Commission Implementing Regulation (EU) 2024/348of 19 January 2024amending the implementing technical standards laid down in Commission 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 Council(Text with EEA relevance)

32024R0348

Den Europæiske UnionForordning2024

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) No 451/2021 shall be used. Where the institution uses a group master scale, that master scale shall be used.

0070Exposure classPoint 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 42of Annex V to Implementing Regulation (EU) No 451/2021.

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 statusTemplate C 08.01, columns 150 to 220, 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 typeTemplate C 08.01, columns 0040 to 0060 and 0150 to 0220, 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 the Annex, Article 4, 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 of the European Parliament and of the Council:

(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 that are known to the institution) secured with liens of equal or higher ranking on the same residential property with respect to the lien securing the loan. Where there is insufficient information for ascertaining the ranking of the other liens, the institution shall assume that those liens rank pari passu with the lien securing the loan.

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

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

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

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

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) bot 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.0200Collateralisation status IFRS 9IFRS 9 B.5.55

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

(a) Collateralised exposures.

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

(b) Not-collateralised exposures.

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

C 104.00 –

Definition of High Default Portfolios for IFRS 9 templates

ColumnLegal referenceInstructions0010Portfolio IDThe unique ID assigned by EBA to each portfolio.0020Portfolio nameThe instructions provided for column 0020 of C 103 shall apply.0030Type of riskThe instructions provided for column 0130 of C 101 shall apply.0040Regulatory approachThe instructions provided for column 0140 of C 101 shall apply.0050Geographical areaThe instructions provided for column 0080 of C 101 shall apply.0060RatingThe instructions provided for column 0060 of C 102 shall apply.0070Exposure classThe instructions provided for column 0070 of C 103 shall apply.0080Sector of counterpartyThe instructions provided for column 0100 of C 101 shall apply.0090Default statusThe instructions provided for column 0090 of C 102 shall apply.0100Type of facilityThe instructions provided for column 0120 of C 101 shall apply.0110Collateralisation statusThe instructions provided for column 0110 of C 102 shall apply.0120Collateral typeThe instructions provided for column 0120 of C 102 shall apply.0130CounterpartyThe instructions provided for column 0130 of C 102 shall apply.0140Size of counterpartyThe instructions provided for column 0140 of C 102 shall apply.0150NACE codeThe instructions provided for column 0150 of C 102 shall apply.0160Type of exposureThe instructions provided for column 0110 of C 101 shall apply.0170Size of exposureThe instructions provided for column 0170 of C 102 shall apply.0180Indexed loan-to-value rangeThe instructions provided for column 0180 of C 102 shall apply0190Balance sheet recognitionThe instructions provided for column 0190 of C 102 shall apply.0200Collateralisation status IFRS 9IFRS 9 B.5.55The instructions provided for column 0200 of C 103 shall apply.

Annex

ANNEX III

Annex

ANNEX IV

RESULTS SUPERVISORY BENCHMARK PORTFOLIOS

PART I:

GENERAL INSTRUCTIONS

3074

PART II:

TEMPLATE RELATED INSTRUCTIONS

3075

C 101 –

Details on exposures in Low Default Portfolios by counterparty

3075

C 102 –

Details on exposures in Low Default Portfolios

3079

C 103 –

Details on exposures in High Default Portfolio

3085

C 105.01 –

Definition of internal models

3094

C 105.02 –

Mapping of internal models to portfolios

3097

C 105.03 –

Mapping of internal models to countries

3097

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 table 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 CodeTable C 101, column 0010 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 classPoint 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.0060PDTemplate C 08.01, column 0010, 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 factorsTemplate C 08.01, column 0020, 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 factorsTemplate C 08.01, column 0090, 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.

0110EADTemplate C 08.01, column 0110, of Annex I to Implementing Regulation (EU) 2021/451The exposure value shall be reported.0120Collateral value

The Collateral Value for a benchmarking portfolio is the sum of the market values of the collateral relevant to the exposure in the portfolio.

Where own estimates of LGD are not used (i.e. the FIRB is applied), Article 228(2), Article 230(1) and (2) and Article 231 of Regulation (EU) No 575/2013 shall be taken into account for the identification of the relevant collateral.

Where own estimates of LGD are used:

Regarding unfunded credit protection, for exposures to central governments and central banks, institutions and corporates, Article 161(3) of Regulation (EU) No 575/2013 shall be taken into account. For retail exposures, Article 164(2) of that Regulation shall be taken into account for the identification of relevant collateral.

Regarding funded credit protection, collateral that is eligible and applicable in accordance with Article 181(1), points (e) and (f), of that Regulation 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.

0150LGDTemplate C 08.01, columns 0230 and 0240, 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.

0160MaturityTemplate C 08.01, column 0250, 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.0170RWATemplate C 08.01, Column 0260, 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 IDTable C 102, column 0010 of Annex I

The portfolio ID in 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.

0060PDTemplate C 08.01, column 0010 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 factorsTemplate C 08.01, column 0020, 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 factorsTemplate C 08.01, column 0090, 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.

0110EADTemplate C 08.01, column 0110, of Annex I to Implementing Regulation (EU) 2021/451The exposure value shall be reported.0120Collateral valueThe instructions for table C 101, column 0120 shall apply.

0130LGDTemplate C 08.01, columns 0230 and 0240, 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.

0140MaturityTemplate C 08.01, column 0250, 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 amountTemplate C 08.01, column 0280, of Annex I to Implementing Regulation (EU) 2021/451The expected loss amount shall be reported.0160Provisions defaulted exposuresTemplate C 09.02, columns 0050, 0055 and 0060, 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.0170RWATemplate C 08.01, column 0260, 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 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 table C 102, column 0040 shall apply.0060PDThe instructions for table C 102, column 0060 shall apply.0061PD without supervisory measuresThe instructions for table C 102, column 0061 shall apply.0062PD without MoC and supervisory measuresThe instructions for table C 102, column 0062 shall apply.0080Original exposure pre conversion factorsThe instructions for table C 102, column 0080 shall apply.0090Exposure after CRM substitution effects pre conversion factorsThe instructions for table C 102, column 0090 shall apply.0100CCFThe instructions for table C 102, for column 0100 shall apply.0110EADThe instructions for table C 102, column 0110 shall apply.0120Collateral valueThe instructions for table C 101, column 0120 shall apply.0130LGDThe instructions for table C 102, column 0130 shall apply.0131LGD without supervisory measuresThe instructions for table C 102, column 0131 shall apply.

0132LGD without MoC and without supervisory measuresThe instructions for table C 102, column 0132 shall apply.0133LGD without MoC, supervisory measures and downturn componentThe instructions for table C 102, column 0133 shall apply.0140MaturityThe instructions for table C 102, column 0140 shall apply.0150Expected Loss amountThe instructions for table C 102, column 0150 shall apply.0160Provisions defaulted exposuresThe instructions for table C 102, column 0160 shall apply.0170RWAThe instructions for table C 102, column 0170 shall apply.0180RWA StandardisedThe instructions for table C 102, column 0180 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 and 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 table C 103 of Annex I 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, template C 08.01 column 0010 and template C 08.02, to that Regulation, 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 table C 103 of Annex I 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 Annex I, template C 08.02, column 0005, to Implementing Regulation (EU) 2021/451 shall be used (see Annex II, template C 08.01 column 0010 and template C 08.02, to that Regulation, 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 table C 103 of Annex I 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, template C 08.01 column 0010 and template C 08.02, to that Regulation, 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 table C 103 of Annex Iwith 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, template C 08.01 column 0010, and template C 08.02, to that Regulation 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.

0040EADTemplate C 08.01, column 0110, 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-month 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) point (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.0130RWATemplate C 08.01, column 0260, 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.0150RWA 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 IDTables C 102 and C 103, column 0010

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 IDTemplate C 105.01, column 0010

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.

0030EADTemplate C 08.01, column 0110, 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 tables C 102 or C 103, column 0110, as applicable.0040RWATemplate C 08.01, column 0260, 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 tables C 102 or C 103, column 0170, 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 IDtemplate C 105.01, column 0010The 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

3099

Section 2:

Instruments

3103

Section 3:

Individual Portfolios

3118

Section 4:

Aggregated Portfolios

3123

Section 5:

Additional specifications for instruments

3124

Section 6:

SBM validation portfolios

3125

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

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

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

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

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

(i) the booking date shall be 14 September 2023;

(ii) the IMV (and initial SBM) reference date shall be 21 September 2023 (at 5:30 pm CET);

(iii) the IMV (and initial SBM) remittance date shall be 13 October 2023;

(iv) the RM initial reference date shall be 15 January 2024;

(v) the RM (and final ASA) final reference date shall be 26 January 2024;

(vi) the RM (and final ASA) remittance date shall be 01 March 2024.

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

(i) concise VaR model descriptions;

(ii) revaluation methods applied;

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

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

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

(h) The risks of the positions shall be calculated without taking into account the funding costs. Where applicable, institutions shall use the overnight rate of the instrument currency as the discount rate. Collateral agreement shall be considered in place for the derivatives instruments referred to in Section 2 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 EBA instrument currency specified in Section 2 of this Annex for that instrument.

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

(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, DRC and RRAO shall be computed for the RM final reference date. Institutions shall submit the results of those calculations to their competent authority by RM remittance date. IMV and SBM shall be reported for each instrument. Risk measures, SBM, DRC, RRAO and Present Value, where applicable, shall be reported for each portfolio, both individual and aggregated. SBM, DRC and RRAO, where applicable, shall be reported at least for the same portfolios for which risk measures are reported.

(cc) For the portfolios referred to in Section 6 of this Annex, institutions shall report SBM results and submit them in line with the reporting dates of the RM submission.

(dd) Only institutions which have been granted permission to model specific risk of debt instruments 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 2024 and Year T + X shall mean 2024 + 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. Where both reporting and portfolio currency results are reported as part of the exercise, for the ASA figures, results calculated in the reporting currency of the institution shall be translated into the EBA portfolio currency by spot conversion using the ECB spot exchange rate associated with the date of the calculation. The translation into the EBA portfolio currency does not imply a change in the FX risk factors.

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

Section 2:

Instruments

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

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

EBA instrument currency: EUR

Long 10000 BAYER (Ticker: BAYN GR) shares.

Exchange: Xetra

EBA instrument 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

EBA instrument 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

EBA instrument 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

EBA instrument 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

EBA instrument 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

EBA instrument 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

EBA instrument 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

EBA instrument 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

EBA instrument 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

EBA instrument 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

EBA instrument 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

EBA instrument 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

EBA instrument 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

EBA instrument 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

EBA instrument currency: GBP

Short Futures NIKKEI 225 (Ticker NKY).

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

Exchange: CME

Expiry date: June Year T

EBA instrument currency: JPY

Auto-callable Equity product.

Long position

Booking on Booking date

Notional amount (Capital): EUR 1000000

Underlying: Index EURO STOXX 50 (Ticker: SX5E)

EBA instrument currency: EUR

Maturity: 5 years

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

Coupon: 6 %

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

Barrier coupon payment 60 % of autocall level

Protection barrier: 55 % of autocall level

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

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

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

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

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

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

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

Expiry date: June Year T

EBA instrument currency: EUR

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

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

Expiry date: June Year T

EBA instrument currency: EUR

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

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

Expiry date: May Year T

EBA instrument currency: USD

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

Fixed leg: receive annually

Floating rate: 6-month EURIBOR, pay semi-annually

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.

EBA instrument 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: 6-month EURIBOR, receive semi-annually; 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 ATM spot rate of the IRS defined within this instrument

EBA instrument currency: EUR

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

Fixed rate: receive annually

Floating rate: 3-month USD 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.

EBA instrument currency: USD

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

Fixed rate: receive annually

Floating rate: SONIA (overnight) rate compounded and paid quarterly

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

EBA instrument 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).

EBA instrument 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

EBA instrument currency: EUR

Short GERMANY GOVT EUR 1000000 (ISIN DE0001030708).

Maturity: 15 August 2030

EBA instrument currency: EUR

Long ITALY GOVT EUR 1000000 (ISIN IT0005138828).

Maturity: 15 September 2032

EBA instrument currency: EUR

Long ITALY GOVT EUR 1000000 (ISIN IT0005340929).

Maturity: 1 December 2028

EBA instrument currency: EUR

Long SPAIN GOVT EUR 1000000 (ISIN ES00000127A2).

Maturity: 30 July 2030

EBA instrument currency: EUR

Short FRANCE GOVT EUR 1000000 (ISIN FR0012993103).

Maturity: 25 May 2031

EBA instrument currency: EUR

Short GERMANY GOVT EUR 1000000 (ISIN DE0001135176).

Maturity: 4 January 2031

EBA instrument currency: EUR

Long UNITED KINGDOM GOVT GBP 1000000 (ISIN GB0004893086).

Maturity: 7 June 2032

EBA instrument currency: GBP

Long PORTUGAL GOVT EUR 1000000 (ISIN PTOTEXOE0024).

Maturity: 15 June 2029

EBA instrument currency: EUR

Short UNITED STATES GOVT USD 1000000 (ISIN US91282CAV37).

Maturity: 15 November 2030

EBA instrument currency USD

Long BRAZIL GOVT 1000000 USD (ISIN US105756BZ27).

Maturity: 13 January 2028

EBA instrument currency: USD

Long MEXICO GOVT 1000000 USD (ISIN US91087BAT70).

Maturity: 19 May 2033

EBA instrument currency USD

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

Fixed leg: pay annually

Floating rate: 3-month EURIBOR, receive quarterly

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

EBA instrument currency: EUR

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

Fixed leg: pay annually

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

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

EBA instrument currency: EUR

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

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

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

EBA instrument 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

EBA instrument currency: EUR

Long ITALY GOVT EUR 1000000 (ISIN IT0005387052).

Maturity: 15 May 2030

EBA instrument currency: EUR

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

Inflation Index: CPI (HICPxT)

Fixed leg (Pay fixed): 1r5– 1

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

Notional: EUR 10000000

Base fixing date: August Year T-1

Final Fixing: August Year T+4

Maturity: September Year T+4

EBA instrument currency: EUR

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

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

EBA instrument 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 to determine forward rate.

EBA instrument 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 to determine forward rate.

EBA instrument currency: EUR

Long 10000000 USD Cash.

Cash position

EBA instrument 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

EBA instrument 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

EBA instrument 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

EBA instrument 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

EBA instrument 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

EBA instrument 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

EBA instrument 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 to determine forward rate.

EBA instrument 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 to determine forward rate.

EBA instrument 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

EBA instrument 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

EBA instrument 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

EBA instrument 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

EBA instrument currency USD

Long Call option. 5000 0zt of London Gold.

Strike price: ATM forward rate as of end of the booking date

Expiry date: Booking date + 18 months

Cash Settlement

EBA instrument currency: USD

CREDIT SPREAD

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

Restructuring clause: FULL

EBA instrument currency: USD

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

Restructuring clause: FULL

EBA instrument currency: USD

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

Restructuring clause: FULL

EBA instrument currency: USD

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

Restructuring clause: FULL

EBA instrument currency: USD

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

Restructuring clause: FULL

EBA instrument currency: USD

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

Restructuring clause: FULL

EBA instrument currency: USD

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

EBA instrument currency: EUR

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

Maturity: December Year T+2

EBA instrument currency: EUR

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

ISDA Definitions year 2003

EBA instrument currency: EUR

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

ISDA Definitions year 2003

Maturity: December Year T+2

EBA instrument currency: EUR

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

EBA instrument currency: EUR

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

EBA instrument currency: EUR

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

Restructuring clause: No restructuring (XR14)

EBA instrument currency: USD

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

EBA instrument currency: EUR

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

EBA instrument currency: EUR

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

EBA instrument currency: EUR

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

Maturity: 26 April 2029

EBA instrument currency: USD

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

Restructuring clause: FULL

EBA instrument currency: USD

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

Maturity: 12 January 2028

EBA instrument currency: EUR

Long position on Volkswagen Group notes EUR 1000000 (ISIN XS2234567233).

Maturity: 22 September 2028

EBA instrument currency: EUR

Short position Volkswagen Group notes EUR 1000000 (ISIN XS1167667283).

Maturity: 16 January 2030

EBA instrument currency: EUR

Long position on Total SA notes EUR 1000000 (ISIN XS1856281834).

Maturity: 11 July 2033

EBA instrument currency: EUR

Long AUSTRIA GOVT EUR 1000000 (ISIN AT0000A04967).

Maturity: 15 March 2037

EBA instrument currency: EUR

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

Maturity: June Year T+15

EBA instrument currency: USD

Long NETHERLANDS GOVT EUR 1000000 (ISIN NL0013552060).

Maturity: 15 January 2040

EBA instrument currency: EUR

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

Maturity: June Year T+20

EBA instrument currency: USD

Long BELGIUM GOVT EUR 1000000 (ISIN BE0000348574).

Maturity: 22 June 2050

EBA instrument currency: EUR

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

Maturity: June Year T+30

EBA instrument currency: USD

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

Maturity: June Year T+4

EBA instrument 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 + 6 months

EBA instrument currency: EUR

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

Maturity: 28 May 2049

EBA instrument currency: EUR

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

Maturity: 15 August 2037

EBA instrument currency: USD

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

Maturity: 06 January 2030

EBA instrument currency: EUR

Long ORANGE SA Bond (callable) EUR 1000000 (ISIN FR0013323870).

Maturity: 20 March 2028

EBA instrument 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

EBA instrument currency: EUR

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

Maturity: June Year T+4

EBA instrument currency: EUR

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

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

Attachment point: 3 %

Detachment point: 6 %

Notional: EUR 5000000

Maturity: 5 years

EBA instrument currency: EUR

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

Maturity: June Year T+4

EBA instrument currency: EUR

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

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

Attachment point: 12 %

Detachment point: 100 %

Notional: EUR 5000000

Maturity: 5 years

EBA instrument currency: EUR

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

Maturity: June Year T+4

EBA instrument currency: EUR

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

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

Attachment point: 12 %

Detachment point: 100 %

Notional: EUR 5000000

Maturity: 5 years

EBA instrument currency: EUR

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

Maturity: June Year T+4

EBA instrument currency: EUR

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

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

Attachment point: 3 %

Detachment point: 6 %

Notional: EUR 5000000

Maturity: 5 years

EBA instrument 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+4

EBA instrument 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:

Portfolio

Combination of instruments:

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

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

EBA portfolio currencyRisk measures requiredEQUITY1001101 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO1002

103 – 1 instrument

104 – 1 instrument

105 – 1 instrument

EURVaR; Stressed VaR; SBM; DRC; RRAO1003

113 – 1 instrument

110 – 1 instrument

EURVaR; Stressed VaR; SBM; DRC; RRAO1004

115 – 1 instrument

116 – 1 instrument

GBPVaR; Stressed VaR; SBM; DRC; RRAO1005117 – 1 instrumentJPYVaR; Stressed VaR; SBM; DRC; RRAO1006

109 – 1 instrument

110 – 1 instrument

EURVaR; Stressed VaR; SBM; DRC; RRAO1007118 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO1008

111 – 1 instrument

112 – 1 instrument

USDVaR; Stressed VaR; SBM; DRC; RRAO1009

102 – 1 instrument

114 – 1 instrument

EURVaR; Stressed VaR; SBM; DRC; RRAO1010

106 – 1 instrument

107 – 1 instrument

108 – 1 instrument

EURVaR; Stressed VaR; SBM; DRC; RRAO1011

101 – 1 instrument

103 – 1 instrument

EURVaR; Stressed VaR; SBM; DRC; RRAO1012

101 – 1 instrument

103 – 1 instrument

104 – 1 instrument

EURVaR; Stressed VaR; SBM; DRC; RRAO1013

102– 1 instrument

104 – 1 instrument

EURVaR; Stressed VaR; SBM; DRC; RRAO

1014119 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO1015120 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO1016121 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO2001201 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO2002202 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO2003203 – 1 instrumentUSDVaR; Stressed VaR; SBM; DRC; RRAO2004204 – 1 instrumentGBPVaR; Stressed VaR; SBM; DRC; RRAO2005205 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM; DRC; RRAO2006

206 – 1 instrument

207 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO2007

206 – 1 instrument

207 – 1 instrument

208 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO2008

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; SBM; DRC; RRAO2009

201 – 1 instrument

218 – 1 instrument

EURVaR; Stressed VaR; SBM; DRC; RRAO2010

201 – 1 instrument

219 – 1 instrument

EURVaR; Stressed VaR; SBM; DRC; RRAO2011

218 – 1 instrument

219 – 1 instrument

EURVaR; Stressed VaR; SBM; DRC; RRAO2012

201 – 1 instrument

202 – 1 instrument

EURVaR; Stressed VaR; SBM; DRC; RRAO2013213 – 1 instrumentGBPVaR; Stressed VaR; IRC; SBM; DRC; RRAO2014

215 – 1 instrument

216 – 1 instrument

217 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM; DRC; RRAO2015

203 – 1 instrument

215 – 1 instrument

USDVaR; Stressed VaR; SBM; DRC; RRAO

2016

208 – 1 instrument

209 – 1 instrument

210 – 1 instrument

214 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO2017220 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO2018209 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO2019

209 – 1 instrument

219 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO2020221 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO2021222 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO2022

201 – 1 instrument

223 – 1 instrument

EURVaR; Stressed VaR; SBM; DRC; RRAO2023224 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO3001

301 – 1 instrument

302 – 1 instrument

EURVaR; Stressed VaR; SBM; DRC; RRAO3002

303 – 1 instrument

304 – 1 instrument

EURVaR; Stressed VaR; SBM; DRC; RRAO3003

304 – 1 instrument

305 – 1 instrument

306 – 1 instrument

EURVaR; Stressed VaR; SBM; DRC; RRAO3004

307 – 1 instrument

308 – 1 instrument

EURVaR; Stressed VaR; SBM; DRC; RRAO3005309 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO3006310 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO3007311 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO4001

401 – 1 instrument

402 – 1 instrument

USDVaR; Stressed VaR; SBM; DRC; RRAO4002

403 – 1 instrument

404 – 1 instrument

USDVaR; Stressed VaR; SBM; DRC; RRAO4003

401 – 1 instrument

404 – 1 instrument

USDVaR; Stressed VaR; SBM; DRC; RRAO

4004405 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO5001

501 – 1 instrument

502 – 1 instrument

503 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5002

504 – 1 instrument

505 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5003

507 – 1 instrument

508 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5004

503 – 1 instrument

504 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5005

509 – 1 instrument

510 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5006

511 – 1 instrument

512 – 1 instrument

514 – 1 instrument

515 – 1 instrument

516 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5007

517 – 1 instrument

518 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5008

519 – 1 instrument

520 – 1 instrument

522 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5009

520 – 1 instrument

521 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5010

519 – 1 instrument

508 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5011

515 – 1 instrument

522 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5012513 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5013

520 – 1 instrument

521 – 1 instrument

516 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5014

506 – 1 instrument

503 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM; DRC; RRAO

5015

502 – 1 instrument

209 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5016

504 – 1 instrument

217 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5017

505 – 1 instrument

216 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5018

504 – 1 instrument

217 – 1 instrument

505 – 1 instrument

216 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5019

502 – 1 instrument

209 – 1 instrument

219 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5020

523 – 1 instrument

525 – 1 instrument

527 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5021

524 – 1 instrument

526 – 1 instrument

528 – 1 instrument

USDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5022

523 – 1 instrument

524 – 1 instrument

525 – 1 instrument

526 – 1 instrument

527 – 1 instrument

528 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5023

529 – 1 instrument

530 – 1 instrument

EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5024531 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5025532 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5026533 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5027534 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO6001

601 – 1 instrument

602 – 1 instrument

EURVaR; Stressed VaR; APR; SBM; DRC; RRAO

6002

603 – 1 instrument

604 – 1 instrument

EURVaR; Stressed VaR; APR; SBM; DRC; RRAO6003

605 – 1 instrument

606 – 1 instrument

EURVaR; Stressed VaR; APR; SBM; DRC; RRAO6004

607 – 1 instrument

608 – 1 instrument

EURVaR; Stressed VaR; APR; SBM; DRC; RRAO6005

609 – 1 instrument

610 – 1 instrument

EURVaR; Stressed VaR; APR; SBM; DRC; RRAO

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)EBA portfolio 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; SBM; DRC; RRAO11000EQUITY Cumulative1001, 1002, 1006, 1007, 1009EURVaR; Stressed VaR; SBM; DRC; RRAO12000IR Cumulative2001, 2002, 2008, 2011EURVaR; Stressed VaR; SBM; DRC; RRAO13000FX Cumulative3001, 3002, 3003, 3004EURVaR; Stressed VaR; SBM; DRC; RRAO14000Commodity Cumulative4001, 4002USDVaR; Stressed VaR; SBM; DRC; RRAO15000Credit Spread cumulative5003, 5006, 5008, 5022EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO16000CTP cumulative EUR6001, 6002EURVaR; Stressed VaR; APR; SBM; DRC; RRAO

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 basisEffective 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:Compounded daily over the 3-month 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:Previous

Float Leg 2Notional:10000000 EUREffective Date:Booking date + 6 monthsMaturity Date:Booking date + 5,5 yearsPayment Date Generation:Forward from Effective DateCoupon Payment Frequency:QuarterlyCoupon Rate:3-month ESTER + 0 bps.Coupon Rate Reset Frequency:QuarterlyCoupon Rate Fixing Convention:Compounded daily over the 3-month 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’

Section 6:

SBM validation portfolios

Institutions shall provide the SBM risk measure of the portfolios defined in Annex X as part of the Risk Measure submission. For the SBM validation portfolios, institutions shall only report template C120.02 and limit the reporting in this template to the reporting currency results (i.e. column 0060 shall not be populated). Institutions shall not report information related to SBM validation instruments and portfolios as part of the IMV submission. Institutions shall assume that the risk sensitivities and curvature risk exposures defined by the instruments specified in Annex X are expressed in the institution’s reporting currency. Institutions shall further assume that the sensitivities are provided in the format specified in the reporting instructions for templates C 106.01/C 120.01 and the corresponding table with guidance for reporting these templates in Annex VI (Template instructions).

Annex

ANNEX V

Annex

ANNEX VI

RESULTS SUPERVISORY BENCHMARK PORTFOLIOS

TEMPLATE RELATED INSTRUCTIONS

3127

C 106.00 –

Initial Market Valuation and exclusion justification

3127

C 106.01 –

SBM. Risk sensitivities by Instrument

3128

C 107.01 –

VaR & sVaR Non-CTP. Details.

3132

C 107.02 –

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

3135

C 108.00 –

Profit & Loss Time Series

3136

C 109.01 –

IRC. Details of the Model

3137

C 109.02 –

IRC. Details by Portfolio

3138

C 109.03 –

IRC. Amount by Portfolio/Date.

3139

C 110.01 –

CT. Details of the Model.

3140

C 110.02 –

CT. Details by Portfolio.

3141

C 110.03 –

CT. APR by Portfolio/Date

3142

C 120.01 –

SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO

3143

C 120.02 –

SBM. OFR COMPOSITION BY PORTFOLIO

3147

C 120.04 –

DRC. MARKET VALUES AND GROSS JUMP-TO-DEFAULT (JTD) AMOUNTS BY INSTRUMENT/PORTFOLIO

3149

C 120.05 –

DRC. OWN FUNDS REQUIREMENT (OFR) COMPOSITION BY PORTFOLIO

3156

C 120.06 –

ASA. OFR

3159

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 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 Annex V, Section 1, point (b)(ii) 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 Article 325ah (1), Table 4 of Regulation (EU) No 575/2013.

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

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

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

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

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

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

0030Additional identifier1Articles 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, 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.

Where none of the above cases applies, institutions shall report an empty value (NUL)

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

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

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

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

Curvature risk component of the sensitivities-based method, the upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Article 325g of that Regulation shall be reported.

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

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

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

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

The values shall be reported following the instructions for column 0050 but translated at the ECB spot exchange rate associated with the currency of the instrument as defined in Section 2 of Annex V to this Regulation.0080Pricing modelArticle 325t of Regulation (EU) No 575/2013

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

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

(b) Institution’s internal model approach (as for Article 325t(1), subparagraph 2 of that Regulation);

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

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

One of the following shall be reported:

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

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

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

0100Free text boxAn institution may provide additional information in this column concerning pricing model and sensitivities definition applied.0110Additional identifier2Article 325p(2) of Regulation (EU) No 575/2013

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

Where none of the above cases applies, institutions shall report an empty value (NUL)

0120Credit quality categoryArticle 325m(1) and 325ah(1) of Regulation (EU) No 575/2013

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

(a) CQS 1;

(b) CQS 2;

(d) CQS 4;

(e) CQS 5;

(f) CQS 6;

(g) No CQS assigned (unrated).

Where none of the above cases applies, institutions shall report an empty value (NUL)

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 Article 366(2), Table 1 of Regulation (EU) No 575/2013

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

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 C107.02 starting from the dates specified in column 0020;

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

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

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

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

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

C 107.02 –

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

Instructions concerning sheets (z-axis)

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 (and final ASA) 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 C107.02 column 0010 with a minimum of 250 observations starting from the RM (and final ASA) final reference date, as specified inSection 1 letter (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

EBA/GL/2012/3

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

(a) 1 modelling factor;

(b) 2 modelling factors;

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

0020Source of LGDs

EBA/GL/2012/3

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

(a) Market convention;

(b) LGD used in IRB;

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

C 109.02 –

IRC. Details by Portfolio

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSections 3 and 4 of Annex V to this RegulationThe portfolio number (both individual and aggregated) taken from Annex V to this Regulation, only for those portfolios where IRC is requested, shall be reported.RowLabelLegal referenceInstructions0010Liquidity HorizonArticle 374(5) of Regulation (EU) No 575/2013

EBA/GL/2012/3

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

(a) Up to 3 months;

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

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

0020Source of PDs

EBA/GL/2012/3

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

(a) Rating agencies;

(b) IRB;

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

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

0030Source of transition matrices

EBA/GL/2012/3

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

(a) Rating agencies;

(b) IRB;

(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 (and final ASA) 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.0020IRCArticles 372 to 376 of Regulation (EU) No 575/2013

EBA/GL/2012/3

The regulatory IRC obtained for each portfolio shall be reported.

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

C 110.01 –

CT. Details of the Model.

RowLabelLegal referenceInstructions0010Number of modelling factorsArticle 377 of Regulation (EU) No 575/2013

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

(a) 1 modelling factor;

(b) 2 modelling factors;

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

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSections 3 and 4 of Annex V to this RegulationThe number of the individual or 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:

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

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

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

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

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

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

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

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

0040Additional identifier1Articles 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, 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.

Where none of the above cases applies, institutions shall report an empty value (NUL)

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

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

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

Vega risk component of the sensitivities-based method, the vega risk sensitivity of an option to a given risk factor (Sk) as specified in Article 325s of that Regulation shall be reported. Where institutions have obtained permission from their competent authority to use alternative calculations of vega risk sensitivities in accordance with Article 325t(6) of that Regulation, they shall refer to these alternative calculations for the reporting. Regardless of whether the calculation of Article 325s or an alternative calculation in accordance with Article 325t(6) of that Regulation is used by the institution, the sensitivity shall be reported after weighting it by the corresponding implied volatility.

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

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

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, 325t, 325ax of Regulation (EU) No 575/2013The values shall be reported following the instructions for column 0060 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation.0090Risk weightPart Three, Title IV, Chapter 1a, Section 6 of Regulation (EU) No 575/2013

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

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

0110Additional identifier2Article 325p(2) of Regulation (EU) No 575/2013

Where none of the above cases applies, institutions shall report an empty value (NUL)

0120Credit quality categoryArticle 325m(1) and 325ah(1) of Regulation (EU) No 575/2013

(a) CQS 1;

(b) CQS 2;

(d) CQS 4;

(e) CQS 5;

(f) CQS 6;

(g) No CQS assigned (unrated).

Where none of the above cases applies, institutions shall report an empty value (NUL)

C 120.02 –

SBM. OFR COMPOSITION BY PORTFOLIO

Instructions concerning sheets (z-axis)

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;

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

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

(a) Medium correlation scenario;

(b) High correlation scenario;

0040Own funds requirements (Reporting currency results)Article 325h of Regulation (EU) No 575/2013Own funds requirements values shall be reported for the RM (and final ASA) final reference date (as specified in Section 1, point (b) of Annex V to this Regulation) for each portfolio for all relevant combinations of risk class, component and correlation scenario. The values shall be reported in the institution’s reporting currency and shall be expressed with a minimum precision of two decimal places.

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 ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation.0070Positions without optionality subjected to curvature risk own funds requirementsArticle 325e(3) of Regulation (EU) No 575/2013

Where the component in column 0020 corresponds to curvature risk:

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

(b) FALSE shall be reported otherwise.

FALSE shall also be reported where none of the above cases applies.

0080Base currency approach applied for foreign-exchange risk delta and curvatureArticle 325q(7) of Regulation (EU) No 575/2013

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

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

(b) FALSE shall be reported otherwise.

FALSE shall also be reported where none of the above cases applies.

0090Division of curvature risk components for foreign-exchange risk by scalarArticle 325q(6) of Regulation (EU) No 575/2013

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

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

(b) FALSE shall be reported otherwise.

FALSE shall also be reported where none of the above cases applies.

0100Free text boxAn institution may provide any additional information in this column.

C 120.04 –

DRC. MARKET VALUES AND GROSS JUMP-TO-DEFAULT (JTD) AMOUNTS BY INSTRUMENT/PORTFOLIO

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

Instructions concerning sheets (z-axis)

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

(a) Instruments other than securitisation positions;

(b) Securitisation positions that are not included in the ACTP;

0030Bucket1Article 325y(3), 325aa(4) and 325ad(2) of Regulation (EU) No 575/2013

The bucket shall be reported.

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

(a) Corporates;

(b) Sovereigns;

Where instead the risk class reported in column 0020 corresponds to securitisations that are not included in the ACTP, the answer shall be (a) above or one of the following:

(d) ABCP – Asia;

(e) ABCP – Europe;

(f) ABCP – North America;

(g) ABCP – Rest of the world;

(h) Auto loans/leases – Asia;

(i) Auto loans/leases – Europe;

(j) Auto loans/leases – North America;

(k) Auto loans/leases – Rest of the world;

(l) Collateralised debt obligations squared (CDO-squared) – Asia;

(m) Collateralised debt obligations squared (CDO-squared) – Europe;

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

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

(p) Collateralised loan obligations – Asia;

(q) Collateralised loan obligations – Europe;

(r) Collateralised loan obligations – North America;

(s) Collateralised loan obligations – Rest of the world;

(t) Commercial mortgage-backed securities (CMBS) – Asia;

(u) Commercial mortgage-backed securities (CMBS) – Europe;

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

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

(x) Credit cards – Asia;

(y) Credit cards – Europe;

(z) Credit cards – North America;

(aa) Credit cards – Rest of the world;

(bb) Other retail – Asia;

(cc) Other retail – Europe;

(dd) Other retail – North America;

(ee) Other retail – Rest of the world;

(ff) Other wholesale – Asia;

(gg) Other wholesale – Europe;

(hh) Other wholesale – North America;

(ii) Other wholesale – Rest of the world;

(jj) Residential mortgage-backed securities (RMBS) – Asia;

(kk) Residential mortgage-backed securities (RMBS) – Europe;

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

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

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

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

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

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

(rr) Student loans – Asia;

(ss) Student loans – Europe;

(tt) Student loans – North America;

(uu) Student loans – Rest of the world.

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

0040Bucket2Article 325ad(2) of Regulation (EU) No 575/2013Where the risk class reported in column 0020 corresponds to securitisations that are included in the ACTP, the answer shall be the name of the index, otherwise it shall report (NUL).0050ObligorArticle 325v(2), Article 325x(1), and Articles 325z and 325ac of Regulation (EU) No 575/2013

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

Instruments other than securitisation positions, the answer shall be the name of the obligor;

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

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

0060Credit quality categoryArticle 325y(1) and (2), Article 325aa(1) and Article 325ad(1) of Regulation (EU) No 575/2013

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

(a) CQS 1;

(b) CQS 2;

(d) CQS 4;

(e) CQS 5;

(f) CQS 6;

(g) No CQS assigned (unrated);

(h) No CQS assigned (defaulted);

(i) No CQS assigned (0 % risk-weight).

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

(j) CQS 7;

(k) CQS 8;

(l) CQS 9;

(m) CQS 10;

(n) CQS 11;

(o) CQS 12;

(p) CQS 13;

(q) CQS 14;

(r) CQS 15;

(s) CQS 16;

(t) CQS 17;

(u) CQS All Other;

0070Default risk weightArticle 325v(1), point (f), Article 325y(1) and (2), Article 325aa(1) and Article 325ad(1) of Regulation (EU) No 575/2013Institutions shall report the relevant risk weight. Risk weights applied to securitisation exposures shall be reported after multiplication by 8 % in accordance with Article 325aa(1) of Regulation (EU) No 575/2013.0080SeniorityArticle 325w(3) and (6) of Regulation (EU) No 575/2013

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

(a) Equity instruments;

(b) Non-senior debt instruments;

(d) Covered bonds.

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

0090MaturityArticles 325x, 325z and 325ac of Regulation (EU) No 575/2013The maturity date of the exposure shall be reported. The dd/mm/yyyy convention shall be adopted to report the date.

0100Recovery rateArticle 325v(1), point (e), of Regulation (EU) No 575/2013

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

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

0110DirectionArticle 325v(1), points (a) and (b), of Regulation (EU) No 575/2013

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

(a) Short exposure;

(b) Long exposure.

0120Attachment point (%)Articles 325aa and 325ad of Regulation (EU) No 575/2013

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

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

0130Detachment point (%)Articles 325aa and 325ad of Regulation (EU) No 575/2013

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

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

0140-0170Reporting currency resultsThe values shall be reported referring to the institution’s reporting currency and shall be expressed with a minimum precision of two decimal places where applicable.0140NotionalArticle 325w(1), (2) and (5) of Regulation (EU) No 575/2013

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

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

0150P&L + AdjustmentArticle 325w(1), (2) and (5) of Regulation (EU) No 575/2013

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

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

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

Where the risk class reported in column 0020, corresponds to Instruments other than securitisation positions and the reported exposure is an exposure to equity instruments, institutions shall report the sum of P&Llong and Adjustmentlong if the exposure is a long exposure, or the sum of P&Lshort and Adjustmentshort if the exposure is a short exposure, in accordance with Article 325w(5) of that Regulation.

0160Gross JTD amountArticle 325v(1), point (c), Article 325w(1), (2) and (5), Article 325z(1) and Article 325ac(2) of Regulation (EU) No 575/2013Institutions shall report the gross jump-to-default (JTD) amount for the specific exposure.0170CurrencyThe reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation).0180-0200EBA portfolio currency resultsSections 3 and 4 of Annex V to this Regulation and Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013The values shall be reported following the instructions for column 0030 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation.

0180NotionalArticle 325w(1), (2) and (5) of Regulation (EU) No 575/2013

0190P&L + AdjustmentArticle 325w(1), (2) and (5) of Regulation (EU) No 575/2013

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

0200Gross JTD amountArticle 325v(1), point (c), Article 325w(1), (2) and (5), Article 325z(1) and Article 325ac(2) of Regulation (EU) No 575/2013Institutions shall report the gross jump-to-default (JTD) amount for the specific exposure.

C 120.05 –

DRC. OWN FUNDS REQUIREMENT (OFR) COMPOSITION BY PORTFOLIO

Instructions concerning sheets (z-axis)

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

(a) Instruments other than securitisation positions;

(b) securitisation positions that are not included in the ACTP;

0020Bucket1Article 325y(3), Article 325aa(4) and Article 325ad(2) of Regulation (EU) No 575/2013

The bucket shall be reported.

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

(a) corporates;

(b) sovereigns;

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

(d) ABCP – Asia;

(e) ABCP – Europe;

(f) ABCP – North America;

(g) ABCP – Rest of the world;

(h) Auto loans/leases – Asia;

(i) Auto loans/leases – Europe;

(j) Auto loans/leases – North America;

(k) Auto loans/leases – Rest of the world;

(l) Collateralised debt obligations squared (CDO-squared) – Asia;

(m) Collateralised debt obligations squared (CDO-squared) – Europe;

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

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

(p) Collateralised loan obligations – Asia;

(q) Collateralised loan obligations – Europe;

(r) Collateralised loan obligations – North America;

(s) Collateralised loan obligations – Rest of the world;

(t) Commercial mortgage-backed securities (CMBS) – Asia;

(u) Commercial mortgage-backed securities (CMBS) – Europe;

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

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

(x) Credit cards – Asia;

(y) Credit cards – Europe;

(z) Credit cards – North America;

(aa) Credit cards – Rest of the world;

(bb) Other retail – Asia;

(cc) Other retail – Europe;

(dd) Other retail – North America;

(ee) Other retail – Rest of the world;

(ff) Other wholesale – Asia;

(gg) Other wholesale – Europe;

(hh) Other wholesale – North America;

(ii) Other wholesale – Rest of the world;

(jj) Residential mortgage-backed securities (RMBS) – Asia;

(kk) Residential mortgage-backed securities (RMBS) – Europe;

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

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

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

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

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

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

(rr) Student loans – Asia;

(ss) Student loans – Europe;

(tt) Student loans – North America;

(uu) Student loans – Rest of the world.

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

0030Bucket2Article 325ad(2) of Regulation (EU) No 575/2013Where the risk class reported in column 0010 corresponds to securitisation positions that are included in the ACTP, the answer shall be the name of the index, otherwise it shall be left (NUL)0040Own funds requirements (Reporting currency results)Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013Own funds requirements for default risk shall be reported for the RM (and final ASA) final reference date (as specified in Section 1, point (b) of Annex V to this Regulation). The values shall be reported in the institution’s reporting currency and shall be expressed with a minimum precision of two decimal places.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 Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013The values shall be reported following the instructions for column 0030 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation.

C 120.06 –

ASA. OFR

ColumnLabelLegal referenceInstructions0010Portfolio numberSections 3 and 4 of Annex V to this RegulationThe number of the individual or aggregated portfolio taken from Annex V to this Regulation shall be reported.0020-0040Reporting currency resultsSections 3 and 4 of Annex V to this Regulation0020SBM OFRArticle 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 (and final ASA) final reference date (as specified in Annex V, Section 1, point (b) to this Regulation) for each portfolio.0030DRC OFRArticle 325v of Regulation (EU) No 575/2013Own funds requirements for the default risk charge of the alternative standardised approach shall be reported for the RM (and final ASA) final reference date (as specified in Annex V, Section 1, point (b) to this Regulation) for each portfolio.0040RRAO OFRArticle 325u of Regulation (EU) No 575/2013Own funds requirements for the residual risk add-on of the alternative standardised approach shall be reported for the RM (and final ASA) final reference date (as specified in Annex V, Section 1, point (b) to this Regulation) for each portfolio.0050-0070EBA portfolio currency resultsSections 3 and 4 of Annex V to this RegulationWhen the reporting currency of the institution is different from the EBA portfolio currencies specified in Annex V, Sections 3 and 4 to this Regulation, the institutions shall convert the reporting currency at the applicable ECB spot exchange rate.0050SBM OFRArticle 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 (and final ASA) final reference date (as specified in Annex V, Section 1, point (b) to this Regulation) for each portfolio.0060DRC OFRArticle 325v of Regulation (EU) No 575/2013Own funds requirements for the default risk charge of the alternative standardised approach shall be reported for the RM (and final ASA) final reference date (as specified in Annex V, Section 1, point (b) to this Regulation) for each portfolio.0070RRAO OFRArticle 325u of Regulation (EU) No 575/2013Own funds requirements for the residual risk add-on of the alternative standardised approach shall be reported for the RM (and final ASA) final reference date (as specified in Annex V, Section 1, point (b) to this Regulation) for each portfolio.

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

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

(a) GIRR (general interest rate risk);

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

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

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

(e) EQ (equity risk);

(f) CM (commodity risk);

(g) FX (foreign exchange risk).

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

(a) DELTA (delta risk);

(b) VEGA (vega risk);

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 that Regulation two maturities are given and separated by a hyphen (e.g. 0,5 years – 0,5 years), the first refers to the maturity of the option and the second to residual maturity of the underlying of the option at the expiry date of the option.

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

Risk classComponentMaturityAdditional specificationRisk factor identifierLegal referenceCMDELTA0 yearsCM_D_00.00Article 325p of Regulation (EU) No 575/2013CMDELTA0,25 yearsCM_D_00.25Article 325p of Regulation (EU) No 575/2013CMDELTA0,5 yearsCM_D_00.50Article 325p of Regulation (EU) No 575/2013CMDELTA1 yearCM_D_01.00Article 325p of Regulation (EU) No 575/2013CMDELTA2 yearsCM_D_02.00Article 325p of Regulation (EU) No 575/2013CMDELTA3 yearsCM_D_03.00Article 325p of Regulation (EU) No 575/2013

CMDELTA5 yearsCM_D_05.00Article 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_00.50Article 325p of Regulation (EU) No 575/2013CMVEGA1 yearCM_V_01.00Article 325p of Regulation (EU) No 575/2013CMVEGA3 yearsCM_V_03.00Article 325p of Regulation (EU) No 575/2013CMVEGA5 yearsCM_V_05.00Article 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_00.50_DEBTArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA1 yearDebt instrumentCSR_NON_SEC_D_01.00_DEBTArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA3 yearsDebt instrumentCSR_NON_SEC_D_03.00_DEBTArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA5 yearsDebt instrumentCSR_NON_SEC_D_05.00_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_00.50_CDSArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA1 yearCredit Default SwapCSR_NON_SEC_D_01.00_CDSArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA3 yearsCredit Default SwapCSR_NON_SEC_D_03.00_CDSArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA5 yearsCredit Default SwapCSR_NON_SEC_D_05.00_CDSArticle 325m of Regulation (EU) No 575/2013

CSR_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_00.50Article 325m of Regulation (EU) No 575/2013CSR_NON_SECVEGA1 yearCSR_NON_SEC_V_01.00Article 325m of Regulation (EU) No 575/2013CSR_NON_SECVEGA3 yearsCSR_NON_SEC_V_03.00Article 325m of Regulation (EU) No 575/2013CSR_NON_SECVEGA5 yearsCSR_NON_SEC_V_05.00Article 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 575/2013CSR_NON_SECCURVATUREDownward shiftCSR_NON_SEC_CDArticles 325m, 325g of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA0,5 yearsDebt instrumentCSR_SEC_ACTP_D_00.50_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA1 yearDebt instrumentCSR_SEC_ACTP_D_01.00_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA3 yearsDebt instrumentCSR_SEC_ACTP_D_03.00_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA5 yearsDebt instrumentCSR_SEC_ACTP_D_05.00_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_00.50_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA1 yearCredit Default SwapCSR_SEC_ACTP_D_01.00_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA3 yearsCredit Default SwapCSR_SEC_ACTP_D_03.00_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA5 yearsCredit Default SwapCSR_SEC_ACTP_D_05.00_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_00.50Article 325n of Regulation (EU) No 575/2013

CSR_SEC_ACTPVEGA1 yearCSR_SEC_ACTP_V_01.00Article 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPVEGA3 yearsCSR_SEC_ACTP_V_03.00Article 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPVEGA5 yearsCSR_SEC_ACTP_V_05.00Article 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_00.50_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA1 yearDebt instrumentCSR_SEC_NON_ACTP_D_01.00_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA3 yearsDebt instrumentCSR_SEC_NON_ACTP_D_03.00_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA5 yearsDebt instrumentCSR_SEC_NON_ACTP_D_05.00_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_00.50_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA1 yearCredit Default SwapCSR_SEC_NON_ACTP_D_01.00_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA3 yearsCredit Default SwapCSR_SEC_NON_ACTP_D_03.00_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA5 yearsCredit Default SwapCSR_SEC_NON_ACTP_D_05.00_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_00.50Article 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPVEGA1 yearCSR_SEC_NON_ACTP_V_01.00Article 325n of Regulation (EU) No 575/2013

CSR_SEC_NON_ACTPVEGA3 yearsCSR_SEC_NON_ACTP_V_03.00Article 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPVEGA5 yearsCSR_SEC_NON_ACTP_V_05.00Article 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_00.50Article 325o of Regulation (EU) No 575/2013EQVEGA1 yearEQ_V_01.00Article 325o of Regulation (EU) No 575/2013EQVEGA3 yearsEQ_V_03.00Article 325o of Regulation (EU) No 575/2013EQVEGA5 yearsEQ_V_05.00Article 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_00.50Article 325q of Regulation (EU) No 575/2013FXVEGA1 yearFX_V_01.00Article 325q of Regulation (EU) No 575/2013FXVEGA3 yearsFX_V_03.00Article 325q of Regulation (EU) No 575/2013FXVEGA5 yearsFX_V_05.00Article 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 575/2013

GIRRDELTA0,25 yearsGIRR_D_00.25Article 325l of Regulation (EU) No 575/2013GIRRDELTA0,5 yearsGIRR_D_00.50Article 325l of Regulation (EU) No 575/2013GIRRDELTA1 yearGIRR_D_01.00Article 325l of Regulation (EU) No 575/2013GIRRDELTA2 yearsGIRR_D_02.00Article 325l of Regulation (EU) No 575/2013GIRRDELTA3 yearsGIRR_D_03.00Article 325l of Regulation (EU) No 575/2013GIRRDELTA5 yearsGIRR_D_05.00Article 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_00.50_00.50Article 325l of Regulation (EU) No 575/2013GIRRVEGA1 year – 0,5 yearsGIRR_V_01.00_00.50Article 325l of Regulation (EU) No 575/2013GIRRVEGA3 years – 0,5 yearsGIRR_V_03.00_00.50Article 325l of Regulation (EU) No 575/2013GIRRVEGA5 years – 0,5 yearsGIRR_V_05.00_00.50Article 325l of Regulation (EU) No 575/2013GIRRVEGA10 years – 0,5 yearsGIRR_V_10.00_00.50Article 325l of Regulation (EU) No 575/2013GIRRVEGA0,5 years – 1 yearGIRR_V_00.50_01.00Article 325l of Regulation (EU) No 575/2013

GIRRVEGA1 year – 1 yearGIRR_V_01.00_01.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA3 years – 1 yearGIRR_V_03.00_01.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA5 years – 1 yearGIRR_V_05.00_01.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA10 years – 1 yearGIRR_V_10.00_01.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA0,5 years – 3 yearsGIRR_V_00.50_03.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA1 year – 3 yearsGIRR_V_01.00_03.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA3 years – 3 yearsGIRR_V_03.00_03.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA5 years – 3 yearsGIRR_V_05.00_03.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA10 years – 3 yearsGIRR_V_10.00_03.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA0,5 years – 5 yearsGIRR_V_00.50_05.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA1 year – 5 yearsGIRR_V_01.00_05.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA3 years – 5 yearsGIRR_V_03.00_05.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA5 years – 5 yearsGIRR_V_05.00_05.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA10 years – 5 yearsGIRR_V_10.00_05.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA0,5 years – 10 yearsGIRR_V_00.50_10.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA1 year – 10 yearsGIRR_V_01.00_10.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA3 years – 10 yearsGIRR_V_03.00_10.00Article 325l of Regulation (EU) No 575/2013

GIRRVEGA5 years – 10 yearsGIRR_V_05.00_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_00.50_INFArticle 325l of Regulation (EU) No 575/2013GIRRVEGA1 yearInflationGIRR_V_01.00_INFArticle 325l of Regulation (EU) No 575/2013GIRRVEGA3 yearsInflationGIRR_V_03.00_INFArticle 325l of Regulation (EU) No 575/2013GIRRVEGA5 yearsInflationGIRR_V_05.00_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_00.50_CRO_EURArticle 325l of Regulation (EU) No 575/2013GIRRVEGA1 yearCross-currency basis (over EUR)GIRR_V_01.00_CRO_EURArticle 325l of Regulation (EU) No 575/2013GIRRVEGA3 yearsCross-currency basis (over EUR)GIRR_V_03.00_CRO_EURArticle 325l of Regulation (EU) No 575/2013GIRRVEGA5 yearsCross-currency basis (over EUR)GIRR_V_05.00_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_00.50_CRO_USDArticle 325l of Regulation (EU) No 575/2013GIRRVEGA1 yearCross-currency basis (over USD)GIRR_V_01.00_CRO_USDArticle 325l of Regulation (EU) No 575/2013GIRRVEGA3 yearsCross-currency basis (over USD)GIRR_V_03.00_CRO_USDArticle 325l of Regulation (EU) No 575/2013GIRRVEGA5 yearsCross-currency basis (over USD)GIRR_V_05.00_CRO_USDArticle 325l of Regulation (EU) No 575/2013GIRRVEGA10 yearsCross-currency basis (over USD)GIRR_V_10.00_CRO_USDArticle 325l of Regulation (EU) No 575/2013GIRRCURVATUREUpward shiftGIRR_CUArticles 325l, 325g of Regulation (EU) No 575/2013GIRRCURVATUREDownward shiftGIRR_CDArticles 325l, 325g of Regulation (EU) No 575/2013

Annex

ANNEX VI

Annex

ANNEX VII

Results Supervisory Benchmarking portfolios. MARKET RISK

RESULTS BENCHMARKING PORTFOLIOS. MARKET RISKTemplate numberTemplate codeName of the template /group of templatesShort nameINITIAL MARKET VALUATION106,1C 106.00INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATIONIMV106,2C 106.01RISK SENSITIVITIES BY INSTRUMENTSENSITIVITIESVaR, sVaR and PV107,1C 107.01DETAILSVaR&SVaR 1107,2C 107.02EBA PORTFOLIO CURRENCY RESULTSVaR&SVaR 2PROFIT & LOSS TIME SERIES108C 108.00PROFIT & LOSS TIME SERIESP&LINCREMENTAL RISK CHARGE109,1C 109.01IRC. DETAILS OF THE MODELIRC 1109,2C 109.02IRC. DETAILS BY PORTFOLIOIRC 2109,3C 109.03IRC. AMOUNT BY PORTFOLIO/DATEIRC 3CORRELATION TRADING110,1C 110.01CT. DETAILS OF THE MODELCT 1110,2C 110.02CT. DETAILS BY PORTFOLIOCT 2110,3C 110.03CT. AMOUNT BY PORTFOLIO/DATECT 3ASA (SBM & DRC)120,1C 120.01SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIOSBM 1120,2C 120.02SBM. OFR COMPOSITION BY PORTFOLIOSBM 2120,4C 120.04DRC. MARKET VALUES AND GROSS JTD AMOUNTS BY INSTRUMENT/PORTFOLIODRC 1120,5C 120.05DRC. OFR COMPOSITION BY PORTFOLIODRC 2120,6C 120.06ASA. OFR BY PORTFOLIOASA OFR

C 106.00 – INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION

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

C 106.01 – RISK SENSITIVITIES BY INSTRUMENT

Instrument number

Risk factor identifierBucketAdditional identifierRisk sensitivity (Reporting currency results)Reporting currencyRisk sensitivity (EBA instrument currency results)Pricing modelSensitivities definitionFree text boxAdditional identifier2Credit quality category001000200030005000600070008000900100110120

C 107.01 – VaR, sVaR and PV. DETAILS

OptionFree text box00100020VaR0010Methodology0020Computation of 10-day Horizon0030Length of observation period

0040Data Weighting0050Backtesting add-on0060VaR Regulatory add-onSVaR0070Methodology0080Computation of 10-day Horizon0090SVaR Regulatory add-on0100SVaR period

C 107.02 – VaR and SVaR NON-CTP. EBA PORTFOLIO CURRENCY RESULTS

Portfolio

DateVaRsVaRPV0010002000300040

C 108.00 – PROFIT & LOSS TIME SERIES

Portfolio

DateDaily P&L00100020

C 109.01 – IRC. DETAILS OF THE MODEL

OptionFree text boxRowItem001000200010Number of modelling factors0020Source of LGDs

C 109.02 – IRC. DETAILS BY PORTFOLIO

Portfolio

OptionFree text boxRowItem001000200010Liquidity Horizon0020Source of PDs0030Source of transition matrices

C 109.03 – IRC. AMOUNT BY PORTFOLIO/DATE

Portfolio

DateIRC00100020

C 110.01 – CT. DETAILS OF THE MODEL

OptionFree text boxRowItem001000200010Number of modelling factors0020Source of LGDs

C 110.02 – CT. DETAILS BY PORTFOLIO

Portfolio

OptionFree text boxRowItem001000200010Liquidity Horizon0020Source of PDs0030Source of transition matrices

C 110.03 – CT. APR BY PORTFOLIO/DATE

Portfolio

DateAPR00100060

C 120.01 – SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO

Portfolio

Instrument numberRisk factor identifierBucketAdditional identifier

Risk sensitivity

(Reporting currency results)

Reporting currencyRisk sensitivity (EBA portfolio currency results)Risk weightAdditional identifier2Credit quality category00100020003000400060007000800090110120

C 120.02 – SBM. OFR COMPOSITION BY PORTFOLIO

Portfolio

Risk classRisk ComponentCorrelations scenarioOwn funds requirements (Reporting currency results)Reporting currencyOwn funds requirements (EBA portfolio currency results)Positions without optionality subjected to curvature risk own funds requirementsBase currency approach applied for foreign-exchange risk delta and curvatureDivision of curvature risk components for foreign-exchange risk by scalarFree text box0010002000300040005000600070008000900100

C 120.04 – DRC. Market values and gross JTD amounts by Instrument/Portfolio

Portfolio

Integer

Instrument numberRisk classBucket1Bucket2ObligorCredit quality categoryDefault risk weightSeniorityMaturityRecovery Rate0010002000300040005000600070008000900100DirectionAttachment point (%)Detachment point (%)Reporting currency resultsEBA portfolio currency resultsNotionalP&L + AdjustmentGross JTD amountCurrencyNotionalP&L + AdjustmentGross JTD amount0110012001300140015001600170018001900200

C 120.05 – DRC. OFR COMPOSITION BY PORTFOLIO

Portfolio

Integer

Risk classBucket1Bucket2Own funds requirements (Reporting currency results)Reporting currencyOwn funds requirements (EBA portfolio currency results)001000200030004000500060

C 120.06 – ASA. OFR

Portfolio numberReporting currency resultsEBA portfolio currency resultsSBM OFRDRC OFRRRAO OFRSBM OFRDRC OFRRRAO OFR0010002000300040005000600070

Annex

ANNEX VII

Annex

ANNEX VIII

Results Supervisory Benchmarking portfolios

Template numberTemplate codeName of the template /group of templates111.00C 111.00Details on exposures in Low Default Portfolios by counterparty112.00C 112.00Details on exposures in Low Default Portfolios by counterparty by economic scenario113.00C 113.00Details on exposures in Low Default Portfolios by counterparty by facility114.00C 114.00Details on macroeconomic scenarios per GDP Area code115.00C 115.00Details on exposures in High Default Portfolios116.00C 116.00Details on exposures in High Default Portfolios by economic scenario117.00C 117.00Details on exposures in High Default Portfolios by staging118.00C 118.00Details on macroeconomic scenarios per GDP Area code

Basic information about the reporting entity

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

C 111.00 –

Details on exposures in Low Default Portfolios by counterparty

Counterparty CodeNumber of facilitiesGDP Area CodeExposure value - IFRS 9Gross carrying amountPD - 12 months - IFRS 9PD - IRB without conservative adjustmentLGD - IFRS 9ECL amount - 12 months IFRS 9Expected Loss Amount - IRB

LGD IFRS 9

Unsecured

12M

(Hypothetical)

00100020003000400045010001100200040004100500

C 112.00 -

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

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

C 113.00 -

Details on exposures in Low Default Portfolios by counterparty by facility

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

C 114.00 –

Details on macroeconomic scenarios per GDP Area code

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

C 115.00 -

Details on exposures in High Default Portfolios

Portfolio IDNumber of obligorsGDP Area CodeExposure value - IFRS 9 Stage 1Exposure value - IFRS 9 Stage 2Exposure value - IFRS 9 Stage 3Gross carrying amountPD - 12 months - IFRS 9PD - 12 months - IFRS 9 without overlaysPD - 12 months - IFRS 9 TTC/UnconditionalPD - 12 months - IFRS 9 - Stage 1PD - 12 months - IFRS 9 - Stage 2Collateral valueLGD - IFRS 9LGD - IFRS 9 without overlaysResidual maturityECL amount IFRS 9 Stage 1ECL amount IFRS 9 Stage 2ECL amount IFRS 9 Stage 3ECL amount IFRS 9 without overlays Stage 1ECL amount IFRS 9 without overlays Stage 2ECL amount IFRS 9 without overlays Stage 3Expected Loss amount- Stage 1Expected Loss amount- Stage 2Expected Loss amount- Stage 30010004000450050005100520055010001050106010701080120013001330140014501460147014801490150016001610162

C 116.00 -

Details on exposures in High Default Portfolios by economic scenario

Portfolio IDEconomic scenario IDPD - 0 - 12 monthsPD - 0 - 24 monthsPD - 0 - 36 monthsPD - 0 - 48 monthsPD - 0 - 60 monthsPD - 0 - 72 monthsPD - 0 - 84 monthsPD - 0 - 96 monthsPD - 0 - 108 monthsPD - 0 - 120 monthsECL amount IFRS 9 Stage 1ECL amount IFRS 9 Stage 2ECL amount IFRS 9 Stage 3001000200100011001200130014001500160017001800190020002010202

C 117.00 -

Details on exposures in High Default Portfolios by staging

Portfolio IDStage 1 exposures under Low credit risk exemptionLow credit risk exemption thresholdStage 1 exposures with more than a three- fold increase in PDExposures in stage 2 due to quantitative triggersExposures in stage 2 due to qualitative or backstop indicatorsAdditional ECL amount in case of transfer to stage 2Transition rate from stage 1 to stage 3Transition rate from stage 2 to stage 3Total transfers to stage 3Transfers from stage 1 directly to stage 300100020003000400050006000800120013001400150

C 118.00 –

Details on macroeconomic scenarios per GDP Area code

Annex

ANNEX VIII

Annex

ANNEX IX

IFRS 9 TEMPLATE REPORTING INSTRUCTIONS

PART I:

GENERAL INSTRUCTIONS

3181

General Instructions for Low Default Portfolios – Templates C.111.00, C.112.00, C.113.00, C.114.00

3181

General Instructions for High Default Portfolios – Templates C.115.00, C.116.00, C.117.00, C.118.00

3182

PART II:

TEMPLATE-RELATED INSTRUCTIONS

C 111.00 –

Details on exposures in Low Default Portfolios by counterparty

3184

C 112.00 –

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

3186

C 113.00 –

Details on exposures in Low Default Portfolios by counterparty by facility

3188

C 114.00 –

Details on macroeconomic scenarios per GDP Area code

3191

C 115.00 –

Details on exposures in High Default Portfolios

3193

C 116.00 –

Details on exposures in High Default Portfolios by economic scenario

3201

C 117.00 –

Details on exposures in High Default Portfolios by staging

3206

C 118.00 –

Details on macroeconomic scenarios per GDP Area code

3210

PART I:

GENERAL INSTRUCTIONS

General Instructions for Low Default Portfolios – Templates C.111.00, C.112.00, C.113.00, C.114.00

Information shall be submitted only for those counterparties and portfolios where an actual exposure exists at the reference date in the form of either an Original Exposure or an Exposure after credit risk mitigation, including exposures in stage 3 and counterparties for which the temporary or permanent partial use of the Standardised Approach has been permitted by the respective competent authority in accordance with Article 148 or 150 of Regulation (EU) No 575/2013. Information for counterparties and portfolios for which no exposure exists at the reference date shall not be submitted. Only the following exposures should be reported: those exposures which are subject to the impairment requirements under IFRS 9.5.5.1, excluding purchased or originated credit-impaired financial assets as defined in Appendix A to IFRS 9 as set out in the Annex to Commission Regulation (EC) No 2023/1803 (Annex relating to IFRS 9 ) shall be included.

Information not required or not applicable shall not be submitted; the relevant cells shall either be left blank or NULL. This shall also apply to weighted average quantities that cannot be calculated. Zero values shall be reported only where the intention is to report a quantity of zero. The cells shall not be left blank nor the indication NULL shall be inserted to report quantities 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 Commission Implementing Regulation (EU) 2021/451

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

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

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

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

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

General Instructions for High Default Portfolios – Templates C.115.00, C.116.00, C.117.00, C.118.00

Information shall be submitted only for those portfolios where an actual exposure exists at the reference date in the form of either an Original Exposure or an Exposure after credit risk mitigation, including exposures in stage 3. Information for portfolios for which no exposure exists at the reference date shall not be submitted. Only the following exposures should be reported: those exposures which are subject to the impairment requirements under IFRS 9.5.5.1, excluding purchased or originated credit-impaired financial assets as defined in Appendix A to IFRS 9 as set out in the Annex to Commission Regulation (EC) No 2023/1803 (Annex relating to IFRS 9) shall be included.

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

Monetary amounts shall be reported in the same way as they are reported for calculating own funds requirements at a specific reference date in accordance with Commission Implementing Regulation (EU) 2021/451

All the templates included in this Annex shall be filled only for those portfolios included in Annex I, template C 104.00. Specialized lending exposures as defined in Article 147(8) of Regulation (EU) No 575/2013 shall be excluded.

By way of derogation of paragraph 4, for portfolios identified in Annex I, template C.104.00 with a geographical breakdown (all portfolios with column 0050 different than Not applicable”), information shall be reported only when portfolios are considered material. A portfolio is considered material when it has a total exposure equal or higher than 1 % of the total exposure reported for that exposure class (identifiable for each asset class, considering portfolios with column 50, 150 and 200 as Not applicable and Column 90 as non-defaulted). The total exposure to be considered shall correspond to the sum of the amounts reported respectively in Annex VII, template C.115.00, column 0050 (stage 1 facilities), column 0051 (stage 2 facilities) and column 0052 (stage 3 facilities).

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

The ECLs, as well as the IRB expected loss amounts, shall be expressed as a positive number.

Where the facility expires within the year considered for a specific data point, the parameter estimates and the ECL amount to be reported for this facility shall be related to a default event over a 12 months’ period. By way of derogation from this rule, for the purpose of template C.116.00, where the facility expires before the year considered for a specific data point, the facility’s PD shall not be included in the exposure weighted average PD.

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

Data should be reported only with reference to both the on-balance sheet and off-balance sheet exposures in the scope of the impairment requirements of IFRS 9, related to those portfolios included in Annex I, template C.104.00.

PART II:

TEMPLATE-RELATED INSTRUCTIONS

C 111.00 –

Details on exposures in Low Default Portfolios by counterparty

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

The code of the geographical area of the counterparty. The geographical area should be the one associated with the estimations of columns 0100 to 0190 of this Annex for column 0010 of template C 114.00. Where the GDP is estimated for the counterparty on a single country basis, the country code shall have the same format as the one used in column 0080 of template C101 of Annex 1 to this Implementing Regulation. Where the GDP is estimated for an area with several countries, one of the following codes shall be used:

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

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

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

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

0040Exposure value – IFRS 9

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

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

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

0100PD – 12 months IFRS 9

The PD calculated at the counterparty level at the reporting date, representing the probability of a default event within 12 months following the reporting date, as considered in the application of the impairment requirements under IFRS 9. This shall be the PD used to compute the 12 month expected credit loss (ECL amount – 12 months IFRS 9), and associated with the economic scenario 0 in template C112.00.

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

Where the PD values associated with the economic scenario 0 of the template C112.00 are not populated, this data point shall not be populated, either.

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

The PD of the counterparty estimated under Articles 160 and 180 of the CRR, free from any Margin of Conservatism, regulatory floors, supervisory add-ons and any other conservative measures, and adjustments,.

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

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

0200LGD – IFRS 9

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

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

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

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

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

0400ECL amount – 12 months IFRS 9Appendix A to IFRS 9 as set out in the Annex to Commission Regulation (EC) No 2023/1803

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

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

0410Expected Loss Amount- IRBColumn 0280 of template 8.1 of Annex I to Implementing Regulation (EU) 2021/451

The expected loss amount calculated using IRB parameters.

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

0500

LGD IFRS 9 Unsecured

12M (Hypothetical)

The hypothetical LGD value that would be applied by the institution, according to the impairment requirements under IFRS 9, to a Senior Unsecured exposure to the counterparty, associated with a default event over the 12 months’ period following the reporting date, shall be reported.. This hypothetical LGD value shall be computed according to the economic scenario 0 in template C112.00 and in accordance with the following:

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

No negative pledge clause is in place.

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

C 112.00 –

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

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

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

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

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

Where more than one, but less than 5 economic scenarios are used, the PD values associated with the economic scenario 0 shall be the weighted average of the PDs reported for the economic scenario 1 to 5, using the weights reported in the columns 0199 to 0209 in the template C114.00 of this Annex and 0 for the unused scenarios.

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

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

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

ColumnLabelLegal referenceInstructions0010Counterparty CodeThe counterparty code assigned in column 0010 of template C101 of Annex I to this Implementing Regulation to the counterparty included in the low default portfolio (LDP) samples portfolios shall be reported. Columns 0010 and 0020 shall be a composite row identifier and together shall be unique for each row in the table.0020Economic scenario ID

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

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

0100PD – 0 - 12 monthsThe cumulative PD assigned to the counterparty representing the probability of a default event within the 12 months after the reporting date, under the economic scenario considered.0110PD – 0 - 24 monthsThe cumulative PD assigned to the counterparty representing the probability of a default event within the 24 months after the reporting date, under the economic scenario considered.0120PD – 0 - 36 monthsThe cumulative PD assigned to the counterparty representing the probability of a default event within the 36 months after the reporting date, under the economic scenario considered.0130PD – 0 - 48 monthsThe cumulative PD assigned to the counterparty representing the probability of a default event within the 48 months after the reporting date, under the economic scenario considered.0140PD – 0 - 60 monthsThe cumulative PD assigned to the counterparty representing the probability of a default event within the 60 months after the reporting date, under the economic scenario considered.

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

C 113.00 –

Details on exposures in Low Default Portfolios by counterparty by facility

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

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

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

0100Exposure value – IFRS 9

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

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

0200Impairment StatusParagraph 5 (l) in Part 1 of Annex V to Regulation (EU) 2021/451

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

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

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

Credit impaired instruments (stage 3).

0300Annualised originated PD

IFRS 9.5.5.9

IFRS 9.B5.5.11

IFRS 9.B5.5.13

IFRS 9.B5.5.43

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

Annualised lifetime PD1 – M1 – lifetime PD

where

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

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

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

0400Annualised PD at reporting date

IFRS 9.5.5.9

IFRS 9.B5.5.13

IFRS 9.B5.5.14

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

Annualised lifetime PD1 – M1 – lifetime PD

where:

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

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

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

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

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

Annualised lifetime PD1 – M1 – lifetime PD

where:

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

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

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

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

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

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

0550Low Credit Risk exemption threshold (if applicable)

IFRS 9.5.5.10

IFRS 9.B5.5.22 – B5.5.24

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

Annualised lifetime PD1 – M1 – lifetime PD

where:

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

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

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

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

0600Qualitative Stage 2 Trigger set

IFRS 9.B5.5.17

IFRS 9.B5.5.19 – B5.5.21

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

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

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

30 days past due;

watch list;

forbearance;

other qualitative trigger;

identification of first trigger not possible.

C 114.00 –

Details on macroeconomic scenarios per GDP Area code

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

Where the IFRS 9 model related to the obligor uses a higher number of economic scenarios than five, including when performing Monte Carlo simulation„ the template C114.00 should not be populated.

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

ColumnLabelLegal referenceInstructions0010GDP Area Code

The list of areas identified in column 0030 of template C111.00 of this Annex.

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

0020Economic scenario ID

IFRS 9.5.5.17(a)

IFRS 9.5.5.18

IFRS 9.B5.5.41

IFRS 9.B5.5.42

The instructions provided in this Annex for column 0020 of C112.00 shall apply for scenario 1 to 5. However, in case the IFRS 9 model related to the GDP area code uses an average macroeconomic scenario, with no individual macroeconomic scenario available, the scenario 1 to 5 should not be populated. Instead, the average macroeconomic scenario should be reported under the economic scenario 0, and no data should be reported for the economic scenarios 1 to 50100GDP growth – 0 - 12 monthsThe estimated yearly GDP growth within the next 12 months after the reporting date of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.

0110GDP growth – 12 – 24 monthsThe estimated yearly GDP growth within the next 12 months starting 12 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0120GDP growth – 24 – 36 monthsThe estimated yearly GDP growth within the next 12 months starting 24 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0130GDP growth – 36 – 48 monthsThe estimated yearly GDP growth within the next 12 months starting 36 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0140GDP growth – 48 – 60 monthsThe estimated yearly GDP growth within the next 12 months starting 48 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0150GDP growth – 60 – 72 monthsThe estimated yearly GDP growth within the next 12 months starting 60 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0160GDP growth – 72 – 84 monthsThe estimated yearly GDP growth within the next 12 months starting 72 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0170GDP growth – 84 – 96 monthsThe estimated yearly GDP growth within the next 12 months starting 84 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0180GDP growth – 96 – 108 monthsThe estimated yearly GDP growth within the next 12 months starting 96 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0190GDP growth – 108 – 120 monthsThe estimated yearly GDP growth within the next 12 months starting 108 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0199Weight of the Scenarios – 0 - 12 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 0-12 months shall be reported. The weight shall be expressed as a value between 0 and 1.0201Weight of the Scenarios – 12 – 24 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 12-24 months shall be reported. The weight shall be expressed as a value between 0 and 1.

0202Weight of the Scenarios – 24 – 36 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 24-36 months shall be reported. The weight shall be expressed as a value between 0 and 1.0203Weight of the Scenarios – 36 – 48 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 36-48 months shall be reported. The weight shall be expressed as a value between 0 and 1.0204Weight of the Scenarios – 48 – 60 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 48-60 months shall be reported. The weight shall be expressed as a value between 0 and 1.0205Weight of the Scenarios – 60 – 72 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 60-72 months shall be reported. The weight shall be expressed as a value between 0 and 1.0206Weight of the Scenarios – 72 – 84 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 72-84 months shall be reported. The weight shall be expressed as a value between 0 and 1.0207Weight of the Scenarios – 84 – 96 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 84-96 months shall be reported. The weight shall be expressed as a value between 0 and 1.0208Weight of the Scenarios – 96 – 108 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 96-108 months shall be reported. The weight shall be expressed as a value between 0 and 1.0209Weight of the Scenarios – 108 – 120 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 108-120 months shall be reported. The weight shall be expressed as a value between 0 and 1.

C 115.00 –

Details on exposures in High Default Portfolios

ColumnLabelLegal referenceInstructions0010Portfolio ID

The code assigned in Annex I, template C.104.00, column 0010 to each portfolio shall be reported. That code shall be a row identifier and shall be unique for each row in the table.

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

0040Number of obligors

The number of obligors for the respective portfolio shall be reported.

It shall be based on obligors that have a strictly positive exposure value reported either in columns 0050 or in column 0051 or in column 0052.

0045GDP Area Code

The code of the geographical area of the facilities included in the respective portfolio shall be reported. The geographical area should be the one associated with the estimations of this Annex, columns 0100 to 0190 for template C 118.00, column 0010. Where the GDP is estimated on a single country basis, the country code shall have the same format as the one used in Annex I, template C.104.00, column 0050. Where the GDP is estimated for an area with several countries, one of the following codes shall be used:

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

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

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

The information required in this column shall be provided only for those portfolio IDs for which Annex I, template C.104.00, column 0050 is different than Not applicable. In the remaining cases, this column shall be left blank or NULL shall be inserted.

0050Exposure value IFRS 9 – Stage 1

The sum of exposure values over all facilities included in the respective portfolio and which were, under IFRS 9, without significant increase in credit risk since initial recognition (Stage 1) at the reporting date.

Exposure values shall include both on- and off-balance sheet exposures in the scope of the impairment requirements of IFRS 9. In the case of off-balance sheet exposures, the latter shall be considered after the application of the conversion factors used for accounting purposes.

0051Exposure value IFRS 9 – Stage 2

The sum of exposure values over all facilities included in the respective portfolio and which were, under IFRS 9, with significant increase in credit risk since initial recognition but not credit impaired (Stage 2) at the reporting date.

0052Exposure value IFRS 9 – Stage 3

The sum of exposure values over all facilities included in the respective portfolio and which were credit-impaired (Stage 3) at the reporting date.

0055Gross carrying amountAppendix A, defined terms of Commission Delegated Regulation (EU) 2016/2067The sum of the amortised cost at the reporting date, before adjusting for any loss allowance, over all on-balance exposures towards the counterparty, which are in the scope of application of impairment requirements under IFRS 9.0100PD – 12 months IFRS 9

The weighted average PD over all facilities included in the respective portfolio at the reporting date shall be reported. For the purpose of this computation:

The PD shall represent the probability of a default event within 12 months following the reporting date, as considered in the application of the impairment requirements under IFRS 9. This shall be the PD used to compute the 12-month expected credit loss (ECL amount – 12 months IFRS 9), and associated with the economic scenario 0 in template C116.00.

The weight used for each facility shall be the exposure value, intended as the sum of the amounts defined respectively in column 0050 (in case of stage 1 facilities), column 0051 (in case of stage 2 facilities) and column 0052 (in case of stage 3 facilities) of this template;

The data reported shall include any temporary model/manual adjustment or overlay that has been applied directly at the level of the PD parameter.

0105PD – 12 months IFRS 9 without overlays

The weighted average IFRS 9 12 month PD reported in accordance with the instructions provided for column C.0100, but excluding the effect of any temporary model adjustment or overlay that has been applied directly at the level of the PD parameter.

For the purpose of this datapoint, model adjustments and overlays are intended as any manual adjustment or intervention affecting the IFRS 9 PD estimates resulting from the ordinary application of the IFRS 9 ECL model adopted by the institution.

In case no model adjustment or overlay has been applied at the PD level with reference to the reported portfolio, the datapoint should be reported in accordance with the instructions provided for column 0100.

In case it is not possible to disentangle the effect of overlays on the PD parameter, this data point shall be left blank or NULL shall be inserted.

0106PD – 12 months – IFRS 9 TTC/Unconditional

The weighted average TTC/unconditional PD of the respective portfolio at the reporting date shall be reported. For the purpose of this computation:

The PD shall represent the unconditional/trough the cycle probability of a default event within 12 months following the reporting date. It should correspond to the intermediate PD estimated by the relevant IFRS 9 model (e.g. Markov chains, Fitting with Weibull or Cox functions, etc.…) before the application of any PIT and FLI shift/adjustment.

The data reported shall not include any temporary model/manual adjustment or overlay that has been applied directly at the level of the PD parameter.

In case the intermediate unconditional/TTC PD is not available as this parameter is not an intermediate output of the IFRS 9 PD model used, this data point shall be left blank or NULL shall be inserted.

0107PD – 12 months – IFRS 9 – Stage 1

The weighted average PD over all facilities included in the respective portfolio and which were allocated within stage 1 at the reporting date. For the purpose of this computation:

The weight used for each facility shall be the exposure value as defined respectively in column 0050 of this template.

The data reported shall include any temporary model/manual adjustment or overlay that has been applied directly at the level of the PD parameter.

0108PD – 12 months – IFRS 9 – Stage 2

The weighted average PD over all facilities included in the respective portfolio and which were allocated within stage 2 at the reporting date. For the purpose of this computation:

The PD shall represent the probability of a default event within 12 months following the reporting date, as considered in the application of the impairment requirements under IFRS 9. This shall be the PD used to compute the 12-month expected credit loss (ECL amount – 12 months IFRS 9) and associated with the economic scenario 0 in template C116.00.

The weight used for each facility shall be the exposure value as defined respectively in column 0051 of this template.

The data reported shall include any temporary model/manual adjustment or overlay that has been applied directly at the level of the PD parameter.

0120Collateral valueThe market value of the collateral shall be reported.0130LGD – IFRS 9

The weighted average LGD of the respective portfolio at the reporting date, as considered in the impairment requirements under IFRS 9 and used to compute the final expected credit loss.

The weight used to compute the weighted average LGD shall be the exposure value of the facilities in the respective portfolio, intended as the sum of the amounts defined respectively in column 0050 (in case of stage 1 facilities), column 0051 (in case of stage 2 facilities) and column 0052 (in case of stage 3 facilities) of this template.

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

For the purpose of this datapoint, the data reported shall include any temporary model adjustment or overlay that has been applied directly at the level of the LGD parameter.

0133LGD – IFRS 9 without overlays

The weighted average IFRS 9 LGD reported in accordance with the instructions provided for column 0130 of this template, but excluding the effect of any temporary model adjustment or overlay that has been applied directly at the level of the LGD parameter.

For the purpose of this datapoint, model adjustments and overlays are intended as any manual adjustment or intervention affecting the IFRS 9 LGD estimates resulting from the ordinary application of the IFRS 9 ECL model adopted by the institution.

In case no model adjustment or overlay has been applied at the LGD level with reference to the reported portfolio, this datapoint should be reported in accordance with the instructions provided for column 0130.

In case it is not possible to disentangle the effect of overlays on the LGD parameter, this data point shall be left blank or NULL shall be inserted.

0140Residual maturityThe EAD-weighted residual maturity of the respective portfolio shall be reported. It shall be expressed in number of years.0145ECL amount IFRS 9 – Stage 1Appendix A to IFRS 9 as set out in the Annex to Regulation (EC) No 2023/1803

The sum of the expected credit losses over all facilities, as considered for the application of impairment requirements under IFRS 9, included in the respective portfolio and which were allocated within stage 1 at the reporting date.

The ECL amount for each facility shall be the one associated with default events over the 12 months’ period following the reporting date.

The data reported shall include any temporary model adjustment or overlay that has been applied for the purposes of estimating ECL. Therefore, this data point shall include the effect of all the model adjustments/overlays, regardless they were applied at risk parameter level or at the ECL level.

0146ECL amount IFRS 9 – Stage 2Appendix A to IFRS 9 as set out in the Annex to Regulation (EC) No 2023/1803

The ECL amount for each facility shall be the one resulting from all possible default events over its expected life.

0147ECL amount IFRS 9 – Stage 3Appendix A to IFRS 9 as set out in the Annex to Regulation (EC) No 2023/1803

The ECL amount for each facility shall be the one resulting from all possible default events over its expected life.

0148ECL amount IFRS 9 without overlays – Stage 1

The IFRS 9 ECL amount reported in accordance with the instructions provided for column 0145, but excluding the effect of any temporary model adjustment or overlay that has been applied directly at the ECL level.

Model adjustments and overlays are intended as any manual adjustment or intervention affecting the IFRS 9 ECL estimates resulting from the ordinary application of the IFRS 9 ECL model adopted by the institution. This, regardless of the approach used for determining the overlay applied at the ECL level, as for instance whether the amount of the ECL overlay is based on stressed estimates of the respective IFRS 9 credit risk parameter (e.g. stressed IFRS 9 PD estimates).

In case no model adjustment or overlay has been applied at the ECL level with reference to the reported portfolio, the IFRS 9 ECL amount should be reported in accordance with the instructions provided for column 0145.

In case the effect of model adjustments or overlays at the ECL level cannot be isolated, this data point shall be left blank or NULL shall be inserted.

0149ECL amount IFRS 9 without overlays – Stage 2

The IFRS 9 ECL amount reported in accordance with the instructions provided for column 0146, but excluding the effect of any temporary model adjustment or overlay that has been applied directly at the ECL level.

In case the effect of model adjustments or overlays at the ECL level cannot be isolated, this data point shall be left blank or NULL shall be inserted.

0150ECL amount IFRS 9 without overlays – Stage 3

The IFRS 9 ECL amount reported in accordance with the instructions provided for column 0147, but excluding the effect of any temporary model adjustment or overlay that has been applied directly at the ECL level.

In case the effect of model adjustments or overlays at the ECL level cannot be isolated, this data point shall be left blank or NULL shall be inserted.

0160Expected Loss Amount IRB- Stage 1The expected loss amount calculated using IRB parameters, in accordance with the instructions provided in Annex IV, template C 102, column 0150, over those facilities which were allocated within stage 1 at the reporting date for IFRS 9 purposes.0161Expected Loss Amount IRB- Stage 2The expected loss amount calculated using IRB parameters, in accordance with the instructions provided in Annex IV, template C 102, column 0150, over those facilities which were allocated within stage 2 at the reporting date for IFRS 9 purposes.0162Expected Loss Amount IRB- Stage 3The expected loss amount calculated using IRB parameters, in accordance with the instructions provided in Annex IV, template C 102, column 0150, over those facilities which were allocated within stage 3 at the reporting date for IFRS 9 purposes.

C 116.00 –

Details on exposures in High Default Portfolios by economic scenario

The information in this template shall be reported only with reference to the following portfolios:

The portfolios related to the following portfolio ID, representing the total exposure by regulatory approach:

CORP_ALL_0086_CT_AIRB_x0_Rx0_ALLSMEC_ALL_0106_CT_FIRB_x0_Rx0_ALLMORT_ALL_0094_CT_AIRB_x0_Rx0_ALLRSMS_ALL_0106_CT_AIRB_x0_Rx0_ALLSMEC_ALL_0106_CT_AIRB_x0_Rx0_ALLRETO_ALL_0094_CT_AIRB_x0_Rx0_ALLSMOT_ALL_0106_CT_AIRB_x0_Rx0_ALLRQRR_ALL_0094_CT_AIRB_x0_Rx0_ALLCORP_ALL_0086_CT_FIRB_x0_Rx0_ALL

All portfolios related to those portfolio ID for which Annex I, template C.104.00, column 0050 is different than Not applicable.

The PD values reported in columns 0100, 0110, 0120, 0130, 0140, 0150, 0160, 0170, 0180, and 0190 shall not incorporate any effect of prepayment. These PD values shall be reported weighting the PD of each facility included in the respective portfolio available up to the maturity of the contract (i.e. PD beyond the contractual maturity of each facility shall not be considered). The PD values shall include any temporary model/manual adjustment or overlay that has been applied directly at the level of the PD parameter.

The ECL amounts reported in columns 0200, 0201, 0202 shall include any temporary model adjustment or overlay that has been applied for the purposes of estimating ECL, regardless whether they were applied at risk parameter level or at the ECL level. The ECL amounts for economic scenario 1 to 5 for each stage shall be reported considering the actual staging allocation at the reporting date (i.e. SICR assessment and staging allocation should be kept as resulting from the application of impairment requirements under IFRS 9).

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

Where the IFRS 9 model used by the reporting institution includes five economic scenarios:

the PD values associated with each of the scenario shall be reported for the columns 0100 to 0190. The PD values associated with the economic scenario 0 shall be the weighted average of the PDs reported for the economic scenario 1 to 5, using the weights reported in Annex VIII, template C.118.00, columns 0199 to 0209.

the ECL amount associated with each of the scenario shall be reported respectively in the column 0200 (in case of stage 1 exposures), in the column 0201 (in case of stage 2 exposures) and in the column 0202 (in case of stage 3 exposures). The ECL amount associated with the economic scenario 0 shall be the weighted average of the ECL reported for the economic scenario 1 to 5, using the weights reported in Annex VIII, template C.118.00, columns 0199 to 0209.

Where the IFRS 9 model used by the reporting institution includes a lower number of economic scenarios than five, the rows related to the missing economic scenarios shall not be reported.

Where more than one, but less than 5 economic scenarios are used:

the PD values associated with the economic scenario 0 shall be the weighted average of the PDs reported for the economic scenario 1 to 5, using the weights reported in Annex VIII, template C118.00, columns 0199 to 0209 and 0 for the unused scenarios.

the ECL amount associated with the economic scenario 0 shall be the weighted average of the ECL amounts reported for the economic scenario 1 to 5, using the weights reported in Annex VIII, template C118.00, columns 0199 to 0209 and 0 for the unused scenarios.

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

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

Where the estimation is based on a baseline scenario that is forward-looking and an adjustment is applied to consider the non-linearity effect, the institution shall report in the template:

the cumulative PD value of the baseline scenario in scenario 1, and the PD used for the purpose of the Significant Increase in Credit Risk (SICR) assessment in scenario 0.

the ECL amount of the baseline scenario in scenario 1 and the ECL amount including the effects of the adjustments applied in order to consider the non-linearity effects in scenario 0.

When different ECL approaches envisaging different number of scenarios and weights are used, institutions shall report the information using the number of economic scenarios and weights that accounts for the largest share of exposures of the most relevant ECL approach used. Institutions shall map the economic scenarios of the different exposures on a best effort basis based on their ranking of severity. The total exposure to be considered shall correspond to the sum of the amounts reported respectively in Annex VIII, template C.115.00, column 0050 (stage 1 facilities), column 0051 (stage 2 facilities) and column 0052 (stage 3 facilities).

ColumnLabelLegal referenceInstructions0010Portfolio ID

The code assigned in Annex I, template C.104, column 0010 for each portfolio, for which the information in this template shall be reported.

The combination portfolio ID (c0010) and Economic scenario ID (c0020) is the primary key of this template and shall be reported only once.

0020Economic scenario ID

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

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

0100PD – 0 - 12 months

The weighted average cumulative PD of the facilities included in the respective portfolio, representing the probability of a default event within the 12 months after the reporting date, under the economic scenario considered.

The weight used to compute the weighted average cumulative PD shall be the exposure value of the facilities in the respective portfolio, intended as the sum of the amounts defined respectively in this Annex, template C.115.00, column 0050 (in case of stage 1 facilities), column 0051 (in case of stage 2 facilities) and column 0052 (in case of stage 3 facilities).

0110PD – 0 - 24 months

The weighted average cumulative PD of the facilities included in the respective portfolio, representing the probability of a default event within the 24 months after the reporting date, under the economic scenario considered.

0120PD – 0 - 36 months

The weighted average cumulative PD of the facilities included in the respective portfolio, representing the probability of a default event within the 36 months after the reporting date, under the economic scenario considered.

0130PD – 0 - 48 months

The weighted average cumulative PD of the facilities included in the respective portfolio, representing the probability of a default event within the 48 months after the reporting date, under the economic scenario considered.

0140PD – 0 - 60 months

The weighted average cumulative PD of the facilities included in the respective portfolio, representing the probability of a default event within the 60 months after the reporting date, under the economic scenario considered.

0150PD – 0 - 72 months

The weighted average cumulative PD of the facilities included in the respective portfolio, representing the probability of a default event within the 72 months after the reporting date, under the economic scenario considered.

0160PD – 0 - 84 months

The weighted average cumulative PD of the facilities included in the respective portfolio, representing the probability of a default event within the 84 months after the reporting date, under the economic scenario considered.

0170PD – 0 - 96 months

The weighted average cumulative PD of the facilities included in the respective portfolio, representing the probability of a default event within the 96 months after the reporting date, under the economic scenario considered.

0180PD – 0 - 108 months

The weighted average cumulative PD of the facilities included in the respective portfolio, representing the probability of a default event within the 108 months after the reporting date, under the economic scenario considered.

0190PD – 0 - 120 months

The weighted average cumulative PD of the facilities included in the respective portfolio, representing the probability of a default event within the 120 months after the reporting date, under the economic scenario considered.

0200ECL amount IFRS 9 – Stage 1Appendix A to IFRS 9 as set out in the Annex to Regulation (EC) No 2023/1803

The sum of the expected credit losses under the economic scenario considered over the facilities included in the respective portfolio, which were allocated within stage 1 at the reporting date, as considered for the application of impairment requirements under IFRS 9.

The ECL amount for each facility shall be the one associated with default events over the 12 months’ period following the reporting date.

0201ECL amount IFRS 9 – Stage 2Appendix A to IFRS 9 as set out in the Annex to Regulation (EC) No 2023/1803

The sum of the expected credit losses under the economic scenario considered over the facilities included in the respective portfolio, which were allocated within stage 2 at the reporting date, as considered for the application of impairment requirements under IFRS 9.

The ECL amount of each facility shall be the one that result from all possible default events over its expected life.

0202ECL amount IFRS 9 – Stage 3Appendix A to IFRS 9 as set out in the Annex to Regulation (EC) No 2023/1803

The sum of the expected credit losses under the economic scenario considered over the facilities included in the respective portfolio, which were allocated within stage 3 at the reporting date, as considered for the application of impairment requirements under IFRS 9.

The ECL amount of each facility shall be the one that result from all possible default events over its expected life.

C 117.00 –

Details on exposures in High Default Portfolios by staging

The information in this template shall be reported only with reference to those portfolios associated to the following portfolio ID, representing the total exposure by regulatory approach:

CORP_ALL_0113_CT_AIRB_x0_Rx0_ALLCORP_ALL_0113_CT_FIRB_x0_Rx0_ALLMORT_ALL_0114_CT_AIRB_x0_Rx0_ALLSMEC_ALL_0115_CT_FIRB_x0_Rx0_ALLSMEC_ALL_0115_CT_AIRB_x0_Rx0_ALLRSMS_ALL_0115_CT_AIRB_x0_Rx0_ALLSMOT_ALL_0115_CT_AIRB_x0_Rx0_ALLRETO_ALL_0114_CT_AIRB_x0_Rx0_ALLRQRR_ALL_0114_CT_AIRB_x0_Rx0_ALLColumnLabelLegal referenceInstructions0010Portfolio ID

The code assigned in Annex I, template C.104.00, column 0010 for each portfolio, for which the information in this template shall be reported.

This code is the primary key or unique identifier for the rows of this template.

0020Stage 1 exposures under the low credit risk exemption

IFRS 9.5.5.10

IFRS 9.B5.5.22 – B5.5.24

With reference to the respective portfolio, the sum of the exposure value, as defined in this Annex, template C.115.00, column 0050, of all the facilities classified in stage 1, to which the low credit risk exemption is applied.

0030Low credit risk exemption threshold

IFRS 9.5.5.10

IFRS 9.B5.5.22 – B5.5.24

The median of the lifetime PD level, below which the financial instruments included in the reported portfolio are considered to have a low risk of default, calculated in accordance with the following formula:

Annualised lifetime PD1 – M1 – lifetime PD

where:

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

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

Where the low credit risk exemption is not used for the respective portfolio, this data point shall be left blank or NULL shall be inserted.

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

0040Stage 1 exposures with more than a three – fold increase in PD

IFRS 9.5.5.9

IFRS 9.B5.5.11

IFRS 9.B5.5.13

IFRS 9.B5.5.14

IFRS 9.B5.5.43

With reference to the respective portfolio, the sum of the exposure value, as defined in this Annex, template C.115.00, column 0050, of all the facilities reported in stage 1, for which:

the annualised lifetime PD at the reporting date is equal to or higher than 0,3 %; and

ii.

more than a three-fold increase in the annualised lifetime PD has occurred since initial recognition.

For the purpose of this computation: a three-fold increase in the in the annualised lifetime PD is intended as an increase of 200 % of the PD at initial recognition, in accordance with the following formula:

Three-fold increase in annualised PDt = (1 + 200 %) annualised lifetime PDo

where:

(a) the annualised lifetime PDt represents the probability of default assigned to the facility, evaluated at the reporting date, used for the assessment of the significant increase in credit risk, calculated in accordance with the following formula:

Annualised lifetime PD1 – M1 – lifetime PD

where:

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

(b) the annualised lifetime PDo represents the probability of default assigned to the facility, evaluated at initial recognition, used for the assessment of the significant increase in credit risk, calculated in accordance with the following formula:

Annualised lifetime PD1 – M1 – lifetime PD

where:

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

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

Where the 12-month PD is used as a proxy for the assessment of the significant increase in credit risk, the 12-month PD evaluated at the reporting date and the 12-month PD evaluated at initial recognition shall be used, instead of the respective annualised lifetime PD.

0050Exposures in stage 2 due to quantitative triggersIFRS 9.5.5.9With reference to the respective portfolio, the sum of the exposure value, as defined in this Annex, template C.115.00, column 0051, of all the facilities, which have been classified in stage 2, only as a consequence of the breach of a quantitative trigger.0060Exposures in stage 2 due to qualitative or backstop indicators

IFRS 9.B5.5.17

IFRS 9.B5.5.19 – B5.5.21

With reference to the respective portfolio, the sum of the exposure value, as defined in this Annex, template C.115.00, column 0051, of all the facilities, which have been classified in stage 2, only as a consequence of a qualitative indicator or of a backstop indicator.0080Additional ECL amount in case of transfer to stage 2

IFRS 9.5.5.9

IFRS 9.B5.5.17

IFRS 9.B5.5.19 – B5.5.21

The additional amount of ECL that would have been recognised for the respective portfolio as if a lifetime ECL would have been applied to all the facilities classified in stage 1 at the reporting date.

For the purpose of performing this estimation, a lifetime ECL is defined as the expected credit losses that result from all possible default events over the expected life of a financial instrument.

0120Transition rate from stage 1 to stage 3

With reference to the respective portfolio, the share of stage 1 exposures transferred to stage 3 during the reporting period, expressed as the ratio of:

(a) the exposure value, as defined in this Annex, template C.115.00, column 0050, of the facilities of the reported portfolio, which were classified in stage 1 at the beginning of the reporting period and that were reported within stage 3 at the reference date, to

(b) the exposure value as defined in this Annex, template C.115.00, column 0050, of all the facilities of the reported portfolio, which were classified in stage 1 at the beginning of the reporting period.

This information shall be expressed in decimals with a minimum precision equivalent to four decimals.

0130Transition rate from stage 2 to stage 3

With reference to the respective portfolio, the share of stage 2 exposures transferred to stage 3 during the reporting period, expressed as the ratio of:

(a) the exposure value, as defined in this Annex, template C.115.00, column 0051, of the facilities of the reported portfolio, which were classified in stage 2 at the beginning of the reporting period and that were reported within stage 3 at the reference date, to

(b) the exposure value as defined in this Annex, template C.115.00, column 0051, of all the facilities of the reported portfolio, which were classified in stage 2 at the beginning of the reporting period.

This information shall be expressed in decimals with a minimum precision equivalent to four decimals.

0140Total transfers to stage 3With reference to the respective portfolio, the sum of the exposure value, as defined respectively in this Annex, template C.115.00, columns 0050 and 0051, of all the facilities, which have been transferred from stage 1 or stage 2 to stage 3 during the reporting period and that are still classified in stage 3 at the reporting date.0150Transfers from stage 1 directly to stage 3With reference to the respective portfolio, the sum of the exposure value, as defined in this Annex, template C.115.00, column 0050, of all the facilities, which have been transferred from stage 1 directly to stage 3 during the reporting period and that are still classified in stage 3 at the reporting date.

C 118.00 –

Details on macroeconomic scenarios per GDP Area code

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

Where the IFRS 9 model related to the obligor uses a higher number of economic scenarios than five, including when performing Monte Carlo simulation, the template C118.00 should not be populated.

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

ColumnLabelLegal referenceInstructions0010GDP Area Code

The list of areas identified in this Annex, template C.115.00, column 0045.

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

0020Economic scenario ID

IFRS 9.5.5.17(a)

IFRS 9.5.5.18

IFRS 9.B5.5.41

IFRS 9.B5.5.42

The instructions provided in this Annex for column 0020 of C116.00 shall apply for scenarios 1 to 5. However, in case the IFRS 9 model related to the GDP area code uses an average macroeconomic scenario, with no individual macroeconomic scenario available, the scenarios 1 to 5 should not be populated. Instead, the average macroeconomic scenario should be reported under the economic scenario 0, and no data should be reported for the economic scenarios 1 to 5.0100GDP growth – 0 - 12 monthsThe estimated yearly GDP growth within the next 12 months after the reporting date of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0110GDP growth – 12 – 24 monthsThe estimated yearly GDP growth within the next 12 months starting 12 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0120GDP growth – 24 – 36 monthsThe estimated yearly GDP growth within the next 12 months starting 24 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0130GDP growth – 36 – 48 monthsThe estimated yearly GDP growth within the next 12 months starting 36 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.

0140GDP growth – 48 – 60 monthsThe estimated yearly GDP growth within the next 12 months starting 48 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0150GDP growth – 60 – 72 monthsThe estimated yearly GDP growth within the next 12 months starting 60 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0160GDP growth – 72 – 84 monthsThe estimated yearly GDP growth within the next 12 months starting 72 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0170GDP growth – 84 – 96 monthsThe estimated yearly GDP growth within the next 12 months starting 84 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0180GDP growth – 96 – 108 monthsThe estimated yearly GDP growth within the next 12 months starting 96 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0190GDP growth – 108 – 120 monthsThe estimated yearly GDP growth within the next 12 months starting 108 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported.0199Weight of the Scenarios – 0 - 12 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 0-12 months shall be reported. The weight shall be expressed as a value between 0 and 1.0201Weight of the Scenarios – 12 – 24 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 12-24 months shall be reported. The weight shall be expressed as a value between 0 and 1.0202Weight of the Scenarios – 24 – 36 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 24-36 months shall be reported. The weight shall be expressed as a value between 0 and 1.0203Weight of the Scenarios – 36 – 48 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 36-48 months shall be reported. The weight shall be expressed as a value between 0 and 1.0204Weight of the Scenarios – 48 – 60 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 48-60 months shall be reported. The weight shall be expressed as a value between 0 and 1.

0205Weight of the Scenarios – 60 – 72 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 60-72 months shall be reported. The weight shall be expressed as a value between 0 and 1.0206Weight of the Scenarios – 72 – 84 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 72-84 months shall be reported. The weight shall be expressed as a value between 0 and 1.0207Weight of the Scenarios – 84 – 96 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 84-96 months shall be reported. The weight shall be expressed as a value between 0 and 1.0208Weight of the Scenarios – 96 – 108 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 96-108 months shall be reported. The weight shall be expressed as a value between 0 and 1.0209Weight of the Scenarios – 108 – 120 monthsThe weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 108-120 months shall be reported. The weight shall be expressed as a value between 0 and 1.

Annex

ANNEX IX

Annex

ANNEX X

SBM Validation Portfolios

Sheet nameDescriptionInstrumentsInstruments (sensitivities and curvature risk positions) for SBM validation purposesPortfoliosSBM validation portfolios defined as combinations of the instruments defined in this Annex

InstrumentRisk factor identifierBucketAdditional identifierRisk sensitivityS_IRC_a1#GIRR_CUUSD–18466,83S_IRC_a1#GIRR_CDUSD18647,66S_IRC_b1#GIRR_CUUSD92233,09S_IRC_b1#GIRR_CDUSD–93178,71S_IRC_c1#GIRR_CUCLP–1270,00S_IRC_c1#GIRR_CDCLP450,00S_IRC_d1#GIRR_CUEUR–253,12S_IRC_d1#GIRR_CDEUR–3237,08S_IRC_e1#GIRR_CUVND–11950,00S_IRC_e1#GIRR_CDVND–4030,00S_IRD_a1#GIRR_D_00.25USDOIS30000,00S_IRD_b1#GIRR_D_00.25USDOIS20000,00S_IRD_b10#GIRR_D_30.00USDOIS–50000,00S_IRD_b11#GIRR_D_INFUSD–50000,00S_IRD_b12#GIRR_D_CRO_EURUSD–65000,00S_IRD_b2#GIRR_D_00.50USDOIS15000,00S_IRD_b3#GIRR_D_01.00USDOIS–65000,00S_IRD_b4#GIRR_D_02.00USDOIS–10000,00S_IRD_b5#GIRR_D_03.00USDOIS85000,00S_IRD_b6#GIRR_D_05.00USDOIS–90000,00S_IRD_b7#GIRR_D_10.00USDOIS2000,00S_IRD_b8#GIRR_D_15.00USDOIS30000,00S_IRD_b9#GIRR_D_20.00USDOIS200000,00S_IRD_c1#GIRR_D_00.25USDLibor3m–30000,00S_IRD_c10#GIRR_D_30.00USDLibor3m10000,00

S_IRD_c2#GIRR_D_00.50USDLibor3m–40000,00S_IRD_c3#GIRR_D_01.00USDLibor3m70000,00S_IRD_c4#GIRR_D_02.00USDLibor3m10000,00S_IRD_c5#GIRR_D_03.00USDLibor3m55000,00S_IRD_c6#GIRR_D_05.00USDLibor3m–35000,00S_IRD_c7#GIRR_D_10.00USDLibor3m–100000,00S_IRD_c8#GIRR_D_15.00USDLibor3m10000,00S_IRD_c9#GIRR_D_20.00USDLibor3m–30000,00S_IRD_d1#GIRR_D_00.25CLPOIS–30000,00S_IRD_d10#GIRR_D_30.00CLPOIS15000,00S_IRD_d11#GIRR_D_INFCLP95000,00S_IRD_d12#GIRR_D_CRO_USDCLP10500,00S_IRD_d2#GIRR_D_00.50CLPOIS45000,00S_IRD_d3#GIRR_D_01.00CLPOIS10000,00S_IRD_d4#GIRR_D_02.00CLPOIS5000,00S_IRD_d5#GIRR_D_03.00CLPOIS–100000,00S_IRD_d6#GIRR_D_05.00CLPOIS–5000,00S_IRD_d7#GIRR_D_10.00CLPOIS–25000,00S_IRD_d8#GIRR_D_15.00CLPOIS70000,00S_IRD_d9#GIRR_D_20.00CLPOIS90000,00S_IRD_e1#GIRR_D_00.25EUROIS100,00S_IRD_e10#GIRR_D_30.00EUROIS–120000,00S_IRD_e11#GIRR_D_INFEURDE–65000,00S_IRD_e12#GIRR_D_CRO_USDEUR–85000,00S_IRD_e13#GIRR_D_INFEURFR–100000,00

S_IRD_e2#GIRR_D_00.50EUROIS100,00S_IRD_e3#GIRR_D_01.00EUROIS–50000,00S_IRD_e4#GIRR_D_02.00EUROIS100,00S_IRD_e5#GIRR_D_03.00EUROIS100,00S_IRD_e6#GIRR_D_05.00EUROIS100,00S_IRD_e7#GIRR_D_10.00EUROIS100,00S_IRD_e8#GIRR_D_15.00EUROIS100,00S_IRD_e9#GIRR_D_20.00EUROIS100,00S_IRD_f1#GIRR_D_00.25DKKOIS100,00S_IRV_a1#GIRR_V_00.50_00.50USD–100,00S_IRV_b1#GIRR_V_00.50_00.50USD700,00S_IRV_b10#GIRR_V_01.00_10.00USD500,00S_IRV_b11#GIRR_V_03.00_00.50USD–100,00S_IRV_b12#GIRR_V_03.00_01.00USD700,00S_IRV_b13#GIRR_V_03.00_03.00USD–800,00S_IRV_b14#GIRR_V_03.00_05.00USD700,00S_IRV_b15#GIRR_V_03.00_10.00USD–400,00S_IRV_b16#GIRR_V_05.00_00.50USD–50,00S_IRV_b17#GIRR_V_05.00_01.00USD300,00S_IRV_b18#GIRR_V_05.00_03.00USD50,00S_IRV_b19#GIRR_V_05.00_05.00USD–300,00S_IRV_b2#GIRR_V_00.50_01.00USD400,00S_IRV_b20#GIRR_V_05.00_10.00USD1000,00S_IRV_b21#GIRR_V_10.00_00.50USD–350,00S_IRV_b22#GIRR_V_10.00_01.00USD950,00

S_IRV_b23#GIRR_V_10.00_03.00USD–900,00S_IRV_b24#GIRR_V_10.00_05.00USD200,00S_IRV_b25#GIRR_V_10.00_10.00USD400,00S_IRV_b3#GIRR_V_00.50_03.00USD–500,00S_IRV_b4#GIRR_V_00.50_05.00USD100,00S_IRV_b5#GIRR_V_00.50_10.00USD100,00S_IRV_b6#GIRR_V_01.00_00.50USD900,00S_IRV_b7#GIRR_V_01.00_01.00USD200,00S_IRV_b8#GIRR_V_01.00_03.00USD–500,00S_IRV_b9#GIRR_V_01.00_05.00USD50,00S_IRV_c1#GIRR_V_00.50_00.50CLP300,00S_IRV_c2#GIRR_V_00.50_01.00CLP150,00S_IRV_c3#GIRR_V_00.50_03.00CLP–300,00S_IRV_c4#GIRR_V_00.50_05.00CLP100,00S_IRV_c5#GIRR_V_00.50_10.00CLP–100,00S_IRV_d1#GIRR_V_00.50_00.50EUR–4750,00S_IRV_d2#GIRR_V_00.50_01.00EUR3750,00S_IRV_d3#GIRR_V_00.50_03.00EUR1000,00S_IRV_d4#GIRR_V_00.50_05.00EUR1500,00S_IRV_d5#GIRR_V_00.50_10.00EUR–2000,00S_IRV_e1#GIRR_V_00.50_00.50BRL–500,00S_IRV_e2#GIRR_V_01.00_INFBRL750,00S_IRV_e3#GIRR_V_03.00_CRO_USDBRL500,00

PortfolioRisk classComponentInstrumentsG000GIRRDELTAS_IRD_a1#G001GIRRDELTAS_IRD_b1#G002GIRRDELTAS_IRD_b2#G003GIRRDELTAS_IRD_b3#G004GIRRDELTAS_IRD_b4#G005GIRRDELTAS_IRD_b5#G006GIRRDELTAS_IRD_b6#G007GIRRDELTAS_IRD_b7#G008GIRRDELTAS_IRD_b8#G009GIRRDELTAS_IRD_b9#G010GIRRDELTAS_IRD_b10#G011GIRRDELTAS_IRD_b11#G012GIRRDELTAS_IRD_b12#G013GIRRDELTAS_IRD_d1#G014GIRRDELTAS_IRD_d2#G015GIRRDELTAS_IRD_d3#G016GIRRDELTAS_IRD_d4#G017GIRRDELTAS_IRD_d5#G018GIRRDELTAS_IRD_d6#G019GIRRDELTAS_IRD_d7#G020GIRRDELTAS_IRD_d8#G021GIRRDELTAS_IRD_d9#G022GIRRDELTAS_IRD_d10#G023GIRRDELTAS_IRD_d11#G024GIRRDELTAS_IRD_d12#G025GIRRDELTAS_IRD_a1# S_IRD_b1#G026GIRRDELTAS_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10#G027GIRRDELTAS_IRD_b1# S_IRD_c1#

G028GIRRDELTAS_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_c1# S_IRD_c2# S_IRD_c3# S_IRD_c4# S_IRD_c5# S_IRD_c6# S_IRD_c7# S_IRD_c8# S_IRD_c9# S_IRD_c10#G029GIRRDELTAS_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11#G030GIRRDELTAS_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11# S_IRD_b12#G031GIRRDELTAS_IRD_c2# S_IRD_c3# S_IRD_c6#G032GIRRDELTAS_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11# S_IRD_b12# S_IRD_c1# S_IRD_c2# S_IRD_c3# S_IRD_c4# S_IRD_c5# S_IRD_c6# S_IRD_c7# S_IRD_c8# S_IRD_c9# S_IRD_c10# S_IRD_d1# S_IRD_d2# S_IRD_d3# S_IRD_d4# S_IRD_d5# S_IRD_d6# S_IRD_d7# S_IRD_d8# S_IRD_d9# S_IRD_d10# S_IRD_d11# S_IRD_d12#G033GIRRDELTAS_IRD_d1# S_IRD_d2# S_IRD_d3# S_IRD_d4# S_IRD_d5# S_IRD_d6# S_IRD_d7# S_IRD_d8# S_IRD_d9# S_IRD_d10# S_IRD_d11# S_IRD_d12# S_IRD_e1# S_IRD_e2# S_IRD_e3# S_IRD_e4# S_IRD_e5# S_IRD_e6# S_IRD_e7# S_IRD_e8# S_IRD_e9# S_IRD_e10# S_IRD_e11# S_IRD_e12# S_IRD_e13#G034GIRRDELTAS_IRD_a1# S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11# S_IRD_b12# S_IRD_c1# S_IRD_c2# S_IRD_c3# S_IRD_c4# S_IRD_c5# S_IRD_c6# S_IRD_c7# S_IRD_c8# S_IRD_c9# S_IRD_c10# S_IRD_d1# S_IRD_d2# S_IRD_d3# S_IRD_d4# S_IRD_d5# S_IRD_d6# S_IRD_d7# S_IRD_d8# S_IRD_d9# S_IRD_d10# S_IRD_d11# S_IRD_d12# S_IRD_e1# S_IRD_e2# S_IRD_e3# S_IRD_e4# S_IRD_e5# S_IRD_e6# S_IRD_e7# S_IRD_e8# S_IRD_e9# S_IRD_e10# S_IRD_e11# S_IRD_e12# S_IRD_e13# S_IRD_f1#G035GIRRVEGAS_IRV_b1#G036GIRRVEGAS_IRV_a1# S_IRV_b1#G037GIRRVEGAS_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5#G038GIRRVEGAS_IRV_b1# S_IRV_b6# S_IRV_b11# S_IRV_b16# S_IRV_b21#

G039GIRRVEGAS_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5# S_IRV_b6# S_IRV_b7# S_IRV_b8# S_IRV_b9# S_IRV_b10# S_IRV_b11# S_IRV_b12# S_IRV_b13# S_IRV_b14# S_IRV_b15# S_IRV_b16# S_IRV_b17# S_IRV_b18# S_IRV_b19# S_IRV_b20# S_IRV_b21# S_IRV_b22# S_IRV_b23# S_IRV_b24# S_IRV_b25#G040GIRRVEGAS_IRV_e1# S_IRV_e2#G041GIRRVEGAS_IRV_e1# S_IRV_e3#G042GIRRVEGAS_IRV_d1# S_IRV_d2# S_IRV_d3# S_IRV_d4# S_IRV_d5#G043GIRRVEGAS_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5# S_IRV_b6# S_IRV_b7# S_IRV_b8# S_IRV_b9# S_IRV_b10# S_IRV_b11# S_IRV_b12# S_IRV_b13# S_IRV_b14# S_IRV_b15# S_IRV_b16# S_IRV_b17# S_IRV_b18# S_IRV_b19# S_IRV_b20# S_IRV_b21# S_IRV_b22# S_IRV_b23# S_IRV_b24# S_IRV_b25# S_IRV_c1# S_IRV_c2# S_IRV_c3# S_IRV_c4# S_IRV_c5#G044GIRRVEGAS_IRV_c1# S_IRV_c2# S_IRV_c3# S_IRV_c4# S_IRV_c5# S_IRV_d1# S_IRV_d2# S_IRV_d3# S_IRV_d4# S_IRV_d5#G045GIRRVEGAS_IRV_a1# S_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5# S_IRV_b6# S_IRV_b7# S_IRV_b8# S_IRV_b9# S_IRV_b10# S_IRV_b11# S_IRV_b12# S_IRV_b13# S_IRV_b14# S_IRV_b15# S_IRV_b16# S_IRV_b17# S_IRV_b18# S_IRV_b19# S_IRV_b20# S_IRV_b21# S_IRV_b22# S_IRV_b23# S_IRV_b24# S_IRV_b25# S_IRV_c1# S_IRV_c2# S_IRV_c3# S_IRV_c4# S_IRV_c5# S_IRV_d1# S_IRV_d2# S_IRV_d3# S_IRV_d4# S_IRV_d5# S_IRV_e1# S_IRV_e2# S_IRV_e3#G046GIRRCURVATURES_IRC_b1#G047GIRRCURVATURES_IRC_c1#G048GIRRCURVATURES_IRC_a1# S_IRC_b1#G049GIRRCURVATURES_IRC_d1#G050GIRRCURVATURES_IRC_b1# S_IRC_c1#G051GIRRCURVATURES_IRC_c1# S_IRC_e1#G052GIRRCURVATURES_IRC_d1# S_IRC_e1#G053GIRRCURVATURES_IRC_a1# S_IRC_a1# S_IRC_b1# S_IRC_b1# S_IRC_c1# S_IRC_c1# S_IRC_d1# S_IRC_d1# S_IRC_e1# S_IRC_e1#

G054GIRRALLS_IRD_a1# S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11# S_IRD_b12# S_IRD_c1# S_IRD_c2# S_IRD_c3# S_IRD_c4# S_IRD_c5# S_IRD_c6# S_IRD_c7# S_IRD_c8# S_IRD_c9# S_IRD_c10# S_IRD_d1# S_IRD_d2# S_IRD_d3# S_IRD_d4# S_IRD_d5# S_IRD_d6# S_IRD_d7# S_IRD_d8# S_IRD_d9# S_IRD_d10# S_IRD_d11# S_IRD_d12# S_IRD_e1# S_IRD_e2# S_IRD_e3# S_IRD_e4# S_IRD_e5# S_IRD_e6# S_IRD_e7# S_IRD_e8# S_IRD_e9# S_IRD_e10# S_IRD_e11# S_IRD_e12# S_IRD_e13# S_IRD_f1# S_IRV_a1# S_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5# S_IRV_b6# S_IRV_b7# S_IRV_b8# S_IRV_b9# S_IRV_b10# S_IRV_b11# S_IRV_b12# S_IRV_b13# S_IRV_b14# S_IRV_b15# S_IRV_b16# S_IRV_b17# S_IRV_b18# S_IRV_b19# S_IRV_b20# S_IRV_b21# S_IRV_b22# S_IRV_b23# S_IRV_b24# S_IRV_b25# S_IRV_c1# S_IRV_c2# S_IRV_c3# S_IRV_c4# S_IRV_c5# S_IRV_d1# S_IRV_d2# S_IRV_d3# S_IRV_d4# S_IRV_d5# S_IRV_e1# S_IRV_e2# S_IRV_e3# S_IRC_a1# S_IRC_a1# S_IRC_b1# S_IRC_b1# S_IRC_c1# S_IRC_c1# S_IRC_d1# S_IRC_d1# S_IRC_e1# S_IRC_e1#G055GIRRDELTAS_IRD_e11# S_IRD_e13#G056GIRRDELTAS_IRD_e1# S_IRD_f1#

Metadata

Type: Forordning
År: 2024
Ikrafttrædelsesdato: 1. januar 1970