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 )

Column	Label	Legal reference	Instructions
0010	Portfolio ID		The portfolio ID of template C 103, column 0010 of Annex I defining the portfolio shall be reported. This ID shall be a row identifier and shall be unique for each row in the template. The assignment of exposures to portfolio IDs is not exclusive: exposures or parts of exposures shall be reported under each portfolio ID that is applicable.
0040	Number of obligors		The instructions for template C 102, column 0040 of Annex I shall apply.
0060	PD		The instructions for template C 102, column 0060 of Annex I shall apply.
0061	PD without supervisory measures		The instructions for template C 102, column 0061 of Annex I shall apply.
0062	PD without MoC and supervisory measures		The instructions for template C 102, column 0062 of Annex I shall apply.
0080	Original exposure pre conversion factors		The instructions for template C 102, column 0080 of Annex I shall apply.
0090	Exposure after CRM substitution effects pre conversion factors		The instructions for template C 102, column 0090 of Annex I shall apply.
0100	CCF		The instructions for template C 102, column 0100 of Annex I shall apply.
0110	EAD		The instructions for template C 102, column 0110 of Annex I shall apply.
0120	Collateral value		The instructions for template C 102, column 0120 of Annex I shall apply.
0130	LGD		The instructions for template C 102, column 0130 of Annex I shall apply.
0131	LGD without supervisory measures		The instructions for template C 102, column 0131 of Annex I shall apply.
0132	LGD without MoC and without supervisory measures		The instructions for template C 102, column 0132 of Annex I shall apply.
0133	LGD without MoC, supervisory measures and downturn component		The instructions for template C 102, column 0133 of Annex I shall apply.
0140	Maturity		The instructions for template C 102, column 0140 of Annex I shall apply.
0150	Expected Loss amount		The instructions for template C 102, column 0150 of Annex I shall apply.
0160	Provisions defaulted exposures		The instructions for template C 102, column 0160 of Annex I shall apply.
0170	RWA		The instructions for template C 102, column 0170 of Annex I shall apply.
0180	RWA Standardised		The instructions for template C 102, column 0180 of Annex I shall apply.
0190	Default rate latest year		The default rate for the most recent year shall be reported. For that purpose, the default rate shall be defined as the ratio between the following values: (a) the sum of the exposures (original exposure, column 0080, measured at the reference date minus one year) that were non-defaulted exactly one year before the reference date and defaulted between the reference date minus one year and the reference date; (b) the sum of the exposures (original exposure, column 0080, measured at the reference date minus one year) that were non-defaulted at the reference date minus one year. New exposures that were generated during the year preceding the reference date shall not be included. Exposures that defaulted and were cured again during the year preceding the reference date shall be included in both the numerator and the denominator. Multiple defaults of the same obligor shall be included only once. This information shall be reported for portfolio IDs relating to non-defaulted exposures only; it shall be expressed as a value between 0 and 1. Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used.
0200	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 0190 shall apply. The weights to be used are the non-defaulted exposures used in the calculation of the default rate in accordance with column 0190. Where the institution is not required to calculate a default rate for the past five years preceding the reference date under Article 180(1), point (h), or Article 180(2), point (e), of Regulation (EU) No 575/2013, the institution shall develop a proxy using its longest history up to five years preceding the reference date and provide the documentation detailing the calculation to its competent authority. This information shall be reported for portfolio IDs relating to ‘non-defaulted’ exposures only; it shall be expressed as a value between 0 and 1. Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used.
0210	Loss rate latest year		The loss rate observed in the most recent year shall be reported for portfolio IDs relating to ‘non-defaulted’ and ‘defaulted’ exposures only. For non-defaulted portfolios, the loss rate shall be the sum of credit risk adjustments and write-offs applied, within the year preceding the reference date, to exposures that were non-defaulted exactly one year before the reference date and which defaulted during the year preceding the reference date, divided by the sum of the EAD, measured exactly one year before the reference date, of the exposures that were non-defaulted exactly one year before the reference date and which defaulted during the year preceding the reference date. The numerator of the loss rate shall incorporate all the credit risk adjustments and write-offs related to the exposures that defaulted within the year preceding the reference, including the credit risk adjustments applied before the default date. New exposures generated during the year preceding the reference date shall not be included. Exposures that defaulted and were cured again during the year preceding the reference date shall be included in the denominator of the loss rate and credit risk adjustments and write-offs on those exposures shall be considered in the numerator of the loss rate. Multiple defaults of the very same obligor shall be considered only once. For defaulted portfolios, the loss rate shall consider exposures that were in default exactly one year before the reference date. It shall be the sum of (a) credit risk adjustments to these exposures one year before the reference date; and (b) credit risk adjustments and write-offs applied within the year preceding the reference date, divided by the sum of the EAD, measured exactly one year before the reference date of the exposures under consideration. New defaults during the year preceding the reference date shall not be included. Exposures that cured again during the year preceding the reference date shall be included in the denominator of the loss rate and credit risk adjustments and write-offs on those exposures shall be included in the numerator of the loss rate. Multiple defaults of the same obligor shall be included only once. The loss rate shall be expressed as a value between 0 and 1. Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used.
0220	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 for portfolio IDs relating to ‘non-defaulted’ and ‘defaulted’ exposures only. The definition of loss rate in column 0210 shall apply. The loss rate past five years shall be based on the annual loss rates of the past five years, where these annual loss rates are defined in analogy to the definition of the loss rate of column 0210; in particular, the annual loss rates shall not include additional changes in credit risk adjustments and write offs that have occurred after the observation horizon (calendar year) of each annual loss rate. Where the institution is not required to use data for the past five years preceding the reference date under Article 181(2), last paragraph, of Regulation (EU) No 575/2013, the institution shall develop a proxy using its longest history up to five years preceding the reference date and provide the documentation detailing the calculation to its competent authority. The loss rate shall be expressed as a value between 0 and 1. Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used.
0250	RWA-		Institutions shall calculate and report RWA- for portfolios that are referred to in Annex I, template 103 with the following portfolio IDs: CORP_ALL_0086_CT____ALL SMEC_ALL_0106_CT___ _ALL MORT_ALL_0094_CT__ _ALL SMOT_ALL_0106_CT__*__ALL RSMS_ALL_0106_CT____ALL RETO_ALL_0094_CT___ALL RQRR_ALL_0094_CT__*__ALL RWA- shall be the hypothetical RWA, after supporting factors, which results from the application of the PD- values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD- shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 0005 of template C 08.02 of Annex I to Commission Implementing Regulation (EU) 2021/451 shall be used (For instructions see template C 08.01, column 0010, and template C 08.02 of Annex II to that Regulation).For each obligor grade, Image omitted; see official source shall be the smallest positive value satisfying the equationImage omitted; see official source Image omitted; see official source and Image omitted; see official source where Image omitted; see official source.Here, Image omitted; see official source = the inverse function of the standard normal (cumulative) distribution;q = the confidence level set at 90%; DR1y* = 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 most recent year, divided by the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date; 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 Image omitted; see official source, where Image omitted; see official source shall be calculated in accordance with the formula set out in the fourth subparagraph for the obligor grade assigned to the obligor.
0260	RWA+		Institutions shall calculate and report RWA+ for the portfolios that are referred to in Annex I, template 103 with the following portfolio ID: CORP_ALL_0086_CT____ALL SMEC_ALL_0106_CT____ALL MORT_ALL_0094_CT___ALL SMOT_ALL_0106_CT__*__ALL RSMS_ALL_0106_CT____ALL RETO_ALL_0094_CT___ALL RQRR_ALL_0094_CT__*__ALL RWA+ shall be the hypothetical RWA, after supporting factors, which results from the application of the PD+ values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD+ shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 0005 of template C 08.02 of Annex I to Commission Implementing Regulation (EU) 2021/451 shall be used (For instructions see template C 08.01, column 0010, and template C 08.02 of Annex II to that Regulation).For each obligor grade, Image omitted; see official source shall be the largest positive value satisfying the equationImage omitted; see official source In this equation, Image omitted; see official source = the inverse function of the standard normal (cumulative) distribution;q = the confidence level set at 90%; DR1y* = 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 most recent year, divided by the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date; 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 Image omitted; see official source, where Image omitted; see official source shall be calculated in accordance with the formula set out in the fourth subparagraph for the obligor grade assigned to the obligor.
0270	RWA--		Institutions shall calculate and report RWA— for the portfolios that are referred to in Annex I, template 103 with the following portfolio Identifier (ID): CORP_ALL_0086_CT____ALL SMEC_ALL_0106_CT____ALL MORT_ALL_0094_CT___ALL SMOT_ALL_0106_CT__*__ALL RSMS_ALL_0106_CT____ALL RETO_ALL_0094_CT___ALL RQRR_ALL_0094_CT__*__ALL RWA-- shall be the hypothetical RWA, after supporting factors, which results from the application of the PD-- values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD-- shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 0005 of template C 08.02 of Annex I to Commission Implementing Regulation (EU) 2021/451 shall be used (For instructions see template C 08.01, column 0010, and template C 08.02 of Annex II to that Regulation).For each obligor grade, Image omitted; see official source shall be the smallest positive value satisfying the equationImage omitted; see official source Image omitted; see official source and Image omitted; see official source where Image omitted; see official source Here, Image omitted; see official source = the inverse function of the standard normal (cumulative) distribution;q = the confidence level set at 90%; DR5y* = 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 Image omitted; see official source, where Image omitted; see official source shall be calculated in accordance with the formula set out in the fourth subparagraph for the obligor grade assigned to the obligor.
0280	RWA++		Institutions shall calculate and report RWA++ for the portfolios that are referred to in Annex I, template 103 with the following portfolio ID: CORP_ALL_0086_CT____ALL SMEC_ALL_0106_CT____ALL MORT_ALL_0094_CT___ALL SMOT_ALL_0106_CT__*__ALL RSMS_ALL_0106_CT____ALL RETO_ALL_0094_CT___ALL RQRR_ALL_0094_CT__*__ALL RWA++ shall be the hypothetical RWA, after supporting factors, which results from the application of the PD++ values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD++ shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 0005 of template C 08.02 of Annex I to Commission Implementing Regulation (EU) 2021/451 shall be used (For instructions see template C 08.01, column 0010, and template C 08.02 of Annex II to that Regulation).For each obligor grade, Image omitted; see official source shall be the largest positive value satisfying the equationImage omitted; see official source where, Image omitted; see official source = the inverse function of the standard normal (cumulative) distribution;q = the confidence level set at 90%; DR5y* = 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 Image omitted; see official source, where Image omitted; see official source shall be calculated in accordance with the formula set out in the fourth subparagraph for the obligor grade assigned to the obligor.

C 105.01 –   Definition of internal models

Column	Label	Legal reference	Instructions
0010	Internal model ID		The institution shall report the internal model ID assigned by the competent authority. In case this is unavailable, the institution shall report the internal model ID assigned by itself. The internal model ID shall uniquely refer to an internal model approved by the competent authority and used for the calculation of RWA. It shall be a row identifier and shall be unique for each row in the template.
0020	Model name		The model name assigned to the internal model by the reporting institution shall be reported.
0030	IRBA Risk parameter		The IRB approach risk parameter shall be one of the following: (a) PD; (b) LGD; (c) CCF. For an internal model for Corporate – Specialised Lending exposures under Article 153(5) of Regulation (EU) No 575/2013 (‘Specialised lending slotting criteria’), the field shall be left blank or ‘NULL’ shall be inserted.
0040	EAD	Template C08.01, column 0110 of Annex I to Implementing Regulation (EU) 2021/451	The aggregate exposure value of the exposures within the range of application of the rating model shall be reported.
0050	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. The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported.
0060	Case weighted average default rate for calibration		The simple average of the annual case-weighted default rates used in the calibration of the PD models shall be reported. This information shall be completed only for PD models. The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported.
0070	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.
0080	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-month period. An institution that does not calculate cure rates for a given model shall calculate a proxy for cure rates, in accordance with the definition provided. The institution shall report the use of a proxy to the competent authority. That information shall be completed only for LGD models.
0090	Recovery rate not cured foreclosed assets		The case-weighted average recovery rate for not cured defaults included in the time series used by the institution for the calibration of the LGD models on non-defaulted assets shall be reported. The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported. An institution that does not have a specific recovery rate for non-cured defaults due to an incomplete recovery procedure, shall calculate a proxy taking into account observed recoveries as well as the estimations of recoveries for incomplete workout . The institution shall report the use of a proxy to the competent authority. That information shall be completed only for LGD models.
0100	Recovery period length not cured foreclosed assets		The case-weighted average length of the recovery period (from the start of the default status to the completion date of the recovery procedures) for the not cured defaults included in the time series used by the institution for the calibration of the LGD models on non-defaulted assets shall be reported. The case weighted average length shall be expressed in number of days. The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported. An institution that does not have a specific recovery period length for not cured defaults, due to an incomplete recovery procedure, shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority. That information shall be completed only for LGD models.
0110	Joint decision	Article 20(2), point (a); of Regulation (EU) No 575/2013	The institution shall report whether or not a joint decision on prudential requirements exists between the consolidating and the host competent authority regarding the permission to use the IRB approach for the calculation of the prudential requirements for the exposures held by the subsidiaries of the institutions in the reported benchmarking portfolios.
0120	Consolidating supervisor	Article 20 of Regulation (EU) No 575/2013	The country ISO code of the country of origin of the competent authority responsible for the consolidated supervision of the institution using an IRB approach shall be reported.
0130	RWA	Template C08.01, Column 0260 of Annex I to Implementing Regulation (EU) 2021/451	The aggregate RWA after supporting factors (SME and infrastructure supporting factors) of the exposures within the range of application of the rating model shall be reported.
0140	RWA add-ons		The RWA add-ons shall be a sub-position (‘of which’) of the RWA (Template C105.01, column 0130) and shall include (a) the RWA that is added to the RWA resulting from the application of the model’s risk parameter(s) due to additional internal measures of conservatism directly applied on the RWA, if any; (b) the RWA that is added to the RWA resulting from the application of the model’s risk parameter(s) due to supervisory measures directly applied on the RWA, if any. The amounts under points (a) and (b) shall not include measures that are already reflected in the PD (templates C102, column 0060 and C103, column 0060 of), CCF (column 0100 of templates C102 and C103) or LGD (templates C102 and C103, column 0130), but shall be restricted to measures that are directly applied on the RWA and, if relevant, in addition to the margins of conservatism and supervisory measures (multipliers, add-ons, floors or similar measures) that increase the risk parameters. The RWA add-ons shall not include the effect of potential measures under Article 458 of Regulation (EU) No 575/2013. In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply.

C 105.02 –   Mapping of internal models to portfolios

Column	Label	Legal reference	Instructions
0010	Portfolio ID	Templates C102, column 0010 and C103, column 0010	The portfolio ID uniquely identifying the portfolio in accordance with templates C102 and C103 of Annex I shall be reported. Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in this template.
0020	Internal model ID	Template C 105.01, column 0010	The internal model ID assigned by the reporting institution shall be reported. Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in template C105.02.
0030	EAD	Template C08.01, column 0110 of Annex I to Implementing Regulation (EU) 2021/451	The aggregate exposure value of the exposures that are included in the portfolio defined by column 0010 and within the range of application of the rating model defined by column 0020 shall be reported. Where all exposures of a given portfolio are treated with one specific model, the exposure value shall be identical to the amount reported for the same portfolio in column 0110 of templates C 102 or C 103, as applicable.
0040	RWA	Template C08.01, column 0260 of Annex I to Implementing Regulation (EU) 2021/451	The aggregate RWA after supporting factors for the exposures that are included in the portfolio defined by column 0010 and within the range of application of the rating model defined by column 0020 shall be reported. Where all exposures of a given portfolio are treated with one specific model, the RWA shall be identical to the amount reported for the same portfolio in column 0170 of templates C 102 or C 103, as applicable.

C 105.03 –   Mapping of internal models to countries

Column	Label	Legal reference	Instructions
0005	Row ID		This code shall be a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.
0010	Internal model ID	Template C105.01, column 0010	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 0010 and 0020 are a composite row identifier and their combination shall be unique for each row in the table.
0020	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.

ANNEX V

MARKET RISK BENCHMARK INSTRUMENTS AND PORTFOLIOS

Section 1:	Instructions
Section 2:	Instruments
Section 3:	Individual portfolios – Single instrument
Section 4:	Individual portfolios – Multi instruments
Section 5:	Aggregated Portfolios
Section 6:	Additional specifications for instruments
Section 7:	SBM validation portfolios

Section 1:   Instructions

• (a) For the purposes of this Annex, the following shall apply:
• (i) ‘Booking date’ means the date and time on which institutions book the transactions for the purposes of the benchmarking exercise;
• (ii) ‘Initial Market Valuation (IMV)’ means the marked-to-market value of the instruments referred to in Section 2 of this Annex, at the IMV reference date and time;
• (iii) ‘IMV reference date’ means the date and time with reference to which institutions shall determine the IMV of the transactions in the benchmarking portfolio;
• (iv) ‘IMV remittance date’ means the date by which institutions shall submit the results of the IMV of the transactions in the benchmarking portfolio;
• (v) ‘VaR’ means the Value at Risk;
• (vi) ‘sVaR’ means the Stressed Value at Risk;
• (vii) ‘IRC’ means the Incremental Risk Charge;
• (viii) ‘CTP’ means the Correlation Trading Portfolio;
• (ix) ‘APR’ means the All Price Risk calculated in accordance with Article 377(2) of Regulation (EU) No 575/2013;
• (x) ‘Risk Measures’ (RM) means the value of the VaR, sVaR, and when required IRC and APR for the portfolios, as set out in Sections 3, 4 and 5 of this Annex, between the RM initial and RM final reference date;
• (xi) ‘RM initial reference date’ means the date on which institutions shall start to compute the RM values;
• (xii) ‘RM final reference date’ means the date on which institutions shall finish to compute the RM values;
• (xiii) ‘RM remittance date’ means the date by which institutions shall submit the results of the RM of the transactions in the benchmarking portfolio;
• (xiv) ‘Present Value (PV)’ means the marked-to-market value of the portfolios, set out in Section 3 of this Annex, at the RM final reference date;
• (xv) ‘ATM’ means ‘At The Money’ in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative;
• (xvi) ‘OTM’ means ‘Out of The Money’ in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative;
• (xvii) ‘ITM’ means ‘In The Money’ in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative;
• (xviii) ‘long’ means ‘bought’ and ‘short’ means ‘sold’;
• (xix) ‘CDS’ means Credit Default Swaps;
• (xx) for CDS, ‘long’ means ‘bought protection’ and ‘short’ means ‘sold protection’;
• (xxi) ‘MLN’ means millions;
• (xxii) ‘OTC’ means Over-The-Counter;
• (xxiii) ‘ASA’ means the alternative standardised approach as referred to in Part Three, Title IV, Chapter 1a, Section 1 of Regulation (EU) No 575/2013;
• (xxiv) ‘SBM’ means the Sensitivities-Based Method as referred to in Part Three, Title IV, Chapter 1a, Section 2 of Regulation (EU) No 575/2013;
• (xxv) ‘DRC’ means the Default Risk requirement as referred to in Part Three, Title IV, Chapter 1a, Section 5 of Regulation (EU) No 575/2013;
• (xxvi) ‘RRAO’ means the Residual Risk Add-On as referred to in Part Three, Title IV, Chapter 1a, Section 4 of Regulation (EU) No 575/2013.

• (b) The following dates shall apply for the ‘benchmarking’ exercise:
• (i) the booking date shall be 30 January 2025;
• (ii) the IMV (and initial SBM) reference date shall be 6 February 2025 (at 5:30 pm CET);
• (iii) the IMV (and initial SBM, and SBM validation) remittance date shall be 28 February 2025;
• (iv) the RM initial reference date shall be 2 June 2025;
• (v) the RM (and final ASA) final reference date shall be 13 June 2025;
• (vi) the RM (and final ASA) remittance date shall be 18 July 2025.

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

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

• (e) The explanatory note that institutions are to submit together with the IMV shall include all of the following for each instrument:
• (i) the risk factors used to calculate the instrument’s IMV;
• (ii) the pricing model used to calculate the instrument’s IMV and a description of this pricing model;
• (iii) the risk factors included in the VaR model for the instrument;
• (iv) the risk factors included in the VaR model that are also valuation inputs for the IMV of the instrument;
• (v) the VaR model specifics in relation to the instrument;
• (vi) available reference data for the instrument in the institution’s own format;
• (vii) the aspects referred to in points (h), (i), (k), (m), (n), (o), (v), (w), (y), (gg) and (kk) of this Section.

• (f) For the purposes of point (e), sub point (v), all of the following shall be reported:
• (i) concise VaR model descriptions;
• (ii) revaluation methods applied;
• (iii) functional form applied for modelling of returns (such as absolute, relatives, other methods;
• (iv) qualitative information on the time series used to calibrate the VaR model in relation to the instrument (such as source, methodology for normalisation, buckets applied, other information deemed relevant by the institutions to explain the results provided).

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

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

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

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

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

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

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

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

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

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

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

• (r) All OTC options shall be treated as follows:
• (i) as American for single name equities and commodities;
• (ii) as European for equity indices, foreign exchange and swaptions.

• (s) All OTC options shall be considered ‘naked’ so that the premium shall be excluded from the initial market valuation.

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

• (u) The IMV for each instrument shall be provided in the EBA instrument currency specified in Section 2 of this Annex for that instrument.

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

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

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

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

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

• (aa) Risk measures for the portfolios referred to in Sections 3, 4 and 5, together with the Present Value, shall be computed from the ‘RM initial reference date’ to the ‘RM final reference date’. FRTB ASA Risk measures (SBM, DRC and RRAO) shall be computed for the ‘RM final reference date’. Institutions shall submit the results of those calculations to their competent authority by RM remittance date. IMV and SBM shall be reported for each instrument. Risk measures, SBM, DRC, RRAO and Present Value, where applicable, shall be reported for each portfolio, both individual and aggregated. SBM, DRC and RRAO, where applicable, shall be reported at least for the same portfolios for which risk measures are reported.

• (bb) For the portfolios referred to in Section 7, institutions shall report SBM results and submit them in line with the reporting dates of the IMV submission.

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

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

• (ee) In Section 2 of this Annex (Instruments), ‘Year T’ shall mean ‘2025’ and Year T + X shall mean 2025 + X, with X as specified in Section 2.

• (ff) In Section 2 of this Annex (Instruments), institutions shall determine the day of expiry/maturity in accordance with the following instructions:
• (i) Where the date is specified, that specific date shall be used;
• (ii) Where no date is specified, market convention, where available, shall be used. If for example there is a market convention that the day of expiry/maturity is the 3rd Friday of the month, then ‘June Year T’ shall mean the 3rd Friday of the month of the year T;
• (iii) At the end of the month, where it is specified ‘End of’, it shall mean the last calendar day in the month;
• (iv) For a fix period of time following the ‘booking date’, if the period is defined as a number of days, it is the last day of the period. If the period is defined in weeks, months or years, it is the same day of the following week, month or year with respect to the booking date, or, if the last month or year of the period is shorter, the last day of that month or year; if the ‘booking date + x period’ is a holiday day, then select the following working day;
• (v) In case it is not specified otherwise the following assumptions shall be used: Day count convention: Act/360, Holiday calendar: Target2.

• (gg) In Section 2 of this Annex (Instruments), for all CDS, unless explicitly specified otherwise, the following requirements shall apply:
• (i) Coupon frequency: Quarterly;
• (ii) Coupon(bps): 100;
• (iii) Day count: ACT/360;
• (iv) ISDA Definitions year: 2014;
• (v) Restructuring clause: Modified-Modified Restructuring (MMR);
• (vi) Maturity: December Year T+4;
• (vii) Debt type: Senior;
• (viii) Tenor: 5 Year;
• (ix) Effective date as booking date;
• (x) The used discount curve and recovery rate shall be indicated in the explanatory note referred to in point (d) of this Annex.

• (hh) The IMV of bond instruments shall include accrued interest.

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

• (jj) The risk measures of the portfolios shall be calculated in the same currency of the portfolio currency, not including any FX Risk, also related to the reporting currency of the institutions. The FX Risk shall be considered only when intrinsically included in the instruments. Where both reporting and portfolio currency results are reported as part of the exercise, for the ASA figures, results calculated in the reporting currency of the institution shall be translated into the EBA portfolio currency by spot conversion using the ECB spot exchange rate associated with the date of the calculation. The translation into the EBA portfolio currency does not imply a change in the FX risk factors.

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

Section 2:   Instruments

Institutions shall provide IMV, in accordance with the instructions laid down in Section 1 of this Annex, for the following financial instruments, where Institutions shall provide risk measures and the Present Value of the portfolios specified in Section 3 and Section 4:

EQUITY

• 101.Long EURO STOXX 50 index (Ticker: FESX) Futures.

• Notional: equivalent to the value of the index times 1 000 EUR

• Exchange: Eurex

• Expiry date: June Year T

• EBA instrument currency: EUR

• 102.Long 10 000 BAYER (Ticker: BAYN GR) shares.

• Exchange: Xetra

• EBA instrument currency: EUR

• 103.Short Futures BAYER (Ticker: BAYN GR).

• Notional: equivalent to the value of 10 000 shares of the underlying asset

• Exchange: Eurex

• Expiry date: June Year T

• EBA instrument currency: EUR

• 104.Short Futures, STELLANTIS (Ticker: STLA FP).

• Notional: equivalent to the value of 10 000 shares of the underlying asset

• Exchange: Euronext

• Expiry date: June Year T

• EBA instrument currency: EUR

• 105.Short Futures, ALLIANZ (Ticker: ALV GR).

• Notional: equivalent to the value of 10 000 shares of the underlying asset

• Exchange: Eurex

• Expiry date: June Year T

• EBA instrument currency: EUR

• 106.Short Futures BARCLAYS (Ticker: BARC LN).

• Notional: equivalent to the value of 10 000 shares of the underlying asset

• Exchange: Eurex

• Expiry date: June Year T

• EBA instrument currency: GBP

• 107.Short Futures DEUTSCHE BANK (Ticker: DBK GR).

• Notional: equivalent to the value of 10 000 shares of the underlying asset

• Exchange: Eurex

• Expiry date: June Year T

• EBA instrument currency: EUR

• 108.Short Futures CRÉDIT AGRICOLE (Ticker: ACA FP).

• Notional: equivalent to the value of 10 000 shares of the underlying asset

• Exchange: Euronext

• Expiry date: June Year T

• EBA instrument currency: EUR

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

• Notional: equivalent to the value of 10 000 shares of the underlying asset

• Expiry date: June Year T

• EBA instrument currency: EUR

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

• Notional: equivalent to the value of 10 000 shares of the underlying asset

• Expiry date: December Year T

• EBA instrument currency: EUR

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

• Notional: equivalent to the value of 10 000 shares of the underlying asset

• Expiry date: June Year T

• EBA instrument currency: USD

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

• Notional: equivalent to value of 10 000 shares of the underlying asset

• Expiry date: June Year T

• EBA instrument currency: USD

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

• Notional: equivalent to the value of 10 000 shares of the underlying asset

• Expiry date: December Year T

• EBA instrument currency: EUR

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

• Notional: equivalent to the value of 10 000 shares of the underlying asset

• Expiry date: June Year T

• EBA instrument currency: EUR

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

• Notional: equivalent to the value of 10 000 shares of the underlying asset

• Expiry date: December Year T

• EBA instrument currency: GBP

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

• Notional: equivalent to the value of 10 000 shares of the underlying asset

• Expiry date: December Year T

• EBA instrument currency: GBP

• 117.Short Futures NIKKEI 225 (Ticker NKY).

• Notional: equivalent to the value of the index times 20 000 JPY

• Exchange: CME

• Expiry date: June Year T

• EBA instrument currency: JPY

• 118.Auto-callable Equity product.

• Long position

• Booking on ‘Booking date’

• Notional amount (‘Capital’): EUR 1 000 000

• Underlying: Index EURO STOXX 50 (Ticker: SX5E)

• EBA instrument currency: EUR

• Maturity: 5 years

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

• Coupon: 6%

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

• Barrier coupon payment 60% of autocall level

• Protection barrier: 55% of autocall level

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

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

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

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

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

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

• Notional: equivalent to the value of the index times 1 000 EUR

• Expiry date: June Year T

• EBA instrument currency: EUR

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

• Notional: equivalent to the value of the index times 10 000 EUR

• Expiry date: June Year T

• EBA instrument currency: EUR

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

• Notional: equivalent to the value of the index times 100 000 USD

• Expiry date: June Year T

• EBA instrument currency: USD

IR

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

• Fixed leg: receive annually

• Floating rate: 6-month EURIBOR, pay semi-annually. Daycount: ACT/360

• Notional: EUR 10 000 000

• Roll convention and calendar: standard

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

• Maturity: September Year T+4.

• EBA instrument currency: EUR

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

• Notional: EUR 10 000 000 .

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

• Swaption with maturity of two years (Booking date + 2 years) on IRS defined as follow: Fixed leg - pay annually; Floating rate: 6-month EURIBOR, receive semi-annually; Notional: EUR 10 000 000 ; Roll convention and calendar: standard; Effective date of the underlying swap: Booking date + 2 years.

• Maturity of the underlying swap: Booking date + 7 years

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

• The strike price is based on the ATM rate of the forward starting swap defined in this instrument

• EBA instrument currency: EUR

• 203.5-year IRS USD. Receive fixed rate and pay floating rate.

• Fixed rate: receive annually

• Floating rate: 3-month USD SOFR rate, pay quarterly

• Notional: USD 1 000 000

• Roll convention and calendar: standard

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

• Maturity date: September Year T+4.

• EBA instrument currency: USD

• 204.2-year IRS GBP. Receive fixed rate and pay floating rate.

• Fixed rate: receive annually

• Floating rate: SONIA (overnight) rate compounded and paid quarterly. Daycount: ACT/365

• Notional: GBP 10 000 000

• Roll convention and calendar: standard

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

• Maturity: Booking date + 2 years

• EBA instrument currency GBP

• 205.Collared 10y floating rate note sold by UBS.

• Notional (Principal) Amount: USD 1 000 000 .

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

• EBA instrument currency USD

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

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

• — Income: The Notes will pay interest quarterly at a rate equal to the Floating Interest Rate, provided that if on any Coupon Determination Date (i) the Floating Interest Rate is less than the Interest Rate Floor, then the applicable interest rate for the related Interest Period will be equal to the Interest Rate Floor; or (ii) the Floating Interest Rate is greater than the Interest Rate Cap, then the applicable interest rate for the related Interest Period will be equal to the Interest Rate Cap. Interest Payment Amount The amount of interest to be paid on the Notes for an Interest Period shall be equal to the product of (a) the principal amount of the Notes; (b) the Applicable Interest Rate for that Interest Period; and (c) a fraction, the numerator of which is the number of days in the Interest Period (calculated on the basis of a 360-day year of twelve 30-day months) and the denominator of which is 360. Trade and Settlement Date ‘Booking date’ Interest Payment Dates Quarterly, on the Booking date + 3 months, Booking date + 6 months, Booking date + 9 months and Booking date + 1 year, commencing on Booking date + 3 months, during the term of the Notes (subject to adjustments, as described herein). Maturity Date Currency Booking date + 10 years USD Day count 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 U.S. dollars are transacted in the London interbank market.

• 206.Long GERMANY GOVT (Inflation) EUR 1 000 000 (ISIN DE0001030583).

• Maturity: 15 April 2033

• EBA instrument currency: EUR

• 207.Short GERMANY GOVT EUR 1 000 000 (ISIN DE0001030708).

• Maturity: 15 August 2030

• EBA instrument currency: EUR

• 208.Long ITALY GOVT (Inflation) EUR 1 000 000 (ISIN IT0005138828).

• Maturity: 15 September 2032

• EBA instrument currency: EUR

• 209.Long ITALY GOVT EUR 1 000 000 (ISIN IT0005340929).

• Maturity: 1 December 2028

• EBA instrument currency: EUR

• 210.Long SPAIN GOVT EUR 1 000 000 (ISIN ES00000127A2).

• Maturity: 30 July 2030

• EBA instrument currency: EUR

• 211.Short FRANCE GOVT EUR 1 000 000 (ISIN FR0012993103).

• Maturity: 25 May 2031

• EBA instrument currency: EUR

• 212.Short GERMANY GOVT EUR 1 000 000 (ISIN DE0001135176).

• Maturity: 4 January 2031

• EBA instrument currency: EUR

• 213.Long UNITED KINGDOM GOVT GBP 1 000 000 (ISIN GB0004893086).

• Maturity: 7 June 2032

• EBA instrument currency: GBP

• 214.Long PORTUGAL GOVT EUR 1 000 000 (ISIN PTOTEXOE0024).

• Maturity: 15 June 2029

• EBA instrument currency: EUR

• 215.Short UNITED STATES GOVT USD 1 000 000 (ISIN US91282CAV37).

• Maturity: 15 November 2030

• EBA instrument currency USD

• 216.Long BRAZIL GOVT (callable) 1 000 000 USD (ISIN US105756BZ27).

• Maturity: 13 January 2028

• EBA instrument currency: USD

• 217.Long MEXICO GOVT (callable) 1 000 000 USD (ISIN US91087BAT70).

• Maturity: 19 May 2033

• EBA instrument currency USD

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

• Fixed leg: pay annually

• Floating rate: 3-month EURIBOR, receive quarterly. Daycount: ACT/360

• Notional: EUR 10 000 000

• Roll convention and calendar: standard

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

• Maturity: Booking date + 10 years

• EBA instrument currency: EUR

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

• Fixed leg: pay annually

• Floating rate: 6-month EURIBOR, receive every 6 months. Daycount: ACT/360

• Notional: EUR 10 000 000

• Roll convention and calendar: standard

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

• Maturity: Booking date + 5 years

• EBA instrument currency: EUR

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

• EUR: 3-month ESTER, pay quarterly compounded with a payment lag of 2 days. Daycount: ACT/360

• USD: 3-month SOFR, receive quarterly compounded with a payment lag of 2 days. Daycount: ACT/360

• Leg 1 – USD: Notional EUR 10 000 000 equivalent adjusted on a quarterly basis

• Leg 2 – EUR: Notional EUR 10 000 000

• Roll convention and calendar: standard

• Effective date as booking date + 6 months

• Maturity: Booking date + 5.5 years

• EBA instrument currency: EUR

• See also Section 6 of this Annex – Instrument additional specifications

• 221.10-year IRS EURO – Receive ESTER and pay EURIBOR.

• ESTER leg: receive annually. Daycount: ACT/360

• EURIBOR leg: 3-month EURIBOR + Basis, pay quarterly. Daycount: ACT/360

• Notional: EUR 10 000 000

• Roll convention and calendar: standard

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

• Maturity: September Year T + 9 years

• EBA instrument currency: EUR

• 222.Long ITALY GOVT (Inflation) EUR 1 000 000 (ISIN IT0005387052).

• Maturity: 15 May 2030

• EBA instrument currency: EUR

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

• Inflation Index: CPI (HICPxT)

Fixed leg (Pay fixed):

Image omitted; see official source

Rec Inflation indexed return

Image omitted; see official source

• Notional: EUR 10 000 000

• Base fixing date: June Year T-1

• Final Fixing: August Year T+4

• Maturity: September Year T+4

• EBA instrument currency: EUR

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

• Notional: EUR 10 000 000 .

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

• Swaption with maturity of two years (Booking date + 2 years) on IRS defined as follow: Fixed leg- receive annually; Floating rate: 6-month EURIBOR, pay every 6 months; Notional: EUR 10 000 000 ; Roll convention and calendar: standard; Effective date of the underlying swap: Booking date + 2 years.

• Maturity of the underlying swap: Booking date + 7 years

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

• The strike price is based on the ATM rate of the forward starting swap defined in this instrument+ 100 bps

• EBA instrument currency: EUR

FX

• 301.6-month USD/EUR forward contract. Cash settled. Long USD – Short EUR; Notional USD 10 000 000 ; Forward Strike: equal to 100% of the relevant ECB spot reference rate at the end of the booking date.

• EBA instrument currency: EUR

• 302.6-month EUR/GBP forward contract. Cash settled. Long EUR – Short GBP; Notional 10 000 000 GBP; Forward Strike: equal to 100% of the relevant ECB spot reference rate at the end of the booking date.

• EBA instrument currency: EUR

• 303.Long 10 000 000 USD Cash.

• Cash position. To be considered as having intrinsic FX risk as described in paragraph (kk)

• EBA instrument currency: EUR

• 304.Long EUR/USD Call option (long EUR, short USD). Cash settled. Notional: EUR 10 000 000 . Equivalent amount based on EUR/USD ECB reference spot rate as of end of the booking date.

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

• Expiry date: Booking date + 1 year

• EBA instrument currency: EUR

• 305.Long EUR/USD Call Option (long EUR, short USD). Cash settled. Notional: EUR 10 000 000 . Equivalent amount based on EUR/USD ECB reference spot rate as of end of the booking date.

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

• Expiry date: Booking date + 1 year

• EBA instrument currency: EUR

• 306.Short EUR/USD Call Option (short EUR, long USD). Cash settled. Notional: EUR 10 000 000 . Equivalent amount based on EUR/USD ECB reference spot rate as of end of the booking date.

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

• Expiry date: Booking date + 1 year

• EBA instrument currency: EUR

• 307.Short EUR/GBP Call Option (short EUR, long GBP). Cash settled. Notional: EUR 10 000 000 . Equivalent amount based on EUR/GBP ECB reference spot rate as of end of the booking date.

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

• Expiry date: Booking date + 1 year

• EBA instrument currency: EUR

• 308.Long EUR/JPY Put Option (short EUR, long JPY). Cash settled. Notional: EUR 10 000 000 . Equivalent amount based on EUR/JPY ECB reference spot rate as of end of the booking date.

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

• Expiry date: Booking date + 1 year

• EBA instrument currency: EUR

• 309.Short EUR/AUD Put Option (long EUR, short AUD). Cash settled. Notional: EUR 10 000 000 . Equivalent amount based on EUR/AUD ECB reference spot rate as of end of the booking date.

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

• Expiry date: Booking date + 1 year

• EBA instrument currency: EUR

• 310.6-month EUR/DKK forward contract (long EUR, short DKK). Cash settled; Notional EUR 10 000 000 ; EUR/DKK ECB reference spot rate as of end of the booking date to determine forward rate.

• EBA instrument currency: EUR

• 311.6-month EUR/BRL Non deliverable forward contract (long EUR, short BRL); Notional EUR 10 000 000 ; EUR/BRL ECB reference spot rate as of end of the booking date to determine forward rate.

• EBA instrument currency: EUR

COMMODITIES

• 401.Long 6-month 3 500 troy ounces London Gold Forward (long Gold, short USD). Cash Settled. Strike Price: 6-month end-of-day forward price on the booking date

• EBA instrument currency: USD

• 402.Short 12-month 3 500 troy ounces London Gold Forward (short Gold, long USD). Cash Settled. Strike Price: 12-month end-of-day forward price on the booking date

• EBA instrument currency: USD

• 403.Long Call option 30 000 barrels Brent Crude Oil (long WTI, short USD). Cash settled. Strike price: 12- month end-of-day forward price on the booking date. Expiry date: Booking date + 6 months

• EBA instrument currency USD

• 404.Short Put option 30 000 barrels Brent Crude Oil (long WTI, short USD). Cash settled. Strike price: 12- month end-of-day forward price on the booking date. Expiry date: Booking date + 6 months

• EBA instrument currency USD

• 405.Long Call option 5 000 troy ounces London Gold (long Gold, short USD). Cash settled. Strike price: 18- month end-of-day forward price on the booking date. Expiry date: Booking date + 18 months

• EBA instrument currency: USD

CREDIT SPREAD

• 501.Long (i.e. Buy protection) USD 1 000 000 CDS on PORTUGAL.

• Restructuring clause: FULL

• EBA instrument currency: USD

• 502.Long (i.e. Buy protection) USD 1 000 000 CDS on ITALY.

• Restructuring clause: FULL

• EBA instrument currency: USD

• 503.Short (i.e. Sell protection) USD 1 000 000 CDS on SPAIN.

• Restructuring clause: FULL

• EBA instrument currency: USD

• 504.Long (i.e. Buy protection) USD 1 000 000 CDS on MEXICO.

• Restructuring clause: FULL

• EBA instrument currency: USD

• 505.Long (i.e. Buy protection) USD 1 000 000 CDS on BRAZIL.

• Restructuring clause: FULL

• EBA instrument currency: USD

• 506.Long (i.e. Buy protection) USD 1 000 000 CDS on UK.

• Restructuring clause: FULL

• EBA instrument currency: USD

• 507.Short (i.e. Sell protection) EUR 1 000 000 CDS on Telefonica (Ticker TEF SM).

• EBA instrument currency: EUR

• 508.Long (i.e. Buy protection) EUR 1 000 000 CDS on Telefonica (Ticker TEF SM).

• Maturity: December Year T+2

• EBA instrument currency: EUR

• 509.Short (i.e. Sell protection) EUR 1 000 000 CDS on Aviva (Ticker AV LN).

• ISDA Definitions year 2003

• EBA instrument currency: EUR

• 510.Long (i.e. Buy protection) EUR 1 000 000 CDS on Aviva (Ticker AV LN).

• ISDA Definitions year 2003

• Maturity: December Year T+2

• EBA instrument currency: EUR

• 511.Short (i.e. Sell protection) EUR 1 000 000 CDS on Vodafone (Ticker VOD LN).

• EBA instrument currency: EUR

• 512.Short (i.e. Sell protection) EUR 1 000 000 CDS on ENI SpA (Ticker ENI IM).

• EBA instrument currency: EUR

• 513.Short (i.e. Sell protection) USD 1 000 000 CDS on Eli Lilly (Ticker LLY US).

• Restructuring clause: No restructuring (XR14)

• EBA instrument currency: USD

• 514.Short (i.e. Sell protection) EUR 1 000 000 CDS on Unilever (Ticker UNA NA).

• EBA instrument currency: EUR

• 515.Long (i.e. Buy protection) EUR 1 000 000 CDS on Total SA (Ticker FP FP).

• EBA instrument currency: EUR

• 516.Long (i.e. Buy protection) EUR 1 000 000 CDS on Volkswagen Group (Ticker VOW GR).

• EBA instrument currency: EUR

• 517.Long position on TURKEY Govt. notes USD 1 000 000 (ISIN US900123CT57).

• Maturity: 26 April 2029

• EBA instrument currency: USD

• 518.Long (i.e. Buy protection) USD 1 000 000 CDS on TURKEY. Effective date as booking date.

• Restructuring clause: FULL

• EBA instrument currency: USD

• 519.Long position on Telefonica notes EUR 1 000 000 (ISIN XS1681521081).

• Maturity: 12 January 2028

• EBA instrument currency: EUR

• 520.Long position on Volkswagen Group notes EUR 1 000 000 (ISIN XS2234567233).

• Maturity: 22 September 2028

• EBA instrument currency: EUR

• 521.Short position Volkswagen Group notes EUR 1 000 000 (ISIN XS1167667283).

• Maturity: 16 January 2030

• EBA instrument currency: EUR

• 522.Long position on Total SA notes EUR 1 000 000 (ISIN XS1856281834).

• Maturity: 11 July 2033

• EBA instrument currency: EUR

• 523.Long AUSTRIA GOVT EUR 1 000 000 (ISIN AT0000A04967).

• Maturity: 15 March 2037

• EBA instrument currency: EUR

• 524.Long (i.e. Buy protection) USD 1 000 000 CDS on AUSTRIA.

• Maturity: June Year T+15

• EBA instrument currency: USD

• 525.Long NETHERLANDS GOVT EUR 1 000 000 (ISIN NL0013552060).

• Maturity: 15 January 2040

• EBA instrument currency: EUR

• 526.Long (i.e. Buy protection) USD 1 000 000 CDS on NETHERLANDS.

• Maturity: June Year T+20

• EBA instrument currency: USD

• 527.Long BELGIUM GOVT EUR 1 000 000 (ISIN BE0000348574).

• Maturity: 22 June 2050