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

((a)) the information specified in template 101 of Annex III, for the counterparties referred to in template 101 of Annex I, in accordance with the instructions referred to in Tables C 101 of Annex II and Annex IV respectively;
((b)) the information specified in template 102 of Annex III, for the portfolios referred to in template 102 of Annex I, in accordance with the instructions referred to in Tables C 102 of Annex II and Annex IV respectively;
((c)) the information specified in template 103 of Annex III, for the portfolios referred to in template 103 of Annex I, in accordance with the instructions referred to in Tables C 103 of Annex II and Annex IV respectively;
((d)) the information specified in template 104 of Annexes III, for the hypothetical transactions referred to in template 104 of Annex I, in accordance with the instructions referred to in Tables C 104 in Annex II and Annex IV respectively;
((e)) the information specified in template 105 of Annex III in relation to the name and characteristics of the internal approaches used for the computation of the results provided in templates 102 to 104 of Annex III, in accordance with the instructions referred to in Table C 105 of Annex IV.
Article 3 

1. For internal approaches for market risk, an institution shall submit to its competent authority the information specified in the templates of Annex VII, in accordance with the portfolio definitions and instructions contained in Annexes V and VI, respectively.
2. As a derogation from paragraph 1, an institution shall not be required to submit the information referred to in paragraph 1 for an individual portfolio in any of the following cases:
(a) the institution does not have the permission from its competent authority to model the relevant instruments or risk factors that are included in the portfolio;
(b) there is no internal approval by the management of that institution to operate in one or more instruments or in the underlying assets included in the relevant portfolios;
(c) one or more of the instruments included in the portfolios incorporate underlying risks or modelling features that are not contemplated in the institution's risk metrics.
3. An institution that meets the conditions of paragraph 2 and has decided not to submit the information referred to in paragraph 1 on one or more portfolios shall:
(a) report those portfolios and indicate which of the reasons listed in paragraph 2 is the cause thereof;
(b) still submit the information for the aggregated portfolios included in Annex V, considering only the individual portfolios that it is able and permitted to model.
Article 4 

1. An institution shall submit to its competent authority the information referred to in Article 1 on the following reporting reference dates:
(a) the information referred to in Article 2 shall be submitted as it stands on 31 December of each year;
(b) the information referred to in Article 3 shall be submitted as it stands on the reporting reference dates specified in the instructions laid down in Annexes V and VI.
2. An institution shall submit to its competent authority the information referred to in Articles 2 and 3 by 11 April of each year. The remittance date of the initial market valuation of market risk data specified in template C 106 of Annex VII is set out in Annex V.
3. Where the date referred to in paragraph 2 is not a working day in the Member State of the competent authority to which the information is to be submitted, the information shall be submitted on the following working day.
4. An institution shall submit to its competent authority any corrections to the submitted information without undue delay.
Article 5 
For portfolios other than those reported in accordance with point (a) of Article 3(3), an institution shall report to its competent authority an initial market valuation of those portfolios or of individual instruments included in those portfolios, as applicable, at the precise date specified in the instructions set out in Annex VI.
Article 6 
When submitting information in accordance with Article 1, an institution shall use the IT solution developed for the purposes of the supervisory reporting in accordance with Article 17 of Implementing Regulation (EU) No 680/2014.
Article 7 

1. As a derogation from Article 2, during the first year of application of this Regulation, institutions shall submit only the information referred to in points (c) and (e) of that Article.
2. As a derogation from Article 2, during the second year of application of this Regulation, institutions shall submit only the information referred to in points (a), (b), (d) and (e) of that Article.
3. As a derogation from Article 2 and until 31 December 2016, an institution shall not be required to report column 180 of templates 102 and 103 of Annex III where that institution does not compute the own funds requirements for credit risk resulting from the application of the standardised approach.
4. As a derogation from Article 4(2), during the first year of application of this Regulation, an institution shall submit the information referred to in Articles 2 and 3 to competent authorities by close of business of 27 December 2016.
Article 8 
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
This Regulation shall be binding in its entirety and directly applicable in all Member States.Done at Brussels, 14 September 2016.
For the Commission
The President
Jean-Claude JUNCKER
ANNEX I
LOW DEFAULT EXPOSURES TEMPLATES
Template number Template code Name of the template /group of templates Short name
101 C 101.00 Definition of Low Default Portfolio counterparties LDP Counterparties
102 C 102.00 Definition of Low Default Portfolios LDP Portfolios
103 C 103.00 Definition of High Default Portfolios HDP Portfolios
104 C 104.00 Definition of hypothetical transactions in Low Default Portfolios HYP Transactions

Portfolio ID Portfolio name Geographical area Exposure class Default status Rating Type of facility Collateralisation status NACE code Sector of counterparty Size of counterparty Collateral type Type of exposures Size of exposure
010 020 030 040 050 060 070 080 090 100 110 120 130 140
LCS0001 Large corporate sample Not applicable Not applicable Non-defaulted Rating 1 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS0002 Large corporate sample Not applicable Not applicable Non-defaulted Rating 2 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS0003 Large corporate sample Not applicable Not applicable Non-defaulted Rating 3 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS0004 Large corporate sample Not applicable Not applicable Non-defaulted Rating 4 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS0005 Large corporate sample Not applicable Not applicable Non-defaulted Rating 5 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS0006 Large corporate sample Not applicable Not applicable Non-defaulted Rating 6 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS0007 Large corporate sample Not applicable Not applicable Non-defaulted Rating 7 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS0008 Large corporate sample Not applicable Not applicable Non-defaulted Rating 8 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS0009 Large corporate sample Not applicable Not applicable Non-defaulted Rating 9 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00010 Large corporate sample Not applicable Not applicable Non-defaulted Rating 10 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00011 Large corporate sample Not applicable Not applicable Non-defaulted Rating 11 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00012 Large corporate sample Not applicable Not applicable Non-defaulted Rating 12 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00013 Large corporate sample Not applicable Not applicable Non-defaulted Rating 13 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00014 Large corporate sample Not applicable Not applicable Non-defaulted Rating 14 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00015 Large corporate sample Not applicable Not applicable Non-defaulted Rating 15 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00016 Large corporate sample Not applicable Not applicable Non-defaulted Rating 16 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00017 Large corporate sample Not applicable Not applicable Non-defaulted Rating 17 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00018 Large corporate sample Not applicable Not applicable Non-defaulted Rating 18 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00019 Large corporate sample Not applicable Not applicable Non-defaulted Rating 19 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00020 Large corporate sample Not applicable Not applicable Non-defaulted Rating 20 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00021 Large corporate sample Not applicable Not applicable Non-defaulted Rating 21 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00022 Large corporate sample Not applicable Not applicable Non-defaulted Rating 22 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00023 Large corporate sample Not applicable Not applicable Non-defaulted Rating 23 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00024 Large corporate sample Not applicable Not applicable Non-defaulted Rating 24 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00025 Large corporate sample Not applicable Not applicable Non-defaulted Rating 25 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00026 Large corporate sample Not applicable Not applicable Non-defaulted Rating 26 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00027 Large corporate sample Not applicable Not applicable Non-defaulted Rating 27 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00028 Large corporate sample Not applicable Not applicable Non-defaulted Rating 28 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00029 Large corporate sample Not applicable Not applicable Non-defaulted Rating 29 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00030 Large corporate sample Not applicable Not applicable Non-defaulted Rating 30 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00031 Large corporate sample Not applicable Not applicable Defaulted Not applicable Not applicable Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00032 Large corporate sample Not applicable Not applicable Non-defaulted Not applicable Drawn credit facility Exposures without credit protection Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00033 Large corporate sample Not applicable Not applicable Non-defaulted Not applicable Drawn credit facility Exposures with funded credit protection Not applicable Not applicable >EUR 200 mln. Eligible financial collateral Not applicable Not applicable
LCS00034 Large corporate sample Not applicable Not applicable Non-defaulted Not applicable Drawn credit facility Exposures with funded credit protection Not applicable Not applicable >EUR 200 mln. Other eligible collateral: Receivables Not applicable Not applicable
LCS00035 Large corporate sample Not applicable Not applicable Non-defaulted Not applicable Drawn credit facility Exposures with funded credit protection Not applicable Not applicable >EUR 200 mln. Other eligible collateral: Residential Real estate Not applicable Not applicable
LCS00036 Large corporate sample Not applicable Not applicable Non-defaulted Not applicable Drawn credit facility Exposures with funded credit protection Not applicable Not applicable >EUR 200 mln. Other eligible collateral: Commercial Real estate Not applicable Not applicable
LCS00037 Large corporate sample Not applicable Not applicable Non-defaulted Not applicable Drawn credit facility Exposures with funded credit protection Not applicable Not applicable >EUR 200 mln. Other eligible collateral: Physical collateral Not applicable Not applicable
LCS00038 Large corporate sample Not applicable Not applicable Non-defaulted Not applicable Drawn credit facility Exposures with funded credit protection Not applicable Not applicable >EUR 200 mln. Other funded credit protection Not applicable Not applicable
LCS00039 Large corporate sample Not applicable Not applicable Non-defaulted Not applicable Drawn credit facility Exposures with unfunded credit protection Not applicable Not applicable >EUR 200 mln. Unfunded credit protection Not applicable Not applicable
LCS00040 Large corporate sample Not applicable Not applicable Non-defaulted Not applicable Undrawn committed revolving credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00041 Large corporate sample Not applicable Not applicable Non-defaulted Not applicable Undrawn committed term credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00042 Large corporate sample Not applicable Not applicable Non-defaulted Not applicable Note issuance facility (NIF) and revolving underwriting facility (RUF) Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00043 Large corporate sample Not applicable Not applicable Non-defaulted Not applicable Undrawn committed credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00044 Large corporate sample Not applicable Not applicable Non-defaulted Not applicable Undrawn uncommitted credit lines Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00045 Large corporate sample Not applicable Not applicable Non-defaulted Not applicable Undrawn purchase commitments for revolving purchased receivables and other low-risk off-balance sheet items Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00046 Large corporate sample Not applicable Not applicable Non-defaulted Not applicable Issued short term letter of credit and other medium-risk off-balance sheet items Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00047 Large corporate sample Not applicable Not applicable Non-defaulted Not applicable Issued warranties and indemnities, guarantees, irrevocable stand-by letter of credit and documentary credit Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00048 Large corporate sample Not applicable Not applicable Non-defaulted Not applicable Other facilities Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00049 Large corporate sample EU Not applicable Non-defaulted Not applicable Not applicable Not applicable Not applicable Non-financial corporations >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00050 Large corporate sample EU Not applicable Non-defaulted Not applicable Not applicable Not applicable Not applicable Other financial corporations >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00051 Large corporate sample NON-EU Not applicable Non-defaulted Not applicable Not applicable Not applicable Not applicable Non-financial corporations >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00052 Large corporate sample NON-EU Not applicable Non-defaulted Not applicable Not applicable Not applicable Not applicable Other financial corporations >EUR 200 mln. Not applicable Not applicable Not applicable
LCS00053 Large corporate sample Not applicable Not applicable Non-defaulted Not applicable Not applicable Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00001 Large corporate Not applicable Corporates — Other Non-defaulted Rating 1 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00002 Large corporate Not applicable Corporates — Other Non-defaulted Rating 2 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00003 Large corporate Not applicable Corporates — Other Non-defaulted Rating 3 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00004 Large corporate Not applicable Corporates — Other Non-defaulted Rating 4 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00005 Large corporate Not applicable Corporates — Other Non-defaulted Rating 5 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00006 Large corporate Not applicable Corporates — Other Non-defaulted Rating 6 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00007 Large corporate Not applicable Corporates — Other Non-defaulted Rating 7 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00008 Large corporate Not applicable Corporates — Other Non-defaulted Rating 8 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00009 Large corporate Not applicable Corporates — Other Non-defaulted Rating 9 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00010 Large corporate Not applicable Corporates — Other Non-defaulted Rating 10 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00011 Large corporate Not applicable Corporates — Other Non-defaulted Rating 11 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00012 Large corporate Not applicable Corporates — Other Non-defaulted Rating 12 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00013 Large corporate Not applicable Corporates — Other Non-defaulted Rating 13 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00014 Large corporate Not applicable Corporates — Other Non-defaulted Rating 14 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00015 Large corporate Not applicable Corporates — Other Non-defaulted Rating 15 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00016 Large corporate Not applicable Corporates — Other Non-defaulted Rating 16 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00017 Large corporate Not applicable Corporates — Other Non-defaulted Rating 17 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00018 Large corporate Not applicable Corporates — Other Non-defaulted Rating 18 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00019 Large corporate Not applicable Corporates — Other Non-defaulted Rating 19 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00020 Large corporate Not applicable Corporates — Other Non-defaulted Rating 20 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00021 Large corporate Not applicable Corporates — Other Non-defaulted Rating 21 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00022 Large corporate Not applicable Corporates — Other Non-defaulted Rating 22 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00023 Large corporate Not applicable Corporates — Other Non-defaulted Rating 23 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00024 Large corporate Not applicable Corporates — Other Non-defaulted Rating 24 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00025 Large corporate Not applicable Corporates — Other Non-defaulted Rating 25 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00026 Large corporate Not applicable Corporates — Other Non-defaulted Rating 26 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00027 Large corporate Not applicable Corporates — Other Non-defaulted Rating 27 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00028 Large corporate Not applicable Corporates — Other Non-defaulted Rating 28 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00029 Large corporate Not applicable Corporates — Other Non-defaulted Rating 29 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00030 Large corporate Not applicable Corporates — Other Non-defaulted Rating 30 Drawn credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00031 Large corporate Not applicable Corporates — Other Defaulted Not applicable Not applicable Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00032 Large corporate Not applicable Corporates — Other Non-defaulted Not applicable Drawn credit facility Exposures without credit protection Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00033 Large corporate Not applicable Corporates — Other Non-defaulted Not applicable Drawn credit facility Exposures with funded credit protection Not applicable Not applicable >EUR 200 mln. Eligible financial collateral Not applicable Not applicable
LC00034 Large corporate Not applicable Corporates — Other Non-defaulted Not applicable Drawn credit facility Exposures with funded credit protection Not applicable Not applicable >EUR 200 mln. Other eligible collateral: Receivables Not applicable Not applicable
LC00035 Large corporate Not applicable Corporates — Other Non-defaulted Not applicable Drawn credit facility Exposures with funded credit protection Not applicable Not applicable >EUR 200 mln. Other eligible collateral: Residential Real estate Not applicable Not applicable
LC00036 Large corporate Not applicable Corporates — Other Non-defaulted Not applicable Drawn credit facility Exposures with funded credit protection Not applicable Not applicable >EUR 200 mln. Other eligible collateral: Commercial Real estate Not applicable Not applicable
LC00037 Large corporate Not applicable Corporates — Other Non-defaulted Not applicable Drawn credit facility Exposures with funded credit protection Not applicable Not applicable >EUR 200 mln. Other eligible collateral: Physical collateral Not applicable Not applicable
LC00038 Large corporate Not applicable Corporates — Other Non-defaulted Not applicable Drawn credit facility Exposures with funded credit protection Not applicable Not applicable >EUR 200 mln. Other funded credit protection Not applicable Not applicable
LC00039 Large corporate Not applicable Corporates — Other Non-defaulted Not applicable Drawn credit facility Exposures with unfunded credit protection Not applicable Not applicable >EUR 200 mln. Unfunded credit protection Not applicable Not applicable
LC00040 Large corporate Not applicable Corporates — Other Non-defaulted Not applicable Undrawn committed revolving credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00041 Large corporate Not applicable Corporates — Other Non-defaulted Not applicable Undrawn committed term credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00042 Large corporate Not applicable Corporates — Other Non-defaulted Not applicable Note issuance facility (NIF) and revolving underwriting facility (RUF) Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00043 Large corporate Not applicable Corporates — Other Non-defaulted Not applicable Undrawn committed credit facility Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00044 Large corporate Not applicable Corporates — Other Non-defaulted Not applicable Undrawn uncommitted credit lines Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00045 Large corporate Not applicable Corporates — Other Non-defaulted Not applicable Undrawn purchase commitments for revolving purchased receivables and other low-risk off-balance sheet items Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00046 Large corporate Not applicable Corporates — Other Non-defaulted Not applicable Issued short term letter of credit and other medium-risk off-balance sheet items Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00047 Large corporate Not applicable Corporates — Other Non-defaulted Not applicable Issued warranties and indemnities, guarantees, irrevocable stand-by letter of credit and documentary credit Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00048 Large corporate Not applicable Corporates — Other Non-defaulted Not applicable Other facilities Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
LC00049 Large corporate EU Corporates — Other Non-defaulted Not applicable Not applicable Not applicable Not applicable Non-financial corporations >EUR 200 mln. Not applicable Not applicable Not applicable
LC00050 Large corporate EU Corporates — Other Non-defaulted Not applicable Not applicable Not applicable Not applicable Other financial corporations >EUR 200 mln. Not applicable Not applicable Not applicable
LC00051 Large corporate NON-EU Corporates — Other Non-defaulted Not applicable Not applicable Not applicable Not applicable Non-financial corporations >EUR 200 mln. Not applicable Not applicable Not applicable
LC00052 Large corporate NON-EU Corporates — Other Non-defaulted Not applicable Not applicable Not applicable Not applicable Other financial corporations >EUR 200 mln. Not applicable Not applicable Not applicable
LC00053 Large corporate Not applicable Corporates — Other Non-defaulted Not applicable Not applicable Not applicable Not applicable Not applicable >EUR 200 mln. Not applicable Not applicable Not applicable
GG00001 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 1 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00002 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 2 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00003 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 3 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00004 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 4 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00005 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 5 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00006 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 6 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00007 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 7 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00008 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 8 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00009 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 9 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00010 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 10 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00011 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 11 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00012 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 12 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00013 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 13 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00014 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 14 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00015 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 15 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00016 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 16 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00017 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 17 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00018 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 18 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00019 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 19 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00020 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 20 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00021 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 21 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00022 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 22 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00023 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 23 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00024 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 24 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00025 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 25 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00026 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 26 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00027 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 27 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00028 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 28 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00029 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 29 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00030 Sovereign Not applicable Central governments and central banks Non-defaulted Rating 30 Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00031 Sovereign Not applicable Central governments and central banks Defaulted Not applicable Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
GG00032 Sovereign Not applicable Central governments and central banks Non-defaulted Not applicable Not applicable Not applicable Not applicable Central banks and central governments Not applicable Not applicable Not applicable Not applicable
CI00001 Institutions Not applicable Institutions Non-defaulted Rating 1 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00002 Institutions Not applicable Institutions Non-defaulted Rating 2 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00003 Institutions Not applicable Institutions Non-defaulted Rating 3 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00004 Institutions Not applicable Institutions Non-defaulted Rating 4 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00005 Institutions Not applicable Institutions Non-defaulted Rating 5 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00006 Institutions Not applicable Institutions Non-defaulted Rating 6 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00007 Institutions Not applicable Institutions Non-defaulted Rating 7 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00008 Institutions Not applicable Institutions Non-defaulted Rating 8 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00009 Institutions Not applicable Institutions Non-defaulted Rating 9 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00010 Institutions Not applicable Institutions Non-defaulted Rating 10 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00011 Institutions Not applicable Institutions Non-defaulted Rating 11 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00012 Institutions Not applicable Institutions Non-defaulted Rating 12 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00013 Institutions Not applicable Institutions Non-defaulted Rating 13 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00014 Institutions Not applicable Institutions Non-defaulted Rating 14 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00015 Institutions Not applicable Institutions Non-defaulted Rating 15 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00016 Institutions Not applicable Institutions Non-defaulted Rating 16 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00017 Institutions Not applicable Institutions Non-defaulted Rating 17 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00018 Institutions Not applicable Institutions Non-defaulted Rating 18 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00019 Institutions Not applicable Institutions Non-defaulted Rating 19 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00020 Institutions Not applicable Institutions Non-defaulted Rating 20 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00021 Institutions Not applicable Institutions Non-defaulted Rating 21 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00022 Institutions Not applicable Institutions Non-defaulted Rating 22 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00023 Institutions Not applicable Institutions Non-defaulted Rating 23 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00024 Institutions Not applicable Institutions Non-defaulted Rating 24 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00025 Institutions Not applicable Institutions Non-defaulted Rating 25 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00026 Institutions Not applicable Institutions Non-defaulted Rating 26 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00027 Institutions Not applicable Institutions Non-defaulted Rating 27 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00028 Institutions Not applicable Institutions Non-defaulted Rating 28 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00029 Institutions Not applicable Institutions Non-defaulted Rating 29 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00030 Institutions Not applicable Institutions Non-defaulted Rating 30 Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00031 Institutions Not applicable Institutions Defaulted Not applicable Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
CI00032 Institutions Not applicable Institutions Non-defaulted Not applicable Not applicable Not applicable Not applicable Credit institutions Not applicable Not applicable Not applicable Not applicable
FC00001 Institutions Not applicable Institutions Non-defaulted Rating 1 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00002 Institutions Not applicable Institutions Non-defaulted Rating 2 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00003 Institutions Not applicable Institutions Non-defaulted Rating 3 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00004 Institutions Not applicable Institutions Non-defaulted Rating 4 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00005 Institutions Not applicable Institutions Non-defaulted Rating 5 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00006 Institutions Not applicable Institutions Non-defaulted Rating 6 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00007 Institutions Not applicable Institutions Non-defaulted Rating 7 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00008 Institutions Not applicable Institutions Non-defaulted Rating 8 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00009 Institutions Not applicable Institutions Non-defaulted Rating 9 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00010 Institutions Not applicable Institutions Non-defaulted Rating 10 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00011 Institutions Not applicable Institutions Non-defaulted Rating 11 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00012 Institutions Not applicable Institutions Non-defaulted Rating 12 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00013 Institutions Not applicable Institutions Non-defaulted Rating 13 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00014 Institutions Not applicable Institutions Non-defaulted Rating 14 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00015 Institutions Not applicable Institutions Non-defaulted Rating 15 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00016 Institutions Not applicable Institutions Non-defaulted Rating 16 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00017 Institutions Not applicable Institutions Non-defaulted Rating 17 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00018 Institutions Not applicable Institutions Non-defaulted Rating 18 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00019 Institutions Not applicable Institutions Non-defaulted Rating 19 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00020 Institutions Not applicable Institutions Non-defaulted Rating 20 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00021 Institutions Not applicable Institutions Non-defaulted Rating 21 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00022 Institutions Not applicable Institutions Non-defaulted Rating 22 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00023 Institutions Not applicable Institutions Non-defaulted Rating 23 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00024 Institutions Not applicable Institutions Non-defaulted Rating 24 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00025 Institutions Not applicable Institutions Non-defaulted Rating 25 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00026 Institutions Not applicable Institutions Non-defaulted Rating 26 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00027 Institutions Not applicable Institutions Non-defaulted Rating 27 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00028 Institutions Not applicable Institutions Non-defaulted Rating 28 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00029 Institutions Not applicable Institutions Non-defaulted Rating 29 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00030 Institutions Not applicable Institutions Non-defaulted Rating 30 Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00031 Institutions Not applicable Institutions Defaulted Not applicable Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable
FC00032 Institutions Not applicable Institutions Non-defaulted Not applicable Not applicable Not applicable Not applicable Other financial corporations Not applicable Not applicable Not applicable Not applicable


ANNEX II
Column Label Legal reference Instructions
010 Counterparty code  The code assigned by the EBA to each legal entity included in the LDP sample.
020 Legal entity identifier (‘LEI’)  20-digit, alpha-numeric code that connects to key reference information that enables clear and unique identification of companies participating in global financial markets.
030 Credit register code  The code used by the National Credit register of the place of residence of the counterparty. The code is used as an identifier for the counterparty.
040 Commercial register code  The code assigned to a counterparty by the public commercial register of the country where that counterparty is registered.
050 ISIN code  The ‘International Securities Identification Number’ used to identify uniquely securities issued by a counterparty.
060 Bloomberg ticker  The string of characters or numbers used to identify a company or entity uniquely in Bloomberg.
070 Name  The name of the legal entity included in the LDP samples.
080 Geographical area  The ISO Code of the country of residence or the macro region of residence of the counterparty. The macro-regions are:
((a)) EU for European Union countries;
((b)) Non-EU for third countries;
((c)) Not applicable.
090 Portfolio name  Each group (sample) of LDP counterparties is assigned one of the following unique names:
((a)) Sovereign sample;
((b)) Institutions sample;
((c)) Large corporate sample.
100 Sector of counterparty  Each counterparty is assigned to one of the following FINREP-based economic sector classes:
((a)) General Governments;
((b)) Credit institutions;
((c)) Other financial corporations;
((d)) Non-financial corporations;
((e)) Not applicable.
110 Type of exposures Rows 020 and 030 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The type of exposures is one of the following:
((a)) On-balance sheet items subject to credit risk;
((b)) Off-balance sheet items subject to credit risk;
((c)) Not applicable.
120 Type of facility  The type of facility is one of the following:
((a)) Full risk (100 %);
((b)) Note issuance facility and revolving underwriting facility (Medium risk);
((c)) Issued warranties and indemnities, guarantees, irrevocable stand-by letters of credit, documentary credit and other medium risk off-balance sheet items (Medium risk): This refers to warranties and indemnities (including tender, performance, customs and tax bonds), guarantees, irrevocable standby letters of credit not having the character of credit substitutes and other medium risk off-balance sheet items;
((d)) Undrawn committed revolving credit facility (Medium- low risk): This refers to revolving lending commitments that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to deterioration in a borrower's creditworthiness;
((e)) Undrawn committed term credit facility (Medium-low risk): This refers to term lending commitments that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to deterioration in a borrower's creditworthiness;
((f)) Undrawn committed other credit facility (Medium-low risk): This refers to lending commitments, other than revolving and term, that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to the deterioration in a borrower's creditworthiness;
((g)) Issued short-term letters of credit and other medium-low risk off-balance sheet items (Medium-low risk);
((h)) Undrawn uncommitted credit lines (Low risk): This refers to uncommitted lending facilities (advised and unadvised) that are undrawn and that may be cancelled unconditionally at any time without notice or that do provide for automatic cancellation due to deterioration in borrower's creditworthiness;
((i)) Undrawn purchase commitments for revolving purchased receivables and other low-risk off-balance sheet items (Low risk): Commitments that are able to be unconditionally cancelled or that effectively provide for automatic cancellation at any time by the institution without prior notice;
((j)) Drawn credit facility;
((k)) Not applicable.

Column Label Legal reference Instructions
010 Portfolio ID  The unique ID assigned to the portfolio by the EBA.
020 Portfolio name  Each portfolio is assigned one of the following unique names:
((a)) Sovereign;
((b)) Institutions;
((c)) Large corporate;
((d)) Large corporate sample.
030 Geographical area  The ISO Code of the country of residence or the macro region of residence of the counterparty. The macro regions are:
((a)) EU for European Union countries;
((b)) Non-EU for third countries;
((c)) Not applicable.
040 Exposure class Paragraph 78 of Annex II of Commission Implementing Regulation (EU) No 680/2014 Each portfolio is assigned to one of the following exposure classes:
((a)) Central banks and central governments;
((b)) Institutions;
((c)) Corporate — Other;
((d)) Not applicable.
050 Default status  The default status is one of the following:
((a)) Defaulted: exposures assigned to the rating grade(s) with a PD of 100 %;
((b)) Non-defaulted: exposures assigned to rating grades with a PD lower than 100 %.
060 Rating  The rank of the internal rating applied by the institution from lowest risk to highest risk excluding defaults with PD corresponding to 100 %. It takes values from Rating 1, Rating 2 etc. Where the rating is not used to define a portfolio in Annex I, ‘Not applicable’ is used instead.
070 Type of facility  The type of facility is one of the following:
((a)) Full risk (100 %);
((b)) Note issuance facility and revolving underwriting facility (Medium risk);
((c)) Issued warranties and indemnities, guarantees, irrevocable stand-by letters of credit, documentary credit and other medium risk off-balance sheet items (Medium risk): This refers to warranties and indemnities (including tender, performance, customs and tax bonds), guarantees, irrevocable standby letters of credit not having the character of credit substitutes and other medium risk off-balance sheet items;
((d)) Undrawn committed revolving credit facility (Medium- low risk): This refers to revolving lending commitments that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to deterioration in a borrower's creditworthiness;
((e)) Undrawn committed term credit facility (Medium-low risk): This refers to term lending commitments that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to deterioration in a borrower's creditworthiness;
((f)) Undrawn committed other credit facility (Medium-low risk): This refers to lending commitments, other than revolving and term, that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to the deterioration in a borrower's creditworthiness;
((g)) Issued short-term letters of credit and other medium-low risk off-balance sheet items (Medium-low risk);
((h)) Undrawn uncommitted credit lines (Low risk): This refers to uncommitted lending facilities (advised and unadvised) that are undrawn and that may be cancelled unconditionally at any time without notice or that do provide for automatic cancellation due to deterioration in borrower's creditworthiness;
((i)) Undrawn purchase commitments for revolving purchased receivables and other low-risk off-balance sheet items (Low risk): Commitments that are able to be unconditionally cancelled or that effectively provide for automatic cancellation at any time by the institution without prior notice;
((j)) Drawn credit facility;
((k)) Not applicable.
080 Collateralisation status Columns 150 to 210 of template 8.1 of Commission Implementing Regulation (EU) No 680/2014 The collateralisation status is one of the following:
(a) Exposures with credit protection;
(a.1) Exposures with funded credit protection;
(a.2) Exposures with unfunded credit protection;
(b) Exposures without credit protection;
(c) Not applicable.
090 NACE code  This column corresponds to the NACE codes (Statistical Classification of Economic Activities of the EU) used for ‘Non-financial corporations’ with a one level detail (e.g. ‘F — Construction’) and for ‘Other financial corporations’ with a two level detail (e.g. ‘K65 — Insurance, reinsurance and pension funding, except compulsory social security’).
100 Sector of counterparty  Each counterparty is assigned to one of the following FINREP-based economic sector classes:
((a)) General Governments;
((b)) Credit institutions;
((c)) Other financial corporations;
((d)) Non-financial corporations;
((e)) Not applicable.
110 Size of counterparty  The total annual sales for the consolidated group of which the counterparty is a part. Each counterparty is assigned to one of the following categories:
((a)) > EUR 200 million;
((b)) Not applicable.The total annual sales are calculated in accordance with Article 4 of the Annex to Commission Recommendation 2003/361/EC.
120 Collateral type Columns 150 to 210 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The collateral type is one of the following:
((a)) Eligible financial collateral;
((b)) Other eligible collateral: Receivables;
((c)) Other eligible collateral: Residential real estate;
((d)) Other eligible collateral: Commercial real estate;
((e)) Other eligible collateral: Physical collateral;
((f)) Other funded credit protection;
((g)) Credit derivatives;
((h)) Guarantees;
((i)) Unfunded credit protection;
((j)) Not applicable.
130 Type of exposure Rows 020 and 030 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The type of exposure is one of the following:
((a)) On-balance sheet items subject to credit risk;
((b)) Off-balance sheet items subject to credit risk;
((c)) Not applicable.
140 Size of exposure Column 110 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The size of the exposure expressed in terms of exposure value (i.e. EAD). Each exposure is assigned to one of the following categories:
((a)) <= EUR 0,5 million;
((b)) > EUR 0,5 million <= EUR 1 million;
((c)) > EUR 1 million <= EUR 1,5 million;
((d)) > EUR 1,5 million <= EUR 5 million;
((e)) > EUR 5 million <= EUR 10 million;
((f)) > EUR 10 million <= EUR 50 million;
((g)) > EUR 50 million;
((h)) Not applicable.

Column  Legal reference Instructions
010 Portfolio ID  The unique ID assigned by the EBA to each portfolio.
020 Portfolio name  Each portfolio is assigned one of the following names by the EBA:
1.1. CORP Defaulted
1.2. CORP Non-Defaulted
1.2.1. CORP Non-defaulted Secured
1.2.1.1. CORP Non-defaulted Secured Construction
1.2.1.2. CORP Non-defaulted Secured Other
1.2.2. CORP Non-defaulted Unsecured
1.2.2.1. CORP Non-defaulted Unsecured Construction
1.2.2.2. CORP Non-defaulted Unsecured Other
2.1. SMEC Defaulted
2.2. SMEC Non-Defaulted
2.2.1. SMEC Non-defaulted Secured
2.2.1.1. SMEC Non-defaulted Secured Construction
2.2.1.2. SMEC Non-defaulted Secured Other
2.2.2. SMEC Non-defaulted Unsecured
2.2.2.1. SMEC Non-defaulted Unsecured Construction
2.2.2.2. SMEC Non-defaulted Unsecured Other
3.1. SMER Defaulted
3.2. SMER Non-Defaulted
3.2.1. SMER Non-defaulted Secured
3.2.1.1. SMER Non-defaulted Secured Construction
3.2.1.2. SMER Non-defaulted Secured Other
3.2.2. SMER Non-defaulted Unsecured
3.2.2.1. SMER Non-defaulted Unsecured Construction
3.2.2.2. SMER Non-defaulted Unsecured Other
4.1. Mortgages Defaulted
4.2. Mortgages Non-defaulted
4.2.1.1. Mortgages Non-defaulted funded CRM
4.2.1.2. Mortgages Non-defaulted Unfunded CRM
4.2.2.1. Mortgages Non-defaulted ILTV <= 25 %
4.2.2.2. Mortgages Non-defaulted ILTV > 100 %, <= 125 %
4.2.2.3. Mortgages Non-defaulted ILTV > 125 %
4.2.2.4. Mortgages Non-defaulted ILTV > 25 %, <= 50 %
4.2.2.5. Mortgages Non-defaulted ILTV > 50 %, <= 75 %
4.2.2.6. Mortgages Non-defaulted ILTV > 75 %, <= 100 %
030 Geographical area  The ISO Code of the country of residence or the macro region of residence of the counterparty. For the ‘Retail — secured by real estate SME’ and ‘Retail — secured by real estate non SME’ portfolios, it is the location of the collateral.The macro regions are:
((a)) EU for European Union countries;
((b)) Non-EU for third countries;
((c)) Not applicable.
040 Exposure class Paragraph 78 of Annex II of Commission Implementing Regulation (EU) No 680/2014 Each portfolio is assigned to one or several of the following exposure classes:
((a)) Corporate — SME;
((b)) Corporate — Specialised lending;
((c)) Corporate — Other;
((d)) Retail — Secured by real estate SME;
((e)) Retail — Secured by real estate non-SME;
((f)) Retail — Qualifying revolving;
((g)) Retail — Other SME;
((h)) Retail — Other non — SME;
((i)) Not applicable.
050 Type of risk  The type of risk is one of the following:
((a)) Counterparty credit risk;
((b)) Credit risk and free deliveries;
((c)) Credit risk, Counterparty credit risk and free deliveries.
060 Default status  The default status is one of the following:
((a)) Defaulted: Those are the exposures assigned to the last rating grade/s with a PD of 100 %;
((b)) Non-defaulted: Those are the exposures assigned to rating grades with a PD lower than 100 %.
070 Rating  The rank of the internal rating grade applied by the institution from lowest risk to highest risk excluding defaults with PD corresponding to 100 %. It takes values from Rating 1 to Rating 30 or Not applicable. Where the rating is not used to define a portfolio in Annex I, ‘Not applicable’ is used instead.
080 Type of facility  The type of facility is one of the following:
((a)) Full risk (100 %);
((b)) Note issuance facility and revolving underwriting facility (Medium risk);
((c)) Issued warranties and indemnities, guarantees, irrevocable stand-by letters of credit, documentary credit and other medium risk off-balance sheet items (Medium risk): This refers to warranties and indemnities (including tender, performance, customs and tax bonds), guarantees, irrevocable standby letters of credit not having the character of credit substitutes and other medium risk off-balance sheet items;
((d)) Undrawn committed revolving credit facility (Medium- low risk): This refers to revolving lending commitments that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to deterioration in a borrower's creditworthiness;
((e)) Undrawn committed term credit facility (Medium-low risk): This refers to term lending commitments that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to deterioration in a borrower's creditworthiness;
((f)) Undrawn committed other credit facility (Medium-low risk): This refers to lending commitments, other than revolving and term, that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to the deterioration in a borrower's creditworthiness;
((g)) Issued short-term letters of credit and other medium-low risk off-balance sheet items (Medium-low risk);
((h)) Undrawn uncommitted credit lines (Low risk): This refers to uncommitted lending facilities (advised and unadvised) that are undrawn and that may be cancelled unconditionally at any time without notice or that do provide for automatic cancellation due to deterioration in borrower's creditworthiness;
((i)) Undrawn purchase commitments for revolving purchased receivables and other low-risk off-balance sheet items (Low risk): Commitments that are able to be unconditionally cancelled or that effectively provide for automatic cancellation at any time by the institution without prior notice;
((j)) Drawn credit facility;
((k)) Not applicable.
090 Collateralisation status Column 150 to 210 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The collateralisation status is one of the following:
(a) Exposures with credit protection;
(a.1) Exposures with funded credit protection;
(a.2) Exposures with unfunded credit protection;
(b) Exposures without credit protection;
(c) Not applicable.
100 NACE code  This column correspond to the NACE codes (Statistical Classification of Economic Activities of the EU) used for ‘Non-financial corporations’ with a one level detail (e.g. ‘F — Construction’) and for ‘Other financial corporations’ with a two level detail (e.g. ‘K65 — Insurance, reinsurance and pension funding, except compulsory social security’).
110 Sector of counterparty  Each counterparty is assigned to one of the following FINREP-based economic sector classes:
((a)) Other financial corporations;
((b)) Non-financial corporations;
((c)) Households;
((d)) Not applicable.
120 Size of counterparty  The total annual sales for the consolidated group of which the counterparty is a part. Each counterparty is assigned to one of the following categories:
((a)) <= EUR 50 million;
((b)) > EUR 50 million and <= EUR 200 million;
((c)) Not applicable.The total annual sales are calculated in accordance with Article 4 of the Annex to Commission Recommendation 2003/361/EC.
130 Collateral type  The collateral type is one of the following:
((a)) Non Real estate funded collateral;
((b)) Other eligible collateral: Real estate;
((c)) Real estate collateral and other unfunded CRM;
((d)) Real estate collateral, other funded CRM and guarantees;
((e)) Not applicable.
140 Type of exposure Rows 020 and 030 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 Each exposure is assigned to one of the following types:
((a)) On-balance sheet items subject to credit risk;
((b)) Off-balance sheet items subject to credit risk;
((c)) Not applicable.
150 Size of exposure Column 110 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The size of the exposure expressed in terms of exposure value (i.e. EAD). Each exposure is assigned to one of the following categories:
((a)) <= EUR 0,5 million;
((b)) > EUR 0,5 million <= EUR 1 million;
((c)) > EUR 1 million <= EUR 1,5 million;
((d)) > EUR 1,5 million <= EUR 5 million;
((e)) > EUR 5 million <= EUR 10 million;
((f)) > EUR 10 million <= EUR 50 million;
((g)) > EUR 50 million;
((h)) Not applicable.
160 Indexed loan-to-value range  The indexed loan-to-value (‘ILTV’) range is the ratio between the current loan amount and the current value of the property.The indexed loan-to-value range shall be calculated in a prudent manner and at least comply with the following features:
((a)) Total amount of the loan: the outstanding amount of the mortgage loan plus any undrawn committed amount of the mortgage loan (after applying the corresponding credit conversion factor). The loan amount shall be calculated gross of any specific credit risk adjustments and shall include all other loans (including those provided by other financial institutions that are known to the institution) secured with liens of equal or higher ranking on the same residential property with respect to the lien securing the loan. If there is insufficient information for ascertaining the ranking of the other liens, the institution shall assume that these liens rank pari passu with the lien securing the loan.
((b)) Value of the property: the value of the property is the independent valuation of the property at some point in time (most likely at origination) and converted to a current value using a property price index. The valuation should be performed in an independent way and by appraisers that meet specific qualification requirements. Qualifying requirements and minimum appraisal standards shall comply with the following conditions:

— there is an individual assessment of the property and the property is valued in a prudently conservative manner (e.g. excluding expectations of future price appreciations and taking into account any potential for the current property price to be above a level that is sustainable over the life of the loan, for example due to a property price bubble);
— if a market value can be determined, the valuation is not higher than market value;
— the valuation is supported by adequate appraisal documentation.Institutions are requested to document their calculations and provide the documents to their competent authority upon request.The ILTV categories are the following:
((a)) <= 25 %;
((b)) > 25 % <= 50 %;
((c)) > 50 % <= 75 %;
((d)) > 75 % <= 100 %;
((e)) > 100 % <= 125 %;
((f)) > 125 %;
((g)) Not applicable.
Column Label Legal reference Instructions
010 Transaction ID  The unique ID assigned by the EBA to each transaction.
020 Transaction name  The name assigned by the EBA to each transaction.
030 Type of facility  The type of facility is one of the following:
((a)) Full risk (100 %);
((b)) Note issuance facility and revolving underwriting facility (Medium risk);
((c)) Issued warranties and indemnities, guarantees, irrevocable stand-by letters of credit, documentary credit and other medium risk off-balance sheet items (Medium risk): This refers to warranties and indemnities (including tender, performance, customs and tax bonds), guarantees, irrevocable standby letters of credit not having the character of credit substitutes and other medium risk off-balance sheet items;
((d)) Undrawn committed revolving credit facility (Medium- low risk): This refers to revolving lending commitments that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to deterioration in a borrower's creditworthiness;
((e)) Undrawn committed term credit facility (Medium-low risk): This refers to term lending commitments that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to deterioration in a borrower's creditworthiness;
((f)) Undrawn committed other credit facility (Medium-low risk): This refers to lending commitments, other than revolving and term, that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to the deterioration in a borrower's creditworthiness;
((g)) Issued short-term letters of credit and other medium-low risk off-balance sheet items (Medium-low risk);
((h)) Undrawn uncommitted credit lines (Low risk): This refers to uncommitted lending facilities (advised and unadvised) that are undrawn and that may be cancelled unconditionally at any time without notice or that do provide for automatic cancellation due to deterioration in borrower's creditworthiness;
((i)) Undrawn purchase commitments for revolving purchased receivables and other low-risk off-balance sheet items (Low risk): Commitments that are able to be unconditionally cancelled or that effectively provide for automatic cancellation at any time by the institution without prior notice;
((j)) Drawn credit facility;
((k)) Not applicable.
040 Facility  The synthetic description of the hypothetical transaction.
050 Geographical area  The ISO Code of the country of residence or the macro region of residence of the counterparty. The macro regions are:
((a)) EU for European Union countries;
((b)) Non-EU for third countries;
((c)) Not applicable.
060 Portfolio name  Each portfolio is assigned one of the following unique names:
1.. Sovereign;
2.. Institutions;
3.. Large corporate;
4.. Large corporate sample.
070 Portfolio ID  The unique ID assigned by the EBA to each portfolio.
080 Exposure class Paragraph 78 of Annex II of Commission Implementing Regulation (EU) No 680/2014 Each portfolio is assigned to one of the following exposure classes:
((a)) Central banks and central governments;
((b)) Institutions;
((c)) Corporate — Other;
((d)) Not applicable.
090 NACE code  This column corresponds to the NACE codes (Statistical Classification of Economic Activities of the EU) used for ‘Non-financial corporations’ with a one level detail (e.g. ‘F — Construction’) and for ‘Other financial corporations’ with a two level detail (e.g. ‘K65 — Insurance, reinsurance and pension funding, except compulsory social security’).
100 Type of exposure Rows 020 and 030 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 Each exposure is assigned to one of the following types:
((a)) On-balance sheet items subject to credit risk;
((b)) Off-balance sheet items subject to credit risk;
((c)) Not applicable.
110 Rating  The rank of the internal rating grade applied by the institution from lowest risk to highest risk excluding defaults with PD corresponding to 100 %. It takes values from Rating 1 to Rating 30. Where the rating is not used to define a portfolio in Annex I, ‘Not applicable’ is used instead.
120 Collateralisation status Columns 150 to 210 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The collateralisation status is one of the following:
(a) Exposures with credit protection;
(a.1) Exposures with funded credit protection;
(a.2) Exposures with unfunded credit protection;
(b) Exposures without credit protection;
(c) Not applicable.
130 Collateral type Columns 150 to 210 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The collateral type is one of the following:
((a)) Eligible financial collateral;
((b)) Other eligible collateral: Receivables;
((c)) Other eligible collateral: Real estate;
((d)) Other eligible collateral: Physical collateral;
((e)) Other funded credit protection;
((f)) Credit derivatives;
((g)) Guarantees;
((h)) Not applicable.
140 Collateral  The description of the collateral of the hypothetical transactions.
150 Collateral value Columns 150 to 210 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The market value of the collateral.
160 Size of counterparty  The total annual sales for the consolidated group of which the counterparty is a part. Each counterparty is assigned to one of the following categories:
((a)) > EUR 200 million;
((b)) Not applicable.The total annual sales are calculated in accordance with Article 4 of the Annex to Commission Recommendation 2003/361/EC.
ANNEX III
Template number Template code Name of the template /group of templates
101 C 101.00 Details on exposures in Low Default Portfolios by counterparty
102 C 102.00 Details on exposures in Low Default Portfolios
103 C 103.00 Details on exposures in High Default Portfolios
104 C 104.00 Details for hypothetical transactions in Low Default Portfolios
105,01 C 105.01 Definition of internal models
105,02 C 105.02 Mapping of internal models to portfolios
105,03 C 105.03 Mapping of internal models to countries
Counterparty Code Exposure class Regulatory approach Rating Date of most recent rating of counterparty PD Default status Original exposure pre conversion factors Exposure after CRM substitution effects pre conversion factors CCF EAD Collateral value Hyp LGD senior unsecured without negative pledge Hyp LGD senior unsecured with negative pledge LGD Maturity RWA
010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170
                
Portfolio ID Exposure class Regulatory approach Number of obligors Rating PD Default status Original exposure pre conversion factors Exposure after CRM substitution effects pre conversion factors CCF EAD Collateral value LGD Maturity Expected Loss Provisions non-performing exposures RWA RWA Standardised
010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180
                 
Portfolio ID Exposure class Regulatory approach Number of obligors Rating PD Default status Original exposure pre conversion factors Exposure after CRM substitution effects pre conversion factors CCF EAD Collateral value LGD Maturity Expected Loss amount Provisions non-performing exposures RWA RWA Standardised Default rate latest year Default rate past 5 years Loss rate latest year Loss rate past 5 years RWA * RWA **
010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240
                       
Transaction ID Rating PD Original exposure pre conversion factors CCF Collateral value before haircut Haircut Collateral value after haircut EAD EAD unsecured EAD secured LGD LGD unsecured LGD secured Maturity RWA
010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160
               
Internal model ID Model name IRBA Risk parameter EAD EAD weighted average default rate for calibration Case weighted average default rate for calibration Long-run PD Cure rate for defaulted assets Recovery rate of the foreclosed assets for not cured defaults Recovery period of the foreclosed assets for not cured defaults Joint decision Consolidating supervisor
010 020 030 040 050 060 070 080 090 100 110 120
           
Portfolio ID Internal model ID
010 020
 
Internal model ID Host supervisor
010 020
 
ANNEX IV

PART I: GENERAL INSTRUCTIONS
1. Data shall be submitted only for those counterparties where an actual exposure or valid rating exists.

2. Data shall be submitted only for those exposures and hypothetical transactions where an internal model has been approved.

3. 

((a)) for the absolute values, the sum of the values shall be reported;
((b)) for the percentage values, the weighted average, using the exposure at default (‘EAD’) as weight, shall be reported;
((c)) as an exception to point (b), when calculating the conversion factor (‘CCF’), the weight used shall be the ‘original exposure’, i.e. the amount to which a CCF is applied in order to obtain the EAD, after taking into account credit risk mitigation (‘CRM’) techniques with substitution effects on the exposure (column 090 in templates 101, 102 and 103).

PART II: TEMPLATE RELATED INSTRUCTIONS
Column Label Legal reference Instructions
010 Counterparty Code Column 010 of template 101 of Annex I The counterparty code assigned by the EBA to the counterparty included in the LDP samples portfolios shall be reported. This code is a row identifier and shall be unique for each row in the table.
020 Exposure class Paragraph 78 of Annex II of Commission Implementing Regulation (EU) No 680/2014 Each portfolio shall be assigned to one of the following exposure classes:
((a)) Central banks and central governments;
((b)) Institutions;
((c)) Corporate — SME;
((d)) Corporate — Specialised lending;
((e)) Corporate — Other;
((f)) Retail — Secured by real estate SME;
((g)) Retail — Secured by real estate non-SME;
((h)) Retail — Qualifying revolving;
((i)) Retail — Other SME;
((j)) Retail — Other non — SME;
((k)) Not applicable.
030 Regulatory approach  The approach used for calculating own funds requirements that shall be reported shall be one of the following:
((a)) Foundation IRB approach: if exposures under the Foundation IRB approach represent 50 % or more of the IRB exposures to the counterparty;
((b)) Advanced IRB approach: if exposures under the Advanced IRB approach represent 50 % or more of the IRB exposures to the counterparty;
((c)) Specialised lending slotting criteria: if exposures under the slotting criteria represent 50 % or more of the IRB exposures to the counterparty;
((d)) IRB approach: if none of the conditions in points (a) to (c) is met and the institution applies IRB approaches to the exposures to the counterparty;
((e)) Not applicable.
040 Rating  The rank of the internal rating grade applied by the institution (from lowest risk to highest risk excluding defaults with PD corresponding to 100 %) shall be reported. It shall follow the numerical order 1, 2, 3 etc.
050 Date of most recent rating of counterparty  The date of the most recent rating of the counterparty shall be reported.
060 PD Column 010 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The PD assigned to the obligor grade or pool that shall be reported shall be based on the provisions laid down in Article 180 of Regulation (EU) No 575/2013. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures) the exposure-weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 120) shall be used for the calculation of the exposure-weighted average PD. The PD shall be expressed as a value between 0 and 1.For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale shall be used. Otherwise, the different rating systems shall be merged and ordered according to the following criteria:
((a)) obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher;
((b)) where the institution uses a large number of grades or pools, it may agree to report with the competent authorities to report a reduced number of grades or pools.The institution shall contact its competent authority in advance if it wants to report a different number of grades in comparison with the internal number of grades.
070 Default status  The default status to be reported shall be one of the following:
((a)) Defaulted: exposures assigned to the rating grade(s) with a PD of 100 %;
((b)) Non-defaulted: exposures assigned to rating grades with a PD lower than 100 %.
080 Original exposure pre-conversion factors Column 020 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The original exposure value before taking into account any value adjustments, specific credit risk adjustments, effects due to credit risk mitigation techniques or conversion factors shall be reported.
090 Exposure after CRM substitution effects pre-conversion factors Column 090 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The amount to which a CCF is applied in order to obtain the EAD shall be reported. This shall be done taking into account credit risk mitigation techniques with substitution effects on the exposure.
100 CCF Second subparagraph of Article 166(8) of Regulation (EU) No 575/2013 For the exposures where own estimates of CCFs are applied, the weighted average CCFs shall be reported. The weights that shall be used shall be the amounts to which the CCFs are applied in order to obtain the EAD.
110 EAD Column 110 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure value shall be left blank if the institution has no IRB exposure for a given counterparty.
120 Collateral value Columns 150 to 210 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The market value of the collateral shall be reported.
130 Hyp LGD senior unsecured without negative pledge Article 161 of Regulation (EU) No 575/2013 The hypothetical own estimates of LGD that would be applied by the institution to the counterparty for senior unsecured exposures without a negative pledge clause shall be reported.A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party.
140 Hyp LGD senior unsecured with negative pledge Article 161 of Regulation (EU) No 575/2013 The hypothetical own estimated LGD that would be applied by the institution to the counterparty for senior unsecured exposures with a negative pledge clause shall be reported.A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party.
150 LGD Column 230 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure-weighted own estimates of LGD or the exposure-weighted regulatory LGD applied by the institution to the exposures to each counterparty shall be reported.
160 Maturity Column 250 of template8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure-weighted maturity for the exposures to each counterparty shall be reported. It shall be expressed in number of days.
170 RWA Column 260 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The risk-weighted exposure amount after applying the SME supporting factor shall be reported.
 4. 

((a)) if the institution has no IRB exposure for the portfolio, the EAD shall be left blank;
((b)) the PD shall be filled in for the entire rating scale;
((c)) if the institution has no IRB exposure for a given rating/segment, the EAD shall be 0 and the other columns shall be blank (except the PD for the rating scale).

Column Label Legal reference Instructions
010 Portfolio ID Column 010 of template 102 of Annex I The code assigned by the EBA to each portfolio shall be reported. This code is a row identifier and shall be unique for each row in the table.
020 Exposure class Paragraph 78 of Annex II of Commission Implementing Regulation (EU) No 680/2014 Each portfolio shall be assigned to one of the following exposure classes:
((a)) Central banks and central governments;
((b)) Institutions;
((c)) Corporate — SME;
((d)) Corporate — Specialised lending;
((e)) Corporate — Other;
((f)) Retail — Secured by real estate SME;
((g)) Retail — Secured by real estate non-SME;
((h)) Retail — Qualifying revolving;
((i)) Retail — Other SME;
((j)) Retail — Other non — SME;
((k)) Not applicable.
030 Regulatory approach  The approach used for calculating own funds requirements that shall be reported shall be one of the following:
((a)) Foundation IRB approach: if exposures under the Foundation IRB approach represent 50 % or more of the IRB exposures in the portfolio;
((b)) Advanced IRB approach: if exposures under the Advanced IRB approach represent 50 % or more of the IRB exposures in the portfolio;
((c)) Specialised lending slotting criteria: if exposures under the slotting criteria represent 50 % or more of the exposures in the portfolio that are under the IRB approach;
((d)) IRB approach: if none of the conditions in points (a) to (c) is met and the institution applies IRB approaches to the exposures in the portfolio;
((e)) Not applicable.
040 Number of obligors Column 300 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The number of obligors shall be reported.
050 Rating  The rank of the internal rating grade applied by the institution (from lowest risk to highest risk excluding defaults with PD corresponding to 100 %) shall be reported. It shall follow the numerical order 1, 2, 3 etc. This information shall only be reported for portfolios defined in Annex I that consist of exposures to a single rating grade, otherwise this cell shall be left blank.
060 PD Column 010 of table 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of Regulation (EU) No 575/2013. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the expo-sure-weighted average PD. The PD shall be expressed as a value between 0 and 1.For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale shall be used. Otherwise, the different rating systems shall be merged and ordered according to the following criteria:
((a)) obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher;
((b)) where the institution uses a large number of grades or pools, it may agree with the competent authorities to report a reduced number of grades or pools.The institution shall contact its competent authority in advance if it wants to report a different number of grades in comparison with the internal number of grades.
070 Default status  The default status to be reported shall be one of the following:
((a)) Defaulted: exposures assigned to the rating grade(s) with a PD of 100 %.
((b)) Non-defaulted: exposures assigned to rating grades with a PD lower than 100 %.
080 Original exposure pre-conversion factors Column 020 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The original exposure value before taking into account any value adjustments, specific credit risk adjustments, effects due to credit risk mitigation techniques or conversion factors shall be reported.
090 Exposure after CRM substitution effects pre-conversion factors Column 090 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The amount to which a CCF is applied in order to obtain the EAD shall be reported. This shall be done taking into account credit risk mitigation techniques with substitution effects on the exposure.
100 CCF Article 166(8) of Regulation (EU) No 575/2013 For the exposures where own estimates of CCFs are applied, the weighted average CCFs shall be reported. The weights that shall be used shall be the amounts to which the CCFs are applied in order to obtain the EAD.
110 EAD Column 110 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure value shall be reported.
120 Collateral value Columns 150 to 210 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The market value of the collateral shall be reported.
130 LGD Column 230 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure-weighted own estimates of LGD or the exposure-weighted regulatory LGD applied by the institution to the exposures held and included in each portfolio shall be reported.
140 Maturity Column 250 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure-weighted maturity shall be reported. It shall be expressed in number of days.
150 Expected Loss Column 280 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The expected loss shall be reported.
160 Provisions non-performing exposures Columns 050 and 060 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The specific credit risk adjustments for non-performing exposures shall be reported.
170 RWA Column 260 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The risk-weighted exposure amount after applying the SME supporting factor shall be reported.
180 RWA Standardised Row 900 of template 4 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The RWA amount calculated by applying the standardised approach for credit risk to the exposures shall be reported.
Column Label Legal reference Instructions
010 Portfolio ID Column 010 of template 103 of Annex I The code assigned by the EBA to each portfolio shall be reported. This code is a row identifier and shall be unique for each row in the table.
020 Exposure class Paragraph 78 of Annex II of Commission Implementing Regulation (EU) No 680/2014 Each portfolio shall be assigned to one of the following exposure classes:
((a)) Corporate — SME;
((b)) Corporate — Specialised lending;
((c)) Corporate — Other;
((d)) Retail — Secured by real estate SME;
((e)) Retail — Secured by real estate non-SME;
((f)) Retail — Qualifying revolving;
((g)) Retail — Other SME;
((h)) Retail — Other non — SME;
((i)) Not applicable.
030 Regulatory approach  The regulatory approach used for calculating own funds requirements that shall be reported shall be one of the following:
((a)) Foundation IRB approach: if exposures under the Foundation IRB approach represent 50 % or more of the IRB exposures in the portfolio;
((b)) Advanced IRB approach: if exposures under the Advanced IRB approach represent 50 % or more of the IRB exposures in the portfolio;
((c)) Specialised lending slotting criteria: if exposures under the slotting criteria represent 50 % or more of the exposures in the portfolio that are under the IRB approach;
((d)) IRB approach: if none of the conditions in points (a) to (c) and (e) to (j) is met and the institution applies IRB approaches to the exposures in the portfolio;
((e)) PD/LGD approach: for equity exposures;
((f)) Simple risk-weight approach: for equity exposures;
((g)) Internal models approach: for equity exposures;
((h)) Ratings based method: for securitisation exposures;
((i)) Supervisory formula method: for securitisation exposures;
((j)) Internal assessment approach: for securitisation exposures;
((k)) Not applicable.
040 Number of obligors Column 300 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The number of obligors shall be reported.
050 Rating  The internal rating grade applied by the institution (from lowest risk to highest risk excluding defaults with PD corresponding to 100 %) shall be reported. It shall follow the numerical order 1, 2, 3 etc. This information shall only be reported for portfolios defined in Annex I that consist of exposures to a single rating grade, otherwise this cell shall be left blank.
060 PD Column 010 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of Regulation (EU) No 575/2013. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures), the exposure-weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD. The PD shall be expressed as a value between 0 and 1.For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale shall be used. Otherwise, the different rating systems shall be merged and ordered according to the following criteria:
((a)) Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher;
((b)) where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.The institution shall contact its competent authority in advance if it wants to report a different number of grades in comparison with the internal number of grades.
070 Default status  The default status shall be one of the following:
((a)) Defaulted: Those are the exposures assigned to the rating grade(s) with a PD of 100 %;
((b)) Non-defaulted: Those are the exposures assigned to rating grades with a PD lower than 100 %.
080 Original exposure pre conversion factors Column 020 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The original exposure value before taking into account any value adjustments, specific credit risk adjustments, effects due to credit risk mitigation techniques or conversion factors shall be reported.
090 Exposure after CRM substitution effects pre conversion factors Column 090 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The amount to which a conversion factor is applied in order to obtain the EAD shall be reported. This shall be done taking into account credit risk mitigation techniques with substitution effects on the exposure.
100 CCF Article 166(8) of Regulation (EU) No 575/2013 For the exposures where own estimates of CCFs are applied, the weighted average CCFs shall be reported. The weights that shall be used shall be the amounts to which the CCFs are applied in order to obtain the EAD.
110 EAD Column 110 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure value shall be reported.
120 Collateral value Column 150 to 210 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The market value of the collateral shall be reported.
130 LGD Column 230 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure-weighted own estimates of LGD or exposure-weighted regulatory LGD applied by the institution to the exposures to each portfolio shall be reported.
140 Maturity Column 250 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure-weighted maturity shall be reported. It shall be expressed in number of days.
150 Expected Loss Column 280 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The expected loss shall be reported.
160 Provisions non-performing exposures Columns 050 and 060 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The specific credit risk adjustments for non-performing exposures shall be reported.
170 RWA Column 260 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The risk-weighted exposure amount after applying the SME supporting factor shall be reported.
180 RWA Standardised Row 900 of template 4 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The RWA amount calculated by applying the standardised approach for credit risk to the exposures shall be reported.
190 Default rate latest year Columns 010, 030 and 040 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The default rate for the latest year shall be reported. The default rate is defined as the observed new defaults for the last year (column 040 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014) divided by the amount of the non-defaulted assets existing 1 year before the reference date (the difference between column 010 and column 030 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014).
200 Default rate past 5 years Columns 010, 030 and 040 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure-weighted average of the default rates observed in the last 5 years shall be reported. For the definition of default rate see column 190.If the institution is not able to calculate a default rate for the past 5 years it shall develop a proxy using its longest history up to 5 years and provide the documentation detailing the calculation to its competent authority.
210 Loss rate latest year Columns 040 and 070 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014and Commission Delegated Regulation (EU) No 183/2014 The loss rate observed in the latest year shall be reported. The loss rate is defined as the sum of credit risk adjustments and write-offs for the exposures that were classified as ‘defaulted exposures’ in the latest year (column 070 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014) divided by the amount of the observed new defaults in the last year (column 040 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014).
220 Loss rate past 5 years Columns 040 and 070 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure-weighted average of the loss rates observed in the last 5 years shall be reported. For the definition of loss rate see column 210.If the institution is not able to calculate a loss rate for the past 5 years it shall develop a proxy using its longest history up to 5 years and provide documentation detailing the calculation to its competent authority.
230 RWA*  Institutions shall calculate and report RWA* for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total portfolio and a country level. These portfolios are defined in Annex I, template 103 and are identified with the following portfolio ID:
((a)) CORP0007;
((b)) SMEC0008;
((c)) SMER0008;
((d)) MORT0010;
((e)) CORP0007<Risk type code>;
((f)) SMEC0008<Risk type code>;
((g)) SMER0008<Risk type code>;
((h)) MORT0010<Risk type code>;
((i)) <Country Code>CORP0007;
((j)) <Country Code>SMEC0008;
((k)) <Country Code>SMER0008;
((l)) <Country Code>MORT0010;
((m)) <Country Code>CORP0007<Risk type code>;
((n)) <Country Code>SMEC0008<Risk type code>;
((o)) <Country Code>SMER0008<Risk type code>;
((p)) <Country Code>MORT0010<Risk type code>.The risk-weighted exposure amount, after applying the SME supporting factor, that would result from the application of PD* instead of the original PD on the rating grade level shall be reported. No compensation between rating grades shall be taken into account.PD* is the smallest PD estimate for which the one-sided binomial test (based on normal approximation of binomial distribution with confidence level of 97,5 %) would be passed.PD* = min PD* so that:PD*+Φ−1q×PD*×1−PD*n>DR1yWith:PD*the probability of default for the rating grade;Φ– 1the inverse function of the standard normal distribution;qthe confidence level;DR1ythe case-weighted default rate of the latest year for the rating grade;nthe number of non-defaulted debtors at the beginning of the period.An institution using continuous PD shall first determine the PD* for the average PD of each rating class and subsequently apply by rating class the same relative deviation between PD and PD* at counterpart level as for the average PD and PD* at rating grade level.If the prohibition from taking into account compensation between rating grades leads to a situation where, for a given rating grade, PD* is less than PD then for that rating grade the PD shall be used in the calculation of the risk-weighted exposure amount.
240 RWA**  Institutions shall calculate and report RWA** for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total portfolio and a country level. These portfolios are defined in Annex I, template 103 and are identified with the following portfolio ID:
((a)) CORP0007;
((b)) SMEC0008;
((c)) SMER0008;
((d)) MORT0010;
((e)) CORP0007<Risk type code>;
((f)) SMEC0008<Risk type code>;
((g)) SMER0008<Risk type code>;
((h)) MORT0010<Risk type code>;
((i)) <Country Code>CORP0007;
((j)) <Country Code>SMEC0008;
((k)) <Country Code>SMER0008;
((l)) <Country Code>MORT0010;
((m)) <Country Code>CORP0007<Risk type code>;
((n)) <Country Code>SMEC0008<Risk type code>;
((o)) <Country Code>SMER0008<Risk type code>;
((p)) <Country Code>MORT0010<Risk type code>.The risk-weighted exposure amount, after applying the SME supporting factor, that would result from the application of PD** instead of the original PD on the rating grade level shall be reported. No compensation between rating grades shall be taken into account.PD** is the smallest PD estimate for which the one-sided binomial test (based on normal approximation of binomial distribution with confidence level of 97,5 %) would be passed.The rating grade shall be the followingPD** = min PD** so that:PD**+Φ−1q×PD**×1−PD**n>DR5yWith:PD**the probability of default for the rating grade;Φ– 1the inverse function of the standard normal distribution;qthe confidence level;DR5ythe case-weighted default rate of the 5 latest year for the rating grade;nthe number of non-defaulted debtors at the beginning of the period.An institution using continuous PD shall determine first the PD** for the average PD of each rating class and subsequently apply by rating class the same relative deviation between PD and PD** at counterpart level as for the average PD and PD** at rating grade level.If the prohibition from taking into account compensation between rating grades leads to a situation where, at rating grade level, PD** is less than PD then for that rating grade the PD shall be used in the calculation of the risk-weighted exposure amount.
Column Label Legal reference Instructions
010 Transaction ID Column 010 of template 101 of Annex I The code assigned by the EBA to the hypothetical transaction included in the LDP samples shall be reported. This code is a row identifier and shall be unique for each row in the table.
020 Rating  The rank of the internal rating grade of each institution (from lowest risk to highest risk excluding defaults with PD corresponding to 100 %). It shall follow the numerical order 1, 2, 3 etc.
030 PD  The PD corresponding to the internal rating grade assigned by the institution to the hypothetical transaction shall be reported. The PD shall be expressed as a value between 0 and 1.
040 Original exposure pre conversion factors Column 020 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The amount to which a CCF is applied in order to obtain the EAD of the hypothetical transaction shall be reported.
050 CCF Article 166(8) of Regulation (EU) No 575/2013 The CCF applied by the institutions to the hypothetical transaction shall be reported.
060 Collateral value before haircut  The market value of the collateral before the application of the haircut shall be reported.
070 Haircut  The conservative adjustment applied by the institution to the market value of the collateral shall be reported.
080 Collateral value after haircut  The market value of the collateral (see column 060) after the application of the haircut (see column 070) shall be reported.
090 EAD Column 110 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure value of the hypothetical transaction shall be reported.
100 EAD unsecured  The exposure value of an unsecured hypothetical transaction shall be reported. If the hypothetical transaction is only partly secured and if the institution splits, in accordance with a regular practice, such exposures into fully secured and unsecured parts, the exposure value of the unsecured part shall be reported.
110 EAD secured  The exposure value of a fully secured hypothetical transaction shall be reported. If the hypothetical transaction is only partly secured and if the institution splits, in accordance with a regular practice, such exposures into fully secured and unsecured parts, the exposure value of the fully secured part(s) shall be reported.
120 LGD Column 230 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure-weighted own estimates of LGD or the exposure-weighted regulatory LGD applied by the institutions to the hypothetical transaction shall be reported.
130 LGD unsecured  The own estimate of LGD applied by the institution to an unsecured hypothetical transactions shall be reported. If the hypothetical transaction is only partly secured and if the institution splits, in accordance with a regular practice, such exposures into fully secured and unsecured parts, the own estimate of LGD that would be applied by the institution to the unsecured part shall be reported.
140 LGD secured  The own estimate of LGD applied by the institution to a fully secured hypothetical transaction. If the hypothetical transaction is only partly secured and if the institution splits, in accordance with regular practice, such exposures into fully secured and unsecured parts, the own estimate of LGD that would be applied by the institution to the fully secured part(s) shall be reported.
150 Maturity Column 250 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The maturity applied by the institution to the hypothetical transaction shall be reported. It shall be expressed in number of days.
160 RWA Column 260 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The risk-weighted amount calculated by the institution for the hypothetical transaction shall be reported.
Column Label Legal reference Instructions
010 Internal model ID  The internal model ID assigned by the reporting institution shall be reported. This internal model ID is a row identifier that shall be unique for each row in the table.
020 Model name  The model name assigned by the reporting institution shall be reported.
030 IRBA Risk parameter  The IRBA risk parameter shall be one of the following:
((a)) PD;
((b)) LGD;
((c)) CCF.
040 EAD Column 110 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The aggregate exposure value of the transactions included in each portfolio (see column 060) treated with the specific model shall be reported.
050 EAD weighted average default rate for calibration  The EAD-weighted average of the annual default rates used in the calibration of the PD models shall be reported.
060 Case weighted average default rate for calibration  The case-weighted average of the annual default rates used in the calibration of the PD models shall be reported.
070 Long-run PD  The central tendency used by the institution in the calibration of the models that incorporates any prudent adjustment to the case-weighted average of the annual default rates used in the calibration of the PD models shall be reported.
080 Cure rate defaulted asset  The cure rate defaulted asset is the percentage of defaulted assets outstanding that returns in ‘non-defaulted’ status over a 12 months period.An institution that does not calculate cure rates for a given model shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority.
090 Recovery rate of the foreclosed assets for not cured defaults  The case-weighted average recovery rate of the foreclosed assets for not cured defaults included in the time series used by the institution for the calibration of the LGD models on non-defaulted assets shall be reported.An institution that does not have a specific recovery rate of the foreclosed assets for no cured defaults shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority.
100 Recovery period of the foreclosed assets for not cured defaults  The case-weighted average length of the recovery period (from the start of the default status to the completion date of the recovery procedures) for the non-cured defaults included in the time series used by the institution for the calibration of the LGD models on non-defaulted assets shall be reported. It shall be expressed in number of days.An institution that does not have a specific recovery period length of the foreclosed assets for no cured defaults shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority.
110 Joint decision Article 20(2)(a) of Regulation (EU) No 575/2013 The institution shall report whether or not a joint decision on prudential requirements does exist between the consolidating and the other (host) competent authority regarding the permission to use the IRB approach for the calculation of the prudential requirements for the exposures held by the subsidiaries of the institutions in the reported benchmarking portfolios.
120 Consolidating supervisor Article 20 of Regulation (EU) No 575/2013 The country ISO code of the country of origin of the competent authority responsible for the consolidated supervision of the institution using an IRB approach shall be reported.
Column Label Legal reference Instructions
010 Portfolio ID Column 010 of templates 102 and 103 The code assigned by the EBA to the portfolio for which the institution reports the results of the calculation shall be reported.
020 Internal model ID Column 010 of template 105.01 The internal model ID assigned by the reporting institution shall be reported.
Column Label Legal reference Instructions
010 Internal model ID Column 010 of template 105.01 The internal model ID assigned by the reporting institution shall be reported. Where one internal model ID is associated with several countries, separate rows shall be reported for each combination of ‘Internal model ID’ and ‘Host supervisor’. Columns 010 and 020 are a composite row identifier and together must be unique for each row in the table.
020 Host supervisor Article 20 of Regulation (EU) No 575/2013 The country ISO code of the country of origin of the competent authority responsible for the supervision of the subsidiary on an individual basis for each institution where the IRB exposures reported for each benchmarking portfolio are booked shall be reported (irrespective of the existence of any permission granted by the host supervisor to apply an IRB approach).
ANNEX V
An institution shall apply the following:


a)) Unless explicitly specified otherwise in the portfolio description, all positions shall be booked 15 October 2015. Once positions have been booked, each portfolio shall age for the duration of the benchmarking exercise. Furthermore, calculations shall be done under the assumption that the institution does not take any action to manage the portfolio in any way during the entire period of the benchmarking exercise. Unless explicitly stated otherwise in the specifications for a particular portfolio, strike prices for option positions shall be determined relative to prices for the underlying as observed at market close on 15 October 2015.
b)) For the purpose of the pre-benchmarking exercise validation, the valuation of each portfolio shall be submitted to the institution's competent authority by 30 June 2016. The exact timing of the valuation shall be 26 October 2015, 5.30 pm CET.
c)) The risks of the positions shall be calculated without taking into account the funding costs associated with the portfolios
d)) To the extent possible, counterparty credit risk shall be excluded when valuing the risks of the portfolios.
e)) The 10-day 99 % VaR shall be calculated on a daily basis. Stressed Value-at-Risk (‘sVaR’) and the Incremental Risk Charge (‘IRC’) may be calculated on a weekly basis. sVaR and IRC shall be based on end–of-day prices for each Friday in the time window of the benchmarking exercise.
f)) For each portfolio, results shall be reported in the base currency of the portfolio as provided in the sections below.
g)) For transactions that include long positions in Credit Default Swaps (‘CDS’), assume an immediate up-front fee is paid to enter the position as per the market conventions.
h)) It shall be assumed that the maturity date for all CDS in the benchmarking exercise follows conventional quarterly termination dates, often referred to as ‘IMM dates’.
i)) Additional specifications needed in order to carry out pricing calculations required for CDS positions shall be done in a way that is consistent with commonly used market standards.
j)) The maturity date (for example, some options expire on the third Saturday of the month) that ensures that the transaction is closest to the term-to-maturity specified shall be used. For material details of the product specification that are not explicitly stated in this document, the assumptions that have been used (day count convention, etc.) shall be provided along with the results.
k)) The abbreviations ATM, OTM and ITM refer to a derivative's moneyness (i.e. the relative position of the price of an underlying with respect to the strike price of that derivative). ATM stands for ‘at the money’, OTM stands for ‘out of the money’, and ITM stands for ‘in the money’.
l)) All options shall be treated as if they are traded over-the-counter (‘OTC’) unless explicitly specified otherwise in the portfolio.
m)) The standard timing conventions for OTC options shall be followed (i.e. expiry dates are the business day following a non-trading day). For example, a 3-month OTC option booked on 15 October 2015 expires on 15 January 2016. If options expire on a non-trading day, adjust the expiration date per business day, in accordance with common market practices.
n)) All OTC options shall be treated as:

— American for single name equities and commodities; and
— European for equity indices, foreign exchange and swaptions.
o)) For all options the premium from the initial market value calculations shall be excluded (i.e. options shall be considered as ‘naked’).
p)) For the positions denominated in Euro but composed by one or more instruments denominated in a different currency, the Initial Market Valuation (‘IMV’), VaR, sVaR and IRC shall be converted in Euro using the appropriate foreign exchange (‘FX’) spot rate at the end of the booking date (15 October 2015).
q)) When booking all positions, appropriate market convention shall be followed unless otherwise specified in the instructions applicable to the portfolio.
r)) When an instrument is subject to a corporate action (a call from the issuer, a default etc.) it shall be excluded from the portfolio along with any related CDS or option.
s)) The Euro Interbank Offered Rate (‘Euribor’) is the rate calculated by the European Money Markets Institute at different maturities for Euro interbank term deposits.
t)) The London Interbank Offered Rate (‘Libor’) is the rate calculated by the Intercontinental Exchange at different maturities for interbank term deposits in different currencies.

Section 1: Non-Correlation Trading Portfolios
Portfolio numberRisk factor Portfolios Currency Risk Metrics requested
Equity Portfolios
1.1Equity 
Equity index futures 

— Long 30 contracts ATM*, last trading date 18 March 2016, delivery date 21 March 2016, FTSE 100 index futures (1 contract = 10 underlyings)
 * The futures price is based on the index level at NYSE Liffe London market close on 15 October2015.
 GBP VaR and sVaR
1.2Equity 
Bullish leveraged trade 

— Long 100 contracts OTC Google (GOOG) OTM* 3-month call options (1 contract = 100 shares underlying)
 * The strike price is out-of-the-money by 10 % relative to the stock price at market close on 15 October 2015.
 USD VaR and sVaR
1.3Equity 
Volatility trade #1 

— Short straddle 3-month ATM* S&P 500 Index OTC options (30 contracts; 1 contract = 100 underlyings)
— Long straddle 2-year ATM* S&P 500 Index OTC options (30 contracts; 1 contract = 100 underlyings)
— Effective date: 15 October 2015.
 * The strike price is based on the index level at NYSE at 4:30 pm New York time on 15 October 2015.
 USD VaR and sVaR
1.4Equity 
Volatility trade #2 (smile effect) 

— Long 40 contracts of put options on FTSE 100 index (with a strike price that is 10 % OTM* based on the end-of-day index value), last trading date 18 March 2016, delivery date 21 March 2016 (1 contract = 10 underlyings)
— Short 40 contracts of put options on FTSE 100 index (with a strike price that is 10 % ITM* based on the end-of-day index value), last trading date 18 March 2016, delivery date 21 March 2016 (1 contract = 10 underlyings)
 * The strike price is based on the index level at NYSE Liffe London market close on 15 October2015.
 GBP VaR and sVaR
1.5Equity 

— Long ATM* variance swap on Eurostoxx 50 with a maturity of 2 years, Vega notional amount of EUR 50,000. The payoff is based on the following realized variance formula:
252n−2∑i−1n−1ln Si+1Si2
where n is the number of working days until maturity, and Si and Si + 1 are the price of the underlying at date i and i + 1 respectively.
 * 
(The strike value determined by the institution on the pre-benchmarking exercise validation data template shall be provided together with the initial market value of the trade.)
 EUR VaR and sVaR
1.6Equity 

— Long 40 contracts of 3-month ATM* S&P 500 down-and-in put options with a barrier level that is 10 % OTM* and continuous monitoring frequency (1 contract = 100 underlyings)
 * The strike price is based on the index level at NYSE market close on 15 October 2015.
 USD VaR and sVaR
1.7Equity 

— 3-year USD Quanto call on Eurostoxx 50

See details in Section 2.1 of this Annex.
 USD VaR and sVaR
Interest Rate
1.8IR 
Curve flattener trade 

— Long EUR 5 million 10-year German Treasury bond (ISIN: DE0001102366, expiry 15 August 2024)
— Short EUR 20 million 2-year German Treasury note (ISIN:DE0001135341, expiry 4 January 2018)
 EUR VaR, sVaR and IRC
1.9IR 
Ten-year fixed for variable interest rate swap 

— Receive fixed rate and pay floating rate
— Fixed leg: receive annually
— Floating leg: 3-month Euribor rate, pay quarterly
— Notional: EUR 5 million
— Roll convention and calendar: standard
— Effective date: 15 October 2015 (i.e. rates to be used are those at the market close on 15 October 2015)
— Maturity date: 15 October 2025
 EUR VaR and sVaR
1.10IR 
Two-year swaption on ten-year interest rate swap 

— Seller* of an OTC receiver swaption with maturity of two years on the interest rate swap described in row 1.9 but with a modified effective date of 16 October 2017 and a modified maturity date of 15  ctober 2027.
— Effective date of swaption: 15 October 2015
— Expiry date of swaption: 16 October 2017
— Premium paid at expiry
— Cash settled
 * The strike price is based on the IRS rate as per row 1.9 (i.e. the strike price is the fixed rate as per row 1.9)
 * The institution is the seller of the option on the swap. The counterparty of the institution buys the right to enter a swap with the institution; if the counterparty exercises its right, it will receive the fixed rate while the institution will receive the floating rate.
 EUR VaR and sVaR
1.11IR 
Structured coupon indexed on the number of days in the interest rate period when the Libor fixes in a predetermined range.

See details in Section 2.2 of this Annex.
 USD VaR and sVaR
1.12IR 
CPTFEMU index 10Y maturity par zero coupon swap

See details in Section 2.3 of this Annex.
 EUR VaR and sVaR
FX
1.13FX 
Covered FX call 

— Short 3-month EUR/USD forward contracts (i.e. long USD short EUR), cash-settled, with USD 20 million notional purchased at the EUR/USD ECB reference rate as of end of day 15 October 2015
— Short 3-month put EUR call USD option notional USD 40 million (i.e. short USD against EUR), cash-settled, with strike price corresponding to the three-month forward exchange rate as of end of day 15 October 2015
— Effective date: 15 October 2015
— Expiry date: 15 January 2016
 EUR VaR and sVaR
1.14FX 
Mark-to-market cross-currency basis swap 
See details in Section 2.8 of this Annex.
 EUR VaR and sVaR
1.15FX 
Vanilla option that ceases to exist if the spot price of the underlying breaches a predetermined barrier before maturity, cash-settled.

See details in Section 2.4 of this Annex.
 EUR VaR and sVaR
1.16FX 
Digital option that pays a predetermined amount if the spot does not touch any of the barriers during the life of the option, cash-settled.

See details in Section 2.5 of this Annex.
 EUR VaR and sVaR
Commodity
1.17Commodity 
Curve play from contango to backwardation 

— Long 3 500 000 3-month ATM OTC London Gold Forwards contracts (1 contract = 0,001 troy ounces, notional: 3 500 troy ounces)
— Short 4 300 000 1-year ATM OTC London Gold Forwards contracts (notional: 4 300 troy ounces)
 USD VaR and sVaR
1.18Commodity 

— Short 30 contracts of 3-month OTC WTI Crude Oil puts with strike = 6-month end-of-day forward price on 15 October 2015 (1 contract = 1 000 barrels, total notional 30 000 barrels)
 USD VaR and sVaR
Credit Spread
1.19Credit Spread 
Sovereign CDS portfolio 

— Short EUR 2 million per single-name 5 year CDS (total 10 million notional) on the following countries:
— Effective date: 15 October 2015
— Restructuring clause: FULL

Country RED Code currency
Italy 4AB951 USD
UK 9A17DE USD
Germany 3AB549 USD
France 3I68EE USD
US 9A3AAA EUR EUR VaR, sVaR and IRC
1.20Credit Spread 
Sovereign bond/CDS portfolio 

— Long EUR 2 million per single-name 5 year CDS (total 10 million notional) on the following countries: Italy, UK, Germany, France, US as in portfolio in row 1.19
— Long EUR 2 million per single-name 5 year bonds (total 10 million notional) on the following countries: Italy, UK, Germany, France, US (as identified in the following table)
— Effective date: 15 October 2015
— To convert the notional of the non-euro bonds use the FX spot as at end of day 15 October 2015

Identifier Description
IT0004594930 BT 1 September 2020
DE0001135408 BUND 4 July 2020
GB00BN65R198 GILT 22 July 2020
FR0010050559 OAT 25 July 2020
US912828VP28 TBOND 31 July 2020 EUR VaR, sVaR and IRC
1.21Credit Spread 
Sector concentration portfolio 

— Equivalent of short 1 million notional per single-name 5 year CDS (total EUR 10 million notional) on the following 10 companies
— Effective date: 15 October 2015

Name RED Code Currency Doc clause
Met Life 5EA6BX USD MR
Allianz DD359M EUR MM
Prudental 7B8752 USD MR
AXA FF667M EUR MM
ING BANK 48DGFE EUR MM
Aegon 007GB6 EUR MM
Aviva GG6EBT EUR MM
Swiss Re HOB65N EUR MM
Principal Financial Group 7B676W USD MR
Suncorp Group 8ED955 USD MR EUR VaR, sVaR and IRC
1.22Credit Spread 
Diversified index portfolio 

— Short EUR 10 million notional iTraxx 5-year Europe SF index Series 24, Version 1 — maturity 20 December 2020 (RED Pair Code: 2I667DAX2)
— Effective date: 15 October 2015
 EUR VaR, sVaR and IRC
1.23Credit Spread 
Diversified index portfolio (higher concentration) 

— Short EUR 5 million notional* iTraxx 5-year Europe index Series 24, Version 1 — Maturity 20 December 2020 (RED Pair Code: 2I667DAX)
— Short EUR 5 million notional (equally weighted) on the following five financials belonging to the iTraxx 5-year Europe SF index Series 24, Version 1 — Maturity 20 December 2020 (RED Pair Code: 2I667DAX):

CDS name RED Code Currency Doc clause
ING BK CDS EUR SR 5Y 48DGFEAH6 EUR MM
CMZB CDS EUR SR 5Y 2C27EGAG9 EUR MM
AXA SA CDS EUR SR 5Y FF667MAD8 EUR MM
AEGON CDS EUR SR 5Y 007GB6AD4 EUR MM
SANTAN CDS EUR SR 5Y EFAGG9AF6 EUR MM
— Effective date: 15 October 2015
 * Each single name CDS should have a notional of EUR 1 million.
 EUR VaR, sVaR and IRC
1.24Credit Spread 
Diversified corporate portfolio 

— Short equivalent of EUR 2 million notional per single-name 5 year CDS (total EUR 20 million notional) on the following 10 companies (for USD CDS use the exchange rate at 15 October 2015):

Name RED Code Currency Doc clause
P&G 7B6989 USD MR
Home Depot 47A77D USD MR
Siemens 8A87AG EUR MM
Royal Dutch Shell GNDF9A EUR MM
IBM 49EB20 USD MR
Met Life 5EA6BX USD MR
Southern Co 8C67DF USD MR
Vodafone 9BADC3 EUR MM
BHP 08GE66 USD MR
Roche 7E82AF EUR MM
 EUR VaR, sVaR and IRC
1.25Credit Spread 

— Short EUR 5 million notional iTraxx 5-year Europe SF index Series 24, Version 1 — Maturity 20 December 2020 (RED Pair Code: 2I667DAX)
— Effective date: 15 October 2015
— Long EUR 5 million notional on all constituents of iTraxx 5-year Europe SF index Series 24, Version 1 — maturity 20 December 2020 (RED Pair Code: 2I667DAX) (i.e. the aggregate notional is EUR 5 million and all names are equally weighted)
— Effective date: 15 October 2015
 EUR VaR, sVaR and IRC
1.26Credit Spread 

— Long bonds EUR 2 million per single-name 5 year bonds on 4 Financials (2 EU, 2 North America).

ISIN Security name
XS1110874820 MET LIFE GLOB FUNDING I17 September 2021
US74432QBP90 PRUDENTIAL FINANCIAL INC15 November 2020
XS0122028904 AXA SA15 December 2020
DE000A1HBYR3 ING BANK NV11 May 2020
— Long protection via CDS on the same names (EUR 2 million per single-name 5 year).

Name RED Code Currency Doc clause
Met Life 5EA6BX USD MR
Prudential 7B8752 USD MR
AXA FF667M EUR MM
ING 49BEBA EUR MM
 EUR VaR, sVaR and IRC
1.27Credit Spread 
See details in Section 2.6 of this Annex.
 EUR VaR, sVaR and IRC
1.28Credit Spread 
See details in Section 2.7 of this Annex.
 EUR VaR, sVaR and IRC
All-in portfolios
1.29 
A portfolio made of the portfolios in rows 1.1, 1.2, 1.4, 1.8, 1.9, 1.13, 1.17, 1.18, 1.19, 1.20, 1.21, 1.24, and 1.26
 EUR VaR, sVaR and IRC
1.30 
A portfolio made of the portfolios in rows 1.1 to 1.28
 EUR VaR, sVaR and IRC
1.31 
A portfolio made of the equity portfolios in rows 1.1 to 1.7
 EUR VaR and sVaR
1.32 
A portfolio made of the interest rate portfolios in rows 1.8 to 1.12
 EUR VaR and sVaR
1.33 
A portfolio made of the FX portfolios in rows 1.13 to 1.16
 EUR VaR and sVaR
1.34 
A portfolio made of the commodity portfolios in rows 1.17 and 1.18
 EUR VaR and sVaR
1.35 
A portfolio made of the redit spread portfolios in rows 1.19 to 1.28
 EUR VaR, sVaR and IRC
Section 2: Details for portfolios
2.1. 
Party ACounterpartyParty BParticipating institutionEquity Notional Amount (ENA)USD 5 000 000Trade date15 October 2015Strike date15 October 2015Effective date15 October 2015Valuation date16 October 2018Termination date16 October 2018Underlying indexEURO STOXX 50 (Bloomberg: SX5E Index)Floating rate payerCounterpartyNotional amountUSD 5 000 000Floating rate3-month USD LiborSpread+ 300 bpsFloating rate day count fractionActual/360n/floating amount payment dates1/15 January 2016
2/15 April 2016
3/15 July 2016
4/17 October 2016
5/16 January 2017
6/17 April 2017
7/17 July 2017
8/16 October 2017
9/15 January 2018
10/16 April 2018
11/16 July 2018
12/16 October 2018Equity amount payerParty BEquity amountOn the termination date, Party B will pay Party A the following cash settlement amount:
ENA×max0 %; Indexfinal−IndexinitialIndexinitialWhere
 Indexinitial is the official closing level of the underlying index on the strike date
 Indexfinal is the official closing level of the underlying index on the valuation date

Settlement currencyUSD QuantoBusiness daysNew York

2.2. 
Party AParticipating institutionParty BCounterpartyNotional amountUSD 10 000 000,0Trade date15 October 2015Effective date15 October 2015Termination date15 October 2025Party A pays4 % * n/NnNumber of days when the range accrual index fixes between the lower barrier and the upper barrier (inclusive) during the relevant interest periodNNumber of days in the relevant interest periodRange accrual index3-month USD LiborLower barrier2,50 %Upper barrier4,00 %Day count fractionActual/360Payment datesQuarterlyBusiness day conventionModified FollowingBusiness days for fixingLondon and New YorkBusiness days for paymentLondon and New YorkParty B paysUSD 3M LiborDay count fractionActual/360Payment datesQuarterlyBusiness day conventionModified FollowingBusiness days for fixingLondon and New YorkBusiness days for paymentLondon and New YorkInterest periodFrom the previous payment date (inclusive) to the next payment date (exclusive)

2.3. 
Contract date15 October 2015Payer of fixedParticipating institutionPayer of HICP XT FloatCounterpartyNotional amountEUR 10 000 000,0Start date15 October 2015Maturity date15 October 2025

Fixed rate2,000 per centPayment day conventionModified FollowingPayment daysTargetFixed payment dates15 October 2025

Float rateTargetFrequencyAt maturity in arrearsIndex nameEurostat Eurozone HICP Ex Tobacco Unrevised Series NSAPayment days15 October 2025

Notional amount * [(1 + Fixed rate)n – 1]

Notional amount * [(Indexend/Indexstart) – 1]

IndexendHICP XT October 2025 Index unrevisedIndexstartHICP XT October 2015 Index unrevised

There is no floor.

2.4. 
Trade date15 October 2015BuyerParticipating institution (Party B)SellerClient (Party A)Currency option styleEuropeanCurrency option typeEUR Call USD PutCall currency and call currency amountEUR 15 000 000,0Put currency and put currency amountEquivalent amount of EUR 15 000 000,0 based on EUR/USD exchange rate on 15 October 2015, New York closing timeStrike priceEUR/USD exchange rate on 15 October 2015, New York closing timeExpiration date21 October 2016Expiration time10:00 am New York timeAutomatic exerciseApplicableSettlementDeliverableSettlement date21 October 2016Barrier eventApplicableEvent typeKnock-outSpot exchange rate directionGreater than or equal to the barrier levelInitial spot pricevalue of EUR/USD on 15 October 2015Barrier level1,5000 USD/EUREvent period start date and timeTrade date at the time of execution hereofEvent period end date and timeExpiration date at the Expiration Time

2.5. 
Trade Date15 October 2015BuyerParticipating institution (Party B)SellerClient [Party A]Currency option styleBinaryExpiration date15 October 2016Expiration time10:00 am New York timeAutomatic exerciseApplicableSettlementNon-deliverableSettlement amountEUR 1 000 000,0Settlement date21 October 2016Barrier eventApplicableEvent typeDouble No-Touch BinaryInitial spot priceLevel of USD/EUR on 15 October 2015Upper barrier level1,5000 USD/EURLower barrier level1,2000 USD/EUREvent period start date and timeTrade date at the time of execution hereofEvent period end date and timeExpiration date at the expiration timeBusiness day conventionFollowing

2.6. 
BuyerCounterpartySellerParticipating institutionOption typePut (i.e. right to sell an index for which we receive the fixed coupon leg)Trade date15 October 2015Maturity15 April 2016TickerITRAXX-Xover24Underlying end20 December 2020Option styleEuropeanOption strike500,00 bpNotionalEUR 10 000 000,0

2.7. 
Trade date15 October 2015Effective date15 October 2015Scheduled termination date20 December 2019Protection sellerCounterpartyProtection buyeParticipating institutionBusiness dayLondonBusiness day conventionModified FollowingReference entityKingdom of SpainNotionalEUR 10 000 000,0Red Code8CA965Coupon payment dates20 March, 20 June, 20 September and 20 December of each yearCoupon spread1,00 %Fixed rate day count fractionActual/365 (Fixed)

Floating rate payer calculation amountEUR 10 000 000,0Conditions to settlementCredit Event Notice
Notice of publicly available information applicableCredit eventsThe following credit events shall apply to this transaction:
 Bankruptcy
 Debt restructuring (CR)
 Failure to paySettlement currencyEUR

Trade date15 October 2015Effective date15 October 2015Scheduled termination date20 December 2019Protection sellerParticipating institutionProtection buyerCounterpartyBusiness dayLondonBusiness day conventionModified FollowingReference entityKingdom of SpainNotionalUSD 10 300 000,0Red Code8CA965Coupon payment dates20 March, 20 June, 20 September and 20 December of each yearCoupon spread1,00 %Fixed rate day count fractionActual/365 (Fixed)

Floating rate payer calculation amountUSD 10 300 000,0Conditions to settlementCredit Event Notice
Notice of publicly available information applicableSettlement currencyUSD

2.8. 
Trade date15 October 2015Maturity date16 October 2017Business day conventionModified FollowingReset datesEach quarter starting from 15 October 2015Payment datesQuarterlyNotional EUR (constant currency amount)EUR 20 000 000Notional USD (variable currency amount)An amount corresponding to EUR 20 000 000 according to the EUR/USD spot exchange rate at the beginning of each interest periodMark-to-market amountThe difference between the variable currency amount of the current interest period and the variable currency amount of the previous interest period.Interest periodFrom the previous payment date (inclusive) to the next payment date (exclusive)Party A (variable currency payer)CounterpartyParty B (constant currency payer)Participating institutionParty A pays3-month Libor on the variable currency amount (USD)Party B pays3-month Euribor minus 20 basis points on the constant currency amount (EUR)
At each reset date party A will pay to party B the mark-to-market amount, if negative.
At each reset date party A will receive from party B the mark-to-market amount, if positive.

Initial exchange dateTrade dateEUR initial exchange amountEUR 20 000 000USD initial exchange amountUSD equivalent to EUR 20 000 000

Final exchange dateMaturity dateEUR final exchange amountEUR 20 000 000,0USD final exchange amountThe variable currency amount determined for the final calculation period

Section 3: Correlation trading portfolios (CTPs)
Portfolio numberRisk factor Portfolios Currency Risk Metrics requested
2.1CTP Long position in spread hedged equity tranche of CDX.NA.IG index Series 24, Version 1RED Code 2I65BYDI3 (attachment point: 0 %, detachment point: 3 %) USD VaR, sVaR and IM for the CTP
2.2CTP Long position in spread hedged mezzanine tranche of CDX.NA.IG index Series 24, Version 1RED Code 2I65BYDI3 (attachment point: 7 %, detachment point: 10 %) USD VaR, sVaR and IM for the CTP
2.3CTP Short position in spread hedged super senior tranche of CDX.NA.IG index Series 24, Version 1RED Code 2I65BYDI3 (attachment point: 30 %, detachment point: 100 %) USD VaR, sVaR and IM for the CTP
These portfolios contain positions in index tranches referencing the CDX.NA.IG index Series 24, Version 1.

— Notional is USD 10 million for each tranche.
— The contractual maturity is 5 years, effective as of 20 March 2015, with an actual maturity date on 20 June 2020 for each tranche.
— Valuation as of 5:00 pm New York time on each date of valuation.
— The running spread that shall be used is 500 bps for the tranches in portfolio 1 and 2, and 100 bps for portfolio 3.
The portfolios are constructed by hedging each index tranche with the CDX.NA.IG index Series 24 Version 1 5Y CDS to achieve zero CS01 as of initial valuation date (‘spread hedged’). No further re-hedging is required.

ANNEX VI
Column Label Legal reference Instructions
010 Portfolio ID Sections 1 and 3 of Annex V The portfolio number taken from Annex V shall be reported.
020 Portfolio Modelled for Var + sVaR (YES/NO)  Either YES or NO shall be reported.
030 Portfolio Modelled for IRC (YES/NO)  Either YES or NO shall be reported.
040 Portfolio Modelled for Correlation Trading (YES/NO)  Either YES or NO shall be reported.
050 Rationale for Exclusion Article 4 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.
060 Free text box  An institution may provide any additional information in this column.
070 Initial Market Valuation  The mark-to-market value of each individual portfolio on 26 October 2015 at 5:30 pm CET expressed in units of the base currency of the instrument shall be reported.
Row Label Legal reference Instructions
010 Methodology  One of the following shall be reported:
((a)) Historical Simulation;
((b)) Montecarlo;
((c)) Parametric;
((d)) Combination/Other (please specify).Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
020 Computation of 10-day Horizon Article 365(1) of Regulation (EU) No 575/2013 One of the following shall be reported:
((a)) 1 day re-scaled to 10 days;
((b)) 10 days with overlapping periods;
((c)) 10 days other Methodology.Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
030 Length of observation period Article 365(1)(d) of Regulation (EU) No 575/2013 One of the following shall be reported:
((a)) 1 year;
((b)) more than 1 and up to 2 years;
((c)) more than 2 and up to 3 years;
((d)) more than 3 years.Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
040 Data Weighting Article 365(1)(d) of Regulation (EU) No 575/2013 One of the following shall be reported:
((a)) Unweighted;
((b)) Weighted;
((c)) The higher of the metrics in points (a) and (b).Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
050 Backtesting add-on Article 366(2) of Regulation (EU) No 575/2013 Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
060 Regulatory add-on Article 366(2) of Regulation (EU) No 575/2013 (‘at least 3’) Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
070 Methodology  One of the following shall be reported:
((a)) Historical Simulation;
((b)) Montecarlo;
((c)) Parametric;
((d)) Combination/Other (please specify).Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
080 Computation of 10 day Horizon Article 365(1) of Regulation (EU) No 575/2013 One of the following shall be reported:
((a)) 1 day re-scaled to 10 days;
((b)) 10 days with overlapping periods;
((c)) 10 days other Methodology;Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
090 Regulatory add-on Article 366(2) of Regulation (EU) No 575/2013 Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. C 107.02 — VaR and sVaR Non-CTP. Base Currency Results 
Label Legal reference Instructions
Portfolio Section 1 of Annex V The portfolio number taken from Annex V (Section 1) shall be reported.
Column Label Legal reference Instructions
010 Date  
((a)) The date of the VaR/sVaR value shall be reported. It shall take all the following values:07/12/2015;
((b)) 08/12/2015;
((c)) 09/12/2015;
((d)) 10/12/2015;
((e)) 11/12/2015;
((f)) 14/12/2015;
((g)) 15/12/2015;
((h)) 16/12/2015;
((i)) 17/12/2015;
((j)) 18/12/2015.
020 VaR Article 365 of Regulation (EU) No 575/2013 The 10-day VaR obtained for each individual portfolio, without applying the ‘3+’ regulatory multiplier, shall be reported.Figures shall be reported for each of the dates provided in column 010. Figures shall be reported using a minimum precision equivalent to thousands of units and be reported in the base currency bof the portfolio.
030 sVaR Article 365 of Regulation (EU) No 575/2013 The 10-day sVaR obtained for each individual portfolio, without applying the ‘3+’ regulatory multiplier, shall be reported.Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not calculate a sVaR on the date provided in column 010 (i.e. zero values shall be reported only if the result of the calculation is actually zero).Figures shall be reported using a minimum precision equivalent to thousands of units and be reported in the base currency of the portfolio.
This template shall be filled only by institutions that calculate VaR using historical simulation.

Label Legal reference Instructions
Portfolio Section 1 of Annex V The Portfolio number taken from Annex V (Section 1) shall be reported.
Column Label Legal reference Instructions
010 Date Article 365(1)(d) of Regulation (EU) No 575/2013 Each business day, according to the calendar in the institution's jurisdiction, between 19 December 2014 and 18 December 2015 shall be reported.
020 Daily P&L  The one-year data series with the portfolio valuation change (i.e. daily P&L) produced on each business day (i.e. by comparing the end-of-day valuation on each business day reported in column 10 with the end-of-day valuation on the previous business day).In case a day is a bank holiday in the relevant jurisdiction, this cell shall be left blank (i.e. a zero P&L shall be reported only if there really was no change in the hypothetical value of the portfolio on a given business day).Figures shall be reported using a minimum precision equivalent to thousands of units and be reported in the base currency of the portfolio.
Row Label Legal reference Instructions
010 Number of modelling factors EBA/GL/2012/3 The number of modelling factors at the overall IRC model level shall be reported. The answer shall be one of the following:
((a)) 1;
((b)) 2;
((c)) More than 2.Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
020 Source of LGDs EBA/GL/2012/3 The source of LGDs at the overall IRC Model level shall be reported. The answer shall be one of the following:
((a)) Market Convention;
((b)) LGD used in IRB;
((c)) Other.Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. C 109.02 — IRC. Details by Portfolio 
Label Legal reference Instructions
Portfolio Section 1 of Annex V The portfolio number taken from Annex V (Section 1), only for those portfolios where IRC is requested, shall be reported.
Row Label Legal reference Instructions
10 Liquidity Horizon Article 374(5) of Regulation (EU) No 575/2013 and EBA/GL/2012/3 The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following:
((a)) 3 months;
((b)) 3 to 6 months;
((c)) 6 to 9 months;
((d)) 9 to 12 months.
20 Source of PDs EBA/GL/2012/3 The source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following:
((a)) Rating Agencies;
((b)) IRB;
((c)) Market implied;
((d)) Other.
30 Source of transition matrices EBA/GL/2012/3 The source of transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following:
((a)) Rating Agencies;
((b)) IRB;
((c)) Market implied;
((d)) Other. C 109.03 — IRC. Amount by Portfolio/Date 
Label Legal reference Instructions
Portfolio Section 1 of Annex V The portfolio number taken from Annex V(Section 1), only for those portfolios where IRC is requested, shall be reported.
Column Label Legal reference Instructions
010 Date  The date of the IRC shall be reported. It shall take all the following values:
((a)) 07/12/2015;
((b)) 08/12/2015;
((c)) 09/12/2015;
((d)) 10/12/2015;
((e)) 11/12/2015;
((f)) 14/12/2015;
((g)) 15/12/2015;
((h)) 16/12/2015;
((i)) 17/12/2015;
((j)) 18/12/2015.
020 IRC Articles 372 to 376 of Regulation (EU) No 575/2013 and EBA/GL/2012/3 The regulatory IRC obtained for each individual portfolio shall be reported.Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not calculate an IRC on the date reported in column 010 (i.e. zero values shall be reported only if the result of the calculation is actually zero).Figures shall be reported using a minimum precision equivalent to thousands of units and be reported in the base currency of the portfolio.
Row Label Legal reference Instructions
010 Number of modelling factors Article 377 of Regulation (EU) No 575/2013 The number of modelling factors at the overall Correlation Trading Model level shall be reported. The answer shall be one of the following:
((a)) 1;
((b)) 2;
((c)) More than 2.Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
020 Source of LGDs Article 377 of Regulation (EU) No 575/2013 The source of LGDs at the overall Correlation Trading Model level shall be reported. The answer shall be one of the following:
((a)) Market Convention;
((b)) LGD used in IRB;
((c)) Other.Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. C 110.02 — CT. Details by Portfolio. 
Label Legal reference Instructions
Portfolio Section 3 of Annex V The portfolio number taken from Annex V(Section 3) shall be reported.
Row Label Legal reference Instructions
010 Liquidity Horizon Article 377(2) of Regulation (EU) No 575/2013 The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following:
((a)) 3 months;
((b)) 3 to 6 months;
((c)) 6 to 9 months;
((d)) 9 to 12 months.
020 Source of PDs Article 377 of Regulation (EU) No 575/2013 The source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following:
((a)) Rating Agencies;
((b)) IRB;
((c)) Market implied;
((d)) Other.
030 Source of transition matrices Article 377 of Regulation (EU) No 575/2013 The source of the transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following:
((a)) Rating Agencies;
((b)) IRB;
((c)) Market implied;
((d)) Other. C 110.03 — CT. APR by Portfolio/Date 
Label Legal reference Instructions
Portfolio Section 3 of Annex V The portfolio number taken from Annex V (Section 3).
Column Label Legal reference Instructions
010 Date Article 377 of Regulation (EU) No 575/2013 The date of the all price risk (‘APR’) shall be reported. It shall take all the following values:
((a)) 07/12/2015;
((b)) 08/12/2015;
((c)) 09/12/2015;
((d)) 10/12/2015;
((e)) 11/12/2015;
((f)) 14/12/2015;
((g)) 15/12/2015;
((h)) 16/12/2015;
((i)) 17/12/2015;
((j)) 18/12/2015.
60 APR Article 377 of Regulation (EU) No 575/2013 The results obtained by applying the regulatory Correlation Trading Model to each individual portfolio shall be reported.Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not use a Correlation Trading Model on the date provided in column 010 (i.e. zero values shall be reported only if the result of the calculation is actually zero).Figures shall be reported using a minimum precision equivalent to thousands of units and be reported in the base currency of the portfolio.
ANNEX VII
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 AND EXCLUSION JUSTIFICATION IMV
VaR AND sVaR NON-CTP
107,1 C 107.01 DETAILS VaR&SVaR 1
107,2 C 107.02 BASE CURRENCY RESULTS VaR&SVaR 2
ONE YEAR PROFIT & LOSS VaR
108 C 108.00 ONE-YEAR PROFIT & LOSS VaR 1Y 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
Portfolio ID Portfolio Modelled for Var + sVaR (YES/NO) Portfolio Modelled for IRC (YES/NO) Portfolio Modelled for Correlation Trading (YES/NO) Rationale for Exclusion Free text box Initial Market Valuation
010 020 030 040 050 060 070
      
 Option Free text box
010 020
VaR
010 Methodology  
020 Liquidity Horizon  
030 Lenght of observation period  
040 Data Weighting  
050 Backtesting add-on  
060 Regulatory add-on  
SVaR
070 Methodology  
080 Liquidity Horizon  
090 Regulatory add-on  
Portfolio 

Date VaR sVaR 
010 020 030
  
Portfolio 

Date Daily P&L
010 020
 
 Option Free text box
Row Item 010 020
010 Number of modelling factors  
020 Source of LGDs  
Portfolio 

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

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

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

Date APR 
010 020
 