http://www.legislation.gov.uk/id/eur/2016/2070

Commission Implementing Regulation (EU) 2016/2070

of 14 September 2016

laying down implementing technical standards for templates, definitions and IT-solutions to be used by institutions when reporting to the European Banking Authority and to competent authorities in accordance with Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC1, and in particular the third subparagraph of Article 78(8) thereof,

Whereas:

(1)

The focus of the competent authorities' assessments or of the European Banking Authority's (‘EBA’) reports may change over time and therefore benchmarking portfolios may need to change accordingly. The design of the general template for defining benchmarking portfolios should take this into account and should therefore allow for defining benchmarking portfolios in various compositions and degrees of granularity.

(2)

The second sentence of Article 78(2) of Directive 2013/36/EU allows a competent authority to develop, in consultation with the EBA, specific portfolios for assessing the quality of institutions' internal approaches, in addition to the common EBA portfolios. Rules should be provided for defining the templates for the reporting to the EBA, which should also apply to the specific portfolios that have been developed by a competent authority.

(3)

A clustering approach should be used for credit risk, whereby the credit risk portfolio is decomposed into sub-portfolios with roughly similar risks across institutions. This allows for a provision of analyses by competent authorities and EBA on comparable exposures and ensures a minimum level of uniformity between the portfolios of different institutions. Having regard to the categories of risk present in most of the internal approaches of institutions and to the categories for defining own funds requirements for credit risk, the clustering for the benchmarking exercise of Article 78 of Directive 2013/36/EU should encompass exposures to corporates, credit institutions, central governments, small and medium-sized enterprises (‘SMEs’) included in the retail category (‘retail SMEs’), SMEs not included in the retail category (‘corporate SMEs’), as well as exposures secured by residential mortgages and exposures to the construction sector, with additional clustering based on the place of residence of the counterparty, the collateralisation characteristics, the default status or the industry sector.

(4)

A more granular benchmarking of internal approaches of institutions requires a specific sample approach to low default portfolios, whereby the benchmarking is applied at the exposure level and at the transaction level. However, given that this specific sample approach focuses on a subset of an institution's real exposures only, and is therefore not very representative, it should be used only as a complement to the clustering approach.

(5)

The complexity of the benchmarking exercise requires a progressive use of portfolios that refer to the internal approaches used to calculate risk-weighted exposure amounts for credit risk. For market risk, the portfolios used in benchmarking exercises of the Basel Committee on Banking Supervision (‘BCBS’) and of EBA in 2013 should be used as a starting point for developing the set of portfolios for the benchmarking exercise required by Article 78 of Directive 2013/36/EU, with only minor adaptations to maintain the portfolio validity. This will minimise the burden to institutions and competent authorities and avoid a duplication of efforts.

(6)

Article 78 of Directive 2013/36/EU also requires the competent authorities to assess the quality of the internal approaches and the degree of variability observed in particular approaches. The competent authorities' assessment should therefore not focus only on the internal approaches' outcome but also on the key variability drivers and should draw conclusions from the different modelling approaches and options that institutions use in their internal approaches. Institutions should therefore also be required to report the results of the use of historically observed risk parameters for credit risk and their profit-and-loss time-series for market risk.

(7)

A meaningful assessment of the effect of each approach used for market risk requires that the institutions report the main risk modelling assumptions to the competent authorities and that the competent authorities assess the effect of each choice in isolation, where Regulation (EU) No 575/2013 of the European Parliament and of the Council2 provides them with options to choose the modelling assumptions. It is therefore necessary to perform alternative calculations for the value-at-risk (‘VaR’) to control the different possibilities that institutions can apply and that are explicitly mentioned in that Regulation. To that end, institutions using a Historical Simulation approach for VaR should also deliver a one-year profit-and-loss data series for each one of the individual portfolios modelled.

(8)

When reporting on market risk, the institutions should provide an initial market valuation of each individual instrument to assess whether they understood the instrument correctly. That will also ensure that institutions introduce the positions in their systems. The institutions should also report the initial market valuation to their competent authorities and the EBA ahead of the portfolio-modelling outcome, on which the assessment of the risk-weighted exposure amounts referred to in Article 78(3) of Directive 2013/36/EU will be based.

(9)

To ensure that the competent authorities and the EBA have a clear view of the range of values that are used for risk-weighted assets and for own funds requirements that arise under internal approaches for similar exposures, the institutions should report to competent authorities the results of internal approaches that have been applied to benchmark portfolios covering a wide range of exposures.

(10)

Article 78(3) of Directive 2013/36/EU requires competent authorities to assess the internal approaches that they have permitted institutions to use for the purpose of calculating risk-weighted exposure amounts or own funds requirements. The benchmarking exercise should therefore only relate to validated internal approaches. An institution should not provide data for portfolios that include instruments or risk factors that are reported under the standardised approach.

(11)

An institution that is able to model an instrument included in one of the benchmarking portfolios for market risk and that has received permission from its competent authority to use an internal approach to calculate the risk-weighted exposure amount or the own funds requirement for that type of instrument, should report all the relevant data for that instrument as required by this Regulation, irrespective of whether the institution has such instrument in its books at the time of reporting. However, if an institution that has received the abovementioned permission lacks adequate experience in modelling a specific instrument and has therefore not received its management's approval to model the instrument, it should not provide data on the individual portfolios that include the instrument, as this would risk corrupting the resulting dataset. In such cases the institution should report the portfolios that will not be included in their data submission and provide the reasons for their exclusion.

(12)

Any long-term IT solution for the reporting for the benchmarking exercise under Article 78(2) of Directive 2013/36/EU should offer an institution the possibility to report directly to EBA. However, EBA has been established recently and has limited resources, which limits its capacity to receive reports by institutions directly. An interim IT solution should therefore be established until those problems have been solved. To avoid that an interim solution creates disproportionate burdens on reporting institutions, consistency with other types of reporting by institutions should be ensured and in particular with the IT solution that is referred to in Article 17 of Commission Implementing Regulation (EU) No 680/20143.

(13)

Since institutions are already required to report information in accordance with Implementing Regulation (EU) No 680/2014, it would be disproportionate to require them to report immediately all of the information referred to in Article 78(2) of Directive 2013/36/EU. To provide them with sufficient time to implement appropriate internal reporting frameworks, while at the same time ensuring that they carry out a meaningful benchmarking exercise, the portfolios to be assessed as regards credit risk internal approaches should be introduced gradually.

(14)

The remittance dates for the information that needs to be reported should be set in a manner that gives institutions sufficient time to perform the necessary calculations.

(15)

This Regulation is based on the draft implementing technical standards submitted by EBA to the Commission.

(16)

EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council4,

HAS ADOPTED THIS REGULATION:

Article 1Reporting by the institutions for the purposes of Article 78(2) of Directive 2013/36/EU on an individual and consolidated basis

For the purposes of Article 78(2) of Directive 2013/36/EU, an institution referred to in paragraph 1 of that Article shall submit to its competent authority all the information referred to in Articles 2 and 3 on an individual and consolidated basis.

Article 2Reporting of information for credit risk

For internal approaches for credit risk, an institution shall submit to its competent authority the following information:

(a)
the information specified in template 101 of Annex III, for the counterparties referred to in template 101 of Annex I, in accordance with the instructions referred to in Tables C 101 of Annex II and Annex IV respectively;
(b)
the information specified in template 102 of Annex III, for the portfolios referred to in template 102 of Annex I, in accordance with the instructions referred to in Tables C 102 of Annex II and Annex IV respectively;
(c)
the information specified in template 103 of Annex III, for the portfolios referred to in template 103 of Annex I, in accordance with the instructions referred to in Tables C 103 of Annex II and Annex IV respectively;
(d)
~~F1. . . . .~~
(e)
the information specified in template 105 of Annex III in relation to the name and characteristics of the internal approaches used for the computation of the results provided in templates 102 to 104 of Annex III, in accordance with the instructions referred to in Table C 105 of Annex IV.

Article 3Reporting of information for market risk

1.

For internal approaches for market risk, an institution shall submit to its competent authority the information specified in the templates of Annex VII, in accordance with the portfolio definitions and instructions contained in Annexes V and VI, respectively.

2.

As a derogation from paragraph 1, an institution shall not be required to submit the information referred to in paragraph 1 for an individual portfolio in any of the following cases:

(a)

the institution does not have the permission from its competent authority to model the relevant instruments or risk factors that are included in the portfolio;

(b)

there is no internal approval by the management of that institution to operate in one or more instruments or in the underlying assets included in the relevant portfolios;

(c)

one or more of the instruments included in the portfolios incorporate underlying risks or modelling features that are not contemplated in the institution's risk metrics.

3.

An institution that meets the conditions of paragraph 2 and has decided not to submit the information referred to in paragraph 1 on one or more portfolios shall:

(a)

report those portfolios and indicate which of the reasons listed in paragraph 2 is the cause thereofF2.

F3(b)

~~still submit the information for the aggregated portfolios included in Annex V, considering only the individual portfolios that it is able and permitted to model.~~

Article 4Reference and remittance dates

1.

An institution shall submit to its competent authority the information referred to in Article 1 on the following reporting reference dates:

(a)

the information referred to in Article 2 shall be submitted as it stands on 31 December of each year;

(b)

the information referred to in Article 3 shall be submitted as it stands on the reporting reference dates specified in the instructions laid down in Annexes V and VI.

F22.

An institution shall submit to its competent authority the information referred to in Article 2 by 11 April of each year. An institution shall submit to its competent authority the information referred to in Articles 3 by the remittance dates specified in Annex V.

3.

Where the date referred to in paragraph 2 is not a working day in the Member State of the competent authority to which the information is to be submitted, the information shall be submitted on the following working day.

4.

An institution shall submit to its competent authority any corrections to the submitted information without undue delay.

Article 5Initial market valuation for market risk

For portfolios other than those reported in accordance with point (a) of Article 3(3), an institution shall report to its competent authority an initial market valuation of those portfolios or of individual instruments included in those portfolios, as applicable, at the precise date specified in the instructions set out in Annex VI.

Article 6IT solutions for the reporting

When submitting information in accordance with Article 1, an institution shall use the IT solution developed for the purposes of the supervisory reporting in accordance with Article 17 of Implementing Regulation (EU) No 680/2014.

F3Article 7F3Transitional provisions for reference dates, remittance dates, and for reporting of credit risk templates

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Article 8Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

F2ANNEX I Definition of Supervisory Benchmarking portfolios

LOW DEFAULT EXPOSURES TEMPLATES
Template number	Template code	Name of the template/group of templates	Short name
101	C 101.00	Definition of Low Default Portfolio counterparties	LDP Counterparties
102	C 102.00	Definition of Low Default Portfolios	LDP Portfolios
103	C 103.00	Definition of High Default Portfolios	HDP Portfolios

C 101.00 – Definition of Low Default Portfolio counterparties

ANNEX I Table 2: rows 1 - 250ANNEX I Table 2: rows 251 - 500ANNEX I Table 2: rows 501 - 750ANNEX I Table 2: rows 751 - 1000ANNEX I Table 2: rows 1001 - 1250ANNEX I Table 2: rows 1251 - 1500ANNEX I Table 2: rows 1501 - 1750ANNEX I Table 2: rows 1751 - 2000ANNEX I Table 2: rows 2001 - 2250ANNEX I Table 2: rows 2251 - 2500ANNEX I Table 2: rows 2501 - 2750ANNEX I Table 2: rows 2751 - 3000ANNEX I Table 2: rows 3001 - 3250ANNEX I Table 2: rows 3251 - 3500ANNEX I Table 2: rows 3501 - 3750ANNEX I Table 2: rows 3751 - 4000ANNEX I Table 2: rows 4001 - 4250ANNEX I Table 2: rows 4251 - 4500ANNEX I Table 2: rows 4501 - 4750ANNEX I Table 2: rows 4751 - 5000ANNEX I Table 2: rows 5001 - 5250ANNEX I Table 2: rows 5251 - 5500ANNEX I Table 2: rows 5501 - 5750ANNEX I Table 2: rows 5751 - 6000ANNEX I Table 2: rows 6001 - 6250ANNEX I Table 2: rows 6251 - 6500ANNEX I Table 2: rows 6501 - 6750ANNEX I Table 2: rows 6751 - 7000ANNEX I Table 2: rows 7001 - 7250ANNEX I Table 2: rows 7251 - 7500ANNEX I Table 2: rows 7501 - 7750ANNEX I Table 2: rows 7751 - 8000ANNEX I Table 2: rows 8001 - 8250ANNEX I Table 2: rows 8251 - 8500ANNEX I Table 2: rows 8501 - 8750ANNEX I Table 2: rows 8751 - 9000ANNEX I Table 2: rows 9001 - 9250ANNEX I Table 2: rows 9251 - 9500ANNEX I Table 2: rows 9501 - 9750ANNEX I Table 2: rows 9751 - 10000ANNEX I Table 2: rows 10001 - 10250ANNEX I Table 2: rows 10251 - 10500ANNEX I Table 2: rows 10501 - 10750ANNEX I Table 2: rows 10751 - 11000ANNEX I Table 2: rows 11001 - 11250ANNEX I Table 2: rows 11251 - 11500ANNEX I Table 2: rows 11501 - 11750ANNEX I Table 2: rows 11751 - 11816

C 102.00 – Definition of Low Default Portfolios

ANNEX I Table 3: rows 1 - 250ANNEX I Table 3: rows 251 - 500ANNEX I Table 3: rows 501 - 750ANNEX I Table 3: rows 751 - 1000ANNEX I Table 3: rows 1001 - 1250ANNEX I Table 3: rows 1251 - 1500ANNEX I Table 3: rows 1501 - 1750ANNEX I Table 3: rows 1751 - 2000ANNEX I Table 3: rows 2001 - 2250ANNEX I Table 3: rows 2251 - 2500ANNEX I Table 3: rows 2501 - 2750ANNEX I Table 3: rows 2751 - 3000ANNEX I Table 3: rows 3001 - 3250ANNEX I Table 3: rows 3251 - 3500ANNEX I Table 3: rows 3501 - 3750ANNEX I Table 3: rows 3751 - 4000ANNEX I Table 3: rows 4001 - 4250ANNEX I Table 3: rows 4251 - 4500ANNEX I Table 3: rows 4501 - 4750ANNEX I Table 3: rows 4751 - 5000ANNEX I Table 3: rows 5001 - 5250ANNEX I Table 3: rows 5251 - 5500ANNEX I Table 3: rows 5501 - 5750ANNEX I Table 3: rows 5751 - 6000ANNEX I Table 3: rows 6001 - 6250ANNEX I Table 3: rows 6251 - 6500ANNEX I Table 3: rows 6501 - 6750ANNEX I Table 3: rows 6751 - 7000ANNEX I Table 3: rows 7001 - 7250ANNEX I Table 3: rows 7251 - 7500ANNEX I Table 3: rows 7501 - 7750ANNEX I Table 3: rows 7751 - 8000ANNEX I Table 3: rows 8001 - 8250ANNEX I Table 3: rows 8251 - 8500ANNEX I Table 3: rows 8501 - 8750ANNEX I Table 3: rows 8751 - 9000ANNEX I Table 3: rows 9001 - 9250ANNEX I Table 3: rows 9251 - 9500ANNEX I Table 3: rows 9501 - 9750ANNEX I Table 3: rows 9751 - 9854

C 103.00 – Definition of High Default Portfolios

ANNEX I Table 4: rows 1 - 250ANNEX I Table 4: rows 251 - 500ANNEX I Table 4: rows 501 - 750ANNEX I Table 4: rows 751 - 1000ANNEX I Table 4: rows 1001 - 1250ANNEX I Table 4: rows 1251 - 1500ANNEX I Table 4: rows 1501 - 1750ANNEX I Table 4: rows 1751 - 2000ANNEX I Table 4: rows 2001 - 2250ANNEX I Table 4: rows 2251 - 2500ANNEX I Table 4: rows 2501 - 2750ANNEX I Table 4: rows 2751 - 3000ANNEX I Table 4: rows 3001 - 3250ANNEX I Table 4: rows 3251 - 3500ANNEX I Table 4: rows 3501 - 3750ANNEX I Table 4: rows 3751 - 4000ANNEX I Table 4: rows 4001 - 4250ANNEX I Table 4: rows 4251 - 4500ANNEX I Table 4: rows 4501 - 4750ANNEX I Table 4: rows 4751 - 5000ANNEX I Table 4: rows 5001 - 5250ANNEX I Table 4: rows 5251 - 5500ANNEX I Table 4: rows 5501 - 5750ANNEX I Table 4: rows 5751 - 6000ANNEX I Table 4: rows 6001 - 6250ANNEX I Table 4: rows 6251 - 6500ANNEX I Table 4: rows 6501 - 6750ANNEX I Table 4: rows 6751 - 7000ANNEX I Table 4: rows 7001 - 7250ANNEX I Table 4: rows 7251 - 7500ANNEX I Table 4: rows 7501 - 7750ANNEX I Table 4: rows 7751 - 8000ANNEX I Table 4: rows 8001 - 8250ANNEX I Table 4: rows 8251 - 8500ANNEX I Table 4: rows 8501 - 8750ANNEX I Table 4: rows 8751 - 9000ANNEX I Table 4: rows 9001 - 9250ANNEX I Table 4: rows 9251 - 9500ANNEX I Table 4: rows 9501 - 9750ANNEX I Table 4: rows 9751 - 10000ANNEX I Table 4: rows 10001 - 10250ANNEX I Table 4: rows 10251 - 10500ANNEX I Table 4: rows 10501 - 10750ANNEX I Table 4: rows 10751 - 11000ANNEX I Table 4: rows 11001 - 11250ANNEX I Table 4: rows 11251 - 11500ANNEX I Table 4: rows 11501 - 11750ANNEX I Table 4: rows 11751 - 12000ANNEX I Table 4: rows 12001 - 12250ANNEX I Table 4: rows 12251 - 12500ANNEX I Table 4: rows 12501 - 12750ANNEX I Table 4: rows 12751 - 13000ANNEX I Table 4: rows 13001 - 13250ANNEX I Table 4: rows 13251 - 13500ANNEX I Table 4: rows 13501 - 13750ANNEX I Table 4: rows 13751 - 14000ANNEX I Table 4: rows 14001 - 14250ANNEX I Table 4: rows 14251 - 14500ANNEX I Table 4: rows 14501 - 14750ANNEX I Table 4: rows 14751 - 15000ANNEX I Table 4: rows 15001 - 15250ANNEX I Table 4: rows 15251 - 15500ANNEX I Table 4: rows 15501 - 15750ANNEX I Table 4: rows 15751 - 16000ANNEX I Table 4: rows 16001 - 16250ANNEX I Table 4: rows 16251 - 16500ANNEX I Table 4: rows 16501 - 16750ANNEX I Table 4: rows 16751 - 17000ANNEX I Table 4: rows 17001 - 17250ANNEX I Table 4: rows 17251 - 17500ANNEX I Table 4: rows 17501 - 17750ANNEX I Table 4: rows 17751 - 18000ANNEX I Table 4: rows 18001 - 18250ANNEX I Table 4: rows 18251 - 18500ANNEX I Table 4: rows 18501 - 18750ANNEX I Table 4: rows 18751 - 19000ANNEX I Table 4: rows 19001 - 19250ANNEX I Table 4: rows 19251 - 19500ANNEX I Table 4: rows 19501 - 19750ANNEX I Table 4: rows 19751 - 20000ANNEX I Table 4: rows 20001 - 20250ANNEX I Table 4: rows 20251 - 20500ANNEX I Table 4: rows 20501 - 20750ANNEX I Table 4: rows 20751 - 21000ANNEX I Table 4: rows 21001 - 21250ANNEX I Table 4: rows 21251 - 21500ANNEX I Table 4: rows 21501 - 21750ANNEX I Table 4: rows 21751 - 22000ANNEX I Table 4: rows 22001 - 22250ANNEX I Table 4: rows 22251 - 22500ANNEX I Table 4: rows 22501 - 22750ANNEX I Table 4: rows 22751 - 23000ANNEX I Table 4: rows 23001 - 23250ANNEX I Table 4: rows 23251 - 23500ANNEX I Table 4: rows 23501 - 23750ANNEX I Table 4: rows 23751 - 24000ANNEX I Table 4: rows 24001 - 24250ANNEX I Table 4: rows 24251 - 24500ANNEX I Table 4: rows 24501 - 24750ANNEX I Table 4: rows 24751 - 25000ANNEX I Table 4: rows 25001 - 25250ANNEX I Table 4: rows 25251 - 25500ANNEX I Table 4: rows 25501 - 25750ANNEX I Table 4: rows 25751 - 26000ANNEX I Table 4: rows 26001 - 26250ANNEX I Table 4: rows 26251 - 26500ANNEX I Table 4: rows 26501 - 26750ANNEX I Table 4: rows 26751 - 27000ANNEX I Table 4: rows 27001 - 27250ANNEX I Table 4: rows 27251 - 27500ANNEX I Table 4: rows 27501 - 27750ANNEX I Table 4: rows 27751 - 28000ANNEX I Table 4: rows 28001 - 28250ANNEX I Table 4: rows 28251 - 28500ANNEX I Table 4: rows 28501 - 28744

C 103.00 – Definition of High Default Portfolios

ANNEX I Table 5: rows 1 - 250ANNEX I Table 5: rows 251 - 500ANNEX I Table 5: rows 501 - 750ANNEX I Table 5: rows 751 - 1000ANNEX I Table 5: rows 1001 - 1250ANNEX I Table 5: rows 1251 - 1500ANNEX I Table 5: rows 1501 - 1750ANNEX I Table 5: rows 1751 - 2000ANNEX I Table 5: rows 2001 - 2250ANNEX I Table 5: rows 2251 - 2500ANNEX I Table 5: rows 2501 - 2750ANNEX I Table 5: rows 2751 - 3000ANNEX I Table 5: rows 3001 - 3250ANNEX I Table 5: rows 3251 - 3500ANNEX I Table 5: rows 3501 - 3750ANNEX I Table 5: rows 3751 - 4000ANNEX I Table 5: rows 4001 - 4250ANNEX I Table 5: rows 4251 - 4500ANNEX I Table 5: rows 4501 - 4750ANNEX I Table 5: rows 4751 - 5000ANNEX I Table 5: rows 5001 - 5250ANNEX I Table 5: rows 5251 - 5500ANNEX I Table 5: rows 5501 - 5750ANNEX I Table 5: rows 5751 - 6000ANNEX I Table 5: rows 6001 - 6250ANNEX I Table 5: rows 6251 - 6500ANNEX I Table 5: rows 6501 - 6750ANNEX I Table 5: rows 6751 - 7000ANNEX I Table 5: rows 7001 - 7250ANNEX I Table 5: rows 7251 - 7500ANNEX I Table 5: rows 7501 - 7750ANNEX I Table 5: rows 7751 - 8000ANNEX I Table 5: rows 8001 - 8250ANNEX I Table 5: rows 8251 - 8500ANNEX I Table 5: rows 8501 - 8750ANNEX I Table 5: rows 8751 - 9000ANNEX I Table 5: rows 9001 - 9250ANNEX I Table 5: rows 9251 - 9500ANNEX I Table 5: rows 9501 - 9750ANNEX I Table 5: rows 9751 - 10000ANNEX I Table 5: rows 10001 - 10250ANNEX I Table 5: rows 10251 - 10500ANNEX I Table 5: rows 10501 - 10750ANNEX I Table 5: rows 10751 - 11000ANNEX I Table 5: rows 11001 - 11250ANNEX I Table 5: rows 11251 - 11500ANNEX I Table 5: rows 11501 - 11750ANNEX I Table 5: rows 11751 - 12000ANNEX I Table 5: rows 12001 - 12250ANNEX I Table 5: rows 12251 - 12500ANNEX I Table 5: rows 12501 - 12750ANNEX I Table 5: rows 12751 - 13000ANNEX I Table 5: rows 13001 - 13250ANNEX I Table 5: rows 13251 - 13500ANNEX I Table 5: rows 13501 - 13750ANNEX I Table 5: rows 13751 - 14000ANNEX I Table 5: rows 14001 - 14250ANNEX I Table 5: rows 14251 - 14500ANNEX I Table 5: rows 14501 - 14750ANNEX I Table 5: rows 14751 - 15000ANNEX I Table 5: rows 15001 - 15250ANNEX I Table 5: rows 15251 - 15500ANNEX I Table 5: rows 15501 - 15750ANNEX I Table 5: rows 15751 - 16000ANNEX I Table 5: rows 16001 - 16250ANNEX I Table 5: rows 16251 - 16500ANNEX I Table 5: rows 16501 - 16750ANNEX I Table 5: rows 16751 - 17000ANNEX I Table 5: rows 17001 - 17250ANNEX I Table 5: rows 17251 - 17500ANNEX I Table 5: rows 17501 - 17750ANNEX I Table 5: rows 17751 - 18000ANNEX I Table 5: rows 18001 - 18250ANNEX I Table 5: rows 18251 - 18500ANNEX I Table 5: rows 18501 - 18750ANNEX I Table 5: rows 18751 - 19000ANNEX I Table 5: rows 19001 - 19250ANNEX I Table 5: rows 19251 - 19500ANNEX I Table 5: rows 19501 - 19750ANNEX I Table 5: rows 19751 - 20000ANNEX I Table 5: rows 20001 - 20250ANNEX I Table 5: rows 20251 - 20500ANNEX I Table 5: rows 20501 - 20750ANNEX I Table 5: rows 20751 - 21000ANNEX I Table 5: rows 21001 - 21250ANNEX I Table 5: rows 21251 - 21500ANNEX I Table 5: rows 21501 - 21750ANNEX I Table 5: rows 21751 - 22000ANNEX I Table 5: rows 22001 - 22250ANNEX I Table 5: rows 22251 - 22500ANNEX I Table 5: rows 22501 - 22750ANNEX I Table 5: rows 22751 - 23000ANNEX I Table 5: rows 23001 - 23250ANNEX I Table 5: rows 23251 - 23500ANNEX I Table 5: rows 23501 - 23750ANNEX I Table 5: rows 23751 - 24000ANNEX I Table 5: rows 24001 - 24250ANNEX I Table 5: rows 24251 - 24500ANNEX I Table 5: rows 24501 - 24750ANNEX I Table 5: rows 24751 - 25000ANNEX I Table 5: rows 25001 - 25250ANNEX I Table 5: rows 25251 - 25500ANNEX I Table 5: rows 25501 - 25750ANNEX I Table 5: rows 25751 - 26000ANNEX I Table 5: rows 26001 - 26250ANNEX I Table 5: rows 26251 - 26500ANNEX I Table 5: rows 26501 - 26750ANNEX I Table 5: rows 26751 - 27000ANNEX I Table 5: rows 27001 - 27250ANNEX I Table 5: rows 27251 - 27500ANNEX I Table 5: rows 27501 - 27750ANNEX I Table 5: rows 27751 - 28000ANNEX I Table 5: rows 28001 - 28250ANNEX I Table 5: rows 28251 - 28500ANNEX I Table 5: rows 28501 - 28744

C 103.00 – Definition of High Default Portfolios

ANNEX I Table 6: rows 1 - 250ANNEX I Table 6: rows 251 - 500ANNEX I Table 6: rows 501 - 750ANNEX I Table 6: rows 751 - 1000ANNEX I Table 6: rows 1001 - 1250ANNEX I Table 6: rows 1251 - 1500ANNEX I Table 6: rows 1501 - 1750ANNEX I Table 6: rows 1751 - 2000ANNEX I Table 6: rows 2001 - 2250ANNEX I Table 6: rows 2251 - 2500ANNEX I Table 6: rows 2501 - 2750ANNEX I Table 6: rows 2751 - 3000ANNEX I Table 6: rows 3001 - 3250ANNEX I Table 6: rows 3251 - 3500ANNEX I Table 6: rows 3501 - 3750ANNEX I Table 6: rows 3751 - 4000ANNEX I Table 6: rows 4001 - 4250ANNEX I Table 6: rows 4251 - 4500ANNEX I Table 6: rows 4501 - 4750ANNEX I Table 6: rows 4751 - 5000ANNEX I Table 6: rows 5001 - 5250ANNEX I Table 6: rows 5251 - 5500ANNEX I Table 6: rows 5501 - 5750ANNEX I Table 6: rows 5751 - 6000ANNEX I Table 6: rows 6001 - 6250ANNEX I Table 6: rows 6251 - 6500ANNEX I Table 6: rows 6501 - 6750ANNEX I Table 6: rows 6751 - 7000ANNEX I Table 6: rows 7001 - 7250ANNEX I Table 6: rows 7251 - 7500ANNEX I Table 6: rows 7501 - 7750ANNEX I Table 6: rows 7751 - 8000ANNEX I Table 6: rows 8001 - 8250ANNEX I Table 6: rows 8251 - 8500ANNEX I Table 6: rows 8501 - 8750ANNEX I Table 6: rows 8751 - 9000ANNEX I Table 6: rows 9001 - 9250ANNEX I Table 6: rows 9251 - 9500ANNEX I Table 6: rows 9501 - 9750ANNEX I Table 6: rows 9751 - 10000ANNEX I Table 6: rows 10001 - 10250ANNEX I Table 6: rows 10251 - 10500ANNEX I Table 6: rows 10501 - 10750ANNEX I Table 6: rows 10751 - 11000ANNEX I Table 6: rows 11001 - 11250ANNEX I Table 6: rows 11251 - 11500ANNEX I Table 6: rows 11501 - 11750ANNEX I Table 6: rows 11751 - 12000ANNEX I Table 6: rows 12001 - 12250ANNEX I Table 6: rows 12251 - 12500ANNEX I Table 6: rows 12501 - 12750ANNEX I Table 6: rows 12751 - 13000ANNEX I Table 6: rows 13001 - 13250ANNEX I Table 6: rows 13251 - 13500ANNEX I Table 6: rows 13501 - 13750ANNEX I Table 6: rows 13751 - 14000ANNEX I Table 6: rows 14001 - 14250ANNEX I Table 6: rows 14251 - 14500ANNEX I Table 6: rows 14501 - 14750ANNEX I Table 6: rows 14751 - 15000ANNEX I Table 6: rows 15001 - 15250ANNEX I Table 6: rows 15251 - 15500ANNEX I Table 6: rows 15501 - 15750ANNEX I Table 6: rows 15751 - 16000ANNEX I Table 6: rows 16001 - 16250ANNEX I Table 6: rows 16251 - 16500ANNEX I Table 6: rows 16501 - 16750ANNEX I Table 6: rows 16751 - 17000ANNEX I Table 6: rows 17001 - 17250ANNEX I Table 6: rows 17251 - 17500ANNEX I Table 6: rows 17501 - 17750ANNEX I Table 6: rows 17751 - 18000ANNEX I Table 6: rows 18001 - 18250ANNEX I Table 6: rows 18251 - 18500ANNEX I Table 6: rows 18501 - 18750ANNEX I Table 6: rows 18751 - 19000ANNEX I Table 6: rows 19001 - 19250ANNEX I Table 6: rows 19251 - 19500ANNEX I Table 6: rows 19501 - 19750ANNEX I Table 6: rows 19751 - 20000ANNEX I Table 6: rows 20001 - 20250ANNEX I Table 6: rows 20251 - 20500ANNEX I Table 6: rows 20501 - 20750ANNEX I Table 6: rows 20751 - 21000ANNEX I Table 6: rows 21001 - 21250ANNEX I Table 6: rows 21251 - 21500ANNEX I Table 6: rows 21501 - 21750ANNEX I Table 6: rows 21751 - 22000ANNEX I Table 6: rows 22001 - 22250ANNEX I Table 6: rows 22251 - 22500ANNEX I Table 6: rows 22501 - 22750ANNEX I Table 6: rows 22751 - 23000ANNEX I Table 6: rows 23001 - 23250ANNEX I Table 6: rows 23251 - 23500ANNEX I Table 6: rows 23501 - 23750ANNEX I Table 6: rows 23751 - 24000ANNEX I Table 6: rows 24001 - 24250ANNEX I Table 6: rows 24251 - 24500ANNEX I Table 6: rows 24501 - 24750ANNEX I Table 6: rows 24751 - 25000ANNEX I Table 6: rows 25001 - 25250ANNEX I Table 6: rows 25251 - 25500ANNEX I Table 6: rows 25501 - 25750ANNEX I Table 6: rows 25751 - 26000ANNEX I Table 6: rows 26001 - 26250ANNEX I Table 6: rows 26251 - 26500ANNEX I Table 6: rows 26501 - 26750ANNEX I Table 6: rows 26751 - 27000ANNEX I Table 6: rows 27001 - 27250ANNEX I Table 6: rows 27251 - 27500ANNEX I Table 6: rows 27501 - 27750ANNEX I Table 6: rows 27751 - 28000ANNEX I Table 6: rows 28001 - 28250ANNEX I Table 6: rows 28251 - 28500ANNEX I Table 6: rows 28501 - 28744

F2ANNEX II SUPERVISORY BENCHMARKING PORTFOLIOS

DEFINITION OF THE SUPERVISORY BENCHMARK PORTFOLIOS

For the purpose of mapping the exposures to counterparties and the portfolios defined in Annex I, the columns, labels, legal references and instructions provided in this Annex shall apply.

Where ‘ Not applicable ’ is used in Annex 1, no specific split is required for the variable it relates to.

C 101 – Definition of Low Default Portfolio counterparties

Column	Label	Instructions
010	Counterparty code	The code assigned by the European Banking Authority (‘EBA’) to each legal entity included in the low default portfolio (‘LDP’) sample.
020	Legal entity identifier (LEI)	20-digit, alpha-numeric code that connects to key reference information that enables clear and unique identification of companies participating in global financial markets.
030	Credit register code	The code used by the national credit register of the place of residence of the counterparty. The code is used as an identifier for the counterparty.
040	Commercial register code	The code assigned to a counterparty by the public commercial register of the country where that counterparty is registered.
050	ISIN code	The ‘International Securities Identification Number’ used to identify uniquely securities issued by a counterparty.
060	Bloomberg ticker	The string of characters or numbers used to identify a company or entity uniquely in Bloomberg.
070	Name	The name of the legal entity included in the LDP samples.
080	Geographical area	Exposures shall be split into parts and assigned to portfolios based on the country of residence (ISO Code or ‘ Other countries ’ ) of the counterparty. For the ‘ Retail – secured by real estate SME ’ and ‘ Retail – secured by real estate non SME ’ portfolios, exposures shall be split into parts based on the location of the collateral.
090	Portfolio name	Each counterparty is assigned one of the following names: (a) Sovereign sample; (b) Institutions sample; (c) Large corporate sample.
100	Sector of counterparty	Exposures shall be split into parts and assigned to portfolios based on the economic sector of the counterparty: (a) Central banks; (b) General Governments; (c) Credit institutions; (d) Other financial corporations; (e) Non-financial corporations; (f) Not applicable.
110	Type of exposure	Exposures shall be split into parts and assigned to portfolios based on the type of exposure: (a) Specialised lending exposures; (b) Exposures other than specialised lending; (c) Not applicable.
120	Type of facility	Exposures shall be split into parts and assigned to portfolios based on the type of facility. 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): This refers to warranties and indemnities (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): 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): 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): 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): uncommitted lending facilities (advised and unadvised) 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): 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) Drawn credit facility; (k) Not applicable.
130	Type of risk	Exposures shall be split into parts and assigned to portfolios based on the type of risk: (a) Counterparty credit risk; (b) Credit risk and free deliveries; (c) Credit risk, Counterparty credit risk and free deliveries.
140	Regulatory 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; (c) Specialised lending slotting criteria. RWAs for the exposure class ‘ Retail ’ are calculated underthe regulatory approach ‘ Advanced IRB Approach ’ .

C 102 – Definition of Low Default Portfolios

Column	Label	Legal reference	Instructions
010	Portfolio ID		The unique ID assigned to the portfolio by EBA.
020	Portfolio name		Each portfolio is assigned one of the following names: (a) Sovereign; (b) Institutions; (c) Large corporate; (d) Large corporate sample. The ‘ Large corporate sample ’ comprises all entities listed in template 101 of Annex I to this Implementing Regulation for which the Portfolio name (column 090 of template 101) is ‘ Large corporate sample ’ .
030	Type of risk		The instructions provided for column 130 of C 101 shall apply.
040	Regulatory approach		The instructions provided for column 140 of C 101 shall apply.
050	Geographical area		The instructions provided for column 080 of C 101 shall apply.
060	Rating		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 %. It takes values from Rating 1, Rating 2 etc. Where the reporting institution applies a unique rating system or is able to report according to an internal master scale, this 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.
070	Exposure class		Exposures shall be split into parts and assigned to portfolios based on the exposure class: (a) Central governments and central banks; (b) Institutions; (c) Corporates: (c.1) Corporates – SME; (c.2) Corporates – No SME; (d) Retail: (d.1) Retail – SME; (d.1.1) Retail – SME — Secured by real estate; (d.1.2) Retail – SME — Other; (d.2) Retail – No SME; (d.2.1) Retail – No SME — Other; (d.2.2) Retail – No SME — Secured by real estate; (d.3) Retail – Qualifying revolving; (e) Not applicable
080	Sector of counterparty		The instructions provided for column 100 of C 101 shall apply.
090	Default status		Exposures shall be split into parts and assigned to portfolios based on the default status: (a) Defaulted: exposures assigned to the rating grade(s) with a PD of 100 %; (b) Non-defaulted: exposures assigned to rating grades with a PD lower than 100 %. (c) Not applicable
100	Type of facility		The instructions provided for column 120 of C 101 shall apply.
110	Collateralisation status	Columns 150 to 210 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/20145	Exposures shall be split into parts and assigned to portfolios based on the collateralisation status: (a) Exposures with credit protection; (b) Exposures without credit protection; (c) Not applicable.
120	Collateral type	Columns 150 to 210 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	Exposures shall be split into parts and assigned to portfolios based on the collateral type: (a) Eligible financial collateral; (b) Other eligible collateral: Receivables; (c) Other eligible collateral: Residential real estate; (d) Other eligible collateral: Commercial real estate; (e) Other eligible collateral: Physical collateral; (f) Other funded credit protection; (g) Credit derivatives; (h) Guarantees; (i) Unfunded credit protection; (j) Not applicable. It should be noted that exposures treated under the substitution approach are already shifted to the corresponding exposures classes and shall thus not be reported under (g), (h) or (i).
130	Counterparty		Exposures shall be split into parts and assigned to portfolios based on the counterparty: (a) Public sector entities (according to Article 112 (c) of Regulation (EU) No 575/2013) of the European Parliament and of the Council 6 ; (b) Counterparties other than public sector entities. (c) Not applicable
140	Size of counterparty		Exposures shall be split into parts and assigned to portfolios based on the size of the counterparty which shall be determined based on the total annual turnover for the consolidated group of which the counterparty is a part: (a) <= EUR 50 million; (b) > EUR 50 million and <= EUR 200 million; (c) > EUR 200 million; (d) Not applicable. The total annual turnover is calculated in accordance with Article 4 of the Annex to Commission Recommendation 2003/361/EC 7 and shall refer to the year ending one year before the reporting reference date.
150	NACE code		Exposures shall be split into parts and assigned to portfolios based on the economic activity of the counterparty determined by the NACE codes (Statistical Classification of Economic Activities of the EU) used for ‘Non-financial corporations’ with a one level detail (e.g. ‘F – Construction’) and for ‘Other financial corporations’ with a two level detail (e.g. ‘K65 — Insurance, reinsurance and pension funding, except compulsory social security’).
160	Type of exposure		The instructions provided for column 110 of C 101 shall apply.
170	Size of exposure	Column 110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	Exposures shall be split into parts and assigned to portfolios based on the size of the exposure expressed in terms of exposure value (i.e. exposure at default ( ‘ EAD ’ )): (a) <= EUR 0,5 million; (b) > EUR 0,5 million <= EUR 1 million; (c) > EUR 1 million <= EUR 1,5 million; (d) > EUR 1,5 million <= EUR 5 million; (e) > EUR 5 million <= EUR 10 million; (f) > EUR 10 million <= EUR 50 million; (g) > EUR 50 million; (h) Not applicable.
180	Balance sheet recognition		Exposures shall be split into parts and assigned to portfolios based on the balance sheet recognition: (a) On-balance sheet items; (b) Off-balance sheet items; (c) Other (d) Not applicable. Exposures representing Securities Financing Transactions, Derivatives & Long Settlement Transactions or Contractual Cross Product Netting and which are subject to counterparty credit risk, shall be assigned to (c) other. These Exposure shall not be reported in (a) or (b).

Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council ( OJ L 191, 28.6.2014, p. 1 ).

Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 ( OJ L 176, 27.6.2013, p. 1 ).

Commission Recommendation of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises ( OJ L 124, 20.5.2003, p. 36 ).

C 103 – Definition of High Default Portfolios

Column		Instructions
010	Portfolio ID	The unique ID assigned by EBA to each portfolio.
020	Portfolio name	Each portfolio is assigned one of the following names by EBA: 1.1. CORP Defaulted 1.2. CORP Non-Defaulted 1.2.1. CORP Non-defaulted Secured 1.2.1.1. CORP Non-defaulted Secured Construction 1.2.1.2. CORP Non-defaulted Secured Other 1.2.2. CORP Non-defaulted Unsecured 1.2.2.1. CORP Non-defaulted Unsecured Construction 1.2.2.2. CORP Non-defaulted Unsecured Other 2.1. SMEC Defaulted 2.2. SMEC Non-Defaulted 2.2.1. SMEC Non-defaulted Secured 2.2.1.1. SMEC Non-defaulted Secured Construction 2.2.1.2. SMEC Non-defaulted Secured Other 2.2.2. SMEC Non-defaulted Unsecured 2.2.2.1. SMEC Non-defaulted Unsecured Construction 2.2.2.2. SMEC Non-defaulted Unsecured Other 3.1. SMER Defaulted 3.2. SMER Non-Defaulted 3.2.1. SMER Non-defaulted Secured 3.2.1.1. SMER Non-defaulted Secured Construction 3.2.1.2. SMER Non-defaulted Secured Other 3.2.2. SMER Non-defaulted Unsecured 3.2.2.1. SMER Non-defaulted Unsecured Construction 3.2.2.2. SMER Non-defaulted Unsecured Other 4.1. Mortgages Defaulted 4.2. Mortgages Non-defaulted 4.2.1.1. Mortgages Non-defaulted Secured 4.2.1.2. Mortgages Non-defaulted Unsecured 4.2.2.1. Mortgages Non-defaulted ILTV <= 25 % 4.2.2.2. Mortgages Non-defaulted ILTV > 100 %,<= 125 % 4.2.2.3. Mortgages Non-defaulted ILTV > 125 % 4.2.2.4. Mortgages Non-defaulted ILTV > 25 %,<= 50 % 4.2.2.5. Mortgages Non-defaulted ILTV > 50 %,<= 75 % 4.2.2.6. Mortgages Non-defaulted ILTV > 75 %,<= 100 %
030	Type of risk	The instructions provided for column 130 of C 101 shall apply.
040	Regulatory approach	The instructions provided for column 140 of C 101 shall apply.
050	Geographical area	The instructions provided for column 080 of C 101 shall apply.
060	Rating	The instructions provided for column 060 of C 102 shall apply.
070	Exposure class	The instructions provided for column 070 of C 102 shall apply.
080	Sector of counterparty	The instructions provided for column 100 of C 101 shall apply.
090	Default status	The instructions provided for column 090 of C 102 shall apply.
100	Type of facility	The instructions provided for column 120 of C 101 shall apply.
110	Collateralisation status	The instructions provided for column 110 of C 102 shall apply.
120	Collateral type	Exposures shall be split into parts and assigned to portfolios based on the collateral type: (a) Eligible collateral other than real estate; (b) Real estate collateral; (c) Not applicable.
130	NACE code	The instructions provided for column 150 of C 102 shall apply.
140	Size of counterparty	The instructions provided for column 140 of C 102 shall apply.
150	Type of exposure	The instructions provided for column 110 of C 101 shall apply.
160	Size of exposure	The instructions provided for column 170 of C 102 shall apply.
170	Indexed 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) <= 25 %; (b) > 25 % <= 50 %; (c) > 50 % <= 75 %; (d) > 75 % <= 100 %; (e) > 100 % <= 125 %; (f) > 125 %; (g) Not applicable. The indexed loan-to-value range shall be calculated in a prudent manner and at least comply with the following features: (a) Total amount of the loan: the outstanding amount of the mortgage loan plus any undrawn committed amount of the mortgage loan (after applying the corresponding credit conversion factor). The loan amount shall be calculated gross of any specific credit risk adjustments and shall include all other loans (including those 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 these liens rank pari passu with the lien securing the loan. (b) Value of the property: the value of the property is the independent valuation of the property at some point in time (most likely at origination) and converted to a current value using a property price index. The valuation should be performed in an independent way and by appraisers that meet specific qualification requirements. Qualifying requirements and minimum appraisal standards shall comply with the following conditions: 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); where a market value can be determined, the valuation is not higher than market value; the valuation is supported by adequate appraisal documentation. Institutions shall document their calculations and provide this documentation to their competent authority upon request.
180	Balance sheet recognition	The instructions provided for column 180 of C 102 shall apply.

F2ANNEX III Results Supervisory Benchmark portfolios

Template number	Template code	Name of the template /group of templates
101	C 101.00	Details on exposures in Low Default Portfolios by counterparty
102	C 102.00	Details on exposures in Low Default Portfolios
103	C 103.00	Details on exposures in High Default Portfolios
105,01	C 105.01	Definition of internal models
105,02	C 105.02	Mapping of internal models to portfolios
105,03	C 105.03	Mapping of internal models to countries

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

Counterparty Code	Exposure class	Rating	Date of most recent rating of counterparty	PD	Default status	Original exposure pre conversion factors	Exposure after CRM substitution effects pre conversion factors	CCF	EAD	Collateral value	Hyp LGD senior unsecured without negative pledge	Hyp LGD senior unsecured with negative pledge	LGD	Maturity	RWA
010	020	040	050	060	070	080	090	100	110	120	130	140	150	160	170

C 102.00 - Details on exposures in Low Default Portfolios

Portfolio ID	Number of obligors	PD	Original exposure pre conversion factors	Exposure after CRM substitution effects pre conversion factors	CCF	EAD	Collateral value	LGD	Maturity	Expected Loss	Provisions defaulted exposures	RWA	RWA Standardised
010	040	060	080	090	100	110	120	130	140	150	160	170	180

C 103.00 - Details on exposures in High Default Portfolio

Portfolio ID	Number of obligors	PD	Original exposure pre conversion factors	Exposure after CRM substitution effects pre conversion factors	CCF	EAD	Collateral value	LGD	Maturity	Expected Loss amount	Provisions non-performing exposures	RWA	RWA Standardised	Default rate latest year	Default rate past 5 years	Loss rate latest year	Loss rate past 5 years	RWA-	RWA+	RWA--	RWA++
010	040	060	080	090	100	110	120	130	140	150	160	170	180	190	200	210	220	250	260	270	280

C 105.01 - Definition of internal models

Internal model ID	Model name	IRBA Risk parameter	EAD	EAD weighted average default rate for calibration	Case weighted average default rate for calibration	Long-run PD	Cure rate for defaulted assets	Recovery rate of the foreclosed assets for not cured defaults	Recovery period of the foreclosed assets for not cured defaults	Joint decision	Consolidating supervisor	RWA
010	020	030	040	050	060	070	080	090	100	110	120	130

C 105.02 - Mapping of internal models to portfolios

Portfolio ID	Internal model ID	EAD	RWA
010	020	030	040

C 105.03 - Mapping of internal models to countries

Internal model ID	Location of institution
010	020

F2ANNEX IV RESULTS SUPERVISORY BENCHMARK PORTFOLIOS

PART I: GENERAL INSTRUCTIONS

1.

Information shall be submitted only for counterparties subject to an actual exposure or a rating that is valid for use in the calculation of risk-weighted assets ( ‘ RWA ’ ).

2.

Information shall be submitted only for exposures and portfolios for which an internal model has been approved and is used in the calculation of the RWA. Exposures and portfolios for which the relevant competent authority has permitted the permanent partial use of the Standardised Approach, shall be excluded.

3.

Information that is not required or not applicable shall not be submitted. Zero values shall be reported only where the quantity is known to be zero.

4.

For portfolios defined with a specific rating grade in Annex I, information on the probability of default ( ‘ PD ’ ) shall be reported for the entire rating scale used by the institution, even where no internal-ratings-based ( ‘ IRB ’ ) exposure exists for the respective portfolio at the reporting reference date for each rating grade. In such cases, the exposure at default ( ‘ EAD ’ ) shall be reported as zero and information on the other columns shall not be submitted.

5.

Portfolios that are not defined with a specific rating grade in Annex I shall not be submitted where no IRB exposure or valid rating exists at the reporting reference date.

6.

Monetary amounts shall be reported as used for calculating own funds requirements as of a specific reference date (i.e. as reported in accordance with Implementing Regulation (EU) No 680/2014).

PART II: TEMPLATE-RELATED INSTRUCTIONS

C 101 — Details on exposures in Low Default Portfolios (LDPs) by counterparty

Specialised lending exposures shall be excluded.

Column	Label	Legal reference	Instructions
010	Counterparty Code	Column 010 of template 101 of Annex I	The counterparty code assigned by the European Banking Authority (‘EBA’) to the counterparty included in the low default portfolio (‘LDP’) samples portfolios shall be reported. This code is a row identifier and shall be unique for each row in the table.
020	Exposure class	Paragraph 78 of Annex II to Implementing Regulation (EU) No 680/2014	Each portfolio shall be assigned to one of the following exposure classes: (a) Central banks and central governments; (b) Institutions; (c) Corporate – SME; (d) Corporate – Specialised lending; (e) Corporate – Other; (f) Retail – Secured by real estate SME; (g) Retail – Secured by real estate non-SME; (h) Retail – Qualifying revolving; (i) Retail – Other SME; (j) Retail – Other non – SME; (k) Not applicable ‘ Not applicable ’ shall be used where none of the answers in the list is correct which is the case when a counterparty is classified in multiple asset classes, without one being clearly predominant
040	Rating		The rank of the internal rating grade applied by the institution (from lowest risk to highest risk excluding defaults with PD corresponding to 100 %) shall be reported. It shall follow the numerical order 1, 2, 3 etc.
050	Date of most recent rating of counterparty		The date of the most recent rating of the counterparty shall be reported.
060	PD	Column 010 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The PD assigned to the obligor grade or pool that shall be reported shall be based on the provisions laid down in Article 180 of Regulation (EU) No 575/2013. The PD shall be the PD used in the calculation of the RWA, excluding the effect of potential measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013. The PD shall be expressed as a value between 0 and 1. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.
070	Default status		The default status to be reported shall be one of the following: (a) Defaulted: exposures assigned to the rating grade(s) with a PD of 100 %; (b) Non-defaulted: exposures assigned to rating grades with a PD lower than 100 %.
080	Original exposure pre-conversion factors	Column 020 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported.
090	Exposure after CRM substitution effects pre-conversion factors	Column 090 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The amount to which a conversion factor (‘CCF’) is applied in order to obtain the EAD shall be reported. This shall be done taking into account credit risk mitigation techniques with substitution effects on the exposure.
100	CCF	Second subparagraph of Article 166(8) of Regulation (EU) No 575/2013	The weighted average of the CCFs shall be reported. The weights that shall be used shall be the amounts to which the CCFs are applied in order to obtain the EAD. Where the institution is allowed to apply own estimates of CCFs, those shall be reported, otherwise the regulatory CCFs shall be reported.
110	EAD	Column 110 of template8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The exposure value shall be left blank where the institution has no IRB exposure for a given counterparty.
120	Collateral value	Columns 150 to 210 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The market value of the collateral shall be reported.
130	Hyp LGD senior unsecured without negative pledge	Article 161 of Regulation (EU) No 575/2013	The hypothetical own estimates of loss given default ( ‘ LGD ’ ) that would be applied by the institution to the counterparty shall be reported in accordance with the following: The scope of exposures is the same as for the LGD value reported in column 150; The exposure is senior and unsecured; No negative pledge clause is in place. A negative pledge clause states that the borrower or debt issuer will not pledge any of its assets to another party.
140	Hyp LGD senior unsecured with negative pledge	Article 161 of Regulation (EU) No 575/2013	The hypothetical own estimates of LGD that would be applied by the institution to the counterparty shall be reported in accordance with the following: The scope of exposures is the same as for the LGD value reported in column 150; The exposure is senior and unsecured; A negative pledge clause is in place. A negative pledge clause states that the borrower or debt issuer will not pledge any of its assets to another party.
150	LGD	Columns 230 and 240 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The EAD-weighted own estimates of LGD or the EAD-weighted regulatory LGD applied by the institution to the exposures to each counterparty shall be reported.
160	Maturity	Column 250 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The EAD-weighted maturity for the exposures to each counterparty shall be reported. It shall be expressed in number of days.
170	RWA	Column 260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The risk-weighted exposure amount after applying the small- and medium-sized enterprise (‘SME’) supporting factor shall be reported.

C 102 – Details on exposures in Low Default Portfolios

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

For portfolios with the regulatory approach defined as ‘ Specialised lending slotting criteria ’ , the following information may be omitted: PD (c060), LGD (c130), Maturity (c140).

For portfolios defined in Annex I template 102 the following information may be omitted where institutions do not calculate own funds in accordance with Part Three, Title II, Chapter 2: RWA Standardised (c180).

Column	Label	Legal reference	Instructions
010	Portfolio ID	Column 010 of template 102 of Annex I	The code assigned by the EBA to each portfolio shall be reported. This code is a row identifier and shall be unique for each row in the table.
040	Number of obligors	Column 300 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014	The number of obligors shall be reported.
060	PD	Column 010 of table 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014	The PD assigned to the obligor shall be based on the provisions laid down in Article 180 of Regulation (EU) No 575/2013. The PD shall be the PD used in the calculation of the RWA, excluding the effect of potential measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools the EAD-weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The PD shall be expressed as a value between 0 and 1. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the relevant competent authority.
080	Original exposure pre-conversion factors	Column 020 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported.
090	Exposure after CRM substitution effects pre-conversion factors	Column 090 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The amount to which a CCF is applied in order to obtain the EAD shall be reported. This shall be done taking into account credit risk mitigation techniques with substitution effects on the exposure.
100	CCF	Article 166(8)(e) of Regulation (EU) No 575/2013	The weighted average of the CCFs shall be reported. The weights that shall be used shall be the amounts to which the CCFs are applied in order to obtain the EAD. Where the institution is allowed to apply own estimates of CCFs, those shall be reported, otherwise the regulatory CCFs shall be reported.
110	EAD	Column 110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The exposure value shall be reported.
120	Collateral value	Columns 150 to 210 of template8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The market value of the collateral shall be reported.
130	LGD	Columns 230 and 240 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The EAD-weighted own estimates of LGD or the EAD-weighted regulatory LGD applied by the institution to the exposures held and included in each portfolio shall be reported.
140	Maturity	Column 250 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	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 risk weighted exposure amounts. This information shall not be reported for portfolios that represent exposures of the exposure class ‘Retail’.
150	Expected Loss	Column 280 of template8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The expected loss shall be reported.
160	Provisions defaulted exposures	Columns 050, 055 and 060 of template 9.2 of Annex I to Implementing Regulation (EU) No 680/2014	The provisions for defaulted exposures shall be reported. These include all the general and specific credit risk adjustments for defaulted assets as defined in Article 110 of Regulation (EU) No 575/2013.
170	RWA	Column 260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The risk-weighted exposure amount after applying the SME supporting factor shall be reported.
180	RWA Standardised	The amount of own funds that the institution would be required to hold under Article 92 calculating risk-weighted exposure amounts in accordance with Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013.	The RWA amount calculated by applying the standardised approach for credit risk to the exposures shall be reported.

C 103 – Details on exposures in High Default Portfolio

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

Column	Label	Legal reference	Instructions
010	Portfolio ID	Column 010 of template 103 of Annex I	The code assigned by EBA to each portfolio shall be reported. This code is a row identifier and shall be unique for each row in the table.
040	Number of obligors	Column 300 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The number of obligors shall be reported.
060	PD	Column 010 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of Regulation (EU) No 575/2013. The PD shall be the PD used in the calculation of the RWA, excluding the effect of potential measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures), the EAD-weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The PD shall be expressed as a value between 0 and 1. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the relevant competent authority.
080	Original exposure pre conversion factors	Column 020 of template8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported.
090	Exposure after CRM substitution effects pre conversion factors	Column 090 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The amount to which a conversion factor is applied in order to obtain the EAD shall be reported. This shall be done taking into account credit risk mitigation techniques with substitution effects on the exposure.
100	CCF	Article 166(8) of Regulation (EU) No 575/2013	The weighted average of the CCFs shall be reported. The weights that shall be used shall be the amounts to which the CCFs are applied in order to obtain the EAD. Where the institution is allowed to apply own estimates of CCFs, those shall be reported, otherwise the regulatory CCFs shall be reported.
110	EAD	Column 110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The exposure value shall be reported.
120	Collateral value	Column 150 to 210 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The market value of the collateral shall be reported.
130	LGD	Columns 230 and 240 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The EAD-weighted own estimates of LGD or EAD-weighted regulatory LGD applied by the institution to the exposures to each portfolio shall be reported. The effect of measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013 shall be excluded.
140	Maturity	Column 250 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	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 risk weighted exposure amounts. This means that this information shall not be reported for portfolios that represent exposures of the exposure class ‘Retail’.
150	Expected Loss	Column 280 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The expected loss shall be reported.
160	Provisions defaulted exposures	Columns 050, 055 and 060 of template 9.2 of Annex 1 of Commission Implementing Regulation (EU) No 680/2014	The provisions for defaulted exposures shall be reported. These include all the general and specific credit risk adjustments for defaulted exposures as defined in Article 110 of Regulation (EU) No 575/2013.
170	RWA	Column 260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The risk-weighted exposure amount after applying the SME supporting factor shall be reported.
180	RWA Standardised	The amount of own funds that the institution would be required to hold under Article 92 calculating risk-weighted exposure amounts in accordance with Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013.	The RWA amount calculated by applying the standardised approach for credit risk to the exposures shall be reported.
190	Default rate latest year		The default rate for the latest year shall be reported. For this purpose the default rate shall be defined as the ratio between i) the sum of the exposures (original exposure before applying the conversion factor measured at the reference date minus one year) that were non-defaulted exactly one year before the reference date defaulted between the reference date minus one year and the reference date and ii) the sum of the exposures (original exposure before applying the conversion factor measured at the reference date minus one year) that were non-defaulted at the reference date minus one year. New exposures that were generated during the year preceding the reference date shall not be included. Exposures that defaulted and were cured again during the year preceding the reference date shall be included in both the numerator and the denominator. Multiple defaults of the same obligor shall be included only once. This information shall be reported for portfolio IDs relating to non-defaulted exposures only.
200	Default 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 190 shall apply. The weights to be used are the non-defaulted exposures used in the calculation of the default rate in accordance with column 190. Where the institution is not able to calculate a default rate for the past five years preceding the reference date, the institution shall develop a proxy using its longest history up to five years preceding the reference date and provide the documentation detailing the calculation to its competent authority. This information shall be reported for portfolio IDs relating to ‘ non-defaulted ’ exposures only.
210	Loss rate latest year		The loss rate observed in the latest year shall be reported. 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. New exposures generated during the year preceding the reference date shall not be included. Exposures that defaulted and were cured again during the year preceding the reference date shall be included in the denominator of the loss rate and credit risk adjustments and write-offs on those exposures shall be considered in the numerator of the loss rate. Multiple defaults of the very same obligor shall be considered only once. For defaulted portfolios, the loss rate shall be the sum of (i) credit risk adjustments to exposures that were already in default exactly one year before the reference date in the respective portfolio and (ii) credit risk adjustments and write-offs applied within the year preceding the reference date for these exposures, divided by the sum of the EAD, measured exactly one year before the reference date, of the exposures that were defaulted exactly one year before the reference date. New defaults during the year preceding the reference date shall not be included. Exposures that cured again during the year preceding the reference date shall be included in the denominator of the loss rate and credit risk adjustments and write-offs on those exposures shall be included in the numerator of the loss rate. Multiple defaults of the very same obligor shall be included only once.
220	Loss 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. The definition of loss rate referred to in column 210 shall apply. Where the institution is not able to calculate a loss rate for the past five years it shall develop a proxy using its longest history up to 5 years and provide documentation detailing the calculation to its competent authority.
250	RWA-		Institutions shall calculate and report RWA- for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total portfolio and a country level. These portfolios are defined in Annex I, template 103 with the following portfolio ID, respectively: CORP_ALL_0086____Rx0 SMEC_ALL_0106____Rx0 SMER_ALL_0106____Rx0 MORT_ALL_0094____Rx0 RWA- shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the application of the PD- values instead of the institution's PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD- shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 005 of Template C 08.02 of Annex I of Regulation (EU) No 680/2014 (cf. Q&A 2016_2782) shall be used (see Annex II of Regulation (EU) No 680/2014, C 08.01 column 010 and C 08.02 for instructions). For each obligor grade, p ^– shall be the smallest positive value satisfying the equation $p^{-} + Φ^{- 1} (q) \times \sqrt{\frac{p^{-} \times (1 - p^{-})}{n}} \geq {DR}_{1y}$ , where DR _1y > 0 and p ^– : = 0 where DR _1y = 0, where, Φ^{– 1} the inverse function of the standard normal (cumulative) distribution; q the confidence level set at 90 %; DR₁ _y the case weighted default rate of the year preceding the reference date, i.e., the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date and which defaulted during the latest year, divided by the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date; n the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date. For each obligor, PD- shall be equal to p ^– , where p ^– shall be calculated in accordance with the above formula for the obligor grade assigned to the obligor.
260	RWA+		Institutions shall calculate and report RWA+ for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total portfolio and a country level. These portfolios are defined in Annex I, template 103 with the following portfolio ID, respectively: CORP_ALL_0086____Rx0 SMEC_ALL_0106____Rx0 SMER_ALL_0106____Rx0 MORT_ALL_0094____Rx0 RWA+ shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the application of the PD+ values instead of the institution's PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD+ shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 005 of Template C 08.02 of Annex I of Regulation (EU) No 680/2014 (cf. Q&A 2016_2782) shall be used (see Annex II of Regulation (EU) No 680/2014, C 08.01 column 010 and C 08.02 for instructions). For each obligor grade, p ⁺ shall be the largest positive value satisfying the equation $p^{+} - Φ^{- 1} (q) \times \sqrt{\frac{p^{+} \times (1 - p^{+})}{n}} \leq {DR}_{1y}$ , where DR _5y > 0 and p ^– : = 0 where DR _5y = 0, In this equation, Φ^{– 1} the inverse function of the standard normal (cumulative) distribution; q the confidence level set at 90 %; DR₁ _y the case weighted default rate of the year preceding the reference date, i.e., the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date and which defaulted during the latest year, divided by the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date; n the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date. For each obligor, PD+ shall be equal to p ⁺ , where p ⁺ shall be calculated in accordance with the above formula for the obligor grade assigned to the obligor.
270	RWA--		Institutions shall calculate and report RWA-- for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total portfolio and a country level. These portfolios are defined in Annex I, template 103 with the following portfolio ID, respectively: CORP_ALL_0086____Rx0 SMEC_ALL_0106____Rx0 SMER_ALL_0106____Rx0 MORT_ALL_0094____Rx0 RWA-- shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the application of the PD-- values instead of the institution's PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD-- shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 005 of Template C 08.02 of Annex I of Regulation (EU) No 680/2014 (cf. Q&A 2016_2782) shall be used (see Annex II of Regulation (EU) No 680/2014, C 08.01 column 010 and C 08.02 for instructions). For each obligor grade, p ^–– shall be the smallest positive value satisfying the equation $p^{- -} + Φ^{- 1} (q) \times \sqrt{\frac{p^{- -} \times (1 - p^{- -})}{n}} \geq {DR}_{5y}$ where, Φ^{– 1} the inverse function of the standard normal (cumulative) distribution; q the confidence level set at 90 %; DR₅ _y the default rate of the 5 latest years for the obligor grade, calculated as the simple average of five 1-year case-weighted default rates; n the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date. For each obligor, PD-- shall be equal to p ^–– , where p ^–– shall be calculated in accordance with the above formula for the obligor grade assigned to the obligor.
280	RWA++		Institutions shall calculate and report RWA++ for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total portfolio and a country level. These portfolios are defined in Annex I, template 103 with the following portfolio ID, respectively: CORP_ALL_0086____Rx0 SMEC_ALL_0106____Rx0 SMER_ALL_0106____Rx0 MORT_ALL_0094____Rx0 RWA++ shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the application of the PD++ values instead of the institution's PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD++ shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 005 of Template C 08.02 of Annex I of Regulation (EU) No 680/2014 (cf. Q&A 2016_2782) shall be used (see Annex II of Regulation (EU) No 680/2014, C 08.01 column 010 and C 08.02 for instructions). For each obligor grade, p ⁺⁺ shall be the largest positive value satisfying the equation $p^{+ +} - Φ^{- 1} (q) \times \sqrt{\frac{p^{+ +} \times (1 - p^{+ +})}{n}} \leq {DR}_{5y}$ where, Φ^{– 1} the inverse function of the standard normal (cumulative) distribution; q the confidence level set at 90 %; DR₅ _y the default rate of the 5 latest years for the obligor grade, calculated as the simple average of five 1-year case-weighted default rates; n the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date. For each obligor, PD++ shall be equal to p ⁺⁺ , where p ⁺⁺ shall be calculated in accordance with the above formula for the obligor grade assigned to the obligor.

C 105.01 – Definition of internal models

Column	Label	Legal reference	Instructions
010	Internal model ID		The internal model ID assigned by the reporting institution shall be reported. This internal model ID is a row identifier that shall be unique for each row in the table.
020	Model name		The model name assigned by the reporting institution shall be reported.
030	IRBA Risk parameter		The IRB approach risk parameter shall be one of the following: (a) PD; (b) LGD; (c) CCF.
040	EAD	Column 110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The aggregate exposure value of the transactions in the scope of application of the specific model shall be reported.
050	EAD weighted average default rate for calibration		The 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.
060	Case weighted average default rate for calibration		The 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.
070	Long-run PD		The 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.
080	Cure rate defaulted asset		The cure rate defaulted asset shall be the percentage of defaulted outstanding that returns in ‘ non-defaulted ’ status over a 12 months period. An institution that does not calculate cure rates for a given model shall calculate a proxy for cure rates, in accordance with the definition provided. The institution shall report the use of a proxy to the competent authority. This information shall be completed only for LGD models.
090	Recovery rate for not cured defaults		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. An institution that does not have a specific recovery rate 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. This information shall be completed only for LGD models.
100	Recovery period for not cured defaults		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. It shall be expressed in number of days. 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. This information shall be completed only for LGD models.
110	Joint decision	Article 20(2)(a) of Regulation (EU) No 575/2013	The institution shall report whether or not a joint decision on prudential requirements does exist between the consolidating and the other (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.
120	Consolidating supervisor	Article 20 of Regulation (EU) No 575/2013	The country ISO code of the country of origin of the competent authority reponsible for the consolidated supervision of the institution using an IRB approach shall be reported.
130	RWA	Column 260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The risk-weighted exposure amount after applying the SME supporting factor for all transactions in the scope of application of the specific model shall be reported.

C 105.02 – Mapping of internal models to portfolios

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

C 105.03 – Mapping of internal models to countries

Column	Label	Legal reference	Instructions
010	Internal model ID	Column 010 of template 105.01	The internal model ID assigned by the reporting institution shall be reported. Where one internal model ID is associated with several countries, separate rows shall be reported for each combination of ‘Internal model ID’ and ‘Location of institution’. Columns 010 and 020 are a composite row identifier and together shall be unique for each row in the table.
020	Location of institution	Article 20 of Regulation (EU) No 575/2013	The 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).

F2ANNEX V MARKET RISK BENCHMARK INSTRUMENTS AND PORTFOLIOS

1. Common Instructions

Institutions shall apply all of the following:

(a)
Unless explicitly specified otherwise in the portfolio description, all positions shall be booked on 19 September 2018 . Once positions have been booked, each portfolio shall age for the duration of the benchmarking exercise. Furthermore, calculation shall be done under the assumptions that the institution does not take action to manage the portfolio in any way during the entire period of the exercise. Unless explicitly stated otherwise in the specifications for a particular portfolio, strike prices for options positions shall be determined relative to prices for the underlying, as observed at market close on Wednesday 19 September 2018 .
(b)
For the purposes of pre-benchmarking exercise validation, the valuation of each instrument shall be submitted to the institution's competent authority by Friday 5 October 2018 . By that day, the explanatory documents, accompanying the results, requested hereinafter, shall be delivered as well. Initial Market Valuation (IMV) means the determination of the value marked to market at the valuation day and time. The exact timing of the valuation shall be Wednesday 26 September 2018 , 17:30 CET (4.30 pm GMT).
(c)
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.
(d)
To the extent possible, counterparty credit risk and credit valuation adjustment ( ‘ CVA ’ ) risk shall be excluded when valuing the risks of the portfolios.
(e)
The 10-day 99 % Value at Risk ( ‘ VaR ’ ) shall be calculated on a daily basis. Stressed VaR ( ‘ sVaR ’ ) and the incremental risk charge ( ‘ IRC ’ ) may be calculated on a weekly basis. sVaR and IRC must be based on end-of-day prices for each Friday in the time window of the benchmarking exercise;
(f)
For each portfolio, provide results in the base currency of the instrument and of the portfolio (see below);
(g)
For transactions that include long positions in credit default swaps (CDS), institutions shall assume payment of an immediate up-front fee to enter the position as per the market standards and conventions. Treat the maturity date for all CDS as following conventional quarterly termination dates;
(h)
Where additional specifications are needed in order to carry out pricing calculations required for CDS positions, produce these in line with commonly used market standards and conventions;
(i)
Use the maturity date that ensures that the transaction is closest to the term-to-maturity specified, in line with market standards and conventions;
(j)
For material details of the instrument specification that are not explicitly stated in the document, provide the competent authority with a separate explanatory document accompanying the results and setting out the assumptions that you have used (e.g. day count convention and the choice of a tradable and liquid instrument, where permitted);
(k)
Where a bank is required to make assumptions beyond those specified here that it believes are relevant to the interpretation of its exercise results (e.g. close of business timing, coupon rolls, mapping against indices, etc.), it shall provide the competent authority with a description of them in a separate explanatory document accompanying the results;
(l)
The terms ‘ at the money ’ (ATM), ‘ out of the money ’ (OTM) and ‘ in the money ’ (ITM) refer to the relative position of the current or future price of a derivative's underlying asset with respect to its strike price ( ‘ moneyness ’ );
(m)
Treat all options as if they are traded over the counter (OTC), unless explicitly specified otherwise;
(n)
Follow the standard timing conventions for OTC options (i.e. expiry dates are the business day following a non-trading day). The time to maturity for an ‘ n-month ’ option is n months. If options expire on a non-trading day, adjust the expiry date per business date, in accordance with market standards and conventions;
(o)
Treat all OTC options as follows:
- as American for single name equities and commodities; and
- as European for equity indices, foreign exchange and swaptions;
(p)
Consider all OTC options as ‘ naked ’ , i.e. exclude the premium from the initial market valuation;
(q)
As regards the correlation trading portfolio (CTP), APR stands for ‘ all-price risk ’ in accordance with Article 377 of Regulation (EU) No 575/2013 (CRR). Institutions that are permitted to use the APR model for CTP must subsequently provide details of their most relevant assumptions and market standards and conventions as regards CTP instruments nos. 56 and 57, including the hedge ratios they have calculated to make the CTP instruments CS01 neutral at inception (i.e. the booking date). They must deliver this explanatory note to the competent authority by Friday 5 October 2018 ;
(r)
For the positions denominated in a common base currency, but composed by one or more instruments denominated in a different currency, convert the result provided into the reported base currency using the appropriate foreign exchange spot rate as for standard market practice, and explain this in the accompanying document;
(s)
When booking all positions, follow appropriate market conventions where not specified otherwise. Hereinafter, ‘ long ’ means buy and ‘ short ’ means sell. For CDS, ‘ long ’ means buy protection and ‘ short ’ means sell protection;
(t)
Where an instrument or the underlying instrument for a derivative is subject to a corporate action that affects this benchmarking exercise (e.g. a call from the issuer or a default or similar action), exclude it from the portfolio together with any related CDS or option;
(u)
‘ On-the-run ’ , referring to an index series, means the most liquid and tradable series of that specific index available on the market. Report this choice along with the related results in the appropriate text cell in the template and in the accompanying explanatory document;
(v)
The euro interbank offered rate (EURIBOR) is the rate calculated by the European Money Markets Institute at different maturities for euro interbank term deposit. The London interbank offered rate (LIBOR) is the rate calculated by the Intercontinental Exchange at different maturities for interbank term deposit in different currencies;
(w)
Compute risk measures for the portfolios, along with the present value, from 21 January to 1 February 2019 and submit the results to your competent authority by 28 February 2019 ;
(x)
Provide IMV for each instrument, and risk measures (and present value 8 where applicable) for each portfolio, both individual and aggregated. Report all results in the base currency;
(y)
Credit-spread portfolios must be considered only by institutions that have been granted permission to model specific risk. Interest-rate portfolios, even if specific risk is part of certain instruments and individual portfolios, must also be modelled by ‘ partial use ’ institutions;
(z)
Submit the results for the aggregated portfolios only if you have submitted the results of all components.

2. Instruments

Provide IMV, in line with the common instructions, of the following financial instruments 9 :

EQUITY

1.

Long EUROSTOXX 50 index (Ticker: SX5E) Future (1 point equals EUR 10 movement). Expiry — 28 June 2019 . Base currency EUR;

2.

Long 10000 BAYER (Ticker: BAYN GR) shares. Base currency EUR;

3.

Short future BAYER (Ticker: BAYN GR) (1 contract = 100 shares). Expiry — 28 June 2019 . Base currency EUR;

4.

Short future, PEUGEOT PSA (Ticker: UG FP) (1 contract = 100 shares). Expiry — 28 June 2019 . Base currency EUR;

5.

Short future, ALLIANZ (Ticker: ALV GR) (1 contract = 100 shares). Expiry — 28 June 2019 . Base currency EUR;

6.

Short future BARCLAYS (Ticker: BARC LN) (1 contract = 100 shares). Expiry — 28 June 2019 . Base currency GBP;

7.

Short future DEUTSCHE BANK (Ticker: DBK GR) (1 contract = 100 shares). Expiry — 28 June 2019 . Base currency EUR;

8.

Short future CRÉDIT AGRICOLE (Ticker: ACA FP) (1 contract = 100 shares). Expiry — 28 June 2019 . Base currency EUR;

9.

Long call option. Underlying BAYER (Ticker: BAYN GR), ATM (1 contract = 100 shares). Expiry — 28 June 2019 . Base currency EUR;

10.

Short call option. Underlying BAYER (Ticker: BAYN GR), ATM (1 contract = 100 shares). Expiry — 31 December 2019 . Base currency EUR;

11.

Long call option. Underlying PFIZER (Ticker PFE US) 10 % OTM, (1 contract = 100 shares). Expiry — 28 June 2019 . Base currency USD;

12.

Long put option. Underlying PFIZER (Ticker PFE US) 10 % OTM, (1 contract = 100 shares). Expiry — 28 June 2019 . Base currency USD;

13.

Long call option. Underlying BAYER (Ticker: BAYN GR), 10 % OTM (1 contract = 100 shares). Expiry — 28 June 2019 . Base currency EUR;

14.

Short call option. Underlying BAYER (Ticker: BAYN GR), 10 % OTM (1 contract = 100 shares). Expiry — 28 June 2019 . Base currency EUR;

15.

Long call option. Underlying AVIVA (Ticker: AV/LN), 10 % OTM (1 contract = 100 shares). Expiry — 31 December 2019 . Base currency GBP;

16.

Long put option. Underlying AVIVA (Ticker: AV/LN), 10 % OTM (1 contract = 100 shares). Expiry — 31 December 2019 . Base currency GBP;

17.

Short future NIKKEI 225 (Ticker NKY) (1 point equals JPY 10). Expiry — 28 June 2019 . Base currency JPY.

18.Auto-callable equity product

Long position

Booking on 19 September2018
Notional amount ( ‘ capital ’ ) 1million

Underlying: Index Euro STOXX 50® (Ticker: SX5E)

Currency: EUR

Maturity: 5 years

Annual payout and annual observation ( 19.9.2019 , 18.9.2020 , 20.9.2021 , 19.9.2022 , 19.9.2023 ). Payout occurs 10 days after reference date.

Coupon 6 %

Autocall level ( ‘ initial value ’ ): end of day 17 October 2017

Barrier coupon payment 60 % of autocall level

Protection barrier: 55 % of autocall level

Capital not guaranteed if index is below the protection barrier (capital returned on year 5 will be pro rata if the level is below the protection barrier: for instance, if the SX5E = 40 % of its initial level, the capital returned is 40 %);
If SX5E >= 60 % (barrier coupon) of initial value at the end of any year, the coupon is paid out 6 %;
If SX5E >= 100 % of initial value at the end of any year, the product is called and the payout is the coupon plus the capital (100 %);
If SX5E < 60 % (barrier coupon) of initial value at the end of any year, no coupon is paid;
If SX5E < 55 % (protection barrier) of initial value at the end of year 5, the capital is only paid pro rata . If SX5E >= 55 % (protection barrier) of initial value at the end of year 5, the capital is fully paid.

IR

19.

Five-year IRS EURO — receive fixed rate and pay floating rate. Fixed leg: receive annually. Floating rate: three-month EURIBOR, pay quarterly. Notional: EUR 10 million. Roll convention and calendar: standard. Effective date at the booking date (i.e. rates to be used are those at the market close on booking date). Maturity: 21 September 2023 . Base currency EUR;

20.2-year EUR swaption on five-year interest rate swap. Notional EUR 10 million.

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, it will receive the fixed rate, while the institution will receive the floating rate.

Swaption with maturity of two years ( 21 September 2020 ) on IRS defined in instrument no. 19.

Maturity of the underlying swap: 21 September 2025 .

Premium paid at the booking date ( 21 September 2018 ). Cash settled.

The strike price is based on the IRS rate defined in instrument no. 19 (i.e. the strike price is the fixed rate as defined in instrument no. 19).

Base currency EUR;

21.

Five-year IRS USD. Receive fixed rate and pay floating rate. Fixed rate: receive annually. Floating rate: three-month USD LIBOR rate, pay quarterly. Notional USD10 million. Roll convention and calendar: standard. Effective date same as booking date (i.e. rates to be used are those at the market close on the booking date). Maturity date: 21 September 2023 . Base currency USD;

22.

Two-year IRS GBP. Receive fixed rate and pay floating rate. Fixed rate: receive annually. Floating rate: three-month GBP LIBOR rate, pay quarterly. Notional GBP10 million. Roll convention and calendar: standard. Effective date same as booking date (i.e. rates to be used are those at the market close on the booking date). Maturity date: 21 September 2020 . Base currency GBP;

23.Long position on ‘cap and floor’ 10-year UBS AG (Ticker: UBSG VX) notes.

Notional (principal) amount: USD 1 million.

Floating rate notes are senior unsecured obligations of UBS AG.

The notes will bear interest at a per annum rate equal to USD three-month LIBOR plus 1,5 % per annum (‘floating interest rate’), subject to a maximum rate of 7,5 % per annum (‘interest rate cap’) and a minimum rate of 2,5 % per annum (‘interest rate floor’);
Any payment on the notes, including interest and principal at maturity, is subject to the creditworthiness of UBS AG. Institutions are asked to use an appropriate discounting curve, which they explain in the explanatory note;
Income: the notes will pay interest quarterly at a rate equal to the floating interest rate, provided:
1. i.
  if on any coupon determination date, the floating interest rate is below the interest rate floor, the applicable interest rate for the related interest period will be equal to the interest rate floor; and
2. ii.
  if on any coupon determination date, the floating interest rate is above the interest rate cap, the applicable interest rate for the related interest period will be equal to the interest rate cap.

Interest payment amount	The amount of interest to be paid on the notes for an interest period is 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 date	19 September 2018
Interest payment dates	Quarterly, on the 19th day of December, March, June and September, commencing on 19 December 2018, during the term of the notes (subject to adjustments, as described therein).
Maturity date	19 September 2028
Currency	USD
Daycount basis	30/360
Business day convention	Following 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 US dollars are transacted in the London interbank market.

24.

Long EUR5 million (ISIN DE0001135085). Expiry 4 July 2028 . Base currency EUR;

25.

Short EUR2 million (ISIN DE0001102317). Expiry 15 May 2023 . Base currency EUR;

26.

Long EUR5 million (ISIN IT0005246134). Expiry 15 May 2028 . Base currency EUR;

27.

Long EUR1 million (ISIN IT0005172322). Expiry 15 March 2023 . Base currency EUR;

28.

Long EUR5 million (ISIN ES00000124C5). Expiry 31 October 2028 . Base currency EUR;

29.

Short EUR5 million (ISIN FR0011317783). Expiry 25 October 2027 . Base currency EUR;

30.

Short EUR10 million (ISIN DE0001102390). Expiry 15 February 2026 . Base currency EUR;

31.

Long GBP5 million (ISIN GB0002404191). Expiry 7 December 2028 . Base currency GBP;

32.

Long EUR 5 million (ISIN PTOTETOE0012). Expiry 21 July 2026 . Base currency EUR;

33.

Short USD10 million (ISIN US912828V236). Expiry 31 December 2023 . Base currency USD;

34.

Long BRAZIL GOVT USD 5 million (ISIN US105756BU30). Expiry 5 January 2023 . Base currency USD;

35.

Long MEXICO GOVT USD 5 million (ISIN US91086QBC15). Expiry 2 October 2023 . Base currency USD;

36.

10-year IRS EURO — receive floating rate and pay fixed rate. Fixed leg: pay annually. Floating rate: three-month EURIBOR, receive quarterly. Notional: EUR 10 million Roll convention and calendar: standard. Effective date at the booking date (i.e. rates to be used are those at the market close on booking date). Maturity: 21 September 2028 . Base currency EUR;

37.

Five-year IRS EURO — receive floating rate and pay fixed rate. Fixed leg: pay annually. Floating rate: six-month EURIBOR, receive quarterly. Notional: EUR 10 million. Roll convention and calendar: standard. Effective date at the booking date (i.e. rates to be used are those at the market close on booking date). Maturity: 21 September 2023 . Base currency EUR.

FX

38.

Short six-month EUR/USD forward contract (i.e. long USD short EUR). Cash settled. Notional USD 10 million purchased at EUR/USD ECB reference spot rate as of end of booking date. Base currency EUR;

39.

Long six-month EUR/GBP forward contract (i.e. long GBP short EUR). Cash settled. Notional GBP 10 million purchased at EUR/GBP ECB reference spot rate as of end of booking date. Base currency EUR;

40.

Long million USD 1 million at EUR/USD ECB reference spot rate as of end of booking date. Cash position. Base currency EUR;

41.

Long call option. EUR10 million. 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 booking date. Expiry: 19 September 2019 . Base currency EUR;

42.

Long call option. EUR10 million. 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 booking date. Expiry: 19 September 2019 . Base currency EUR;

43.

Short call option. EUR10 million. Equivalent amount based on EUR/USD ECB reference spot rate as of end of booking date. Strike price: 100 % of EUR/USD ECB reference rate as of end of booking date. Expiry: 19 September 2019 . Base currency EUR;

44.

Short call option. EUR 10 million. Equivalent amount based on EUR/GBP ECB reference spot rate as of end of booking date. Strike price: 110 % of EUR/GBP ECB reference rate as of end of booking date. Expiry: 19 September 2019 . Base currency EUR;

45.

Long put option. EUR 10 million. Equivalent amount based on EUR/JPY ECB reference spot rate as of end of booking date. Strike price: 110 % of EUR/JPY ECB reference rate as of end of booking date. Expiry: 19 September 2019 . Base currency EUR;

46.

Short put option. EUR 10 million. Equivalent amount based on EUR/AUD ECB reference spot rate as of end of booking date. Strike price: 110 % of EUR/AUD ECB reference rate as of end of booking date. Expiry: 19 September 2019 . Base currency EUR;

47.Five-year mark to market (MtM) cross-currency EUR/USD SWAP. Receive USD and pay EUR.

EUR: three-month EURIBOR, pay quarterly

USD: three-month USD LIBOR rate, receive quarterly

Notional EUR10 million adjusted on a quarterly basis

Roll convention and calendar: standard.

Effective date same as booking date.

Maturity: 19 September 2023 .

Base currency EUR;

COMMODITIES

48.

Long 3 500 000 six-month ATM London gold forwards contracts (1 contract = 0.001 troy ounces, notional: 3 500 troy ounces). Base currency USD. Cash settlement;

49.

Short 3 500 000 12-month ATM London gold forwards contracts (1 contract = 0.001 troy ounces, notional: 3 500 troy ounces). Base currency USD. Cash settlement;

50.

Long 30 contracts of six-month WTI crude oil call option with strike equals 12-month end-of-day forward price on booking date (1 contract = 1 000 barrels. Total notional 30 000 barrels). Base currency USD. Cash settlement;

51.

Short 30 contracts of six-month WTI Crude Oil Put option with strike equals 12-month end-of-day forward price on booking date (1 contract = 1 000 barrels. Total notional 30 000 barrels). Base currency USD. Cash settlement;

CREDIT SPREAD 10

52.

Long (i.e. buy protection) EUR 1 million CDS on Portugal. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023 . Base currency USD;

53.

Long (i.e. buy protection) 1 million USD CDS on Italy. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023 . Base currency USD;

54.

Short (i.e. sell protection) USD 1 million CDS on Spain. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023 . Base currency USD;

55.

Long (i.e. buy protection) 1 million CDS on Mexico. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023 . Base currency USD;

56.

Long (i.e. buy protection) USD 1 million CDS on Brazil. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023 . Base currency USD;

57.

Long (i.e. buy protection) USD 1 million CDS on UK. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023 . Base currency USD;

58.

Short (i.e. sell protection) EUR 1 million CDS on AXA (Ticker CS FP). Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023 . Base currency EUR;

59.

Long (i.e. buy protection) EUR 1 million CDS on AXA (Ticker CS FP). Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2021 . Base currency EUR;

60.

Short (i.e. sell protection) GBP 1 million CDS on Aviva (Ticker AV/LN). Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023 . Base currency GBP;

61.

Long (i.e. buy protection) GBP 1 million CDS on Aviva (Ticker AV/LN). Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2021 . Base currency GBP;

62.

Short (i.e. Sell protection) EUR 1 million CDS on Vodafone (Ticker VOD LN). Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023 . Base currency EUR;

63.

Short (i.e. sell protection) EUR 1 million CDS on ENI SpA (Ticker ENI IM). Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023 . Base currency EUR;

64.

Short (i.e. sell protection) USD 1 million CDS on Eli Lilly (Ticker LLY US). Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023 . Base currency USD;

65.

Short (i.e. sell protection) EUR 1 million CDS on Unilever (Ticker UNA NA). Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023 . Base currency EUR;

66.

Long (i.e. buy protection) EUR 1 million CDS on Total SA (Ticker FP FP). Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023 . Base currency EUR;

67.

Long (i.e. buy protection) EUR 1 million CDS on Volkswagen Group (Ticker VOW GR). Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023 . Base currency EUR;

68.

Long position on Turkey Govt. notes USD 1 million. Maturity: 22 March 2024 (ISIN US900123CF53). Base currency USD;

69.

Long (i.e. buy protection) USD 1 million CDS on Turkey. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023 . Base currency USD;

70.

Long position on AXA notes EUR 1 million Maturity 29 January 2024 (ISIN FR0011524248). Base currency EUR;

71.

Long position on Volkswagen Group notes EUR 1 million Maturity 2 October 2023 (ISIN XS1586555861). Base currency EUR;

72.

Short EUR 1 million Volkswagen Group notes. Maturity 30 March 2021 (ISIN XS1586555606). Base currency EUR;

73.

Long position on Total SA notes EUR 1 million. Maturity: 15 March 2023 (ISIN XS0830194501). Base currency EUR;

CTP

74.

Short position in spread hedged Super Senior tranche of iTraxx Europe index on-the-run series. Attachment point: 25 %; detachment point: 100 %. Notional EUR 5 million. Maturity: five years. Running spread 100 bps. The portfolio is constructed by hedging the index tranche with the iTraxx Europe index on-the-run series to achieve a zero CS01 as of booking date. No further re-hedging is required. Base currency EUR;

75.

Long (i.e. buy protection) USD 1 million first to default basket swap on {Brazil, Mexico and Turkey}. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023 . Base currency USD.

3. Individual portfolios

Provide the required risk measures, along with the present value, of the following individual portfolios:

Portfolio	Combination of instruments Instrument (as stated by its number in section 2 – quantity of each instrument	Base currency	Risk measures required
EQUITY
1	1 – 1 000 instruments	EUR	VaR and sVaR
2	1 – 1 000 instruments 1 – 1 000 instruments 1 – 1 000 instruments	EUR	VaR and sVaR
3	1 – 100 instruments 1 – 100 instruments	EUR	VaR and sVaR
4	1 – 100 instruments 1 – 100 instruments	GBP	VaR and sVaR
5	1 – 1 000 instruments	JPY	VaR and sVaR
6	1 – 500 instruments 1 – 500 instruments	EUR	VaR and sVaR
7	18 – 1 instrument	EUR	VaR and sVaR
8	1 – 1 000 instruments 1 – 1 000 instruments	USD	VaR and sVaR
9	2 – 1 instruments 1 – 100 instruments	EUR	VaR and sVaR
10	6 – 1 000 instruments 1 – 1 000 instruments 1 – 1 000 instruments	EUR	VaR and sVaR
IR
11	1 – 1 instrument	EUR	VaR and sVaR
12	20 – 1 instrument	EUR	VaR and sVaR
13	1 – 1 instrument	USD	VaR and sVaR
14	1 – 1 instrument	GBP	VaR and sVaR
15	23 – 1 instrument	USD	VaR; sVaR; IRC
16	1 – 1 instrument 1 – 1 instrument	EUR	VaR; sVaR; IRC
17	1 – 1 instrument 1 – 1 instrument 1 – 1 instrument	EUR	VaR; sVaR; IRC
18	1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument	EUR	VaR; sVaR; IRC
19	1 – 1 instrument 1 – 1 instrument	EUR	VaR and sVaR;
20	1 – 1 instrument 1 – 1 instrument	EUR	VaR and sVaR;
21	1 – 1 instrument 1 – 1 instrument	EUR	VaR and sVaR;
22	1 – 1 instrument 20 – 1 instrument	EUR	VaR and sVaR;
23	1 – 1 instrument	GBP	VaR; sVaR; IRC
24	1 – 1 instrument 1 – 1 instrument 1 – 1 instrument	USD	VaR; sVaR; IRC
25	1 – 1 instrument 1 – 1 instrument	USD	VaR and sVaR
26	1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument	EUR	VaR; sVaR; IRC
FX
27	1 – 1 instrument 1 – 1 instrument	EUR	VaR and sVaR
28	1 – 1 instrument 1 – 1 instrument	EUR	VaR and sVaR
29	1 – 1 instrument 1 – 1 instrument 1 – 1 instrument	EUR	VaR and sVaR
30	1 – 1 instrument 1 – 1 instrument	EUR	VaR and sVaR
31	1 – 1 instrument	EUR	VaR and sVaR
32	47 – 1 instrument	EUR	VaR and sVaR
COMM.
33	1 – 1 instrument 1 – 1 instrument	USD	VaR and sVaR
34	1 – 1 instrument 1 – 1 instrument	USD	VaR and sVaR
35	1 – 1 instrument 1 – 1 instrument	USD	VaR and sVaR
Credit Spread
36	1 – 1 instrument 1 – 1 instrument 1 – 1 instrument	USD	VaR; sVaR; IRC
37	1 – 1 instrument 1 – 1 instrument	USD	VaR; sVaR; IRC
38	1 – 1 instrument 1 – 1 instrument	EUR	VaR; sVaR; IRC
39	1 – 1 instrument 1 – 1 instrument	USD	VaR; sVaR; IRC
40	1 – 1 instrument 1 – 1 instrument	GBP	VaR; sVaR; IRC
41	1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument	EUR	VaR; sVaR; IRC
42	1 – 1 instrument 1 – 1 instrument	USD	VaR; sVaR; IRC
43	1 – 1 instrument 1 – 1 instrument 1 – 1 instrument	EUR	VaR; sVaR; IRC
44	1 – 1 instrument 1 – 1 instrument	EUR	VaR; sVaR; IRC
45	1 – 1 instrument 1 – 1 instrument	EUR	VaR; sVaR; IRC
46	1 – 1 instrument 1 – 1 instrument	EUR	VaR; sVaR; IRC
47	1 – 1 instrument	USD	VaR; sVaR; IRC
48	1 – 1 instrument 1 – 1 instrument 1 – 1 instrument	EUR	VaR; sVaR; IRC
49	1 – 1 instrument 1 – 1 instrument	USD	VaR; sVaR; IRC
50	1 – 1 instrument 1 – 1 instrument	EUR	VaR; sVaR; IRC
51	1 – 5 instruments 1 – 1 instrument	USD	VaR; sVaR; IRC
52	1 – 5 instruments 1 – 1 instrument	USD	VaR; sVaR; IRC
53	1 – 5 instruments 1 – 1 instrument 1 – 5 instruments 1 – 1 instrument	USD	VaR; sVaR; IRC
CTP
54	1 – 1 instrument	EUR	VaR; sVaR; APR
55	1 – 1 instrument	USD	VaR; sVaR; APR
56	1 – 5 instruments 1 – 5 instruments 1 – 1 instrument 1 – 1 instrument	USD	VaR; sVaR; APR

4. Aggregated portfolios

Provide the required risk measures, along with the present value, of the following financial aggregated portfolios:

Aggreg. portfolio	Description	Combination of individual portfolios (individual portfolios as stated by the numbers in section 2	Base currency	Risk measures requested
57	ALL-IN no-CTP	1, 2, 6, 7, 9, 11, 12, 18, 21, 27, 28, 30, 31, 32, 33, 34, 38, 41, 43	EUR	VaR; sVaR; IRC
58	EQUITY cumulative	1, 2, 6, 7, 9	EUR	VaR and sVaR
59	IR cumulative	11, 12, 18, 21	EUR	VaR and sVaR
60	FX cumulative	27, 28, 30, 31, 32	EUR	VaR and sVaR
61	Commodity cumulative	33, 34	USD	VaR and sVaR
62	Credit spread cumulative	38, 41, 43	EUR	VaR; sVaR; IRC
63	CTP cumulative EUR	54, 56	EUR	VaR; sVaR; APR

F2ANNEX VI RESULTS SUPERVISORY BENCHMAR PORTFOLIOS

TEMPLATE RELATED INSTRUCTIONS

C 106.00 – Initial Market Valuation and exclusion justification

Column	Label	Legal reference	Instructions
010	Instrument number	Section 2 of Annex V	The instrument number taken from Annex V shall be reported.
020	Instrument Modelled for VaR and sVaR (YES/NO)		Either YES or NO shall be reported.
030	Instrument Modelled for IRC (YES/NO)		Either YES or NO shall be reported.
040	Instrument Modelled for Correlation Trading (YES/NO)		Either YES or NO shall be reported.
050	Rationale for Exclusion	Article 4 of Commission Implementing Regulation (EU) 2016/2070	One of the following shall be reported: (a) Model not authorised by Regulator; (b) Instrument or underlying not authorised internally; (c) Underlying or modelling feature not contemplated internally; (d) Other rationale for exclusion. Please, explain that in column 060.
060	Free text box		An institution may provide any additional information in this column.
070	Initial Market Valuation		The mark-to-market value of each instrument on 26 September 2018 at 5:30 pm CET The cell shall be left blank if the institution does not wish to provide an IMV for a certain portfolio (i.e. zero values shall be reported if and only if the result of the calculation is actually zero).

C107.01 – VaR & sVaR Non-CTP. Details

Row	Label	Legal reference	Instructions
010	Methodology		One of the following shall be reported in column 010: (a) Historical Simulation; (b) Montecarlo; (c) Parametric; (d) Combination/Other (please specify). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (d) was selected in column 010, the institution is expected to provide details in this column.
020	Computation of 10-day Horizon	Article 365(1) of Regulation (EU) No 575/2013	One of the following shall be reported in column 010: (a) 1 day re-scaled to 10 days; (b) 10 days with overlapping periods; (c) 10 days other Methodology. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
030	Length of observation period	Article 365(1)(d) of Regulation (EU) No 575/2013	One of the following shall be reported in column 010: (a) 1 year; (b) more than 1 and up to 2 years; (c) more than 2 and up to 3 years; (d) more than 3 years. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
040	Data Weighting	Article 365(1)(d) of Regulation (EU) No 575/2013	One of the following shall be reported in column 010: (a) Unweighted; (b) Weighted; (c) The higher of the metrics in points (a) and (b). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
050	Backtesting add-on	Article 366(2) of Regulation (EU) No 575/2013	Backtesting add-on means the addend between 0 and 1 in accordance with Table 1 in Art. 366 (2) CRR Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
060	VaR Regulatory add-on	Article 366(2) of Regulation (EU) No 575/2013 (‘at least 3’)	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 Art. 366 (2) CRR. The multiplication factor is given by the sum of 3 plus the backtesting add-on. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
070	Methodology		One of the following shall be reported in column 010: (a) Historical Simulation; (b) Montecarlo; (c) Parametric; (d) Combination/Other (please specify). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (d) was selected in column 010, the institution is expected to provide details in this column.
080	Computation of 10 day Horizon	Article 365(1) of Regulation (EU) No 575/2013	One of the following shall be reported in column 010: (a) 1 day re-scaled to 10 days; (b) 10 days with overlapping periods; (c) 10 days other Methodology. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
090	sVaR Regulatory add-on	Article 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 Art. 366 (2) CRR. The multiplication factor is given by the sum of 3 plus the backtesting add-on. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
100	Stressed VaR (i.e. sVaR) period	Article 365(2) of Regulation (EU) No 575/2013	One of the following shall be reported in column 010: (a) Daily computation of the stressed VaR calibrated to one continuous 12-month period starting from; (b) Weekly computation of the stressed VaR calibrated to one continuous 12-month period starting from; (c) Daily computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 010 of C107.02 starting from; (d) Weekly computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 010 of C107.02 starting from; (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). Column 020 shall be used by the institution to provide the starting date (e.g. dd/mm/yyyy) in case of options (a) or (b) given in column 010; the starting dates (e.g. dd/mm/yyyy) used for each stressed VaR run in case of options (c) or (d) given in column 010; and, to provide more clarification on the 12-month period used for each stressed VaR run in case of options (e), (f) and (g) given in column 010.

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

Instructions concerning sheets (z-axis)

Label	Legal reference	Instructions
Portfolio	Section 1 of Annex V	The portfolio (both individual and aggregated) number taken from Annex V shall be reported.

Column	Label	Legal reference	Instructions
010	Date		VaR, sVaR and Present Value (PV) results shall be reported at the following dates: (a) 21/1/2019 ; (b) 22/1/2019 ; (c) 23/1/2019 ; (d) 24/1/2019 ; (e) 25/1/2019 ; (f) 28/1/2019 ; (g) 29/1/2019 ; (h) 30/1/2019 ; (i) 31/1/2019 ; (j) 1/2/2019 .
020	VaR	Article 365 of Regulation (EU) No 575/2013	The 10-day regulatory VaR obtained for each portfolio, without applying the ‘ 3+ ’ regulatory multiplication factor, shall be reported. Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not calculate a VaR on the date provided in column 010 (i.e. zero values shall be reported if and only if the result of the calculation is actually zero).
030	sVaR	Article 365 of Regulation (EU) No 575/2013	The 10-day regulatory sVaR obtained for each portfolio, without applying the ‘ 3+ ’ regulatory multiplication factor, shall be reported. Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not calculate a sVaR on the date provided in column 010 (i.e. zero values shall be reported if and only if the result of the calculation is actually zero).
040	PV		The present value (PV) for each portfolio shall be reported. Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not calculate a PV on the date provided in column 010 (i.e. zero values shall be reported if and only if the result of the calculation is actually zero).

C 108.00 – Profit & Loss Time Series

This template shall be filled only by institutions that calculate VaR using historical simulation.

Instructions concerning sheets (z-axis)

Label	Legal reference	Instructions
Portfolio	Section 1 of Annex V	The Portfolio number (both individual and aggregated) taken from Annex V shall be reported.

Column	Label	Legal reference	Instructions
010	Date	Article 365(1)(d) of Regulation (EU) No 575/2013	On each business day, according to the calendar in the institution's jurisdiction, institutions shall provide the P&L series used to calculate VaR in C107.02 column 010 with a minimum of 250 observations back from 1/2/2019
020	Daily P&L		Institutions that calculate VaR using Historical Simulation shall fill the full length historic series used by the institution, with a minimum of one-year data series, with the portfolio valuation change (i.e. daily P&L) produced on each business day (i.e. by comparing the end-of-day valuation on each business day reported in column 010 with the end-of-day valuation on the previous business day). In case a day is a bank holiday in the relevant jurisdiction, this cell shall be left blank (i.e. a zero P&L shall be reported if and only if there really was no change in the hypothetical value of the portfolio on a given business day).

Column

Label

Legal reference

Instructions

010

Date

Article 365(1)(d) of Regulation (EU) No 575/2013

On each business day, according to the calendar in the institution's jurisdiction, institutions shall provide the P&L series used to calculate VaR in C107.02 column 010 with a minimum of 250 observations back from 1/2/2019

020

Daily P&L

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

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

C 109.01 – IRC. Details of the Model

Row	Label	Legal reference	Instructions
010	Number 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; (b) 2; (c) More than 2. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
020	Source of LGDs	EBA/GL/2012/3	The source of LGDs at the overall IRC Model level shall be reported. The answer shall be one of the following: (a) Market Convention; (b) LGD used in IRB; (c) Other (please specify). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (c) was selected in column 010, the institution is expected to provide details in this column.

Row

Label

Legal reference

Instructions

010

Number 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;
(b)
2;
(c)
More than 2.

Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.

020

Source of LGDs

EBA/GL/2012/3

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

(a)
Market Convention;
(b)
LGD used in IRB;
(c)
Other (please specify).

Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (c) was selected in column 010, the institution is expected to provide details in this column.

C 109.02 – IRC. Details by Portfolio

Instructions concerning sheets (z-axis)

Label	Legal reference	Instructions
Portfolio	Section 1 of Annex V	The portfolio number (both individual and aggregated) taken from Annex V, only for those portfolios where IRC is requested, shall be reported.

Row	Label	Legal reference	Instructions
10	Liquidity Horizon	Article 374(5) of Regulation (EU) No 575/2013 and EBA/GL/2012/3	The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following: (a) 3 months; (b) 3 to 6 months; (c) 6 to 9 months; (d) 9 to 12 months.
20	Source of PDs	EBA/GL/2012/3	The source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following: (a) Rating Agencies; (b) IRB; (c) Market implied; (d) Other (please specify). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (d) was selected in column 010, the institution is expected to provide details in this column 020.
30	Source of transition matrices	EBA/GL/2012/3	The source of transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following: (a) Rating Agencies; (b) IRB; (c) Market implied; (d) Other (please specify). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (d) was selected in column 010, the institution is expected to provide details in this column 020.

Row

Label

Legal reference

Instructions

Liquidity Horizon

Article 374(5) of Regulation (EU) No 575/2013 and EBA/GL/2012/3

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

(a)
3 months;
(b)
3 to 6 months;
(c)
6 to 9 months;
(d)
9 to 12 months.

Source of PDs

EBA/GL/2012/3

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

(a)
Rating Agencies;
(b)
IRB;
(c)
Market implied;
(d)
Other (please specify).

Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (d) was selected in column 010, the institution is expected to provide details in this column 020.

Source of transition matrices

EBA/GL/2012/3

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

(a)
Rating Agencies;
(b)
IRB;
(c)
Market implied;
(d)
Other (please specify).

C 109.03 – IRC. Amount by Portfolio/Date

Instructions concerning sheets (z-axis)

Label	Legal reference	Instructions
Portfolio	Section 1 of Annex V	The portfolio (both individual and aggregated) number taken from Annex V, only for those portfolios where IRC is requested, shall be reported.

Column	Label	Legal reference	Instructions
010	Date		IRC shall be reported at the following dates: (a) 21/1/2019 ; (b) 22/1/2019 ; (c) 23/1/2019 ; (d) 24/1/2019 ; (e) 25/1/2019 ; (f) 28/1/2019 ; (g) 29/1/2019 ; (h) 30/1/2019 ; (i) 31/1/2019 ; (j) 1/2/2019 .
020	IRC	Articles 372 to 376 of Regulation (EU) No 575/2013 and EBA/GL/2012/3	The regulatory IRC obtained for each portfolio shall be reported. Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not calculate an IRC on the date reported in column 010 (i.e. zero values shall be reported if and only if the result of the calculation is actually zero).

Column

Label

Legal reference

Instructions

010

Date

IRC shall be reported at the following dates:

(a)
21/1/2019 ;
(b)
22/1/2019 ;
(c)
23/1/2019 ;
(d)
24/1/2019 ;
(e)
25/1/2019 ;
(f)
28/1/2019 ;
(g)
29/1/2019 ;
(h)
30/1/2019 ;
(i)
31/1/2019 ;
(j)
1/2/2019 .

020

IRC

Articles 372 to 376 of Regulation (EU) No 575/2013 and EBA/GL/2012/3

The regulatory IRC obtained for each portfolio shall be reported.

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

C 110.01 – CT. Details of the Model.

Row	Label	Legal reference	Instructions
010	Number of modelling factors	Article 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; (b) 2; (c) More than 2. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
020	Source of LGDs	Article 377 of Regulation (EU) No 575/2013	The source of LGDs at the overall Correlation Trading Model level shall be reported. The answer shall be one of the following: (a) Market Convention; (b) LGD used in IRB; (c) Other (please specify). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (c) was selected in column 010, the institution is expected to provide details in this column.

Row

Label

Legal reference

Instructions

010

Number of modelling factors

Article 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;
(b)
2;
(c)
More than 2.

Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.

020

Source of LGDs

Article 377 of Regulation (EU) No 575/2013

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

(a)
Market Convention;
(b)
LGD used in IRB;
(c)
Other (please specify).

C 110.02 – CT. Details by Portfolio.

Instructions concerning sheets (z-axis)

Label	Legal reference	Instructions
Portfolio	Annex V	The portfolio (both individual and aggregated) number taken from Annex V, only for those portfolios where APR is requested, shall be reported.

Row	Label	Legal reference	Instructions
010	Liquidity Horizon	Article 377(2) of Regulation (EU) No 575/2013	The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following: (a) 3 months; (b) 3 to 6 months; (c) 6 to 9 months; (d) 9 to 12 months.
020	Source of PDs	Article 377 of Regulation (EU) No 575/2013	The source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following: (a) Rating Agencies; (b) IRB; (c) Market implied; (d) Other (please specify). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (d) was selected in column 010, the institution is expected to provide details in this column 020.
030	Source of transition matrices	Article 377 of Regulation (EU) No 575/2013	The source of the transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following: (a) Rating Agencies; (b) IRB; (c) Market implied; (d) Other (please specify). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (d) was selected in column 010, the institution is expected to provide details in this column 020.

Row

Label

Legal reference

Instructions

010

Liquidity Horizon

Article 377(2) of Regulation (EU) No 575/2013

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

(a)
3 months;
(b)
3 to 6 months;
(c)
6 to 9 months;
(d)
9 to 12 months.

020

Source of PDs

Article 377 of Regulation (EU) No 575/2013

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

(a)
Rating Agencies;
(b)
IRB;
(c)
Market implied;
(d)
Other (please specify).

030

Source of transition matrices

Article 377 of Regulation (EU) No 575/2013

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

(a)
Rating Agencies;
(b)
IRB;
(c)
Market implied;
(d)
Other (please specify).

C 110.03 – CT. APR by Portfolio/Date

Instructions concerning sheets (z-axis)

Label	Legal reference	Instructions
Portfolio	Section 3 of Annex V	The portfolio (both individual and aggregated) number taken from Annex V, only for those portfolios where APR is requested, shall be reported

Column	Label	Legal reference	Instructions
010	Date	Article 377 of Regulation (EU) No 575/2013	All price risk ( ‘ APR ’ ) shall be reported at the following dates: (a) 21/1/2019 ; (b) 22/1/2019 ; (c) 23/1/2019 ; (d) 24/1/2019 ; (e) 25/1/2019 ; (f) 28/1/2019 ; (g) 29/1/2019 ; (h) 30/1/2019 ; (i) 31/1/2019 ; (j) 1/2/2019 .
60	APR	Article 377 of Regulation (EU) No 575/2013	The results obtained by applying the regulatory Correlation Trading Model to each portfolio shall be reported. Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not use a Correlation Trading Model on the date provided in column 010 (i.e. zero values shall be reported if and only if the result of the calculation is actually zero).

Column

Label

Legal reference

Instructions

010

Date

Article 377 of Regulation (EU) No 575/2013

All price risk ( ‘ APR ’ ) shall be reported at the following dates:

(a)
21/1/2019 ;
(b)
22/1/2019 ;
(c)
23/1/2019 ;
(d)
24/1/2019 ;
(e)
25/1/2019 ;
(f)
28/1/2019 ;
(g)
29/1/2019 ;
(h)
30/1/2019 ;
(i)
31/1/2019 ;
(j)
1/2/2019 .

APR

Article 377 of Regulation (EU) No 575/2013

The results obtained by applying the regulatory Correlation Trading Model to each portfolio shall be reported.

Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not use a Correlation Trading Model on the date provided in column 010 (i.e. zero values shall be reported if and only if the result of the calculation is actually zero).

F2ANNEX VII Results Supervisory Benchmark portfolios. MARKET RISK

RESULTS BENCHMARKING PORTFOLIOS. MARKET RISK
Template number	Template code	Name of the template/group of templates	Short name
		INITIAL MARKET VALUATION
106	C 106.00	INITIAL MARKET VALUATION	IMV
		VaR, sVaR and PV
107,1	C 107.01	DETAILS	VaR&SVaR 1
107,2	C 107.02	BASE CURRENCY RESULTS	VaR&SVaR 2
		PROFIT & LOSS TIME SERIES
108	C 108.00	PROFIT & LOSS TIME SERIES	P&L
		INCREMENTAL RISK CHARGE
109,1	C 109.01	IRC. DETAILS OF THE MODEL	IRC 1
109,2	C 109.02	IRC. DETAILS BY PORTFOLIO	IRC 2
109,3	C 109.03	IRC. AMOUNT BY PORTFOLIO/DATE	IRC 3
		CORRELATION TRADING
110,1	C 110.01	CT. DETAILS OF THE MODEL	CT 1
110,2	C 110.02	CT. DETAILS BY PORTFOLIO	CT 2
110,3	C 110.03	CT. AMOUNT BY PORTFOLIO/DATE	CT 3

C 106.00 - INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION

Instrument number	Instrument Modelled for Var + SVaR (YES/NO)	Instrument Modelled for IRC (YES/NO)	Instrument Modelled for Correlation Trading (YES/NO)	Rationale for Exclusion	Free text box	Initial Market Valuation
010	020	030	040	050	060	070

C 107.01 - VaR, sVaR and PV. DETAILS

		Option	Free text box
		010	020
VaR
010	Methodology
020	Liquidity Horizon
030	Lenght of observation period
040	Data Weighting
050	Backtesting add-on
060	Regulatory add-on
SVaR
070	Methodology
080	Liquidity Horizon
090	Regulatory add-on
100	Stressed VaR window time

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

Date	VaR	sVaR	PV
Portfolio

010	020	030	040

C 108.00- PROFIT & LOSS TIME SERIES

Date	Daily P&L
Portfolio

010	020

C 109.01 - IRC. DETAILS OF THE MODEL

		Option	Free text box
Row	Item	010	020
010	Number of modelling factors
020	Source of LGDs

C 109.02 - IRC. DETAILS BY PORTFOLIO

		Option	Free text box
Portfolio

Row	Item	010	020
010	Liquidity Horizon
020	Source of PDs
030	Source of transition matrices

C 109.03 - IRC. AMOUNT BY PORTFOLIO/DATE

Date	IRC
Portfolio

010	020

C 110.01 - CT. DETAILS OF THE MODEL

		Option	Free text box
Row	Item	010	020
010	Number of modelling factors
020	Source of LGDs

C 110.02 - CT. DETAILS BY PORTFOLIO

		Option	Free text box
Portfolio

Row	Item	010	020
010	Liquidity Horizon
020	Source of PDs
030	Source of transition matrices

C 110.03 - CT. APR BY PORTFOLIO/DATE

Date	APR
Portfolio

010	020

Portfolio ID	Number of obligors	PD	Original exposure pre conversion factors	Exposure after CRM substitution effects pre conversion factors	CCF	EAD	Collateral value	LGD	Maturity	Expected Loss amount	Provisions non-performing exposures	RWA	RWA Standardised	Default rate latest year	Default rate past 5 years	Loss rate latest year	Loss rate past 5 years	RWA-	RWA+	RWA--	RWA++
010	040	060	080	090	100	110	120	130	140	150	160	170	180	190	200	210	220	250	260	270	280

Portfolio ID	Number of obligors	PD	Original exposure pre conversion factors	Exposure after CRM substitution effects pre conversion factors	CCF	EAD	Collateral value	LGD	Maturity	Expected Loss amount	Provisions non-performing exposures	RWA	RWA Standardised	Default rate latest year	Default rate past 5 years	Loss rate latest year	Loss rate past 5 years	RWA-	RWA+	RWA--	RWA++
010	040	060	080	090	100	110	120	130	140	150	160	170	180	190	200	210	220	250	260	270	280

Portfolio ID	Number of obligors	PD	Original exposure pre conversion factors	Exposure after CRM substitution effects pre conversion factors	CCF	EAD	Collateral value	LGD	Maturity	Expected Loss amount	Provisions non-performing exposures	RWA	RWA Standardised	Default rate latest year	Default rate past 5 years	Loss rate latest year	Loss rate past 5 years	RWA-	RWA+	RWA--	RWA++
010	040	060	080	090	100	110	120	130	140	150	160	170	180	190	200	210	220	250	260	270	280