken down by risk class (and where relevant specifying whether the risk factor is reflecting only idiosyncratic risk): interest rate risk, credit spread risk idiosyncratic, credit risk non￾idiosyncratic, equity risk idiosyncratic, equity risk non-idiosyncratic, commodity risk and foreign exchange risk. 8-15 F, J Number of risk factors, SSRM at risk factor level, Risk factor is parameter for curve or surface Number of risk factors for which the SSRM is computed at risk factor level and are parameters for curve or surface. 8-15 G, K Number of risk factors, SSRM at risk factor level, Risk factor is not parameter for curve or surface Number of risk factors for which the SSRM is computed at risk factor level and are not parameters for curve or surface. 8-15 H, L Number of buckets, SSRM at bucket level, Regulatory buckets Number of buckets for which the SSRM is computed at bucket level.
7.1.2 Panel B1: Revised market risk requirements for non-modellable risk factors
under the EBA SSRM methodology
157. This panel collects information on the SSRM charge for non-modellable risk factors(or buckets).
Banks must calculate the rescaled stress scenario risk measure described in Article 12 of the RTS on SSRM in two variants:

• Columns F to L: Assuming an adjusted liquidity horizon of 10 (i.e. institutions shall not use the
  LH_adj as defined in that Article but assume LH_adj = 10 instead);
• Columns M to S: Using the actual adjusted liquidity horizon, LH_adj as prescribed in that Article.

158. For reporting purposes, institutions shall first use the stepwise method referred to in Article 1
     and Article 2 of the RTS on SSRM to identify whether the extreme scenario of future shock obtained in accordance with that method occurs at: (i) CS_up, (ii) 0.8CS_up or 0.8CS_down, or (iii) CS_down. This allows institutions to identify, for each risk class (and where relevant adjusted to reflect idiosyncratic risk) which row (i) – (iii) to fill in the template, including for the cases where the direct method is used.
159. Institutions shall then calculate the extreme scenario of future shock by either:

• applying the direct method referred to in Article 1 and Article 2 of the RTS on SSRM, i.e.
  regardless of the fact that for determining the appropriate row (i) – (iii) the stepwise method was used according to the previous paragraph, the institution obtains an extreme scenario of future shock with the direct method, or

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)

• using the extreme scenario of future shock calculated with the stepwise method when applying
  the previous paragraph.

160. Finally, institutions shall calculate the rescaled SSRM corresponding to that extreme scenario of
     future shock in accordance with Article 12 of the RTS on SSRM.
161. The rescaled stress scenario risk measure described in Article 12 shall be also broken down by
     the level at which the extreme scenarios of future shock is developed and applied, i.e. risk factor level (columns F, G, I, J, M, N, P, Q) or bucket level (columns H, K, O, R). At risk factor level, institutions must further distinguish between risk factors that are parameters of a curve or a surface and those that are not. Row Column Heading Description Banks must report the rescaled stress scenario risk measure described in Article 12 of the RTS on SSRM for non￾modellable risk factors (or buckets) only under two variants:

• assuming an adjusted liquidity horizon of 10, i.e. institutions shall not use the LH_adj as defined in that Article but
  assume instead LH_adj = 10 (columns F to L), or
• using the actual adjusted liquidity horizon, LH_adj as prescribed in that Article (columns M to S).
  The rescaled stress scenario risk measure shall be broken down by:
• risk class (and where relevant specifying whether the risk factor is reflecting only idiosyncratic risk): interest rate
  risk, credit spread risk idiosyncratic, credit risk non-idiosyncratic, equity risk idiosyncratic, equity risk non￾idiosyncratic, commodity risk and foreign exchange risk; and
• where the extreme scenario future shocks occurs at: (i) CS_up, (ii) 0.8CS_up or 0.8CS_down, or (iii) CS_down.
  24-27, 32-
  35, 40-51 F, M
  ∑(RSS_k), SSRM at risk factor level, Risk factor is parameter for curve or surface The sum of the rescaled stress scenario risk measure described in Article 12 of the RTS on SSRM across non￾modellable risk factors that are parameters for curve or surface, where the SSRM is calculated at risk factor level. 24-27, 32- 35, 40-51 G, N ∑(RSS_k), SSRM at risk factor level, Risk factor is not parameter for curve or surface The sum of the rescaled stress scenario risk measure described in Article 12 of the RTS on SSRM across non￾modellable risk factors that are not parameters for curve or surface, where the SSRM is calculated at risk factor level. 24-27, 32- 35, 40-51 H, O ∑(RSS_k), SSRM at bucket level, Regulatory bucket The sum of the rescaled stress scenario risk measure described in Article 12 of the RTS on SSRM across non￾modellable buckets, where the SSRM is calculated at bucket level. 24-51 I, P ∑(RSS_k ^2), SSRM at risk factor level, Risk factor is parameter for curve or surface The sum of the squared rescaled stress scenario risk measure described in Article 12 of the RTS on SSRM across non￾modellable risk factors that are parameters for curve or surface, where the SSRM is calculated at risk factor level. 24-51 J, Q ∑(RSS_k ^2), SSRM at risk factor level, Risk factor is not parameter for curve or surface The sum of the squared rescaled stress scenario risk measure described in Article 12 of the RTS on SSRM across non￾modellable risk factors that are not parameters for curve or surface, where the SSRM is calculated at risk factor level. 24-51 K, R ∑(RSS_k ^2), SSRM at bucket level, Regulatory bucket The sum of the squared rescaled stress scenario risk measure described in Article 12 of the RTS on SSRM across non￾modellable buckets, where the SSRM is calculated at bucket level. 52 L, S Total OFR - SSRM Non-data entry cell. Total own fund requirements for non￾modellable risk factors based on the SSRM methodology.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
7.1.3 Panel B2: Revised market risk requirements for modellable risk factors only
under the EBA SSRM methodology
162. This panel collects information on SSRM charge solely for modellable risk factors (or buckets),
as if the capital requirements for these risk factors (or buckets) were calculated by using the EBA SSRM methodology.
163. The institution shall follow the same instructions provided for filling in Panel B1.
Row Column Heading Description
Banks must report the rescaled stress scenario risk measure described in Article 12 of the RTS on SSRM for modellable risk factors (or buckets) only, as if the capital requirements for these risk factors and/(or buckets) were calculated by using the EBA SSRM methodology, under two variants:

• assuming an adjusted liquidity horizon of 10, i.e. institutions shall not use the LH_adj as defined in that Article but
  assume instead LH_adj = 10 (columns F to L), or
• using the actual adjusted liquidity horizon, LH_adj as prescribed in that Article (columns M to S).
  The rescaled stress scenario risk measure shall be broken down by:
• risk class (and where relevant specifying whether the risk factor is reflecting only idiosyncratic risk): interest rate
  risk, credit spread risk idiosyncratic, credit risk non-idiosyncratic, equity risk idiosyncratic, equity risk non￾idiosyncratic, commodity risk and foreign exchange risk; and
• where the extreme scenario future shocks occurs at: (i) CS_up, (ii) 0.8CS_up or 0.8CS_down, or (iii) CS_down.
  59-62, 67-
  70, 75-86 F, M
  ∑(RSS_k), SSRM at risk factor level, Risk factor is parameter for curve or surface The sum of the rescaled stress scenario risk measure described in Article 12 of the RTS on SSRM across modellable risk factors that are parameters for curve or surface, where the SSRM is calculated at risk factor level. 59-62, 67- 70, 75-86 G, N ∑(RSS_k), SSRM at risk factor level, Risk factor is not parameter for curve or surface The sum of the rescaled stress scenario risk measure described in Article 12 of the RTS on SSRM across modellable risk factors that are not parameters for curve or surface, where the SSRM is calculated at risk factor level. 59-62, 67- 70, 75-86 H, O ∑(RSS_k), SSRM at bucket level, Regulatory bucket The sum of the rescaled stress scenario risk measure described in Article 12 of the RTS on SSRM across modellable buckets, where the SSRM is calculated at bucket level. 59-86 I, P ∑(RSS_k ^2), SSRM at risk factor level, Risk factor is parameter for curve or surface The sum of the squared rescaled stress scenario risk measure described in Article 12 of the RTS on SSRM across modellable risk factors that are parameters for curve or surface, where the SSRM is calculated at risk factor level. 59-86 J, Q ∑(RSS_k ^2), SSRM at risk factor level, Risk factor is not parameter for curve or surface The sum of the squared rescaled stress scenario risk measure described in Article 12 of the RTS on SSRM across modellable risk factors that are not parameters for curve or surface, where the SSRM is calculated at risk factor level. 59-86 K, R ∑(RSS_k ^2), SSRM at bucket level, Regulatory bucket The sum of the squared rescaled stress scenario risk measure described in Article 12 of the RTS on SSRM across modellable buckets, where the SSRM is calculated at bucket level. 87 L, S Total OFR - SSRM Non-data entry cell. Total own fund requirements for modellable risk factors based on the SSRM methodology.
  7.1.4 Panel C: Number of risk factors (or buckets) by SSRM method

164. Panel C collects additional information on the different methods (direct, historical, asymmetrical
     sigma, fallback as referred to in Article 1 of the RTS on SSRM) used for the calculation of the SSRM for non-modellable risk factors in Panel B1 and modellable risk factors in Panel B2.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
165. For each method, institutions are required to count the number of risk factors (or buckets), first
on the scope of the risk factors (or buckets) that are considered by the institution as modellable (columns F-I), and second on the scope of the risk factors (or buckets) that are considered by the institution as non-modellable (columns J-M). Regarding modellable risk factors, institutions should report the number of risk factors or buckets, as if those were subject to the SSRM charge – although in a real world, those risk factors would not be subject to that charge. Institutions can decide to compute the SSRM for those risk factors at bucket level where they would be allowed to do so in accordance with the RTS on SSRM.
166. Where institutions calculate a stress scenario risk measure (SSRM) at a risk factor level in
accordance with Article 1 of the RTS on SSRM, the number of risk factors should be reported in columns F, G, J, K, broken down by the number of risk factors that are parameters of a curve/surface (columns F, J) or not (columns G, K).
167. Where institutions calculate a stress scenario risk measure (SSRM) at a bucket level in
accordance with Article 2 of the RTS on SSRM, the number of buckets should be reported in columns H and L.
168. The number of risk factors (or buckets) shall be broken down by the different methods (direct,
historical, asymmetric sigma, fallback) used for the calculation of the SSRM for non-modellable risk factors in Panel B1 and modellable risk factors in Panel B2. Row Column Heading Description Institutions are required to count the number of risk factors (or buckets), first on the scope of the risk factors (or buckets) that are considered by the institution as modellable (columns F-I), and second on the scope of the risk factors (or buckets) that are considered by the institution as non-modellable (columns J-M). The number of risk factors (or buckets) shall be broken down by the different methods (direct, historical, asymmetric sigma, fallback) used for the calculation of the SSRM for non-modellable risk factors in Panel B1 and modellable risk factors in Panel B2: direct method, historical method, asymmetrical sigma method, fallback method. For the different methods, see Article 1 of the RTS on SSRM. 93-97 F, J Number of risk factors, SSRM at risk factor level, Risk factor is parameter for curve or surface Number of risk factors for which the SSRM is computed at risk factor level and are parameters for curve or surface. 93-97 G, K Number of risk factors, SSRM at risk factor level, Risk factor is not parameter for curve or surface Number of risk factors for which the SSRM is computed at risk factor level and are not parameters for curve or surface. 93-97 H, L Number of buckets, SSRM at bucket level, Regulatory buckets Number of buckets for which the SSRM is computed at bucket level

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
8. Prudent Valuation
8.1 EU PruVal
169. The ‘EU PruVal’ template aims to assess the impact and calibrate certain aspects of the proposed
amendments to Regulation (EU) 2016/101 (RTS on Prudent Valuation, RTS) presented in the consultation paper EBA/CP/2024/001/rev1. The section of the panels titled ‘revised framework’ refers to the RTS as it would look like if the amendments in the CP were implemented. ‘Current framework’ refers to the RTS as currently in place.
170. Institutions that currently apply the simplified approach are only requested to provide
information on the threshold under the current and revised framework by filling in Panel A.
171. Institutions that currently apply the core approach, are requested to provide the information
specified in Panel B (Panels B.1 to B.7).
172. Part of the information requested in the ‘EU PruVal’ template is available in supervisory
reporting data. For the data points for which this is the case, the EBA is planning to pre-fill this information based on supervisory reporting data and banks are therefore not requested to fill it in. This is the case of datapoints D6, E6, F6, and G6 of panel “A. Threshold for applying the simplified approach” and all datapoints in panel “B.7.a Prudent valuation adjustments under the current framework”. Banks are expected to fill in all other data points in the ‘EU PruVal’ template.
8.2 Panel A: Threshold for applying the simplified approach
173. Panel A is applicable to all institutions.
174. The objectives of Panel A are the following:

• understand how many institutions would have to start applying the core approach as a
  consequence of the inclusion of exactly matching, offsetting fair-valued assets and liabilities arising from derivatives and securities financing transactions and
• understand the impact of the inclusion of those assets and liabilities on the AVA calculated under
  this approach.

175. The EBA is planning to pre-fill the information datapoints D6, E6, F6, and G6 of panel “A.
     Threshold for applying the simplified approach” based on supervisory reporting data (C32.01). Banks are expected to fill in all other data points in Panel A. Row Heading Description Total fair-valued assets and liabilities The values for the current framework correspond to the following cells in COREP template C 32.01:

• Column D: {C 32.01, r0010, c0010}

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description

• Column E: {C 32.01, r0010, sum(c0030, c0040, c0050,
  c0060)}
• Column F: {C 32.01, r0010, c0030}
• Column G: {C 32.01, r0010, c0080}
  8.3 Panel B: AVAs under the core approach (Panels B.1 to B.7)

176. Panel B is only applicable to institutions currently using the core approach for calculating
     Additional Valuation Adjustments (AVAs). Institutions that currently use the simplified approach, but may have to apply the core approach as a consequence of breaching the threshold may fill in Panel B.
     8.3.1 Overview and general instructions
177. Panels B.1 to B.6 aim to assess the impact of, or calibrate, specific amendments set out in the
     consultation paper EBA/CP/2024/001/rev1 in isolation, i.e. they should be filled in as if the institutions applied the original RTS amended only by the specific provisions indicated. For example, as regards Panel B.3.a, institutions should consider the impact of the new provisions regarding valuation inputs consisting of a matrix of parameters on their use of the dimensionality reduction in the context of the calculation of the market price uncertainty (MPU) AVAs (revised Article 9(4) of the RTS), but should ignore that the value of that MPU AVA may change, if it represents the MPU component of an unearned credit spread (UCS) AVA (Annex, paragraph 2, point (a)(i)(3), to the RTS) or that, possibly, a valuation position would have to be moved under the fall-back approach (Article 3 of the RTS).
178. In contrast, Panel B.7 captures the overall and combined impact of the amendments and offers
     institutions the possibility to point out drivers for the change in AVA, including drivers other than those that panels B.1 to B.6 focus on.
179. The following main measures are requested in several panels.
     Heading Description
     Fair valued assets and liabilities
     The sum of the absolute value of fair-valued assets and liabilities (as defined for the purposes of
     Article 4 of the RTS, but disregarding possible exclusions under that article) that are subject to the
     AVA specified shall be reported.
     It is noted that one and the same fair-valued assets or liability may be reported more than once in certain panels, e.g. because the institutions applies the range-based approach for certain valuation inputs affecting the fair value of that position, and the expert-based approach for others. Individual AVA This refers to the AVA associated with the individual valuation position / valuation exposure, as defined in the Articles of the RTS. For MPU, close out cost (COC) and model risk AVAs, including the UCS and investment and funding costs (IFC) components included in those AVAs, this refers to the value before adjustment for aggregation, referred to as ‘𝐹𝑉 − 𝑃𝑉’ in the Annex to the RTS.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Heading Description APVA (‘AVAs’ in Panel A) This refers to the valuation exposure-level AVA after adjusting for aggregation. In most cases, this value is automatically derived from the individual AVAs provided by the institution. For MPU, COC and model risk AVAs, including the UCS and IFC components included in those AVAs, this corresponds to (1 − 𝛼) ∙ (𝐹𝑉 −𝑃𝑉), as set out on the Annex to the RTS. For the other AVAs, this is equal to the individual AVA defined in the respective Article of the RTS. In Panel A, this corresponds to the AVA calculated for positions under the fall-back approach (current framework: sum of values calculated in accordance with Article 7(2), points (b)(i) to (b)(iii), revised framework: value calculated in accordance with Article 7(4))
8.3.2 Panel B.1: Portfolios under the fall-back approach
180. Panel B.1 collects information on the impact of the amendments to Article 7 of the RTS. It aims
to understand how much the scope of positions under the fall-back approach could changes (Rows 14 to 21 = current scope, rows 22 to 29 = instruments moving into the scope under the new rules), as a result of the revisions to Article 7(3) and changes in institutions behaviour depending on the different percentages applied to obtain the AVA under the fall-back approach (1%, 5% or 10%, in columns).
181. No amendments other than those to Article 7 of the RTS should be taken into account for filling
in this Panel.
182. The design of the Panel assumes that institutions would continue applying the fallback approach
to all valuation positions that they currently apply the fallback approach to. If institutions would discontinue applying the fall-back approach for a significant amount of valuation positions instead because of its design or calibration, they are invited to indicate the conditions and reasons, as well as the magnitude of the valuation exposures moved under the more sophisticated range- or expert￾based approaches in the comments field reserved for this purpose. Column Heading Description I, N, S AVAs under the current framework (core approach) Institutions shall include here the AVA calculated on the basis of the core approach in accordance with the currently applicable RTS. J, O, T AVAs under the current framework (fall-back approach) With regard to the instruments and positions presented in rows 22 to 29, institutions shall report here the AVA that would have been calculated on the basis of the fall-back approach in accordance with the currently applicable RTS, had the instruments or valuation positions in question already been subject to the fall-back approach under the current framework.
8.3.3 Panel B.2: Positions under the core approach (other than positions currently subject
to the fall-back approach): Eligible data sources and recency requirements

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
183. Panel B.2 aims to understand the impact of the new hierarchy of data sources and the new
requirements for the recency of the data specified in Articles 3 and 3a of the revised RTS. For that purpose, the panel seeks information on the amount of valuation exposures that would move from the more sophisticated range- or expert-based approaches to the expert- or fall-back approach because of these two articles, and on the question how the AVA would change because of the change in method for calculating it. Institutions should take the valuation exposures where they currently calculate the AVA on a range-based or expert-based method as a starting point, and disregard all amendments other than those set out in Article 3 and 3a for the purposes of filling in the table.
184. As regards valuation positions that would move under the fall-back approach under the revised
framework, all behavioural considerations shall be disregarded, i.e. only those valuation positions that have to be moved to the fall-back approach on a mandatory basis shall be reported in column K. Row Heading Description 34-40 Valuation inputs where the institution currently determines the AVA on the basis of range-based / expert￾based approaches All fair-valued assets/liabilities (valuation exposures) that are subject to MPU AVAs, COC AVAs or both shall be included in this table. AVA calculated based on consensus service data (>= 10 contributors), recency requirements of Article 3a(2), first subparagraph, met Fair-valued assets and liabilities and individual MPU/COC AVAs shall be reported in this row, if the following conditions are met:

• The institution currently determines the AVA on the basis of a
  range-based approach;
• The basis for calculating the current AVA for the valuation input is
  data from a consensus service with at least 10 contributors, and the institution performs or would be able to perform valuation back-testing for the data from this consensus service;
• The data meets the requirements set out in Article 3a(2), first
  subparagraph (i.e. among others, the data isreflecting the market conditions at the reference date or a point in time within one month before the reference date – ‘recent’ market conditions) AVA calculated based on consensus service data (>= 5 and < 10 contributors), recency requirements of
  Article 3a(2), first
  subparagraph, met
  Fair-valued assets and liabilities and individual MPU/COC AVAs shall be reported in this row, if the following conditions are met:
• The institution currently determines the AVA on the basis of a
  range-based approach;
• The basis for calculating the current AVA for the valuation input is
  data from a consensus service with at least 5 and not more than 10 contributors, and the institution performs or would be able to perform valuation back-testing for the data from this consensus service;
• No other data sources meeting the requirements of the revised
  Article 3(2) are used to calculate the current AVA;

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description

• The data meets the requirements set out in Article 3a(2), first
  subparagraph (i.e. among others, it reflects ‘recent’ market conditions) AVA calculated based on other data sources referred to in
  Article 3(2), recency
  requirements of Article 3a(2), first subparagraph, not met Fair-valued assets and liabilities and individual MPU/COC AVAs shall be reported in this row, if the following conditions are met:
• The institution currently determines the AVA on the basis of a
  range-based approach;
• The basis for calculating the current AVA for the valuation input is
  data from a consensus data service with less than five contributors or data from other sources listed in the current
  Article 3(2),
• The data does not meet the requirements set out in Article 3a(2),
  first subparagraph (e.g. it reflects market conditions prevalent more than one month before the reference date of the AVA calculation) AVA calculated based on other data sources referred to in
  Article 3(2), recency
  requirements of Article 3a(2), first subparagraph, not met Fair-valued assets and liabilities and individual MPU/COC AVAs shall be reported in this row, if the following conditions are met:
• The institution currently determines the AVA on the basis of a
  range-based approach;
• The basis for calculating the current AVA for the valuation input is
  data from a consensus data service with less than five contributors or data from other sources listed in the current
  Article 3(2),
• None of the data sources currently used to calculate the AVA is a
  data source eligible for calculating the AVA on the basis of the ranged-based approach according to the revised framework;
• The data meets the requirements set out in Article 3a(2), first
  subparagraph (i.e. among others, it reflects ‘recent’ market conditions) 37 Other AVAs calculated based on range based approaches Fair-valued assets and liabilities and individual MPU/COC AVAs shall be reported in this row, if they have not been included in any other row. The assets liabilities and AVAs presented in this row will be at least those, where the current AVA is calculated based on a range-based approach and where the data reflects recent market conditions, stems from sources listed in the current Article 3(2) other than consensus data, and stems from a data source that remains eligible for calculating the AVA on the basis of the ranged-based approach according to the revised framework,

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
8.3.4 Panel B.3: Positions under the core approach (other than positions subject to the fall￾back approach) where the institution currently makes use of the dimensionality
reduction
185. Panel B.3 aims to understand the impact of the new provisions in Articles 9 (paragraphs 4 and 6)
and 10 (paragraphs 5 and 7) regarding the treatment of valuation inputs that consist of a matrix of parameters, and more specifically those valuation inputs where the institution makes use of the possibility to reduce the number of parameters (dimensionality reduction) for the purposes of calculating the MPU AVAs (Panel B.3.a) respectively COC AVAs (Panel B.3.b).
186. The Panel should include information on all valuation positions where the institution currently
makes use of the dimensionality reduction, and seeks to understand whether those exposures remain in scope of the dimensionality reduction or not (because of the mandatory application of the expert￾based approach, or because the newly introduced preconditions are not met), and how the AVAs change in the light of, for example, the requirement to apply an expert-based approach.
187. The design of the Panel assumes that institutions would only reduce, and not expand the scope
of such positions under the revised framework. If, contrary to that expectation, institutions would expand the scope of application of the dimensionality reductions, they are invited to indicate the conditions and reasons, as well as the magnitude of the valuation exposures that they would start using the dimensionality reduction for, including the associated AVAs.
188. The design of the panel also assumes that the AVAs estimated on the basis of a reduced set of
parameters will always be determined on the basis of a range-based approach, and never on the basis of an expert-based approach. Institutions are invited to indicate the conditions and reasons, as well as the magnitude of the valuation exposures that they would apply an expert-based approach to while making use of the dimensionality reduction, if that assumption is not correct from their point of view.
189. As regards the breakdown by nature of parameters included in the matrix (volatility, correlation,
credit spread, interest rate), institution should not include cases where the (one) dimensionality reduction is applied on a set of mixed parameters, i.e. such cases should not be singled out in the ‘of which’-rows. As an example:

• If the dimensionality reduction is applied on a matrix consisting (only) of correlation parameters,
  e.g. correlations between the credit spreads of different debt and/or equity instruments, the corresponding assets, liabilities and AVAs should be reported in the ‘of which: correlation’ row;
• If the dimensionality reduction is applied on a matrix consisting of a mix of correlation and
  volatility parameters, the corresponding assets, liabilities and AVAs should be reported only in the total row and not in any of the ‘of which’-rows.
  8.3.5 Panel B.4: Positions under the core approach (other than positions currently subject
  to the fall-back approach): FAC AVAs

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
190. Panel B.4 aims to understand the impact of the new provisions in Articles 15 of the RTS which
clarify the scope and nature of the FAC AVA, and revise the conditions for deeming a FAC AVA to be of zero value. Row Heading Description Valuation positions that the institution currently calculates FAC AVAs for The AVA to be included in column F (FAC AVAs (total category level)) corresponds to the value currently reported in COREP in {C 32.02, r0010, c0080}
8.3.6 Panel B.5: Positions under the core approach (other than positions currently subject
to the fall-back approach): UCS AVAs
191. Panel B.5 aims to understand the impact of the new provisions in Articles 12 and the two options
for identifying the applicable α-factor for the MPU/COC/model risk components of the UCS AVA. Although the main focus of the table is on the assessment of the impact of the α-factor on the AVA, the data provided should take all changes into consideration, including as well the impact of the clarification of the scope, the clarification of the sources of uncertainty to be considered and the new floor for the margin period of risk.
192. In the light of the two options for identifying the applicable α-factor set out in the annex,
information shall be provided on a counterparty-by-counterparty-basis for the ten counterparties attracting the highest individual UCS AVA (= sum of the MPU, COC and model risk components shown in the template). Institutions should identify those ten counterparties based on the UCS AVAs under the revised framework; if that is not possible, institutions are free to use the current UCS AVAs for the ranking.
193. If institutions face particular challenges determining the UCS AVA at the level of a counterparty,
e.g. the need to define an ‘allocation mechanism’ for allocating AVAs determined at a different level (e.g. for counterparties of the same rating grade) to individual counterparties, they are invited to describe the challenge(s) and their approach to addressing it in an accompanying narrative.
8.3.7 Panel B.6: Positions under the core approach (other than positions currently subject
to the fall-back approach): Unadjusted IPV differences
194. Panel B.6 aims to understand the impact of the new provision in the Annex, paragraph 2, point
(a)(ii)(2), which aims to ensure that institutions do not benefit from the ‘diversification’ α-factor for a MPU AVA with regard to the amount corresponding to an unadjusted IPV difference for the respective valuation position/exposure. Institutions should not include valuation positions/exposures where they are not able to estimate an IPV difference (already shown in Panel B.1), but only those where they estimated one and refrain from reflecting it in their accounting.
8.3.8 Panel B.7: Overall impact of the proposal
195. Panel B.7 aims to understand the overall impact of all the amendments to the RTS included in
consultation paper EBA/CP/2024/001/rev1, i.e. institutions should take all the amendments

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) presented in the consultation paper into consideration to determine the values in accordance with the revised framework.
196. The information requested corresponds to the information presented in template C 32.02, that
is currently already used for reporting information on the prudent valuation adjustments. Panel B.7.a contains the values according to the current framework, and Panel B.7.b those according to the revised framework.
197. The EBA is planning to pre-fill the information in panel “B.7.a Prudent valuation adjustments
under the current framework” based on supervisory reporting data (C32.02). Banks are expected to fill in all other data points in Panel B.7.
198. For the sake of simplicity, institutions shall assume the following for filling in Panel B.7.b:

• Option 2 regarding the UCS AVA (α = 0 for the MPU, COC and model risk components of the UCS
  AVA for the five biggest counterparties, and α = 0.5 for all other counterparties) was implemented;
• The AVA for Instruments and valuation positions under the fall-back approach is calculated as 5%
  of the fair value or nominal value, as applicable in accordance with the revised Article 7(4) of the RTS.

199. Institutions shall fill in Panel B.7.b on a best effort basis. If they systematically disregard certain
     amendments to the RTS when providing the figures in Panel B.7.b, or only attempt to cover a certain subset of the amendments, they are invited to explain which amendments they systematically disregarded in their assessment or systematically reflected (and please clearly indicate whether the list provided is one of inclusions or of exclusions).
200. Panel B.7.c is automatically filled in and presents the difference, in absolute terms, between the
     revised and current framework (positive number = Value higher under revised framework, than under the current one; negative number = value lower under the revised framework, than under the current one).
201. Panel B.7.d (optional) offers the possibility to explain main drivers behind the difference
     presented in Panel B.7.c, and their contribution to the value shown. Institutions should specify value they wish to explain by indicating the cell of template C 32.02, indicate the contribution of the driver to the value in that cell, and give a short explanation of what the driver is. When indicating the contribution of the driver, institutions should follow the same sign convention as used for Panel B.7.c (positive number = Value higher under revised framework, than under the current one / driver entails an increase when moving to the revised framework; negative number = value lower under the revised framework, than under the current one / driver entails a decrease when moving to the revised framework). Ideally, institutions should aim to explain as much as possible of the difference they comment on. Example

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) The difference for the MPU AVA is 0.8 mn EUR, the one for total AVAs 1.2 mn EUR. Item C 32.02, cell reference C 32.02, cell - label Contribution of the driver to the change (amount) Comments and explanations Main driver 1 {c0010, r0010} Total category level AVA: MPU – Total core approach 400 000 Dimensionality reduction no longer useable Main driver 2 {c0010, r0010} Total category level AVA: MPU – Total core approach 250 000 Scope of UCS AVA (MPU component) Main driver 3 {c0010, r0010} Total category level AVA: MPU – Total core approach 120 000 Application of expert￾based approach because of ineligible data sources Main driver 4 {c0010, r0010} Total category level AVA: MPU – Total core approach 60 000 Recalibration of models Main driver 5 {c0010, r0010} Total category level AVA: MPU – Total core approach

• 10 000
  Positions moved under fall-back approach
  Main driver 6
  {c0010, r0010}
  Total category level AVA: MPU
  – Total core approach
• 20 000 Other factors
  Main driver 7
  {c0110, r0030}
  Total AVA – Total core approach
• 95 000 Increase in OpRisk AVAs
  … … … … …

9. Operational Risk
10. The EU operational risk template (‘EU OpRisk’) is heavily based on the respective core BCBS
    operational risk template (‘OpRisk’), by adding the EU specific rows (highlighted in yellow in ‘EU OpRisk’ template and in light blue in the instructions below) which are intended to address the EBA mandates arising from the finalisation of CRR3/CRD6. The participating banks are required to fill in the ‘OpRisk’ template; the ‘EU OpRisk' template will retrieve the common information from the ‘OpRisk’ template automatically. Instead, the participating banks are requested to complete the yellow/green parts of the ‘EU OpRisk’ worksheet that correspond to the additional EU specific information.
11. To facilitate a holistic approach for the completion of the EU OpRisk template, the EBA repeats
    the part of the BCBS instructions herein, by complementing them with the instructions relating to

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) the completion of the EU specific rows (yellow and green cells). However, the part of the BCBS instructions refer to the completion of the ‘OpRisk’ template.
204. Please refer to guidance from the national supervisor as to whether it is necessary to fill in this
worksheet.
205. To support the Committee’s work of on operational risk, the “OpRisk” worksheet collects data
on four panels: balance sheet and other items (panel A), income statement (panel B), operational losses (panel C) and RWA along with regulatory add-ons (panel E). Panel D, presents calculations for each of the main components of the Standardised Measurement Approach (SMA), and accounts for the treatment of losses in national implementation.
206. Panels from A to E should be completed by all the banks on a best effort basis. If the information
is not available, a corresponding cell should be left blank as per QIS general principle.
207. As for other parts of the Basel III monitoring template, the data in the “OpRisk” worksheet should
be reported on a group-wide consolidated basis for all entities that are consolidated by the bank for risk-based regulatory purposes. Data should be reported in the reporting currency and unit as set out in the “General Info” worksheet as of the relevant reference date. Banks should enter the calendar year of the most recent end of the bank’s financial year in cell N3 of the “OpRisk” worksheet. Banks should provide the data in panels A to D and E2 in exactly the same way as it would feed into the calculation of regulatory capital requirements if the final Basel III framework was already in place at the reporting date.
9.1 Balance sheet and other items (panel A)
208. Panel A collects information on specific items of the balance sheet. To the extent possible these
items should already include M&A-activities (see OPE25.34) and exclude divested activities (see OPE 25.33). Row Column Heading Description 6 L–N Total Assets; of which: Total on-balance sheet assets 7 L-N interest-earning assets (including lease assets); of which:
Total on-balance sheet assets generating interest income, including total gross outstanding loans, advances and interest-bearing securities (including government bonds) measured at the end of each financial year. It also includes assets subject to operating lease. 8 L-N derivatives with positive fair value derivatives with positive fair value originating flows like interest income or expenses
209. Data for the two previous years should be provided in columns J and K of panel A.
9.2 Income statement (panel B)

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
210. Panel B collects information on specific items of the income statement. To the extent possible
these items should already include M&A-activities (see OPE25.34) and exclude divested activities (see OPE 25.33).. Row Column Heading Description Sub-items 13 L–N Interest income (including financial and operational lease); of which:
Interest income coming from all financial assets and other interest income. Interest income from financial and operating lease should be included in this item. Interest income from:

• Loans and advances, assets
  available for sale, assets held to maturity, and trading assets
• Hedge accounting derivatives
• Financial and operating leases
• Other interest income
  14 L–N Income from financial and operational lease Of the amount reported in row 13, income from financial and operational lease. 15 L–N Interest expenses (including financial and operational lease); of which:
  Interest expense coming from all financial liabilities and other interest expenses. Interest expenses from financial and operating lease should be included in this item. (this item should be reported as a positive value) Interest expenses from:
• Deposits
• Debt securities issued
• Hedge accounting derivatives
• Financial and operating leases
• Other interest expenses
  16 L–N Expenses from financial and operational lease Of the amount reported in row 15, expenses from financial and operational lease. 18 L–N Dividend income Dividend income from investment in stocks and funds not consolidated in the bank’s financial statements, including dividend income from non-consolidated subsidiaries, associates and joint ventures. 19 L–N Fee and commission income Income received for providing fee￾based advices and services. Includes income received by the bank as outsourcer of financial services. Fee and commission income from:
• Securities (issuance,
  origination, reception, transmission, execution of orders on behalf of customers)
• Clearing and settlement
• Asset management
• Custody
• Fiduciary transactions
• Payment services
• Structured finance
• Servicing of securitisations
• Loan commitments and
  guarantees given
• Foreign transactions
  17 Any adjustments like M&A, divestments or OPE10.3 should already be considered in case of the application of the final standards and the correct reporting should not create any additional burden. Nevertheless, for banks where the new standard is not yet in force, such adjustments may not be necessary or be different from the final Basel III standards and could cause significant additional burden (eg creation of consolidated P&Ls and balance sheets for the past years). Thus, such adjustments should at least be considered in the P&L and balance sheet items on best effort basis to get an impression of the real future BI and thus the potential capital requirement.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description Sub-items 20 L–N Fee and commission expenses Expenses paid for receiving advice and services. Includes outsourcing fees paid by the bank for the supply of financial services, but not outsourcing fees paid for the supply of non-financial services (eg, logistical, IT, human resources) (this item should be reported as a positive value) Fee and commission expenses from:

• Clearing and settlement
• Custody
• Servicing of securitisations
• Loan commitments and
  guarantees received
• Foreign transactions
  21 L–N Net profit (loss) on financial operations (trading book) To distinguish trading from non￾trading books items, the criteria in the Committee’s new Minimum capital requirements for market risk18 should be used. Gains should be reported in positive values and losses in negative values.
• Net profit/loss on trading
  assets and liabilities
  (derivatives, debt securities, equity securities, loans and advances, short positions, other assets and liabilities).
• Net profit/loss on financial
  assets or liabilities measured at fair value through profit or loss.
• Realised net gains/losses on
  financial assets and liabilities not measured at fair value through profit or loss (loans and advances, assets available for sale, assets held to maturity, financial liabilities measured at amortised cost).
• Net profit/loss from hedge
  accounting.
• Net profit/loss from exchange
  differences.
  22 L–N Net profit (loss) on financial operations (non￾trading book) 23 I-M Gains or (-) losses on financial assets and liabilities held for trading, net The following FINREP item should be reported: FINREP F02.00 r0280 c0010 24 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net The following FINREP item should be reported: FINREP F02.00 r0220 c0010 25 Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net The following FINREP item should be reported: FINREP F02.00 r0287 c0010 18 Basel Committee on Banking Supervision, Minimum capital requirements for market risk, January 2019, www.bis.org/bcbs/publ/d457.htm.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description Sub-items 26 Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net The following FINREP item should be reported: FINREP F02.00 r0290 c0010 27 Gains or (-) losses from hedge accounting, net The following FINREP item should be reported: FINREP F02.00 r0300 c0010 28 Exchange differences [gain or (-) loss], net The following FINREP item should be reported: FINREP F02.00 r0310 c0010 29 L–N Other operating income (except for financial and operational lease) Income from ordinary banking operations not included in other Panel B items. Income from operating lease should not be included in this item.

• Rental income from investment
  properties.
• Gains from non-current assets
  and disposal groups classified as held for sale not qualifying as discontinued operations (IFRS 5.37). 30 L–N Net adjustments to gross income Amount of net adjustments to gross income allowed in a bank’s jurisdiction. Upon these adjustments, the gross income figures calculated in row 11 should correspond to the gross income figures used in the bank’s jurisdiction for calculation of the operational risk capital requirement and should consider changes in a bank’s activity due to divestment or mergers and acquisition as long as these values are still reported in panel B. 31 L–N Other operating expenses (except for financial and operational lease); of which:
  Expenses and losses from ordinary banking operations not classified in other Panel BI’s items, but of similar nature, and from operational risk events. Expenses from operating lease should not be included in this item. (this item should be reported as a positive value) Losses from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations (IFRS 5.37). Losses incurred as a consequence of operational loss events (eg, fines, penalties, settlements, replacement cost of damaged assets), which have not been provisioned/reserved for in previous years. Expenses related to establishing provisions/reserves for operational loss events.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description Sub-items 32 Expenses, losses and other financial impacts from operational risk events (excluding provisions) Amount of expenses, losses and other financial impacts as a consequence of operational risk events. Provisions due to operational risk events should not be included in this item 33 Provisions from operational risk events Amount of provisions as a consequence of operational risk events
211. The following sub-items should not contribute to any of the items requested in panel B (see
OPE10.3):

• Income and expenses from insurance or reinsurance businesses
• Premiums paid and reimbursements/payments received from insurance or reinsurance policies
  purchased
• Administrative expenses, including staff expenses, outsourcing fees paid for the supply of non￾financial services (eg logistical, IT, human resources), and other administrative expenses (eg, IT,
  utilities, telephone, travel, office supplies, postage)
• Recovery of administrative expenses including recovery of payments on behalf of customers (eg
  taxes debited to customers)
• Expenses of premises and fixed assets (except when these expenses result from operational loss
  events)
• Depreciation/amortisation of tangible and intangible assets (except depreciation related to
  operating lease assets, which should be included in financial and operating lease expenses)
• Provisions/reversal of provisions (eg on pensions, commitments and guarantees given) except
  for provisions related to operational loss events
• Expenses due to share capital repayable on demand
• Impairment/reversal of impairment (eg on financial assets, non-financial assets, investments in
  subsidiaries, joint ventures and associates)
• Changes in goodwill recognised in profit or loss
• Corporate income tax (tax based on profits including current tax and deferred tax).

212. Data for the two previous years should be provided in columns J and K of panel B.
     9.3 Operational losses (panel C)
213. Panel C collects aggregated data on the number and amount of operational losses for the bank
     as a whole per the following criteria in columns E to N and should already consider losses due to M&A (see OPE25.34):

• Loss events should be included if they meet the definition of operational loss – as set out in the
  Basel framework – and if their net impact inside the 10 years of the collection period is larger than the reporting threshold (ie €20,000 in some rows and €100,000 in other rows). Losses for

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) both the €20,000 and €100,000 thresholds should be reported regardless of national implementation.

• In grouping losses into operational loss events, banks should follow the principles set out in the
  Committee’s Supervisory Guidelines for the AMA of June 2011. 19
• Loss events often result in multiple accounting impacts. These accounting impacts could be losses
  or recoveries, and may be spread out across multiple years. To determine whether a loss event meets the reporting threshold, the net aggregate impact of the loss event inside the 10-year window of the QIS should be calculated. For example, if a loss event results in a loss impact of €16,000 in 2012 and €7,000 in 2013, this loss event should be included in the rows where loss events above €20,000 are collected (but not in rows where only loss events above €100,000 are collected). On the other hand, if a loss event that produces a loss of €1 billion in 2005 (outside of the QIS window), a loss of €300 million in 2010 (inside the QIS window), and a recovery of €500 million in 2012 (inside the QIS window), the loss of €300 million and the recovery of €500 million should not be included in panel C because the total net impact of this loss event inside the QIS window is negative and, thus, less than €20,000.
• Recoveries include insurance recoveries. Recoveries should only be included if payback has been
  received (ie unpaid receivables should not be counted as recoveries).
• Loss impacts (recoveries) should be introduced to total gross loss amounts (total recovery
  amounts) of the years where they produced an accounting impact. For example, if a loss event results in a loss impact of €1 billion in 2012, a loss impact of €2 billion in 2013, and a recovery of €500 million in 2014, the bank should add €1 billion to the total gross loss amount of 2012, add €2 billion to the total gross loss amount of 2013, and add €500 million to the total recovered amount of 2014.
• The impact of a loss event on a particular year may be smaller than €20,000 or €100,000, but
  these impacts should still reported in total gross loss amounts if the net aggregate impact of the loss event inside the 10-year QIS window is above the appropriate reporting threshold.
• For purposes of panel C, provision/reserve increases associated with an operational loss event
  should be treated as gross losses, and provision/reserve releases associated with an operational loss event should be treated as recoveries.

214. Note: If recoveries outweigh losses in a year, such year will have negative net total losses.
     However, the sum of the 10 years must be non-negative, because all loss impacts and recoveries included should stem from loss events with a net impact over the 10 years of at least €20,000. 19 Basel Committee on Banking Supervision, Operational Risk – Supervisory Guidelines for the Advanced Measurement Approaches, June 2011, www.bis.org/publ/bcbs196.htm.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description 38 E–N Data available Please indicate whether loss data for a particular year are available and if yes, whether

• no losses occurred ≥ €20,000 (please fill in zeros in
  rows 39 to 76) and set this flag to ”Yes, but no losses ≥ 20k”;
• losses occurred ≥ €20,000 but < €100,000 (please
  fill in zeros in rows 59 to 76) and set this flag to “Yes, losses ≥ 20k but < 100k only”;
• losses occurred also ≥ €100,000 and set this flag to
  “Yes, also losses ≥ 100k”.
  If no comprehensive loss data are available, please set this flag to “No” and keep the loss reporting cells of that year blank. This information is used to check for consistency of the data provided in panel C. 40, 60 E–N Total amount of gross losses Total amount of gross losses in the reference year that originate from loss events with a net impact above €20,000 (or €100,000 in row 60) in the 10 years of the QIS window. The amount should include the amount of net losses qualifying for exclusion reported in row 54 or 74, respectively. Notes: A loss event may contribute less than €20,000 (or €100,000 in row 60) to the gross losses of a given year, but its impacts must still be included in the gross losses of such year if the loss event results in more than €20,000 (or €100,000 in row 60) of net loss in the 10 years of the QIS window. Gross losses related to loss events that do not meet the reporting threshold should not be included. 41, 61 E–N Total amount of loss recoveries Total amount of loss recoveries in the reference year that originate from loss events with a net impact above €20,000 (or €100,000 in row 61) in the 10 years of the QIS window. The amount should include the amount of recoveries related to net losses qualifying for exclusion reported in row 54 or 74, respectively. Note: Recoveries related to loss events that do not meet the reporting threshold should not be included. 42, 62 E–N Of which: insurance recoveries Total amount of insurance recoveries in the reference year that originate from loss events with a net impact above €20,000 (or €100,000 in row 62) in the 10 years of the QIS window. The amount should include the amount of insurance recoveries related to net losses qualifying for exclusion reported in row 54 or 74, respectively. Note: Recoveries related to loss events that do not meet the reporting threshold should not be included. 44, 64 E–N Total amount of net losses; of which:
  Total amount of net losses in the reference year that originate from loss events with a net impact above €20,000 (or €100,000 in row 64) in the 10 years of the QIS window. The amount should include the amount of net losses qualifying for exclusion reported in row 54 or 74, respectively. 45, 65 E-N amount of losses related to credit risk but not accounted in credit RWA Amount of operational risk losses, boundary with credit risk, that have not been accounted in credit RWA (OPE 25.20)

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description 46, 66 E-N amount of losses related to market risk Amount of operational risk losses boundary with market risk (OPE 25.21) 47, 67 E-N amount of pending losses Amount of pending losses (OPE 25.26(4)) 48, 68 E–N Number of loss events contributing to total net losses; of which:
Number of loss events contributing to total net losses in the reference year. Loss events should only be included if their net impact is above €20,000 (or €100,000 in row 68) in the 10 years of the QIS window. Note: Loss events may contribute losses to multiple years, thus they may be counted in multiple years. However, loss events should only be counted once in each year even if they originate multiple loss impacts in the year. 49, 69 E–N number of pending losses Number of pending losses (OPE 25.26(4)) 51, 71 E Number of net loss events in the 10-year window Number of net loss events with net impact is above €20,000 (or €100,000 in row 71) in the 10 years of the QIS window. Note: Loss events should only be counted once even if they have impacts in multiple years. Thus, if at least one loss event produces a loss impact in more than one year, the “Number of loss events in the 10-year window” should be smaller than the sum over the 10 years of the “Number of loss events contributing to total net losses.” 54, 74 E–N Total amount of net losses qualifying for exclusion (per supervisory approval) Total amount of net losses qualifying for exclusion in the reference year. The bank should assess which loss events qualify for exclusion from the internal loss multiplier under the revised standardised approach, and obtain supervisory approval before excluding losses. Notes: Loss events should be excluded as a whole including the recoveries. Given that excluded loss events may have recoveries larger than loss impacts in some years, the total amount of net losses qualifying for exclusion may be negative for some years; but the sum over the 10 years must be positive and above the threshold for which the loss contributed. Example: A loss event may contribute €100 million to the gross losses of a given year. In the next year, €50 million were recovered. In case this loss is excluded, eg due to divested activities, this loss contributes €100 million to row 54/74 for the given year and €-50 million for the next year. 56, 76 E-N Number of net loss events qualifying for exclusion in the 10 year window Number of net loss events qualifying for loss exclusion in the 10 years of the QIS window. The bank should assess which loss events qualify for exclusion from the internal loss multiplier under the revised standardised approach, and obtain supervisory approval before excluding losses. Note: Excluded loss events should only be counted once even if they have impacts in multiple years.
215. Data for two additional years should be provided in columns C and D of panel C.
9.4 Standardised approach component calculations (panel D)
216. Panel D calculates the main components of the standardised approach and takes into account
the treatment of losses per national discretion.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
217. Under the new standardized approach, specific provisions have been added regarding the
consideration of M&A and disposal for the calculation of capital requirements :

• OPE 25.34: The scope of losses and BI items used to calculate the operational risk capital
  requirements must include acquired businesses and merged entities over the period prior to the acquisition/merger that is relevant to the calculation of the standardised approach (ten years for losses and three years for BI).
• OPE 25.33: Banking organisations may request supervisory approval to exclude divested
  activities from the calculation of the BI. Such exclusions must be disclosed in accordance with the Pillar 3 requirements.

218. In accordance with the instructions related to OpRisk in sections 9.1 and 9.2, banks should, in
     principle, report Panels A and B as if final Basel III framework was in place, i.e. taking into account M&A and disposed activities (i.e. information to be provided as if acquired or merged entities/activites were in the group and as if the disposed entities/activities was not in the group for the three years that are relevant for the calculation).
219. In addition the BCBS QIS requires banks to provide:

• Panel B, line “Net adjustments to gross income” : information on the adjustements of
  the gross incomes related to M&A and disposal on a net basis insofar that activity due to divestment or mergers and acquisition as long as these values are still reported in detail in panel B for the calculation of capital requirements;
• In Panel D, on the amount of BI related to disposals in relation to which an authorisation
  has been received to exclude disposed entities/activities from the BI.
  However, no information is yet requested on whether M&A, which would need to be systemically reflected under the new framework, are effectively considered and to what extent.

220. Therefore, the EU specific QIS template introduces additional lines in order for banks and
     supervisors to have a better understanding on how M&A activities are considered in this Basel III monitoring exercise (being fully acknowledged that the consideration of M&A in the calculation is only requested on a best effort basis) and to get a view on possible impacts which may have been hidden until now. Row Column Heading Description 89 L-N Total number of mergers and acquisitions conducted during the year Total number of M&A operations finalized during the financial exercise and which would be included over the three years period prior that is relevant to the calculation of the BI in accordance with OPE 25.34 (including entity, business/activity, and asset deals). In accordance with OPE 25.34 any M&A related to entities or activities to be included in the prudential

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) supervisory perimeter should be reported without any materiality consideration. 90 L-N Number of mergers and acquisitions conducted during the year reflected in Panel A and Panel B items over the three year that are relevant for the business indicator Among the M&A operations reported in line 89, indicate the number of operation, which are effectively included in the calculation of the BI for this exercise (being fully acknowledged that the consideration of such activities in the calculation is only requested on a best effort basis). 91 L-N Estimation of Gross income adjustments related to entities or activities acquired or merged reflected in Panel A and Panel B items Estimation of the annual gross income adjustments (as defined for the purpose of Panel B completion) related to the entity/activities merged or acquired, which have been duly considered in the calculation. Amount shall not be exact but provide an order of magnitude. 92 L-N Estimation of Gross income adjustments related to entities or activities acquired or merged not reflected in Panel A and Panel B items Estimation of the annual gross income adjustments (as defined for the purpose of Panel B completion) related to the entity/activities merged or acquired which have not been considered in the calculation. Amount shall not be exact but provide an order of magnitude. 93 L-N Total number of divested entities or activities conducted during the year (regardless of whether there is supervisory approval) Total number of disposal operations finalized during the financial exercise regardless of whether a supervisory approval was granted 94 L-N Number of divestments conducted during the year, reflected in Panel A and Panel B items over the three year that are relevant for the business indicator Among the disposal operations reported in line 93, indicate the number of operations for which an authorisation for exclusion has been granted for the calculation of the BI for this exercise.
221. Please find below an illustration of information expected based on the following example where
the reporting bank conducted :

• One acquisition in 2022 which was not reflected in the Panel A and B for 2021 as it would have
  been required under new OPE 25.34 (gross income of 100 in 2021, entity acquired assumed included in the bank consolidated financial statements from 2022 so no adjustement needed for 2022 and 2023) ;
• Two acquisitions in 2023 properly reflected in the full period considered for the calculation of
  the BI (gross income of 200 and 250 in 2021 and 2022, entities acquired assumed included in the bank consolidated financial statements from 2023 so no adjustement needed for 2023). Illustration

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Column L Column M Column N Total number of mergers and acquisitions conducted during the year 0 1 2 Number of mergers and acquisitions conducted during the year reflected in Panel A and Panel B items over the three year that are relevant for the business indicator 0 0 2 For information only (best effort) - Gross incomes adjustment related to entities or activities acquired or merged reflected in the lines 12 to 33 200 250 0 For information only (best effort) - Gross incomes adjustments related to entities or activities acquired or merged not reflected in the lines 12 to 33 100 Total number of divested entities or activities conducted during the year Number of divestments conducted during the year reflected in Panel A and Panel B items over the three year that are relevant for the business indicator Row Column Heading Description 95 N BI not considering divested activities (per supervisory approval) BI not considering divested business activities for which supervisory approval has been received. Put differently, BI should be reported as if divested activities had not been divested. Please fill the value of N86 in this cell in case there are no divested activities. In case there are divested activities please consider the divested activities and recalculate and report the BI as it would with the divested activities.
222. Data for the two previous years should be provided in columns L and M of row 95.
9.5 Risk-weighted assets and regulatory add-ons (panel E)
223. Panel E.1 collects information on RWA calculated under the current framework. Report RWA for
approaches used to set operational risk capital requirements (eg, if all operational RWA of the bank are set according to the Basic Indicator Approach, the cells for the other approaches should be set to zero). Row Column Heading Description 113 N RWA for operational risk (before application of the regulatory add-ons and before the application of the transitional floors); of which:
Basic Indicator Approach
(BIA)
RWA for operational risk at the reporting date (before application of the regulatory add-ons and before application of the transitional floors, where applicable) set according to the Basic Indicator Approach (BIA). The minimum capital requirements should be converted to RWA. 114 N RWA for operational risk (before application of the regulatory add-ons and before the application of the transitional floors); of which:
Standardised Approach (TSA)
RWA for operational risk at the reporting date (before application of the regulatory add-ons and before application of the transitional floors, where applicable) set according to the Standardised Approach (TSA). The minimum capital requirements should be converted to RWA.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description 115 N RWA for operational risk (before application of the regulatory add-ons and before the application of the transitional floors); of which:
Alternative Standardised
Approach (ASA)
RWA for operational risk at the reporting date (before application of the regulatory add-ons and before application of the transitional floors, where applicable) set according to the Alternative Standardised Approach (ASA). The minimum capital requirements should be converted to RWA. 116 N RWA for operational risk (before application of the regulatory add-ons and before the application of the transitional floors); of which:
Advanced Measurement
Approaches (AMA)
RWA for operational risk at the reporting date (before application of the regulatory add-ons and before application of the transitional floors, where applicable) set according to the Advanced Measurement Approach (AMA). The minimum capital requirements should be converted to RWA. 117 N RWA for operational risk (before application of the regulatory add-ons and before the application of the transitional floors); of which:
new Standardised Approach
(SA)
RWA for operational risk at the reporting date (before application of the regulatory add-ons and before application of the transitional floors, where applicable) set according to the new Standardised Approach. The minimum capital requirements should be converted to RWA. 120 N Regulatory add-ons; of which:
Basic Indicator Approach
(BIA)
RWA corresponding to add-ons set by the supervisory agency over BIA requirements at the reporting date. Capital requirements should be converted to RWA. 121 N Regulatory add-ons; of which:
Standardised Approach (TSA)
RWA corresponding to add-ons set by the supervisory agency over TSA requirements at the reporting date. Capital requirements should be converted to RWA. 122 N Regulatory add-ons; of which:
Alternative Standardised
Approach (ASA)
RWA corresponding to add-ons set by the supervisory agency over ASA requirements at the reporting date. Capital requirements should be converted to RWA. 123 N Regulatory add-ons; of which:
Advanced Measurement
Approaches (AMA)
RWA corresponding to add-ons set by the supervisory agency over AMA requirements at the reporting date. Capital requirements should be converted to RWA. 124 N Regulatory add-ons; of which:
new Standardised Approach
(SA)
RWA corresponding to add-ons set by the supervisory agency over new Standardised Approach requirements at the reporting date. Capital requirements should be converted to RWA. 125 N Regulatory add-ons; of which:
Other (non-specific to any approach)
RWA corresponding to add-ons set by the supervisory agency non-specific to any approach at the reporting date. Capital requirements should be converted to RWA.
224. Panel E.2, collects information on reporting date risk-weighted assets corresponding to add-ons
set by the supervisory agency non-specific to any approach (if there are no regulatory add-ons for operational risk, the cell should be left blank).

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description 130 N Regulatory add-ons RWA corresponding to add-ons set by the supervisory agency over standardised approach requirements at the reporting date. Capital requirements should be converted to RWA.
225. Data for the reporting dates one and two years earlier should be provided in columns L and M
of panel E.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) 10.Interest rate risk in the banking book (IRRBB)
10.1 Introduction
226. In October 2022 the EBA published its regulatory products related to IRRBB. This package
encompassed: draft Regulatory Technical Standards (RTS) on the Supervisory Outlier Tests (SOT), draft RTS on the standardised approach (SA) and the Guidelines (GL) on IRRBB and credit spread risk in the banking book (CSRBB). Furthermore, in April 2023, the EBA published its Opinion on the RTS on SOTs, where a relaxation of the threshold for a large decline for the SOT on net interest income (NII) was proposed to reflect the changed interest rate environment since the EBA initial publication, pending further ongoing analysis and medium-term reflections on the definition itself. Finally, the EBA communicated around its scrutiny plans for IRRBB to monitor the impact on banks from further increases in policy rates, including its interaction with the management of the interest rate risk from a prudential perspective.
227. On 31 July 2023, the final ITS on IRRBB reporting has been published on the EBA website. These
ITS represent a steadier state solution compared to the quantitative impact studies (QIS) data, which are used to support the scrutiny plans, ensuring no overlaps with the ITS. The first reference date of the ITS is expected to be September 2024. For this reason, an advanced ad-hoc data collection, which has as reference date of December 2023, has been also announced on the EBA website on 7 August
2023. Furthermore, by ensuring no overlapping of data between this monitoring exercise and the ITS
on IRRBB reporting, due to the current economic environment, this monitoring exercise aims to support the main areas of investigation and work plan for 2024 of the EBA scrutiny plans on IRRBB.
228. Related to the monitoring on the implementation of the standards and aims to cover:

• GL on IRRBB and CSRBB (henceforth “EBA Guidelines”): Investigation of modelling approaches
  and other practical aspects of the implementation of the CSRBB provisions.
• RTS on SOT: The main issues of the monitoring will be the potential migration between non￾maturity deposits (NMDs) and term deposits in the context of the constant balance sheet
  assumption in the SOT on net interest income (NII), the beta applied in the repricing of the new business, the interest rates’ hedging practices and proportionality aspects.
• RTS on SA: The focus of the analysis is related to proportionality aspects, including the materiality
  thresholds for the estimation of different behavioural models.

229. Note that the IRRBB QIS is not a compliance exercise where banks seek for supervisory approvals,
     but a best effort-based exercise. In any case, banks should liaise with their supervisors to assess the reasonableness of the reported figures.
230. In addition to the banks within the EBA mandatory QIS sample, all other banks are strongly
     encouraged to participate and provide relevant data on a voluntary basis.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
231. The IRRBB specific glossary, at the end of IRRBB section, provides a description/definition of
several terms used in the IRRBB instructions.
10.2 General aspects
10.2.1 Structure of the comprehensive IRRBB QIS
232. The comprehensive IRRBB QIS contains the following input worksheets:

• Panel A. IRRBB results (Recalibration of shock scenarios): This panel seeks to collect information
  on the EVE and NII sensitivities to take into account the work on the revision of currency shocks ongoing in the Basel Committee.
• Panel B. Stratification of retail NMDs accounts: This panel seeks to collect retail NMDs broken
  down by balance size to complement the analysis of the modelling of deposits.
• Panel C. Basis risk: This panel assesses the materiality of basis risk as well as basis risk impact on
  NII.
• Panel D. CSRBB: This panel collects information to assess exposures to CSRBB and impact on NII
  and EVE as well as in terms of market value changes.
• Panel E. Repricing rates for new business and NMDs remunerated at 0%: This panel collects
  information on betas and spread component applied in the repricing of the new business (Term Deposits, Unstable NMDs, fixed Loans and floating Loans) for the NII SOT projections. Also, this Panel collect information on volumes on NMDs which were not remunerated as of December 2023 and also information on the NMD balances which are considered will be nearly no remunerated as per the NII projections for the NII SOT metrics under the different IR scenarios.
• Panel F. IR Hedges Practices: This panel collects information on the type of accounting and non￾accounting hedges put in place to cover for IRRBB, the type of assets/liabilities covered, and
  derivative hedging instruments used.
• Panel G. Qualitative questions: This information is key to complement and better understand
  the quantitative templates.

233. For banks within the sample for the mandatory exercise, in the input worksheets, all yellow cells
     must be filled in. Cells can be left blank if banks are not able to provide the information. Grey cells refer to information that is not necessary and cannot be filled in and orange cells refer to cells with formulas that cannot be filled in and are blocked. Where the bank has no positions, input cells should be filled in with zeros. Section 10.2.6 on sign conventions specifies the sign of the values to be reported in the (yellow) input cells.
234. For additional banks that participate in the IRRBB QIS they may provide information in the yellow
     cells in a voluntary manner.
     20 Basel Committee work programme and strategic priorities for 2023/24 (bis.org).

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
10.2.2 Scope of the comprehensive IRRBB QIS
235. The comprehensive IRRBB QIS follows the same scope as the 2023 Basel III monitoring exercise
– i.e., group consolidated reporting for the end-December 2023 reporting date.
10.2.3 Scope of instruments
236. For the purpose of this comprehensive IRRBB QIS, banks must project their IRRBB metrics and
provide information on their IR exposures arising from the interest rate-sensitive positions in the banking book as specified in paragraphs 19, 20 and 21 of the EBA Guidelines:

• Institutions should consider all interest rate sensitive instruments in the banking book in the
  context of the assessment and management of exposures to IRRBB, including assets, liabilities, interest rate derivatives, non-interest rate derivatives referencing an interest rate and other off￾balance sheet items (such as loan commitments).
• Institutions should consider non-performing exposures 21 (net of provisions) as interest rate
  sensitive instruments reflecting expected cash flows and their timing.
• Small trading book business, as defined by paragraph 1 of Article 94 of Regulation (EU) No
  575/2013, shall be included unless its interest rate risk is captured in another risk measure.
  10.2.4 Reporting currencies

237. All the Panels are reported only for items denominated in the reporting currency, although this
     reporting currency not being the first most material currency according to the criteria of Article 1(3) of the EBA RTS on SOT. All the data should be reported converted into EUR at the ECB spot exchange rate as of 31 December 2023.
     10.2.5 Interest rate curves
238. Banks should use spot interest rates with reference data as of 31 December 2023 sourced from
     their internal systems. For discounting, as specified in Article 4(m) of the EBA draft RTS on SOT, an appropriate general ‘risk-free’ yield curve per currency shall be applied (e.g., an OIS curve). That yield curve shall not include instrument-, sector- or entity-specific credit spreads or liquidity spreads.
     10.2.6 Sign convention and formats
239. Generally, values must be reported positively across the templates. In data points related to
     notional exposures or carrying amounts, the same rule applies – i.e., values shall be reported positively for assets and liabilities.
240. Figures expressed in monetary units shall be reported in thousands of euros.
     21 Non-performing exposures in accordance with Article 47a(3) CRR, as defined in Part 2, Article 213, Annex V of the Commission Implementing Regulation (EU) 2021/451 (ITS on supervisory reporting regarding IRRBB).

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
241. For Panel A, all figures shall be expressed in monetary units and shall be referred to total balance
sheet EVE/NII sensitivities, which can be positive or negative values.
242. For Panel B, figures in column B (Exposure Amount) and in column C (Modelled in IMS/SA as
Core) shall be expressed in monetary units and shall be positive. Figures in column D (Number of depositors) shall be positive.
243. For Panel C, figures on notional amount – for columns F and G, are expressed in monetary units
and are expected to be positive, irrespective if the row is referred to an asset or to a liability. Figures on Delta NII (columns J, K, M and N) referred to specific assets or liabilities shall be reported as positive if the interest income/cost of that asset or liability increases under a concrete Basis scenario and shall be reported as negative if the interest income/cost of that asset or liability decreases under a concrete Basis scenario. For example, if under a Basis widening scenario:

• There is an increase in the interest income of an asset, the delta NII of the asset (columns J and
  K) shall be expressed with positive sign.
• There is an increase in the interest cost of a liability, the delta NII of the liability (columns J and
  K) shall be expressed also with a positive sign (the final negative impact on the aggregated delta NII - net asset and liabilities - shall be taken into account when processing the delta NII impact from liabilities subtracted from the delta NII impact on the assets). It is expected that the figures of Delta NII reported under widening basis scenarios (columns J and K) being positive across all the rows, irrespectively being referred to an asset or to a liability, or zero in case of not having notional IR exposures subject to the basis risk for a given reference rate. It is expected that the figures of Delta NII reported under tightening basis scenarios (columns M and N) being negative across all the rows, irrespectively being referred to an asset or to a liability, or zero in case of not having notional IR exposures subject to the basis risk for a given reference rate.

244. For Panel D1, figures are expressed in monetary units and are expected to be positive,
     irrespective if the row is referred to an asset or to a liability – for columns G to P.
245. For Panel D2, average spreads in column G are expressed in bps – formatting is providing below.
     Figures in columns H to J and L to N shall be expressed in monetary units and shall be referred to item in the assets or liabilities side in respect of its EVE, NII or MV sensitivity, which can be positive or negative values.
246. For Panel E1: Data on beta (expressed in %) reported for columns C to E are expected to be
     positive and data on spreads of new business (expressed in bps) can have positive or negative values.
247. For Panel E2, volumes on NMDs which were not remunerated as of December 2023 and also
     information on the NMD balances which are considered will be nearly or no remunerated for the NII SOT projections are collected in monetary units and are expected to be positive.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
248. With regards to the formats:

• Figures related to spreads will be expressed in bps as a number (e.g., 1 bp will be reported as
  “1” and not as “0.01”).
• Figures related to percentages will be expressed in % with 2 decimals (e.g., 57.83% will be
  reported as “57.83%”).

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
10.3 Panel A: IRRBB results (Recalibration of shock scenarios)
249. Panel A collects information of IRRBB measures, considering balance sheet IR exposures and
interest rate structure as of the 31 st of December 2023. It will mainly target to assess the impact on SOT results of the recalibrated post-shocked interest rate floor and of the new interest rate environment and balance sheet structure:
Cell Heading Description
D, 3 Reporting currency
Reporting currency is defined as “the currency of the Member State where the head office of the institution is located.” The reporting currency does not need to be the first most material currency according to the criteria of Article 1(3) of the EBA draft RTS SOT. For euro-area institutions, the currency reported as “reporting currency” should be the euro (EUR). For non-euro area institutions, the “reporting currency” should be their relevant non-euro reporting currency. Column Heading Description D Shocks increased by 50bps Shock interest scenarios specified in Articles 1, 3 and in
Annex I of the EBA draft RTS on SOT with an increased
effect of 50bps (for the specified size of parallel, short and long currency shocks). Row Heading Description 11-14 EVE sensitivities Report the amount of EVE sensitivities for the reporting currency, considering the common modelling and parametric assumptions defined in Article 4 of the EBA draft RTS on SOT for the purpose of the EVE SOT 18 Realized NII Report the amount of the realized NII for the reporting currency as of December 2023. 22 Reporting currency is defined by point 15 of Article 411 of CRR.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
10.4 Panel B: Stratification of retail NMD accounts
250. Panel B should be completed for retail NMDs and accounts in the banking book, without any
specific repricing dates, denominated in the reporting currency.
251. Panel B aims at collecting data to complement the analysis of stability of retail NMDs under the
expectation that those with lower balances will remain more stable. The data is collected separately for cases where the depositor is a physical person or a small and medium-sized enterprise (SME) and depending on whether the deposit is transactional or non-transactional. Column Heading Description B Exposure amount Amount of the relevant category of retail NMDs under the applicable accounting methodology and standard (IFRS or national GAAP) as considered in the Balance sheet of the institution, considered as of 31 December 2023. C Modelled in IMS/SA as Core Amount of the relevant category of retail NMDs modelled as stable NMDs and unlikely to reprice even under significant changes in the interest rate environment as set out in Article 1(1) of the RTS on SA. D Number of depositors Number of depositors holding each of the relevant category of retail NMDs in column B (and C). Row Heading Description Individual depositor amount < EUR 30,000.00 Relevant retail NMDs (transactional and non￾transactional for each row respectively) from a natural person where the total deposit balance, including all the client's NMD accounts at that credit institution or group, is smaller than EUR 30,000.00. EUR 30,000.00 ≤ Individual depositor amount < EUR 50,000.00 Relevant retail NMDs (transactional and non￾transactional for each row respectively) from a natural person where the total deposit balance, including all the client's NMD accounts at that credit institution or group, is larger than or equal to EUR 30,000.00 and smaller than EUR 50,000.00.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description EUR 50,000.00 ≤ Individual depositor amount < EUR 100,000.00 Relevant retail NMDs (transactional and non￾transactional for each row respectively) from a natural person where the total deposit balance, including all the client's NMD accounts at that credit institution or group, is larger than or equal to EUR 50,000.00 and smaller than EUR 100,000.00. Individual depositor amount ≥ EUR 100,000.00 Relevant retail NMDs (transactional and non￾transactional for each row respectively) from a natural person where the total deposit balance, including all the client's NMD accounts at that credit institution or group, is larger than or equal to EUR 100,000.00. 14, 19 Individual depositor amount < EUR 100,000.00 Relevant retail NMDs (transactional and non￾transactional for each row respectively) from a SME where the total deposit balance, including all the client's NMD accounts at that credit institution or group, is smaller than EUR 100,000.00. 15, 20 EUR 100,000.00 ≤ Individual depositor amount < EUR 200,000.00 Relevant retail NMDs (transactional and non￾transactional for each row respectively) from a SME where the total deposit balance, including all the client's NMD accounts at that credit institution or group, is smaller than EUR 200,000.00 and larger than or equal to EUR 100,000.00. 16, 21 EUR 200,000.00 ≤ Individual depositor amount < EUR 300,000.00 Relevant retail NMDs (transactional and non￾transactional for each row respectively) from a SME where the total deposit balance, including all the client's NMD accounts at that credit institution or group, is smaller than EUR 300,000.00 and larger than or equal to EUR 200,000.00. 17, 22 Individual depositor amount ≥ EUR 300,000.00 Relevant retail NMDs (transactional and non￾transactional for each row respectively) from a SME where the total deposit balance, including all the client's NMD accounts at that credit institution or group, is larger than or equal to EUR 300,000.00.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
252. The deposit balance of joint accounts, where all account holders are legally entitled to dispose
of the full amount of the deposit balance at their entire discretion, should be equally allocated to each account holder. Term deposits shall not be considered part of the deposit balance for the purposes of this panel.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Example:
Depositor A
(natural person)
Transactional account 1 balance:
EUR 10,000.00
EUR 20,000.00 = 10,000.00 (individual account) + 10,000.00 (50% joint account) to be reported under row 8. Depositor A and Depositor B (natural person) Joint transactional account balance: EUR 20,000.00 EUR 32,000.00 = 22,000.00 (individual accounts) + 10,000.00 (50% joint account) to be reported under row 9. Depositor B (natural person) Transactional account 1 balance:
EUR 12,000.00
Depositor B
(natural person)
Transactional account 2 balance:
EUR 10,000.00
Depositor C
(natural person)
Transactional account 1 balance:
EUR 25,000.00
EUR 25,000.00 to be reported under row 8.
Depositor C
(natural person)
Term deposit: EUR
20,000.00
Term deposits shall not be reported in this panel.
Depositor D (SME)
Transactional account 1 balance:
EUR 70,000.00
EUR 70,000.00 to be reported under row 14.
Total EUR 167,000.00 EUR 147,000.00 (to be reported in this panel)

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
10.5 Panel C: Basis Risk
253. Banks can have floating rate positions that reset on the basis of more than one reference rate
within the same currency, as well as to different tenors of the same reference rate (e.g., EURIBOR 1m vs EURIBOR 3m). Dislocations between these rates can occur which could lead to material changes to net interest income, a risk commonly known as tenor basis risk. The purpose of this panel is to monitor the materiality threshold for basis risk included in the draft RTS on SA, article 21 (1), and to benchmark the institutions own measures of the risk.
254. In Panel C, under Columns F and G, banks should provide information about the notional value
of assets and liabilities that reference a reference rate, whether the interbank rate, a central policy rate or any other benchmark.
255. For the purpose of their allocation, assets and liabilities referencing the interbank rate should
be broken down into the following reference terms:
(a) 1 month;
(b) 3 months;
(c) 6 months;
(d) 12 months.
256. Assets and liabilities referencing the overnight term should not be reported in the template.
257. The notional value of floating rate instruments should be reported into Column F. Floating rate
instrument means an instrument whose interest rate is reset at pre-determined dates on the basis of an interest rate benchmark as defined in Article 3(1)(22) of Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016 on indices used as benchmarks in financial instruments and financial contracts or to measure the performance of investment funds and amending Directives 2008/48/EC and 2014/17/EU and Regulation (EU) No 596/2014 or on the basis of an institution’s internally managed index. This should include any floating rate leg that is part of a derivative, such as an interest rate swap. A floating rate leg should be considered an asset, if the interest payments on the floating rate leg is received by the institution, and considered a liability if the interest payments are paid by the institution.
258. The notional value of any fixed interest rate instrument with a short maturity (within 1-year
horizon – i.e., a fixed rated interbank short-term deposit) should be slotted into Column G.
259. Modelled behaviour considered to behave as a short-term rate, used for example for NII
projection, should not be considered for Panel C. For example, if an institution assumes, that a NMD behaves like a 50 % 3 month-obligation and 50 % a 3-year obligation, such positions should not be included in panel C.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description 5 – 10 F – N Notional Basis Baseline Basis widening scenario Basis tightening scenario Assets should be split into assets referencing the interbank rate 1M, 3M, 6M and 12M (M:
Month), referencing central bank policy rates and referencing other benchmark rates, and reported in the corresponding columns. Assets referencing the overnight interbank rate should not be reported. A floating rate leg of a derivative should be considered an asset, if the interest payments on the floating rate leg is received by the institution. 11 – 16 F – N Notional Basis Baseline Basis widening scenario Basis tightening scenario Liabilities should be split into liabilities referencing the interbank rate 1M, 3M, 6M and 12M (M: Month), referencing central bank policy rates and referencing other benchmark rates, and reported in the corresponding columns. Liabilities referencing the overnight interbank rate should not be reported. A floating rate leg of a derivative should be considered a liability, if the interest payments on the floating rate leg is paid by the institution. Row Column Heading Description 5 – 16 F Notional: Floating The notional value of floating rate assets or liabilities with the appropriate reference rate in column E. This should include any a floating rate leg that is part of a derivative. A floating rate leg should be considered an asset, if the interest payments on the floating rate leg is received by the institution, and considered a liability if the interest payments are paid by the institution.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
260. Column H should include the baseline basis of the reference rate, compared to the overnight
reference, measured in basis points.
261. In case there is more than one (1) benchmark rate referenced in the “Other” category, the basis
baseline should be measured as a weighted average of the basis of each included benchmark rate, weighted by the notional value of the assets or liabilities respectively.
262. Columns I-N collects information on the scenarios used by the institution to measure basis risk,
including the size of the basis shocks and the impact on NII.
263. In column I, the basis baseline in column H, should be shocked in accordance with the widening
basis scenario used by the internal risk measurements of the institution. The size of the widening basis shock should be apparent, by comparing columns H and I (it must be clarified that the size of the widening basis shock scenario is not by defeat of a figure of 1 bps basis shock, but the size of the widening basis shock used by the bank internal risk management) and according to that there is the expectation that the basis reported in column I (widening basis scenario) being larger than the basis reported in column H (baseline basis scenario) and that the difference between columns I and H being larger than 1 bps.
264. The resulting change in NII should be reported in columns J and K. For floating rate instruments
the change in NII (reported in column J) will also consider the impact of the pay-outs from automatic interest rate options that are explicit or embedded in floating rate instruments by comparing these pay-outs under the widening scenario to the pay-outs calculated under the baseline scenario. The resulting difference in the pay-outs shall be added with a positive sign for incoming pay-outs and a negative sign for outgoing pay-outs.
265. In column L, the basis baseline in column H, should be shocked in accordance with the tightening
basis scenario used internal risk measurements of the institution. The size of the tightening shock should be apparent, by comparing column H and L with the expectation than the basis reported in column L (tightening basis scenario) being smaller than the basis reported in column H (baseline basis scenario) and that the absolute difference between columns L and H being larger than 1 bps.
266. The resulting change in NII should be reported in columns M and N. For floating rate instruments
the change in NII (reported in column M) will also consider the impact of the pay-outs from automatic interest rate options that are explicit or embedded in floating rate instruments by comparing these Row Column Heading Description 5 – 16 G Notional: Other The notional value of any fixed rate instrument with a maturity below 1 year, allocated on a reference rate in column E according to its original maturity (e.g., an interbank asset deposit with a maturity in next 6 month with an original maturity of 1 year will be allocated in column G under row 9).

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) pay-outs under the tightening scenario to the pay-outs calculated under the baseline scenario. The resulting difference in the pay-outs shall be added with a positive sign for incoming pay-outs and a negative sign for outgoing pay-outs. Row Column Heading Description 5 – 16 H Basis Baseline: Basis (bps) The basis of each reference rate over the overnight reference, measured in basis points (bps) at the reference date. 5 – 16 I Basis widening scenario:
Basis (bps)
The basis baseline in column H, increased in accordance with the widening basis scenario used in the internal risk measuring system of the reporting institution. 5 – 16 J Basis widening scenario:
Delta NII: Floating
The change in NII from floating rate instruments, in the scenario with the widened basis in column I, compared to the NII computed with the basis in the baseline scenario of column H. It is expected that the figures of Delta NII reported in this column being positive across all the rows, irrespectively being referred to an asset or to a liability, or zero in case of not having notional floating IR exposures subject to the basis risk for a given reference rate. 5 – 16 K Basis widening scenario:
Delta NII: Other
The change in NII from instruments that are not floating rate, in the scenario with the widened basis in column I, compared to the NII computed with the basis in the baseline scenario of column H. It is expected that the figures of Delta NII reported in this column being positive across all the rows, irrespectively being referred to an asset or to a liability, or zero in case of not having notional fixed IR exposures subject to the basis risk for a given reference rate. 5 – 16 L Basis tightening scenario: Basis (bps) The basis baseline in column H, decreased in accordance with the tightening basis scenario used in the internal risk measuring system of the reporting institution.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Column Heading Description 5 – 16 M Basis tightening scenario: Delta NII:
Floating
The change in NII from floating rate instruments, in the scenario with the tightened basis in column L, compared to the NII computed with the basis in the baseline scenario of column H. It is expected that the figures of Delta NII reported in this column being negative across all the rows, irrespectively being referred to an asset or to a liability, or zero in case of not having notional floating IR exposures subject to the basis risk for a given reference rate. 5 – 16 N Basis tightening scenario: Delta NII:
Other
The change in NII from instruments that are not floating rate, in the scenario with the tightened basis in column L, compared to the NII computed with the basis in the baseline scenario of column H. It is expected that the figures of Delta NII reported in this column being negative across all the rows, irrespectively being referred to an asset or to a liability, or zero in case of not having notional fixed IR exposures subject to the basis risk for a given reference rate

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
10.6 Panel D: Credit spread risk in the banking book (CSRBB)
267. Panels D1 and D2 aim at collecting data to support the ongoing work engaged by the EBA to fulfil
its mandate on the scrutiny plans around the implementation of the new EBA package for IRRBB and CSRBB and the monitoring of risks from the increase of interest rates. Specifically, the data is collected to assess how banks estimate impacts on NII, EVE and FV IR instruments due to CSRBB exposures. The breakdown of Assets and Liabilities mirrors that of the ITS on IRRBB reporting.
268. Panels D1 and D2 shall be populated based on institutions’ internal methods. In the case of
institutions not having a specific CSRBB exposure, the dedicated cell in Panel D1 or Panel D2 shall be populated with a zero. In contrast, in the case of institutions not having performed the assessment of their CSRBB exposures, the dedicated cell in Panel D1 or Panel D2 shall be left blank.
269. Generally, trading book exposures shall be excluded when populating the panels. Instead, small
trading book positions (i.e., covered by Article 94 CRR) shall also be included. Non-performing exposures should be excluded from the data reported under both panels.
270. For panel D1, exposures shall be reported under the fair value accounting section or under the
amortized cost accounting section, considering their current applicable accounting standard (IFRS or national GAAP).
271. The effect of accounting hedges (on CSRBB) should be reported separately for the derivative and
the non-derivative leg – i.e., the impact on assets such as bonds should be reported without the accounting hedge and the corresponding derivatives (the “hedge”) should be reported under derivatives. Column Heading Description F, L Have you assessed the CSRBB for IMS purposes? Please use the drop down to indicate whether you have assessed the items’ exposure to CSRBB for inclusion in IMS (irrespective of the outcome). Options for column F are “only for EVE”, “only for NII”, “Only for MVC”, “All metrics (EVE, NII and MVC)”. Option for column L are “only for EVE”, “only for NII”, “All metrics (EVE and NII)”. G – K Fair Value Instruments subject to fair value accounting under the current applicable accounting standard of the institution shall be reported in this section. M – P Amortized Cost Instruments subject to amortised cost accounting under the current applicable accounting standard of the institution shall be reported in this section.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Column Heading Description G, M Notional Amount The principal amount of instruments accounted at fair value or amortized cost must be reported in this row. In the case of derivatives the outstanding principal amount of the asset (receiver) leg shall be reported (i.e., no netted amounts of receiver/payer legs). Columns G and M of panel D.1 concerning the notional amounts of the balance sheets at FV or at AC should be filled (a zero should be reported only if there is no exposure in a given balance sheet item in the banking book). H, N Of which: pricing is based on “direct / indirect market observation” Subtotal of “Notional Amount”. Notional amount of instruments whose spread is directly observable or inferable from the market (i.e., “direct or indirect market observations”) irrespective of whether they are accounted at fair value or amortized cost – i.e., instruments that can be priced using quoted prices, or quoted prices of financial instruments with similar characteristics (yield curve, notch etc.). This typically corresponds to what would qualify as a Level 1 and Level 2 inputs according to IFRS 13. If the bank has not conducted the assessment on the amount the amount of the balance with mark-to-market valuation for a row with a positive notional amount, the dedicated cells for columns H or N would be left empty. I Of which: subject to CSRBB in IMS (MVC) Subtotal of “Notional Amount”. The notional amount of items that would lead to a change of Market value changes if credit spreads changed. If the bank has not conducted the assessment on notional subject to CSRBB impacts in IMS for MVC for a row with a positive notional amount, the dedicated cell for this column I would be left empty. J, O Of which: subject to CSRBB in IMS (NII) Subtotal of “Notional Amount”. The notional amount of items that would lead to a change of NII if credit spreads changed. If the bank has not conducted the assessment on notional amount subject to CSRBB in IMS for NII for a row with a positive notional amount, the dedicated cells for these columns would be left empty.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Column Heading Description K, P Of which: subject to CSRBB in IMS (EVE) Subtotal of “Notional Amount”. The notional amount of items that would lead to a change of EVE if credit spreads changed – i.e., instruments whose EVE would change due to credit spread changes in IMS. If the bank has not conducted the assessment on notional amount subject to CSRBB in IMS for EVE for a row with a positive notional amount, the dedicated cells for these columns K, P would be left empty. Row Heading Description 6, 35 Central bank Assets vis a vis central banks, including cash balances and demand de-posits, as defined in paragraph 42(a) of Part 1 of Annex V of the ITS on supervisory reporting regarding IRRBB. 7, 36 Interbank All assets whose counterparty is a credit institution as defined in paragraph 42(c) of Part 1 of Annex V of the ITS on supervisory reporting regarding IRRBB, excluding securities and derivative exposures. 8, 37 Loans and advances Debt instruments held by institutions that are not securities, as defined in paragraph 32 of Part 1 of Annex V of the ITS on supervisory reporting regarding IRRBB. This row shall not include exposures included in rows 6, 35 and 7, 36. 9, 38 Debt securities Debt instruments held by the institution issued as securities that are not loans, as defined in paragraph 31 of
Part 1 of Annex V of the ITS on supervisory reporting
regarding IRRBB, including covered bonds and securitisation exposures.
10, 39
Of which: sovereigns
(general governments)
The subtotal of “debt securities” issued by sovereign counterparties 11, 40 Of which: financials The subtotal of “debt securities” issued by financial counterparties.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description 12, 41 Of which: corporates The subtotal of “debt securities” issued by corporate counterparties. 13, 42 Derivatives hedging assets Derivatives in accordance with point (29) of Article 2(1) of Regulation (EU) No 600/2014 of the European Parliament and of the Council. Institutions shall report derivatives held under hedge accounting regime, under the applicable accounting framework, being the hedged item an interest rate sensitive asset. 14, 43 Of which: underlying subject to CSRBB The subtotal of derivative transactions held under hedge accounting regime whose underlying is subject to CSRBB, according to the institution’s internal assessment. 15, 44 Other Other on-balance interest rate-sensitive assets that do not fall under the rows above shall be reported in this row. 16, 45 Off-balance sheet assets:
contingent assets
Off-balance sheet assets listed in Annex I to CRR which are sensitive to the interest rate, and which are in the scope of the EBA RTS on SOT. Fixed rate loan commitments with prospective borrowers shall be also included in this section. Loan commitment shall be reported as a combination of a short and a long position. It is the case of a fixed rate loan commitment the bank has a long position in the loan at the inception of the commitment and a short position when the loan is supposed to be drawn. Long positions shall be reported as assets while short position shall be reported as liabilities. Only the contingent instruments qualifying as assets shall be re-ported in this row. 18, 47 Central bank Liabilities vis a vis central banks, including cash balances and demand deposits, as defined in paragraph 42(a) of
Part 1 of Annex V of the ITS on supervisory reporting
regarding IRRBB.
19, 48 Interbank
All liabilities whose counterparty is a credit institution as defined in paragraph 42(c) of Part 1 of Annex V of the ITS on supervisory reporting regarding IRRBB excluding securities and derivative exposures.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description 20, 49 NMDs Liabilities without a maturity date, in which the depositor is free to withdraw the deposit at any point in time as defined in Article 1, point 1 (9) of the EBA RTS on SA. 21, 50 Term deposits Non-transferable deposits which the depositor is not allowed to withdraw before an agreed maturity or that can be early withdrawn provided that the depositor is charged with early withdrawal (prepayment) costs and fees. This item shall include administratively regulated savings deposits where the maturity related criterion is not relevant. Although deposits with agreed maturity may feature the possibility of earlier redemption after prior notification, or may be redeemable on demand subject to certain penalties, these features shall not be considered to be relevant for classification purposes. 22, 51 Debt securities issued Debt instruments issued as securities by the institution that are not deposits, as defined in Part 1 Article 37 of
Annex V of the ITS on supervisory reporting regarding
IRRBB.
23, 52
Derivatives hedging liabilities
Derivatives in accordance with Article 2(1), point (29) of Regulation (EU) No 600/2014 of the European Parliament and of the Council. Institutions shall report derivatives held under hedge accounting regime, under the applicable accounting framework, being the hedged item an interest rate sensitive liability. 24, 53 Of which: underlying subject to CSRBB The subtotal of derivative transactions held under hedge accounting regime whose underlying is subject to CSRBB, according to the institution’s internal assessment. 25, 54 Other Other on-balance interest rate sensitive-liabilities that were not classified in the rows above shall be reported in this row.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description 26, 55 Off-balance sheet liabilities: Contingent liabilities Off-balance sheet items shall include products such as interest rate sensitive loan commitments. Contingent liabilities shall be seen as a combination of a short and a long position. Specifically, in case the bank has a credit line with other institutions, the bank will have a long position when the loan is supposed to be drawn and a short position at the opening date of the credit line. Long positions shall be reported as assets while short positions shall be reported as a liability. Only the contingent instruments qualifying as liabilities shall be reported in this row.
272. Panel D2 collects the impacts on the EVE, NII and MV under widening and tightening spread
scenarios according to the bank´s IMS. The effect of accounting hedges (on CSRBB) should be reported separately for the derivative and the non-derivative leg – i.e., the impact on assets such as bonds should be reported without the accounting hedge and the corresponding derivatives (the “hedge”) should be reported under derivatives. Column Heading Description G – J Widening Spread Scenario Report values as per the IMS’s main widening spread scenario of 31 December 2023. K – N Tightening Spread Scenario Report values as per the IMS’s main tightening spread scenario of 31 December 2023. F, G, K Average Spread (bps) Report average spread applied in the assessment of CSRBB of the relevant positions over the internal “risk-free” interest rate for the relevant scenario: baseline spread scenario as of December 2023 – Column F; widening spread scenario – Column G; and, tightening spread scenario – columns K. The average spread shall be weighted by amount – e.g., 50€ (1%) + 50€ (2%) = 100€ (1.5%); and, irrespective of duration – e.g., 50€ (1% at 1 year) + 50€ (2% at 10 years) = 100€ (1.5%).

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Column Heading Description H, L Delta EVE Report the effect of the spread scenario on EVE. If no estimates of CSRBB estimates impact on EVE metric are available for a row with a notional amountsubject to CSRBB for EVE, the dedicated cells for these columns would be left empty. I, M Delta NII Report the effect of the spread scenario on NII. If no estimates of CSRBB estimates impact on NII metric are available for a row with a notional amountsubject to CSRBB for NII, the dedicated cells for these columns would be left empty. J, N Delta MV Report the effect of the spread scenario on the market value of instruments accounted at fair value according to their applicable accounting standard (IFRS or national GAAP). If no estimates of CSRBB estimates impact on MV metric are available for a row with a notional amount subject to CSRBB for MV, the dedicated cells for these columns would be left empty.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
10.7 Panel E: Repricing rates for new business and NMDs
remunerated at 0%
273. Panels E1 collects information on betas and spread component applied in the repricing of the
new business (Term Deposits, Unstable NMDs, fixed Loans and floating Loans) for the NII SOT projections as of 31 st of December 2023. It will mainly target to assess the pricing applied on main rates applied in the new business products for the NII SOT metric. Row Colu mn Heading Description 6-8 (Term Deposits) C-E Beta applied in the repricing of the new Term Depositsfor the NII SOT projections in the Baseline interest rate (column C), parallel up scenario (column D) and parallel down scenario (column E) (%) % of market rates (considering the 1 Year tenor as reference for each of the IR scenarios) applied for the repricing of the new Term Deposits in the NII SOT projections (e.g. by Beta in the Baseline IR scenario for term deposits we mean to say the ratio of the applied deposit cost for the term deposit cost projection for the NII SOT metric for the baseline interest rate scenario/1-year risk free rate implied in the yield curve for the baseline interest rate scenario at the time of repricing:
if the term deposit is remunerated at 1% in the Baseline IR scenario for the SOT NII metric after its repricing and the 1 Year Baseline risk￾free market rate is 4%, the Beta is 1/4 so 25%). 9-12 (NMDs) C-E Beta applied in the repricing of the unstable NMDs for the NII SOT projections in the Baseline interest rate (column C), parallel up scenario (column D) and parallel down scenario (column E) (%) % of market rates (considering the 1 Year tenor as reference for each of the IR scenarios) applied for the repricing of the unstable NMDs in the NII SOT projections (e.g. by Beta in the Baseline IR scenario for NMD we mean to say the ratio of the applied deposit cost for the unstable NMDs cost projection for the NII SOT metric for the baseline interest rate scenario/1-year risk free rate implied in the yield curve for the baseline interest rate scenario at the time of repricing of the unstable NMDs: if the unstable NMDs are remunerated at 1% in the Baseline IR scenario for the SOT NII metric after its repricing and the 1 Year Baseline risk-free market rate is 4%, the Beta is 1/4 so 25%).

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Colu mn Heading Description 13-15 (Fixed Loans) C-E Beta applied in the repricing of the new fixed rate loans for the NII SOT projections in the Baseline interest rate (column C), parallel up scenario (column D) and parallel down scenario (column E) (%) % of market rates (considering the underlying term of new fixed rate loans as reference for each of the IR scenarios) applied for the repricing of new fixed rate loans in the NII SOT projections (e.g. by Beta in the Baseline IR scenario for new fixed rate loans we mean to say the ratio of the rate applied on fixed rate loans for their income projection for the NII SOT metric for the baseline interest rate scenario/risk free rate for the underlying term of new fixed loansimplied in the yield curve for the baseline interest rate scenario at the time of replacement of fixed rate loans: if the new fixed rate loans are priced at 5% in the Baseline IR scenario for the SOT NII metric after its replacement and the Baseline risk-free market rate for the underlying term of new fixed loans is 4%, the Beta is 5/4 so 125%). 16-18 (Floating Loans) C-E Beta applied in the repricing of the new floating rate loans for the NII SOT projections in the Baseline interest rate (column C), parallel up scenario (column D) and parallel down scenario (column E) (%) % of market rates (considering the 1 Year tenor as reference for each of the IR scenarios) applied for the repricing of new floating rate loans in the NII SOT projections (e.g. by Beta in the Baseline IR scenario for new floating rate loans we mean to say the ratio of the rate applied on new floating rate loans interest for their income projection for the NII SOT metric for the baseline interest rate scenario/1-year risk free rate implied in the yield curve for the baseline interest rate scenario at the time of replacing of floating rate loans: if the new floating rate loans are priced at 5% in the Baseline IR scenario for the SOT NII metric after its replacing and the 1 Year Baseline risk￾free market rate is 4%, the Beta is 5/4 so 125%).

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Colu mn Heading Description 6-8 (Term Deposits) F-H Spread applied in the repricing of the New Term Depositsfor the NII SOT projections in the Baseline interest rate (column F), parallel up scenario (column G) and parallel down scenario (column H) (bps) It must be reported the spread (in basis points) as the difference between the repricing rates applied for new term deposits versus the risk￾free rate 1 Year tenor as reference rate for each of the IR scenarios (e.g. if the new term deposit is remunerated at 1% in the Baseline IR scenario after its repricing and the 1 Year Baseline market rate is 4%, the spread would be -300 bps). 9-12 (NMDs) F-H Spread applied in the repricing of the unstable NMDs for the NII SOT projections in the Baseline interest rate (column F), parallel up scenario (column G) and parallel down scenario (column H) (bps) It must be reported the spread (in basis points) as the difference between the repricing rates applied for unstable NMDs versus the risk-free rate 1 Year tenor as reference rate for each of the IR scenarios (e.g. if the unstable NMDs are remunerated at 1% in the Baseline IR scenario after its repricing and the 1 Year Baseline market rate is 4%, the spread would be -300 bps). 13-15 (Fixed Loans) F-H Spread applied in the repricing of the New Fixed rate loans for the NII SOT projections in the Baseline interest rate (column F), parallel up scenario (column G) and parallel down scenario (column H) (bps) It must be reported the spread (in basis points) as the difference between the repricing rates applied for new fixed rate loans versus the risk free rate for the underlying term of new fixed rate loans implied in the yield curve for the baseline interest rate scenario at the time of replacement of fixed rate loans (e.g. if the new fixed rate loans are remunerated at 5% in the Baseline IR scenario after its repricing and the risk free rate for the underlying term of new fixed loans implied in the yield curve for the baseline interest rate scenario at the time of replacement of fixed rate loans is 4%, the spread would be +100 bps).

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Colu mn Heading Description 16-18 (Floating Loans) F-H Spread applied in the repricing of the New Floating rate loans for the NII SOT projections in the Baseline interest rate (column F), parallel up scenario (column G) and parallel down scenario (column H) (bps) It must be reported the spread (in basis points) as the difference between the repricing rates applied for new floating rate loans versus the risk-free rate 1 Year tenor as reference rate for each of the IR scenarios (e.g. if the new floating rate loans are remunerated at 5% in the Baseline IR scenario after its repricing and the 1 Year Baseline market rate is 4%, the spread would be +100 bps). Row Heading Description 6-8 Term Deposits Non-transferable deposits which the depositor is not allowed to with-draw before an agreed maturity or that can be early withdrawn provided that the depositor is charged with early withdrawal (prepayment) costs and fees. This item shall include administratively regulated savings deposits where the maturity related criterion is not relevant. Although deposits with agreed maturity may feature the possibility of earlier redemption after prior notification, or may be redeemable on demand subject to certain penalties, these features shall not be considered to be relevant for classification purposes. 9-12 NMDs Liabilities without a maturity date, in which the depositor is free to withdraw the deposit at any point in time as defined in Article 1, point 1 (9) of the EBA RTS on SA.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description 13-15 Fixed Loans Debt instruments held by institutions that are not securities, as defined in paragraph 32 of Part 1 of Annex V of the ITS on supervisory reporting regarding IRRBB and without including interbank and Central Bank exposures, considering as per these rows only fixed rate loans, which are loans whose cash flows of interest payments are fixed from the inception and until the maturity of the instrument, or where the contractual repricing is above 1 year; or where changes in its remuneration – at any time during the life of the contract – are discretional to the institution or a government agency. 16-18 Floating Loans Debt instruments held by institutions that are not securities, as defined in paragraph 32 of Part 1 of Annex V of the ITS on supervisory reporting regarding IRRBB and without including interbank and Central Bank exposures, considering as per these rows only floating rate loans, which are loans whose cash flows of interest payments are not fixed from the inception and until the maturity of the instrument, where its contractual repricing is below or equal to 1 year, and where changes in its remuneration during the life of the contract are not at the discretion of the institution or a government agency 6, 13, 16 Retail Retail refers to a natural person or a SME, where the SME would qualify for the retail exposure class under the Standardised or IRB approaches for credit risk, or a company which is eligible for the treatment set out in
Article 153(4) of Regulation (EU) No 575/2013 and where
the aggregate deposits by that SME or company on a group basis do not exceed EUR 1 million. 6 Retail Term deposits Term deposits from retail customers Wholesale Non financial Term Deposits Wholesale deposits as defined in Article 1, point 1 (13) of the EBA RTS on SA which are deposits other than NMDs from general governments and NFCs as defined in paragraph 42, points (b) and (e) of Part 1 of Annex V of the ITS on supervisory reporting regarding IRRBB. This row will not include exposures to retail counterparties.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description Wholesale financial Term Deposits Wholesale deposits as defined in Article 1, point 1 (13) of the EBA RTS on SA which are deposits other than NMDs from counterparties according to paragraph 42(d), of Part 1 of Annex V of the ITS on supervisory reporting regarding IRRBB. Retail Transactional NMDs Retail non-maturity deposits held in a transactional account as defined in Article 1, point 1 (11) of the EBA RTS on SA. Retail transactional NMDs shall include non￾interest-bearing and other retail accounts whose remuneration component is not relevant in the client’s decision to hold money in the account. Retail Non Transactional NMDs Retail non-maturity deposits held in a non-transactional account as defined in Article 1, point 1 (12) of the EBA RTS on SA. Other retail deposits which are not considered “Non￾Maturity Deposits: Retail Transactions” shall be considered as held in a non-transactional account. In particular, retail non-transactional deposits shall include retail accounts (including regulated ones) whose remuneration component is relevant in the client’s decision to hold money in the account. Wholesale Non financial NMDs Wholesale non-financial NMDs include accounts from corporate and other wholesale non-financial clients, excluding interbank accounts or other fully price-sensitive ones (there would be wholesale deposits as defined in
Article 1, point 1 (13) of the EBA RTS on SA which are
NMDs from general governments and non-financial corporations (NFCs) as defined in paragraph 42, points (b) and (e) of Part 1 of Annex V of the ITS on supervisory reporting regarding IRRBB).

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description Wholesale financial NMDs Wholesale financial NMDs include accounts from wholesale financial clients, excluding interbank and central bank exposures (there would be Wholesale deposits as defined in Article 1, point 1 (13) of the EBA RTS on SA which are NMDs from counterparties according to paragraph 42(d), of Part 1 of Annex V of the ITS on supervisory reporting regarding IRRBB). 13,16 Retail Loans Loans and advances to retail counterparties as per defined above in this panel 14,17 Wholesale Non financial Loans Loans and advances to general governments and non￾financial corporations in accordance to points (b) and (e) of paragraph 42 of Part 1 of Annex V of the ITS on supervisory reporting regarding IRRBB. 15,18 Wholesale financial Loans Loans and advances to other financial corporations in accordance with point (d) of paragraph 42 of Part 1, Annex V of the ITS on supervisory reporting regarding IRRBB.
274. Panels E2 collects information on volumes on NMDs which were not remunerated as of
December 2023 and also information on the NMD balances which are considered will be nearly no remunerated as per the NII projections for the NII SOT metrics under the different IR scenarios. Row Column Heading Description 36-39 C Volume of NMDs remunerated at 0% 31.12.2023 Volume of NMDs remunerated at 0% (or very low remuneration -less than 0.25%-) as of 31.12.2023 36-39 D-F Volume of NMDs remunerated at 0% (or very low remuneration ≤ 0.25% considered to be core) for the NII SOT in the Baseline interest rate (column D), parallel up scenario (column E) and parallel down scenario (column F) Volumes of NMDs remunerated at 0% (or very low remuneration –less than 0.25%-) for the NII SOT in the Baseline interest rate (column D), parallel up scenario (column E) or parallel down scenario (column F)

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description 36 Retail transactional Retail non-maturity deposits held in a transactional account as defined in Article 1, point 1 (11) of the EBA RTS on SA. Retail transactional NMDs shall include non￾interest-bearing and other retail accounts whose remuneration component is not relevant in the client’s decision to hold money in the account. 37 Retail non-transactional Retail non-maturity deposits held in a non-transactional account as defined in Article 1, point 1 (12) of the EBA RTS on SA. Other retail deposits which are not considered “Non￾Maturity Deposits: Retail Transactions” shall be considered as held in a non-transactional account. In particular, retail non-transactional deposits shall include retail accounts (including regulated ones) whose remuneration component is relevant in the client’s decision to hold money in the account. Wholesale non-financial NMDs Wholesale non-financial NMDs include accounts from corporate and other wholesale non-financial clients, excluding interbank accounts or other fully price-sensitive ones (there would be wholesale deposits as defined in
Article 1, point 1 (13) of the EBA RTS on SA which are
NMDs from general governments and non-financial corporations (NFCs) as defined in paragraph 42, points (b) and (e) of Part 1 of Annex V of the ITS on supervisory reporting regarding IRRBB). Wholesale financial NMDs Wholesale financial NMDs include accounts from wholesale financial clients, excluding interbank and central bank exposures (there would be Wholesale deposits as defined in Article 1, point 1 (13) of the EBA RTS on SA which are NMDs from counterparties according to paragraph 42(d), of Part 1 of Annex V of the ITS on supervisory reporting regarding IRRBB).

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
10.8 Panel F: Interest rates hedging practices
275. Panels F1 - Hedged items on Interest rate risk - in % of carrying amount.
Column Heading Description
C
Carrying amount in EUR bn
Book value of exposures in the financial statements.
D
Accounting Micro FV hedges
Hedged items on interest rate risk, accounted micro fair value hedges E Accounting Micro CF hedges Hedged items on interest rate risk, accounted micro cash flow hedges F Accounting Macro Ptf FV hedges on IR risk Hedged items on interest rate risk, accounted macro portfolio fair value hedges G Accounting Macro CF hedges on IR risk Hedged items on interest rate risk, accounted macro cash flows hedges H Economic hedges (only derivatives) Derivatives on interest rate risk. I Comments Any other comment on the reported data. Row Heading Description 8 Debt securities Debt instruments held by the institution issued as securities that are not loans, as defined in paragraph 31 of
Part 1 of Annex V of the ITS on supervisory reporting
regarding IRRBB, including covered bonds and securitisation exposures.
9 of which: fixed rate Fixed rate debt securities 10 of which: variable rate Debt securities other than fixed rate 11 Loans and advances Debt instruments held by institutions that are not securities, as defined in paragraph 32 of Part 1 of Annex V of the ITS on supervisory reporting regarding IRRBB. This row shall not include exposures included in rows 6, 37 and 7, 38.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Row Heading Description 12 of which: fixed rate Fixed rate loans 13 of which: variable rate Loans other than fixed rate 15 Debt securities issued Debt instruments issued as securities by the institution that are not deposits, as defined in Part 1 Article 37 of
Annex V of the ITS on supervisory reporting regarding
IRRBB, excluding securities and derivative exposures.
16 of which: fixed rate Fixed rates debt securities issued 17 of which: variable rate Debt securities issued other than fixed rate 18 Deposits Liability which results from funds left in an account, including non-maturity deposits, fixed-term deposits and savings deposits. 19 of which: NMDs Non-maturity deposits. 20 of which: Term deposits Fixed-term deposits. 21 Equity Capital instruments issued by the institution that qualify as Common Equity Tier 1, Additional Tier 1 or Tier 2 instruments.
276. Panels F2 - Derivative hedging instruments - Notional amount.
Column Heading Description
C IR swaps
Derivative contract in which one stream of future interest payments is exchanged for another, based on a specified principal amount. D Forward rate agreements Derivative contract that determines the rate of interest to be paid on an agreed-upon date in the future, on a specified principal amount. E IR swaptions Derivative forward contract to enter into an interest rate swap on a specified principal amount. F Other types of tools (indicate which ones) Other types of derivative hedging instruments.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Column Heading Description G Comments Any other comment on the reported data, including the types of derivative hedging instruments reported in column F. Row Heading Description Derivative - hedging instruments Total value agreed-upon the contracts of derivative hedging instruments. of which: related to debt securities Value agreed-upon derivative hedging instruments related to debt securities. Debt securities are instruments held by the institution issued as securities that are not loans, as defined in paragraph 31 of Part 1 of Annex V of the ITS on supervisory reporting regarding IRRBB, including covered bonds and securitisation exposures. of which: related to loans and advances Value agreed-upon derivative hedging instruments related to loan and advances. Loan and advances are debt instruments held by institutions that are not securities, as defined in paragraph 32 of Part 1 of Annex V of the ITS on supervisory reporting regarding IRRBB. This row shall not include exposures included in rows 6, 37 and 7, 38. of which: related to deposits Value agreed-upon derivative hedging instruments related to deposits. Deposits are credit balance which results from funds left in an account, including non￾maturity deposits, fixed-term deposits and savings deposits. of which: related to debt securities issued Value agreed-upon derivative hedging instruments related to securities issued. Debt securities are instruments issued as securities by the institution that are not deposits, as defined in Part 1 Article 37 of Annex V of the ITS on supervisory reporting regarding IRRBB, excluding securities and derivative exposures.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
10.9 IRRBB – Specific Glossary
Glossary A-Z Definition / description of concept Prepayment risk Fixed rate loans shall be considered as subject to the risk of early repayment, where the borrower has the ability to prepay part or all of the outstanding principal before the contractually agreed repayment date or the contractual maturity date of the principal without bearing the economic costs for such repayment. Where a borrower is bearing the economic cost only above a certain prepayment threshold, the loan shall be considered as a fixed rate loan subject to the risk of early repayment. Early redemption risk Fixed rate term deposits shall be considered as term deposits with the risk of early redemption, where the depositor holds the option to redeem any outstanding amount before the contractual maturity date of the deposit. Fair value in hedges The instruments that should be considered as fair value include:
i. Banking book asset and liability hedges accounted at fair value
through other comprehensive income and accounted at fair value through profit and loss.
ii. Interest rate derivatives designed as fair value and cash flow hedges
hedging items valued at fair value.
iii. Interest rate derivatives designed as fair value hedges hedging
amortized cost items.
Retail
Retail refers to a natural person or a SME, where the SME would qualify for the retail exposure class under the Standardised or IRB approaches for credit risk, or a company which is eligible for the treatment set out in Article 153(4) of Regulation (EU) No 575/2013 and where the aggregate deposits by that SME or company on a group basis do not exceed EUR 1 million. Retail deposit A liability to a natural person or to an SME, where the natural person or the SME would qualify for the retail exposure class under the Standardised or IRB approaches for credit risk, or a liability to a company which is eligible for the treatment set out in Article 153(4) CRR and where the aggregate deposits by all such enterprises on a group basis do not exceed EUR 1 million. Transactional deposit and accounts Transactional deposits and transactional accounts (as defined in paragraph 7 of the EBA/GL/2022/14.) are those retail non-maturity deposits where regular transactions are carried out (e.g., where salaries are regularly credited) or those retail non-maturity deposits which are non-interest

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) bearing even in a high interest rate environment. Other retail deposits shall be considered as held in a non-transactional account. Stable vs non-stable deposits Non-Maturity Deposits (NMDs) balance are separated into a stable and non￾stable part. ‘Stable non-maturity deposits’ means the total amount of the
part of the non-maturity deposit that is highly likely to remain undrawn,
under the current level of interest rates. The stable NMD portion is the portion that is found to remain undrawn with a high degree of likelihood. Core vs non-core deposits Core deposits are the amount of stable NMDs that are unlikely to reprice even under significant changes in the interest rate environment, as defined in paragraph 112(a) of the EBA Guidelines EBA/GL/2022/14 and in Article 1(16) of the EBA/RTS/2022/09. Non-core deposits are the amount of NMDs other than core. The non-stable
part of a NMD shall be a non-core component.
Net interest income measures
Measures of changes in expected future interest incomes and charges within a given time horizon resulting from interest rate movements, in case of IRRBB; or from credit spread changes, in case of CSRBB. Net interest income measures plus market value changes Net interest income measures after the market value changes of instruments have been accounted for/taken into account depending on accounting treatment either through fair value measures or nGAAP. Economic value (EV) measures Measures of changes in the net present value of interest rate sensitive instruments over their remaining life resulting from interest rate movements, in case of IRRBB; or of changes in the net present value of instruments sensitive to credit spread changes over their remaining life resulting from credit spread movement, in case of CSRBB. EV measures reflect changes in value over the remaining life of the interest rate sensitive instruments, in case of IRRBB, or of the credit spread risk sensitive instruments, in case of CSRBB – i.e., until all positions have run off. Economic value of equity (EVE) measures A specific form of EV measure where equity is excluded from the cash flows as defined in article 4 of the EBA/RTS/2022/10. Interest rate sensitive instrument Assets, liabilities and off-balance-sheet items in the non-trading book, which are sensitive to interest rate changes (excluding assets deducted from CET1 capital, real estate, intangible assets and equity exposures in the non-trading book).

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) Credit spread sensitive instruments Assets, liabilities and off-balance-sheet items in the non-trading book, which are sensitive to credit spread changes (excluding assets deducted from CET1 capital, real estate, intangible assets and equity exposures in the non-trading book). IRRBB measure(s) Economic Value (EV) measures and Net interest income measures plus market value changes, applied in the context of the sensitivity to changes in the interest rates. CSRBB measures Economic Value (EV) measures and Net interest income measures plus market value changes, applied in the context of the sensitivity to changes in market credit/liquidity spreads. Interest rate risk arising from non￾trading book activities (IRRBB) The current and prospective risk of a negative impact to the institution’s economic value of equity, or to the institution’s net interest income, taking market value changes into account as appropriate, which arise from adverse movements in interest rates affecting interest rate sensitive instruments, including gap risk, basis risk and option risk. Run-off balance sheet A balance sheet including on- and off-balance sheet items where existing non-trading book positions amortise and are not replaced by any new business. Basis risk Risk arising from the impact of relative changes in interest rates on interest rate sensitive instruments that have similar tenors but are priced using different interest rate indices. Basis risk arises from the imperfect correlation in the adjustment of the rates earned and paid on different interest rate sensitive instruments with otherwise similar rate change characteristics. Credit spread risk from non-trading book activities (CSRBB) Risk driven by changes of the market price for credit risk, for liquidity and for potentially other characteristics of credit-risky instruments, which is not captured by another existing prudential framework such as IRRBB or by expected credit/(jump-to-) default risk. CSRBB captures the risk of an instrument’s changing spread while assuming the same level of creditworthiness, i.e. how the credit spread is moving within a certain rating/PD range. NMD Pass-through rate The percentage of change of the market interest rate assigned to the deposit to enable the institution to maintain the same level of stable deposits at the current level of interest rates. Pass-through rate refers to the proportion of a market interest rate change that the bank will pass onto its customers in order to maintain the same level of stable deposit balances. Equivalently, it

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) represents the proportion of stable deposits that reprice due to the market rate change. Fixed rate loan commitments It is a loan for which an institution committed to an agreed fixed rate; however, for a limited period, the customer has the right to choose the draw down date. Other items subject to behavioural risk Any interest rate sensitive instruments in the non-trading book for which the customer has an option either explicit or embedded, which, if exercised, will alter the level and / or the timing of the instrument’s cash flows. The customer’s choice to exercise the option is likely to be influenced by circumstantial drivers – e.g., changes in interest rates, and structural drivers linked to personal choices and circumstances (divorce, death, moving out, employment changes, etc.). Contractual interest rates caps and floors A binding contractual provision that indicates the upper (lower) limits of interest rate that can be charged on an outstanding nominal amount.

EBA QIS end-December 2022 exercise – Template Instructions (V 4.6.)
EBA Regular Use
ANNEX: DEFINITION OF CHECKS INCLUDED
IN THE EU TEMPLATES
Checks included in the Credit Risk (SA) template A) Checks for panel B) EU Additional information for the purpose of calculating the impact of supporting factors 1) SME Supporting factor

1. Check if revised SF RWAs < revised RWAs: Included in cells AG 193:230. For every row
   in the panel this check confirms if the reported RWAs under the Basel III framework including the SME supporting factor are equal or lower than the RWAs under the Basel III framework (without such factor):

• This check will take value “Missing input” if no data is available in columns V and
  Z.
• For rows including data for the general portfolio (193, 197, 201, 205, 206, 210,
  214, 218, 222, 226) and for Corporate SME exposures compliant with article 501 (2) and above EUR 2.5 mln, this check will take value “Please check” when the RWAs reported in column V are lower than the ones reported in column Z. As RWAs in column Z should be equal to the amount in column V if no exposure is subject to supporting factor. If there are exposures subject to supporting factor, RWAs reported in column V should be always bigger to the ones reported in column Z as the latter should have benefitted from the application of such factor. Note that Corporate SME exposures may receive a different RW in column Z and column V as clarified in section 4.2.4 of the instructions. Therefore, it can’t be excluded that for those compliant with article 501 (2) and above EUR 2.5 mln RWAs reported in column Z can be equal to those reported in column V.
• For rows including data for exposures compliant with the criteria set in Article
  501 (2) (exposures subject to supporting factor) (except for Corporate SME exposures compliant with article 501 (2) and above EUR 2.5 mln) (194, 195, 196, 198, 200, 202, 203, 204, 207, 208, 209, 211, 212, 213, 215, 216, 217, 219, 220, 221, 223, 224, 225, 227, 228, 229) , this check will take value “Please Check” when the RWAs reported in column V are equal or lower than the ones reported in column Z. As RWAs in column Z should be always lower to the ones reported in column V for exposures subject to the beneficial supporting factor. Note that Corporate SME exposures may receive a different RW in column Z and column V as clarified in section 4.2.4 of the instructions. Therefore, it can’t be excluded that for those compliant with article 501 (2) and above EUR 2.5 mln RWAs reported in column Z can be equal to those reported in column V.

2. Check the application % supporting factor: Included in column AH of the Credit risk (SA)
   template. For the rows reporting exposure subject to supporting factor (except for Corporate SME exposures) (195, 196, 203, 204, 208, 209, 212, 213, 216, 217, 220, 221, 224, 225, 228, 229), these checks confirm that the RWA discount applied in column Z, corresponds to the effectively applicable factor:

• For lines “of which: exposures compliant with the criteria set in Art 501 (2) CRR2
  (SME SF); of which; amount owed below EUR 2.5 mln” this check confirms that the discount factor applied to such exposures is equal to 0.7619 with a 5pp error

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) (therefore between 0.7119 and 0.8119). This check will take value “Missing input” if no data is available in columns V and Z. It will take value “Please Check” if the ratio between column Z and V is outside the described threshold.

• For lines “of which: exposures compliant with the criteria set in Art 501 (2) CRR2
  (SME SF); of which; amount owed above EUR 2.5 mln” this check confirms that the discount factor applied to such exposures is between 0.7619 (maximum applicable discount factor) and to 0.85 (minimum applicable discount factor) with a 5pp error (therefore between 0.7119 and 0.9). This check will take value “Missing input” if no data is available in columns V and Z. It will take value “Please Check” if the ratio between column Z and V is outside the described threshold.
• For Corporate SME exposures, the applicable RW in column Z may differ to the
  one applicable in column V. Therefore, the ranges in which the ratio between Z and V can follow differs:
• The ratio can’t fall below the minimum 0.7119
• However, the maximum value of the ratio between Z and V can be
  higher than for other asset classes as although the RWA reported under Z are subject to the same supporting factor, the applicable risk weight might be 100% instead of 85% for SME unrated corporates. Therefore, the maximum value of the ratio can be
  0.8964 ((100%*0.76119)/85%) for exposures for which the amount
  owed is below 2.5 EUR mln and 1 ((100%*0.85)/85%) for exposures for which the amount owed is above 2.5 EUR mln. Again, a 5pp error is allowed.

3. Check consistency compliant exposures with SF by asset class (modelled): Included in
   column AI of the Credit risk (SA) template. These checks confirm that there is consistency between the impact of the supporting factor reported for the overall portfolio (rows 193, 197, 201, 205, 206, 210, 214, 218, 222, 226) and for the exposures subject to the supporting factor (194, 195, 196, 198, 199, 200, 202, 203, 204, 207, 208, 209, 211, 212, 213, 215, 216, 217, 219, 220, 221, 223, 224, 225, 227, 228, 229). Indeed, the only difference between the RWA reported in columns Z and V should some from the application of the supporting factor to “exposures compliant with the criteria set in Art 501 (2) CRR2 (SME SF); of which; amount owed above or below EUR 2.5 mln”. This check will take the value “Please check” when the differences between columns Z and V for the different rows do not match.
4. Check if revised NM SF RWAs < revised NM RWAs: Included in column AJ of the Credit
   risk (SA) template. For banks using IMM for SA-CCR, for the overall portfolios, this check confirms if the reported non-modellable RWAs under the Basel III framework including the SME supporting factor are equal or lower than the RWAs under the Basel III framework (without such factor). For rows including data for the general portfolio (193, 197, 201, 205, 206, 210, 214, 218, 222, 226), this check will take value “Please check” when the data in column AC has not been reported and when the non-modellable RWAs reported in column AC are bigger than the ones reported in panel A in column AH. If there are exposures subject to supporting factor, RWAs reported in panel A in column AH should be always bigger than the ones reported in column AC as the latter should have benefitted from the application of such factor.
5. Check for the application % supporting factor NM RWAs: Included in column AK of the
   Credit risk (SA) template. For banks using IMM for SA-CCR, this check confirms that the

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) RWA discount applied in column AC, corresponds to the maximum applicable factor. If all the exposures would be subject to the SME supporting factor and below the 2.5mln threshold, the ratio between column AC and column AH in Panel A should be 0.7619. This check will take value “Please Check” when such ratio goes below that level with a 5pp error allowance (therefore below 0.7119). The check takes value “NA” for banks not using IMM for SA-CCR
6. Check range SACCR: Included in column AL of the Credit risk (SA) template. For banks
using IMM for SA-CCR, this check confirms if the non-modelled RWAs reported in column AF are in line with the application of alpha = 1 for CCR exposures calculated under the IMM for RWA not subject to a floor (as requested in such column). The ratio between AF and AC should be between 0.7143 and 1. The check takes value “NA” for banks not using IMM for SA-CCR. B) Checks for panel B) EU Additional information for the purpose of calculating the impact of supporting factors 2) Infrastructure supporting factor

1. Check if revised SF RWAs < revised RWAs: Included in cells AG 236:255. For every row
   in the panel this check confirms if the reported RWAs under the Basel III framework including the infrastructure supporting factor are equal or lower than the RWAs under the Basel III framework (without such factor):

• This check will take value “Missing input” if no data is available in columns V and
  Z.
• For rows including data for the general portfolio (236, 238, 240, 241, 242, 244,
  246, 248, 250, 251, 253, 255), this check will take value “Please check” when the RWAs reported in column V are lower than the ones reported in column Z. As RWAs in column Z should be equal to the amount in column V if no exposure is subject to supporting factor. If there are exposures subject to supporting factor, RWAs reported in column V should be always bigger to the ones reported in column Z as the latter should have benefitted from the application of such factor.
• For rows including data for exposures compliant with the criteria set in Article
  501a (exposures subject to supporting factor) (237, 239, 243, 245, 247, 249, 252, 254), this check will take value “Please Check” when the RWAs reported in column V are equal or lower than the ones reported in column Z. As RWAs in column Z should be always lower to the ones reported in column V for exposures subject to the beneficial supporting factor.

2. Check the application % supporting factor: Included in column AH of the Credit risk (SA)
   template. For the rows reporting exposure subject to supporting factor (237, 239, 243, 245, 247, 249, 252, 254), these checks confirm that the RWA discount applied in column Z, corresponds to the effectively applicable factor (75%) with a 5pp error (therefore between 70% and 80%). This check will take value “Missing input” if no data is available in columns V and Z. It will take value “Please Check” if the ratio between column Z and V is outside the described threshold.
3. Check consistency compliant exposures with SF by asset class (modelled): Included in
   column AI of the Credit risk (SA) template. These checks confirm that there is consistency between the impact of the supporting factor reported for the overall portfolio (rows 236, 238, 240 and 253) and for the exposures subject to the supporting factor (237, 239, 243, 245, 247, 249, 252, 254). Indeed, the only difference between the RWA reported in columns Z and V should some from the application of the supporting factor to “exposures compliant with the criteria set in Art 501a CRR2 (INF SF)”. This check will take

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) the value “Please check” when the differences between columns Z and V for the different rows do not match.
4. Check if revised NM SF RWAs < revised NM RWAs: Included in column AJ of the Credit
risk (SA) template. For banks using IMM for SA-CCR, for the overall portfolios, this check confirms if the reported non-modellable RWAs under the Basel III framework including the infrastructure supporting factor are equal or lower than the RWAs under the Basel III framework (without such factor). For rows including data for the general portfolio (236, 238, 240, 241, 242, 244, 246, 248, 250, 251, 253, 255), this check will take value “Please check” when the data in column AC has not been reported and when the non￾modellable RWAs reported in column AC are bigger than the ones reported in panel A in column AH. If there are exposures subject to supporting factor, RWAs reported in panel A in column AH should be always bigger than the ones reported in column AC as the latter should have benefitted from the application of such factor.
5. Check for the application % supporting factor NM RWAs: Included in column AK of the
Credit risk (SA) template. For banks using IMM for SA-CCR, this check confirms that the RWA discount applied in column AC, corresponds to the maximum applicable factor. If all the exposures would be subject to the infrastructure supporting factor, the ratio between column AC and column AH in Panel A should be 0.75. This check will take value “Please Check” when such ratio goes below that level with a 5pp error (therefore, below 0.7). The check takes value “NA” for banks not using IMM for SA-CCR
6. Check range SACCR: Included in column AL of the Credit risk (SA) template. For banks
using IMM for SA-CCR, this check confirms if the non-modelled RWAs reported in column AF are in line with the application of alpha = 1 for CCR exposures calculated under the IMM for RWA not subject to a floor (as requested in such column). The ratio between AF and AC should be between 0.7143 and 1. The check takes value “NA” for banks not using IMM for SA-CCR. C) Checks for panel C) Additional information for equity exposures (EU banks only)

1. Check consistency other equity exposures (panel A) - modelled: Included in column O
   of the Credit risk (SA) template. It checks the consistency between the equity exposures classified as “other” reported in panel A and the ones reported in panel C. Exposures classified as other, should be the same in both panels. Only the applicable risk-weight differs. This check will take the value “missing input” if no data was provided for panel
   C. It will take value “Please check” if the exposure reported in cell F264 differs to the
   exposure reported in cell w90 (allowing for a 5pp difference).
2. Check applicable % RW (modelled RWAs): Included in column P of the Credit risk (SA)
   template. This check confirms that the risk-weight applied to equity exposures is as expected:

• For the overall “other” equity exposures (row 264): The applied risk-weight
  should be between 100% and 250% (5pp margin error is allowed)
• Equity exposures to Central banks (row 265): The applied risk-weight should be
  100% (5pp margin error is allowed)
• Intragroup equity exposures and equity holdings within institutional
  protection schemes (IPS) (article 49 (2) and (3)) (row 266): The applied risk￾weight should be 100% (5pp margin error is allowed)
• Other equity exposures (250% RW) (row 269): The applied risk-weight should
  be 250% (5pp margin error is allowed)

3. Check consistency other equity exposures (panel A) – non-modelled: Same rationale
   as check 1, but for non-modelled exposures.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
4. Check applicable % RW (non-modelled RWAs): Same rationale as check 2, but for non￾modelled exposures.
5. Check the SACCR application %: Included in column T of the Credit risk (SA) template.
For banks using IMM for SA-CCR, this check confirms if the non-modelled RWAs reported in column N are in line with the application of alpha = 1 for CCR exposures calculated under the IMM for RWA not subject to a floor (as requested in such column). The ratio between N and K should be between 0.7143 and 1. The check takes value “NA” for banks not using IMM for SA-CCR. Checks included in the template Credit risk (IRB) A) Checks for panel C) EU Additional information for the purpose of calculating the impact of supporting factors 1) SME Supporting factor

1. Check if revised SF RWAs < revised RWAs: Included in cells AV and AY of the Credit risk
   (IRB) template. For every row in the panel this check confirms if the reported RWAs under the Basel III framework including the SME supporting factor are equal or lower than the RWAs under the Basel III framework (without such factor):

• This check will take value “Missing input” if no data is available for RWAs under
  the Basel III framework (with and without supporting factor).
• For rows including data for the general portfolio (118, 122, 126, 130, 134, 138,
  142), this check will take value “Please check” when the RWAs reported under the Basel III framework are lower than the ones reported under the Basel III framework with supporting factor. The check is repeated separately for IRB exposures remaining under the IRB portfolio and for IRB exposures moving to SA.
• For rows including data for exposures compliant with the criteria set in Article
  501 (2) (exposures subject to supporting factor) (119, 123, 127, 131, 135, 139, 143), this check will take value “Please Check” when the RWAs under the Basel III framework are equal or lower than the ones reported under the Basel III framework with supporting factor. The check is repeated separately for IRB exposures remaining under the IRB portfolio and for IRB exposures moving to SA.

2. Check the application % supporting factor: Included in column AW and AZ of the Credit
   risk (IRB) template. For the rows reporting exposure subject to supporting factor, these checks confirm that the RWA discount applied in columns AJ (for exposures remaining under IRB) and AN (for exposures moving to SA), corresponds to the effectively applicable factor:

• For lines “of which: exposures compliant with the criteria set in Art 501 (2) CRR2
  (SME SF); of which; amount owed below EUR 2.5 mln” this check confirms that the discount factor applied to such exposures is equal to 0.7619 with a 5pp error (therefore between 0.7119 and 0.8119). This check will take value “Missing input” if no data is available. It will take value “Please Check” if the ratio between RWAs with and without supporting factor is outside the described threshold.
• For lines “of which: exposures compliant with the criteria set in Art 501 (2) CRR2
  (SME SF); of which; amount owed above EUR 2.5 mln” this check confirms that the discount factor applied to such exposures is between 0.7619 (maximum

EBA QIS end-December 2023 exercise – Template Instructions (V5.1) applicable discount factor) and to 0.85 (minimum applicable discount factor) with a 5pp error (therefore between 0.7119 and 0.9). This check will take value “Missing input” if no data is available. It will take value “Please Check” if the ratio between RWAs with and without supporting factor is outside the described threshold.
3. Check consistency compliant exposures with SF by asset class (modelled): Included in
column AX and BA of the Credit risk (IRB) template. These checks confirm if there is consistency between the impact of the supporting factor reported for the overall portfolio (118, 122, 126, 130, 134, 138, 142), and for the exposures subject to the supporting factor (119, 123, 127, 131, 135, 139, 143). Indeed, the only difference between the RWA reported with and without supporting factor should some from the application of the supporting factor to “exposures compliant with the criteria set in Art 501 (2) CRR2 (SME SF); of which; amount owed above or below EUR 2.5 mln”. This check will take the value “Please check” when the differences between RWAs with and without supporting factor do not match the expected range.
4. Check if revised NM SF RWAs < revised NM RWAs: Included in column BB of the Credit
risk (IRB) template. For banks using IMM for SA-CCR, for the overall portfolios, this check confirms if the reported non-modellable RWAs under the Basel III framework including the SME supporting factor are equal or lower than the RWAs under the Basel III framework (without such factor). This check will take value “Please check” when the data in column AQ has not been reported and when the non-modellable RWAs reported in column AQ are bigger than the ones reported in panel A in column CQ. If there are exposures subject to supporting factor, RWAs reported in in panel A in column CQ should be always bigger than the ones reported in column AQ as the latter should have benefitted from the application of such factor.
5. Check for the application % supporting factor NM RWAs: Included in column BC of the
Credit risk (IRB) template. For banks using IMM for SA-CCR, this check confirms that the RWA discount applied in column AQ, corresponds to the maximum applicable factor. If all the exposures would be subject to the SME supporting factor and below the 2.5mln threshold, the ratio between column AQ and column CQ in Panel A should be 0.7619. This check will take value “Please Check” when such ratio goes below that level with a 5pp error allowance (therefore below 0.7119) . The check takes value “NA” for banks not using IMM for SA-CCR.
6. Check range SACCR: Included in column BE of the Credit risk (IRB) template. For banks
using IMM for SA-CCR, this check confirms if the non-modelled RWAs reported in column AU are in line with the application of alpha = 1 for CCR exposures calculated under the IMM for RWA not subject to a floor (as requested in such column). The ratio between AU and AR should be between 0.7143 and 1. The check takes value “NA” for banks not using IMM for SA-CCR. B) Checks for panel C) EU Additional information for the purpose of calculating the impact of supporting factors 2) Infrastructure supporting factor

1. Check if revised SF RWAs < revised RWAs: Included in cells AV and AY of the Credit risk
   (IRB) template. For every row in the panel this check confirms if the reported RWAs under the Basel III framework including the infrastructure supporting factor are equal or lower than the RWAs under the Basel III framework (without such factor):

• This check will take value “Missing input” if no data is available for RWAs under
  the Basel III framework (with and without supporting factor).

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)

• For rows including data for the general portfolio (153, 155, 157, 159), this check
  will take value “Please check” when the RWAs reported under the Basel III framework are lower than the ones reported under the Basel III framework with supporting factor. The check is repeated separately for IRB exposures remaining under the IRB portfolio and for IRB exposures moving to SA.
• For rows including data for exposures compliant with the criteria set in Article
  501a (exposures subject to supporting factor) (154, 156, 158, 160), this check will take value “Please Check” when the RWAs under the Basel III framework are equal or lower than the ones reported under the Basel III framework with supporting factor. The check is repeated separately for IRB exposures remaining under the IRB portfolio and for IRB exposures moving to SA.

2. Check the application % supporting factor: Included in column AW and AZ of the Credit
   risk (IRB) template. For the rows reporting exposure subject to supporting factor, these checks confirm that the RWA discount applied in columns AJ (for exposures remaining under IRB) and AN (for exposures moving to SA), corresponds to the effectively applicable factor. These checks confirm that the RWA discount applied by the supporting factor, corresponds to the effectively applicable factor (75%) with a 5pp error (therefore between 70% and 80%). This check will take value “Missing input” if no data is available. It will take value “Please Check” if the ratio between RWAs with and without supporting factor is outside the described threshold.
3. Check consistency compliant exposures with SF by asset class (modelled): Included in
   column AX and BA of the Credit risk (IRB) template. These checks confirm if there is consistency between the impact of the supporting factor reported for the overall portfolio (153, 155, 157, 159), and for the exposures subject to the supporting factor (154, 156, 158, 160). Indeed, the only difference between the RWA reported with and without supporting factor should come from the application of the supporting factor to “exposures compliant with the criteria set in Art 501a CRR2 (INF SF)”. This check will take the value “Please check” when the differences between RWAs with and without supporting factor do not match the expected range.
4. Check if revised NM SF RWAs < revised NM RWAs: Included in column BB of the Credit
   risk (IRB) template. For banks using IMM for SA-CCR, for the overall portfolios, this check confirms if the reported non-modellable RWAs under the Basel III framework including the infrastructure supporting factor are equal or lower than the RWAs under the Basel III framework (without such factor). this check will take value “Please check” when the data in column AQ has not been reported and when the non-modellable RWAs reported in column AQ are bigger than the ones reported in panel A in column CQ. If there are exposures subject to the supporting factor, RWAs reported in panel A in column CQ should be always bigger than the ones reported in column AQ as the latter should have benefitted from the application of such factor.
5. Check for the application % supporting factor NM RWAs: Included in column BC of the
   Credit risk (IRB) template. For banks using IMM for SA-CCR, this check confirms that the RWA discount applied in column AQ, corresponds to the maximum applicable factor. If all the exposures would be subject to the infrastructure supporting factor and below the 2.5mln threshold, the ratio between column AQ and column CQ in Panel A should be
   0.7619. This check will take value “Please Check” when such ratio goes below that level
   with a 5pp error allowance (therefore below 0.7119). The check takes value “NA” for banks not using IMM for SA-CCR.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
6. Check range SACCR: Included in column BE of the Credit risk (IRB) template. For banks
using IMM for SA-CCR, this check confirms if the non-modelled RWAs reported in column AU are in line with the application of alpha = 1 for CCR exposures calculated under the IMM for RWA not subject to a floor (as requested in such column). The ratio between AR and AU should be between 0.7143 and 1. The check takes value “NA” for banks not using IMM for SA-CCR. C) Checks for panel D) EU Additional information on unrated corporates (EU banks only)
1. Check consistency corporates exposures (panel A): Included in column J of the Credit
risk (IRB) template. It checks the consistency between the corporate exposures reported in panel A and the ones reported in panel D. Even if the SA and IRB definition might slightly differ, it is considered that the exposures should not differ in more than 30%. This check will take the value “missing input” if no data was provided for panel D. It will take value “Please check” if the exposure reported in cell C167 differs significantly to the exposure reported in cell CO17 in panel A (allowing for a 30% difference).
2. Check the rw% application: Included in column k of the Credit risk (IRB) template. It
checks that the applicable risk weight for unrated corporate exposures is in line with the expectations allowing for a 5 p.p. error (65% for exposures with PD < 0.5% and 100% for exposures with PD > 0.5%).
3. Check the SACCR application %: Included in column L of the Credit risk (IRB) template.
For banks using IMM for SA-CCR, this check confirms if the non-modelled RWAs reported in column G are in line with the application of alpha = 1 for CCR exposures calculated under the IMM for RWA not subject to a floor (as requested in such column). The ratio between I and E should be between 0.7143 and 1. The check takes value “NA” for banks not using IMM for SA-CCR. D) Checks for panel E) Additional information for equity exposures (EU banks only)
1. Check consistency other equity exposures (panel A) - modelled: Included in column N
of the Credit risk (IRB) template. It checks the consistency between the equity exposures classified as “other” reported in panel A and the ones reported in panel E. Exposures classified as other, should be the same in both panels. Only the applicable risk-weight differs. This check will take the value “missing input” if no data was provided for panel E. It will take value “Please check” if the exposure reported in panel E differs to the exposure reported in panel A (allowing for a 5pp difference).
2. Check applicable % RW (modelled RWAs): Included in column O of the Credit risk (IRB)
template. This check confirms that the risk-weight applied to equity exposures is as expected:

• For the overall “other” equity exposures (row 192): The applied risk-weight
  should be between 100% and 250% (5pp margin error is allowed)
• Equity exposures to Central banks (row 193): The applied risk-weight should be
  100% (5pp margin error is allowed)
• Intragroup equity exposures and equity holdings within institutional
  protection schemes (IPS) (article 49 (2) and (3)) (row 194): The applied risk￾weight should be 100% (5pp margin error is allowed)
• Other equity exposures (250% RW) (row 197): The applied risk-weight should
  be 250% (5pp margin error is allowed)
  3. Check consistency other equity exposures (panel A) – non-modelled: Same rationale
  as check 1, but for non-modelled exposures.
  4. Check applicable % RW (non-modelled RWAs): Same rationale as check 2, but for non￾modelled exposures.

EBA QIS end-December 2023 exercise – Template Instructions (V5.1)
5. Check the SACCR application %: Included in column S of the Credit risk (IRB) template.
For banks using IMM for SA-CCR, this check confirms if the non-modelled RWAs reported in column M are in line with the application of alpha = 1 for CCR exposures calculated under the IMM for RWA not subject to a floor (as requested in such column). The ratio between M and J should be between 0.7143 and 1. The check takes value “NA” for banks not using IMM for SA-CCR. Checks included in the template EU RRE

1. Check reporting data on losses: The check confirms that data for losses has been
   reported for all the years and otherwise takes the value “missing input”. It also checks that the reported losses do not exceed the reported exposure for a given year and otherwise takes the value “Please check”.
2. Check reporting panel B: The check confirms that for a given exposure the RWA data
   has been provided taking the value “Missing input” if not provided.
3. Check the application RRE RW%: The check confirms that the reported RWA under
   column D (when hard test passed) are always equal or lower than the ones reported under column F (when hard test failed). For the low-risk exposures secured by residential property with exposures up to 55% (rows 19, 24) and between 55% and up to 80% (rows 20, 25), a risk weight of 10% and 45% can be applied respectively. Thus, the check confirms that the ratio between column D and C is between 5%-15% and 45%- 50% (considering 5pp error margins).