Commission Implementing Regulation (EU) 2023/313 of 15 December 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions 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.

32023R0313

Den Europæiske UnionForordning2023

European Union

§ Article 153

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

Template C 08.02 of Annex I to Implementing Regulation (EU) 2021/451

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

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

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

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

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

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

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

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

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

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

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

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

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

0070Exposure classParagraph 76 of Annex II to Implementing Regulation (EU) 2021/451

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

(a) central governments and central banks;

(b) institutions;

(c.1)

corporates - other;

(c.2)

corporates - specialised lending exposures;

(e) not applicable.

In accordance with Article 147(4), point (a), of Regulation (EU) No 575/2013 exposures to regional governments and local authorities which are not treated as exposures to central governments shall be assigned to the exposure class 'exposures to institutions'.

The exposure classes equity exposures and items representing securitisation positions referred to in article 147(2), points (e) and (f), of Regulation (EU) No 575/2013, shall not be reported.

0080Sector of counterpartyAnnex VI to Implementing Regulation (EU) 2021/451

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

(a) central banks;

(b) general governments;

(d) other financial corporations;

(e) non-financial corporations;

(f) households;

(g) not applicable.

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

0090Default status

Exposures shall be split into parts and assigned to portfolios based on the default status in accordance with Article 178 of Regulation (EU) No 57/2013:

(a) defaulted;

(b) non-defaulted;

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 do provide for automatic cancellation due to a deterioration in borrower’s creditworthiness;

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

(j) not applicable.

0110Collateralisation statusColumns 150 to 220 of template C 08.01 of Annex I to Implementing Regulation (EU) 2021/451

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;

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 0040 to 0060 and 0150 to 0220 of template C 08.01 of Annex I to Implementing Regulation (EU) 2021/451

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

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

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

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

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

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

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

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

(i) other unfunded credit protection: exposures subject to double default (template C 08.01, column 0220);

(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, of Regulation (EU) No 575/2013 and, where applicable, institutions’ internal guidelines.

0130Counterparty

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

(a) public sector entities (Part Three, Title II, Chapter 4, Section 4, of Regulation (EU) No 575/2013);

(b) counterparties other than public sector entities;

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;

(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 Rev. 2 set out in Regulation (EC) No 1893/2006:

(a) NACE 1: C Manufacturing;

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

(d) NACE 4: H Transport and storage;

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

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

(g) NACE 7: L Real estate activities;

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

(i) not applicable.

0160Type of exposureArticle 1 of Commission Delegated Regulation (EU) 2021/598

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

(a) not applicable;

(b) specialised lending exposures - project finance;

(d) specialised lending exposures - object finance;

(e) specialised lending exposures - commodities finance;

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

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

0170Size of exposureColumn 0110 of template C 08.01 of Annex I to Implementing Regulation (EU) 2021/451

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

(a) Not applicable.

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;

(d) bucket 4: >80% <=90%;

(e) bucket 5: >90% <= 100%;

(f) bucket 6: >100% <= 110%;

(g) bucket 7: >110%;

(h) not applicable.

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

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

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

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

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

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

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;

(d) not applicable.

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

C 103.00 –

Definition of High Default Portfolios

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

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

1.0

CORP

1.1

CORP Defaulted

1.2

CORP Non-Defaulted

2.0

SMEC

2.1

SMEC Defaulted

2.2

SMEC Non-Defaulted

3.0

Other retail SME

3.1

Other retail SME Defaulted

3.2

Other retail SME Non-Defaulted

4.0

Mortgages non SME

4.1

Mortgages non SME Defaulted

4.2

Mortgages non SME Non-defaulted

5.0.

Mortgages SME

5.1

Mortgages SME Defaulted

5.2

Mortgages SME Non-defaulted

6.0

Other retail non-SME

6.1

Other retail non-SME Defaulted

6.2

Other retail non-SME Non-defaulted

7.0

QRRE

7.1

QRRE Defaulted

7.2

QRRE Non-defaulted

0030Type of riskThe instructions provided for column 0130 of table C 101.00 shall apply.

0040Regulatory approach

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

(a) foundation IRB approach;

(b) advanced IRB approach.

0050Geographical area

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

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

0060RatingThe instructions provided for column 0060 of table C 102.00 shall apply.0070Exposure class

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

(d) For corporate exposures in High Default Portfolios:

(d.1)

corporates - SME;

(d.2)

corporates - no SME;

(e) For retail exposures:

(e.1)

retail - SME;

(e.1.1)

retail - SME - Secured by real estate;

(e.1.2)

retail - SME - Other;

(e.2)

Retail - No SME;

(e.2.1)

retail - No SME - Other;

(e.2.2)

retail - No SME - Secured by real estate;

(e 3.3)

Retail - Qualifying revolving;

(f) not applicable.

The exposure classes equity exposures and items representing securitisation positions referred to in Article 147(2), points (e) and (f), of Regulation (EU) No 575/2013, shall not be reported.

0080Sector of counterpartyThe instructions provided for column 0100 of table C 102.00 shall apply.0090Default statusThe instructions provided for column 0090 of table C 102.00 shall apply.

0100Type of facilityThe instructions provided for column 0120 of table C 102.00 shall apply.0110Collateralisation statusThe instructions provided for column 0110 of table C 102.00 shall apply.0120Collateral typeThe instructions provided for column 0120 of table C 102.00 shall apply.0130CounterpartyThe instructions provided for column 0130 of table C 102.00 shall apply.0140Size of counterpartyThe instructions provided for column 0140 of table C 102.00 shall apply.0150NACE codeThe instructions provided for column 0150 of table C 102.00 shall apply.0160Type of exposureThe instructions provided for column 0110 of table C 102.00 shall apply.0170Size of exposureThe instructions provided for column 0170 of table C 102.00 shall apply.0180Indexed loan-to-value rangeThe instructions provided for column 0180 of table C 102.00 shall apply0190Balance sheet recognitionThe instructions provided for column 0190 of table C 102.00 shall apply.

Annex

ANNEX III

Annex

ANNEX IV

RESULTS SUPERVISORY BENCHMARK PORTFOLIOS

PART I

GENERAL INSTRUCTIONS

PART II

TEMPLATE RELATED INSTRUCTIONS

C 101 –

Details on exposures in Low Default Portfolios by counterparty

C 102 –

Details on exposures in Low Default Portfolios

C 103 –

Details on exposures in High Default Portfolio

C 105.01 –

Definition of internal models

C 105.02 –

Mapping of internal models to portfolios

C 105.03 –

Mapping of internal models to countries

PART I

GENERAL INSTRUCTIONS

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. Counterparties and portfolios for which no exposure exists at the reference date shall not be submitted.

Information shall be submitted only for those exposures for which the competent authority has approved an internal model for the calculation of risk weighted exposure amounts (RWA). In tables C 101, counterparty codes ending with STDA shall not be reported. For the remaining counterparty codes of table C 101 of Annex I and 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 has permitted the temporary or permanent partial use of the standardised approach, shall be excluded.

The fields collecting non-applicable/ill-defined information shall either be left blank or the indication NULL shall be inserted; this also applies to exposure at default (EAD)-weighted quantities or parameters that cannot be calculated. Likewise, data fields whose reporting is not mandatory may be left blank or submitted as NULL. Zero values shall be reported only where the intention is to report a quantity or parameter of zero. Neither of the indications blank or NULL shall be used to report quantities or parameters that are zero.

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) 2021/451.

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 table C 101 of Annex IThe counterparty code of column 0010 of table C 101 of Annex I defining the counterparty included in the low default portfolio (LDP) samples portfolios shall be reported. This code shall be a row identifier and shall be unique for each row in the template.0020Exposure classParagraph 76 of Annex II to Implementing Regulation (EU) 2021/451

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

(a) Central banks and central governments;

(b) Institutions;

(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 points (a) to (j) applies, which is the case where the exposures to a counterparty are classified in multiple exposure classes without one being clearly predominant.

0040Rating

The rank of the internal rating grade assigned to the counterparty within the institution’s applicable internal rating scale shall be reported. It shall follow the numerical order 1, 2, 3, etc., from lowest risk to highest risk excluding defaults with PD corresponding to 100 %.

Where an institution uses a continuous rating scale in accordance with Article 169(3) of Regulation (EU) No 575/2013, the rating grades as reported in column 0005 of template C 08.02 of Annex I to Implementing Regulation (EU) 2021/451 shall be used.

Where exposures to a counterparty have been assigned to multiple rating grades in accordance with Article 172(1), point (e)(i) or (iii), of Regulation (EU) No 575/2013, the rating grade zero (0) shall be reported.

0050Date of most recent rating of counterpartyThe date of the most recent rating of the counterparty shall be reported.

0060PDColumn 0010 of template C 08.01 of Annex I to Implementing Regulation (EU) 2021/451The PD assigned to the counterparty shall be reported. The PD shall be the PD used in the calculation of the RWA excluding the effect of measures in accordance with Article 458 of Regulation (EU) No 575/2013. The PD shall be expressed as a value between 0 and 1.0070Default status

The default status of the counterparty shall be reported. It shall be one of the following in accordance with Article 178 of Regulation (EU) No 575/2013:

(a) Defaulted;

(b) Non-defaulted.

0080Original exposure pre-conversion factorsColumn 0020 of template C 08.01 of Annex I to Implementing Regulation (EU) 2021/451The 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 C 08.01 of Annex I to Implementing Regulation (EU) 2021/451The amount to which conversion factors (CCFs) are applied in order to obtain the EAD (column 0110) shall be reported. This shall be done by taking into account credit risk mitigation techniques with substitution effects on the exposure.0100CCFArticle 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 whose facilities exclusively correspond to items referred to in Article 166(8) of Regulation (EU) No 575/2013, the reported weighted average of the CCFs shall be based on all facilities.

For counterparties whose facilities do not fall under the items referred to in Article 166(8) of Regulation (EU) No 575/2013, the CCF shall either be left blank or the indication NULL shall be inserted.

For counterparties with both of the following facilities:

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

(b) facilities that do not fall under the items referred to in Article 166(8) of Regulation (EU) No 575/2013,

the reported weighted average of the CCF shall be based only on the facilities under point (a). In particular, facilities corresponding to items referred to in Article 166(10) of Regulation (EU) No 575/2013 shall not be considered in the calculation.

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 given in Article 166(8) of Regulation (EU) No 575/2013 shall be used.

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

0110EADColumn 0110 of template C 08.01 of Annex I to Implementing Regulation (EU) 2021/451The exposure value shall be reported.0120Collateral valueColumns 0150 to 0210 of template C 08.01 of Annex I to Implementing Regulation (EU) 2021/451The 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 exposures to the counterparty shall be reported in accordance with the following:

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

(b) the exposures are senior and unsecured;

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 exposures to the counterparty shall be reported in accordance with the following:

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

(b) the exposures are senior and unsecured;

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 C 08.01 of Annex I to Implementing Regulation (EU) 2021/451

The EAD-weighted average of the LGD values of the exposures to the counterparty shall be reported.

The LGDs shall be those used for the calculation of the RWA. Specifically, where the institution has obtained permission from its competent authority to use own estimates for LGDs, the LGDs shall be based on the institution’s own estimates, otherwise the LGDs shall be based on the regulatory LGD values taking into account the applicable risk mitigation.

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

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

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

0160MaturityColumn 0250 of template C 08.01 of Annex I to Implementing Regulation (EU) 2021/451The EAD-weighted maturity for the exposures to the counterparty shall be reported. It shall be expressed in number of days.0170RWAColumn 0260 of template C 08.01 of Annex I to Implementing Regulation (EU) 2021/451The RWA after supporting factors (SME and infrastructure supporting factors) shall be reported. The RWA shall not include the effect of potential measures under Article 458 of Regulation (EU) No 575/2013.

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), LGD without supervisory measures (column 0131), LGD without margin of conservatism (MoC) and supervisory measures (column 0132), LGD without MoC, supervisory measures and downturn component (column 0133), Expected Loss Amount (column 0150) and RWA (column 0170).

For portfolios with the regulatory approach defined as Specialised lending slotting criteria, the following information shall be omitted: PD (column 0060), PD without supervisory measures (column 0061), PD without MoC and supervisory measures (column 0062), LGD (column 0130), LGD without supervisory measures (column 0131), LGD without MoC and supervisory measures (column 0132), LGD without MoC, supervisory measures and downturn component (column 0133).

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 due to ongoing model changes.

ColumnLabelLegal referenceInstructions0010Portfolio IDColumn 0010 of table C 102 of Annex I

The portfolio ID of column 0010 of table C 102 of Annex I defining the portfolio shall be reported. This ID shall be a row identifier and shall be unique for each row in the template.

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 value reported either in column 0080 or in column 0090. Where a full substitution is applied due to a credit risk mitigation 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’s portfolio.

0060PDColumn 0010 of template C 08.01 of Annex I to Implementing Regulation (EU) 2021/451The 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 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 MoC 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 MoC added by the institution in accordance 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 MoC and 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 C 08.01 of Annex I to Implementing Regulation (EU) 2021/451The 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 C 08.01 of Annex I to Implementing Regulation (EU) 2021/451The amount to which CCFs are applied in order to obtain the EAD (column 0110) shall be reported. This shall be done by taking into account credit risk mitigation techniques with substitution effects on the exposure.0100CCFArticle 166(8) of Regulation (EU) No 575/2013

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

For portfolios that include facilities exclusively corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013, the reported weighted average of the CCFs shall be based on all facilities.

For portfolios for which none of the included facilities fall under the items referred to in Article 166 of Regulation (EU) No 575/2013, the CCF shall either be left blank or the indication NULL shall be inserted.

For portfolios that include both of the following facilities:

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

(b) facilities that do not fall under the items referred to in Article 166(8) of Regulation (EU) No 575/2013,

the reported weighted average of the CCFs shall be based only on the facilities under point (a). In particular, facilities corresponding to items referred to in Article 166(10) of Regulation (EU) No 575/2013 shall not be considered in the calculation.

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

0110EADColumn 0110 of template C 08.01 of Annex I to Implementing Regulation (EU) 2021/451The exposure value shall be reported.0120Collateral valueColumns 0150 to 0210 of template C 08.01 of Annex I to Implementing Regulation (EU) 2021/451The market value of the collateral shall be reported.0130LGDColumns 0230 and 0240 of template C 08.01 of Annex I to Implementing Regulation (EU) 2021/451

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. Specifically, where the institution has obtained permission from its competent authority to use own estimates for LGDs, the LGDs shall be based on the institutions’ own estimates, otherwise the LGDs shall be based on the regulatory LGD values taking into account the applicable risk mitigation.

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

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

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

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 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 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 MoC and 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 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 MoC, net of supervisory measures and 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 C 08.01 of Annex I to Implementing Regulation (EU) 2021/451

The EAD-weighted maturity shall be reported. It shall be expressed in number of days.

This information shall not be reported for exposures for which the maturity is not an element in the calculation of RWA. In particular, the maturity shall not be reported for portfolios that represent exposures of the exposure class Retail.

0150Expected Loss amountColumn 0280 of template C 08.01 of Annex I to Implementing Regulation (EU) 2021/451The expected loss amount shall be reported.0160Provisions defaulted exposuresColumns 0050, 0055 and 0060 of template C 09.02 of Annex I to Implementing Regulation (EU) 2021/451The provisions for defaulted exposures shall be reported. These shall include all general and specific credit risk adjustments on exposures in default as referred to in Article 110 of Regulation (EU) No 575/2013. (One-off) Credit risk adjustments that an institution applies in connection with the changes in the implementation of the definition of default (DoD) shall be reported as recorded in the institution’s database.0170RWAColumn 0260 of template C 08.01 of Annex I to Implementing Regulation (EU) 2021/451The RWA after supporting factors (SME and infrastructure supporting factors) shall be reported. The RWA shall not include the effect of potential measures under Article 458 of Regulation (EU) No 575/2013.0180RWA StandardisedPart Three, Title II, Chapter 2 of Regulation (EU) No 575/2013RWA 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), LGD without supervisory measures (column 0131), LGD without MoC and supervisory measures (column 0132), LGD without MoC, supervisory measures and downturn component (column 0133), Expected Loss Amount (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 due to ongoing model changes.

ColumnLabelLegal referenceInstructions0010Portfolio ID

The portfolio ID of column 0010 of table C 103 of Annex I defining the portfolio shall be reported. This ID shall be a row identifier and shall be unique for each row in the template.

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

0132LGD without MoC and without supervisory measuresThe instructions for column 0132 of table C 102 shall apply.0133LGD without MoC, supervisory measures and downturn componentThe instructions for column 0133 of table C 102 shall apply.0140MaturityThe instructions for column 0140 of table C 102 shall apply.0150Expected Loss amountThe instructions for column 0150 of table C 102 shall apply.0160Provisions defaulted exposuresThe instructions for column 0160 of table C 102 shall apply.0170RWAThe instructions for column 0170 of table C 102 shall apply.0180RWA StandardisedThe instructions for column 0180 of table 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, column 0080, 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, column 0080, measured at the reference date minus one year) that were non-defaulted at the reference date minus one year.

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

This information shall be reported for portfolio IDs relating to non-defaulted exposures only and it shall be expressed as a value between 0 and 1.

Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used.

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 required to calculate a default rate for the past five years preceding the reference date under Article 180(1), point (h), or Article 180(2), point (e), of Regulation (EU) No 575/2013, 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.

This information shall be reported for portfolio IDs relating to non-defaulted exposures only it shall be expressed as a value between 0 and 1.

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 consider exposures that were in default exactly one year before the reference date. It shall be the sum of:

(a) credit risk adjustments to these exposures one year before the reference date, and

(b) credit risk adjustments and write-offs applied within the year preceding the reference date, divided by the sum of the EAD, measured exactly one year before the reference date of the exposures under consideration.

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 same obligor shall be included only once.

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

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 rate past five years shall be based on the annual loss rates of the past five years, where these annual loss rates are defined in analogy to the definition of the loss rate of column 0210; in particular, the annual loss rates shall not include additional changes in credit risk adjustments and write offs that have occurred after the observation horizon (calendar year) of each annual loss rate.

Where the institution is not required to use data for the past five years preceding the reference date under Article 181(2), last subparagraph, of Regulation (EU) No 575/2013, 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.

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

0250RWA-

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

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 RWA, after supporting factors, 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) 2021/451 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– Φ–1q•p–•1–p–nDR1y where DR1y0,

and p–0 where DR1y0.

Here,

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.

0260RWA+

Institutions shall calculate and report RWA+ for the portfolios that are referred to in Annex I, table C 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 RWA, after supporting factors, 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) 2021/451 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– Φ–1q•p•1–pnDR1y

where:

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, table C 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 RWA, after supporting factors, 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) 2021/451 shall be used (see Annex II of 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–– Φ–1q•p––•1–p––nDR5y where DR5y0

and p––0 where DR5y0.

Here,

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, table C 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 RWA, after supporting factors, 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) 2021/451 shall be used (see Annex II of 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– Φ–1q•p•1–pnDR5y

where:

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. The internal model ID shall uniquely refer to an internal model approved by the competent authority and used for the calculation of RWA. It shall be a row identifier and shall be unique for each row in the template.0020Model nameThe model name assigned to the internal model 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;

For an internal model for Corporate – Specialised Lending exposures under Article 153(5) of Regulation (EU) No 575/2013 (Specialised lending slotting criteria), the field shall be left blank or NULL shall be inserted.

0040EADColumn 0110 of template C 08.01 of Annex I to Implementing Regulation (EU) 2021/451The aggregate exposure value of the exposures within the range of application of the rating 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. This 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. This 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. This 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 definition provided. 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 C 08.01 of Annex I to Implementing Regulation (EU) 2021/451The aggregate RWA after supporting factors (SME and infrastructure supporting factors) of the exposures within the range of application of the rating model shall be reported.0140RWA add-ons

The RWA add-ons shall be a sub-position (of which) of the RWA (column 0130 of template C 105.01) and shall include:

(a) the RWA that is added to the RWA resulting from the application of the model’s risk parameter(s) due to additional internal measures of conservatism directly applied on the RWA, if any;

(b) the RWA that is added to the RWA resulting from the application of the model’s risk parameter(s) due to supervisory measures directly applied on the RWA, if any.

The amounts under points (a) and (b) shall not include measures that are already reflected in the PD (column 0060 of templates C 102 and C 103), CCF (column 0100 of templates C 102 and C 103) or LGD (column 0130 of templates C 102 and C 103), but shall be restricted to measures that are directly applied on the RWA and, if relevant, in addition to the margins of conservatism and supervisory measures (multipliers, add-ons, floors or similar measures) that increase the risk parameters.

The RWA add-ons shall not include the effect of potential measures under Article 458 of Regulation (EU) No 575/2013.

C 105.02 –

Mapping of internal models to portfolios

ColumnLabelLegal referenceInstructions0010Portfolio IDColumn 0010 of tables C 102 and C 103

The portfolio ID uniquely identifying the portfolio in accordance with tables C 102 and 103 of Annex I shall be reported.

Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in template C 105.02.

0020Internal model IDColumn 0010 of template C 105.01

The internal model ID assigned by the reporting institution shall be reported.

Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in template C 105.02.

0030EADColumn 0110 of template C 08.01 of Annex I to Implementing Regulation (EU) 2021/451The aggregate exposure value of the exposures that are included in the portfolio defined by column 0010 and within the range of application of the rating model defined by column 0020 shall be reported. Where all exposures 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 tables C 102 or C 103, as applicable.0040RWAColumn 0260 of template C 08.01 of Annex I to Implementing Regulation (EU) 2021/451The aggregate RWA after supporting factors for the exposures that are included in the portfolio defined by column 0010 and within the range of application of the rating model defined by column 0020 shall be reported. Where all exposures of a given portfolio are treated with one specific model, the RWA shall be identical to the amount reported for the same portfolio in column 0170 of tables C 102 or C 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 C 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 template.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 IV

Annex

ANNEX V

MARKET RISK BENCHMARK INSTRUMENTS AND PORTFOLIOS

Section 1:

Instructions

Section 2:

Instruments

Section 3:

Individual Portfolios

Section 4:

Aggregated Portfolios

Section 5:

Additional specifications for instruments

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 Section3 of this Annex, between the RM initial and RM final reference date;

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

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

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

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

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

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

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

(xviii) long means bought and short means sold;

(xix) CDS means Credit Default Swaps;

(xx) for CDS, long means bought protection and short means sold protection;

(xxi) MLN means millions;

(xxii) OTC means Over-The-Counter;

(xxiii) 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 15 September 2022;

(ii) the IMV (and initial SBM) reference date shall be 22 September 2022 (at 5:30 pm CET);

(iii) the IMV (and initial SBM) remittance date shall be 14 October 2022;

(iv) the RM initial reference date shall be 16 January 2023;

(v) the RM (and final SBM) final reference date shall be 27 January 2023;

(vi) the RM (and final SBM) remittance date shall be 03 March 2023.

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

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

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

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

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

(iii) 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) of this Section.

(f) For the purposes of point (e), subpoint (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 of this Annex. Where that is not possible, reasons shall be provided in the explanatory note referred to in point (d).

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

(j) 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 of this Annex, institutions shall provide the assumptions that have been used, including the day count convention and the choice for a tradable and liquid instrument, where permitted, along with the results in the explanatory note referred to in point (d) of this Section.

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

(bb) Risk measures for the portfolios referred to in Section 3 and Section 4 of this Annex, 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 and SBM shall be reported for each instrument. Risk measures, SBM 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 of this Annex (Instruments) Year T shall mean 2023 and Year T + X shall mean 2023 + 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 June Year T shall mean the 3rd Friday of the month of the year T;

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

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

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

(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 of bond instruments shall include accrued interest.

(jj) 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.

(kk) 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

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

Notional: equivalent to the value of the index times 1000 EUR

Exchange: Eurex

Expiry date: June Year T

Base currency: EUR

Long 10000 BAYER (Ticker: BAYN GR) shares.

Exchange: Xetra

Base currency: EUR

Short Futures BAYER (Ticker: BAYN GR).

Notional: equivalent to the value of 10000 shares of the underlying asset

Exchange: Eurex

Expiry date: June Year T

Base currency: EUR

Short Futures, STELLANTIS (Ticker: STLA FP).

Notional: equivalent to the value of 10000 shares of the underlying asset

Exchange: Euronext

Expiry date: June Year T

Base currency: EUR

Short Futures, ALLIANZ (Ticker: ALV GR).

Notional: equivalent to the value of 10000 shares of the underlying asset

Exchange: Eurex

Expiry date: June Year T

Base currency: EUR

Short Futures BARCLAYS (Ticker: BARC LN).

Notional: equivalent to the value of 10000 shares of the underlying asset

Exchange: Eurex

Expiry date: June Year T

Base currency: GBP

Short Futures DEUTSCHE BANK (Ticker: DBK GR).

Notional: equivalent to the value of 10000 shares of the underlying asset

Exchange: Eurex

Expiry date: June Year T

Base currency: EUR

Short Futures CRÉDIT AGRICOLE (Ticker: ACA FP).

Notional: equivalent to the value of 10000 shares of the underlying asset

Exchange: Euronext

Expiry date: June Year T

Base currency: EUR

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

Notional: equivalent to the value of 10000 shares of the underlying asset

Expiry date: June Year T

Base currency: EUR

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

Notional: equivalent to the value of 10000 shares of the underlying asset

Expiry date: December Year T

Base currency: EUR

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

Notional: equivalent to the value of 10000 shares of the underlying asset

Expiry date: June Year T

Base currency: USD

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

Notional: equivalent to value of 10000 shares of the underlying asset

Expiry date: June Year T

Base currency: USD

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

Notional: equivalent to the value of 10000 shares of the underlying asset

Expiry date: December Year T

Base currency: EUR

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

Notional: equivalent to the value of 10000 shares of the underlying asset

Expiry date: June Year T

Base currency: EUR

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

Notional: equivalent to the value of 10000 shares of the underlying asset

Expiry date: December Year T

Base currency: GBP

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

Notional: equivalent to the value of 10000 shares of the underlying asset

Expiry date: December Year T

Base currency: GBP

Short Futures NIKKEI 225 (Ticker NKY).

Notional: equivalent to the value of the index times 20000 JPY

Exchange: CME

Expiry date: 8 June Year T

Base currency: JPY

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.

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

Notional: equivalent to the value of the index times 1000 EUR

Expiry date: June Year T

Base currency: EUR

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

Notional: equivalent to the value of the index times 10000 EUR

Expiry date: June Year T

Base currency: EUR

Long Call Options. Underlying VIX (CBOE), ATM.

Notional: equivalent to the value of the index times 100000 USD

Expiry date: June Year T

Base currency: USD

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

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

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 as follow: Fixed leg - pay annually; Floating rate: 3-month EURIBOR, receive 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 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 defined within this instrument

Base currency: EUR

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 1000000

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

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

Fixed rate: receive annually

Floating rate: 3-month SONIA rate compounded and paid annually

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

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).

Base currency USD

The Notes shall bear interest at a per annum rate equal to USD 3-Month LIBOR plus 1.5% per annum (the Floating Interest Rate), subject to a maximum interest rate of 7.5% per annum (the Interest Rate Cap) and a minimum interest rate of 2.5% per annum (the Interest Rate Floor).

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

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

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

Maturity Date

Currency

Booking date + 10 years

USD

Daycount Basis30/360Business Day ConventionFollowing Unadjusted

Coupon 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.

Long GERMANY GOVT EUR 1000000 (ISIN DE0001030583).

Maturity: 15 April 2033

Base currency: EUR

Short GERMANY GOVT EUR 1000000 (ISIN DE0001135044).

Maturity: 4 July 2027

Base currency: EUR

Long ITALY GOVT EUR 1000000 (ISIN IT0005138828).

Maturity: 15 September 2032

Base currency: EUR

Long ITALY GOVT EUR 1000000 (ISIN IT0005210650).

Maturity: 1 December 2026

Base currency: EUR

Long SPAIN GOVT EUR 1000000 (ISIN ES00000127A2).

Maturity: 30 July 2030

Base currency: EUR

Short FRANCE GOVT EUR 1000000 (ISIN FR0012993103).

Maturity: 25 May 2031

Base currency: EUR

Short GERMANY GOVT EUR 1000000 (ISIN DE0001135176).

Maturity: 4 January 2031

Base currency: EUR

Long UNITED KINGDOM GOVT GBP 1000000 (ISIN GB0004893086).

Maturity: 7 June 2032

Base currency: GBP

Long PORTUGAL GOVT EUR 1000000 (ISIN PTOTEXOE0024).

Maturity: 15 June 2029

Base currency: EUR

Short UNITED STATES GOVT USD 1000000 (ISIN US9128283F58).

Maturity: 15 November 2027

Base currency USD

Long BRAZIL GOVT 1000000 USD (ISIN US105756BZ27).

Maturity: 13 January 2028

Base currency: USD

Long MEXICO GOVT 1000000 USD (ISIN US91087BAC46).

Maturity: 28 March 2027

Base currency USD

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

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 1000000

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

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

EUR: 3-month ESTER, pay quarterly compounded with a payment lag of 2 days

USD: 3-month SOFR , receive quarterly compounded with a payment lag of 2 days

Leg 1 – USD: Notional EUR 10000000 equivalent adjusted on a quarterly basis

Leg 2 – EUR: Notional EUR 10000000

Roll convention and calendar: standard

Effective date as booking date + 6 months

Maturity: Booking date + 5,5 years

Base currency: EUR

See also Section 5 of this Annex – Instrument additional specifications

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

ESTER leg: receive annually

EURIBOR leg: 3-month EURIBOR + Basis, 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 + 9 years

Base currency: EUR

Long ITALY GOVT EUR 1000000 (ISIN IT0005387052).

Maturity: 15 May 2030

Base currency: EUR

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

Inflation Index: CPI (HICPxT)

Fixed leg (Pay fixed): 1r5–1

Rec Inflation indexed return:CPI at the end maturity dateCPI at the start date–1

Notional: EUR 10000000

Base fixing date: August Year T

Final Fixing: August Year T+4

Maturity: September Year T+4

Base currency: EUR

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

Notional: EUR 10000000.

Swaption with maturity of two years (Booking date + 2 years) on IRS defined as follow: Fixed leg- receive annually; Floating rate: 6-month EURIBOR, pay every 6 months; Notional: EUR 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 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 defined within this instrument+ 100 bps

Base currency: EUR

6-month USD/EUR forward contract. Cash settled. Long USD – Short EUR; Notional USD 10000000; EUR/USD ECB reference spot rate as of end of the booking date.

Base currency: EUR

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

Long 10000000 USD Cash.

Cash position

Base currency: EUR

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

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

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

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

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

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

6-month EUR/DKK forward contract. Cash settled. Long EUR – Short DKK; Notional EUR 10000000; EUR/DKK ECB reference spot rate as of end of the booking date.

Base currency: EUR

6-month EUR/BRL Non deliverable forward contract. Long EUR – Short BRL; Notional EUR 10000000; EUR/BRL ECB reference spot rate as of end of the booking date.

Base currency: EUR

COMMODITIES

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

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

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

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

Long Call option. 5000 0zt of London Gold.

Strike price: ATM as of end of the booking date

Expiry date: Booking date + 18 months

Cash Settlement

Base currency: USD

CREDIT SPREAD

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

Restructuring clause: FULL

Base currency: USD

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

Restructuring clause: FULL

Base currency: USD

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

Restructuring clause: FULL

Base currency: USD

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

Restructuring clause: FULL

Base currency: USD

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

Restructuring clause: FULL

Base currency: USD

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

Restructuring clause: FULL

Base currency: USD

Short (i.e. Sell protection) EUR 1000000 CDS on Telefonica (Ticker TEF SM).

Base currency: EUR

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

Maturity: December Year T+2

Base currency: EUR

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

ISDA Definitions year 2003

Base currency: EUR

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

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

Base currency: EUR

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

Base currency: EUR

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

Restructuring clause: No restructuring (XR14)

Base currency: USD

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

Base currency: EUR

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

Base currency: EUR

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

Base currency: EUR

Long position on TURKEY Govt. notes USD 1000000 (ISIN US900123CT57).

Maturity: 26 April 2029

Base currency: USD

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

Restructuring clause: FULL

Base currency: USD

Long position on Telefonica notes EUR 1000000 (ISIN XS1681521081).

Maturity: 12 January 2028

Base currency: EUR

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

Maturity: 31 July 2026

Base currency: EUR

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

Maturity: 31 January 2024

Base currency: EUR

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

Maturity: 25 March 2026

Base currency: EUR

Long AUSTRIA GOVT EUR 1000000 (ISIN AT0000A04967).

Maturity: 15 March 2037

Base currency: EUR

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

Maturity: June Year T+15

Base currency: USD

Long NETHERLANDS GOVT EUR 1000000 (ISIN NL0013552060).

Maturity: 15 January 2040

Base currency: EUR

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

Maturity: June Year T+20

Base currency: USD

Long BELGIUM GOVT EUR 1000000 (ISIN BE0000348574).

Maturity: 22 June 2050

Base currency: EUR

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

Maturity: June Year T+30

Base currency: USD

Long (Buy protection) EUR 10000000 CDS on iTraxx Europe index on-the-run series.

Maturity: June Year T+5

Base currency: EUR

Short Put option. EUR 10000000. Underlying iTraxx Europe index on-the-run series (same instrument of 529).

Strike price: ATM

Expiry date: Booking date + 1 year

Base currency: EUR

Long AXA SA (callable) EUR 1000000 (ISIN XS1799611642).

Maturity: 28 May 2049

Base currency: EUR

Long AT&T Bond (callable) USD 1000000 (ISIN US00206RFW79).

Maturity: 15 August 2037

Base currency: USD

Long BAYER AG (callable) EUR 1000000 (ISIN XS2199266268).

Maturity: 06 January 2030

Base currency: EUR

Long AT&T Bond (callable) EUR 1000000 (ISIN XS0993148856).

Maturity: 17 December 2025

Base currency: EUR

CTP

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

Attachment point: 3%

Detachment point: 6%

Notional: EUR 5000000

Maturity: 5 years

Base currency: EUR

Long (i.e. Buy protection) EUR 5000000 CDS on iTraxx Europe index most recent on-the-run series.

Maturity: June Year T+5

Base currency: EUR

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

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

Attachment point: 3%

Detachment point: 6%

Notional: EUR 5000000

Maturity: 5 years

Base currency: EUR

Short (i.e. Sell protection) EUR 5000000 CDS on iTraxx Europe index most recent on-the-run series.

Maturity: June Year T+5

Base currency: EUR

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

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

Attachment point: 12%

Detachment point: 100%

Notional: EUR 5000000

Maturity: 5 years

Base currency: EUR

Long (i.e. Buy protection) EUR 5000000 CDS on iTraxx Europe index most recent on-the-run series.

Maturity: June Year T+5

Base currency: EUR

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

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

Attachment point: 12%

Detachment point: 100%

Notional: EUR 5000000

Maturity: 5 years

Base currency: EUR

Short (i.e. Sell protection) EUR 5000000 CDS on iTraxx Europe index most recent on-the-run series.

Maturity: June Year T+5

Base currency: EUR

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

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

Attachment point: 3%

Detachment point: 6%

Notional: EUR 5000000

Maturity: 5 years

Base currency: EUR

Recovery rate: 40% fixed.

Long (i.e. Buy protection) EUR 5000000 CDS on iTraxx Europe index most recent on-the-run series.

Maturity: June Year T+5

Base currency: EUR

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

Section 3:

Individual Portfolios

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

Portfoli

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 required1001101 – 1 instrumentEURVaR; Stressed VaR; SBM1002

103 – 1 instrument

104 – 1 instrument

105 – 1 instrument

EURVaR; Stressed VaR; SBM1003

113 – 1 instrument

110 – 1 instrument

EURVaR; Stressed VaR; SBM1004

115 – 1 instrument

116 – 1 instrument

GBPVaR; Stressed VaR; SBM1005117 – 1 instrumentJPYVaR; Stressed VaR; SBM1006

109 – 1 instrument

110 – 1 instrument

EURVaR; Stressed VaR; SBM1007118 – 1 instrumentEURVaR; Stressed VaR; SBM1008

111 – 1 instrument

112 – 1 instrument

USDVaR; Stressed VaR; SBM1009

102 – 1 instrument

114 – 1 instrument

EURVaR; Stressed VaR; SBM1010

106 – 1 instrument

107 – 1 instrument

108 – 1 instrument

EURVaR; Stressed VaR; SBM1011

101 – 1 instrument

103 – 1 instrument

EURVaR; Stressed VaR; SBM1012

101 – 1 instrument

103 – 1 instrument

104 – 1 instrument

EURVaR; Stressed VaR; SBM1013

102– 1 instrument

104 – 1 instrument

EURVaR; Stressed VaR; SBM1014119 – 1 instrumentEURVaR; Stressed VaR; SBM1015120 – 1 instrumentEURVaR; Stressed VaR; SBM1016121 – 1 instrumentEURVaR; Stressed VaR; SBM

2001201 – 1 instrumentEURVaR; Stressed VaR; SBM2002202 – 1 instrumentEURVaR; Stressed VaR; SBM2003203 – 1 instrumentUSDVaR; Stressed VaR; SBM2004204 – 1 instrumentGBPVaR; Stressed VaR; SBM2005205 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM2006

206 – 1 instrument

207 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM2007

206 – 1 instrument

207 – 1 instrument

208 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM2008

206 – 1 instrument

207 – 1 instrument

208 – 1 instrument

209 – 1 instrument

210 – 1 instrument

211 – 1 instrument

212 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM2009

201 – 1 instrument

218 – 1 instrument

EURVaR; Stressed VaR; SBM2010

201 – 1 instrument

219 – 1 instrument

EURVaR; Stressed VaR; SBM2011

218 – 1 instrument

219 – 1 instrument

EURVaR; Stressed VaR; SBM2012

201 – 1 instrument

202 – 1 instrument

EURVaR; Stressed VaR; SBM2013213 – 1 instrumentGBPVaR; Stressed VaR; IRC; SBM2014

215 – 1 instrument

216 – 1 instrument

217 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM2015

203 – 1 instrument

215 – 1 instrument

USDVaR; Stressed VaR; SBM2016

208 – 1 instrument

209 – 1 instrument

210 – 1 instrument

214 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM

2017220 – 1 instrumentEURVaR; Stressed VaR; SBM2018209 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM2019

209 – 1 instrument

219 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM2020221 – 1 instrumentEURVaR; Stressed VaR; SBM2021222 – 1 instrumentEURVaR; Stressed VaR; SBM2022

201 – 1 instrument

223 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM2023224 – 1 instrumentEURVaR; Stressed VaR; SBM3001

301 – 1 instrument

302 – 1 instrument

EURVaR; Stressed VaR; SBM3002

303 – 1 instrument

304 – 1 instrument

EURVaR; Stressed VaR; SBM3003

304 – 1 instrument

305 – 1 instrument

306 – 1 instrument

EURVaR; Stressed VaR; SBM3004

307 – 1 instrument

308 – 1 instrument

EURVaR; Stressed VaR; SBM3005309 – 1 instrumentEURVaR; Stressed VaR; SBM3006310 – 1 instrumentEURVaR; Stressed VaR; SBM3007311 – 1 instrumentEURVaR; Stressed VaR; SBM4001

401 – 1 instrument

402 – 1 instrument

USDVaR; Stressed VaR; SBM4002

403 – 1 instrument

404 – 1 instrument

USDVaR; Stressed VaR; SBM4003

401 – 1 instrument

404 – 1 instrument

USDVaR; Stressed VaR; SBM4004405 – 1 instrumentEURVaR; Stressed VaR; SBM5001

501 – 1 instrument

502 – 1 instrument

503 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM

5002

504 – 1 instrument

505 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM5003

507 – 1 instrument

508 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM5004

503 – 1 instrument

504 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM5005

509 – 1 instrument

510 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM5006

511 – 1 instrument

512 – 1 instrument

514 – 1 instrument

515 – 1 instrument

516 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM5007

517 – 1 instrument

518 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM5008

519 – 1 instrument

520 – 1 instrument

522 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM5009

520 – 1 instrument

521 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM5010

519 – 1 instrument

508 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM501

515 – 1 instrument

522 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM5012513 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM5013

520 – 1 instrument

521 – 1 instrument

516 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM5014

506 – 1 instrument

503 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM5015

502 – 1 instrument

209 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM5016

504 – 1 instrument

217 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM5017

505 – 1 instrument

216 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM

5018

504 – 1 instrument

217 – 1 instrument

505 – 1 instrument

216 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM5019

502 – 1 instrument

209 – 1 instrument

219 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM5020

523 – 1 instrument

525 – 1 instrument

527 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM5021

524 – 1 instrument

526 – 1 instrument

528 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM5022

523 – 1 instrument

524 – 1 instrument

525 – 1 instrument

526 – 1 instrument

527 – 1 instrument

528 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM5023

529 – 1 instrument

530 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM5024531 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM5025532 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM5026533 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM5027534 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM6001

601 – 1 instrument

602 – 1 instrument

EURVaR; Stressed VaR; APR; SBM6002

603 – 1 instrument

604 – 1 instrument

EURVaR; Stressed VaR; APR; SBM6003

605 – 1 instrument

606 – 1 instrument

EURVaR; Stressed VaR; APR; SBM6004

607 – 1 instrument

608 – 1 instrument

EURVaR; Stressed VaR; APR; SBM6005

609 – 1 instrument

610 – 1 instrument

EURVaR; Stressed VaR; APR; 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 requested10000ALL-IN no-CTP1001, 1002, 1006, 1007, 1009, 2001, 2002, 2008, 2011, 3001, 3002, 3003, 3004, 4001, 4002, 5003, 5006, 5008, 5022EURVaR; Stressed VaR; IRC; SBM11000EQUITY Cumulative1001, 1002, 1006, 1007, 1009EURVaR; Stressed VaR; SBM12000IR Cumulative2001, 2002, 2008, 2011EURVaR; Stressed VaR; SBM13000FX Cumulative3001, 3002, 3003, 3004EURVaR; Stressed VaR; SBM14000Commodity Cumulative4001, 4002USDVaR; Stressed VaR; SBM15000Credit Spread cumulative5003, 5006, 5008, 5022EURVaR; Stressed VaR; IRC; SBM16000CTP cumulative EUR6001, 6002EURVaR; 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:220Description:

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

Effective Date:Booking date + 6 monthsMaturity Date:Booking date + 5,5 yearsPayment Date Generation:Forward from Effective DateCoupon Payment Frequency:QuarterlyCoupon Rate:3-month SOFR + 0bps.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 years

Payment Date Generation:Forward from Effective DateCoupon Payment Frequency:QuarterlyCoupon Rate:3-month ESTER + 0 bps.Coupon Rate Reset Frequency:QuarterlyCoupon Rate Fixing Convention:2 days in advance of each coupon periodCoupon Rate Compounding Frequency:Simple InterestDay Count:ACT/360Payment Business Day:LON, NYC, TARGETPayment Business DayModified FollowingNotional Reset Business Day:LON, NYC, TARGETNotional Reset Business Day Convention:PreviousCoupon Rate Reset Business Day:LON, NYC, TARGETCoupon Rate Reset Business Day Convention:Previous

Annex

ANNEX V

Annex

ANNEX VI

RESULTS SUPERVISORY BENCHMARK PORTFOLIOS

TEMPLATE RELATED INSTRUCTIONS

C 106.00 –

Initial Market Valuation and exclusion justification

C 106.01 –

SBM. Risk sensitivities by Instrument

C 107.01 -

VaR & sVaR Non-CTP. Details.

C 107.02 -

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

C 108.00 -

Profit & Loss Time Series

C 109.01 –

IRC. Details of the Model

C 109.02 –

IRC. Details by Portfolio

C 109.03 –

IRC. Amount by Portfolio/Date.

C 110.01 –

CT. Details of the Model.

C 110.02 –

CT. Details by Portfolio.

C 110.03 –

CT. APR by Portfolio/Date

C 120.01 –

SBM. Risk sensitivities by Instrument/Portfolio

C 120.02 –

SBM. OFR composition by portfolio

C 120.03 –

SBM. OFR

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 to this Regulation 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;

(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 Section 1, point (b), of Annex V to this Regulation.

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

C 106.01 –

SBM. Risk sensitivities by Instrument

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

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsInstrument numberSection 2 of Annex V to this RegulationThe instrument number taken from Annex V to this Regulation 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) 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;

foreign exchange (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.

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

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 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 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.

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

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 0050 but translated at the spot exchange rate associated with the currency of the instrument as defined in Section 2 of Annex V to this Regulation.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), first subparagraph, of Regulation (EU) No 575/2013);

(b) institution’s internal model approach (as for Article 325t(1), second subparagraph, 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) the sensitivities definition in Articles 325r and 325s of Regulation (EU) No 575/2013;

(b) the 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.

C 107.01 -

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;

(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;

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;

(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);

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;

(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;

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 C 107.02 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 C 107.02 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 to this Regulation 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 Section 1, point (b), of Annex V to this Regulation. 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 C 107.02 column 0010 with a minimum of 250 observations starting from the RM (and final SBM) final reference date, as specified in Section 1, point (b)(v), of Annex V to this Regulation, 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 by using historically simulated daily risk factor changes (i.e. the daily P&L series used to derive the regulatory 1-day VaR).

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

C 109.01 –

IRC. Details of the Model

RowLabelLegal referenceInstructions0010Number of modelling factors

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;

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

0020Source of LGDs

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;

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

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;

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

0020Source of PDs

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;

(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

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;

(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) to this Regulation. The dd/mm/yyyy convention shall be adopted to report the dates.0020IRCArticles 372 to 376 of Regulation (EU) No 575/2013

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;

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;

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)

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;

(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;

(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;

(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 Section 1, point (b), of Annex V 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 (and final SBM) final reference date (as defined in Section 1, point (b)(v), of Annex V to this Regulation). Institutions shall report each combination of Portfolio, Instrument number (column 0010), Risk identifier (column 0020), Bucket (column 0030) and Additional identifier (column 0040) only once.

Instructions concerning sheets (z-axis)

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 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:

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 be the name of the currency (e.g. USD, the reported currency codes shall follow the ISO 4217 currency designation);

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

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 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.

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

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;

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

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 Sections 3 and 4 of Annex V 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;

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;

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 Section 1, point (b), of Annex V 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 and shall be expressed with a minimum precision of four decimal places.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 Sections 3 and 4 of Annex V 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 Section 1, point (b)(v), of Annex V to this Regulation) for each portfolio. When the reporting currencies of the institution are different from the currencies specified in Sections 3 and 4 of Annex V 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 C 106.01 (column 0010) and C 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);

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 of Regulation (EU) No 575/2013.

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 575/2013

CMDELTA2 yearsCM_D_2.00Article 325p of Regulation (EU) No 575/2013CMDELTA3 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 575/2013

CSR_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 575/2013CSR_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_SECCURVATUREUpward shiftCSR_NON_SEC_CUArticles 325m, 325g of Regulation (EU) No 575/2013

CSR_NON_SECCURVATUREDownward shiftCSR_NON_SEC_CDArticles 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 575/2013CSR_SEC_ACTPVEGA1 yearCSR_SEC_ACTP_V_1.00Article 325n of Regulation (EU) No 575/2013

CSR_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_ACTPCURVATUREUpward shiftCSR_SEC_ACTP_CUArticles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_ACTPCURVATUREDownward shiftCSR_SEC_ACTP_CDArticles 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 575/2013CSR_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 575/2013

CSR_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 575/2013CSR_SEC_NON_ACTPCURVATUREUpward shiftCSR_SEC_NON_ACTP_CUArticles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPCURVATUREDownward shiftCSR_SEC_NON_ACTP_CDArticles 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 575/2013

EQVEGA5 yearsEQ_V_5.00Article 325o of Regulation (EU) No 575/2013EQVEGA10 yearsEQ_V_10.00Article 325o of Regulation (EU) No 575/2013EQCURVATUREUpward 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 575/2013

GIRRDELTA5 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 575/2013GIRRDELTAInflationGIRR_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 575/2013

GIRRVEGA10 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 575/2013GIRRVEGA5 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 575/2013

GIRRVEGA1 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 575/2013GIRRVEGA1 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 575/2013

GIRRCURVATUREUpward shiftGIRR_CUArticles 325l, 325g of Regulation (EU) No 575/2013GIRRCURVATUREDownward shiftGIRR_CDArticles 325l, 325g of Regulation (EU) No 575/2013

Metadata

Type: Forordning
År: 2023
Ikrafttrædelsesdato: 1. januar 1970