Commission Implementing Regulation (EU) 2021/1971 of 13 September 2021 amending Implementing Regulation (EU) 2016/2070 laying down implementing technical standards for templates, definitions and IT-solutions to be used by institutions when reporting to the European Banking Authority and to competent authorities in accordance with Article 78(2) of Directive 2013/36/EU of the European Parliament and of the CouncilText with EEA relevance

Exposures shall be split into parts and assigned to portfolios based on the default status:

(a) Defaulted: exposures assigned to the rating grade(s) with a PD of 100 %;

(b) Non-defaulted: exposures assigned to rating grades with a PD lower than 100 %;

(c) Not applicable.

100Type of facilityArticle 166 (8) and (10) of Regulation (EU) No 575/2013

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

The type of facility is one of the following:

(a) Full risk (100 %);

(b) Note issuance facility and revolving underwriting facility (Medium risk);

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

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

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

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

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

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

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

(j) Not applicable.

110Collateralisation statusColumns 150 to 220 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014

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

(a) Exposures with credit protection;

(b) Exposures without credit protection;

(c) Not applicable.

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

120Collateral typeColumns 150 to 220 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014

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

(a) Eligible financial collateral;

(b) Other eligible collateral: Receivables;

(c) Other eligible collateral: Residential real estate;

(d) Other eligible collateral: Commercial real estate;

(e) Other eligible collateral: Physical collateral;

(f) Other funded credit protection;

(g) Credit derivatives;

(h) Guarantees;

(i) Other unfunded credit protection: exposures subject to double default;

(j) Not applicable.

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

Exposures with unfunded credit protections treated under the substitution approach are already shifted to the corresponding exposures classes and shall thus not be reported under (g), (h) or (i).

130Counterparty

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

(a) Public sector entities (in accordance with Article 112, point (c), of Regulation (EU) No 575/2013);

(b) Counterparties other than public sector entities;

(c) Not applicable

140Size of counterparty

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

(a) ≤ EUR 50 million;

(b) > EUR 50 million and ≤ EUR 200 million;

(c) > EUR 200 million;

(d) > EUR 200 million and ≤ EUR 500 million;

(e) > EUR 500 million;

(f) Not applicable.

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

150NACE code

Exposures shall be split into parts and assigned to portfolios based on the economic activity of the counterparty determined by the NACE codes (Statistical Classification of Economic Activities of the Union):

(a) Nace 1: C Manufacturing;

(b) Nace 2: G Wholesale and retail trade;

(c) Nace 3: F Construction;

(d) Nace 4: H Transport and storage;

(e) Nace 5: D Electricity, gas, steam and air conditioning supply;

(f) Nace 6: A Agriculture, forestry and fishing;

(g) Nace 7: L real estate activities;

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

(i) Not applicable.

160Type of exposureArticle 2 of the Commission Delegated Regulation (EU) 2021/598

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

(a) Not applicable;

(b) Specialised lending exposures - Project finance;

(c) Specialised lending exposures - Income-producing real estate and high-volatility commercial real estate;

(d) Specialised lending exposures - Object finance;

(e) Specialised lending exposures - Commodities finance;

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

(g) Other exposures than those referred to in point (f).

170Size of exposureColumn110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014

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

(a) Not applicable.

180Indexed loan-to-value range

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

(a) Bucket 1: ≤ 55 % if the property is a residential immovable property;

≤ 60 % if the property is a commercial immovable property;

(b) Bucket 2: > 55 % ≤ 70 % if the property is a residential immovable property;

60 % ≤ 70 % if the property is a commercial immovable property;

(c) Bucket 3: > 70 % ≤ 80 %;

(d) Bucket 4: > 80 % ≤ 90 %;

(e) Bucket 5: > 90 % ≤ 100 %;

(f) Bucket 6: > 100 % ≤ 110 %;

(g) Bucket 7: > 110 %;

(h) Not applicable.

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

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

(b) Value of the property: the value of the property is the independent valuation of the property, converted to a current value using a property price index. The valuation shall be performed in an independent way and by appraisers that meet specific qualification requirements. Qualifying requirements and minimum appraisal standards shall comply with the following requirements:

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

(ii) where a market value can be determined, the valuation is not higher than that market value;

(iii) the valuation is supported by adequate appraisal documentation.

Institutions shall document their calculations and provide that documentation to their competent authority upon request.

190Balance sheet recognition

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

(a) On-balance sheet items;

(b) Off-balance sheet items;

(c) Other;

(d) Not applicable.

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

C 103 – Definition of High Default Portfolios

ColumnLegal referenceInstructions010Portfolio IDThe unique ID assigned by EBA to each portfolio.020Portfolio name

EBA shall assign each portfolio one of the following names:

1.0

CORP

1.1.

CORP Defaulted

1.2.

CORP Non-Defaulted

2.0

SMEC

2.1.

SMEC Defaulted

2.2.

SMEC Non-Defaulted

3.0

Other retail SME

3.1.

Other retail SME Defaulted

3.2.

Other retail SME Non-Defaulted

4.0

Mortgages non SME

4.1.

Mortgages non SME Defaulted

4.2.

Mortgages non SME Non-defaulted

5.0.

Mortgages SME

5.1.

Mortgages SME Defaulted

5.2.

Mortgages SME Non-defaulted

6.0.

Other retail non-SME

6.1.

Other retail non-SME Defaulted

6.2.

Other retail non-SME Non-defaulted

7.0.

QRRE

7.1.

QRRE Defaulted

7.2.

QRRE Non-defaulted

030Type of riskThe instructions for column 130 of C 101 shall apply.040Regulatory approachThe instructions for column 140 of C 101 shall apply.050Geographical areaThe instructions for column 080 of C 101 shall apply.060RatingThe instructions for column 060 of C 102 shall apply.070Exposure classThe instructions for column 070 of C 102 shall apply.080Sector of counterpartyThe instructions for column 100 of C 101 shall apply.090Default statusThe instructions for column 090 of C 102 shall apply.

100Type of facilityThe instructions for column 120 of C 101 shall apply.110Collateralisation statusThe instructions for column 110 of C 102 shall apply.120Collateral typeThe instructions for column 120 of C 102 shall apply.130CounterpartyThe instructions for column 130 of C 102 shall apply.140Size of counterpartyThe instructions for column 140 of C 102 shall apply.150NACE codeThe instructions for column 150 of C 102 shall apply.160Type of exposureThe instructions for column 110 of C 101 shall apply.170Size of exposureThe instructions for column 170 of C 102 shall apply.180Indexed loan-to-value rangeThe instructions for column 180 of C 102 shall apply.190Balance sheet recognitionThe instructions for column 190 of C 102 shall apply.

Annex

ANNEX III

Annex

ANNEX III

Results Supervisory Benchmarking portfolios

Template numberTemplate codeName of the template /group of templates101C 101.00Details on exposures in Low Default Portfolios by counterparty102C 102.00Details on exposures in Low Default Portfolios103C 103.00Details on exposures in High Default Portfolios105.01C 105.01Definition of internal models105.02C 105.02Mapping of internal models to portfolios105.03C 105.03Mapping of internal models to countries

C 101.00 - Details on exposures in Low Default Portfolios by counterparty

Counterparty CodeExposure classRatingDate of most recent rating of counterpartyPDDefault statusOriginal exposure pre conversion factorsExposure after CRM substitution effects pre conversion factorsCCFEADCollateral valueHyp LGD senior unsecured without negative pledgeHyp LGD senior unsecured with negative pledgeLGDMaturityRWA010020040050060070080090100110120130140150160170

C 102.00 - Details on exposures in Low Default Portfolios

Portfolio IDNumber of obligorsPDOriginal exposure pre conversion factorsExposure after CRM substitution effects pre conversion factorsCCFEADCollateral valueLGDMaturityExpected Loss AmountProvisions defaulted exposuresRWARWA Standardised010040060080090100110120130140150160170180

C 103.00 - Details on exposures in High Default Portfolio

Portfolio IDNumber of obligorsPDOriginal exposure pre conversion factorsExposure after CRM substitution effects pre conversion factorsCCFEADCollateral valueLGDMaturityExpected Loss amountProvisions defaulted exposuresRWARWA StandardisedDefault rate latest yearDefault rate past 5 yearsLoss rate latest yearLoss rate past 5 yearsRWA-RWA+RWA- -RWA++010040060080090100110120130140150160170180190200210220250260270280

C 105.01 - Definition of internal models

Internal model IDModel nameIRBA Risk parameterEADEAD weighted average default rate for calibrationCase weighted average default rate for calibrationLong-run PDCure rate for defaulted assetsRecovery rate of the foreclosed assets for not cured defaultsRecovery period of the foreclosed assets for not cured defaultsJoint decisionConsolidating supervisorRWA010020030040050060070080090100110120130

C 105.02 – Mapping of internal models to portfolios

Portfolio IDInternal model IDEADRWA010020030040

C 105.03 - Mapping of internal models to countries

Row IDInternal model IDLocation of institution005010020

Annex

ANNEX IV

Annex

ANNEX IV

RESULTS SUPERVISORY BENCHMARK PORTFOLIOS

PART I: GENERAL INSTRUCTIONS

2707

PART II: TEMPLATE RELATED INSTRUCTIONS

2708

C 101 –

Details on exposures in low default portfolios by counterparty

2708

C 102 –

Details on exposures in low default portfolios

2711

C 103 –

Details on exposures in high default portfolio

2713

C 105.01 –

Definition of internal models

2721

C 105.02 –

Mapping of internal models to portfolios

2723

C 105.03 –

Mapping of internal models to countries

2723

PART I: GENERAL INSTRUCTIONS

1. Information shall be submitted only for those counterparties and portfolios where an actual exposure exists at the reference date in the form of either an Original Exposure or an Exposure after CRM. Counterparties and portfolios for which no exposure exists at the reference date shall not be submitted.

1. Information shall be submitted only for those exposures for which the competent authority approved an internal model for the calculation of risk weighted exposure amounts (RWEA) Exposures under the Standardised Approach and exposures for which the respective competent authority allowed temporary or permanent partial use of the Standardised Approach, shall be excluded.

1. If not applicable the field shall either be left blank or the indication NULL shall be inserted. The same applies to EAD-weighted quantities that cannot be calculated. Zero values shall be reported only where the intention is to report a quantity of zero. Neither of the indications blank or NULL shall be used to report quantities that are zero.

1. Monetary amounts shall be reported in the same way as they are reported for calculating own funds requirements at a specific reference date as required in Article 17 of Implementing Regulation (EU) No 680/2014,.

PART II: TEMPLATE RELATED INSTRUCTIONS

C 101 – Details on exposures in Low Default Portfolios by counterparty

Specialised lending exposures shall be excluded.

ColumnLabelLegal referenceInstructions010Counterparty CodeColumn 010 of template 101 of Annex IThe counterparty code assigned by EBA to the counterparty included in the low default portfolio (LDP) samples portfolios shall be reported. This code is a row identifier and shall be unique for each row in the table.020Exposure classParagraph 78 of Annex II to Implementing Regulation (EU) No 680/2014

Each portfolio shall be assigned to one of the following exposure classes:

(a) Central banks and central governments;

(b) Institutions;

(c) Corporate – SME;

(d) Corporate – Specialised lending;

(e) Corporate – Other;

(f) Retail – Secured by real estate SME;

(g) Retail – Secured by real estate non-SME;

(h) Retail – Qualifying revolving;

(i) Retail – Other SME;

(j) Retail – Other non – SME;

(k) Not applicable.

Not applicable shall be used where none of the classes in the list above is applicable, which is the case where a counterparty is classified in multiple exposure classes, without one being clearly predominant.

040Rating

The rank of the internal rating grade applied by the institution (from lowest risk to highest risk excluding defaults with PD corresponding to 100 %) shall be reported It shall follow the numerical order 1, 2, 3 etc.

Where a counterparty has been assigned multiple rating grades in accordance with Article 172 (1) (e) of Regulation (EU) No 575/2013, rating grade zero (0) shall be entered in column 040 of template C101.00 of Annex III.

050Date of most recent rating of counterpartyThe date of the most recent rating of the counterparty shall be reported.060PDColumn 010 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014

The PD assigned to the obligor grade or pool reported shall be calculated in accordance with Article 180 of Regulation (EU) No 575/2013. The PD shall be the PD used in the calculation of the RWEA, excluding the effect of measures that can be introduced in accordance with Article 458 of Regulation (EU) No 575/2013. The PD shall be expressed as a value between 0 and 1.

All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.

070Default status

The default status to be reported shall be one of the following:

(a) Defaulted: exposures assigned to the rating grade(s) with a PD of 100 %;

(b) Non-defaulted: exposures assigned to rating grades with a PD lower than 100 %.

080Original exposure pre-conversion factorsColumn 020 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The original exposure value shall be reported before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors.090Exposure after CRM substitution effects pre-conversion factorsColumn 090 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The amount to which a credit conversion factor (CCF) is applied in order to obtain the exposure value shall be reported, taking into account credit risk mitigation techniques with substitution effects on the exposure.100CCFSecond subparagraph of Article 166(8) of Regulation (EU) No 575/2013

The weighted average of the CCFs shall be reported. The weights used shall be the amounts to which the CCFs are applied to obtain the EAD.

For counterparties with only facilities for items mentioned in Article 166(8) of Regulation (EU) No 575/2013, the weighted average of the CCF shall be based on all the facilities.

For counterparties with only facilities which do not fall under the items mentioned in Article 166(8) of Regulation (EU) No 575/2013, the weighted average of the CCF shall either be left blank or the word NULL shall be inserted.

For counterparties with facilities for i) items mentioned in Article 166(8) of Regulation (EU) No 575/2013 and ii) items which do not fall under the items mentioned in Article 166(8) of Regulation (EU) No 575/2013, the weighted average of the CCF shall be based only on facilities which fall under i).

Where the institution applies own estimates of CCFs for the items mentioned in Article 166(8) of Regulation (EU) No 575/2013, those CCFs shall be used to calculate the weighted average of the CCFs. Where the institution does not apply own estimates of CCFs for the items mentioned Article 166(8) of Regulation (EU) No 575/2013, the regulatory CCFs shall be used.

The CCF shall be expressed as a value between 0 and 1.

110EADColumn 110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The exposure value shall be left blank where the institution has no IRB exposure for a given counterparty.120Collateral valueColumns 150 to 210 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The market value of the collateral shall be reported.130Hyp LGD senior unsecured without negative pledgeArticle 161 of Regulation (EU) No 575/2013

The hypothetical own estimates of LGD that would be applied by the institution to the counterparty shall be reported in accordance with the following:

The scope of exposures is the same as for the LGD value reported in column 150;

The exposure is senior and unsecured;

No negative pledge clause is in place.

A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party.

140Hyp LGD senior unsecured with negative pledgeArticle 161 of Regulation (EU) No 575/2013

The hypothetical own estimates of LGD that would be applied by the institution to the counterparty shall be reported in accordance with the following:

The scope of exposures is the same as for the LGD value reported in column 150;

The exposure is senior and unsecured;

A negative pledge clause is in place.

A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party.

150LGDColumns 230 and 240 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The EAD-weighted own estimates of LGD or the EAD-weighted regulatory LGD applied by the institution to the exposures to each counterparty shall be reported.160MaturityColumn 250 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The EAD-weighted maturity for the exposures to each counterparty shall be reported. It shall be expressed in number of days.170RWEAColumn 260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The risk-weighted exposure amount after applying the small- and medium-sized enterprise (SME) supporting factor shall be reported.

C 102 – Details on exposures in Low Default Portfolios

For portfolios defined in Annex I with a collateralisation status other than Not applicable, the following information may be omitted where the approved model does not accommodate distinct LGD calculations for the secured and unsecured parts of an exposure: LGD (column 130), Expected Loss (column 150) and RWEA (column 170).

For portfolios with the regulatory approach defined as Specialised lending slotting criteria, the following information may be omitted: PD (c060), LGD (c130).

For all portfolios referred to in Annex I, template 102 the following information may be omitted: RWEA Standardised (c180).

ColumnLabelLegal referenceInstructions010Portfolio IDColumn 010 of template 102 of Annex I

The code assigned by EBA to each portfolio shall be reported. That code is a row identifier and shall be unique for each row in the table.

The assignment of exposures to portfolio IDs is not exclusive: Exposures or parts of exposures shall be reported under each portfolio IDs that is applicable.

040Number of obligorsThe number of obligors shall be reported. It shall be based on obligors that have a strictly positive exposure value reported either in column 80 or in column 90. Where a full substitution is applied due to a CRM technique, the original obligor shall be added to the Number of obligors of its original portfolio, and the guarantor shall be added to the Number of obligors of the guarantor portfolio.060PDColumn 010 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014The PD shall be the PD used in the calculation of the RWEA, excluding the effect of measures that can be introduced in accordance with Article 458 of Regulation (EU) No 575/2013. For portfolios corresponding to an individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pools, the EAD-weighted average of the PDs assigned to the exposures included in the aggregation shall be provided. The PD shall be expressed as a value between 0 and 1.080Original exposure pre-conversion factorsColumn 020 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported.090Exposure after CRM substitution effects pre-conversion factorsColumn 090 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The amount to which a CCF is applied in order to obtain the EAD shall be reported, taking into account credit risk mitigation techniques with substitution effects on the exposure.100CCFArticle 166(8)(e) of Regulation (EU) No 575/2013

The weighted average of the CCFs shall be reported. The weights that shall be used shall be the amounts to which the CCFs are applied in order to obtain the EAD.

For portfolios with only facilities for items mentioned in Article 166(8) of Regulation (EU) No 575/2013, the weighted average of the CCF shall be based on all the facilities.

For portfolios with only facilities which do not fall under the items mentioned in Article 166(8) of Regulation (EU) No 575/2013, the [field for?] weighted average of the CCF shall either be left blank or the word NULL shall be inserted.

For portfolios with facilities for i) items mentioned in Article 166(8) of Regulation (EU) No 575/2013 and ii) items which do not fall under the items mentioned in Article 166(8) of Regulation (EU) No 575/2013, the weighted average of the CCF shall be based only on facilities which fall under i).

Where the institution applies own estimates of CCFs for the items mentioned in Article 166(8) of Regulation (EU) No 575/2013, those CCFs shall be used to calculate the weighted average of the CCFs. Where the institution does not apply own estimates of CCFs for the items mentioned in Article 166(8) of Regulation (EU) No 575/2013, the regulatory CCFs shall be used.

The CCF shall be expressed as a value between 0 and 1.

110EADColumn 110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The exposure value shall be reported.120Collateral valueColumns 150 to 210 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The market value of the collateral shall be reported.130LGDColumns 230 and 240 of template8.1 of Annex I to Implementing Regulation (EU) No 680/2014

The EAD-weighted average of the LGD values of the exposures in the respective portfolio shall be reported.

Based on the institution’s permission from the competent authority, the LGDs shall be based on the institutions’ own estimates or on the regulatory values set out in Articles 161 and 230 of Regulation (EU) No 575/2013 In either case, the LGDs shall be those used for the calculation of the RWEA.

Exposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall be included.

The effect of measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013 shall be excluded.

The LGD shall be expressed as a value between 0 and 1.

140MaturityColumn 250 of template of Annex I to Implementing Regulation (EU) No 680/2014The EAD-weighted maturity shall be reported. It shall be expressed in number of days. That information shall not be reported for exposures for which the maturity is not an element in the calculation of risk weighted exposure amounts. That information shall not be reported for portfolios that represent exposures of the exposure class Retail.

150Expected Loss amountColumn 280 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The expected loss amount shall be reported.160Provisions defaulted exposuresColumns 050, 055 and 060 of template 9.2 of Annex I to Implementing Regulation (EU) No 680/2014The provisions for defaulted exposures shall be reported. These shall include all the general and specific credit risk adjustments for defaulted assets as referred to in in Article 110 of Regulation (EU) No 575/2013, irrespective of the threshold set for Template C 09.02 of Annex I of Regulation (EU) No 680/2014.170RWEAColumn 260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The risk-weighted exposure amount after applying the SME supporting factor shall be reported.180RWEA StandardisedPart Three, Title II, Chapter 2 of Regulation (EU) No 575/2013.RWEA Standardised is the hypothetical RWEA amount obtained by applying the standardised approach for credit risk to the exposures instead of the IRB approach.

C 103 – Details on exposures in High Default Portfolio

For portfolios referred to in Annex I with a collateralisation status different from Not applicable, the following information may be omitted where the approved model does not accommodate distinct LGD calculations for the secured and unsecured parts of an exposure: LGD (column 130), Expected Loss (column 150), RWEA (column 170), Loss rate latest year (column 210) and Loss rate past 5 years (column 220).

ColumnLabelLegal referenceInstructions010Portfolio IDThe instructions provided for column 010 of C 102 shall apply.040Number of obligorsThe instructions provided for column 040 of C 102 shall apply.060PDThe instructions provided for column 060 of C 102 shall apply.080Original exposure pre-conversion factorsThe instructions provided for column 080 of C 102 shall apply.090Exposure after CRM substitution effects pre-conversion factorsThe instructions provided for column 090 of C 102 shall apply.100CCFThe instructions provided for column 100 of C 102 shall apply.110EADThe instructions provided for column 110 of C 102 shall apply.

120Collateral valueThe instructions provided for column 120 of C 102 shall apply.130LGDThe instructions provided for column 130 of C 102 shall apply.140MaturityThe instructions provided for column 140 of C 102 shall apply.150Expected Loss amountThe instructions provided for column 150 of C 102 shall apply.160Provisions defaulted exposuresThe instructions provided for column 160 of C 102 shall apply.170RWEAThe instructions provided for column 170 of C 102 shall apply.180RWEA StandardisedThe instructions provided for column 180 of C 102 shall apply.190Default rate latest year

The default rate for the most recent year shall be reported. For that purpose the default rate shall be calculated as the ratio between i) the sum of the exposures (original exposure before applying the conversion factor measured at the reference date minus one year) that were non-defaulted exactly one year before the reference date and defaulted between the reference date minus one year and the reference date and ii) the sum of the exposures (original exposure before applying the conversion factor measured at the reference date minus one year) that were non-defaulted at the reference date minus one year.

New exposures that were generated during the year preceding the reference date shall not be included. Exposures that defaulted and were cured again during the year preceding the reference date shall be included in both the numerator and the denominator. Multiple defaults of the same obligor shall be included only once.

This information shall be reported for portfolio IDs relating to non-defaulted exposures only.

200Default rate past 5 years

The weighted average of the default rates observed in the last five years preceding the reference date shall be reported. The default rate calculation referred to in column 190 shall apply. The weights to be used are the non-defaulted exposures used in the calculation of the default rate in accordance with column 190.

Where the institution is not able to calculate a default rate for the past five years preceding the reference date, the institution shall develop a proxy using its longest history up to five years preceding the reference date and provide the documentation detailing the calculation to its competent authority.

That information shall be reported for portfolio IDs relating to non-defaulted exposures only.

210Loss rate latest year

The loss rate observed in the most recent year shall be only reported for portfolio IDs relating to non-defaulted and defaulted exposures.

For non-defaulted portfolios, the loss rate shall be the sum of credit risk adjustments and write-offs applied, within the year preceding the reference date, to exposures that were non-defaulted exactly one year before the reference date and which defaulted during the year preceding the reference date, divided by the sum of the EAD, measured exactly one year before the reference date, of the exposures that were non-defaulted exactly one year before the reference date and which defaulted during the year preceding the reference date.

The numerator of the loss rate shall incorporate all the credit risk adjustments and write-offs related to the exposures that defaulted within the year preceding the reference date, including the credit risk adjustments applied before the default date.

New exposures generated during the year preceding the reference date shall not be included. Exposures that defaulted and were cured again during the year preceding the reference date shall be included in the denominator of the loss rate and credit risk adjustments and write-offs on those exposures shall be considered in the numerator of the loss rate. Multiple defaults of the very same obligor shall be considered only once.

For defaulted portfolios, the loss rate shall be the sum of (i) credit risk adjustments to exposures that were already in default exactly one year before the reference date in the respective portfolio and (ii) credit risk adjustments and write-offs applied within the year preceding the reference date for these exposures, divided by the sum of the EAD, measured exactly one year before the reference date, of the exposures that were defaulted exactly one year before the reference date.

New defaults during the year preceding the reference date shall not be included. Exposures that cured again during the year preceding the reference date shall be included in the denominator of the loss rate and credit risk adjustments and write-offs on those exposures shall be included in the numerator of the loss rate. Multiple defaults of the very same obligor shall be included only once.

220Loss rate past 5 years

The EAD-weighted average of the loss rates observed in the last five years preceding the reference date shall be reported for portfolio IDs relating to non-defaulted and defaulted exposures only. The calculation of loss rate referred to in column 210 shall apply.

The loss rate of the previous five years shall not include changes in credit risk adjustments and write offs that occur after the first year of default.

An institution that is not able to calculate a loss rate for the previous five years shall develop a proxy using its longest history up to five years and provide to its competent authority documentation detailing the calculation.

250RWEA-

Institutions shall calculate and report RWEA- for portfolios that are referred to in Annex I, template 103 with the following portfolio ID:

CORP_ALL_0086_CT___Rx0_ALL

SMEC_ALL_0106_CT___Rx0_ALL

MORT_ALL_0094_CT___Rx0_ALL

SMOT_ALL_0106_CT___Rx0_ALL

RSMS_ALL_0106_CT___Rx0_ALL

RETO_ALL_0094_CT___Rx0_ALL

RQRR_ALL_0094_CT___Rx0_ALL

RWEA- shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the application of the PD- values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes.

PD- shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 005 of Template C 08.02 of Annex I to Regulation (EU) No 680/2014 shall be used (see Annex II to Regulation (EU) No 680/2014, C 08.01 column 010 and C 08.02 for instructions).

For each obligor grade, p– shall be the smallest positive value satisfying the equation

p– ф–1q p– 1 p–n DR1y where DR1y 0

and p– = 0 where DR1y = 0

where,

Φ–1the inverse function of the standard normal (cumulative) distribution;qthe confidence level set at 90 %;

DR1ythe case weighted default rate of the year preceding the reference date, i.e., the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date and which defaulted during the latest year, divided by the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date;nthe number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date.

For each obligor, PD- shall be equal to p–, where p– shall be calculated in accordance with the above formula for the obligor grade assigned to the obligor.

260RWEA+

Institutions shall calculate and report RWEA+ for the portfolios are referred to in Annex I, template 103 with the following portfolio ID:

CORP_ALL_0086_CT___Rx0_ALL

SMEC_ALL_0106_CT___Rx0_ALL

MORT_ALL_0094_CT___Rx0_ALL

SMOT_ALL_0106_CT___Rx0_ALL

RSMS_ALL_0106_CT___Rx0_ALL

RETO_ALL_0094_CT___Rx0_ALL

RQRR_ALL_0094_CT___Rx0_ALL

RWEA+ shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the application of the PD+ values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes.

PD+ shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 005 of Template C 08.02 of Annex I to Regulation (EU) No 680/2014 shall be used (see Annex II to Regulation (EU) No 680/2014, C 08.01 column 010 and C 08.02 for instructions).

For each obligor grade, p+ shall be the largest positive value satisfying the equation

p+ ф–1q p+ 1 p+n DR1y

In this equation,

Φ–1the inverse function of the standard normal (cumulative) distribution;qthe confidence level set at 90 %;DR1ythe case weighted default rate of the year preceding the reference date, i.e., the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date and which defaulted during the latest year, divided by the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date;nthe number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date.

For each obligor, PD+ shall be equal to p+, where p+ shall be calculated in accordance with the above formula for the obligor grade assigned to the obligor.

270RWEA- -

Institutions shall calculate and report RWEA—for the portfolios that are referred to in Annex I, template 103 with the following portfolio ID:

CORP_ALL_0086_CT___Rx0_ALL

SMEC_ALL_0106_CT___Rx0_ALL

MORT_ALL_0094_CT___Rx0_ALL

SMOT_ALL_0106_CT___Rx0_ALL

RSMS_ALL_0106_CT___Rx0_ALL

RETO_ALL_0094_CT___Rx0_ALL

RQRR_ALL_0094_CT___Rx0_ALL

RWEA- - shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the application of the PD- - values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes.

PD- - shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 005 of Template C 08.02 of Annex I to Regulation (EU) No 680/2014 shall be used (see Annex II to Regulation (EU) No 680/2014, C 08.01 column 010 and C 08.02 for instructions).

For each obligor grade, p– – shall be the smallest positive value satisfying the equation

p- - ф–1q p- - 1 p- -n DR5y where DR5y 0

and p–: = 0 where DR5y = 0,

where,

Φ–1the inverse function of the standard normal (cumulative) distribution;qthe confidence level set at 90 %;DR5ythe default rate of the 5 latest years for the obligor grade, calculated as the simple average of five 1-year case-weighted default rates;nthe number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date.

For each obligor, PD- - shall be equal to p– –, where p– – shall be calculated in accordance with the above formula for the obligor grade assigned to the obligor.

280RWEA++

Institutions shall calculate and report RWEA++ for the portfolios referred to in Annex I, template 103 with the following portfolio ID:

CORP_ALL_0086_CT___Rx0_ALL

SMEC_ALL_0106_CT___Rx0_ALL

MORT_ALL_0094_CT___Rx0_ALL

SMOT_ALL_0106_CT___Rx0_ALL

RSMS_ALL_0106_CT___Rx0_ALL

RETO_ALL_0094_CT___Rx0_ALL

RQRR_ALL_0094_CT___Rx0_ALL

RWEA++ shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the application of the PD++ values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes.

PD++ shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 005 of Template C 08.02 of Annex I to Regulation (EU) No 680/2014 shall be used (see Annex II to Regulation (EU) No 680/2014, C 08.01 column 010 and C 08.02 for instructions).

For each obligor grade, p++ shall be the largest positive value satisfying the equation

p+ + ф–1q p+ 1 p+n DR5y

where,

Φ–1the inverse function of the standard normal (cumulative) distribution;qthe confidence level set at 90 %;DR5ythe default rate of the 5 latest years for the obligor grade, calculated as the simple average of five 1-year case-weighted default rates;nthe number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date.

For each obligor, PD++ shall be equal to p++, where p++ shall be calculated in accordance with the above formula for the obligor grade assigned to the obligor.

C 105.01 – Definition of internal models

ColumnLabelLegal referenceInstructions010Internal model IDThe internal model ID assigned by the reporting institution shall be reported. That internal model ID is a row identifier that shall be unique for each row in the table.020Model nameThe model name assigned by the reporting institution shall be reported.030IRBA Risk parameter

The IRB approach risk parameter shall be one of the following:

(a) PD;

(b) LGD;

(c) CCF.

040EADColumn 110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The aggregate exposure value of the transactions in the scope of application of the specific model shall be reported.050EAD weighted average default rate for calibrationThe EAD-weighted average of the annual default rates, where used in the calibration of the PD models, shall be reported. That information shall be completed only for PD models. The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported.060Case weighted average default rate for calibration

The simple average of the annual case-weighted default rates used in the calibration of the PD models shall be reported. That information shall be completed only for PD models.

The data used in the calibration of the model parameters shall be used. If no internal data exist and the calibration is based on external data, then the external data shall be reported.

070Long-run PDThe central tendency used by the institution in the calibration of the models that incorporates any prudent adjustment to the simple case weighted average of the annual default rates used in the calibration of the PD models shall be reported. That information shall be completed only for PD models.080Cure rate defaulted asset

The cure rate defaulted asset shall be the percentage of defaulted outstanding that returns in non-defaulted status over a twelve months period.

An institution that does not calculate cure rates for a given model shall calculate a proxy for cure rates. The institution shall report the use of a proxy to the competent authority. That information shall be completed only for LGD models.

090Recovery rate not cured foreclosed assets

The case-weighted average recovery rate for not cured defaults included in the time series used by the institution for the calibration of the LGD models on non-defaulted assets shall be reported.

The data used in the calibration of the model parameters shall be used. If no internal data exist and the calibration is based on external data, then the external data shall be reported. An institution that does not have a specific recovery rate for non-cured defaults due to an incomplete recovery procedure, shall calculate a proxy taking into account observed recoveries as well as the estimations of recoveries for incomplete workout. The institution shall report the use of a proxy to the competent authority. This information shall be completed only for LGD models.

100Recovery period length not cured foreclosed assets

The case-weighted average length of the recovery period (from the start of the default status to the completion date of the recovery procedures) for the not cured defaults included in the time series used by the institution for the calibration of the LGD models on non-defaulted assets shall be reported. The case-weighted average length shall be expressed in number of days.

The data used in the calibration of the model parameters shall be used. If no internal data exist and the calibration is based on external data, then the external data shall be reported.

An institution that does not have a specific recovery period length for not cured defaults, due to an incomplete recovery procedure, shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority. That information shall be completed only for LGD models.

110Joint decisionArticle 20(2)(a) of Regulation (EU) No 575/2013The institution shall report whether or not a joint decision on prudential requirements exists between the consolidating and the host competent authority regarding the permission to use the IRB approach for the calculation of the prudential requirements for the exposures held by the subsidiaries of the institutions in the reported benchmarking portfolios.120Consolidating supervisorArticle 20 of Regulation (EU) No 575/2013The country ISO code of the country of origin of the competent authority responsible for the consolidated supervision of the institution using an IRB approach shall be reported.130RWEAColumn 260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The risk-weighted exposure amount after applying the SME supporting factor for all transactions in the scope of application of the specific model shall be reported.

C 105.02 – Mapping of internal models to portfolios

ColumnLabelLegal referenceInstructions010Portfolio IDColumn 010 of templates 102 and 103The code assigned to the portfolio in accordance with Annex II for which the institution reports the results of the calculation shall be reported. Columns 010 and 020 are a composite row identifier and together shall be unique for each row in the table.020Internal model IDColumn 010 of template 105.01The internal model ID assigned by the reporting institution shall be reported.030EADColumn 110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The exposure value of the transactions in the scope of application of the specific model in accordance with column 020 for the specific portfolio in accordance with column 010 shall be reported. Where all transactions of a given portfolio are treated with one specific model, the exposure value shall be identical to the amount reported for the same portfolio in column 110 of template 102 or 103, as applicable.040RWEAColumn 260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The risk-weighted exposure amount after applying the SME supporting factor for the transactions in the scope of application of the specific model, in accordance with column 020, for the specific portfolio in accordance with column 010, shall be reported. Where all transactions of a given portfolio are treated with one specific model, the amount shall be identical to the amount reported for the same portfolio in column 170 of template 102 or 103, as applicable.

C 105.03 – Mapping of internal models to countries

ColumnLabelLegal referenceInstructions005Row IDThis code is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.010Internal model IDColumn 010 of template 105.01The internal model ID assigned by the reporting institution shall be reported. Where one internal model ID is associated with several countries, separate rows shall be reported for each combination of Internal model ID and Location of institution. Columns 010 and 020 are a composite row identifier and their combination shall be unique for each row in the table.020Location of institutionArticle 20 of Regulation (EU) No 575/2013The country ISO code of the legal residence of each subsidiary where the IRB exposures reported for each benchmarking portfolio are booked shall be reported, irrespective of the existence of any permission granted by the host supervisor to apply an IRB approach.

Annex

ANNEX V

Annex

ANNEX V

MARKET RISK BENCHMARK INSTRUMENTS AND PORTFOLIOS

1. Instructions

2725

1. Instruments

2730

1. Individual Portfolios

2740

1. Aggregated Portfolios

2744

1. Additional specifications for instruments

2745

Section 1: Instructions

(a) For the purposes of this Annex, the following shall apply:

(i) booking date means the date and time on which institutions book the transactions for the purposes of the benchmarking exercise;

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

(iii) IMV reference date means the date and time with reference to which institutions shall determine the IMV of the transactions in the benchmarking portfolio;

(iv) IMV remittance date means the date by which institutions shall submit the results of the IMV of the transactions in the benchmarking portfolio;

(v) VaR means the Value at Risk;

(vi) sVaR means the Stressed Value at Risk;

(vii) IRC means the Incremental Risk Charge;

(viii) CTP means the Correlation Trading Portfolio;

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

(x) Risk Measures (RM) means the value of the VaR, sVaR, and when required IRC and APR for the portfolios, as set out in Section 3 of this Annex, between the RM initial and RM final reference date;

(xi) RM initial reference date means the date on which institutions shall start to compute the RM values;

(xii) RM final reference date means the date on which institutions shall finish to compute the RM values;

(xiii) RM remittance date means the date by which institutions shall submit the results of the RM of the transactions in the benchmarking portfolio;

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

(xv) ATM means at the money in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative;

(xvi) OTM means out of the money in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative;

(xvii) ITM means in the money in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative;

(xviii) long means bought and short means sold;

(xix) CDS means Credit Default Swaps;

(xx) for credit default swaps, long means bought protection and short means sold protection;

(xxi) MLN means millions;

(xxii) OTC means over-the-counter.

(b) The following dates shall apply for the benchmarking exercise:

(i) the booking date shall be 19 September 2019;

(ii) the IMV reference date shall be 26 September 2019 (at 5:30 pm CET - 4.30 pm GMT);

(iii) the IMV remittance date shall be 4 October 2019;

(iv) the RM initial reference date shall be 20 January 2020;

(v) the RM final reference date shall be 31 January 2020;

(vi) the RM remittance date shall be 28 February 2020.

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

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

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

(i) the risk factors used to calculate the instrument’s IMV;

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

(iii) the risk factors included in the VaR model for the instrument;

(iv) the risk factors included in the VaR model that are also valuation inputs for the IMV of the instrument;

(v) the VaR model specifics in relation to the instrument;

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

(vii) the aspects referred to in points (h), (i), (l), (n), (o), (p), (w), (x), (z), (hh) and (ll).

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

(i) concise VaR model descriptions;

(ii) revaluation methods applied;

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

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

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

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

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

(j) The 10-day 99 % VaR shall be calculated on a daily basis. sVaR and the IRC may be calculated on a weekly basis. The sVaR and IRC shall be based on end-of-day prices for each Friday in the time window of the benchmarking exercise.

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

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

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

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

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

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

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

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

(s) All OTC options shall be treated as follows:

(i) as American for single name equities and commodities;

(ii) as European for equity indices, foreign exchange and swaptions.

(t) All OTC options shall be considered naked so that the premium shall be excluded from the initial market valuation.

(u) Regarding the CTPs, institutions that have permission to use the APR model for CTPs shall provide details about their most relevant assumptions, market standards and conventions regarding the CTP instruments referred to in points 74 and 75 of Section 2, including the hedge ratios they have calculated to make the CTP instruments CS01 neutral at the booking date.

(v) The IMV for each instrument shall be provided in the base currency specified in Section 2 for that instrument.

(w) For positions denominated in a common base currency but composed of one or more instruments denominated in a different currency, the result shall be converted into the reported base currency of the portfolio, using the appropriate foreign exchange spot rate as per standard market practice. The converted result shall be explained in the explanatory note referred to in point (d) of this Section.

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

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

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

(aa) The Euro Interbank Offered Rate (EURIBOR) shall mean the rate calculated by the European Money Markets Institute at different maturities for EURO interbank term deposits. The London Interbank Offered Rate (LIBOR) shall mean the rate calculated by the Intercontinental Exchange at different maturities for interbank term deposit in different currencies.

(bb) Risk measures for the portfolios referred to in Section 3 and Section 4, together with the Present Value, shall be computed from the RM initial reference date to the RM final reference date. Institutions shall submit the results of those calculations to their competent authority by RM remittance date.

(cc) IMV shall be reported for each instrument. Risk measures and Present Value, where applicable, shall be reported for each portfolio, both individual and aggregated. All results shall be reported with respect to the base currency.

(dd) Only institutions which have been granted permission to model specific risk shall report credit spread portfolios. For interest rate portfolios which include risk as part of certain instruments, individual and aggregated portfolios shall be modelled by institutions which have been granted the permission to model the general interest risk as well as institutions which have been granted the permission to model the general and the specific interest risk.

(ee) The results for the aggregated portfolios shall be submitted only where the results of all components are submitted.

(ff) In Section 2 (Instruments) Year T shall mean 2020 and Year T + X shall mean 2020 + X, with X as specified in Section 2 of this Annex.

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

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

(ii) Where no date is specified, market convention, where available, shall be used. If for example there is a market convention that the day of expiry/maturity is the 3rd Friday of the month, then June Year T shall mean the 3rd Friday of June of the year T;

(iii) At the end of the month, when it is specified End of, it shall mean the last calendar day in the month;

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

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

(i) Coupon frequency: Quarterly;

(ii) Coupon(bps): 100;

(iii) Day count: ACT/360;

(iv) ISDA Definitions year: 2014;

(v) Restructuring clause: Modified-Modified Restructuring (MMR);

(vi) Maturity: December Year T+4;

(vii) Debt type: Senior;

(viii) Tenor: 5 Year;

(ix) Effective date as booking date;

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

(ii) The IMV for an index future shall be reported as the market price at the IMV reference date, multiplied by the number of contracts.

(jj) A number of 100 contracts, for instruments 1, 3-17, as referred to in Section 2 of this Annex, shall be used uniformly for the purposes of calculating IMV.

(kk) For Credit Spread Instruments, instruments 52-67 and 69, as referred to in Section 2 of this Annex, standard ISDA definitions and standard restructuring clauses shall apply.

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

Section 2: Instruments

Institutions shall provide IMV, in accordance with the instructions laid down in Section 1 of this Annex, for the following financial instruments:

Equity

1. Long EURO STOXX 50 index (Ticker: SX5E) Future (1 point equals movement of EUR 10).

Exchange: Eurex

Expiry date: June Year T

Base currency: EUR

1. Long 10000 BAYER (Ticker: BAYN GR) shares.

Exchange: Xetra

Base currency: EUR

1. Short Future BAYER (Ticker: BAYN GR) (1 contract = 100 shares).

Exchange: Eurex

Expiry date: June Year T

Base currency: EUR

1. Short Future, PEUGEOT PSA (Ticker: UG FP) (1 contract = 100 shares).

Exchange: Euronext

Expiry date: June Year T

Base currency: EUR

1. Short Future, ALLIANZ (Ticker: ALV GR) (1 contract = 100 shares).

Exchange: Eurex

Expiry date: June Year T

Base currency: EUR

1. Short Future BARCLAYS (Ticker: BARC LN) (1 contract = 100 shares).

Exchange: Eurex

Expiry date: June Year T

Base currency: GBP

1. Short Future DEUTSCHE BANK (Ticker: DBK GR) (1 contract = 100 shares).

Exchange: Eurex

Expiry date: June Year T

Base currency: EUR

1. Short Future CRÉDIT AGRICOLE (Ticker: ACA FP) (1 contract = 100 shares).

Exchange: Euronext

Expiry date: June Year T

Base currency: EUR

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

Expiry date: June Year T

Base currency: EUR

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

Expiry date: December Year T

Base currency: EUR

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

Expiry date: June Year T

Base currency: USD

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

Expiry date: June Year T

Base currency: USD

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

Expiry date: December Year T

Base currency: EUR

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

Expiry date: June Year T

Base currency: EUR

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

Expiry date: December Year T

Base currency: GBP

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

Expiry date: December Year T

Base currency: GBP

1. Short Future NIKKEI 225 (Ticker NKY) (1 point equals 500 JPY).

Exchange: japan exchange

Expiry date: 11 June Year T

Base currency: JPY

1. Auto-callable Equity product

Long position

Booking on Booking date

Notional amount (Capital): EUR 1000000

Underlying: Index EURO STOXX 50 (Ticker: SX5E)

Base currency: EUR

Maturity: 5 years

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

Coupon: 6 %

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

Barrier coupon payment 60 % of autocall level

Protection barrier: 55 % of autocall level

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

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

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

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

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

IR

1. 5-year IRS EUR – Receive fixed rate and pay floating rate

Fixed leg: receive annually

Floating rate: 3-month EURIBOR, pay quarterly

Notional: EUR 10000000

Roll convention and calendar: standard

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

Maturity: September Year T+4.

Base currency: EUR

1. Two-year EUR swaption on 5-year interest rate swap.

Notional: EUR 10000000.

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

Swaption with maturity of two years (Booking date + 2 years) on IRS defined in instrument n. 19

Maturity of the underlying swap: Booking date + 7 years

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

The strike price is based on the IRS rate defined in instrument n. 19 (i.e. the strike price is the fixed rate as IRS defined in instrument n. 19)

Base currency: EUR

1. 5-year IRS USD. Receive fixed rate and pay floating rate.

Fixed rate: receive annually

Floating rate: 3-month USD LIBOR rate, pay quarterly

Notional: USD 10000000

Roll convention and calendar: standard

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

Maturity date: September Year T+4.

Base currency: USD

1. 2-year IRS GBP. Receive fixed rate and pay floating rate.

Fixed rate: receive annually

Floating rate: 3-month GBP LIBOR rate, pay quarterly

Notional: GBP 10000000

Roll convention and calendar: standard

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

Maturity: Booking date + 2 years

Base currency GBP

1. Long position on Cap and Floor 10-year UBS AG (Ticker: UBSG VX) Notes.

Notional (Principal) Amount: USD 1000000.

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

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

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

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

Interest Payment AmountThe amount of interest to be paid on the Notes for an Interest Period shall be equal to the product of (a) the principal amount of the Notes, (b) the Applicable Interest Rate for that Interest Period and (c) a fraction, the numerator of which is the number of days in the Interest Period (calculated on the basis of a 360-day year of twelve 30-day months) and the denominator of which is 360.Trade and Settlement DateBooking dateInterest Payment DatesQuarterly, on the Booking date + 3 months, Booking date + 6 months, Booking date + 9 months and Booking date + 1 year, commencing on Booking date + 3 months, during the term of the Notes (subject to adjustments, as described herein).

Maturity Date

Currency

Booking date + 10 years

USD

Daycount Basis30/360Business Day ConventionFollowing UnadjustedCoupon Determination Date

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

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

1. Long GERMANY GOVT EUR 5000000 (ISIN DE0001135085)

Maturity: 4 July 2028

Base currency: EUR

1. Short GERMANY GOVT EUR 2000000 (ISIN DE0001102358))

Maturity: 15 May 2024

Base currency: EUR

1. Long ITALY GOVT EUR 5000000 (ISIN IT0005246134)

Maturity: 15 May 2028

Base currency: EUR

1. Long ITALY GOVT EUR 1000000 (ISIN IT0004953417)

Maturity: 1 March 2024

Base currency: EUR

1. Long SPAIN GOVT EUR 5000000 (ISIN ES00000124C5)

Maturity: 31 October 2028

Base currency: EUR

1. Short FRANCE GOVT EUR 5000000 (ISIN FR0011317783)

Maturity: 25 October 2027

Base currency: EUR

1. Short GERMANY GOVT EUR 10000000 (ISIN DE0001102390)

Maturity: 15 February 2026

Base currency: EUR

1. Long UNITED KINGDOM GOVT GBP 5000000 (ISIN GB0002404191)

Maturity: 7 December 2028

Base currency: GBP

1. Long PORTUGAL GOVT EUR 5000000 (ISIN PTOTETOE0012)

Maturity: 21 July 2026

Base currency: EUR

1. Short UNITED STATES GOVT USD 10000000 (ISIN US9128283P31)

Maturity: 31 December 2024

Base currency USD

1. Long BRAZIL GOVT 5000000 USD (ISIN US105756BT66))

Maturity: 5 January 2024

Base currency: USD

1. Long MEXICO GOVT 5000000 USD (ISIN US91086QBC15)

Maturity: 2 October 2023

Base currency USD

1. 10-year IRS EURO – Receive floating rate and pay fixed rate.

Fixed leg: pay annually.

Floating rate: 3-month EURIBOR, receive quarterly

Notional: EUR 10000000

Roll convention and calendar: standard

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

Maturity: Booking date + 10 years

Base currency: EUR

1. 5-year IRS EURO – Receive floating rate and pay fixed rate.

Fixed leg: pay annually

Floating rate: 6-month EURIBOR, receive every 6 months

Notional: EUR 10000000

Roll convention and calendar: standard

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

Maturity: Booking date + 5 years

Base currency: EUR

FX

1. 6-month USD/EUR forward contract. Cash settled. Notional USD 10000000 USD purchased at the EUR/USD ECB reference spot rate as of end of the booking date

Base currency: EUR

1. 6-month EUR/GBP forward contract. Cash settled. Notional 10000000 GBP purchased at the EUR/GBP ECB reference spot rate as of end of the booking date

Base currency: EUR

1. Long 1000000 USD Cash.

Cash position

Base currency: EUR

1. Long Call option. EUR 10000000. Equivalent amount based on EUR/USD ECB reference spot rate as of end of the booking date

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

Expiry date: Booking date + 1 year

Base currency: EUR

1. Long Call option. EUR 10000000. Equivalent amount based on EUR/USD ECB reference spot rate as of end of the booking date

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

Expiry date: Booking date + 1 year

Base currency: EUR

1. Short Call option. EUR 10000000. Equivalent amount based on EUR/USD ECB reference spot rate as of end of the booking date

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

Expiry date: Booking date + 1 year

Base currency: EUR

1. Short Call option. EUR 10000000. Equivalent amount based on EUR/GBP ECB reference spot rate as of end of the booking date

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

Expiry date: Booking date + 1 year

Base currency: EUR

1. Long Put option. EUR 10000000. Equivalent amount based on EUR/JPY ECB reference spot rate as of end of the booking date

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

Expiry date: Booking date + 1 year

Base currency: EUR

1. Short Put option. EUR 10000000. Equivalent amount based on EUR/AUD ECB reference spot rate as of end of the booking date

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

Expiry date: Booking date + 1 year

Base currency: EUR

1. 5-year Mark to Market (MtM) Cross Currency EUR/USD SWAP. Receive USD and pay EUR.

EUR: 3-month EURIBOR, pay quarterly

USD: 3-month USD LIBOR rate, receive quarterly

Notional EUR 10000000 adjusted on a quarterly basis

Roll convention and calendar: standard

Effective date as booking date

Maturity: Booking date + 5 years

Base currency: EUR

See also Section 5 – Instrument additional specifications

Commodities

1. Long 3500000 6-month ATM London Gold Forwards contracts (1 contract = 0,001 troy ounces, notional: 3500 troy ounces).

Cash Settlement

Base currency: USD

1. Short 3500000 12-month ATM London Gold Forwards contracts (1 contract = 0,001 troy ounces, notional: 3500 troy ounces).

Cash Settlement

Base currency: USD

1. Long 30 contracts of 6-month WTI Crude Oil Call option with strike equals 12-month end-of-day forward price on the booking date (1 contract = 1000 barrels. Total notional 30000 barrels).

Cash Settlement

Base currency USD

1. Short 30 contracts of 6-month WTI Crude Oil Put option with strike equals 12-month end-of-day forward price on the booking date (1 contract = 1000 barrels. Total notional 30000 barrels).

Cash Settlement

Base currency USD

Credit Spread

1. Long (i.e. Buy protection) USD 1000000 CDS on PORTUGAL

Restructuring clause: FULL

Base currency: USD

1. Long (i.e. Buy protection) USD 1000000 CDS on ITALY

Restructuring clause: FULL

Base currency: USD

1. Short (i.e. Sell protection) USD 1000000 CDS on SPAIN

Restructuring clause: FULL

Base currency: USD

1. Long (i.e. Buy protection) USD 1000000 CDS on MEXICO

Restructuring clause: FULL

Base currency: USD

1. Long (i.e. Buy protection) USD 1000000 CDS on BRAZIL

Restructuring clause: FULL

Base currency: USD

1. Long (i.e. Buy protection) USD 1000000 CDS on UK

Restructuring clause: FULL

Base currency: USD

1. Short (i.e. Sell protection) EUR 1000000 CDS on AXA (Ticker CS FP)

Base currency: EUR

1. Long (i.e. Buy protection) EUR 1000000 CDS on AXA (Ticker CS FP)

Maturity: December Year T+2

Base currency: EUR

1. Short (i.e. Sell protection) EUR 1000000 CDS on Aviva (Ticker AV LN)

ISDA Definitions year 2003

Base currency: EUR

1. Long (i.e. Buy protection) EUR 1000000 CDS on Aviva (Ticker AV LN)

ISDA Definitions year 2003

Maturity: December Year T+2

Base currency: EUR

1. Short (i.e. Sell protection) EUR 1000000 CDS on Vodafone (Ticker VOD LN)

Base currency: EUR

1. Short (i.e. Sell protection) EUR 1000000 CDS on ENI SpA (Ticker ENI IM)

Base currency: EUR

1. Short (i.e. Sell protection) USD 1000000 CDS on Eli Lilly (Ticker LLY US)

Restructuring clause: No restructuring (XR14)

Base currency: USD

1. Short (i.e. Sell protection) EUR 1000000 CDS on Unilever (Ticker UNA NA)

Base currency: EUR

1. Long (i.e. Buy protection) EUR 1000000 CDS on Total SA (Ticker FP FP)

Base currency: EUR

1. Long (i.e. Buy protection) EUR 1000000 CDS on Volkswagen Group (Ticker VOW GR)

Base currency: EUR

1. Long position on TURKEY Govt. notes USD 1000000 (ISIN US900123CF53)

Maturity: 22 March 2024

Base currency: USD

1. Long (i.e. Buy protection) USD 1000000 CDS on TURKEY. Effective date as booking date.

Restructuring clause: FULL

Base currency: USD

1. Long position on AXA notes EUR 1000000 (ISIN FR0011524248)

Maturity: 29 January 2024

Base currency: EUR

1. Long position on Volkswagen Group notes EUR 1000000 (ISIN XS1586555861)

Maturity: 2 October 2023

Base currency: EUR

1. Short position Volkswagen Group notes EUR 1000000 (ISIN XS1586555606)

Maturity: 30 March 2021

Base currency: EUR

1. Long position on Total SA notes EUR 1000000 (ISIN XS0830194501)

Maturity: 15 March 2023

Base currency: EUR

CTP

1. Short position in spread hedged Super Senior tranche of iTraxx Europe index on-the-run series

Attachment point: 25 %

Detachment point: 100 %

Notional: EUR 5000000

Maturity: 5 years

Running spread 100 bps. The portfolio shall be constructed by hedging the index tranche with the iTraxx Europe index on-the-run series to achieve a zero CS01 as of booking date. No further re-hedging is required.

Base currency: EUR

1. Long (i.e. Buy protection) USD 1000000 First to Default Basket Swap on {Brazil, Mexico and Turkey}. Effective date as booking date

Restructuring clause: FULL

Maturity: September Year T+4

Base currency: USD

Section 3: Individual Portfolios

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

Portfolio

Combination of instruments:

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

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

Base CurrencyRisk measures requiredEQUITY11 – 1000 instrumentsEURVaR and Stressed VaR2

3 – 1000 instruments

4 – 1000 instruments

5 – 1000 instruments

EURVaR and Stressed VaR3

13 – 100 instruments

10 – 100 instruments

EURVaR and Stressed VaR4

15 – 100 instruments

16 – 100 instruments

GBPVaR and Stressed VaR517 – 1000 instrumentsJPYVaR and Stressed VaR6

9 – 500 instruments

10 – 500 instruments

EURVaR and Stressed VaR718 – 1 instrumentEURVaR and Stressed VaR8

11 – 1000 instruments

12 – 1000 instruments

USDVaR and Stressed VaR9

2 – 1 instruments

14 – 100 instruments

EURVaR and Stressed VaR10

6 – 1000 instruments

7 – 1000 instruments

8 – 1000 instruments

EURVaR and Stressed VaR1119 – 1 instrumentEURVaR and Stressed VaR1220 – 1 instrumentEURVaR and Stressed VaR1321 – 1 instrumentUSDVaR and Stressed VaR1422 – 1 instrumentGBPVaR and Stressed VaR1523 – 1 instrumentUSDVaR; Stressed VaR; IRC

16

24 – 1 instrument

25 – 1 instrument

EURVaR; Stressed VaR; IRC17

24 – 1 instrument

25 – 1 instrument

26 – 1 instrument

EURVaR; Stressed VaR; IRC18

24 – 1 instrument

25 – 1 instrument

26 – 1 instrument

27 – 1 instrument

28 – 1 instrument

29 – 1 instrument

30 – 1 instrument

EURVaR; Stressed VaR; IRC19

19 – 1 instrument

36 – 1 instrument

EURVaR and Stressed VaR;20

19 – 1 instrument

37 – 1 instrument

EURVaR and Stressed VaR;21

36 – 1 instrument

37 – 1 instrument

EURVaR and Stressed VaR;22

19 – 1 instrument

20 – 1 instrument

EURVaR and Stressed VaR;2331 – 1 instrumentGBPVaR; Stressed VaR; IRC24

33 – 1 instrument

34 – 1 instrument

35 – 1 instrument

USDVaR; Stressed VaR; IRC25

21 – 1 instrument

33 – 1 instrument

USDVaR and Stressed VaR26

26 – 1 instrument

27 – 1 instrument

28 – 1 instrument

32 – 1 instrument

EURVaR; Stressed VaR; IRC

27

38 – 1 instrument

39 – 1 instrument

EURVaR and Stressed VaR28

40 – 1 instrument

41 – 1 instrument

EURVaR and Stressed VaR29

41 – 1 instrument

42 – 1 instrument

43 – 1 instrument

EURVaR and Stressed VaR30

44 – 1 instrument

45 – 1 instrument

EURVaR and Stressed VaR3146 – 1 instrumentEURVaR and Stressed VaR3247 – 1 instrumentEURVaR and Stressed VaR33

48 – 1 instrument

49 – 1 instrument

USDVaR and Stressed VaR34

50 – 1 instrument

51 – 1 instrument

USDVaR and Stressed VaR35

48 – 1 instrument

51 – 1 instrument

USDVaR and Stressed VaR36

52 – 1 instrument

53 – 1 instrument

54 – 1 instrument

USDVaR; Stressed VaR; IRC37

55 – 1 instrument

56 – 1 instrument

USDVaR; Stressed VaR; IRC38

58 – 1 instrument

59 – 1 instrument

EURVaR; Stressed VaR; IRC39

54 – 1 instrument

55 – 1 instrument

USDVaR; Stressed VaR; IRC40

60 – 1 instrument

61 – 1 instrument

EURVaR; Stressed VaR; IRC

41

62 – 1 instrument

63 – 1 instrument

65 – 1 instrument

66 – 1 instrument

67 – 1 instrument

EURVaR; Stressed VaR; IRC42

68 – 1 instrument

69 – 1 instrument

USDVaR; Stressed VaR; IRC43

70 – 1 instrument

71 – 1 instrument

73 – 1 instrument

EURVaR; Stressed VaR; IRC44

71 – 1 instrument

72 – 1 instrument

EURVaR; Stressed VaR; IRC45

70 – 1 instrument

59 – 1 instrument

EURVaR; Stressed VaR; IRC46

66 – 1 instrument

73 – 1 instrument

EURVaR; Stressed VaR; IRC4764 – 1 instrumentUSDVaR; Stressed VaR; IRC48

71 – 1 instrument

72 – 1 instrument

67 – 1 instrument

EURVaR; Stressed VaR; IRC49

57 – 1 instrument

54 – 1 instrument

USDVaR; Stressed VaR; IRC50

53 – 1 instrument

27 – 1 instrument

EURVaR; Stressed VaR; IRC51

55 – 5 instruments

35 – 1 instrument

USDVaR; Stressed VaR; IRC52

56 – 5 instruments

34 – 1 instrument

USDVaR; Stressed VaR; IRC53

55 – 5 instruments

35 – 1 instrument

56 – 5 instruments

34 – 1 instrument

USDVaR; Stressed VaR; IRC

5474 – 1 instrumentEURVaR; Stressed VaR; APR5575 – 1 instrumentUSDVaR; Stressed VaR; APR56

75 – 5 instruments

68 – 5 instruments

34 – 1 instrument

35 – 1 instrument

USDVaR; Stressed VaR; APR

Section 4: Aggregated Portfolios

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

Aggreg. PortfolioDescriptionCombination of Individual Portfolios (individual portfolios as stated by their numbers as referred to in Section 3 of this Annex)Base CurrencyRisk Measures requested57ALL-IN no-CTP1, 2, 6, 7, 9, 11, 12, 18, 21, 27, 28, 30, 31, 32, 33, 34, 38, 41, 43EURVaR; Stressed VaR; IRC58EQUITY Cumulative1, 2, 6, 7, 9EURVaR and Stressed VaR59IR Cumulative11, 12, 18, 21EURVaR and Stressed VaR60FX Cumulative27, 28, 30, 31, 32EURVaR and Stressed VaR61Commodity Cumulative33, 34USDVaR and Stressed VaR62Credit Spread cumulative38, 41, 43EURVaR; Stressed VaR; IRC63CTP cumulative EUR54, 56EURVaR; Stressed VaR; APR

Section 5: Additional specifications for instruments

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

Instrument:47Description:

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

Receive USD and pay EUR

Notional: EUR 10000000, USD (EUR 10000000 FX USD/EUR)

Pay:Float leg 2Rec:Float leg 1Notional Exchange and Reset:On effective date and maturity date. Further, on every coupon payment date, an additional payment corresponding to adjustment of the USD notional on Float leg 2 is made. The USD notional is adjusted to equal 10000000 EUR, at spot rate 2 business days in advance of each payment date.Cash balanceIncludedFloat Leg 1Notional:10000000 EUR converted to USD at spot on effective dateEffective Date:Booking dateMaturity Date:Booking date + 5 yearsPayment Date Generation:Forward from Effective DateCoupon Payment Frequency:QuarterlyCoupon Rate:3000000 USD LIBOR + 0 bps.Coupon Rate Reset Freq:QuarterlyCoupon Rate Fixing Convention:2 days in advance of each coupon periodCoupon Rate Compounding Frequency:Simple InterestDay Count:ACT/360Payment Business Day:LON, NYC, TARGETPayment Business Day Convention:Modified FollowingNotional Reset Business Day:LON, NYC, TARGETNotional Reset Business Day Convention:PreviousCoupon Rate Reset Business Day:LON, NYC, TARGET

Coupon Rate Reset Business Day Convention:PreviousFloat Leg 2Notional:10000000 EUREffective Date:Booking dateMaturity Date:Booking date + 5 yearsPayment Date Generation:Forward from Effective DateCoupon Payment Frequency:QuarterlyCoupon Rate:3000000 EURIBOR + 0 bps.Coupon Rate Reset Frequency:QuarterlyCoupon Rate Fixing Convention:2 days in advance of each coupon periodCoupon Rate Compounding Frequency:Simple InterestDay Count:ACT/360Payment Business Day:LON, NYC, TARGETPayment Business DayModified FollowingNotional Reset Business Day:LON, NYC, TARGETNotional Reset Business Day Convention:PreviousCoupon Rate Reset Business Day:LON, NYC, TARGETCoupon Rate Reset Business Day Convention:Previous

Annex

ANNEX VI

Annex

ANNEX VI

RESULTS SUPERVISORY BENCHMARK PORTFOLIOS

TEMPLATE RELATED INSTRUCTIONS

2748

C 106.00 – Initial Market Valuation and exclusion justification

2748

C 107.01 – VaR & sVaR Non-CTP. Details

2749

C 107.02 – VaR, sVaR and PV - Non-CTP. Base Currency Results

2752

C 108.00 – Profit & Loss Time Series

2753

C 109.01 – IRC. Details of the Model

2754

C 109.02 – IRC. Details by Portfolio

2755

C 109.03 – IRC. Amount by Portfolio/Date

2756

C 110.01 – CT. Details of the Model

2757

C 110.02 – CT. Details by Portfolio

2758

C 110.03 – CT. APR by Portfolio/Date

2759

TEMPLATE RELATED INSTRUCTIONS

C 106.00 – Initial Market Valuation and exclusion justification

ColumnLabelLegal referenceInstructions010Instrument numberSection 2 of Annex VThe instrument number taken from Annex V shall be reported.020Instrument modelled for VaR and sVaR (YES/NO)Either YES or NO shall be reported.030Instrument modelled for IRC (YES/NO)Either YES or NO shall be reported.040Instrument modelled for correlation trading (YES/NO)Either YES or NO shall be reported.050Rationale for exclusionArticle 3 (2) of Commission Implementing Regulation (EU) 2016/2070

One of the following shall be reported:

(a) Model not authorised by regulator;

(b) Instrument or underlying not authorised internally;

(c) Underlying or modelling feature not contemplated internally;

(d) Other rationale for exclusion. Please, explain that rationale in column 060.

060Free text boxAn institution may provide any additional information in this column.070Initial market valuation (IMV)

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

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

C107.01 - VaR & sVaR Non-CTP. Details.

RowLabelLegal referenceInstructions010-060VaR010Methodology

One of the following shall be reported in column 010:

(a) Historical simulation;

(b) Monte Carlo simulation;

(c) Parametric methodology;

(d) Combination / other methodology (please specify).

The institution shall use column 020 to clarify the answer given in column 010. Where option (d) was selected in column 010, the institution shall provide details in column 020.

020Computation of 10-day horizonArticle 365(1) of Regulation (EU) No 575/2013

One of the following shall be reported in column 010:

(a) 1 day re-scaled to 10 days;

(b) 10 days with overlapping periods;

(c) 10 days other methodology.

The institution shall use column 020 to clarify the answer given in column 010.

030Length of observation periodArticle 365(1) point (d) of Regulation (EU) No 575/2013

One of the following shall be reported in column 010:

(a) Up to 1 year;

(b) More than 1 and up to 2 years;

(c) More than 2 and up to 3 years;

(d) More than 3 years.

The institution shall use column 020 to clarify the answer given in column 010.

040Data WeightingArticle 365(1) point (d) of Regulation (EU) No 575/2013

One of the following shall be reported in column 010:

(a) Unweighted (VaR data weighting);

(b) Weighted (VaR data weighting);

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

The institution shall use column 020 to clarify the answer given in column 010.

050Backtesting add-onArticle 366(2) of Regulation (EU) No 575/2013

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

The institution shall use column 020 to clarify the answer given in column 010.

060VaR Regulatory add-onArticle 366(2) of Regulation (EU) No 575/2013 (at least 3)

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

The institution shall use column 020 to clarify the answer given in column 010.

070-100SVaR (i.e. Stressed VaR)070Methodology

One of the following shall be reported in column 010:

(a) Historical simulation;

(b) Monte Carlo simulation;

(c) Parametric methodology;

(d) Combination / other methodology (please specify).

The institution shall use column 020 to clarify the answer given in column 010. In case option (d) was selected in column 010, the institution shall provide details in column 020.

080Computation of 10 day HorizonArticle 365(1) of Regulation (EU) No 575/2013

One of the following shall be reported in column 010:

(a) 1 day re-scaled to 10 days;

(b) 10 days with overlapping periods;

(c) 10 days other methodology.

The institution shall use column 020 to clarify the answer given in column 010.

090SVaR Regulatory add-onArticle 366(2) of Regulation (EU) No 575/2013

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

The institution shall use column 020 to clarify the answer given in column 010.

100SVaR periodArticle 365(2) of Regulation (EU) No 575/2013

One of the following shall be reported in column 010:

(a) Daily computation of the stressed VaR calibrated to one continuous 12-month period starting from the date specified in column 020;

(b) Weekly computation of the stressed VaR calibrated to one continuous 12-month period starting from the date specified in column 020;

(c) Daily computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 010 of C107.02 starting from the dates specified in column 020;

(d) Weekly computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 010 of C107.02 starting from the dates specified in column 020;

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

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

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

The institution shall use column 020 to provide the starting date in the format of dd/mm/yyyy in case of options (a) or (b) given in column 010 and the starting dates in the format of dd/mm/yyyy used for each stressed VaR computation in case of options (c) or (d) given in column 010. The institution shall also use column 020 to clarify the 12-month period used for each stressed VaR computation in case of options (e), (f) and (g) given in column 010.

C 107.02 - VaR, sVaR and PV - Non-CTP. Base Currency Results.

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSections 3 and 4 of Annex V to this Implementing RegulationThe portfolio (both individual and aggregated) number taken from Annex V shall be reported.ColumnLabelLegal referenceInstructions010DateVaR, sVaR and Present Value (PV) results shall be reported for all the 10 business days between the RM initial reference date and the RM final reference date (as specified in Annex V, Section 1, point (b)). The dd/mm/yyyy convention shall be adopted to report the dates.020VaRArticle 365 of Regulation (EU) No 575/2013

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

Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank where the institution does not calculate a VaR on the date provided in column 010 (i.e. zero values shall be reported only where the result of the calculation is zero).

030sVaRArticle 365 of Regulation (EU) No 575/2013

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

Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank where the institution does not calculate a sVaR on the date provided in column 010 (i.e. zero values shall be reported only where the result of the calculation is zero).

040PV

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

Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank where the institution does not calculate a PV on the date provided in column 010 (i.e. zero values shall be reported only where the result of the calculation is zero).

C 108.00 - Profit & Loss Time Series

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

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSections 3 and 4 of Annex V to this Implementing RegulationThe portfolio number (both individual and aggregated) taken from Annex V to this Implementing Regulation shall be reported.ColumnLabelLegal referenceInstructions010DateArticle 365(1) point (d) of Regulation (EU) No 575/2013On each business day, determined in accordance with the calendar in the institution’s jurisdiction, institutions shall provide the P&L series used to calculate VaR in C107.02 column 010 with a minimum of 250 observations starting from 31 January 2020 and going backward.

020Daily P&L

Institutions that calculate VaR using historical simulation shall fill the full length historic series used by the institution, with a minimum of one-year data series, with the portfolio valuation change (i.e. daily P&L) produced on each business day (i.e. by comparing the end-of-day valuation on each business day reported in column 010 with the end-of-day valuation on the previous business day).

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

C 109.01 – IRC. Details of the Model

RowLabelLegal referenceInstructions010Number of modelling factors

EBA/GL/2012/3

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

(a) 1 modelling factor;

(b) 2 modelling factors;

(c) More than 2 modelling factors.

The institution shall use column 020 to clarify the answer given in column 010.

020Source of LGDs

EBA/GL/2012/3

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

(a) Market convention;

(b) LGD used in IRB;

(c) Other source of LGD (please specify).

The institution shall use column 020 to clarify the answer given in column 010. In case option (c) was selected in column 010, the institution shall provide details in this column.

C 109.02 – IRC. Details by Portfolio

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSections 3 and 4 of Annex V to this Implementing RegulationThe portfolio number (both individual and aggregated) taken from Annex V to this Implementing Regulation, only for those portfolios where IRC is requested, shall be reported.RowLabelLegal referenceInstructions10Liquidity HorizonArticle 374(5) of Regulation (EU) No 575/2013

EBA/GL/2012/3

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

(a) Up to 3 months;

(b) More than 3 and up to 6 months;

(c) More than 6 and up to 9 months;

(d) More than 9 and up to 12 months.

20Source of PDs

EBA/GL/2012/3

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

(a) Rating agencies;

(b) IRB;

(c) Market implied PDs;

(d) Other source of PDs (please specify).

The institution shall use column 020 to clarify the answer given in column 010. In case option (d) was selected in column 010, the institution shall provide details in this column 020.

30Source of transition matrices

EBA/GL/2012/3

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

(a) Rating agencies;

(b) IRB;

(c) Market implied transition matrices;

(d) Other sources of transition matrices (please specify).

The institution shall use column 020 to clarify the answer given in column 010. In case option (d) was selected in column 010, the institution shall provide details in this column 020.

C 109.03 – IRC. Amount by Portfolio/Date.

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSections 3 and 4 of Annex V to this Implementing RegulationThe portfolio (both individual and aggregated) number taken from Annex V to this Implementing Regulation, only for those portfolios where IRC is requested, shall be reported.ColumnLabelLegal referenceInstructions010DateIRC shall be reported for all the 10 business days between the RM initial reference date and the RM final reference date, as specified in Annex V, Section 1, point (b). The dd/mm/yyyy convention shall be adopted to report the dates.

020IRCArticles 372 to 376 of Regulation (EU) No 575/2013

EBA/GL/2012/3

The regulatory IRC obtained for each portfolio shall be reported.

Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank where the institution does not calculate an IRC on the date reported in column 010 (i.e. zero values shall be reported only where the result of the calculation is zero).

C 110.01 – CT. Details of the Model.

RowLabelLegal referenceInstructions010Number of modelling factorsArticle 377 of Regulation (EU) No 575/2013

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

(a) 1 modelling factor;

(b) 2 modelling factors;

(c) More than 2 modelling factors.

The institution shall use column020 where it wants to clarify the answer given in column 010.

020Source of LGDsArticle 377 of Regulation (EU) No 575/2013

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

(a) Market convention;

(b) LGD used in IRB;

(c) Other sources of LGD (please specify).

The institution shall use column 020 to clarify the answer given in column 010. In case option (c) was selected in column 010, the institution shall provide details in this column.

C 110.02 – CT. Details by Portfolio.

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSections 3 and 4 of Annex V to this Implementing RegulationThe portfolio (both individual and aggregated) number taken from Annex V to this Implementing Regulation, only for those portfolios where APR is requested, shall be reported.RowLabelLegal referenceInstructions010Liquidity horizonArticle 377(2) of Regulation (EU) No 575/2013

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

(a) Up to 3 months;

(b) More than 3 and up to 6 months;

(c) More than 6 and up to 9 months;

(d) More than 9 and up to 12 months.

020Source of PDsArticle 377 of Regulation (EU) No 575/2013

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

(a) Rating agencies;

(b) IRB;

(c) Market implied PDs;

(d) Other source of PDs (please specify).

The institution shall use column 020 to clarify the answer given in column 010. In case option (d) was selected in column 010, the institution shall provide details in column 020.

030Source of transition matricesArticle 377 of Regulation (EU) No 575/2013

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

(a) Rating agencies;

(b) IRB;

(c) Market implied transition matrices;

(d) Other source of transition matrices (please specify).

The institution shall use column 020 to clarify the answer given in column 010. In case option (d) was selected in column 010, the institution shall provide details in this column 020.

C 110.03 – CT. APR by Portfolio/Date

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSection 3 of Annex V to this Implementing RegulationThe portfolio (both individual and aggregated) number taken from Annex V to this Implementing Regulation, only for those portfolios where APR is requested, shall be reportedColumnLabelLegal referenceInstructions010DateArticle 377 of Regulation (EU) No 575/2013All price risk (APR) shall be reported for all the 10 business days between the RM initial reference date and the RM final reference date as referred to in Annex V, section 1, point b). The dd/mm/yyyy convention shall be adopted to report the dates.60APRArticle 377 of Regulation (EU) No 575/2013

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

Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank where the institution does not use a correlation trading model on the date provided in column 010 (i.e. zero values shall be reported only where the result of the calculation is zero).

Annex

ANNEX VII

Annex

ANNEX VII

Results Supervisory Benchmarking portfolios. MARKET RISK

RESULTS BENCHMARKING PORTFOLIOS. MARKET RISKTemplate numberTemplate codeName of the template /group of templatesShort nameINITIAL MARKET VALUATION106C 106.00INITIAL MARKET VALUATIONIMVVaR, sVaR and PV107.1C 107.01DETAILSVaR&SVaR 1107.2C 107.02BASE CURRENCY RESULTSVaR&SVaR 2PROFIT & LOSS TIME SERIES108C 108.00PROFIT & LOSS TIME SERIESP&LINCREMENTAL RISK CHARGE109.1C 109.01IRC. DETAILS OF THE MODELIRC 1109.2C 109.02IRC. DETAILS BY PORTFOLIOIRC 2109.3C 109.03IRC. AMOUNT BY PORTFOLIO/DATEIRC 3CORRELATION TRADING110.1C 110.01CT. DETAILS OF THE MODELCT 1110.2C 110.02CT. DETAILS BY PORTFOLIOCT 2110.3C 110.03CT. AMOUNT BY PORTFOLIO/DATECT 3

C 106.00 - INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION

Instrument numberInstrument Modelled for Var + SVaR (YES/NO)Instrument Modelled for IRC (YES/NO)Instrument Modelled for Correlation Trading (YES/NO)Rationale for ExclusionFree text boxInitial Market Valuation010020030040050060070

C 107.01 - VaR, sVaR and PV. DETAILS

OptionFree text box010020VaR010Methodology020Computation of 10-day Horizon030Length of observation period040Data Weighting050Backtesting add-on060Regulatory add-onSVaR070Methodology080Computation of 10-day Horizon090SVaR Regulatory add-on100SVaR period

C 107.02 - VaR and SVaR NON-CTP. BASE CURRENCY RESULTS

Portfolio

DateVaRsVaRPV010020030040

C 108.00- PROFIT & LOSS TIME SERIES

Portfolio

DateDaily P&L010020

C 109.01 - IRC. DETAILS OF THE MODEL

OptionFree text boxRowItem010020010Number of modelling factors020Source of LGDs

C 109.02 - IRC. DETAILS BY PORTFOLIO

Portfolio

OptionFree text boxRowItem010020010Liquidity Horizon020Source of PDs030Source of transition matrices

C 109.03 - IRC. AMOUNT BY PORTFOLIO/DATE

Portfolio

DateIRC010020

C 110.01 - CT. DETAILS OF THE MODEL

OptionFree text boxRowItem010020010Number of modelling factors020Source of LGDs

C 110.02 - CT. DETAILS BY PORTFOLIO

Portfolio

OptionFree text boxRowItem010020010Liquidity Horizon020Source of PDs030Source of transition matrices

C 110.03 - CT. APR BY PORTFOLIO/DATE

Portfolio

DateAPR010020