Commission Implementing Regulation (EU) 2022/951 of 24 May 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions to be applied in the Union for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance)

C 120.01 – SBM. Risk sensitivities by Instrument/Portfolio

Institutions shall report, instrument by instrument, the sensitivities towards the risk factors that the instrument is exposed to. One row shall be reported per risk factor/sensitivity. The upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Article 325g of Regulation (EU) No 575/2013 shall be reported in individual rows). All values shall refer to the “RM final reference date” (as defined in Annex V, Section 1, point (b) to this Regulation). Institutions shall report each combination of Portfolio, Instrument number (column 0010), Risk identifier (column 0020), Bucket (column 0030) and Additional identifier (column 0040) only once.

Instructions concerning sheets (z-axis)

C 120.02 – SBM. OFR composition by portfolio

Instructions concerning sheets (z-axis)

C 120.03 – SBM. OFR

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

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

• (a) “GIRR” (general interest rate risk);

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

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

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

• (e) “EQ” (equity risk);

• (f) “CM” (commodity risk);

• (g) “FX” (foreign exchange risk).

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

• (a) “DELTA” (delta risk);

• (b) “VEGA” (vega risk);

• (c) “CURVATURE” (curvature risk).

• — The column “maturity” refers to the maturity of the risk factor, where risk factors are defined along specified vertices following the Articles 325l, 325m, 325n, 325o, 325p, 325q of Regulation (EU) No 575/2013. For vega general interest rate risk factors as specified in Article 325l(7) of Regulation (EU) No 575/2013 two maturities are given and separated by a hyphen (e.g. “0,5 years - 0,5 years”), the first refers to the maturity of the option and the second to residual maturity of the underlying of the option at the expiry date of the option.

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

ANNEX VII

‘ANNEX VII

Results Supervisory Benchmarking portfolios. MARKET RISK

C 106.00 - INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION

C 106.01 - RISK SENSITIVITIES BY INSTRUMENT

Instrument number

C 107.01 - VaR, sVaR and PV. DETAILS

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

Portfolio

C 108.00 - PROFIT & LOSS TIME SERIES

Portfolio

C 109.01 - IRC. DETAILS OF THE MODEL

C 109.02 - IRC. DETAILS BY PORTFOLIO

Portfolio

C 109.03 - IRC. AMOUNT BY PORTFOLIO/DATE

Portfolio

C 110.01 - CT. DETAILS OF THE MODEL

C 110.02 - CT. DETAILS BY PORTFOLIO

Portfolio

C 110.03 - CT. APR BY PORTFOLIO/DATE

Portfolio

C 120.01 - SBM. Risk sensitivities by Instrument/Portfolio

Portfolio

C 120.02 - SBM. OFR COMPOSITION BY PORTFOLIO

Portfolio

C 120.03 - SBM. OFR

ANNEX VIII

‘ANNEX VIII

Results Supervisory Benchmarking portfolios

Basic information about the reporting entity

C 111.00 - Details on exposures in Low Default Portfolios by counterparty

C 112.00 - Details on exposures in Low Default Portfolios by counterparty by economic scenario

C 113.00 - Details on exposures in Low Default Portfolios by counterparty by facility

C 114.00 – Details on macroeconomic scenarios per GDP Area code

ANNEX IX

‘ANNEX IX

IFRS 9 TEMPLATE REPORTING INSTRUCTIONS

PART I: GENERAL INSTRUCTIONS

PART II: TEMPLATE-RELATED INSTRUCTIONS

C 111.00 – Details on exposures in Low Default Portfolios by counterparty

C 112.00 – Details on exposures in Low Default Portfolios by counterparty by economic scenario

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

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

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

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

• — Where more than one, but less than 5 economic scenarios are used, the PD values associated with the economic scenario 0 shall be the weighted average of the PDs reported for the economic scenario 1 to 5, using the weights reported in the columns 0199to 0209 in the template C 114.00 of this Annex and 0 for the unused scenarios.

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

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

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

C 113.00 – Details on exposures in Low Default Portfolios by counterparty by facility

C 114.00 – Details on macroeconomic scenarios per GDP Area code

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

Where the IFRS 9 model related to the obligor uses a higher number of economic scenarios than five, including when performing Monte Carlo simulation, the template C 114.00 should not be populated.

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