LegalizeCommission Implementing Regulation (EU) 2024/348 of 19 January 2024 amending the implementing technical standards laid down in Commission Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council
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.
| 501. | Long (i.e. Buy protection) USD 1 000 000 CDS on PORTUGAL. Restructuring clause: FULL EBA instrument currency: USD | |
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| 502. | Long (i.e. Buy protection) USD 1 000 000 CDS on ITALY. Restructuring clause: FULL EBA instrument currency: USD | |
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| 503. | Short (i.e. Sell protection) USD 1 000 000 CDS on SPAIN. Restructuring clause: FULL EBA instrument currency: USD | |
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| 504. | Long (i.e. Buy protection) USD 1 000 000 CDS on MEXICO. Restructuring clause: FULL EBA instrument currency: USD | |
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| 505. | Long (i.e. Buy protection) USD 1 000 000 CDS on BRAZIL. Restructuring clause: FULL EBA instrument currency: USD | |
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| 506. | Long (i.e. Buy protection) USD 1 000 000 CDS on UK. Restructuring clause: FULL EBA instrument currency: USD | |
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| 507. | Short (i.e. Sell protection) EUR 1 000 000 CDS on Telefonica (Ticker TEF SM). EBA instrument currency: EUR | |
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| 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 | |
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| 509. | Short (i.e. Sell protection) EUR 1 000 000 CDS on Aviva (Ticker AV LN). ISDA Definitions year 2003 EBA instrument currency: EUR | |
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| 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 | |
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| 511. | Short (i.e. Sell protection) EUR 1 000 000 CDS on Vodafone (Ticker VOD LN). EBA instrument currency: EUR | |
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| 512. | Short (i.e. Sell protection) EUR 1 000 000 CDS on ENI SpA (Ticker ENI IM). EBA instrument currency: EUR | |
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| 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 | |
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| 514. | Short (i.e. Sell protection) EUR 1 000 000 CDS on Unilever (Ticker UNA NA). EBA instrument currency: EUR | |
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| 515. | Long (i.e. Buy protection) EUR 1 000 000 CDS on Total SA (Ticker FP FP). EBA instrument currency: EUR | |
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| 516. | Long (i.e. Buy protection) EUR 1 000 000 CDS on Volkswagen Group (Ticker VOW GR). EBA instrument currency: EUR | |
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| 517. | Long position on TURKEY Govt. notes USD 1 000 000 (ISIN US900123CT57). Maturity: 26 April 2029 EBA instrument currency: USD | |
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| 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 | |
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| 519. | Long position on Telefonica notes EUR 1 000 000 (ISIN XS1681521081). Maturity: 12 January 2028 EBA instrument currency: EUR | |
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| 520. | Long position on Volkswagen Group notes EUR 1 000 000 (ISIN XS2234567233). Maturity: 22 September 2028 EBA instrument currency: EUR | |
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| 521. | Short position Volkswagen Group notes EUR 1 000 000 (ISIN XS1167667283). Maturity: 16 January 2030 EBA instrument currency: EUR | |
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| 522. | Long position on Total SA notes EUR 1 000 000 (ISIN XS1856281834). Maturity: 11 July 2033 EBA instrument currency: EUR | |
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| 523. | Long AUSTRIA GOVT EUR 1 000 000 (ISIN AT0000A04967). Maturity: 15 March 2037 EBA instrument currency: EUR | |
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| 524. | Long (i.e. Buy protection) USD 1 000 000 CDS on AUSTRIA. Maturity: June Year T+15 EBA instrument currency: USD | |
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| 525. | Long NETHERLANDS GOVT EUR 1 000 000 (ISIN NL0013552060). Maturity: 15 January 2040 EBA instrument currency: EUR | |
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| 526. | Long (i.e. Buy protection) USD 1 000 000 CDS on NETHERLANDS. Maturity: June Year T+20 EBA instrument currency: USD | |
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| 527. | Long BELGIUM GOVT EUR 1 000 000 (ISIN BE0000348574). Maturity: 22 June 2050 EBA instrument currency: EUR | |
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| 528. | Long (i.e. Buy protection) USD 1 000 000 CDS on BELGIUM. Maturity: June Year T+30 EBA instrument currency: USD | |
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| 529. | Long (Buy protection) EUR 10 000 000 CDS on iTraxx Europe index on-the-run series. Maturity: June Year T+4 EBA instrument currency: EUR | |
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| 530. | Short Put option. EUR 10 000 000. Underlying iTraxx Europe index on-the-run series (same instrument of 529). Strike price: ATM Expiry date: Booking date + 6 months EBA instrument currency: EUR | |
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| 531. | Long AXA SA (callable) EUR 1 000 000 (ISIN XS1799611642). Maturity: 28 May 2049 EBA instrument currency: EUR | |
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| 532. | Long AT&T Bond (callable) USD 1 000 000 (ISIN US00206RFW79). Maturity: 15 August 2037 EBA instrument currency: USD | |
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| 533. | Long BAYER AG (callable) EUR 1 000 000 (ISIN XS2199266268). Maturity: 06 January 2030 EBA instrument currency: EUR | |
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| 534. | Long ORANGE SA Bond (callable) EUR 1 000 000 (ISIN FR0013323870). Maturity: 20 March 2028 EBA instrument currency: EUR |
CTP
| 601. | Short (i.e. Sell protection) position in iTraxx Europe index on-the-run series. Attachment point: 3 % Detachment point: 6 % Notional: EUR 5 000 000 Maturity: 5 years EBA instrument currency: EUR | |
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| 602. | Long (i.e. Buy protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series. Maturity: June Year T+4 EBA instrument currency: EUR Notional adj. to fully hedge CS01 of 601 with no re-hedging required | |
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| 603. | Long (i.e. Buy protection) position in iTraxx Europe index on-the-run series. Attachment point: 3 % Detachment point: 6 % Notional: EUR 5 000 000 Maturity: 5 years EBA instrument currency: EUR | |
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| 604. | Short (i.e. Sell protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series. Maturity: June Year T+4 EBA instrument currency: EUR Notional adj. to fully hedge CS01 of 603 with no re-hedging required | |
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| 605. | Short (i.e. Sell protection) position in iTraxx Europe index on-the-run series. Attachment point: 12 % Detachment point: 100 % Notional: EUR 5 000 000 Maturity: 5 years EBA instrument currency: EUR | |
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| 606. | Long (i.e. Buy protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series. Maturity: June Year T+4 EBA instrument currency: EUR Notional adj. to fully hedge CS01 of 605 with no re-hedging required | |
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| 607. | Long (i.e. Buy protection) position in iTraxx Europe index on-the-run series. Attachment point: 12 % Detachment point: 100 % Notional: EUR 5 000 000 Maturity: 5 years EBA instrument currency: EUR | |
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| 608. | Short (i.e. Sell protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series. Maturity: June Year T+4 EBA instrument currency: EUR Notional adj. to fully hedge CS01 of 607 with no re-hedging required | |
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| 609. | Short (i.e. Sell protection) position in iTraxx Europe index on-the-run series. Attachment point: 3 % Detachment point: 6 % Notional: EUR 5 000 000 Maturity: 5 years EBA instrument currency: EUR Recovery rate: 40 % fixed. | |
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| 610. | Long (i.e. Buy protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series. Maturity: June Year T+4 EBA instrument currency: EUR Notional adj. to fully hedge CS01 of 609 with no re-hedging required |
Section 3: Individual Portfolios
Institutions shall provide the required risk measures, along with the Present Value, of the following individual portfolios:
| Portfolio | Combination of instruments: The first figure represents the instrument (as referred to in Section 2 of this Annex). The second figure represents the quantity of each instrument or number of contracts, as applicable. | EBA portfolio currency | Risk measures required |
|---|---|---|---|
| EQUITY | |||
| 1001 | 101 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 1002 | 103 – 1 instrument 104 – 1 instrument 105 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 1003 | 113 – 1 instrument 110 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 1004 | 115 – 1 instrument 116 – 1 instrument | GBP | VaR; Stressed VaR; SBM; DRC; RRAO |
| 1005 | 117 – 1 instrument | JPY | VaR; Stressed VaR; SBM; DRC; RRAO |
| 1006 | 109 – 1 instrument 110 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 1007 | 118 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 1008 | 111 – 1 instrument 112 – 1 instrument | USD | VaR; Stressed VaR; SBM; DRC; RRAO |
| 1009 | 102 – 1 instrument 114 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 1010 | 106 – 1 instrument 107 – 1 instrument 108 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 1011 | 101 – 1 instrument 103 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 1012 | 101 – 1 instrument 103 – 1 instrument 104 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 1013 | 102– 1 instrument 104 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 1014 | 119 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 1015 | 120 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 1016 | 121 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 2001 | 201 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 2002 | 202 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 2003 | 203 – 1 instrument | USD | VaR; Stressed VaR; SBM; DRC; RRAO |
| 2004 | 204 – 1 instrument | GBP | VaR; Stressed VaR; SBM; DRC; RRAO |
| 2005 | 205 – 1 instrument | USD | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 2006 | 206 – 1 instrument 207 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 2007 | 206 – 1 instrument 207 – 1 instrument 208 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 2008 | 206 – 1 instrument 207 – 1 instrument 208 – 1 instrument 209 – 1 instrument 210 – 1 instrument 211 – 1 instrument 212 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 2009 | 201 – 1 instrument 218 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 2010 | 201 – 1 instrument 219 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 2011 | 218 – 1 instrument 219 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 2012 | 201 – 1 instrument 202 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 2013 | 213 – 1 instrument | GBP | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 2014 | 215 – 1 instrument 216 – 1 instrument 217 – 1 instrument | USD | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 2015 | 203 – 1 instrument 215 – 1 instrument | USD | VaR; Stressed VaR; SBM; DRC; RRAO |
| 2016 | 208 – 1 instrument 209 – 1 instrument 210 – 1 instrument 214 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 2017 | 220 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 2018 | 209 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 2019 | 209 – 1 instrument 219 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 2020 | 221 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 2021 | 222 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 2022 | 201 – 1 instrument 223 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 2023 | 224 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 3001 | 301 – 1 instrument 302 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 3002 | 303 – 1 instrument 304 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 3003 | 304 – 1 instrument 305 – 1 instrument 306 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 3004 | 307 – 1 instrument 308 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 3005 | 309 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 3006 | 310 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 3007 | 311 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 4001 | 401 – 1 instrument 402 – 1 instrument | USD | VaR; Stressed VaR; SBM; DRC; RRAO |
| 4002 | 403 – 1 instrument 404 – 1 instrument | USD | VaR; Stressed VaR; SBM; DRC; RRAO |
| 4003 | 401 – 1 instrument 404 – 1 instrument | USD | VaR; Stressed VaR; SBM; DRC; RRAO |
| 4004 | 405 – 1 instrument | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 5001 | 501 – 1 instrument 502 – 1 instrument 503 – 1 instrument | USD | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5002 | 504 – 1 instrument 505 – 1 instrument | USD | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5003 | 507 – 1 instrument 508 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5004 | 503 – 1 instrument 504 – 1 instrument | USD | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5005 | 509 – 1 instrument 510 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5006 | 511 – 1 instrument 512 – 1 instrument 514 – 1 instrument 515 – 1 instrument 516 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5007 | 517 – 1 instrument 518 – 1 instrument | USD | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5008 | 519 – 1 instrument 520 – 1 instrument 522 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5009 | 520 – 1 instrument 521 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5010 | 519 – 1 instrument 508 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5011 | 515 – 1 instrument 522 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5012 | 513 – 1 instrument | USD | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5013 | 520 – 1 instrument 521 – 1 instrument 516 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5014 | 506 – 1 instrument 503 – 1 instrument | USD | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5015 | 502 – 1 instrument 209 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5016 | 504 – 1 instrument 217 – 1 instrument | USD | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5017 | 505 – 1 instrument 216 – 1 instrument | USD | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5018 | 504 – 1 instrument 217 – 1 instrument 505 – 1 instrument 216 – 1 instrument | USD | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5019 | 502 – 1 instrument 209 – 1 instrument 219 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5020 | 523 – 1 instrument 525 – 1 instrument 527 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5021 | 524 – 1 instrument 526 – 1 instrument 528 – 1 instrument | USD | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5022 | 523 – 1 instrument 524 – 1 instrument 525 – 1 instrument 526 – 1 instrument 527 – 1 instrument 528 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5023 | 529 – 1 instrument 530 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5024 | 531 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5025 | 532 – 1 instrument | USD | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5026 | 533 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 5027 | 534 – 1 instrument | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 6001 | 601 – 1 instrument 602 – 1 instrument | EUR | VaR; Stressed VaR; APR; SBM; DRC; RRAO |
| 6002 | 603 – 1 instrument 604 – 1 instrument | EUR | VaR; Stressed VaR; APR; SBM; DRC; RRAO |
| 6003 | 605 – 1 instrument 606 – 1 instrument | EUR | VaR; Stressed VaR; APR; SBM; DRC; RRAO |
| 6004 | 607 – 1 instrument 608 – 1 instrument | EUR | VaR; Stressed VaR; APR; SBM; DRC; RRAO |
| 6005 | 609 – 1 instrument 610 – 1 instrument | EUR | VaR; Stressed VaR; APR; SBM; DRC; RRAO |
Section 4: Aggregated Portfolios
Institutions shall provide the required risk measures, along with the Present Value, of the following financial aggregated portfolios:
| Aggreg. Portfolio | Description | Combination of Individual Portfolios (individual portfolios as stated by their numbers as referred to in Section 3 of this Annex) | EBA portfolio Currency | Risk Measures requested |
|---|---|---|---|---|
| 10000 | ALL-IN no-CTP | 1001, 1002, 1006, 1007, 1009, 2001, 2002, 2008, 2011, 3001, 3002, 3003, 3004, 4001, 4002, 5003, 5006, 5008, 5022 | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 11000 | EQUITY Cumulative | 1001, 1002, 1006, 1007, 1009 | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 12000 | IR Cumulative | 2001, 2002, 2008, 2011 | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 13000 | FX Cumulative | 3001, 3002, 3003, 3004 | EUR | VaR; Stressed VaR; SBM; DRC; RRAO |
| 14000 | Commodity Cumulative | 4001, 4002 | USD | VaR; Stressed VaR; SBM; DRC; RRAO |
| 15000 | Credit Spread cumulative | 5003, 5006, 5008, 5022 | EUR | VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
| 16000 | CTP cumulative EUR | 6001, 6002 | EUR | VaR; Stressed VaR; APR; SBM; DRC; RRAO |
Section 5: Additional specifications for instruments
Institutions shall apply the following additional specifications to the financial instruments described in Section 2 of this Annex:
| Instrument: | 220 |
| 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 equivalent converted to USD at spot on effective date, equivalent adjusted on a quarterly basis |
| Effective Date: | Booking date + 6 months |
| Maturity Date: | Booking date + 5,5 years |
| Payment Date Generation: | Forward from Effective Date |
| Coupon Payment Frequency: | Quarterly |
| Coupon Rate: | 3-month SOFR + 0bps. |
| Coupon Rate Reset Freq: | Quarterly |
| Coupon Rate Fixing Convention: | Compounded daily over the 3-month 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 + 6 months |
| Maturity Date: | Booking date + 5,5 years |
| Payment Date Generation: | Forward from Effective Date |
| Coupon Payment Frequency: | Quarterly |
| Coupon Rate: | 3-month ESTER + 0 bps. |
| Coupon Rate Reset Frequency: | Quarterly |
| Coupon Rate Fixing Convention: | Compounded daily over the 3-month 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’ |
Section 6: SBM validation portfolios
Institutions shall provide the SBM risk measure of the portfolios defined in Annex X as part of the Risk Measure submission. For the SBM validation portfolios, institutions shall only report template C120.02 and limit the reporting in this template to the reporting currency results (i.e. column 0060 shall not be populated). Institutions shall not report information related to SBM validation instruments and portfolios as part of the IMV submission. Institutions shall assume that the risk sensitivities and curvature risk exposures defined by the instruments specified in Annex X are expressed in the institution’s reporting currency. Institutions shall further assume that the sensitivities are provided in the format specified in the reporting instructions for templates C 106.01/C 120.01 and the corresponding table with guidance for reporting these templates in Annex VI (Template instructions).
’
ANNEX V
‘ANNEX VI
RESULTS SUPERVISORY BENCHMARK PORTFOLIOS
| TEMPLATE RELATED INSTRUCTIONS | 3127 |
| --- | --- |
| C 106.00 – | Initial Market Valuation and exclusion justification |
| --- | --- |
| C 106.01 – | SBM. Risk sensitivities by Instrument |
| --- | --- |
| C 107.01 – | VaR & sVaR Non-CTP. Details. |
| --- | --- |
| C 107.02 – | VaR, sVaR and PV – Non-CTP. EBA portfolio currency Results. |
| --- | --- |
| C 108.00 – | Profit & Loss Time Series |
| --- | --- |
| C 109.01 – | IRC. Details of the Model |
| --- | --- |
| C 109.02 – | IRC. Details by Portfolio |
| --- | --- |
| C 109.03 – | IRC. Amount by Portfolio/Date. |
| --- | --- |
| C 110.01 – | CT. Details of the Model. |
| --- | --- |
| C 110.02 – | CT. Details by Portfolio. |
| --- | --- |
| C 110.03 – | CT. APR by Portfolio/Date |
| --- | --- |
| C 120.01 – | SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO |
| --- | --- |
| C 120.02 – | SBM. OFR COMPOSITION BY PORTFOLIO |
| --- | --- |
| C 120.04 – | DRC. MARKET VALUES AND GROSS JUMP-TO-DEFAULT (JTD) AMOUNTS BY INSTRUMENT/PORTFOLIO |
| --- | --- |
| C 120.05 – | DRC. OWN FUNDS REQUIREMENT (OFR) COMPOSITION BY PORTFOLIO |
| --- | --- |
| C 120.06 – | ASA. OFR |
TEMPLATE RELATED INSTRUCTIONS
C 106.00 – Initial Market Valuation and exclusion justification
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 0010 | Instrument number | Section 2 of Annex V to this Regulation | The instrument number taken from Annex V to this Regulation shall be reported. |
| 0020 | Instrument modelled for VaR and sVaR (TRUE/FALSE) | Either TRUE or FALSE shall be reported. | |
| 0030 | Instrument modelled for IRC (TRUE/FALSE) | Either TRUE or FALSE shall be reported. | |
| 0040 | Instrument modelled for correlation trading (TRUE/FALSE) | Either TRUE or FALSE shall be reported. | |
| 0050 | Rationale for exclusion | Article 3(2) of Implementing Regulation (EU) 2016/2070 | One of the following shall be reported: (a) Model not authorised by regulator; (b) Instrument or underlying not authorised internally; (c) Underlying or modelling feature not contemplated internally; (d) Other rationale for exclusion. Please, explain that rationale in column 0060. |
| 0060 | Free text box | An institution may provide any additional information in this column. | |
| 0070 | 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 Section 1, point (b) of Annex V to this Regulation. The cell shall be left blank where the institution does not wish to provide an IMV for a certain portfolio (i.e. zero values shall be reported only where the result of the calculation is zero). |
C 106.01 – SBM. Risk sensitivities by Instrument
Institutions shall report the sensitivities towards the risk factors that the instrument is exposed to. One row shall be reported per risk factor/sensitivity. The upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Article 325g of Regulation (EU) No 575/2013 shall be reported in individual rows. All values shall refer to the “IMV (and initial SBM) reference date” as specified in Annex V, Section 1, point (b)(ii) to this Regulation. Institutions shall report each combination of Instrument number, Risk identifier (column 0010), Bucket (column 0020) and Additional identifier (column 0030) only once.
Instructions concerning sheets (z-axis)
| Label | Legal reference | Instructions |
|---|---|---|
| Instrument number | Section 2 of Annex V to this Regulation | The instrument number taken from Annex V to this Regulation shall be reported. |
| Column | Label | Legal reference |
| --- | --- | --- |
| 0010 | Risk factor identifier | Articles 325l, 325m, 325n, 325o, 325p, 325q of Regulation (EU) No 575/2013 |
| 0020 | Bucket | Article 325d(3) of Regulation (EU) No 575/2013 |
| 0030 | Additional identifier1 | Articles 325l, 325m, 325n, 325o, 325p, 325q of Regulation (EU) No 575/2013 |
| 0050 | Risk sensitivity (Reporting currency results) | Article 325d(2) and Articles 325g, 325r, 325s, 325t, and 325ax of Regulation (EU) No 575/2013 |
| 0060 | Reporting currency | |
| 0070 | Risk sensitivity (EBA instrument currency results) | Section 2 of Annex V to this Regulation and Article 325d(2) and Articles 325r, 325s, 325g of Regulation (EU) No 575/2013 |
| 0080 | Pricing model | Article 325t of Regulation (EU) No 575/2013 |
| 0090 | Sensitivities definition | Articles 325r, 325s, 325t of Regulation (EU) No 575/2013 |
| 0100 | Free text box | |
| 0110 | Additional identifier2 | Article 325p(2) of Regulation (EU) No 575/2013 |
| 0120 | Credit quality category | Article 325m(1) and 325ah(1) of Regulation (EU) No 575/2013 |
C 107.01 – VaR & sVaR Non-CTP. Details.
| Row | Label | Legal reference | Instructions |
|---|---|---|---|
| 0010 – 0060 | VaR | VaR | VaR |
| 0010 | Methodology | One of the following shall be reported in column 0010: (a) Historical simulation; (b) Monte Carlo simulation; (c) Parametric methodology; (d) Combination/other methodology (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. Where option (d) was selected in column 0010, the institution shall provide details in column 0020. | |
| 0020 | Computation of 10-day horizon | Article 365(1) of Regulation (EU) No 575/2013 | One of the following shall be reported in column 0010: (a) 1 day re-scaled to 10 days; (b) 10 days with overlapping periods; (c) 10 days other methodology. The institution shall use column 0020 to clarify the answer given in column 0010. |
| 0030 | Length of observation period | Article 365(1) point (d) of Regulation (EU) No 575/2013 | One of the following shall be reported in column 0010: (a) Up to 1 year; (b) More than 1 and up to 2 years; (c) More than 2 and up to 3 years; (d) More than 3 years. The institution shall use column 0020 to clarify the answer given in column 0010. |
| 0040 | Data Weighting | Article 365(1) point (d) of Regulation (EU) No 575/2013 | One of the following shall be reported in column 0010: (a) Unweighted (VaR data weighting); (b) Weighted (VaR data weighting); (c) Higher of weighted and unweighted (VaR data weighting) in points (a) and (b). The institution shall use column 0020 to clarify the answer given in column 0010. |
| 0050 | 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 Article 366(2), Table 1 of Regulation (EU) No 575/2013 The institution shall use column 0020 to clarify the answer given in column 0010. |
| 0060 | 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 0020 to clarify the answer given in column 0010. |
| 0070-0100 | SVaR (i.e. Stressed VaR) | SVaR (i.e. Stressed VaR) | SVaR (i.e. Stressed VaR) |
| 0070 | Methodology | One of the following shall be reported in column 0010: (a) Historical simulation; (b) Monte Carlo simulation; (c) Parametric methodology; (d) Combination/other methodology (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020. | |
| 0080 | Computation of 10 day Horizon | Article 365(1) of Regulation (EU) No 575/2013 | One of the following shall be reported in column 0010: (a) 1 day re-scaled to 10 days; (b) 10 days with overlapping periods; (c) 10 days other methodology. The institution shall use column 0020 to clarify the answer given in column 0010. |
| 0090 | 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 0020 to clarify the answer given in column 0010. |
| 0100 | SVaR period | Article 365(2) of Regulation (EU) No 575/2013 | One of the following shall be reported in column 0010: (a) Daily computation of the stressed VaR calibrated to one continuous 12-month period starting from the date specified in column 0020; (b) Weekly computation of the stressed VaR calibrated to one continuous 12-month period starting from the date specified in column 0020; (c) Daily computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 0010 of C107.02 starting from the dates specified in column 0020; (d) Weekly computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 0010 of C107.02 starting from the dates specified in column 0020; (e) Maximum of daily computation of the stressed VaR calibrated to more than one single 12-month period; (f) Maximum of weekly computation of the stressed VaR calibrated to more than one single 12-month period; (g) Other choices for the stressed VaR calibration (please specify). The institution shall use column 0020 to provide the starting date in the format of ‘dd/mm/yyyy’ in case of options (a) or (b) given in column 0010 and the starting dates in the format ‘dd/mm/yyyy’ used for each stressed VaR computation in case of options (c) or (d) given in column 0010. The institution shall also use column 0020 to clarify the 12-month period used for each stressed VaR computation in case of options (e), (f) and (g) given in column 0010. |
C 107.02 – VaR, sVaR and PV – Non-CTP. EBA portfolio currency Results.
Instructions concerning sheets (z-axis)
| Label | Legal reference | Instructions |
|---|---|---|
| Portfolio | Sections 3 and 4 of Annex V to this Regulation | The portfolio (both individual and aggregated) number taken from Annex V to this Regulation shall be reported. |
| Column | Label | Legal reference |
| --- | --- | --- |
| 0010 | Date | |
| 0020 | VaR | Article 365 of Regulation (EU) No 575/2013 |
| 0030 | sVaR | Article 365 of Regulation (EU) No 575/2013 |
| 0040 | 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 Regulation | The portfolio number (both individual and aggregated) taken from Annex V to this Regulation shall be reported. |
| Column | Label | Legal reference |
| --- | --- | --- |
| 0010 | Date | Article 365(1) point (d) of Regulation (EU) No 575/2013 |
| 0020 | Daily P&L |
C 109.01 – IRC. Details of the Model
| Row | Label | Legal reference | Instructions |
|---|---|---|---|
| 0010 | 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 0020 to clarify the answer given in column 0010. | |
| 0020 | 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 0020 to clarify the answer given in column 0010. In case option (c) was selected in column 0010, the institution shall provide details in this column. |
C 109.02 – IRC. Details by Portfolio
Instructions concerning sheets (z-axis)
| Label | Legal reference | Instructions |
|---|---|---|
| Portfolio | Sections 3 and 4 of Annex V to this Regulation | The portfolio number (both individual and aggregated) taken from Annex V to this Regulation, only for those portfolios where IRC is requested, shall be reported. |
| Row | Label | Legal reference |
| --- | --- | --- |
| 0010 | Liquidity Horizon | Article 374(5) of Regulation (EU) No 575/2013 |
| 0020 | Source of PDs | |
| 0030 | 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 Regulation | The portfolio (both individual and aggregated) number taken from Annex V to this Regulation, only for those portfolios where IRC is requested, shall be reported. |
| Column | Label | Legal reference |
| --- | --- | --- |
| 0010 | Date | |
| 0020 | IRC | Articles 372 to 376 of Regulation (EU) No 575/2013 |
C 110.01 – CT. Details of the Model.
| Row | Label | Legal reference | Instructions |
|---|---|---|---|
| 0010 | 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 column 0020 where it wants to clarify the answer given in column 0010. |
| 0020 | 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 0020 to clarify the answer given in column 0010. In case option (c) was selected in column 0010, the institution shall provide details in this column. |
C 110.02 – CT. Details by Portfolio.
Instructions concerning sheets (z-axis)
| Label | Legal reference | Instructions |
|---|---|---|
| Portfolio | Sections 3 and 4 of Annex V to this Regulation | The portfolio (both individual and aggregated) number taken from Annex V to this Regulation, only for those portfolios where APR is requested, shall be reported. |
| Row | Label | Legal reference |
| --- | --- | --- |
| 0010 | Liquidity horizon | Article 377(2) of Regulation (EU) No 575/2013 |
| 0020 | Source of PDs | Article 377 of Regulation (EU) No 575/2013 |
| 0030 | 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 and 4 of Annex V to this Regulation | The portfolio (both individual and aggregated) number taken from Annex V to this Regulation, only for those portfolios where APR is requested, shall be reported |
| Column | Label | Legal reference |
| --- | --- | --- |
| 0010 | Date | Article 377 of Regulation (EU) No 575/2013 |
| 0060 | APR | Article 377 of Regulation (EU) No 575/2013 |
C 120.01 – SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO
Institutions shall report, instrument by instrument, the sensitivities towards the risk factors that the instrument is exposed to. One row shall be reported per risk factor/sensitivity. The upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Article 325g of Regulation (EU) No 575/2013 shall be reported in individual rows. All values shall refer to the “RM (and final ASA) final reference date” (as defined in Section 1, point (b)(v) of Annex V to this Regulation). Institutions shall report each combination of Portfolio, Instrument number (column 0010), Risk identifier (column 0020), Bucket (column 0030) and Additional identifier (column 0040) only once.
Instructions concerning sheets (z-axis)
| Label | Legal reference | Instructions |
|---|---|---|
| Portfolio | Sections 3 and 4 of Annex V to this Regulation | The number of the individual or aggregated portfolio taken from Annex V to this Regulation shall be reported. |
| Column | Label | Legal reference |
| --- | --- | --- |
| 0010 | Instrument number | Section 2 of Annex V to this Regulation |
| 0020 | Risk factor identifier | Articles 325l, 325m, 325n, 325o, 325p, 325q of Regulation (EU) No 575/2013 |
| 0030 | Bucket | Article 325d(3) of Regulation (EU) No 575/2013 |
| 0040 | Additional identifier1 | Articles 325l, 325m, 325n, 325o, 325p, 325q of Regulation (EU) No 575/2013 |
| 0060 | Risk sensitivity (Reporting currency results) | Article 325d(2) and Articles 325g, 325r, 325s, 325t, 325ax of Regulation (EU) No 575/2013 |
| 0070 | Reporting currency | |
| 0080 | Risk sensitivity (EBA portfolio currency results) | Sections 3 and 4 of Annex V to this Regulation and Article 325d(2) and Articles 325r, 325s, 325g, 325t, 325ax of Regulation (EU) No 575/2013 |
| 0090 | Risk weight | Part Three, Title IV, Chapter 1a, Section 6 of Regulation (EU) No 575/2013 |
| 0110 | Additional identifier2 | Article 325p(2) of Regulation (EU) No 575/2013 |
| 0120 | Credit quality category | Article 325m(1) and 325ah(1) of Regulation (EU) No 575/2013 |
C 120.02 – SBM. OFR COMPOSITION BY PORTFOLIO
Instructions concerning sheets (z-axis)
| Label | Legal reference | Instructions |
|---|---|---|
| Portfolio | Sections 3 and 4 of Annex V to this Regulation | The number of the individual or aggregated portfolio taken from Annex V to this Regulation shall be reported. |
| Column | Label | Legal reference |
| --- | --- | --- |
| 0010 | Risk class | Article 325d(1) of Regulation (EU) No 575/2013 |
| 0020 | Component | Article 325e(1) of Regulation (EU) No 575/2013 |
| 0030 | Correlation scenario | Article 325h of Regulation (EU) No 575/2013 |
| 0040 | Own funds requirements (Reporting currency results) | Article 325h of Regulation (EU) No 575/2013 |
| 0050 | Reporting currency | |
| 0060 | Own funds requirements (EBA portfolio currency results) | Sections 3 and 4 of Annex V to this Regulation and Article 325h of Regulation (EU) No 575/2013 |
| 0070 | Positions without optionality subjected to curvature risk own funds requirements | Article 325e(3) of Regulation (EU) No 575/2013 |
| 0080 | Base currency approach applied for foreign-exchange risk delta and curvature | Article 325q(7) of Regulation (EU) No 575/2013 |
| 0090 | Division of curvature risk components for foreign-exchange risk by scalar | Article 325q(6) of Regulation (EU) No 575/2013 |
| 0100 | Free text box |
C 120.04 – DRC. MARKET VALUES AND GROSS JUMP-TO-DEFAULT (JTD) AMOUNTS BY INSTRUMENT/PORTFOLIO
Institutions shall report, instrument by instrument, the exposures corresponding to the instrument. One row shall be reported per exposure. All values shall refer to the “RM (and final ASA) final reference date” (as defined in Annex V, Section 1, point (b)(v), to this Regulation). Exposures shall be reported before any offsetting has taken place but after replication or decomposition steps (as defined in Articles 325z and 325ac of Regulation (EU) No 575/2013), where applicable.
Instructions concerning sheets (z-axis)
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