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Commission Implementing Regulation (EU) 2021/1971 of 13 September 2021 amending Implementing Regulation (EU) 2016/2070 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)

Type Implementing Regulation
Publication 2021-11-19
State In force
Text As published
Department European Commission, FISMA
Source EUR-Lex
articles 2

This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.

Reform history JSON API
  • (g) The explanatory note referred to in point (d) shall be updated with each resubmission of any value, reflecting the changes between submissions. The explanatory note shall contain one section which lists all submission dates and the reasons for resubmissions.
  • (h) The risks of the positions shall be calculated without taking into account the funding costs. Where applicable, institutions shall use the overnight rate of the instrument currency as the discount rate. Collateral agreement shall be considered in place for the derivatives instruments referred to in Section 2. Where that is not possible, reasons shall be provided in the explanatory note referred to in point (d).
  • (i) Counterparty credit risk and credit valuation adjustment (“CVA”) risk shall not be taken into account in the valuation of the risks of the portfolios. Where that is not possible, reasons shall be provided in the explanatory note referred to in point (d). Institutions shall report cases where other typologies of Valuation Adjustments are included in the IMV and explain for each financial instrument the methodology and the impact in the explanatory note referred to in point (d).
  • (j) The 10-day 99 % VaR shall be calculated on a daily basis. sVaR and the IRC may be calculated on a weekly basis. The sVaR and IRC shall be based on end-of-day prices for each Friday in the time window of the benchmarking exercise.
  • (k) For transactions that include long positions in CDS, institutions shall assume an immediate up-front fee is paid to enter the position as per the market standards and conventions. The maturity date for all CDS shall correspond to conventional quarterly termination dates.
  • (l) Additional specifications needed in order to carry out pricing calculations required for CDS positions shall be consistent with commonly used market standards and conventions and shall be explained in the explanatory note referred to in point (d) of this Section.
  • (m) The maturity date shall ensure that the transaction is closest to the term-to-maturity specified in accordance with market standards and conventions.
  • (n) With respect to the details of instruments not referred to in Section 2, institutions shall provide the assumptions that have been used, including the day count convention and the choice for a tradable and liquid instrument, where permitted, along with the results in the explanatory note referred to in point (d) of this Section.
  • (o) Institutions that believe that assumptions in addition to those specified in this Section are relevant to the interpretation of the results of its exercise, including close of business timing, coupon rolls, mapping against indices and others, shall submit a description of those assumptions in the explanatory note referred to in point (d) of this Section.
  • (p) The explanatory note referred to in point (d) of this Section shall include explanations for risks not captured by the model for the instruments referred to in Section 2 of this Annex.
  • (q) All options shall be treated as if they are traded OTC, unless explicitly specified otherwise.
  • (r) The standard timing conventions for OTC options shall be followed. The time to maturity for an “n-month” option shall be in n months. Where options expire on a non-trading day, institutions shall adjust the expiration date per business date, in accordance with market standards and conventions.
  • (s) All OTC options shall be treated as follows:
  • (i) as American for single name equities and commodities;
  • (ii) as European for equity indices, foreign exchange and swaptions.
  • (t) All OTC options shall be considered “naked” so that the premium shall be excluded from the initial market valuation.
  • (u) Regarding the CTPs, institutions that have permission to use the APR model for CTPs shall provide details about their most relevant assumptions, market standards and conventions regarding the CTP instruments referred to in points 74 and 75 of Section 2, including the hedge ratios they have calculated to make the CTP instruments CS01 neutral at the booking date.
  • (v) The IMV for each instrument shall be provided in the base currency specified in Section 2 for that instrument.
  • (w) For positions denominated in a common base currency but composed of one or more instruments denominated in a different currency, the result shall be converted into the reported base currency of the portfolio, using the appropriate foreign exchange spot rate as per standard market practice. The converted result shall be explained in the explanatory note referred to in point (d) of this Section.
  • (x) When booking positions, institutions shall follow appropriate market conventions, unless otherwise specified in these instructions in the Instruments descriptions (Section 2 of this Annex).
  • (y) Where an instrument, or the underlying instrument for a derivative, is subject to a corporate action that affects the benchmarking exercise, such as a call from the issuer, a default or similar actions, institutions shall exclude such instrument from the exercise together with any related CDS or option.
  • (z) With regard to an index series, “on-the-run” shall refer to the most liquid and tradable series of that index available in the market. Institutions shall explain their choice of “on-the-run” series along with the related results in the accompanying explanatory note referred to in point (d) of this Section.
  • (aa) The Euro Interbank Offered Rate (“EURIBOR”) shall mean the rate calculated by the European Money Markets Institute at different maturities for EURO interbank term deposits. The London Interbank Offered Rate (“LIBOR”) shall mean the rate calculated by the Intercontinental Exchange at different maturities for interbank term deposit in different currencies.
  • (bb) Risk measures for the portfolios referred to in Section 3 and Section 4, together with the Present Value, shall be computed from the “RM initial reference date” to the “RM final reference date”. Institutions shall submit the results of those calculations to their competent authority by RM remittance date.
  • (cc) IMV shall be reported for each instrument. Risk measures and Present Value, where applicable, shall be reported for each portfolio, both individual and aggregated. All results shall be reported with respect to the base currency.
  • (dd) Only institutions which have been granted permission to model specific risk shall report credit spread portfolios. For interest rate portfolios which include risk as part of certain instruments, individual and aggregated portfolios shall be modelled by institutions which have been granted the permission to model the general interest risk as well as institutions which have been granted the permission to model the general and the specific interest risk.
  • (ee) The results for the aggregated portfolios shall be submitted only where the results of all components are submitted.
  • (ff) In Section 2 (Instruments) “Year T” shall mean “2020” and Year T + X shall mean 2020 + X, with X as specified in Section 2 of this Annex.
  • (gg) In Section 2 of this Annex (Instruments), institutions shall determine the day of expiry/maturity in accordance with the following instructions:
  • (i) Where the date is specified, that specific date shall be used;
  • (ii) Where no date is specified, market convention, where available, shall be used. If for example there is a market convention that the day of expiry/maturity is the 3rd Friday of the month, then “June Year T” shall mean the 3rd Friday of June of the year T;
  • (iii) At the end of the month, when 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.
  • (hh) In Section 2 of this Annex (Instruments), for all CDS, unless explicitly specified otherwise, the following requirements shall apply:
  • (i) Coupon frequency: Quarterly;
  • (ii) Coupon(bps): 100;
  • (iii) Day count: ACT/360;
  • (iv) ISDA Definitions year: 2014;
  • (v) Restructuring clause: Modified-Modified Restructuring (MMR);
  • (vi) Maturity: December Year T+4;
  • (vii) Debt type: Senior;
  • (viii) Tenor: 5 Year;
  • (ix) Effective date as booking date;
  • (x) The used discount curve and recovery rate shall be indicated in the explanatory note referred to in point (d) of this Section.
  • (ii) The IMV for an index future shall be reported as the market price at the IMV reference date, multiplied by the number of contracts.
  • (jj) A number of 100 contracts, for instruments 1, 3-17, as referred to in Section 2 of this Annex, shall be used uniformly for the purposes of calculating IMV.
  • (kk) For Credit Spread Instruments, instruments 52-67 and 69, as referred to in Section 2 of this Annex, standard ISDA definitions and standard restructuring clauses shall apply.
  • (ll) Institutions shall provide the information related to the time of valuation of the PV mentioning the time in the explanatory note referred to in point (d) of this Section. Where possible, valuation of the PV shall be computed at close of business day.

Section 2: Instruments

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

Equity
1. Long EURO STOXX 50 index (Ticker: SX5E) Future (1 point equals movement of EUR 10). Exchange: Eurex Expiry date: June Year T Base currency: EUR
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2. Long 10 000 BAYER (Ticker: BAYN GR) shares. Exchange: Xetra Base currency: EUR
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3. Short Future BAYER (Ticker: BAYN GR) (1 contract = 100 shares). Exchange: Eurex Expiry date: June Year T Base currency: EUR
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4. Short Future, PEUGEOT PSA (Ticker: UG FP) (1 contract = 100 shares). Exchange: Euronext Expiry date: June Year T Base currency: EUR
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5. Short Future, ALLIANZ (Ticker: ALV GR) (1 contract = 100 shares). Exchange: Eurex Expiry date: June Year T Base currency: EUR
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6. Short Future BARCLAYS (Ticker: BARC LN) (1 contract = 100 shares). Exchange: Eurex Expiry date: June Year T Base currency: GBP
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7. Short Future DEUTSCHE BANK (Ticker: DBK GR) (1 contract = 100 shares). Exchange: Eurex Expiry date: June Year T Base currency: EUR
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8. Short Future CRÉDIT AGRICOLE (Ticker: ACA FP) (1 contract = 100 shares). Exchange: Euronext Expiry date: June Year T Base currency: EUR
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9. Long Call Option. Underlying BAYER (Ticker: BAYN GR), ATM (1 contract = 100 shares). Expiry date: June Year T Base currency: EUR
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10. Short Call Option. Underlying BAYER (Ticker: BAYN GR), ATM (1 contract = 100 shares). Expiry date: December Year T Base currency: EUR
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11. Long Call Option. Underlying PFIZER (Ticker PFE US) 10 % OTM, (1 contract = 100 shares). Expiry date: June Year T Base currency: USD
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12. Long Put Option. Underlying PFIZER (Ticker PFE US) 10 % OTM, (1 contract = 100 shares). Expiry date: June Year T Base currency: USD
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13. Long Call Option. Underlying BAYER (Ticker: BAYN GR), 10 % OTM (1 contract = 100 shares). Expiry date: December Year T Base currency: EUR
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14. Short Call Option. Underlying BAYER (Ticker: BAYN GR), 10 % OTM (1 contract = 100 shares). Expiry date: June Year T Base currency: EUR
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15. Long Call Option. Underlying AVIVA (Ticker: AV/LN), 10 % OTM (1 contract = 100 shares). Expiry date: December Year T Base currency: GBP
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16. Long Put Option. Underlying AVIVA (Ticker: AV/LN), 10 % OTM (1 contract = 100 shares). Expiry date: December Year T Base currency: GBP
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17. Short Future NIKKEI 225 (Ticker NKY) (1 point equals 500 JPY). Exchange: japan exchange Expiry date: 11 June Year T Base currency: JPY
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18. Auto-callable Equity product Long position Booking on “Booking date” Notional amount (“Capital”): EUR 1 000 000 Underlying: Index EURO STOXX 50 (Ticker: SX5E) Base currency: EUR Maturity: 5 years Annual Pay-out and annual observation (“Booking date + 1 year”, “Booking date + 2 years”, “Booking date + 3 years”, “Booking date + 4 years”, “Booking date + 5 years”). Pay-out occurs 10 days after reference date. Coupon: 6 % Autocall level (“Initial value”): End of day Booking date + 1 month Barrier coupon payment 60 % of autocall level Protection barrier: 55 % of autocall level — Capital not guaranteed if the index is below the protection barrier (capital returned on year 5 will be pro-rata where the level is below the protection barrier: for instance, if the SX5E = 40 % of its initial level then the capital returned is 40 %); — If SX5E ≥ 60 % (barrier coupon) of initial value at the end of any year, then the coupon paid out is 6 %; — If SX5E ≥ 100 % of initial value at the end of any year, then the product is called and the pay out is the coupon plus the capital (100 %); — If SX5E < 60 % (barrier coupon) of initial value at the end of any year, then no coupon is paid; — If SX5E < 55 % (protection barrier) of initial value at the end of year 5, then the capital is only paid pro-rata. Else if SX5E >= 55 % (protection barrier) of initial value at the end of year 5, then the capital is fully paid.

IR
19. 5-year IRS EUR – Receive fixed rate and pay floating rate Fixed leg: receive annually Floating rate: 3-month EURIBOR, pay quarterly 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. Base currency: EUR
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20. Two-year EUR swaption on 5-year interest rate swap. 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 in instrument n. 19 Maturity of the underlying swap: Booking date + 7 years Premium paid at the booking date (Booking date). Cash settled The strike price is based on the IRS rate defined in instrument n. 19 (i.e. the strike price is the fixed rate as IRS defined in instrument n. 19) Base currency: EUR
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21. 5-year IRS USD. Receive fixed rate and pay floating rate. Fixed rate: receive annually Floating rate: 3-month USD LIBOR rate, pay quarterly Notional: USD 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 date: September Year T+4. Base currency: USD
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22. 2-year IRS GBP. Receive fixed rate and pay floating rate. Fixed rate: receive annually Floating rate: 3-month GBP LIBOR rate, pay quarterly Notional: GBP 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 Base currency GBP
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23. Long position on “Cap and Floor” 10-year UBS AG (Ticker: UBSG VX) Notes. Notional (Principal) Amount: USD 1 000 000. Floating Rate Notes (the “Notes”) are senior unsecured obligations of UBS AG (“UBS”). — The Notes shall bear interest at a per annum rate equal to USD 3-Month LIBOR plus 1,5 % per annum (the “Floating Interest Rate”), subject to a maximum interest rate of 7,5 % per annum (the “Interest Rate Cap”) and a minimum interest rate of 2,5 % per annum (the “Interest Rate Floor”). — Any payment on the Notes, including interest and principal at maturity, shall be subject to the creditworthiness of UBS AG. Institutions are asked to use an appropriate discounting curve, motivating that in the explanatory note. — Income: The Notes will pay interest quarterly at a rate equal to the Floating Interest Rate, provided that if on any Coupon Determination Date (i) the Floating Interest Rate is less than the Interest Rate Floor, then the applicable interest rate for the related Interest Period will be equal to the Interest Rate Floor, or (ii) the Floating Interest Rate is greater than the Interest Rate Cap, then the applicable interest rate for the related Interest Period will be equal to the Interest Rate Cap. Interest Payment 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 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 U.S. dollars are transacted in the London interbank market.
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24. Long GERMANY GOVT EUR 5 000 000 (ISIN DE0001135085) Maturity: 4 July 2028 Base currency: EUR
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25. Short GERMANY GOVT EUR 2 000 000 (ISIN DE0001102358)) Maturity: 15 May 2024 Base currency: EUR
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26. Long ITALY GOVT EUR 5 000 000 (ISIN IT0005246134) Maturity: 15 May 2028 Base currency: EUR
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27. Long ITALY GOVT EUR 1 000 000 (ISIN IT0004953417) Maturity: 1 March 2024 Base currency: EUR
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28. Long SPAIN GOVT EUR 5 000 000 (ISIN ES00000124C5) Maturity: 31 October 2028 Base currency: EUR
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29. Short FRANCE GOVT EUR 5 000 000 (ISIN FR0011317783) Maturity: 25 October 2027 Base currency: EUR
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30. Short GERMANY GOVT EUR 10 000 000 (ISIN DE0001102390) Maturity: 15 February 2026 Base currency: EUR
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31. Long UNITED KINGDOM GOVT GBP 5 000 000 (ISIN GB0002404191) Maturity: 7 December 2028 Base currency: GBP
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32. Long PORTUGAL GOVT EUR 5 000 000 (ISIN PTOTETOE0012) Maturity: 21 July 2026 Base currency: EUR
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33. Short UNITED STATES GOVT USD 10 000 000 (ISIN US9128283P31) Maturity: 31 December 2024 Base currency USD
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34. Long BRAZIL GOVT 5 000 000 USD (ISIN US105756BT66)) Maturity: 5 January 2024 Base currency: USD
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35. Long MEXICO GOVT 5 000 000 USD (ISIN US91086QBC15) Maturity: 2 October 2023 Base currency USD
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36. 10-year IRS EURO – Receive floating rate and pay fixed rate. Fixed leg: pay annually. Floating rate: 3-month EURIBOR, receive quarterly 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 Base currency: EUR
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37. 5-year IRS EURO – Receive floating rate and pay fixed rate. Fixed leg: pay annually Floating rate: 6-month EURIBOR, receive every 6 months Notional: EUR 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 Base currency: EUR

FX
38. 6-month USD/EUR forward contract. Cash settled. Notional USD 10 000 000 USD purchased at the EUR/USD ECB reference spot rate as of end of the booking date Base currency: EUR
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39. 6-month EUR/GBP forward contract. Cash settled. Notional 10 000 000 GBP purchased at the EUR/GBP ECB reference spot rate as of end of the booking date Base currency: EUR
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40. Long 1 000 000 USD Cash. Cash position Base currency: EUR
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41. Long Call option. 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 Base currency: EUR
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42. Long Call option. 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 Base currency: EUR
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43. Short Call option. 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 Base currency: EUR
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44. Short Call option. 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 Base currency: EUR
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45. Long Put option. 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 Base currency: EUR
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46. Short Put option. 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 Base currency: EUR
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47. 5-year Mark to Market (MtM) Cross Currency EUR/USD SWAP. Receive USD and pay EUR. EUR: 3-month EURIBOR, pay quarterly USD: 3-month USD LIBOR rate, receive quarterly Notional EUR 10 000 000 adjusted on a quarterly basis Roll convention and calendar: standard Effective date as booking date Maturity: Booking date + 5 years Base currency: EUR See also Section 5 – Instrument additional specifications

Commodities
48. Long 3 500 000 6-month ATM London Gold Forwards contracts (1 contract = 0,001 troy ounces, notional: 3 500 troy ounces). Cash Settlement Base currency: USD
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49. Short 3 500 000 12-month ATM London Gold Forwards contracts (1 contract = 0,001 troy ounces, notional: 3 500 troy ounces). Cash Settlement Base currency: USD
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50. Long 30 contracts of 6-month WTI Crude Oil Call option with strike equals 12-month end-of-day forward price on the booking date (1 contract = 1 000 barrels. Total notional 30 000 barrels). Cash Settlement Base currency USD
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51. Short 30 contracts of 6-month WTI Crude Oil Put option with strike equals 12-month end-of-day forward price on the booking date (1 contract = 1 000 barrels. Total notional 30 000 barrels). Cash Settlement Base currency USD

Credit Spread
52. Long (i.e. Buy protection) USD 1 000 000 CDS on PORTUGAL Restructuring clause: FULL Base currency: USD
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53. Long (i.e. Buy protection) USD 1 000 000 CDS on ITALY Restructuring clause: FULL Base currency: USD
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54. Short (i.e. Sell protection) USD 1 000 000 CDS on SPAIN Restructuring clause: FULL Base currency: USD
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55. Long (i.e. Buy protection) USD 1 000 000 CDS on MEXICO Restructuring clause: FULL Base currency: USD
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56. Long (i.e. Buy protection) USD 1 000 000 CDS on BRAZIL Restructuring clause: FULL Base currency: USD
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57. Long (i.e. Buy protection) USD 1 000 000 CDS on UK Restructuring clause: FULL Base currency: USD
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58. Short (i.e. Sell protection) EUR 1 000 000 CDS on AXA (Ticker CS FP) Base currency: EUR
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59. Long (i.e. Buy protection) EUR 1 000 000 CDS on AXA (Ticker CS FP) Maturity: December Year T+2 Base currency: EUR
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60. Short (i.e. Sell protection) EUR 1 000 000 CDS on Aviva (Ticker AV LN) ISDA Definitions year 2003 Base currency: EUR
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61. Long (i.e. Buy protection) EUR 1 000 000 CDS on Aviva (Ticker AV LN) ISDA Definitions year 2003 Maturity: December Year T+2 Base currency: EUR
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62. Short (i.e. Sell protection) EUR 1 000 000 CDS on Vodafone (Ticker VOD LN) Base currency: EUR
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63. Short (i.e. Sell protection) EUR 1 000 000 CDS on ENI SpA (Ticker ENI IM) Base currency: EUR
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64. Short (i.e. Sell protection) USD 1 000 000 CDS on Eli Lilly (Ticker LLY US) Restructuring clause: No restructuring (XR14) Base currency: USD
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65. Short (i.e. Sell protection) EUR 1 000 000 CDS on Unilever (Ticker UNA NA) Base currency: EUR
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66. Long (i.e. Buy protection) EUR 1 000 000 CDS on Total SA (Ticker FP FP) Base currency: EUR
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67. Long (i.e. Buy protection) EUR 1 000 000 CDS on Volkswagen Group (Ticker VOW GR) Base currency: EUR
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68. Long position on TURKEY Govt. notes USD 1 000 000 (ISIN US900123CF53) Maturity: 22 March 2024 Base currency: USD
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69. Long (i.e. Buy protection) USD 1 000 000 CDS on TURKEY. Effective date as booking date. Restructuring clause: FULL Base currency: USD
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70. Long position on AXA notes EUR 1 000 000 (ISIN FR0011524248) Maturity: 29 January 2024 Base currency: EUR
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71. Long position on Volkswagen Group notes EUR 1 000 000 (ISIN XS1586555861) Maturity: 2 October 2023 Base currency: EUR
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72. Short position Volkswagen Group notes EUR 1 000 000 (ISIN XS1586555606) Maturity: 30 March 2021 Base currency: EUR
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73. Long position on Total SA notes EUR 1 000 000 (ISIN XS0830194501) Maturity: 15 March 2023 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 5 000 000 Maturity: 5 years Running spread 100 bps. The portfolio shall be constructed by hedging the index tranche with the iTraxx Europe index on-the-run series to achieve a zero CS01 as of booking date. No further re-hedging is required. Base currency: EUR
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75. Long (i.e. Buy protection) USD 1 000 000 First to Default Basket Swap on {Brazil, Mexico and Turkey}. Effective date as booking date Restructuring clause: FULL Maturity: September Year T+4 Base currency: USD

Section 3: Individual Portfolios

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

Portfolio Combination of instruments: The first figure represents the instrument (as referred to in Section 2 of this Annex). The second figure represents the quantity of each instrument or number of contracts, as applicable. Base Currency Risk measures required
EQUITY EQUITY EQUITY EQUITY
1 1 – 1 000 instruments EUR VaR and Stressed VaR
2 3 – 1 000 instruments 4 – 1 000 instruments 5 – 1 000 instruments EUR VaR and Stressed VaR
3 13 – 100 instruments 10 – 100 instruments EUR VaR and Stressed VaR
4 15 – 100 instruments 16 – 100 instruments GBP VaR and Stressed VaR
5 17 – 1 000 instruments JPY VaR and Stressed VaR
6 9 – 500 instruments 10 – 500 instruments EUR VaR and Stressed VaR
7 18 – 1 instrument EUR VaR and Stressed VaR
8 11 – 1 000 instruments 12 – 1 000 instruments USD VaR and Stressed VaR
9 2 – 1 instruments 14 – 100 instruments EUR VaR and Stressed VaR
10 6 – 1 000 instruments 7 – 1 000 instruments 8 – 1 000 instruments EUR VaR and Stressed VaR
11 19 – 1 instrument EUR VaR and Stressed VaR
12 20 – 1 instrument EUR VaR and Stressed VaR
13 21 – 1 instrument USD VaR and Stressed VaR
14 22 – 1 instrument GBP VaR and Stressed VaR
15 23 – 1 instrument USD VaR; Stressed VaR; IRC
16 24 – 1 instrument 25 – 1 instrument EUR VaR; Stressed VaR; IRC
17 24 – 1 instrument 25 – 1 instrument 26 – 1 instrument EUR VaR; Stressed VaR; IRC
18 24 – 1 instrument 25 – 1 instrument 26 – 1 instrument 27 – 1 instrument 28 – 1 instrument 29 – 1 instrument 30 – 1 instrument EUR VaR; Stressed VaR; IRC
19 19 – 1 instrument 36 – 1 instrument EUR VaR and Stressed VaR;
20 19 – 1 instrument 37 – 1 instrument EUR VaR and Stressed VaR;
21 36 – 1 instrument 37 – 1 instrument EUR VaR and Stressed VaR;
22 19 – 1 instrument 20 – 1 instrument EUR VaR and Stressed VaR;
23 31 – 1 instrument GBP VaR; Stressed VaR; IRC
24 33 – 1 instrument 34 – 1 instrument 35 – 1 instrument USD VaR; Stressed VaR; IRC
25 21 – 1 instrument 33 – 1 instrument USD VaR and Stressed VaR
26 26 – 1 instrument 27 – 1 instrument 28 – 1 instrument 32 – 1 instrument EUR VaR; Stressed VaR; IRC
27 38 – 1 instrument 39 – 1 instrument EUR VaR and Stressed VaR
28 40 – 1 instrument 41 – 1 instrument EUR VaR and Stressed VaR
29 41 – 1 instrument 42 – 1 instrument 43 – 1 instrument EUR VaR and Stressed VaR
30 44 – 1 instrument 45 – 1 instrument EUR VaR and Stressed VaR
31 46 – 1 instrument EUR VaR and Stressed VaR
32 47 – 1 instrument EUR VaR and Stressed VaR
33 48 – 1 instrument 49 – 1 instrument USD VaR and Stressed VaR
34 50 – 1 instrument 51 – 1 instrument USD VaR and Stressed VaR
35 48 – 1 instrument 51 – 1 instrument USD VaR and Stressed VaR
36 52 – 1 instrument 53 – 1 instrument 54 – 1 instrument USD VaR; Stressed VaR; IRC
37 55 – 1 instrument 56 – 1 instrument USD VaR; Stressed VaR; IRC
38 58 – 1 instrument 59 – 1 instrument EUR VaR; Stressed VaR; IRC
39 54 – 1 instrument 55 – 1 instrument USD VaR; Stressed VaR; IRC
40 60 – 1 instrument 61 – 1 instrument EUR VaR; Stressed VaR; IRC
41 62 – 1 instrument 63 – 1 instrument 65 – 1 instrument 66 – 1 instrument 67 – 1 instrument EUR VaR; Stressed VaR; IRC
42 68 – 1 instrument 69 – 1 instrument USD VaR; Stressed VaR; IRC
43 70 – 1 instrument 71 – 1 instrument 73 – 1 instrument EUR VaR; Stressed VaR; IRC
44 71 – 1 instrument 72 – 1 instrument EUR VaR; Stressed VaR; IRC
45 70 – 1 instrument 59 – 1 instrument EUR VaR; Stressed VaR; IRC
46 66 – 1 instrument 73 – 1 instrument EUR VaR; Stressed VaR; IRC
47 64 – 1 instrument USD VaR; Stressed VaR; IRC
48 71 – 1 instrument 72 – 1 instrument 67 – 1 instrument EUR VaR; Stressed VaR; IRC
49 57 – 1 instrument 54 – 1 instrument USD VaR; Stressed VaR; IRC
50 53 – 1 instrument 27 – 1 instrument EUR VaR; Stressed VaR; IRC
51 55 – 5 instruments 35 – 1 instrument USD VaR; Stressed VaR; IRC
52 56 – 5 instruments 34 – 1 instrument USD VaR; Stressed VaR; IRC
53 55 – 5 instruments 35 – 1 instrument 56 – 5 instruments 34 – 1 instrument USD VaR; Stressed VaR; IRC
54 74 – 1 instrument EUR VaR; Stressed VaR; APR
55 75 – 1 instrument USD VaR; Stressed VaR; APR
56 75 – 5 instruments 68 – 5 instruments 34 – 1 instrument 35 – 1 instrument USD VaR; Stressed VaR; APR

Section 4: Aggregated Portfolios

Institutions shall 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 their numbers as referred to in Section 3 of this Annex) 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; Stressed VaR; IRC
58 EQUITY Cumulative 1, 2, 6, 7, 9 EUR VaR and Stressed VaR
59 IR Cumulative 11, 12, 18, 21 EUR VaR and Stressed VaR
60 FX Cumulative 27, 28, 30, 31, 32 EUR VaR and Stressed VaR
61 Commodity Cumulative 33, 34 USD VaR and Stressed VaR
62 Credit Spread cumulative 38, 41, 43 EUR VaR; Stressed VaR; IRC
63 CTP cumulative EUR 54, 56 EUR VaR; Stressed VaR; APR

Section 5: Additional specifications for instruments

Institutions shall apply the following additional specifications to the financial instruments described in Section 2 of this Annex:
Instrument: 47
Description: 5-year Mark to Market (MtM) Cross Currency EUR/USD SWAP Receive USD and pay EUR Notional: EUR 10 000 000 , USD (EUR 10 000 000 * FX USD/EUR)
Pay: Float leg 2
Rec: Float leg 1
Notional Exchange and Reset: On effective date and maturity date. Further, on every coupon payment date, an additional payment corresponding to adjustment of the USD notional on Float leg 2 is made. The USD notional is adjusted to equal 10 000 000  EUR, at spot rate 2 business days in advance of each payment date.
Cash balance Included
Float Leg 1
Notional: 10 000 000  EUR converted to USD at spot on effective date
Effective Date: Booking date
Maturity Date: Booking date + 5 years
Payment Date Generation: Forward from Effective Date
Coupon Payment Frequency: Quarterly
Coupon Rate: 3 000 000 USD LIBOR + 0 bps.
Coupon Rate Reset Freq: Quarterly
Coupon Rate Fixing Convention: 2 days in advance of each coupon period
Coupon Rate Compounding Frequency: Simple Interest
Day Count: ACT/360
Payment Business Day: LON, NYC, TARGET
Payment Business Day Convention: Modified Following
Notional Reset Business Day: LON, NYC, TARGET
Notional Reset Business Day Convention: Previous
Coupon Rate Reset Business Day: LON, NYC, TARGET
Coupon Rate Reset Business Day Convention: Previous
Float Leg 2
Notional: 10 000 000  EUR
Effective Date: Booking date
Maturity Date: Booking date + 5 years
Payment Date Generation: Forward from Effective Date
Coupon Payment Frequency: Quarterly
Coupon Rate: 3 000 000 EURIBOR + 0 bps.
Coupon Rate Reset Frequency: Quarterly
Coupon Rate Fixing Convention: 2 days in advance of each coupon period
Coupon Rate Compounding Frequency: Simple Interest
Day Count: ACT/360
Payment Business Day: LON, NYC, TARGET
Payment Business Day Modified Following
Notional Reset Business Day: LON, NYC, TARGET
Notional Reset Business Day Convention: Previous
Coupon Rate Reset Business Day: LON, NYC, TARGET
Coupon Rate Reset Business Day Convention: Previous’

ANNEX VI

‘ANNEX VI

RESULTS SUPERVISORY BENCHMARK PORTFOLIOS
TEMPLATE RELATED INSTRUCTIONS 2748
--- ---
C 106.00 – Initial Market Valuation and exclusion justification 2748
--- ---
C 107.01 – VaR & sVaR Non-CTP. Details 2749
--- ---
C 107.02 – VaR, sVaR and PV - Non-CTP. Base Currency Results 2752
--- ---
C 108.00 – Profit & Loss Time Series 2753
--- ---
C 109.01 – IRC. Details of the Model 2754
--- ---
C 109.02 – IRC. Details by Portfolio 2755
--- ---
C 109.03 – IRC. Amount by Portfolio/Date 2756
--- ---
C 110.01 – CT. Details of the Model 2757
--- ---
C 110.02 – CT. Details by Portfolio 2758
--- ---
C 110.03 – CT. APR by Portfolio/Date 2759

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 3 (2) of Commission Implementing Regulation (EU) 2016/2070 One of the following shall be reported: (a) Model not authorised by regulator; (b) Instrument or underlying not authorised internally; (c) Underlying or modelling feature not contemplated internally; (d) Other rationale for exclusion. Please, explain that rationale in column 060.
060 Free text box An institution may provide any additional information in this column.
070 Initial market valuation (“IMV”) The mark-to-market value of each instrument on the reference date at 5:30 pm CET (as referred to in Annex V, Section 1, point (b). The cell shall be left blank where the institution does not wish to provide an IMV for a certain portfolio (i.e. zero values shall be reported only where the result of the calculation is zero).

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

Row Label Legal reference Instructions
010-060 VaR VaR VaR
010 Methodology One of the following shall be reported in column 010: (a) Historical simulation; (b) Monte Carlo simulation; (c) Parametric methodology; (d) Combination / other methodology (please specify). The institution shall use column 020 to clarify the answer given in column 010. Where option (d) was selected in column 010, the institution shall provide details in column 020.
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. The institution shall use column 020 to clarify the answer given in column 010.
030 Length of observation period Article 365(1) point (d) of Regulation (EU) No 575/2013 One of the following shall be reported in column 010: (a) Up to 1 year; (b) More than 1 and up to 2 years; (c) More than 2 and up to 3 years; (d) More than 3 years. The institution shall use column 020 to clarify the answer given in column 010.
040 Data Weighting Article 365(1) point (d) of Regulation (EU) No 575/2013 One of the following shall be reported in column 010: (a) Unweighted (VaR data weighting); (b) Weighted (VaR data weighting); (c) Higher of weighted and unweighted (VaR data weighting) in points (a) and (b). The institution shall use column 020 to clarify 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 of Article 366 (2) of Regulation (EU) No 575/2013 The institution shall use column 020 to clarify the answer given in column 010.
060 VaR Regulatory add-on Article 366(2) of Regulation (EU) No 575/2013 (“at least 3”) VaR Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for VaR (at least 3) in accordance with Article 366 (2) of Regulation (EU) No 575/2013. The VaR Regulatory add-on is the sum of the backtesting add-on and of the qualitative add-on, where applicable, in excess to 3. The institution shall use column 020 to clarify the answer given in column 010.
070-100 SVaR (i.e. Stressed VaR) SVaR (i.e. Stressed VaR) SVaR (i.e. Stressed VaR)
070 Methodology One of the following shall be reported in column 010: (a) Historical simulation; (b) Monte Carlo simulation; (c) Parametric methodology; (d) Combination / other methodology (please specify). The institution shall use column 020 to clarify the answer given in column 010. In case option (d) was selected in column 010, the institution shall provide details in column 020.
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. The institution shall use column 020 to clarify 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 Article 366 (2) of Regulation (EU) No 575/2013. The regulatory add-on is the sum of 3, backtesting add-on and qualitative add-on (if applicable). The institution shall use column 020 to clarify the answer given in column 010.
100 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 the date specified in column 020; (b) Weekly computation of the stressed VaR calibrated to one continuous 12-month period starting from the date specified in column 020; (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 the dates specified in column 020; (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 the dates specified in column 020; (e) Maximum of daily computation of the stressed VaR calibrated to more than one single 12-month period; (f) Maximum of weekly computation of the stressed VaR calibrated to more than one single 12-month period; (g) Other choices for the stressed VaR calibration (please specify). The institution shall use column 020 to provide the starting date in the format of “dd/mm/yyyy” in case of options (a) or (b) given in column 010 and the starting dates in the format of “dd/mm/yyyy” used for each stressed VaR computation in case of options (c) or (d) given in column 010. The institution shall also use column 020 to clarify the 12-month period used for each stressed VaR computation 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 Sections 3 and 4 of Annex V to this Implementing Regulation The portfolio (both individual and aggregated) number taken from Annex V shall be reported.
Column Label Legal reference
--- --- ---
010 Date
020 VaR Article 365 of Regulation (EU) No 575/2013
030 sVaR Article 365 of Regulation (EU) No 575/2013
040 PV

C 108.00 - Profit & Loss Time Series

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

Instructions concerning sheets (z-axis)

Label Legal reference Instructions
Portfolio Sections 3 and 4 of Annex V to this Implementing Regulation The portfolio number (both individual and aggregated) taken from Annex V to this Implementing Regulation shall be reported.
Column Label Legal reference
--- --- ---
010 Date Article 365(1) point (d) of Regulation (EU) No 575/2013
020 Daily P&L

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 modelling factor; (b) 2 modelling factors; (c) More than 2 modelling factors. The institution shall use column 020 to clarify 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 source of LGD (please specify). The institution shall use column 020 to clarify the answer given in column 010. In case option (c) was selected in column 010, the institution shall provide details in this column.

C 109.02 – IRC. Details by Portfolio

Instructions concerning sheets (z-axis)

Label Legal reference Instructions
Portfolio Sections 3 and 4 of Annex V to this Implementing Regulation The portfolio number (both individual and aggregated) taken from Annex V to this Implementing Regulation, only for those portfolios where IRC is requested, shall be reported.
Row Label Legal reference
--- --- ---
10 Liquidity Horizon Article 374(5) of Regulation (EU) No 575/2013
20 Source of PDs
30 Source of transition matrices

C 109.03 – IRC. Amount by Portfolio/Date.

Instructions concerning sheets (z-axis)

Label Legal reference Instructions
Portfolio Sections 3 and 4 of Annex V to this Implementing Regulation The portfolio (both individual and aggregated) number taken from Annex V to this Implementing Regulation, only for those portfolios where IRC is requested, shall be reported.
Column Label Legal reference
--- --- ---
010 Date
020 IRC Articles 372 to 376 of Regulation (EU) No 575/2013

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 modelling factor; (b) 2 modelling factors; (c) More than 2 modelling factors. The institution shall use column020 where it wants to clarify 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 sources of LGD (please specify). The institution shall use column 020 to clarify the answer given in column 010. In case option (c) was selected in column 010, the institution shall provide details in this column.

C 110.02 – CT. Details by Portfolio.

Instructions concerning sheets (z-axis)

Label Legal reference Instructions
Portfolio Sections 3 and 4 of Annex V to this Implementing Regulation The portfolio (both individual and aggregated) number taken from Annex V to this Implementing Regulation, only for those portfolios where APR is requested, shall be reported.
Row Label Legal reference
--- --- ---
010 Liquidity horizon Article 377(2) of Regulation (EU) No 575/2013
020 Source of PDs Article 377 of Regulation (EU) No 575/2013
030 Source of transition matrices Article 377 of Regulation (EU) No 575/2013

C 110.03 – CT. APR by Portfolio/Date

Instructions concerning sheets (z-axis)

Label Legal reference Instructions
Portfolio Section 3 of Annex V to this Implementing Regulation The portfolio (both individual and aggregated) number taken from Annex V to this Implementing Regulation, only for those portfolios where APR is requested, shall be reported
Column Label Legal reference
--- --- ---
010 Date Article 377 of Regulation (EU) No 575/2013
60 APR Article 377 of Regulation (EU) No 575/2013

ANNEX VII

‘ANNEX VII

Results Supervisory Benchmarking portfolios. MARKET RISK
RESULTS BENCHMARKING PORTFOLIOS. MARKET RISK RESULTS BENCHMARKING PORTFOLIOS. MARKET RISK RESULTS BENCHMARKING 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 VaR VaR VaR
010 Methodology
020 Computation of 10-day Horizon
030 Length of observation period
040 Data Weighting
050 Backtesting add-on
060 Regulatory add-on
SVaR SVaR SVaR SVaR
070 Methodology
080 Computation of 10-day Horizon
090 SVaR Regulatory add-on
100 SVaR period
C 107.02 - VaR and SVaR NON-CTP. BASE CURRENCY RESULTS
Portfolio
Date VaR sVaR PV
010 020 030 040
C 108.00- PROFIT & LOSS TIME SERIES
Portfolio
Date Daily P&L
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
Portfolio
Option Free text box
Row Item 010 020
010 Liquidity Horizon
020 Source of PDs
030 Source of transition matrices
C 109.03 - IRC. AMOUNT BY PORTFOLIO/DATE
Portfolio
Date IRC
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
Portfolio
Option Free text box
Row Item 010 020
010 Liquidity Horizon
020 Source of PDs
030 Source of transition matrices
C 110.03 - CT. APR BY PORTFOLIO/DATE
Portfolio
Date APR
010 020’

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