Commission Implementing Regulation (EU) 2022/951 of 24 May 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions to be applied in the Union for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the CouncilText with EEA relevance

0080Sector of counterpartyThe instructions provided for column 0100 of C 101 shall apply.0090Default status

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

0100Type 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.

0110Collateralisation statusColumns 150 to 220 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021

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.

0120Collateral typeColumns 150 to 220 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021

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 required haircuts are applied in accordance with Part Three, Title II, Chapter 4, Section 4 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 points (g), (h) or (i) of this column.

0130Counterparty

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

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

(b) Counterparties other than public sector entities;

(c) Not applicable

0140Size 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.

0150NACE 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 referred to in points (a) to (g);

(i) Not applicable.

0160Type of exposureArticle 1 of 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 points (a) to (f).

0170Size of exposureColumn 0110 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021

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)):

Not applicable.

0180Indexed 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 before taking into consideration any specific credit risk adjustments and shall include all other loans (including loans known to the institution that are provided by other financial institutions) 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 latest independent valuation of the property and converted to a current value using a property price index. The valuation shall be performed in an independent way and by 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.

0190Balance 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). Those exposures shall not be reported in points (a) or (b).

C 103 – Definition of High Default Portfolios

ColumnLabelLegal referenceInstructions0010Portfolio IDThe unique ID assigned by EBA to each portfolio.0020Portfolio name

EBA shall assign to 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

0030Type of riskThe instructions for column 0130 of C 101 shall apply.0040Regulatory approachThe instructions for column 0140 of C 101 shall apply.0050Geographical areaThe instructions for column 0080 of C 101 shall apply.0060RatingThe instructions for column 0060 of C 102 shall apply.0070Exposure classThe instructions for column 0070 of C 102 shall apply.0080Sector of counterpartyThe instructions for column 0100 of C 101 shall apply.0090Default statusThe instructions for column 0090 of C 102 shall apply.0100Type of facilityThe instructions for column 0120 of C 101 shall apply.0110Collateralisation statusThe instructions for column 0110 of C 102 shall apply.0120Collateral typeThe instructions for column 0120 of C 102 shall apply.0130CounterpartyThe instructions for column 0130 of C 102 shall apply.0140Size of counterpartyThe instructions for column 0140 of C 102 shall apply.0150NACE codeThe instructions for column 0150 of C 102 shall apply.0160Type of exposureThe instructions for column 0110 of C 101 shall apply.0170Size of exposureThe instructions for column 0170 of C 102 shall apply.0180Indexed loan-to-value rangeThe instructions for column 0180 of C 102 shall apply0190Balance sheet recognitionThe instructions for column 0190 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 pledgeLGDMaturityRWA0010002000400050006000700080009001000110012001300140015001600170

C 102.00 - Details on exposures in Low Default Portfolios

Portfolio IDNumber of obligorsPDPD without supervisory measuresPD without MoC and supervisory measuresOriginal exposure pre conversion factorsExposure after CRM substitution effects pre conversion factorsCCFEADCollateral valueLGDLGD without supervisory measuresLGD without MoC and without supervisory measuresLGD without MoC, supervisory measures and downturn component,MaturityExpected Loss AmountProvisions defaulted exposuresRWARWA Standardised0010004000600061006200800090010001100120013001310132013301400150016001700180

C 103.00 - Details on exposures in High Default Portfolio

Portfolio IDNumber of obligorsPDPD without supervisory measuresPD without MoC and supervisory measuresOriginal exposure pre conversion factorsExposure after CRM substitution effects pre conversion factorsCCFEADCollateral valueLGDLGD without supervisory measuresLGD without MoC and supervisory measuresLGD without MoC, supervisory measures and downturn componentMaturityExpected Loss amountProvisions defaulted exposuresRWARWA StandardisedDefault rate latest yearDefault rate past 5 yearsLoss rate latest yearLoss rate past 5 yearsRWA-RWA+RWA- -RWA++001000400060006100620080009001000110012001300131013201330140015001600170018001900200021002200250026002700280

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 supervisorRWARWA Add-ons00100020003000400050006000700080009001000110012001300140

C 105.02 – Mapping of internal models to portfolios

Portfolio IDInternal model IDEADRWA0010002000300040

C 105.03 - Mapping of internal models to countries

Row IDInternal model IDLocation of institution000500100020

Annex

ANNEX IV

Annex

ANNEX IV

RESULTS SUPERVISORY BENCHMARK PORTFOLIOS

PART I: GENERAL INSTRUCTIONS

2792

PART II: TEMPLATE RELATED INSTRUCTIONS

2793

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

2793

C 102 – Details on exposures in Low Default Portfolios

2797

C 103 – Details on exposures in High Default Portfolio

2801

C 105.01 – Definition of internal models

2810

C 105.02 – Mapping of internal models to portfolios

2812

C 105.03 – Mapping of internal models to countries

2813

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 (RWA). For the benchmarking portfolios referred to in tables C 102 and C 103, exposures under the Standardised Approach and exposures for which the respective competent authority allowed the temporary or permanent partial use of the Standardised Approach, shall be excluded. In table C 101, no exposure shall be included for counterparties with counterparty code ending with STDA. In the same table, for counterparties with counterparty codes other than those ending with STDA, exposures under the Standardised Approach shall be excluded

1. The fields collecting information not required or not applicable shall either be left blank or the indication NULL shall be inserted. This also 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 in accordance with Implementing Regulation (EU) No 451/2021.

PART II: TEMPLATE RELATED INSTRUCTIONS

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

Specialised lending exposures shall be excluded.

ColumnLabelLegal referenceInstructions0010Counterparty CodeColumn 0010 of template 101 of Annex IThe counterparty code in column 0010 of template C 101 of Annex I assigned to the counterparty included in the low default portfolio (LDP) samples portfolios shall be reported. That code shall be a row identifier and shall be unique for each row in the table.0020Exposure classParagraph 76 of Annex II to Implementing Regulation (EU) No 451/2021

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 answers in the list applies which is the case where a counterparty is classified in multiple exposure classes, without one being clearly predominant.

0040Rating

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), point (e) of Regulation (EU) No 575/2013, rating grade zero (0) shall be entered in column 0040 of template C 101.00 of Annex III

0050Date of most recent rating of counterpartyThe date of the most recent rating of the counterparty shall be reported.0060PDColumn 0010 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021

The PD, assigned to the obligor grade or pool, that shall be reported shall be the one estimated in accordance with Article 180 of Regulation (EU) No 575/2013. The PD shall be the PD used in the calculation of the RWA, excluding the effect of measures 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.

0070Default 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 %.

0080Original exposure pre-conversion factorsColumn 0020 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021The original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported.0090Exposure after credit risk mitigation substitution effects pre-conversion factorsColumn 0090 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021The amount to which a credit conversion factor (CCF) is applied in order to obtain the exposure at default (EAD) shall be reported. This shall be done taking into account credit risk mitigation techniques with substitution effects on the exposure.

0100CCFSecond 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 referred to 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 referred to in Article 166(8) of Regulation (EU) No 575/2013, the relevant field for the weighted average of the CCF shall either be left blank or the indication NULL shall be inserted.

For counterparties with facilities for:

(a) items referred to in Article 166(8) of Regulation (EU) No 575/2013; and

(b) items which do not fall under the items referred to 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 point (a).

Where the institution applies own estimates of CCFs for the items referred to 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 those items referred to 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.

0110EADColumn 0110 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021The field for exposure value shall be left blank where the institution has no IRB exposure for a given counterparty.0120Collateral valueColumns 0150 to 0210 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021The market value of the collateral shall be reported.

0130Hyp LGD senior unsecured without negative pledgeArticle 161 of Regulation (EU) No 575/2013

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

(a) the scope of exposures is the same as for the LGD value reported in column 0150;

(b) the exposure is senior and unsecured;

(c) 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.

0140Hyp 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:

(a) the scope of exposures is the same as for the LGD value reported in column 0150;

(b) the exposure is senior and unsecured;

(c) 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.

0150LGDColumns 0230 and 0240 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021The 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.0160MaturityColumn 0250 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021The EAD-weighted maturity for the exposures to each counterparty shall be reported. It shall be expressed in number of days.0170RWAColumn 0260 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021The 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 referred to 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 0130), Expected Loss (column 0150) and RWA (column 0170).

For portfolios with the regulatory approach defined as Specialised lending slotting criteria, the following information may be omitted: PD (c0060), LGD (c0130)

The information in columns 0061-0062 and 0131-0132 may be omitted where institutions are not able to isolate the relevant conservative adjustments to the PDs and LGDs used for the RWA calculation without disproportionate efforts.

ColumnLabelLegal referenceInstructions0010Portfolio IDColumn 0010 of template 102 of Annex I

The code in column 0010 of Template C.102 of Annex I assigned to each portfolio shall be reported. That code shall be 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.

0040Number of obligors

The 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.

0060PDColumn 0010 of table 8.1 of Annex I to Commission Implementing Regulation (EU) No 451/2021The PD shall be the PD used in the calculation of the RWA, excluding the effect of potential measures 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 1.0061PD without supervisory measures

The PD without supervisory measures shall be the PD based on the provisions laid down in Articles 179 and 180 of Regulation (EU) No 575/2013 that includes the margin of conservatism (MoC) added by the institution but excludes measures (multipliers, add-ons, floors or similar measures that directly increase the PD) that have been imposed by the competent authorities.

For portfolios corresponding to an individual grade or pool, the PD for that grade that includes the MoC but is net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pools, the EAD-weighted average of the PDs of the respective exposures that include the MoCs but are net of the supervisory measures, shall be provided.

The PD without supervisory measures shall be expressed as a value between 0 and 1.

0062PD without MoC and supervisory measures

The PD without MoC and supervisory measures shall be the PD that neither includes the margin of conservatism (MoC) added by the institution in line with Article 179(1), point (f), and Article 180(1), point (e), of Regulation (EU) No 575/2013 nor the effect of measures imposed by the competent authorities (multipliers, add-ons, floors or similar measures that directly increase the PD).

For portfolios corresponding to an individual grade or pool, the PD for that grade that is net of the MoC and net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pool, the EAD-weighted average of the PDs of the respective exposures that are net of the MoCs and are net of supervisory measures, shall be reported.

The PD without MoC and supervisory measures shall be expressed as a value between 0 and 1.

0080Original exposure pre-conversion factorsColumn 0020 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021The original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported.0090Exposure after CRM substitution effects pre-conversion factorsColumn 0090 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021The amount to which a CCF is applied to obtain the EAD shall be reported. This shall be done taking into account credit risk mitigation techniques with substitution effects on the exposure.0100CCFArticle 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 referred to 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 referred to in Article 166(8) of Regulation (EU) No 575/2013, the weighted average of the CCF shall either be left blank or the indication NULL shall be inserted.

For portfolios with facilities for:

(a) items referred to in Article 166(8) of Regulation (EU) No 575/2013; and

(b) items which do not fall under the items referred to 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 point (a).

Where the institution applies own estimates of CCFs for the items referred to 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 referred to 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.

0110EADColumn 0110 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021The exposure value shall be reported.0120Collateral valueColumns 0150 to 0210 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021The market value of the collateral shall be reported.0130LGDColumns 0230 and 0240 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021

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

The LGDs shall be those used for the calculation of the RWA. More specifically, where the institution has obtained permission from its competent authority to use a model to estimate LGDs, the LGDs shall be based on the institutions’ own estimates; otherwise they should be based on regulatory values.

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 575/2013shall be excluded.

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

0131LGD without supervisory measures

The LGD without supervisory measures shall be the LGD based on the provisions laid down in Articles 179 and 181 of Regulation (EU) No 575/2013 that includes the margin of conservatism (MoC) added by the institution but excludes measures (multipliers, add-ons, floors or similar measures that directly increase the LGD) that have been imposed by the competent authorities.

For portfolios corresponding to an individual grade or pool, the LGD for that grade that includes the MoC but is net of the supervisory measures shall be reported.

For portfolios corresponding to an aggregation of obligors of different grades or pools, the EAD-weighted average of the LGDs of the respective exposures that include the MoCs but are net of the supervisory measures, shall be provided.

The LGD without supervisory measures shall be expressed as a value between 0 and 1.

0132LGD without MoC and without supervisory measures

The LGD without MoC and supervisory measures shall be the LGD that neither includes the margin of conservatism (MoC) added by the institution in line with Article 179(1), point (f) and Article 181 of Regulation (EU) No 575/2013 nor the effect of measures imposed by the competent authorities (multipliers, add-ons, floors or similar measures that directly increase the LGD).

For portfolios corresponding to an individual grade or pool, the LGD for that grade that is net of the MoC and net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pool, the EAD-weighted average of the LGDs of the respective exposures that are net of the MoCs and are net of supervisory measures, shall be reported.

The LGD without MoC and supervisory measures shall be expressed as a value between 0 and 1.

0133LGD without MoC, supervisory measures and downturn component,

The LGD without MoC, supervisory measures and downturn component shall be the LGD that neither includes the margin of conservatism (MoC) added by the institution in line with Article 179(1), point (f), and Article 181 of Regulation (EU) No 575/2013 nor the effect of measures imposed by the competent authorities (multipliers, add-ons, floors or similar measures that directly increase the LGD) nor the downturn component as required by Article 181(1), point (b), of that Regulation.

For portfolios corresponding to an individual grade or pool, the LGD for that grade that is net of the MoC and net of the supervisory measures and net of the downturn component shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pool, the EAD-weighted average of the LGDs of the respective exposures that are net of the MoCs and are net of supervisory measures and are net of the downturn component, shall be reported.

The LGD without MoC, supervisory measures and downturn component shall be expressed as a value between 0 and 1.

0140MaturityColumn 0250 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021The 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.0150Expected Loss amountColumn 0280 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021The expected loss amount shall be reported.0160Provisions defaulted exposuresColumns 0050, 0055 and 0060 of template 9.2 of Annex I to Implementing Regulation (EU) No 451/2021The 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 Article 110 of Regulation (EU) No 575/2013, irrespective of the threshold set for Template C 09.02 of Annex I to Implementing Regulation (EU) No 451/2021.0170RWAColumn 0260 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021The risk-weighted exposure amount after applying the SME supporting factor shall be reported.0180RWA StandardisedPart Three, Title II, Chapter 2 of Regulation (EU) No 575/2013.RWA Standardised is the hypothetical RWA 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 0130), Expected Loss (column 0150), RWA (column 0170), Loss rate latest year (column 0210) and Loss rate past 5 years (column 0220).

The information in columns 0061-0062 and 0131-0132 may be omitted, where institutions are not able to isolate the relevant conservative adjustments in its PDs and LGDs used for the RWA calculation without disproportionate efforts.

ColumnLabelLegal referenceInstructions0010Portfolio ID

The code assigned in column 0010 of Template C.103 of Annex I to each portfolio shall be reported. That code shall be 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 ID that is applicable.

0040Number of obligorsThe instructions for column 0040 of C 102 shall apply.0060PDThe instructions for column 0060 of C 102 shall apply.0061PD without supervisory measuresThe instructions for column 0061 of C 102 shall apply.0062PD without MoC and supervisory measuresThe instructions for column 0062 of C 102 shall apply.0080Original exposure pre conversion factorsThe instructions for column 0080 of C 102 shall apply.0090Exposure after CRM substitution effects pre conversion factorsThe instructions for column 0090 of C 102 shall apply.0100CCFThe instructions for column 0100 of C 102 shall apply.0110EADThe instructions for column 0110 of C 102 shall apply.0120Collateral valueThe instructions for column 0120 of C 102 shall apply.0130LGDThe instructions for column 0130 of C 102 shall apply.0131LGD without supervisory measuresThe instructions for column 0131 of C 102 shall apply.

0132LGD without MoC and without supervisory measuresThe instructions for column 0132 of C 102 shall apply.0133LGD without MoC, supervisory measures and downturn componentThe instructions for column 0133 of C 102 shall apply.0140MaturityThe instructions for column 0140 of C 102 shall apply.0150Expected Loss amountThe instructions for column 0150 of C 102 shall apply.0160Provisions defaulted exposuresThe instructions for column 0160 of C 102 shall apply.0170RWAThe instructions for column 0170 of C 102 shall apply.0180RWA StandardisedThe instructions for column 0180 of C 102 shall apply.0190Default rate latest year

The default rate for the most recent year shall be reported. For that purpose the default rate shall be defined as the ratio between:

(a) 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

(b) 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.

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

0200Default 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 definition referred to in column 0190 shall apply. The weights to be used are the non-defaulted exposures used in the calculation of the default rate in accordance with column 0190.

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.

0210Loss rate latest year

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

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, 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:

(a) credit risk adjustments to exposures that were already in default exactly one year before the reference date in the respective portfolio; and

(b) 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.

0220Loss 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 definition of loss rate in column 0210 shall apply.

The loss ratio of past 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 the documentation detailing the calculation.

0250RWA-

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

CORP_ALL_0086_CT____ALL

SMEC_ALL_0106_CT___ _ALL

MORT_ALL_0094_CT___ _ALL

SMOT_ALL_0106_CT____ALL

RSMS_ALL_0106_CT____ALL

RETO_ALL_0094_CT____ALL

RQRR_ALL_0094_CT____ALL

RWA- 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 0005 of Template C 08.02 of Annex I to Implementing Regulation (EU) No 451/2021 shall be used (see Annex II to that Regulation, C 08.01 column 0010 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 pn 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 most recent 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 formula set out in the fourth subparagraph for the obligor grade assigned to the obligor.

0260RWA+

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

CORP_ALL_0086_CT____ALL

SMEC_ALL_0106_CT____ALL

MORT_ALL_0094_CT____ALL

SMOT_ALL_0106_CT____ALL

RSMS_ALL_0106_CT____ALL

RETO_ALL_0094_CT____ALL

RQRR_ALL_0094_CT____ALL

RWA+ 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 0005 of Template C 08.02 of Annex I to Implementing Regulation (EU) No 451/2021 shall be used (see Annex II to that Regulation, C 08.01 column 0010 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 pn 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 most recent 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 formula set out in the fourth subparagraph for the obligor grade assigned to the obligor.

0270RWA- -

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

CORP_ALL_0086_CT____ALL

SMEC_ALL_0106_CT____ALL

MORT_ALL_0094_CT____ALL

SMOT_ALL_0106_CT____ALL

RSMS_ALL_0106_CT____ALL

RETO_ALL_0094_CT____ALL

RQRR_ALL_0094_CT____ALL

RWA- - 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 0005 of Template C 08.02 of Annex I to Implementing Regulation (EU) No 451/2021 shall be used (see Annex II to that Regulation, C 08.01 column 0010 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 pn 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 formula set out in the fourth subparagraph for the obligor grade assigned to the obligor.

0280RWA++

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

CORP_ALL_0086_CT____ALL

SMEC_ALL_0106_CT____ALL

MORT_ALL_0094_CT____ALL

SMOT_ALL_0106_CT____ALL

RSMS_ALL_0106_CT____ALL

RETO_ALL_0094_CT____ALL

RQRR_ALL_0094_CT____ALL

RWA++ 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 0005 of Template C 08.02 of Annex I to Implementing Regulation (EU) No 451/2021 shall be used (see Annex II to that Regulation, C 08.01 column 0010 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 pn DR5y

where,

Φ–1the inverse function of the standard normal (cumulative) distribution;qthe confidence level set at 90 %;DR5ythe default rate of the five 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 formula set out in the fourth subparagraph for the obligor grade assigned to the obligor.

C 105.01 – Definition of internal models

The information in column 0140 may be omitted.

ColumnLabelLegal referenceInstructions0010Internal model IDThe internal model ID assigned by the reporting institution shall be reported, for approved IRB models which are mapped to benchmarking portfolios in accordance with C 105.02. That internal model ID shall be a row identifier and shall be unique for each row in the table.0020Model nameThe model name assigned by the reporting institution shall be reported.0030IRBA Risk parameter

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

(a) PD;

(b) LGD;

(c) CCF.

0040EADColumn 0110 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021The aggregate exposure value of the transactions in the scope of application of the specific model shall be reported.0050EAD 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.0060Case 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 exists and the calibration is based on external data, then the external data shall be reported.

0070Long-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.0080Cure rate defaulted asset

The cure rate defaulted asset shall be the percentage of defaulted outstanding that returns in non-defaulted status over a 12 months period.

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

0090Recovery 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 exists 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. That information shall be completed only for LGD models.

0100Recovery 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 exists 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.

0110Joint 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.

0120Consolidating 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.0130RWAColumn 0260 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021The 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.0140RWA add-ons(%) of RWA in column 0130 owing to deficiencies or conservatism in the IRB approach (e.g. supervisory measures / add-ons) and that are not already reflected in the PD in column 0060 of C 102/C 103 or LGD in column 0130 of C 102/C 103 or CCF in column 0100 of C 102/C 103 and which are relevant for the considered model.

C 105.02 – Mapping of internal models to portfolios

ColumnLabelLegal referenceInstructions0010Portfolio IDColumn 0010 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 0010 and 0020 are a composite row identifier and together shall be unique for each row in the table.0020Internal model IDColumn 0010 of template 105.01The internal model ID assigned by the reporting institution shall be reported.0030EADColumn 0110 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021The 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 0110 of template 102 or 103, as applicable.0040RWAColumn 0260 of template 8.1 of Annex I to Implementing Regulation (EU) No 451/2021The 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 0020, for the specific portfolio in accordance with column 0010, 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 0170 of template 102 or 103, as applicable.

C 105.03 – Mapping of internal models to countries

ColumnLabelLegal referenceInstructions0005Row IDThis code shall be a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.0010Internal model IDColumn 0010 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 0010 and 0020 are a composite row identifier and their combination shall be unique for each row in the table.0020Location 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. Common Instructions

2815

1. Instruments

2819

1. Individual Portfolios

2830

1. Aggregated Portfolios

2835

1. Additional specifications for instruments

2835

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;

(xxiii) SBM means the sensitivities-based method as referred to in Part Three, Title IV, Chapter 1a, Section 2 of Regulation (EU) No 575/2013.

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

(i) the booking date shall be 16 September 2021;

(ii) the IMV reference date shall be 23 September 2021 (at 5:30 pm CET);

(iii) the IMV remittance date shall be 15 October 2021;

(iv) the RM initial reference date shall be 17 January 2022;

(v) the RM final reference date shall be 28 January 2022;

(vi) the RM remittance date shall be 4 March 2022.

(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 80 and 81 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) Where necessary, institutions shall apply Regulation (EU) 2016/1011 for the interest rate in order to substitute the reference rate (EURIBOR) and (LIBOR) stated in Section 2 of this Annex. Institutions shall specify the alternative rate they use instead of the reference rate (EURIBOR) and (LIBOR) in the explanatory note referred to in point (d) of these instructions.

(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. SBM shall be computed for the RM final reference date. Institutions shall submit the results of those calculations to their competent authority by RM remittance date.

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

(ff) In Section 2 (Instruments) Year T shall mean 2022 and Year T + X shall mean 2022 + X, with X as specified in Section 2.

(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 Month Year T shall mean the 3rd Friday of the month of the year T;

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

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

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

(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 Annex.

(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.

(mm) The risk measures of the portfolios shall be calculated in the same currency of the portfolio currency, not including any FX Risk, also related to the reporting currency of the institutions. The FX Risk shall be considered only when intrinsically included in the instruments.

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 1000 EURO STOXX 50 index (Ticker: SX5E) Futures.

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 1000 Futures BAYER (Ticker: BAYN GR).

Exchange: Eurex

Expiry date: June Year T

Base currency: EUR

1. Short 1000 Futures, STELLANTIS (Ticker: STLA FP).

Exchange: Euronext

Expiry date: June Year T

Base currency: EUR

1. Short 1000 Futures, ALLIANZ (Ticker: ALV GR).

Exchange: Eurex

Expiry date: June Year T

Base currency: EUR

1. Short 1000 Futures BARCLAYS (Ticker: BARC LN).

Exchange: Eurex

Expiry date: June Year T

Base currency: GBP

1. Short 1000 Futures DEUTSCHE BANK (Ticker: DBK GR).

Exchange: Eurex

Expiry date: June Year T

Base currency: EUR

1. Short 1000 Futures CRÉDIT AGRICOLE (Ticker: ACA FP).

Exchange: Euronext

Expiry date: June Year T

Base currency: EUR

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

Expiry date: June Year T

Base currency: EUR

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

Expiry date: December Year T

Base currency: EUR

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

Expiry date: June Year T

Base currency: USD

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

Expiry date: June Year T

Base currency: USD

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

Expiry date: December Year T

Base currency: EUR

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

Expiry date: June Year T

Base currency: EUR

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

Expiry date: December Year T

Base currency: GBP

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

Expiry date: December Year T

Base currency: GBP

1. Short 1000 Futures NIKKEI 225 (Ticker NKY).

Exchange: CME

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. Collared 10y floating rate note sold by UBS

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 DateBooking date + 10 yearsCurrencyUSDDaycount 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 1000000 (ISIN DE0001030583)

Maturity: 15 April 2033

Base currency: EUR

1. Short GERMANY GOVT EUR 1000000 (ISIN DE0001135044))

Maturity: 4 July 2027

Base currency: EUR

1. Long ITALY GOVT EUR 1000000 (ISIN IT0005138828)

Maturity: 15 September 2032

Base currency: EUR

1. Long ITALY GOVT EUR 1000000 (ISIN IT0005210650)

Maturity: 1 December 2026

Base currency: EUR

1. Long SPAIN GOVT EUR 1000000 (ISIN ES00000127A2)

Maturity: 30 July 2030

Base currency: EUR

1. Short FRANCE GOVT EUR 1000000 (ISIN FR0012993103)

Maturity: 25 May 2031

Base currency: EUR

1. Short GERMANY GOVT EUR 1000000 (ISIN DE0001135176)

Maturity: 4 January 2031

Base currency: EUR

1. Long UNITED KINGDOM GOVT GBP 1000000 (ISIN GB0004893086)

Maturity: 7 June 2032

Base currency: GBP

1. Long PORTUGAL GOVT EUR 1000000 (ISIN PTOTEXOE0024)

Maturity: 15 June 2029

Base currency: EUR

1. Short UNITED STATES GOVT USD 1000000 (ISIN US9128283F58)

Maturity: 15 November 2027

Base currency USD

1. Long BRAZIL GOVT 1000000 USD (ISIN US105756BZ27))

Maturity: 13 January 2028

Base currency: USD

1. Long MEXICO GOVT 1000000 USD (ISIN US91087BAC46)

Maturity: 28 March 2027

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

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

FX

1. 6-month USD/EUR forward contract. Cash settled. Long USD – Short EUR; Notional USD 10000000 USD; 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. Long EUR – Short GBP; Notional 10000000 GBP; 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

COMMODITIES

1. Long 3 500 000 6-month ATM London Gold Forwards contracts (1 contract = 0,001 troy ounces, notional: 3500 troy ounces).

Cash Settlement

Base currency: USD

1. Short 3 500 000 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 Telefonica (Ticker TEF SM)

Base currency: EUR

1. Long (i.e. Buy protection) EUR 1000000 CDS on Telefonica (Ticker TEF SM)

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 US900123CT57)

Maturity: 26 April 2029

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 Telefonica notes EUR 1000000 (ISIN XS1681521081)

Maturity: 12 January 2028

Base currency: EUR

1. Long position on Volkswagen Group notes EUR 1000000 (ISIN XS1944390597)

Maturity: 31 July 2026

Base currency: EUR

1. Short position Volkswagen Group notes EUR 1000000 (ISIN XS1944390241)

Maturity: 31 January 2024

Base currency: EUR

1. Long position on Total SA notes EUR 1000000 (ISIN XS1048519679)

Maturity: 25 March 2026

Base currency: EUR

1. Long AUSTRIA GOVT EUR 1000000 (ISIN AT0000A04967)

Maturity: 15 March 2037

Base currency: EUR

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

Maturity: June Year T+15

Base currency: USD

1. Long NETHERLANDS GOVT EUR 1000000 (ISIN NL0013552060)

Maturity: 15 January 2040

Base currency: EUR

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

Maturity: June Year T+20

Base currency: USD

1. Long BELGIUM GOVT EUR 1000000 (ISIN BE0000348574)

Maturity: 22 June 2050

Base currency: EUR

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

Maturity: June Year T+30

Base currency: USD

CTP

1. Short (i.e. Sell protection) position in spread hedged Super Senior tranche of iTraxx Europe index on-the-run series

Attachment point: 12 %

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 – 1 instrumentEURVaR; Stressed VaR; SBM2

3 – 1 instrument

4 – 1 instrument

5 – 1 instrument

EURVaR; Stressed VaR; SBM3

13 – 1 instrument

10 – 1 instrument

EURVaR; Stressed VaR; SBM4

15 – 1 instrument

16 – 1 instrument

GBPVaR; Stressed VaR; SBM517 – 1 instrumentJPYVaR; Stressed VaR; SBM6

9 – 1 instrument

10 – 1 instrument

EURVaR; Stressed VaR; SBM718 – 1 instrumentEURVaR; Stressed VaR; SBM

8

11 – 1 instrument

12 – 1 instrument

USDVaR; Stressed VaR; SBM9

2 – 1 instrument

14 – 1 instrument

EURVaR; Stressed VaR; SBM10

6 – 1 instrument

7 – 1 instrument

8 – 1 instrument

EURVaR; Stressed VaR; SBM1119 – 1 instrumentEURVaR; Stressed VaR; SBM1220 – 1 instrumentEURVaR; Stressed VaR; SBM1321 – 1 instrumentUSDVaR; Stressed VaR; SBM1422 – 1 instrumentGBPVaR; Stressed VaR; SBM1523 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM16

24 – 1 instrument

25 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM17

24 – 1 instrument

25 – 1 instrument

26 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM18

24 – 1 instrument

25 – 1 instrument

26 – 1 instrument

27 – 1 instrument

28 – 1 instrument

29 – 1 instrument

30 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM19

19 – 1 instrument

36 – 1 instrument

EURVaR; Stressed VaR; SBM20

19 – 1 instrument

37 – 1 instrument

EURVaR; Stressed VaR; SBM

21

36 – 1 instrument

37 – 1 instrument

EURVaR; Stressed VaR; SBM22

19 – 1 instrument

20 – 1 instrument

EURVaR; Stressed VaR; SBM2331 – 1 instrumentGBPVaR; Stressed VaR; IRC; SBM24

33 – 1 instrument

34 – 1 instrument

35 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM25

21 – 1 instrument

33 – 1 instrument

USDVaR; Stressed VaR; SBM26

26 – 1 instrument

27 – 1 instrument

28 – 1 instrument

32 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM2738 – 1 instrumentEURVaR; Stressed VaR; SBM28

39 – 1 instrument

40 – 1 instrument

EURVaR; Stressed VaR; SBM29

41 – 1 instrument

42 – 1 instrument

EURVaR; Stressed VaR; SBM30

42 – 1 instrument

43 – 1 instrument

44 – 1 instrument

EURVaR; Stressed VaR; SBM31

45 – 1 instrument

46 – 1 instrument

EURVaR; Stressed VaR; SBM3247 – 1 instrumentEURVaR; Stressed VaR; SBM33

48 – 1 instrument

49 – 1 instrument

USDVaR; Stressed VaR; SBM34

50 – 1 instrument

51 – 1 instrument

USDVaR; Stressed VaR; SBM

35

48 – 1 instrument

51 – 1 instrument

USDVaR; Stressed VaR; SBM36

52 – 1 instrument

53 – 1 instrument

54 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM37

55 – 1 instrument

56 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM38

58 – 1 instrument

59 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM39

54 – 1 instrument

55 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM40

60 – 1 instrument

61 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM41

62 – 1 instrument

63 – 1 instrument

65 – 1 instrument

66 – 1 instrument

67 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM42

68 – 1 instrument

69 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM43

70 – 1 instrument

71 – 1 instrument

73 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM44

71 – 1 instrument

72 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM45

70 – 1 instrument

59 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM46

66 – 1 instrument

73 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM4764 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM

48

71 – 1 instrument

72 – 1 instrument

67 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM49

57 – 1 instrument

54 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM50

53 – 1 instrument

27 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM51

55 – 1 instrument

35 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM52

56 – 1 instrument

34 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM53

55 – 1 instrument

35 – 1 instrument

56 – 1 instrument

34 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM5480 – 1 instrumentEURVaR; Stressed VaR; APR; SBM5581 – 1 instrumentUSDVaR; Stressed VaR; APR; SBM56

81 – 1 instrument

68 – 1 instrument

34 – 1 instrument

35 – 1 instrument

USDVaR; Stressed VaR; APR; SBM57

74 – 1 instrument

76 – 1 instrument

78 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM58

75 – 1 instrument

77 – 1 instrument

79 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM59

74 – 1 instrument

75 – 1 instrument

76 – 1 instrument

77 – 1 instrument

78 – 1 instrument

79 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM

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 requested60ALL-IN no-CTP1, 2, 6, 7, 9, 11, 12, 18, 21, 27, 28, 29, 31, 32, 33, 34, 38, 41, 43, 59EURVaR; Stressed VaR; IRC; SBM61EQUITY Cumulative1, 2, 6, 7, 9EURVaR; Stressed VaR; SBM62IR Cumulative11, 12, 18, 21EURVaR; Stressed VaR; SBM63FX Cumulative28, 29, 31, 32EURVaR; Stressed VaR; SBM64Commodity Cumulative33, 34USDVaR; Stressed VaR; SBM65Credit Spread cumulative38, 41, 43, 59EURVaR; Stressed VaR; IRC; SBM66CTP cumulative EUR54, 56EURVaR; Stressed VaR; APR; SBM

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:38Description:

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:Quarterly

Coupon 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, TARGETCoupon 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 Following

Notional 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

2839

C 106.00 –

Initial Market Valuation and exclusion justification

2839

C 106.01 –

SBM. Risk sensitivities by Instrument

2840

C 107.01 –

VaR & sVaR Non-CTP. Details.

2843

C 107.02 –

VaR & sVaR and PV – Non-CTP. Base Currency Results.

2845

C 108.00 –

Profit & Loss Time Series

2846

C 109.01 –

IRC. Details of the Model

2847

C 109.02 –

IRC. Details by Portfolio

2848

C 109.03 –

IRC. Amount by Portfolio/Date.

2849

C 110.01 –

CT. Details of the Model.

2849

C 110.02 –

CT. Details by Portfolio.

2850

C 110.03 –

CT. APR by Portfolio/Date

2851

C 120.01 –

SBM. Risk sensitivities by Instrument/Portfolio

2852

C 120.02 –

SBM. OFR composition by portfolio

2854

C 120.03 –

SBM. OFR

2855

TEMPLATE RELATED INSTRUCTIONS

C 106.00 – Initial Market Valuation and exclusion justification

ColumnLabelLegal referenceInstructions0010Instrument numberSection 2 of Annex V to this RegulationThe instrument number taken from Annex V shall be reported.0020Instrument modelled for VaR and sVaR (TRUE/FALSE)Either TRUE or FALSE shall be reported.0030Instrument modelled for IRC (TRUE/FALSE)Either TRUE or FALSE shall be reported.0040Instrument modelled for correlation trading (TRUE/FALSE)Either TRUE or FALSE shall be reported.0050Rationale 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 0060.

0060Free text boxAn institution may provide any additional information in this column.0070Initial 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).

C 106.01 – SBM. Risk sensitivities by Instrument

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

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsInstrument numberSection 2 of Annex V to this RegulationThe instrument number taken from Annex V shall be reported.ColumnLabelLegal referenceInstructions0010Risk factor identifierArticles 325l, 325m, 325n, 325o, 325p, 325q of Regulation (EU) No 575/2013The risk factor identifier as specified in the table at the end of this Annex shall be reported.0020BucketArticle 325d(3) of Regulation (EU) No 575/2013

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

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

Credit spread risk for non-securitisation, the answer shall be the bucket number in Table 4 of Article 325ah (1).

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

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

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

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

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

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

0030Additional identifierArticles 325l, 325m, 325n, 325o, 325p, 325q of Regulation (EU) No 575/2013

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

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

Credit spread risk for non-securitisation or the risk class credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR), the answer shall be the issuer name or another corresponding unique identifier.

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

Equity risk, the answer shall be the equity issuer name or a corresponding unique identifier.

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

N.A. shall be reported where none of the above cases applies.

0040Implied volatilityArticle 325g and Article 325ax (3) of Regulation (EU) No 575/2013

The following information further specifying the risk factor shall be reported:

Where the risk factor identifier selected in column 0010 corresponds to the vega risk component of the sensitivities-based method, the value of risk factor k (implied volatility) used to calculate the risk weight for a given vega risk factor k (RWk) as specified in Article 325ax (3) of Regulation (EU) No 575/2013 shall be reported.

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

0050Risk sensitivity (Reporting currency results)Article 325d(2) and Articles 325r, 325s, 325g of Regulation (EU) No 575/2013

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

Delta risk component of the sensitivities-based method, the net sensitivity to the risk factor (Sk) as specified in Article 325r of Regulation (EU) No 575/2013 shall be reported.

Vega risk component of the sensitivities-based method, the vega risk sensitivity of an option to a given risk factor (Sk) as specified in Article 325s of Regulation (EU) No 575/2013 shall be reported.

Curvature risk component of the sensitivities-based method, the upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Article 325g of Regulation (EU) No 575/2013 shall be reported.

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

0060Reporting currencyThe name of the reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation, e.g. EUR).0070Risk sensitivity (EBA instrument currency results)Section 2 of Annex V to this Regulation and Article 325d(2) and Articles325r, 325s, 325g of Regulation (EU) No 575/2013The values shall be reported following the instructions for column 0060 but translated at the spot exchange rate associated with the currency of the instrument as defined in Annex V, Section 2.0080Pricing modelArticle 325t of Regulation (EU) No 575/2013

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

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

(b) Institution’s internal model approach (as for Article 325t(1), subparagraph 2 of Regulation (EU) No 575/2013);

0090Sensitivities definitionArticles 325r, 325s, 325t of Regulation (EU) No 575/2013

The institution shall specify which sensitivities definition is applied in the calculation of the own funds requirements. One of the following shall be reported:

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

(b) Sensitivities definition in accordance with Article 325t(5) and (6) of Regulation (EU) No 575/2013;

0100Free text boxAn institution may provide additional information in this column concerning pricing model and sensitivities definition applied.

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

RowLabelLegal referenceInstructions0010 - 0060VaR0010Methodology

One of the following shall be reported in column 0010:

(a) Historical simulation;

(b) Monte Carlo simulation;

(c) Parametric methodology;

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

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

0020Computation of 10-day horizonArticle 365(1) of Regulation (EU) No 575/2013

One of the following shall be reported in column 0010:

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

(b) 10 days with overlapping periods;

(c) 10 days other methodology.

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

0030Length of observation periodArticle 365(1) point (d) of Regulation (EU) No 575/2013

One of the following shall be reported in column 0010:

(a) Up to 1 year;

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

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

(d) More than 3 years.

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

0040Data WeightingArticle 365(1) point (d) of Regulation (EU) No 575/2013

One of the following shall be reported in column 0010:

(a) Unweighted (VaR data weighting);

(b) Weighted (VaR data weighting);

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

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

0050Backtesting 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 0020 to clarify the answer given in column 0010.

0060VaR 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 0020 to clarify the answer given in column 0010.

0070-0100SVaR (i.e. Stressed VaR)0070Methodology

One of the following shall be reported in column 0010:

(a) Historical simulation;

(b) Monte Carlo simulation;

(c) Parametric methodology;

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

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

0080Computation of 10 day HorizonArticle 365(1) of Regulation (EU) No 575/2013

One of the following shall be reported in column 0010:

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

(b) 10 days with overlapping periods;

(c) 10 days other methodology.

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

0090SVaR 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 0020 to clarify the answer given in column 0010.

0100SVaR periodArticle 365(2) of Regulation (EU) No 575/2013

One of the following shall be reported in column 0010:

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

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

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

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

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

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

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

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

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

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSections 3 and 4 of Annex V to this RegulationThe portfolio (both individual and aggregated) number taken from Annex V shall be reported.

ColumnLabelLegal referenceInstructions0010DateVaR, 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.0020VaRArticle 365 of Regulation (EU) No 575/2013

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

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

0030sVaRArticle 365 of Regulation (EU) No 575/2013

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

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

0040PV

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

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

C 108.00 - Profit & Loss Time Series

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

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSections 3 and 4 of Annex V to this RegulationThe portfolio number (both individual and aggregated) taken from Annex V to this Regulation shall be reported.

ColumnLabelLegal referenceInstructions0010DateArticle 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 0010 with a minimum of 250 observations starting from 28 January 2022 and going backward.0020Daily 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 0010 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 referenceInstructions0010Number of modelling factors

EBA/GL/2012/3

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

(a) 1 modelling factor;

(b) 2 modelling factors;

(c) More than 2 modelling factors.

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

0020Source of LGDs

EBA/GL/2012/3

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

(a) Market convention;

(b) LGD used in IRB;

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

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

C 109.02 – IRC. Details by Portfolio

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSections 3 and 4 of Annex V to this RegulationThe portfolio number (both individual and aggregated) taken from Annex V to this Regulation, only for those portfolios where IRC is requested, shall be reported.RowLabelLegal referenceInstructions0010Liquidity 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.

0020Source of PDs

EBA/GL/2012/3

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

(a) Rating agencies;

(b) IRB;

(c) Market implied PDs;

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

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

0030Source of transition matrices

EBA/GL/2012/3

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

(a) Rating agencies;

(b) IRB;

(c) Market implied transition matrices;

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

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

C 109.03 – IRC. Amount by Portfolio/Date.

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSections 3 and 4 of Annex V to this RegulationThe portfolio (both individual and aggregated) number taken from Annex V to this Regulation, only for those portfolios where IRC is requested, shall be reported.ColumnLabelLegal referenceInstructions0010DateIRC 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.0020IRCArticles 372 to 376 of Regulation (EU) No 575/2013

EBA/GL/2012/3

The regulatory IRC obtained for each portfolio shall be reported.

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

C 110.01 – CT. Details of the Model.

RowLabelLegal referenceInstructions0010Number 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 column 0020 where it wants to clarify the answer given in column 0010.

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

C 110.02 – CT. Details by Portfolio.

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSections 3 and 4 of Annex V to this RegulationThe portfolio (both individual and aggregated) number taken from Annex V to this Regulation, only for those portfolios where APR is requested, shall be reported.RowLabelLegal referenceInstructions0010Liquidity 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.

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

0030Source 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 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020.

C 110.03 – CT. APR by Portfolio/Date

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSection 3 and 4 of Annex V to this RegulationThe portfolio (both individual and aggregated) number taken from Annex V to this Regulation, only for those portfolios where APR is requested, shall be reportedColumnLabelLegal referenceInstructions0010DateArticle 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) to this Regulation. The dd/mm/yyyy convention shall be adopted to report the dates.0060APRArticle 377 of Regulation (EU) No 575/2013

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

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

C 120.01 – SBM. Risk sensitivities by Instrument/Portfolio

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

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSections 3 and 4 of Annex V to this RegulationThe number of the individual and aggregated portfolio taken from Annex V to this Implementing Regulation shall be reported.ColumnLabelLegal referenceInstructions0010Instrument numberSection 2 of Annex V to this RegulationThe instrument number taken from Annex V to this Regulation shall be reported.0020Risk factor identifierArticles 325l, 325m, 325n, 325o, 325p, 325q of Regulation (EU) No 575/2013The risk factor identifier as specified in the table at the end of this Annex shall be reported.0030BucketArticle 325d(3) of Regulation (EU) No 575/2013

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

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

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

Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR). The answer shall be the bucket number in Table 7 of Article 325am (1) of Regulation (EU) No 575/2013.

Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR). The answer shall be the bucket number in Table 6 of Article 325ak of Regulation (EU) No 575/2013.

Equity risk. The answer shall be the bucket number in Table 8 of Article 325ap (1) of Regulation (EU) No 575/2013.

Commodity risk. The answer shall be the bucket number in Table 9 of Article 325as of Regulation (EU) No 575/2013.

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

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

0040Additional identifierArticles 325l, 325m, 325n, 325o, 325p, 325q of Regulation (EU) No 575/2013

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

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

Credit spread risk for non-securitisation or the risk class credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR), the answer shall be the issuer name or another corresponding unique identifier.

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

Equity risk, the answer shall be the equity issuer name or a corresponding unique identifier.

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

NA shall be reported where none of the above cases applies.

0050Implied volatilityArticle 325g and Article 325ax (3) of Regulation (EU) No 575/2013

The following information further specifying the risk factor shall be reported:

Where the risk factor identifier selected in column 0020 corresponds to the vega risk component of the sensitivities-based method, the value of risk factor k (implied volatility) used to calculate the risk weight for a given vega risk factor k (RWk) as specified in Article 325ax (3) of Regulation (EU) No 575/2013 shall be reported.

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

0060Risk sensitivity (Reporting currency results)Article 325d(2) and Articles 325r, 325s, 325g of Regulation (EU) No 575/2013

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

Delta risk component of the sensitivities-based method, the net sensitivity to the risk factor (Sk) as specified in Article 325r of Regulation (EU) No 575/2013 shall be reported.

Vega risk component of the sensitivities-based method, the vega risk sensitivity of an option to a given risk factor (Sk) as specified in Art. 325s of Regulation (EU) No 575/2013 shall be reported.

Curvature risk component of the sensitivities-based method, the upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Art. 325g of Regulation (EU) No 575/2013 shall be reported.

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

0070Reporting currencyThe name of the reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation, e.g. EUR).0080Risk sensitivity (EBA portfolio currency results)Sections 3 and 4 of Annex V to this Regulation and Article 325d(2) and Articles 325r, 325s, 325g of Regulation (EU) No 575/2013The values shall be reported following the instructions for column 0060 but translated at the spot exchange rate associated with the currency of the portfolio as defined in Annex V, Sections 3 and 4 to this Regulation.

C 120.02 – SBM. OFR composition by portfolio

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSections 3 and 4 of Annex V to this RegulationThe number of the individual and aggregated portfolio taken from Annex V to this Regulation shall be reported.ColumnLabelLegal referenceInstructions0010Risk classArticle 325d(1) of Regulation (EU) No 575/2013

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

(a) General interest rate risk (GIRR);

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

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

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

(e) Equity risk;

(f) Commodities risk;

(g) Foreign-exchange risk.

0020ComponentArticle 325e(1) of Regulation (EU) No 575/2013

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

(a) Delta risk;

(b) Vega risk;

(c) Curvature risk;

0030Correlations scenarioArticle 325h of Regulation (EU) No 575/2013

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

(a) Medium correlation scenario;

(b) High correlation scenario;

(c) Low correlation scenario.

0040Own funds requirements (Reporting currency results)Article 325h of Regulation (EU) No 575/2013Own funds requirements values shall be reported for the RM final reference date (as specified in Annex V, Section 1, point (b) to this Regulation) for each portfolio for all relevant combinations of risk class, component and correlations scenario. The values shall be reported in the institution’s reporting currency.0050Reporting currencyThe reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation).0060Own funds requirements (EBA portfolio currency results)Sections 3 and 4 of Annex V to this Regulation and Article 325h of Regulation (EU) No 575/2013The values shall be reported following the instructions for column 0040 but translated at the spot exchange rate associated with the currency of the portfolio as defined in Annex V, Sections 3 and 4 to this Regulation.

C 120.03 – SBM. OFR

ColumnLabelLegal referenceInstructions0010Portfolio numberSections 3 and 4 of Annex V to this RegulationThe number of the individual and aggregated portfolio taken from Annex V to this Regulation shall be reported.0020

SBM OFR

(EBA portfolio currency results)

Sections 3 and 4 of Annex V to this Regulation and Article 325h of Regulation (EU) No 575/2013Own funds requirements for the sensitivities-based method of the alternative standardised approach shall be reported for the RM final reference date (as specified in Annex V, Section 1, point (b) to this Regulation) for each portfolio. When the reporting currencies of the institution are different from the currencies specified in Annex V, Sections 3 and 4 to this Regulation, the institutions shall translate the reporting currencies at the spot exchange rate associated with the currency of the portfolio.

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

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

(a) GIRR (general interest rate risk);

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

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

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

(e) EQ (equity risk);

(f) CM (commodity risk);

(g) FX (foreign exchange risk).

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

(a) DELTA (delta risk);

(b) VEGA (vega risk);

(c) CURVATURE (curvature risk).

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

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

Risk classComponentMaturityAdditional specificationRisk factor identifierLegal referenceCMDELTA0 yearsCM_D_0.00Article 325p of Regulation (EU) No 575/2013CMDELTA0,25 yearsCM_D_0.25Article 325p of Regulation (EU) No 575/2013CMDELTA0,5 yearsCM_D_0.50Article 325p of Regulation (EU) No 575/2013CMDELTA1 yearCM_D_1.00Article 325p of Regulation (EU) No 575/2013CMDELTA2 yearsCM_D_2.00Article 325p of Regulation (EU) No 575/2013

CMDELTA3 yearsCM_D_3.00Article 325p of Regulation (EU) No 575/2013CMDELTA5 yearsCM_D_5.00Article 325p of Regulation (EU) No 575/2013CMDELTA10 yearsCM_D_10.00Article 325p of Regulation (EU) No 575/2013CMDELTA15 yearsCM_D_15.00Article 325p of Regulation (EU) No 575/2013CMDELTA20 yearsCM_D_20.00Article 325p of Regulation (EU) No 575/2013CMDELTA30 yearsCM_D_30.00Article 325p of Regulation (EU) No 575/2013CMVEGA0,5 yearsCM_V_0.50Article 325p of Regulation (EU) No 575/2013CMVEGA1 yearCM_V_1.00Article 325p of Regulation (EU) No 575/2013CMVEGA3 yearsCM_V_3.00Article 325p of Regulation (EU) No 575/2013CMVEGA5 yearsCM_V_5.00Article 325p of Regulation (EU) No 575/2013CMVEGA10 yearsCM_V_10.00Article 325p of Regulation (EU) No 575/2013CMCURVATUREUpward shiftCM_CUArticles 325p, 325g of Regulation (EU) No 575/2013CMCURVATUREDownward shiftCM_CDArticles 325p, 325g of Regulation (EU) No 575/2013CSR_NON_SECDELTA0,5 yearsDebt instrumentCSR_NON_SEC_D_0.50_DEBTArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA1 yearDebt instrumentCSR_NON_SEC_D_1.00_DEBTArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA3 yearsDebt instrumentCSR_NON_SEC_D_3.00_DEBTArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA5 yearsDebt instrumentCSR_NON_SEC_D_5.00_DEBTArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA10 yearsDebt instrumentCSR_NON_SEC_D_10.00_DEBTArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA0,5 yearsCredit Default SwapCSR_NON_SEC_D_0.50_CDSArticle 325m of Regulation (EU) No 575/2013

CSR_NON_SECDELTA1 yearCredit Default SwapCSR_NON_SEC_D_1.00_CDSArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA3 yearsCredit Default SwapCSR_NON_SEC_D_3.00_CDSArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA5 yearsCredit Default SwapCSR_NON_SEC_D_5.00_CDSArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA10 yearsCredit Default SwapCSR_NON_SEC_D_10.00_CDSArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECVEGA0,5 yearsCSR_NON_SEC_V_0.50Article 325m of Regulation (EU) No 575/2013CSR_NON_SECVEGA1 yearCSR_NON_SEC_V_1.00Article 325m of Regulation (EU) No 575/2013CSR_NON_SECVEGA3 yearsCSR_NON_SEC_V_3.00Article 325m of Regulation (EU) No 575/2013CSR_NON_SECVEGA5 yearsCSR_NON_SEC_V_5.00Article 325m of Regulation (EU) No 575/2013CSR_NON_SECVEGA10 yearsCSR_NON_SEC_V_10.00Article 325m of Regulation (EU) No 575/2013CSR_NON_SECCURVATURE0,5 yearsUpward shiftCSR_NON_SEC_CU_0.50Articles 325m, 325g of Regulation (EU) No 575/2013CSR_NON_SECCURVATURE1 yearUpward shiftCSR_NON_SEC_CU_1.00Articles 325m, 325g of Regulation (EU) No 575/2013CSR_NON_SECCURVATURE3 yearsUpward shiftCSR_NON_SEC_CU_3.00Articles 325m, 325g of Regulation (EU) No 575/2013CSR_NON_SECCURVATURE5 yearsUpward shiftCSR_NON_SEC_CU_5.00Articles 325m, 325g of Regulation (EU) No 575/2013CSR_NON_SECCURVATURE10 yearsUpward shiftCSR_NON_SEC_CU_10.00Articles 325m, 325g of Regulation (EU) No 575/2013CSR_NON_SECCURVATURE0,5 yearsDownward shiftCSR_NON_SEC_CD_0.50Articles 325m, 325g of Regulation (EU) No 575/2013

CSR_NON_SECCURVATURE1 yearDownward shiftCSR_NON_SEC_CD_1.00Articles 325m, 325g of Regulation (EU) No 575/2013CSR_NON_SECCURVATURE3 yearsDownward shiftCSR_NON_SEC_CD_3.00Articles 325m, 325g of Regulation (EU) No 575/2013CSR_NON_SECCURVATURE5 yearsDownward shiftCSR_NON_SEC_CD_5.00Articles 325m, 325g of Regulation (EU) No 575/2013CSR_NON_SECCURVATURE10 yearsDownward shiftCSR_NON_SEC_CD_10.00Articles 325m, 325g of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA0,5 yearsDebt instrumentCSR_SEC_ACTP_D_0.50_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA1 yearDebt instrumentCSR_SEC_ACTP_D_1.00_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA3 yearsDebt instrumentCSR_SEC_ACTP_D_3.00_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA5 yearsDebt instrumentCSR_SEC_ACTP_D_5.00_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA10 yearsDebt instrumentCSR_SEC_ACTP_D_10.00_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA0,5 yearsCredit Default SwapCSR_SEC_ACTP_D_0.50_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA1 yearCredit Default SwapCSR_SEC_ACTP_D_1.00_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA3 yearsCredit Default SwapCSR_SEC_ACTP_D_3.00_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA5 yearsCredit Default SwapCSR_SEC_ACTP_D_5.00_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA10 yearsCredit Default SwapCSR_SEC_ACTP_D_10.00_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPVEGA0,5 yearsCSR_SEC_ACTP_V_0.50Article 325n of Regulation (EU) No 575/2013

CSR_SEC_ACTPVEGA1 yearCSR_SEC_ACTP_V_1.00Article 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPVEGA3 yearsCSR_SEC_ACTP_V_3.00Article 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPVEGA5 yearsCSR_SEC_ACTP_V_5.00Article 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPVEGA10 yearsCSR_SEC_ACTP_V_10.00Article 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPCURVATURE0,5 yearsUpward shiftCSR_SEC_ACTP_CU_0.50Articles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_ACTPCURVATURE1 yearUpward shiftCSR_SEC_ACTP_CU_1.00Articles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_ACTPCURVATURE3 yearsUpward shiftCSR_SEC_ACTP_CU_3.00Articles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_ACTPCURVATURE5 yearsUpward shiftCSR_SEC_ACTP_CU_5.00Articles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_ACTPCURVATURE10 yearsUpward shiftCSR_SEC_ACTP_CU_10.00Articles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_ACTPCURVATURE0,5 yearsDownward shiftCSR_SEC_ACTP_CD_0.50Articles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_ACTPCURVATURE1 yearDownward shiftCSR_SEC_ACTP_CD_1.00Articles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_ACTPCURVATURE3 yearsDownward shiftCSR_SEC_ACTP_CD_3.00Articles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_ACTPCURVATURE5 yearsDownward shiftCSR_SEC_ACTP_CD_5.00Articles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_ACTPCURVATURE10 yearsDownward shiftCSR_SEC_ACTP_CD_10.00Articles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA0,5 yearsDebt instrumentCSR_SEC_NON_ACTP_D_0.50_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA1 yearDebt instrumentCSR_SEC_NON_ACTP_D_1.00_DEBTArticle 325n of Regulation (EU) No 575/2013

CSR_SEC_NON_ACTPDELTA3 yearsDebt instrumentCSR_SEC_NON_ACTP_D_3.00_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA5 yearsDebt instrumentCSR_SEC_NON_ACTP_D_5.00_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA10 yearsDebt instrumentCSR_SEC_NON_ACTP_D_10.00_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA0,5 yearsCredit Default SwapCSR_SEC_NON_ACTP_D_0.50_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA1 yearCredit Default SwapCSR_SEC_NON_ACTP_D_1.00_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA3 yearsCredit Default SwapCSR_SEC_NON_ACTP_D_3.00_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA5 yearsCredit Default SwapCSR_SEC_NON_ACTP_D_5.00_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA10 yearsCredit Default SwapCSR_SEC_NON_ACTP_D_10.00_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPVEGA0,5 yearsCSR_SEC_NON_ACTP_V_0.50Article 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPVEGA1 yearCSR_SEC_NON_ACTP_V_1.00Article 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPVEGA3 yearsCSR_SEC_NON_ACTP_V_3.00Article 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPVEGA5 yearsCSR_SEC_NON_ACTP_V_5.00Article 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPVEGA10 yearsCSR_SEC_NON_ACTP_V_10.00Article 325n of Regulation (EU) No 575/2013

CSR_SEC_NON_ACTPCURVATURE0,5 yearsUpward shiftCSR_SEC_NON_ACTP_CU_0.50Articles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPCURVATURE1 yearUpward shiftCSR_SEC_NON_ACTP_CU_1.00Articles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPCURVATURE3 yearsUpward shiftCSR_SEC_NON_ACTP_CU_3.00Articles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPCURVATURE5 yearsUpward shiftCSR_SEC_NON_ACTP_CU_5.00Articles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPCURVATURE10 yearsUpward shiftCSR_SEC_NON_ACTP_CU_10.00Articles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPCURVATURE0,5 yearsDownward shiftCSR_SEC_NON_ACTP_CD_0.50Articles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPCURVATURE1 yearDownward shiftCSR_SEC_NON_ACTP_CD_1.00Articles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPCURVATURE3 yearsDownward shiftCSR_SEC_NON_ACTP_CD_3.00Articles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPCURVATURE5 yearsDownward shiftCSR_SEC_NON_ACTP_CD_5.00Articles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPCURVATURE10 yearsDownward shiftCSR_SEC_NON_ACTP_CD_10.00Articles 325n, 325g of Regulation (EU) No 575/2013EQDELTASpot priceEQ_D_SPOTArticle 325o of Regulation (EU) No 575/2013EQDELTARepo rateEQ_D_REPOArticle 325o of Regulation (EU) No 575/2013EQVEGA0,5 yearsEQ_V_0.50Article 325o of Regulation (EU) No 575/2013EQVEGA1 yearEQ_V_1.00Article 325o of Regulation (EU) No 575/2013EQVEGA3 yearsEQ_V_3.00Article 325o of Regulation (EU) No 575/2013EQVEGA5 yearsEQ_V_5.00Article 325o of Regulation (EU) No 575/2013EQVEGA10 yearsEQ_V_10.00Article 325o of Regulation (EU) No 575/2013

EQCURVATUREUpward shiftEQ_CUArticles 325o, 325g of Regulation (EU) No 575/2013EQCURVATUREDownward shiftEQ_CDArticles 325o, 325g of Regulation (EU) No 575/2013FXDELTAFX_DArticle 325q of Regulation (EU) No 575/2013FXVEGA0,5 yearsFX_V_0.50Article 325q of Regulation (EU) No 575/2013FXVEGA1 yearFX_V_1.00Article 325q of Regulation (EU) No 575/2013FXVEGA3 yearsFX_V_3.00Article 325q of Regulation (EU) No 575/2013FXVEGA5 yearsFX_V_5.00Article 325q of Regulation (EU) No 575/2013FXVEGA10 yearsFX_V_10.00Article 325q of Regulation (EU) No 575/2013FXCURVATUREUpward shiftFX_CUArticles 325q, 325g of Regulation (EU) No 575/2013FXCURVATUREDownward shiftFX_CDArticles 325q, 325g of Regulation (EU) No 575/2013GIRRDELTA0,25 yearsGIRR_D_0.25Article 325l of Regulation (EU) No 575/2013GIRRDELTA0,5 yearsGIRR_D_0.50Article 325l of Regulation (EU) No 575/2013GIRRDELTA1 yearGIRR_D_1.00Article 325l of Regulation (EU) No 575/2013GIRRDELTA2 yearsGIRR_D_2.00Article 325l of Regulation (EU) No 575/2013GIRRDELTA3 yearsGIRR_D_3.00Article 325l of Regulation (EU) No 575/2013GIRRDELTA5 yearsGIRR_D_5.00Article 325l of Regulation (EU) No 575/2013GIRRDELTA10 yearsGIRR_D_10.00Article 325l of Regulation (EU) No 575/2013GIRRDELTA15 yearsGIRR_D_15.00Article 325l of Regulation (EU) No 575/2013GIRRDELTA20 yearsGIRR_D_20.00Article 325l of Regulation (EU) No 575/2013GIRRDELTA30 yearsGIRR_D_30.00Article 325l of Regulation (EU) No 575/2013

GIRRDELTAInflationGIRR_D_INFArticle 325l of Regulation (EU) No 575/2013GIRRDELTACross-currency basis (over EUR)GIRR_D_CRO_EURArticle 325l of Regulation (EU) No 575/2013GIRRDELTACross-currency basis (over USD)GIRR_D_CRO_USDArticle 325l of Regulation (EU) No 575/2013GIRRVEGA0,5 years - 0,5 yearsGIRR_V_0.50_0.50Article 325l of Regulation (EU) No 575/2013GIRRVEGA1 year - 0,5 yearsGIRR_V_1.00_0.50Article 325l of Regulation (EU) No 575/2013GIRRVEGA3 years - 0,5 yearsGIRR_V_3.00_0.50Article 325l of Regulation (EU) No 575/2013GIRRVEGA5 years - 0,5 yearsGIRR_V_5.00_0.50Article 325l of Regulation (EU) No 575/2013GIRRVEGA10 years - 0,5 yearsGIRR_V_10.00_0.50Article 325l of Regulation (EU) No 575/2013GIRRVEGA0,5 years - 1 yearGIRR_V_0.50_1.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA1 year - 1 yearGIRR_V_1.00_1.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA3 years - 1 yearGIRR_V_3.00_1.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA5 years - 1 yearGIRR_V_5.00_1.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA10 years - 1 yearGIRR_V_10.00_1.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA0,5 years - 3 yearsGIRR_V_0.50_3.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA1 year - 3 yearsGIRR_V_1.00_3.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA3 years - 3 yearsGIRR_V_3.00_3.00Article 325l of Regulation (EU) No 575/2013

GIRRVEGA5 years - 3 yearsGIRR_V_5.00_3.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA10 years - 3 yearsGIRR_V_10.00_3.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA0,5 years - 5 yearsGIRR_V_0.50_5.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA1 year - 5 yearsGIRR_V_1.00_5.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA3 years - 5 yearsGIRR_V_3.00_5.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA5 years - 5 yearsGIRR_V_5.00_5.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA10 years - 5 yearsGIRR_V_10.00_5.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA0,5 years - 10 yearsGIRR_V_0.50_10.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA1 year - 10 yearsGIRR_V_1.00_10.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA3 years - 10 yearsGIRR_V_3.00_10.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA5 years - 10 yearsGIRR_V_5.00_10.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA10 years - 10 yearsGIRR_V_10.00_10.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA0,5 yearsInflationGIRR_V_0.50_INFArticle 325l of Regulation (EU) No 575/2013GIRRVEGA1 yearInflationGIRR_V_1.00_INFArticle 325l of Regulation (EU) No 575/2013GIRRVEGA3 yearsInflationGIRR_V_3.00_INFArticle 325l of Regulation (EU) No 575/2013GIRRVEGA5 yearsInflationGIRR_V_5.00_INFArticle 325l of Regulation (EU) No 575/2013GIRRVEGA10 yearsInflationGIRR_V_10.00_INFArticle 325l of Regulation (EU) No 575/2013GIRRVEGA0,5 yearsCross-currency basis (over EUR)GIRR_V_0.50_CRO_EURArticle 325l of Regulation (EU) No 575/2013

GIRRVEGA1 yearCross-currency basis (over EUR)GIRR_V_1.00_CRO_EURArticle 325l of Regulation (EU) No 575/2013GIRRVEGA3 yearsCross-currency basis (over EUR)GIRR_V_3.00_CRO_EURArticle 325l of Regulation (EU) No 575/2013GIRRVEGA5 yearsCross-currency basis (over EUR)GIRR_V_5.00_CRO_EURArticle 325l of Regulation (EU) No 575/2013GIRRVEGA10 yearsCross-currency basis (over EUR)GIRR_V_10.00_CRO_EURArticle 325l of Regulation (EU) No 575/2013GIRRVEGA0,5 yearsCross-currency basis (over USD)GIRR_V_0.50_CRO_USDArticle 325l of Regulation (EU) No 575/2013GIRRVEGA1 yearCross-currency basis (over USD)GIRR_V_1.00_CRO_USDArticle 325l of Regulation (EU) No 575/2013GIRRVEGA3 yearsCross-currency basis (over USD)GIRR_V_3.00_CRO_USDArticle 325l of Regulation (EU) No 575/2013GIRRVEGA5 yearsCross-currency basis (over USD)GIRR_V_5.00_CRO_USDArticle 325l of Regulation (EU) No 575/2013GIRRVEGA10 yearsCross-currency basis (over USD)GIRR_V_10.00_CRO_USDArticle 325l of Regulation (EU) No 575/2013GIRRCURVATUREUpward shiftGIRR_CUArticles 325l, 325g of Regulation (EU) No 575/2013GIRRCURVATUREDownward shiftGIRR_CDArticles 325l, 325g of Regulation (EU) No 575/2013

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 VALUATION106.1C 106.00INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATIONIMV106.2C 106.01RISK SENSITIVITIES BY INSTRUMENTSENSITIVITIESVaR, 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 3SBM111.1C 120.01SBM. SENSITIVITIES BY INSTRUMENT/PORTFOLIOSBM 1111.2C 120.02SBM. OFR COMPOSITION BY PORTFOLIOSBM 2111.3C 120.03SBM. OFRSBM 3

C 106.00 - INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION

Instrument numberInstrument Modelled for Var + SVaR (True/False)Instrument Modelled for IRC (True/False)Instrument Modelled for Correlation Trading (True/False)Rationale for ExclusionFree text boxInitial Market Valuation0010002000300040005000600070

C 106.01 - RISK SENSITIVITIES BY INSTRUMENT

Instrument number

Risk factor identifierBucketAdditional identifierImplied volatilityRisk sensitivity (Reporting currency results)Reporting currencyRisk sensitivity (EBA instrument currency results)Pricing modelSensitivities definitionFree text box0010002000300040005000600070008000900100

C 107.01 - VaR, sVaR and PV. DETAILS

OptionFree text box00100020VaR0010Methodology0020Computation of 10-day Horizon0030Length of observation period0040Data Weighting0050Backtesting add-on0060Regulatory add-onSVaR0070Methodology0080Computation of 10-day Horizon0090SVaR Regulatory add-on0100SVaR period

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

Portfolio

DateVaRsVaRPV0010002000300040

C 108.00 - PROFIT & LOSS TIME SERIES

Portfolio

DateDaily P&L00100020

C 109.01 - IRC. DETAILS OF THE MODEL

OptionFree text boxRowItem001000200010Number of modelling factors0020Source of LGDs

C 109.02 - IRC. DETAILS BY PORTFOLIO

Portfolio

OptionFree text boxRowItem001000200010Liquidity Horizon0020Source of PDs0030Source of transition matrices

C 109.03 - IRC. AMOUNT BY PORTFOLIO/DATE

Portfolio

DateIRC00100020

C 110.01 - CT. DETAILS OF THE MODEL

OptionFree text boxRowItem001000200010Number of modelling factors0020Source of LGDs

C 110.02 - CT. DETAILS BY PORTFOLIO

Portfolio

OptionFree text boxRowItem001000200010Liquidity Horizon0020Source of PDs0030Source of transition matrices

C 110.03 - CT. APR BY PORTFOLIO/DATE

Portfolio

DateAPR00100060

C 120.01 - SBM. Risk sensitivities by Instrument/Portfolio

Portfolio

Instrument numberRisk factor identifierBucketAdditional identifierImplied volatilityRisk sensitivity (Reporting currency results)Reporting currencyRisk sensitivity (EBA portfolio currency results)00100020003000400050006000700080

C 120.02 - SBM. OFR COMPOSITION BY PORTFOLIO

Portfolio

Risk classRisk ComponentCorrelations scenarioOwn funds requirements (Reporting currency results)Reporting currencyOwn funds requirements (EBA portfolio currency results)001000200030004000500060

C 120.03 - SBM. OFR

Portfolio numberSBM OFR (EBA portfolio currency results)00100020

Annex

ANNEX VIII

Annex

ANNEX VIII

Results Supervisory Benchmarking portfolios

Template numberTemplate codeName of the template/group of templates111.00C 111.00Details on exposures in Low Default Portfolios by counterparty112.00C 112.00Details on exposures in Low Default Portfolios by counterparty by economic scenario113.00C 113.00Details on exposures in Low Default Portfolios by counterparty by facility114.00C 114.00Details on macroeconomic scenarios per GDP Area code

Basic information about the reporting entity

Legal Entity Identifier (LEI code)Name of the institutionCountry (drop-down box)Reference Date (drop-down box)File name naming conventions:<Reference date><country code of the bank><LEI CODE>_S<submission number>.xlsExample:2019_12_31_AT_AAAAAAAAAAAAAAA_S1.xlsIn case of different LEI between the file name and cell E9 then the values in E9 will be considered.

C 111.00 - Details on exposures in Low Default Portfolios by counterparty

Counterparty CodeNumber of facilitiesGDP Area CodeExposure value - IFRS 9Gross carrying amountPD - 12 months - IFRS 9PD - IRB without conservative adjustmentLGD - IFRS 9ECL amount - 12 months IFRS 9Expected Loss Amount - IRBLGD IFRS 9 Unsecured 12M (Hypothetical)00100020003000400045010001100200040004100500

C 112.00 - Details on exposures in Low Default Portfolios by counterparty by economic scenario

Counterparty CodeEconomic scenario IDPD - 0 - 12 monthsPD - 0 - 24 monthsPD - 0 - 36 monthsPD - 0 - 48 monthsPD - 0 - 60 monthsPD - 0 - 72 monthsPD - 0 - 84 monthsPD - 0 - 96 monthsPD - 0 - 108 monthsPD - 0 - 120 months001000200100011001200130014001500160017001800190

C 113.00 - Details on exposures in Low Default Portfolios by counterparty by facility

Counterparty Codefacility IDExposure valueImpairment statusAnnualised originated PDAnnualised PD at reporting dateQuantitative Stage 2 trigger (in annualised PD)Low Credit Risk Exemption threshold (if applicable)Qualitative Stage 2 Trigger set001000200100020003000400050005500600

C 114.00 – Details on macroeconomic scenarios per GDP Area code

GDP Area codeEconomic scenario IDGDP growth - 0 - 12 monthsGDP growth - 12 - 24 monthsGDP growth - 24 - 36 monthsGDP growth - 36 - 48 monthsGDP growth - 48 - 60 monthsGDP growth - 60 - 72 monthsGDP growth - 72 - 84 monthsGDP growth - 84 - 96 monthsGDP growth - 96 - 108 monthsGDP growth - 108 - 120 monthsWeight of the Scenarios - 0 - 12 monthsWeight of the Scenarios - 12 - 24 monthsWeight of the Scenarios - 24 - 36 monthsWeight of the Scenarios - 36 - 48 monthsWeight of the Scenarios - 48 - 60 monthsWeight of the Scenarios - 60 - 72 monthsWeight of the Scenarios - 72 - 84 monthsWeight of the Scenarios - 84 - 96 monthsWeight of the Scenarios - 96 - 108 monthsWeight of the Scenarios - 108 - 120 months0010002001000110012001300140015001600170018001900199020102020203020402050206020702080209

Annex

ANNEX IX

Annex

ANNEX IX

IFRS 9 TEMPLATE REPORTING INSTRUCTIONS

PART I:

GENERAL INSTRUCTIONS

2880

PART II:

TEMPLATE-RELATED INSTRUCTIONS

2881

C 111.00 –

Details on exposures in Low Default Portfolios by counterparty

2881

C 112.00 –

Details on exposures in Low Default Portfolios by counterparty by economic scenario

2883

C 113.00 –

Details on exposures in Low Default Portfolios by counterparty by facility

2885

C 114.00 –

Details on macroeconomic scenarios per GDP Area code

2888

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 credit risk mitigation, including exposures in stage 3 and counterparties for which the temporary or permanent partial use of the Standardised Approach has been permitted by the respective competent authority in accordance with Article 148 or 150 of Regulation (EU) No 575/2013. Information for counterparties and portfolios for which no exposure exists at the reference date shall not be submitted. Only the following exposures should be reported: those exposures which are subject to the impairment requirements under IFRS 9.5.5.1, excluding purchased or originated credit-impaired financial assets as defined in Appendix A to IFRS 9 as set out in the Annex to Commission Regulation (EC) No 1126/2008 (Annex relating to IFRS 9) shall be included.

1. Information not required or not applicable shall not be submitted; the relevant cells shall either be left blank or NULL shall be inserted. This shall also apply to weighted average quantities that cannot be calculated. Zero values shall be reported only where the intention is to report a quantity of zero. To report quantities that are zero, the cells shall not be left blank nor shall NULL be inserted.

1. Monetary amounts shall be reported in the same way as they are reported for calculating own funds requirements at a specific reference date in accordance with Commission Implementing Regulation (EU) No 2021/451

Commission Implementing Regulation (EU) No 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (OJ L 97, 19.3.2021, p. 1).

.

1. All the templates included in this Annex shall be filled only for the subset of counterparties with the counterparty ID in the following format: ID _CT. Specialised lending exposures as defined in Article 147(8) of Regulation (EU) No 575/2013 shall be excluded.

1. The PDs shall be expressed as a value between 0 and 1, and shall be expressed with a minimum precision equivalent to four decimals.

1. Where the facility expires within the year considered for a specific data point, the parameter estimates and the ECL amount to be reported for this facility shall be related to a default event over a 12 months’ period. By way of derogation from this rule, for the purpose of template C 112.00, where the facility expires before the year considered for a specific data point, the facility’s PD shall not be included in the exposure weighted average PD.

1. In relation to guaranteed exposures, the PD parameter to be reported shall be the one of the original obligors, regardless of whether, for regulatory purposes, the CRM technique is applied via a substitution of the risk parameters of the obligor by the risk parameters of the protection provider. However, the effect of the guarantee shall be taken into consideration in the LGD and in the ECL estimate, in line with the approach used for accounting purposes. Under no circumstances should the PD parameters of a protection provider be reported as the risk parameters of the original obligor.

PART II: TEMPLATE-RELATED INSTRUCTIONS

C 111.00 – Details on exposures in Low Default Portfolios by counterparty

ColumnLabelLegal referenceInstructions0010Counterparty CodeThe instructions provided in Annex IV to this Implementing Regulation for column 0010 of template C 101 shall apply. This column is a row identifier and shall be unique for each row in the table.0020Number of facilitiesThe number of facilities of the counterparty.0030GDP Area Code

The code of the geographical area of the counterparty. The geographical area should be the one associated with the estimations of columns 0100 to 0190 of this Annex for column 0010 of template C 114.00. Where the GDP is estimated for the counterparty on a single country basis, the country code shall have the same format as the one used in column 0080 of template C 101 of Annex I to this Implementing Regulation. Where the GDP is estimated for an area with several countries, one of the following codes shall be used:

All countries: where GDP estimates can be considered as global estimates;

European Union (EU): where the GDP estimates can be considered as estimates related to the European Union composition at the reference date;

Euro Area: where the GDP estimates can be considered as estimates related to the Euro Area composition at the reference date;

Countries of the OECD: where the GDP estimates can be considered as estimates related to the whole set of jurisdictions which are member countries of the Organisation for Economic Co-operation and Development (OECD) at the reference date.

0040Exposure value - IFRS 9

The sum of exposure values to the counterparty over all facilities at the reporting date, as considered for the application of impairment requirements under IFRS 9. This shall include both on- and off-balance sheet exposures in the scope of the impairment requirements of IFRS 9, as well as off-balance sheet exposures after the application of the conversion factors used for accounting purposes.

For both stage 1 and stage 2 facilities, the exposure value for each facility shall be the one associated with default events over the 12 months’ period following the reporting date.

0045Gross carrying amountAppendix A, defined terms of Commission Delegated Regulation (EU) 2016/2067The sum of the amortised cost at the reporting date, before adjusting for any loss allowance, over all on-balance exposures towards the counterparty, which are in the scope of application of impairment requirements under IFRS 9.

0100PD - 12 months IFRS 9

The PD calculated at the counterparty level at the reporting date, representing the probability of a default event within 12 months following the reporting date, as considered in the application of the impairment requirements under IFRS 9. This shall be the PD used to compute the 12 month expected credit loss (ECL amount – 12 months IFRS 9), and associated with the economic scenario 0 in template C 112.00.

Where the institution applies different PDs for different exposures to the same counterparty, the weighted average PD at the reporting date shall be reported. The weight used for each facility shall be the exposure value as defined in column 0040 of this template.

Where the PD values associated with the economic scenario 0 of the template C 112.00 are not populated, this data point shall not be populated, either.

0110PD - IRB without conservative adjustmentsArticles 160 and 180 of Regulation (EU) No 575/2013-Section 4.4.3. of EBA Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures

The PD of the counterparty estimated under Articles 160 and 180 of Regulation (EU) No 575/2013, free from any Margin of Conservatism, regulatory floors, supervisory add-ons and any other conservative measures, and adjustments.

Where an institution is not able to isolate the conservative adjustments embedded in its PD estimates, this data point shall either be left blank or NULL shall be inserted.

This data point shall be submitted only for those exposures for which an internal model has been approved and is used in the calculation of risk weighted exposure amounts (RWA). For all other cases, this field shall be left blank or NULL shall be inserted.

0200LGD - IFRS 9

The weighted average LGD of the counterparty applied by the institution to the exposures of each counterparty, at the reporting date, as considered in the impairment requirements under IFRS 9 and used to compute the final expected credit loss.

The weight used to compute the LGD weighted average shall be the multiplication of the following two values:

(a) the PD assigned to the facility at the reporting date, representing the probability of a default event within 12 months following the reporting date, as defined in column 0100 of this template;

(b) the exposure value of the facility associated with default events over the 12 months’ period following the reporting date, as defined in column 0040 of this template.

For both stage 1 and stage 2 facilities, the LGD for each facility shall be the one associated with default events over the 12 months’ period following the reporting date.

0400ECL amount – 12 months IFRS 9Appendix A to IFRS 9 as set out in the Annex to Commission Regulation (EC) No 1126/2008

The sum of the expected credit losses to the counterparty over all facilities for the exposures, at the reporting date, as considered for the application of impairment requirements under IFRS 9.

For both stage 1 and stage 2 facilities, the ECL amount for each facility shall be the one associated with default events over the 12 months’ period following the reporting date.

0410Expected Loss Amount- IRBColumn 0280 of template 8.1 of Annex I to Implementing Regulation (EU) No 2021/451

The expected loss amount calculated using IRB parameters.

This data point shall be submitted only for those exposures for which an internal model has been approved and is used in the calculation of RWA. For all other cases, this field shall be left blank or NULL shall be inserted.

0500

LGD IFRS 9 Unsecured

12M (Hypothetical)

The hypothetical LGD value that would be applied by the institution, according to the impairment requirements under IFRS 9, to a Senior Unsecured exposure to the counterparty, associated with a default event over the 12 months’ period following the reporting date, shall be reported. This hypothetical LGD value shall be computed according to the economic scenario 0 in template C 112.00 and in accordance with the following:

The exposure is senior and unsecured (no funded nor unfunded credit protection);

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.

C 112.00 – Details on exposures in Low Default Portfolios by counterparty by economic scenario

The PD values reported in columns 0100, 0110, 0120, 0130, 0140, 0150, 0160, 0170, 0180, and 0190 shall not incorporate any effect of prepayment. Where the PD model cannot provide PD values beyond the maturity of the facility, these fields shall be left blank or the indication NULL shall be inserted.

Where the ECL amount is calculated as a probability weighted ECL of each economic scenario, the following considerations apply:

Where the IFRS 9 model related to the obligor uses five economic scenarios, the PD values associated with each of the scenario shall be reported for the columns 0100 to 0290. The PD values associated with the economic scenario 0 shall be the weighted average of the PDs reported for the economic scenario 1 to 5, using the weights reported in the columns 0199 to 0209 in the template 114.00 of this Annex.

Where the IFRS 9 model related to the obligor uses a lower number of economic scenarios than five, the rows related to the missing economic scenarios shall not be reported.

Where more than one, but less than 5 economic scenarios are used, the PD values associated with the economic scenario 0 shall be the weighted average of the PDs reported for the economic scenario 1 to 5, using the weights reported in the columns 0199to 0209 in the template C 114.00 of this Annex and 0 for the unused scenarios.

Where the IFRS 9 model related to the obligor uses a higher number of economic scenarios than five, including when performing Monte Carlo simulation, institutions shall report the economic scenario 0 and they shall also map the economic scenarios into the 5 predefined buckets. Where there is no mapping of an institution’s internal scenarios and the five prescribed scenarios, only scenario 0 shall be reported.

Where only a single scenario is used, without any adjustment, neither at the PD level nor at the ECL level that takes into account the non-linearity effects, the PD values for this economic scenario shall be reported under both economic scenarios 0 and 1.

Where the estimation is based on a baseline scenario that is forward-looking and an adjustment is applied to consider the non-linearity effect, the institution shall report in the template the cumulative PD value of the baseline scenario in scenario 1, and the PD used for the purpose of the Significant Increase in Credit Risk (SICR) assessment in scenario 0.

ColumnLabelLegal referenceInstructions0010Counterparty CodeThe counterparty code assigned in column 0010 of template C 101 of Annex I to this Implementing Regulation to the counterparty included in the low default portfolio (LDP) samples portfolios shall be reported. Columns 0010 and 0020 shall be a composite row identifier and together shall be unique for each row in the table.0020Economic scenario ID

The economic scenario used by the institution to calculate the IFRS 9 PD. The scenario ID shall be expressed as a value between 0 and 5. With the exception of specific cases described before, all the 6 economic scenarios shall be populated.

The economic scenario 1 shall be the baseline scenario. The economic scenarios 2 to 5 shall be ranked according to their severity, from the most favourable (number 2) to the most severe (number 5).

0100PD - 0 - 12 monthsThe cumulative PD assigned to the counterparty representing the probability of a default event within the 12 months after the reporting date, under the economic scenario considered.0110PD - 0 - 24 monthsThe cumulative PD assigned to the counterparty representing the probability of a default event within the 24 months after the reporting date, under the economic scenario considered.0120PD - 0 - 36 monthsThe cumulative PD assigned to the counterparty representing the probability of a default event within the 36 months after the reporting date, under the economic scenario considered.0130PD - 0 - 48 monthsThe cumulative PD assigned to the counterparty representing the probability of a default event within the 48 months after the reporting date, under the economic scenario considered.

0140PD - 0 - 60 monthsThe cumulative PD assigned to the counterparty representing the probability of a default event within the 60 months after the reporting date, under the economic scenario considered.0150PD - 0 - 72 monthsThe cumulative PD assigned to the counterparty representing the probability of a default event within the 72 months after the reporting date, under the economic scenario considered.0160PD - 0 - 84 monthsThe cumulative PD assigned to the counterparty representing the probability of a default event within the 84 months after the reporting date, under the economic scenario considered.0170PD - 0 - 96 monthsThe cumulative PD assigned to the counterparty representing the probability of a default event within the 96 months after the reporting date, under the economic scenario considered.0180PD - 0 - 108 monthsThe cumulative PD assigned to the counterparty representing the probability of a default event within the 108 months after the reporting date, under the economic scenario considered.0190PD - 0 - 120 monthsThe cumulative PD assigned to the counterparty representing the probability of a default event within the 120 months after the reporting date, under the economic scenario considered.

C 113.00 – Details on exposures in Low Default Portfolios by counterparty by facility

ColumnLabelLegal referenceInstructions0010Counterparty CodeThe instructions provided in this Annex for column 0010 of C 112.00 shall apply. Columns 0010 and 0020 shall be a composite row identifier and together shall be unique for each row in the table.0020Facility ID

The facility ID assigned by the institution to the facility of the counterparty shall be used in a consistent way across time.

Where the institution has more than five facilities toward a given counterparty, it shall report only the five facilities with the highest exposure amount.

0100Exposure value – IFRS 9

The exposure value to the facility of the counterparty at the reporting date, as considered for the application of impairment requirements under IFRS 9. This shall include both, on- and off-balance sheet exposures in the scope of the impairment requirements of IFRS 9.

For both stage 1 and stage 2 facilities, the exposure value for each facility shall be the one associated with default events over the 12 months’ period following the reporting date.

0200Impairment StatusParagraph 5 (l) in Part 1 of Annex V to Regulation (EU) No 2021/451

The stage assigned to the facility to each counterparty at the reporting date shall be reported as follows:

Instruments without significant increase in credit risk (stage 1);

instruments with significant increase in credit risk (stage 2);

Credit impaired instruments (stage 3).

0300Annualised originated PD

IFRS 9.5.5.9

IFRS 9.B5.5.11

IFRS 9.B5.5.13

IFRS 9.B5.5.43

The annualised lifetime PD representing the probability of default assigned to the facility, evaluated at the origination date, used for the assessment of the significant increase in credit risk, calculated in accordance with the following formula:

Annualised lifetime PD 1 M1 lifetime PD

where

M is the residual number of years of the maturity of the facility at the reporting date;

lifetime PD is the lifetime PD representing the probability of default assigned to the facility, for the residual number of years at the reporting date, evaluated at the origination date, used for the assessment of the significant increase in credit risk

Where the 12-month PD is used as a proxy for the assessment of the significant increase in credit risk, the 12-month PD evaluated at the origination date shall be reported.

0400Annualised PD at reporting date

IFRS 9.5.5.9

IFRS 9.B5.5.13

IFRS 9.B5.5.14

The annualised lifetime PD representing the probability of default assigned to the facility, evaluated at the reporting date, used for the assessment of the significant increase in credit risk, calculated in accordance with the following formula:

Annualised lifetime PD 1 M1 lifetime PD

where:

M is the residual number of years of the maturity of the facility at the reporting date;

lifetime PD is the lifetime PD representing the probability of default assigned to the facility, for the residual number of years at the reporting date, evaluated at the reporting date, used for the assessment of the significant increase in credit risk.

Where the 12-month PD is used as a proxy for the assessment of the significant increase in credit risk, the 12-month PD evaluated at the reporting date shall be reported.

0500Quantitative Stage 2 trigger (in annualised PD)IFRS 9.5.5.9

The annualised lifetime PD level which constitutes a significant increase in credit risk and triggers a transfer to stage 2 for the considered facility of the counterparty, calculated in accordance with the following formula:

Annualised lifetime PD 1 M1 lifetime PD

where:

M is the residual number of years of the maturity of the facility at the reporting date;

lifetime PD is the lifetime PD level which constitutes a significant increase in credit risk and triggers a transfer to stage 2 for the considered facility of the counterparty, for the residual number of years of the maturity of the exposure at the reporting date.

To note, for the purpose of this data point, the implications on the annualised PD threshold for the transfer to stage 2 stemming from the adoption of the Low Credit Risk exemption (where applicable) shall not be taken into consideration.

Where both a relative and an absolute threshold are used for the assessment of a significant increase in credit risk, the threshold that first triggers a transfer to stage 2 for the considered facility shall be reported.

Where a ratings-based approach is used for the assessment of a significant increase in credit risk, the annualised lifetime PDs corresponding to the rating that would trigger the transfer shall be reported.

Where the 12-month PD is used as a proxy for the assessment of the significant increase in credit risk, the 12-month PD trigger level which constitutes a significant increase in credit risk shall be reported.

0550Low Credit Risk exemption threshold (if applicable)

IFRS 9.5.5.10

IFRS 9.B5.5.22 – B5.5.24

The annualised lifetime PD level, below which the financial instrument is considered to have a low risk of default, calculated in accordance with the following formula:

Annualised lifetime PD 1 M1 lifetime PD

where:

M is the residual number of years of the maturity of the exposure at the reporting date;

lifetime PD is the lifetime PD level below which the financial instrument is considered to have a low risk of default at the reporting date.

Where the facility is not subject to the Low Credit Risk exemption, this data point shall be left blank or NULL shall be inserted.

Where the 12-month PD is used as a proxy for the low credit risk assessment, the 12-month PD below which the financial instrument is considered to have a low risk of default shall be reported.

0600Qualitative Stage 2 Trigger set

IFRS 9.B5.5.17

IFRS 9.B5.5.19 – B5.5.21

Where the facility is in stage 1 or in stage 3, this field shall be left bank or NULL shall be inserted.

Where the facility is in stage 2, the type of qualitative indicator that triggered first the stage transfer shall be reported as one of the following:

no qualitative indicator (but the facility is in stage 2 due to a quantitative trigger);

30 days past due;

watch list;

forbearance;

other qualitative trigger;

identification of first trigger not possible.

C 114.00 – Details on macroeconomic scenarios per GDP Area code

The estimated yearly GDP growth of the countries reported in columns 0100, 0110, 0120, 0130, 0140, 0150, 0160, 0170, 0180 and 0190 shall be expressed in decimals with a minimum precision equivalent to four decimals. Where the annual GDP growth is estimated for aggregated geographical zones different from the ones referred to in column 0010, this estimation shall be reported for each of the countries belonging to the relevant geographical zone and for each maturity bucket.

Where the IFRS 9 model related to the obligor uses a higher number of economic scenarios than five, including when performing Monte Carlo simulation, the template C 114.00 should not be populated.

In the case where the weights for all the economic scenarios of a given country are the same over the different time horizons, the columns 201 to 209 may either be left blank or NULL shall be inserted.

ColumnLabelLegal referenceInstructions0010GDP Area Code

The list of areas identified in column 0030 of template C 111.00 of this Annex.

Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in the table.

0020Economic scenario ID

IFRS 9.5.5.17(a)

IFRS 9.5.5.18

IFRS 9.B5.5.41

IFRS 9.B5.5.42

The instructions provided in this Annex for column 0020 of C 112.00 shall apply for scenario 1 to 5. However, in case the IFRS 9 model related to the GDP area code uses an average macro-economic scenario, with no individual macro-economic scenario available, the scenario 1 to 5 should not be populated. Instead, the average macro-economic scenario should be reported under the economic scenario 0, and no data should be reported for the economic scenarios 1 to 5.0100GDP growth - 0 - 12 monthsThe estimated yearly GDP growth within the next 12 months after the reporting date of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0110GDP growth - 12 - 24 monthsThe estimated yearly GDP growth within the next 12 months starting 12 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0120GDP growth - 24 - 36 monthsThe estimated yearly GDP growth within the next 12 months starting 24 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0130GDP growth - 36 - 48 monthsThe estimated yearly GDP growth within the next 12 months starting 36 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0140GDP growth - 48 - 60 monthsThe estimated yearly GDP growth within the next 12 months starting 48 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0150GDP growth - 60 - 72 monthsThe estimated yearly GDP growth within the next 12 months starting 60 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0160GDP growth - 72 - 84 monthsThe estimated yearly GDP growth within the next 12 months starting 72 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.

0170GDP growth - 84 - 96 monthsThe estimated yearly GDP growth within the next 12 months starting 84 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0180GDP growth - 96 - 108 monthsThe estimated yearly GDP growth within the next 12 months starting 96 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0190GDP growth - 108 - 120 monthsThe estimated yearly GDP growth within the next 12 months starting 108 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0199Weight of the Scenarios - 0 - 12 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 0-12 months shall be reported. The weight shall be expressed as a value between 0 and 1.0201Weight of the Scenarios - 12 - 24 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 12-24 months shall be reported. The weight shall be expressed as a value between 0 and 1.0202Weight of the Scenarios - 24 - 36 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 24-36 months shall be reported. The weight shall be expressed as a value between 0 and 1.0203Weight of the Scenarios - 36 - 48 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 36-48 months shall be reported. The weight shall be expressed as a value between 0 and 1.0204Weight of the Scenarios - 48 - 60 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 48-60 months shall be reported. The weight shall be expressed as a value between 0 and 1.0205Weight of the Scenarios - 60 - 72 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 60-72 months shall be reported. The weight shall be expressed as a value between 0 and 1.0206Weight of the Scenarios - 72 - 84 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 72-84 months shall be reported. The weight shall be expressed as a value between 0 and 1.

0207Weight of the Scenarios - 84 - 96 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 84-96 months shall be reported. The weight shall be expressed as a value between 0 and 1.0208Weight of the Scenarios - 96 - 108 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 96-108 months shall be reported. The weight shall be expressed as a value between 0 and 1.0209Weight of the Scenarios - 108 - 120 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 108-120 months shall be reported. The weight shall be expressed as a value between 0 and 1.