
Article 1 
Implementing Regulation (EU) 2016/2070 is amended as follows:

((1)) Article 3(3)(b) is deleted;
((2)) Article 4(2) is replaced by the following:
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2. An institution shall submit to its competent authority the information referred to in Article 2 by 11 April of each year. An institution shall submit
												to its competent authority the information referred to in Articles 3 by the remittance dates specified in Annex V';
((3)) Article 7 is deleted;
((4)) Annex I is replaced by the text set out in Annex I to this Regulation;
((5)) Annex II is replaced by the text set out in Annex II to this Regulation;
((6)) Annex III is replaced by the text set out in Annex III to this Regulation;
((7)) Annex IV is replaced by the text set out in Annex IV to this Regulation;
((8)) Annex V is replaced by the text set out in Annex V to this Regulation;
((9)) Annex VI is replaced by the text set out in Annex VI to this Regulation;
((10)) Annex VII is replaced by the text set out in Annex VII to this Regulation.
Article 2 
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, 15 February 2019.
For the Commission
The President
Jean-Claude JUNCKER
ANNEX I

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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




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ANNEX II

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ANNEX II 
For the purpose of mapping the exposures to counterparties and the portfolios defined in Annex I, the columns, labels, legal references and instructions
											provided in this Annex shall apply.

Where ‘Not applicable’ is used in Annex 1, no specific split is required for the variable it relates to.

Column Label Legal reference Instructions
010 Counterparty code  The code assigned by the European Banking Authority (‘EBA’) to each legal entity included in the low default portfolio (‘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  Exposures shall be split into parts and assigned to portfolios based on the country of residence (ISO Code or ‘Other countries’) of
																the counterparty.For the ‘Retail – secured by real estate SME’ and ‘Retail – secured by real estate non SME’ portfolios, exposures shall be split into
																parts based on the location of the collateral.
090 Portfolio name  Each counterparty is assigned one of the following names:
((a)) Sovereign sample;
((b)) Institutions sample;
((c)) Large corporate sample.
100 Sector of counterparty  Exposures shall be split into parts and assigned to portfolios based on the economic sector of the counterparty:
((a)) Central banks;
((b)) General Governments;
((c)) Credit institutions;
((d)) Other financial corporations;
((e)) Non-financial corporations;
((f)) Not applicable.
110 Type of exposure  Exposures shall be split into parts and assigned to portfolios based on the type of exposure:
((a)) Specialised lending exposures;
((b)) Exposures other than specialised lending;
((c)) Not applicable.
120 Type of facility  Exposures shall be split into parts and assigned to portfolios based on the 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): 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 a
																		deterioration in a borrower's creditworthiness;
((e)) Undrawn committed term credit facility (Medium-low risk): 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 a deterioration in
																		a borrower's creditworthiness;
((f)) Undrawn committed other credit facility (Medium-low risk): 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 a 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): 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 a 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.
130 Type of risk  Exposures shall be split into parts and assigned to portfolios based on the type of risk:
((a)) Counterparty credit risk;
((b)) Credit risk and free deliveries;
((c)) Credit risk, Counterparty credit risk and free deliveries.
140 Regulatory approach  Exposures shall be split into parts and assigned to portfolios based on the regulatory approach used for the calculation of
																RWA:
((a)) Foundation IRB Approach;
((b)) Advanced IRB Approach;
((c)) Specialised lending slotting criteria.RWAs for the exposure class ‘Retail’ are calculated underthe regulatory approach ‘Advanced IRB Approach’.
Column Label Legal reference Instructions
010 Portfolio ID  The unique ID assigned to the portfolio by EBA.
020 Portfolio name  Each portfolio is assigned one of the following names:
((a)) Sovereign;
((b)) Institutions;
((c)) Large corporate;
((d)) Large corporate sample.The ‘Large corporate sample’ comprises all entities listed in template 101 of Annex I to this Implementing Regulation for which the
																Portfolio name (column 090 of template 101) is ‘Large corporate sample’.
030 Type of risk  The instructions provided for column 130 of C 101 shall apply.
040 Regulatory approach  The instructions provided for column 140 of C 101 shall apply.
050 Geographical area  The instructions provided for column 080 of C 101 shall apply.
060 Rating  Exposures shall be split into parts and assigned to portfolios based on the rank of the internal rating applied by the institution
																from lowest risk to highest risk excluding defaults with a probability of default (‘PD’) corresponding to 100 %. It takes values from
																Rating 1, Rating 2 etc.Where the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale
																shall be used. In all other cases, the different rating systems shall be merged and ordered according to the following
																instructions:
((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 a large number of grades or pools is used, a reduced number of grades or pools to be reported may be agreed with the
																		competent authorities.
070 Exposure class  Exposures shall be split into parts and assigned to portfolios based on the exposure class:
(a) Central governments and central banks;
(b) Institutions;
(c) Corporates:
(c.1) Corporates – SME;
(c.2) Corporates – No SME;
(d) Retail:
(d.1) Retail – SME;
(d.1.1) Retail – SME — Secured by real estate;
(d.1.2) Retail – SME — Other;
(d.2) Retail – No SME;
(d.2.1) Retail – No SME — Other;
(d.2.2) Retail – No SME — Secured by real estate;
(d.3) Retail – Qualifying revolving;
(e) Not applicable
080 Sector of counterparty  The instructions provided for column 100 of C 101 shall apply.
090 Default status  Exposures shall be split into parts and assigned to portfolios based on the default status:
((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 %.
((c)) Not applicable
100 Type of facility  The instructions provided for column 120 of C 101 shall apply.
110 Collateralisation status Columns 150 to 210 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 Exposures shall be split into parts and assigned to portfolios based on the collateralisation status:
((a)) Exposures with credit protection;
((b)) Exposures without credit protection;
((c)) Not applicable.
120 Collateral type Columns 150 to 210 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 Exposures shall be split into parts and assigned to portfolios based on the collateral type:
((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.It should be noted that exposures treated under the substitution approach are already shifted to the corresponding exposures classes
																and shall thus not be reported under (g), (h) or (i).
130 Counterparty  Exposures shall be split into parts and assigned to portfolios based on the counterparty:
((a)) Public sector entities (according to Article 112 (c) of Regulation (EU) No 575/2013) of the European Parliament and of the
																		Council;
((b)) Counterparties other than public sector entities.
((c)) Not applicable
140 Size of counterparty  Exposures shall be split into parts and assigned to portfolios based on the size of the counterparty which shall be determined based
																on the total annual turnover for the consolidated group of which the counterparty is a part:
((a)) <= EUR 50 million;
((b)) > EUR 50 million and <= EUR 200 million;
((c)) > EUR 200 million;
((d)) Not applicable.The total annual turnover is calculated in accordance with Article 4 of the Annex to Commission Recommendation 2003/361/EC and shall refer to the year ending one year before the reporting reference date.
150 NACE code  Exposures shall be split into parts and assigned to portfolios based on the economic activity of the counterparty determined by 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’).
160 Type of exposure  The instructions provided for column 110 of C 101 shall apply.
170 Size of exposure Column 110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 Exposures shall be split into parts and assigned to portfolios based on the size of the exposure expressed in terms of exposure value
																(i.e. exposure at default (‘EAD’)):
((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.
180 Balance sheet recognition  Exposures shall be split into parts and assigned to portfolios based on the balance sheet recognition:
((a)) On-balance sheet items;
((b)) Off-balance sheet items;
((c)) Other
((d)) Not applicable.Exposures representing Securities Financing Transactions, Derivatives & Long Settlement Transactions or Contractual Cross Product
																Netting and which are subject to counterparty credit risk, shall be assigned to (c) other. These Exposure shall not be reported in (a)
																or (b).



Column  Legal reference Instructions
010 Portfolio ID  The unique ID assigned by EBA to each portfolio.
020 Portfolio name  Each portfolio is assigned one of the following names by 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 Secured
4.2.1.2. Mortgages Non-defaulted Unsecured
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 Type of risk  The instructions provided for column 130 of C 101 shall apply.
040 Regulatory approach  The instructions provided for column 140 of C 101 shall apply.
050 Geographical area  The instructions provided for column 080 of C 101 shall apply.
060 Rating  The instructions provided for column 060 of C 102 shall apply.
070 Exposure class  The instructions provided for column 070 of C 102 shall apply.
080 Sector of counterparty  The instructions provided for column 100 of C 101 shall apply.
090 Default status  The instructions provided for column 090 of C 102 shall apply.
100 Type of facility  The instructions provided for column 120 of C 101 shall apply.
110 Collateralisation status  The instructions provided for column 110 of C 102 shall apply.
120 Collateral type  Exposures shall be split into parts and assigned to portfolios based on the collateral type:
((a)) Eligible collateral other than real estate;
((b)) Real estate collateral;
((c)) Not applicable.
130 NACE code  The instructions provided for column 150 of C 102 shall apply.
140 Size of counterparty  The instructions provided for column 140 of C 102 shall apply.
150 Type of exposure  The instructions provided for column 110 of C 101 shall apply.
160 Size of exposure  The instructions provided for column 170 of C 102 shall apply.
170 Indexed loan-to-value range  Exposures shall be split into parts and assigned to portfolios based on the indexed loan-to-value (‘ILTV’) range which shall be the
																ratio between the current loan amount and the current value of the property:
((a)) <= 25 %;
((b)) > 25 % <= 50 %;
((c)) > 50 % <= 75 %;
((d)) > 75 % <= 100 %;
((e)) > 100 % <= 125 %;
((f)) > 125 %;
((g)) Not applicable.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. Where 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);
— where a market value can be determined, the valuation is not higher than market value;
— the valuation is supported by adequate appraisal documentation.Institutions shall document their calculations and provide this documentation to their competent authority upon request.
180 Balance sheet recognition  The instructions provided for column 180 of C 102 shall apply.'

ANNEX III

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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
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 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
010 020 040 050 060 070 080 090 100 110 120 130 140 150 160 170
               
Portfolio ID Number of obligors PD Original exposure pre conversion factors Exposure after CRM substitution effects pre conversion factors CCF EAD Collateral value LGD Maturity Expected Loss Provisions defaulted exposures RWA RWA Standardised
010 040 060 080 090 100 110 120 130 140 150 160 170 180
             
Portfolio ID Number of obligors PD 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+ RWA-- RWA++
010 040 060 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 250 260 270 280
                     
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 RWA
010 020 030 040 050 060 070 080 090 100 110 120 130
            
Portfolio ID Internal model ID EAD RWA
010 020 030 040
   
Internal model ID Location of institution
010 020
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ANNEX IV

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ANNEX IV 
PART I: GENERAL INSTRUCTIONS 1. Information shall be submitted only for counterparties subject to an actual exposure or a rating that is valid for use in the calculation of
												risk-weighted assets (‘RWA’).
 2. Information shall be submitted only for exposures and portfolios for which an internal model has been approved and is used in the calculation of the
												RWA. Exposures and portfolios for which the relevant competent authority has permitted the permanent partial use of the Standardised Approach, shall be
												excluded.
 3. Information that is not required or not applicable shall not be submitted. Zero values shall be reported only where the quantity is known to be
												zero.
 4. For portfolios defined with a specific rating grade in Annex I, information on the probability of default (‘PD’) shall be reported for the entire
												rating scale used by the institution, even where no internal-ratings-based (‘IRB’) exposure exists for the respective portfolio at the reporting
												reference date for each rating grade. In such cases, the exposure at default (‘EAD’) shall be reported as zero and information on the other columns
												shall not be submitted.
 5. Portfolios that are not defined with a specific rating grade in Annex I shall not be submitted where no IRB exposure or valid rating exists at the
												reporting reference date.
 6. Monetary amounts shall be reported as used for calculating own funds requirements as of a specific reference date (i.e. as reported in accordance with
												Implementing Regulation (EU) No 680/2014).

PART II: TEMPLATE-RELATED INSTRUCTIONS
Specialised lending exposures shall be excluded.

Column Label Legal reference Instructions
010 Counterparty Code Column 010 of template 101 of Annex I The counterparty code assigned by the European Banking Authority (‘EBA’) to the counterparty included in the low default portfolio (‘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 to 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‘Not applicable’ shall be used where none of the answers in the list is correct which is the case when a counterparty is classified in
																multiple asset classes, without one being clearly predominant
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 to 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. The PD shall be the PD used in the calculation of the RWA, excluding the effect of potential measures
																introduced in accordance with Article 458 of Regulation (EU) No 575/2013. The PD shall be expressed as a value between 0 and 1.All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective
																competent authority.
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 to Implementing Regulation (EU) No 680/2014 The original exposure value before taking into account any value adjustments, provisions, 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 to Implementing Regulation (EU) No 680/2014 The amount to which a conversion factor (‘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 The weighted average of the 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. Where the institution is allowed to apply own estimates of CCFs, those shall be reported, otherwise the regulatory
															CCFs shall be reported.
110 EAD Column 110 of template8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The exposure value shall be left blank where the institution has no IRB exposure for a given counterparty.
120 Collateral value Columns 150 to 210 of template 8.1 of Annex I to 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 loss given default (‘LGD’) that would be applied by the institution to the counterparty shall be
																reported in accordance with the following:
— The scope of exposures is the same as for the LGD value reported in column 150;
— The exposure is senior and unsecured;
— No negative pledge clause is in place.A negative pledge clause states 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 estimates of LGD that would be applied by the institution to the counterparty shall be reported in accordance
																with the following:
— The scope of exposures is the same as for the LGD value reported in column 150;
— The exposure is senior and unsecured;
— A negative pledge clause is in place.A negative pledge clause states that the borrower or debt issuer will not pledge any of its assets to another party.
150 LGD Columns 230 and 240 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The EAD-weighted own estimates of LGD or the EAD-weighted regulatory LGD applied by the institution to the exposures to each counterparty
															shall be reported.
160 Maturity Column 250 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The EAD-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 to Implementing Regulation (EU) No 680/2014 The risk-weighted exposure amount after applying the small- and medium-sized enterprise (‘SME’) supporting factor shall be reported.
For portfolios defined in Annex I with a collateralisation status other than ‘Not applicable’, the following information may be omitted where the
												approved model does not accommodate distinct LGD calculations for the secured and unsecured parts of an exposure: LGD (column 130), Expected Loss
												(column 150) and RWA (column 170).

For portfolios with the regulatory approach defined as ‘Specialised lending slotting criteria’, the following information may be omitted: PD (c060),
												LGD (c130), Maturity (c140).

For portfolios defined in Annex I template 102 the following information may be omitted where institutions do not calculate own funds in
												accordance with Part Three, Title II, Chapter 2: RWA Standardised (c180).

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.
040 Number of obligors Column 300 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 The number of obligors shall be reported.
060 PD Column 010 of table 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 The PD assigned to the obligor shall be based on the provisions laid down in Article 180 of Regulation (EU) No 575/2013. The PD shall
																be the PD used in the calculation of the RWA, excluding the effect of potential measures introduced in accordance with Article 458 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 the EAD-weighted average of the PDs assigned to the obligor
																grades or pools included in the aggregation shall be provided. The PD shall be expressed as a value between 0 and 1.All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the relevant
																competent authority.
080 Original exposure pre-conversion factors Column 020 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The original exposure value before taking into account any value adjustments, provisions, 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 to 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)(e) of Regulation (EU) No 575/2013 The weighted average of the 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. Where the institution is allowed to apply own estimates of CCFs, those shall be reported, otherwise the regulatory
															CCFs shall be reported.
110 EAD Column 110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The exposure value shall be reported.
120 Collateral value Columns 150 to 210 of template8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The market value of the collateral shall be reported.
130 LGD Columns 230 and 240 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The EAD-weighted own estimates of LGD or the EAD-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 to Implementing Regulation (EU) No 680/2014 The EAD-weighted maturity shall be reported. It shall be expressed in number of days. This information shall not be reported for exposures
															for which the maturity is not an element in the calculation of risk weighted exposure amounts. This information shall not be reported for
															portfolios that represent exposures of the exposure class ‘Retail’.
150 Expected Loss Column 280 of template8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The expected loss shall be reported.
160 Provisions defaulted exposures Columns 050, 055 and 060 of template 9.2 of Annex I to Implementing Regulation (EU) No 680/2014 The provisions for defaulted exposures shall be reported. These include all the general and specific credit risk adjustments for defaulted
															assets as defined in Article 110 of Regulation (EU) No 575/2013.
170 RWA Column 260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The risk-weighted exposure amount after applying the SME supporting factor shall be reported.
180 RWA Standardised The amount of own funds that the institution would be required to hold under Article 92 calculating risk-weighted exposure amounts in
															accordance with Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013. The RWA amount calculated by applying the standardised approach for credit risk to the exposures shall be reported.
For portfolios defined in Annex I with a collateralisation status different from ‘Not applicable’, the following information may be omitted where the
												approved model does not accommodate distinct LGD calculations for the secured and unsecured parts of an exposure: LGD (column 130), Expected Loss
												(column 150), RWA (column 170), Loss rate latest year (column 210) and Loss rate past 5 years (column 220).

Column Label Legal reference Instructions
010 Portfolio ID Column 010 of template 103 of Annex I The code assigned by EBA to each portfolio shall be reported. This code is a row identifier and shall be unique for each row in the
															table.
040 Number of obligors Column 300 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The number of obligors shall be reported.
060 PD Column 010 of template 8.1 of Annex I to 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. The PD shall be the PD used in the calculation of the RWA, excluding the effect of potential measures introduced in
																accordance with Article 458 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
																EAD-weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The PD shall be
																expressed as a value between 0 and 1.All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the relevant
																competent authority.
080 Original exposure pre conversion factors Column 020 of template8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The original exposure value before taking into account any value adjustments, provisions, 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 to 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 The weighted average of the 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. Where the institution is allowed to apply own estimates of CCFs, those shall be reported, otherwise the regulatory
															CCFs shall be reported.
110 EAD Column 110 of template 8.1 of Annex I to 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 to Implementing Regulation (EU) No 680/2014 The market value of the collateral shall be reported.
130 LGD Columns 230 and 240 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The EAD-weighted own estimates of LGD or EAD-weighted regulatory LGD applied by the institution to the exposures to each portfolio shall be
															reported. The effect of measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013 shall be excluded.
140 Maturity Column 250 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The EAD-weighted maturity shall be reported. It shall be expressed in number of days. This information shall not be reported for exposures
															for which the maturity is not an element in the calculation of risk weighted exposure amounts. This means that this information shall not be
															reported for portfolios that represent exposures of the exposure class ‘Retail’.
150 Expected Loss Column 280 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The expected loss shall be reported.
160 Provisions defaulted exposures Columns 050, 055 and 060 of template 9.2 of Annex 1 of Commission Implementing Regulation (EU) No 680/2014 The provisions for defaulted exposures shall be reported. These include all the general and specific credit risk adjustments for defaulted
															exposures as defined in Article 110 of Regulation (EU) No 575/2013.
170 RWA Column 260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The risk-weighted exposure amount after applying the SME supporting factor shall be reported.
180 RWA Standardised The amount of own funds that the institution would be required to hold under Article 92 calculating risk-weighted exposure amounts in
															accordance with Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013. The RWA amount calculated by applying the standardised approach for credit risk to the exposures shall be reported.
190 Default rate latest year  The default rate for the latest year shall be reported. For this purpose the default rate shall be defined as the ratio between i) the
																sum of the exposures (original exposure before applying the conversion factor measured at the reference date minus one year) that were
																non-defaulted exactly one year before the reference date defaulted between the reference date minus one year and the reference date and
																ii) the sum of the exposures (original exposure before applying the conversion factor measured at the reference date minus one year)
																that were non-defaulted at the reference date minus one year.New exposures that were generated during the year preceding the reference date shall not be included. Exposures that defaulted and
																were cured again during the year preceding the reference date shall be included in both the numerator and the denominator. Multiple
																defaults of the same obligor shall be included only once.This information shall be reported for portfolio IDs relating to non-defaulted exposures only.
200 Default rate past 5 years  The weighted average of the default rates observed in the last five years preceding the reference date shall be reported. The default
																rate definition referred to in column 190 shall apply. The weights to be used are the non-defaulted exposures used in the calculation of
																the default rate in accordance with column 190.Where the institution is not able to calculate a default rate for the past five years preceding the reference date, the institution
																shall develop a proxy using its longest history up to five years preceding the reference date and provide the documentation detailing
																the calculation to its competent authority.This information shall be reported for portfolio IDs relating to ‘non-defaulted’ exposures only.
210 Loss rate latest year  The loss rate observed in the latest year shall be reported.For non-defaulted portfolios, the loss rate shall be the sum of credit risk adjustments and write-offs applied, within the year
																preceding the reference date, to exposures that were non-defaulted exactly one year before the reference date and which defaulted during
																the year preceding the reference date, divided by the sum of the EAD, measured exactly one year before the reference date, of the
																exposures that were non-defaulted exactly one year before the reference date and which defaulted during the year preceding the reference
																date.New exposures generated during the year preceding the reference date shall not be included. Exposures that defaulted and were cured
																again during the year preceding the reference date shall be included in the denominator of the loss rate and credit risk adjustments and
																write-offs on those exposures shall be considered in the numerator of the loss rate. Multiple defaults of the very same obligor shall be
																considered only once.For defaulted portfolios, the loss rate shall be the sum of (i) credit risk adjustments to exposures that were already in default
																exactly one year before the reference date in the respective portfolio and (ii) credit risk adjustments and write-offs applied within
																the year preceding the reference date for these exposures, divided by the sum of the EAD, measured exactly one year before the reference
																date, of the exposures that were defaulted exactly one year before the reference date.New defaults during the year preceding the reference date shall not be included. Exposures that cured again during the year preceding
																the reference date shall be included in the denominator of the loss rate and credit risk adjustments and write-offs on those exposures
																shall be included in the numerator of the loss rate. Multiple defaults of the very same obligor shall be included only once.
220 Loss rate past 5 years  The EAD-weighted average of the loss rates observed in the last five years preceding the reference date shall be reported. The
																definition of loss rate referred to in column 210 shall apply.Where the institution is not able to calculate a loss rate for the past five years it shall develop a proxy using its longest history
																up to 5 years and provide documentation detailing the calculation to its competent authority.
250 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 with the following portfolio ID,
																respectively:
 CORP_ALL_0086_**_****_**_Rx0
 SMEC_ALL_0106_**_****_**_Rx0
 SMER_ALL_0106_**_****_**_Rx0
 MORT_ALL_0094_**_****_**_Rx0RWA- shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the
																application of the PD- values instead of the institution's PD values, for each exposure. The remaining parameters needed in the
																computation shall not be subject to changes.PD- shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 005 of
																Template C 08.02 of Annex I of Regulation (EU) No 680/2014 (cf. Q&A 2016_2782) shall be used (see Annex II of Regulation (EU) No
																680/2014, C 08.01 column 010 and C 08.02 for instructions).For each obligor grade, p– shall be the smallest positive value satisfying the equationp −+Φ−1q×p −×1−p −n≥DR1y, where DR1y > 0and p–: = 0 where DR1y = 0,where,Φ– 1the inverse function of the standard normal (cumulative) distribution;qthe confidence level set at 90 %;DR1ythe case weighted default rate of the year preceding the reference date, i.e., the number of obligors that were not in
																			default and assigned the obligor grade under consideration exactly one year before the reference date and which defaulted
																			during the latest year, divided by the number of obligors that were not in default and assigned the obligor grade under
																			consideration exactly one year before the reference date;nthe number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before
																			the references date.For each obligor, PD- shall be equal to p–, where p– shall be calculated in accordance with
																the above formula for the obligor grade assigned to the obligor.
260 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 with the following portfolio ID,
																respectively:
 CORP_ALL_0086_**_****_**_Rx0
 SMEC_ALL_0106_**_****_**_Rx0
 SMER_ALL_0106_**_****_**_Rx0
 MORT_ALL_0094_**_****_**_Rx0RWA+ shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the
																application of the PD+ values instead of the institution's PD values, for each exposure. The remaining parameters needed in the
																computation shall not be subject to changes.PD+ shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 005 of
																Template C 08.02 of Annex I of Regulation (EU) No 680/2014 (cf. Q&A 2016_2782) shall be used (see Annex II of Regulation (EU) No
																680/2014, C 08.01 column 010 and C 08.02 for instructions).For each obligor grade, p+ shall be the largest positive value satisfying the equationp +−Φ−1q×p +×1−p +n≤DR1y, where DR5y > 0and p–: = 0 where DR5y = 0,In this equation,Φ– 1the inverse function of the standard normal (cumulative) distribution;qthe confidence level set at 90 %;DR1ythe case weighted default rate of the year preceding the reference date, i.e., the number of obligors that were not in
																			default and assigned the obligor grade under consideration exactly one year before the reference date and which defaulted
																			during the latest year, divided by the number of obligors that were not in default and assigned the obligor grade under
																			consideration exactly one year before the reference date;nthe number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before
																			the references date.For each obligor, PD+ shall be equal to p+, where p+ shall be calculated in accordance with
																the above formula for the obligor grade assigned to the obligor.
270 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 with the following portfolio ID,
																respectively:
 CORP_ALL_0086_**_****_**_Rx0
 SMEC_ALL_0106_**_****_**_Rx0
 SMER_ALL_0106_**_****_**_Rx0
 MORT_ALL_0094_**_****_**_Rx0RWA-- shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the
																application of the PD-- values instead of the institution's PD values, for each exposure. The remaining parameters needed in the
																computation shall not be subject to changes.PD-- shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 005 of
																Template C 08.02 of Annex I of Regulation (EU) No 680/2014 (cf. Q&A 2016_2782) shall be used (see Annex II of Regulation (EU) No
																680/2014, C 08.01 column 010 and C 08.02 for instructions).For each obligor grade, p–– shall be the smallest positive value satisfying the equationp −−+Φ−1q×p −−×1−p −−n≥DR5ywhere,Φ– 1the inverse function of the standard normal (cumulative) distribution;qthe confidence level set at 90 %;DR5ythe default rate of the 5 latest years for the obligor grade, calculated as the simple average of five 1-year
																			case-weighted default rates;nthe number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before
																			the references date.For each obligor, PD-- shall be equal to p––, where p–– shall be calculated in accordance
																with the above formula for the obligor grade assigned to the obligor.
280 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 with the following portfolio ID,
																respectively:
 CORP_ALL_0086_**_****_**_Rx0
 SMEC_ALL_0106_**_****_**_Rx0
 SMER_ALL_0106_**_****_**_Rx0
 MORT_ALL_0094_**_****_**_Rx0RWA++ shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the
																application of the PD++ values instead of the institution's PD values, for each exposure. The remaining parameters needed in the
																computation shall not be subject to changes.PD++ shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 005 of
																Template C 08.02 of Annex I of Regulation (EU) No 680/2014 (cf. Q&A 2016_2782) shall be used (see Annex II of Regulation (EU) No
																680/2014, C 08.01 column 010 and C 08.02 for instructions).For each obligor grade, p++ shall be the largest positive value satisfying the equationp ++−Φ−1q×p ++×1−p ++n≤DR5ywhere,Φ– 1the inverse function of the standard normal (cumulative) distribution;qthe confidence level set at 90 %;DR5ythe default rate of the 5 latest years for the obligor grade, calculated as the simple average of five 1-year
																			case-weighted default rates;nthe number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before
																			the references date.For each obligor, PD++ shall be equal to p++, where p++ shall be calculated in accordance
																with the above formula for the obligor grade assigned to the obligor.
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 IRB approach 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 to Implementing Regulation (EU) No 680/2014 The aggregate exposure value of the transactions in the scope of application of the specific model shall be reported.
050 EAD weighted average default rate for calibration  The EAD-weighted average of the annual default rates, where used in the calibration of the PD models, shall be reported. This information
															shall be completed only for PD models.
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. This information shall be
															completed only for PD models.
070 Long-run PD  The central tendency used by the institution in the calibration of the models that incorporates any prudent adjustment to the simple case
															weighted average of the annual default rates used in the calibration of the PD models shall be reported. This information shall be completed
															only for PD models.
080 Cure rate defaulted asset  The cure rate defaulted asset shall be the percentage of defaulted outstanding that returns in ‘non-defaulted’ status over a 12 months
																period.An institution that does not calculate cure rates for a given model shall calculate a proxy for cure rates, in accordance with the
																definition provided. The institution shall report the use of a proxy to the competent authority. This information shall be completed
																only for LGD models.
090 Recovery rate for not cured defaults  The case-weighted average recovery rate for not cured defaults included in the time series used by the institution for the calibration
																of the LGD models on non-defaulted assets shall be reported.An institution that does not have a specific recovery rate for not cured defaults, due to an incomplete recovery procedure, shall
																calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent
																authority. This information shall be completed only for LGD models.
100 Recovery period 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 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. It shall be expressed in number of days.An institution that does not have a specific recovery period length for not cured defaults, due to an incomplete recovery procedure,
																shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent
																authority. This information shall be completed only for LGD models.
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 reponsible for the consolidated supervision of the institution
															using an IRB approach shall be reported.
130 RWA Column 260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The risk-weighted exposure amount after applying the SME supporting factor for all transactions in the scope of application of the specific
															model 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. Columns
															010 and 020 are a composite row identifier and together shall be unique for each row in the table.
020 Internal model ID Column 010 of template 105.01 The internal model ID assigned by the reporting institution shall be reported.
030 EAD Column 110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The exposure value of the transactions in the scope of application of the specific model (see column 020) for the specific portfolio (see
															column 010) shall be reported. Where all transactions of a given portfolio are treated with one specific model, the exposure value shall be
															identical to the amount reported for the same portfolio in column 110 of template 102 or 103 as applicable.
040 RWA Column 260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The risk-weighted exposure amount after applying the SME supporting factor for the transactions in the scope of application of the specific
															model (see column 020) for the specific portfolio (see column 010) shall be reported. Where all transactions of a given portfolio are
															treated with one specific model, the amount shall be identical to the amount reported for the same portfolio in column 170 of template 102
															or 103, as applicable.
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 ‘Location of institution’. Columns 010 and 020
															are a composite row identifier and together shall be unique for each row in the table.
020 Location of institution Article 20 of Regulation (EU) No 575/2013 The country ISO code of the legal residence of each subsidiary where the IRB exposures reported for each benchmarking portfolio are booked
															shall be reported (irrespective of the existence of any permission granted by the host supervisor to apply an IRB approach).'

ANNEX V

'
ANNEX V  1. 
Institutions shall apply all of the following:


((a)) Unless explicitly specified otherwise in the portfolio description, all positions shall be booked on 19 September 2018. Once positions have
														been booked, each portfolio shall age for the duration of the benchmarking exercise. Furthermore, calculation shall be done under the
														assumptions that the institution does not take action to manage the portfolio in any way during the entire period of the exercise. Unless
														explicitly stated otherwise in the specifications for a particular portfolio, strike prices for options positions shall be determined relative
														to prices for the underlying, as observed at market close on Wednesday 19 September 2018.
((b)) For the purposes of pre-benchmarking exercise validation, the valuation of each instrument shall be submitted to the institution's competent
														authority by Friday 5 October 2018. By that day, the explanatory documents, accompanying the results, requested hereinafter, shall be delivered
														as well. Initial Market Valuation (IMV) means the determination of the value marked to market at the valuation day and time. The exact timing of
														the valuation shall be Wednesday 26 September 2018, 17:30 CET (4.30 pm GMT).
((c)) The risks of the positions shall be calculated without taking into account the funding costs. Where applicable, institutions shall use the
														overnight rate of the instrument currency as the discount rate.
((d)) To the extent possible, counterparty credit risk and credit valuation adjustment (‘CVA’) risk shall be excluded when valuing the risks of the
														portfolios.
((e)) The 10-day 99 % Value at Risk (‘VaR’) shall be calculated on a daily basis. Stressed VaR (‘sVaR’) and the incremental risk charge (‘IRC’) may
														be calculated on a weekly basis. sVaR and IRC must be based on end-of-day prices for each Friday in the time window of the benchmarking
														exercise;
((f)) For each portfolio, provide results in the base currency of the instrument and of the portfolio (see below);
((g)) For transactions that include long positions in credit default swaps (CDS), institutions shall assume payment of an immediate up-front fee to
														enter the position as per the market standards and conventions. Treat the maturity date for all CDS as following conventional quarterly
														termination dates;
((h)) Where additional specifications are needed in order to carry out pricing calculations required for CDS positions, produce these in line with
														commonly used market standards and conventions;
((i)) Use the maturity date that ensures that the transaction is closest to the term-to-maturity specified, in line with market standards and
														conventions;
((j)) For material details of the instrument specification that are not explicitly stated in the document, provide the competent authority with a
														separate explanatory document accompanying the results and setting out the assumptions that you have used (e.g. day count convention and the
														choice of a tradable and liquid instrument, where permitted);
((k)) Where a bank is required to make assumptions beyond those specified here that it believes are relevant to the interpretation of its exercise
														results (e.g. close of business timing, coupon rolls, mapping against indices, etc.), it shall provide the competent authority with a
														description of them in a separate explanatory document accompanying the results;
((l)) The terms ‘at the money’ (ATM), ‘out of the money’ (OTM) and ‘in the money’ (ITM) refer to the relative position of the current or future
														price of a derivative's underlying asset with respect to its strike price (‘moneyness’);
((m)) Treat all options as if they are traded over the counter (OTC), unless explicitly specified otherwise;
((n)) Follow the standard timing conventions for OTC options (i.e. expiry dates are the business day following a non-trading day). The time to
														maturity for an ‘n-month’ option is n months. If options expire on a non-trading day, adjust the expiry date per business date, in accordance
														with market standards and conventions;
((o)) Treat all OTC options as follows:

— as American for single name equities and commodities; and
— as European for equity indices, foreign exchange and swaptions;
((p)) Consider all OTC options as ‘naked’, i.e. exclude the premium from the initial market valuation;
((q)) As regards the correlation trading portfolio (CTP), APR stands for ‘all-price risk’ in accordance with Article 377 of Regulation (EU) No
														575/2013 (CRR). Institutions that are permitted to use the APR model for CTP must subsequently provide details of their most relevant
														assumptions and market standards and conventions as regards CTP instruments nos. 56 and 57, including the hedge ratios they have calculated to
														make the CTP instruments CS01 neutral at inception (i.e. the booking date). They must deliver this explanatory note to the competent authority
														by Friday 5 October 2018;
((r)) For the positions denominated in a common base currency, but composed by one or more instruments denominated in a different currency, convert
														the result provided into the reported base currency using the appropriate foreign exchange spot rate as for standard market practice, and
														explain this in the accompanying document;
((s)) When booking all positions, follow appropriate market conventions where not specified otherwise. Hereinafter, ‘long’ means buy and ‘short’
														means sell. For CDS, ‘long’ means buy protection and ‘short’ means sell protection;
((t)) Where an instrument or the underlying instrument for a derivative is subject to a corporate action that affects this benchmarking exercise
														(e.g. a call from the issuer or a default or similar action), exclude it from the portfolio together with any related CDS or option;
((u)) ‘On-the-run’, referring to an index series, means the most liquid and tradable series of that specific index available on the market. Report
														this choice along with the related results in the appropriate text cell in the template and in the accompanying explanatory document;
((v)) The euro interbank offered rate (EURIBOR) is the rate calculated by the European Money Markets Institute at different maturities for euro
														interbank term deposit. The London interbank offered rate (LIBOR) is the rate calculated by the Intercontinental Exchange at different
														maturities for interbank term deposit in different currencies;
((w)) Compute risk measures for the portfolios, along with the present value, from 21 January to 1 February 2019 and submit the results to your
														competent authority by 28 February 2019;
((x)) Provide IMV for each instrument, and risk measures (and present value where applicable) for each portfolio, both
														individual and aggregated. Report all results in the base currency;
((y)) Credit-spread portfolios must be considered only by institutions that have been granted permission to model specific risk. Interest-rate
														portfolios, even if specific risk is part of certain instruments and individual portfolios, must also be modelled by ‘partial use’
														institutions;
((z)) Submit the results for the aggregated portfolios only if you have submitted the results of all components.
 2. 
Provide IMV, in line with the common instructions, of the following financial instruments:
 1. Long EUROSTOXX 50 index (Ticker: SX5E) Future (1 point equals EUR 10 movement). Expiry — 28 June 2019. Base currency EUR;
 2. Long 10000 BAYER (Ticker: BAYN GR) shares. Base currency EUR;
 3. Short future BAYER (Ticker: BAYN GR) (1 contract = 100 shares). Expiry — 28 June 2019. Base currency EUR;
 4. Short future, PEUGEOT PSA (Ticker: UG FP) (1 contract = 100 shares). Expiry — 28 June 2019. Base currency EUR;
 5. Short future, ALLIANZ (Ticker: ALV GR) (1 contract = 100 shares). Expiry — 28 June 2019. Base currency EUR;
 6. Short future BARCLAYS (Ticker: BARC LN) (1 contract = 100 shares). Expiry — 28 June 2019. Base currency GBP;
 7. Short future DEUTSCHE BANK (Ticker: DBK GR) (1 contract = 100 shares). Expiry — 28 June 2019. Base currency EUR;
 8. Short future CRÉDIT AGRICOLE (Ticker: ACA FP) (1 contract = 100 shares). Expiry — 28 June 2019. Base currency EUR;
 9. Long call option. Underlying BAYER (Ticker: BAYN GR), ATM (1 contract = 100 shares). Expiry — 28 June 2019. Base currency EUR;
 10. Short call option. Underlying BAYER (Ticker: BAYN GR), ATM (1 contract = 100 shares). Expiry — 31 December 2019. Base currency EUR;
 11. Long call option. Underlying PFIZER (Ticker PFE US) 10 % OTM, (1 contract = 100 shares). Expiry — 28 June 2019. Base currency USD;
 12. Long put option. Underlying PFIZER (Ticker PFE US) 10 % OTM, (1 contract = 100 shares). Expiry — 28 June 2019. Base currency USD;
 13. Long call option. Underlying BAYER (Ticker: BAYN GR), 10 % OTM (1 contract = 100 shares). Expiry — 28 June 2019. Base currency EUR;
 14. Short call option. Underlying BAYER (Ticker: BAYN GR), 10 % OTM (1 contract = 100 shares). Expiry — 28 June 2019. Base currency EUR;
 15. Long call option. Underlying AVIVA (Ticker: AV/LN), 10 % OTM (1 contract = 100 shares). Expiry — 31 December 2019. Base currency GBP;
 16. Long put option. Underlying AVIVA (Ticker: AV/LN), 10 % OTM (1 contract = 100 shares). Expiry — 31 December 2019. Base currency GBP;
 17. Short future NIKKEI 225 (Ticker NKY) (1 point equals JPY 10). Expiry — 28 June 2019. Base currency JPY.
 18. 
Long position


 Booking on 19 September2018
 Notional amount (‘capital’) 1million

Underlying: Index Euro STOXX 50® (Ticker: SX5E)

Currency: EUR

Maturity: 5 years

Annual payout and annual observation (19.9.2019, 18.9.2020, 20.9.2021, 19.9.2022, 19.9.2023). Payout occurs 10 days after reference date.

Coupon 6 %

Autocall level (‘initial value’): end of day 17 October 2017

Barrier coupon payment 60 % of autocall level

Protection barrier: 55 % of autocall level


— Capital not guaranteed if index is below the protection barrier (capital returned on year 5 will be pro rata if
																the level is below the protection barrier: for instance, if the SX5E = 40 % of its initial level, the capital returned is 40 %);
— If SX5E >= 60 % (barrier coupon) of initial value at the end of any year, the coupon is paid out 6 %;
— If SX5E >= 100 % of initial value at the end of any year, the product is called and the payout is the coupon plus the capital
																(100 %);
— If SX5E < 60 % (barrier coupon) of initial value at the end of any year, no coupon is paid;
— If SX5E < 55 % (protection barrier) of initial value at the end of year 5, the capital is only paid pro rata.
																If SX5E >= 55 % (protection barrier) of initial value at the end of year 5, the capital is fully paid.
 19. Five-year IRS EURO — receive fixed rate and pay floating rate. Fixed leg: receive annually. Floating rate: three-month EURIBOR, pay quarterly.
													Notional: EUR 10 million. Roll convention and calendar: standard. Effective date at the booking date (i.e. rates to be used are those at the market
													close on booking date). Maturity: 21 September 2023. Base currency EUR;
 20. 
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.

Swaption with maturity of two years (21 September 2020) on IRS defined in instrument no. 19.

Maturity of the underlying swap: 21 September 2025.

Premium paid at the booking date (21 September 2018). Cash settled.

The strike price is based on the IRS rate defined in instrument no. 19 (i.e. the strike price is the fixed rate as defined in instrument
													no. 19).

Base currency EUR;
 21. Five-year IRS USD. Receive fixed rate and pay floating rate. Fixed rate: receive annually. Floating rate: three-month USD LIBOR rate, pay
													quarterly. Notional USD10 million. Roll convention and calendar: standard. Effective date same as booking date (i.e. rates to be used are those at
													the market close on the booking date). Maturity date: 21 September 2023. Base currency USD;
 22. Two-year IRS GBP. Receive fixed rate and pay floating rate. Fixed rate: receive annually. Floating rate: three-month GBP LIBOR rate, pay
													quarterly. Notional GBP10 million. Roll convention and calendar: standard. Effective date same as booking date (i.e. rates to be used are those at
													the market close on the booking date). Maturity date: 21 September 2020. Base currency GBP;
 23. 
Notional (principal) amount: USD 1 million.

Floating rate notes are senior unsecured obligations of UBS AG.


— The notes will bear interest at a per annum rate equal to USD three-month LIBOR plus 1,5 % per
																annum (‘floating interest rate’), subject to a maximum rate of 7,5 % per annum (‘interest rate cap’) and
																a minimum rate of 2,5 % per annum (‘interest rate floor’);
— Any payment on the notes, including interest and principal at maturity, is subject to the creditworthiness of UBS AG. Institutions are
																asked to use an appropriate discounting curve, which they explain in the explanatory note;
— Income: the notes will pay interest quarterly at a rate equal to the floating interest rate, provided:
i.. if on any coupon determination date, the floating interest rate is below the interest rate floor, the applicable interest rate
																		for the related interest period will be equal to the interest rate floor; and
ii.. if on any coupon determination date, the floating interest rate is above the interest rate cap, the applicable interest rate
																		for the related interest period will be equal to the interest rate cap.

Interest payment amount The amount of interest to be paid on the notes for an interest period is equal to the product of:
((a)) the principal amount of the notes;
((b)) the applicable interest rate for that interest period; and
((c)) a fraction, the numerator of which is the number of days in the interest period (calculated on the basis of a 360-day year
																			of twelve 30-day months) and the denominator of which is 360.
Trade and settlement date 19 September 2018
Interest payment dates Quarterly, on the 19th day of December, March, June and September, commencing on 19 December 2018, during the term of the notes (subject
																to adjustments, as described therein).
Maturity date 19 September 2028
Currency USD
Daycount basis 30/360
Business day convention Following unadjusted
Coupon determination date For each interest period, the second London banking day immediately preceding the relevant interest date.‘London banking day’ means any day on which commercial banks are open for general business (including dealings in foreign exchange
																	and foreign currency deposits) in London and on which dealings in US dollars are transacted in the London interbank market. 24. Long EUR5 million (ISIN DE0001135085). Expiry 4 July 2028. Base currency EUR;
 25. Short EUR2 million (ISIN DE0001102317). Expiry 15 May 2023. Base currency EUR;
 26. Long EUR5 million (ISIN IT0005246134). Expiry 15 May 2028. Base currency EUR;
 27. Long EUR1 million (ISIN IT0005172322). Expiry 15 March 2023. Base currency EUR;
 28. Long EUR5 million (ISIN ES00000124C5). Expiry 31 October 2028. Base currency EUR;
 29. Short EUR5 million (ISIN FR0011317783). Expiry 25 October 2027. Base currency EUR;
 30. Short EUR10 million (ISIN DE0001102390). Expiry 15 February 2026. Base currency EUR;
 31. Long GBP5 million (ISIN GB0002404191). Expiry 7 December 2028. Base currency GBP;
 32. Long EUR 5 million (ISIN PTOTETOE0012). Expiry 21 July 2026. Base currency EUR;
 33. Short USD10 million (ISIN US912828V236). Expiry 31 December 2023. Base currency USD;
 34. Long BRAZIL GOVT USD 5 million (ISIN US105756BU30). Expiry 5 January 2023. Base currency USD;
 35. Long MEXICO GOVT USD 5 million (ISIN US91086QBC15). Expiry 2 October 2023. Base currency USD;
 36. 10-year IRS EURO — receive floating rate and pay fixed rate. Fixed leg: pay annually. Floating rate: three-month EURIBOR, receive quarterly.
													Notional: EUR 10 million Roll convention and calendar: standard. Effective date at the booking date (i.e. rates to be used are those at the market
													close on booking date). Maturity: 21 September 2028. Base currency EUR;
 37. Five-year IRS EURO — receive floating rate and pay fixed rate. Fixed leg: pay annually. Floating rate: six-month EURIBOR, receive quarterly.
													Notional: EUR 10 million. Roll convention and calendar: standard. Effective date at the booking date (i.e. rates to be used are those at the market
													close on booking date). Maturity: 21 September 2023. Base currency EUR.
 38. Short six-month EUR/USD forward contract (i.e. long USD short EUR). Cash settled. Notional USD 10 million purchased at EUR/USD ECB reference spot
													rate as of end of booking date. Base currency EUR;
 39. Long six-month EUR/GBP forward contract (i.e. long GBP short EUR). Cash settled. Notional GBP 10 million purchased at EUR/GBP ECB reference spot
													rate as of end of booking date. Base currency EUR;
 40. Long million USD 1 million at EUR/USD ECB reference spot rate as of end of booking date. Cash position. Base currency EUR;
 41. Long call option. EUR10 million. Equivalent amount based on EUR/USD ECB reference spot rate as of end of the booking date. Strike price: 110 % of
													EUR/USD ECB reference rate as of end of booking date. Expiry: 19 September 2019. Base currency EUR;
 42. Long call option. EUR10 million. Equivalent amount based on EUR/USD ECB reference spot rate as of end of the booking date. Strike price: 90 % of
													EUR/USD ECB reference rate as of end of booking date. Expiry: 19 September 2019. Base currency EUR;
 43. Short call option. EUR10 million. Equivalent amount based on EUR/USD ECB reference spot rate as of end of booking date. Strike price: 100 % of
													EUR/USD ECB reference rate as of end of booking date. Expiry: 19 September 2019. Base currency EUR;
 44. Short call option. EUR 10 million. Equivalent amount based on EUR/GBP ECB reference spot rate as of end of booking date. Strike price: 110 % of
													EUR/GBP ECB reference rate as of end of booking date. Expiry: 19 September 2019. Base currency EUR;
 45. Long put option. EUR 10 million. Equivalent amount based on EUR/JPY ECB reference spot rate as of end of booking date. Strike price: 110 % of
													EUR/JPY ECB reference rate as of end of booking date. Expiry: 19 September 2019. Base currency EUR;
 46. Short put option. EUR 10 million. Equivalent amount based on EUR/AUD ECB reference spot rate as of end of booking date. Strike price: 110 % of
													EUR/AUD ECB reference rate as of end of booking date. Expiry: 19 September 2019. Base currency EUR;
 47. 
EUR: three-month EURIBOR, pay quarterly

USD: three-month USD LIBOR rate, receive quarterly

Notional EUR10 million adjusted on a quarterly basis

Roll convention and calendar: standard.

Effective date same as booking date.

Maturity: 19 September 2023.

Base currency EUR;
 48. Long 3 500 000 six-month ATM London gold forwards contracts (1 contract = 0.001 troy ounces, notional: 3 500 troy ounces). Base currency USD. Cash
													settlement;
 49. Short 3 500 000 12-month ATM London gold forwards contracts (1 contract = 0.001 troy ounces, notional: 3 500 troy ounces). Base currency USD. Cash
													settlement;
 50. Long 30 contracts of six-month WTI crude oil call option with strike equals 12-month end-of-day forward price on booking date (1 contract = 1 000
													barrels. Total notional 30 000 barrels). Base currency USD. Cash settlement;
 51. Short 30 contracts of six-month WTI Crude Oil Put option with strike equals 12-month end-of-day forward price on booking date (1 contract = 1 000
													barrels. Total notional 30 000 barrels). Base currency USD. Cash settlement;
 52. Long (i.e. buy protection) EUR 1 million CDS on Portugal. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September
													2023. Base currency USD;
 53. Long (i.e. buy protection) 1 million USD CDS on Italy. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September
													2023. Base currency USD;
 54. Short (i.e. sell protection) USD 1 million CDS on Spain. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September
													2023. Base currency USD;
 55. Long (i.e. buy protection) 1 million CDS on Mexico. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023.
													Base currency USD;
 56. Long (i.e. buy protection) USD 1 million CDS on Brazil. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September
													2023. Base currency USD;
 57. Long (i.e. buy protection) USD 1 million CDS on UK. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023.
													Base currency USD;
 58. Short (i.e. sell protection) EUR 1 million CDS on AXA (Ticker CS FP). Effective date same as booking date. Restructuring clause: FULL. Maturity:
													20 September 2023. Base currency EUR;
 59. Long (i.e. buy protection) EUR 1 million CDS on AXA (Ticker CS FP). Effective date same as booking date. Restructuring clause: FULL. Maturity:
													20 September 2021. Base currency EUR;
 60. Short (i.e. sell protection) GBP 1 million CDS on Aviva (Ticker AV/LN). Effective date same as booking date. Restructuring clause: FULL. Maturity:
													20 September 2023. Base currency GBP;
 61. Long (i.e. buy protection) GBP 1 million CDS on Aviva (Ticker AV/LN). Effective date same as booking date. Restructuring clause: FULL. Maturity:
													20 September 2021. Base currency GBP;
 62. Short (i.e. Sell protection) EUR 1 million CDS on Vodafone (Ticker VOD LN). Effective date same as booking date. Restructuring clause: FULL.
													Maturity: 20 September 2023. Base currency EUR;
 63. Short (i.e. sell protection) EUR 1 million CDS on ENI SpA (Ticker ENI IM). Effective date same as booking date. Restructuring clause: FULL.
													Maturity: 20 September 2023. Base currency EUR;
 64. Short (i.e. sell protection) USD 1 million CDS on Eli Lilly (Ticker LLY US). Effective date same as booking date. Restructuring clause: FULL.
													Maturity: 20 September 2023. Base currency USD;
 65. Short (i.e. sell protection) EUR 1 million CDS on Unilever (Ticker UNA NA). Effective date same as booking date. Restructuring clause: FULL.
													Maturity: 20 September 2023. Base currency EUR;
 66. Long (i.e. buy protection) EUR 1 million CDS on Total SA (Ticker FP FP). Effective date same as booking date. Restructuring clause: FULL.
													Maturity: 20 September 2023. Base currency EUR;
 67. Long (i.e. buy protection) EUR 1 million CDS on Volkswagen Group (Ticker VOW GR). Effective date same as booking date. Restructuring clause: FULL.
													Maturity: 20 September 2023. Base currency EUR;
 68. Long position on Turkey Govt. notes USD 1 million. Maturity: 22 March 2024 (ISIN US900123CF53). Base currency USD;
 69. Long (i.e. buy protection) USD 1 million CDS on Turkey. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September
													2023. Base currency USD;
 70. Long position on AXA notes EUR 1 million Maturity 29 January 2024 (ISIN FR0011524248). Base currency EUR;
 71. Long position on Volkswagen Group notes EUR 1 million Maturity 2 October 2023 (ISIN XS1586555861). Base currency EUR;
 72. Short EUR 1 million Volkswagen Group notes. Maturity 30 March 2021 (ISIN XS1586555606). Base currency EUR;
 73. Long position on Total SA notes EUR 1 million. Maturity: 15 March 2023 (ISIN XS0830194501). Base currency EUR;
 74. Short position in spread hedged Super Senior tranche of iTraxx Europe index on-the-run series. Attachment point: 25 %; detachment point: 100 %.
													Notional EUR 5 million. Maturity: five years. Running spread 100 bps. The portfolio is constructed by hedging the index tranche with the iTraxx
													Europe index on-the-run series to achieve a zero CS01 as of booking date. No further re-hedging is required. Base currency EUR;
 75. Long (i.e. buy protection) USD 1 million first to default basket swap on {Brazil, Mexico and Turkey}. Effective date same as booking date.
													Restructuring clause: FULL. Maturity: 20 September 2023. Base currency USD.
 3. 
Provide the required risk measures, along with the present value, of the following individual portfolios:

Portfolio Combination of instrumentsInstrument (as stated by its number
														in section 2 – quantity of each instrument Base currency Risk measures required
EQUITY
1 1 – 1 000 instruments EUR VaR and sVaR
2 1 – 1 000 instruments1 – 1 000 instruments1 – 1 000 instruments EUR VaR and sVaR
3 1 – 100 instruments1 – 100 instruments EUR VaR and sVaR
4 1 – 100 instruments1 – 100 instruments GBP VaR and sVaR
5 1 – 1 000 instruments JPY VaR and sVaR
6 1 – 500 instruments1 – 500 instruments EUR VaR and sVaR
7 18 – 1 instrument EUR VaR and sVaR
8 1 – 1 000 instruments1 – 1 000 instruments USD VaR and sVaR
9 2 – 1 instruments1 – 100 instruments EUR VaR and sVaR
10 6 – 1 000 instruments1 – 1 000 instruments1 – 1 000 instruments EUR VaR and sVaR
IR
11 1 – 1 instrument EUR VaR and sVaR
12 20 – 1 instrument EUR VaR and sVaR
13 1 – 1 instrument USD VaR and sVaR
14 1 – 1 instrument GBP VaR and sVaR
15 23 – 1 instrument USD VaR; sVaR; IRC
16 1 – 1 instrument1 – 1 instrument EUR VaR; sVaR; IRC
17 1 – 1 instrument1 – 1 instrument1 – 1 instrument EUR VaR; sVaR; IRC
18 1 – 1 instrument1 – 1 instrument1 – 1 instrument1 – 1 instrument1 – 1 instrument1 – 1 instrument1 – 1 instrument EUR VaR; sVaR; IRC
19 1 – 1 instrument1 – 1 instrument EUR VaR and sVaR;
20 1 – 1 instrument1 – 1 instrument EUR VaR and sVaR;
21 1 – 1 instrument1 – 1 instrument EUR VaR and sVaR;
22 1 – 1 instrument20 – 1 instrument EUR VaR and sVaR;
23 1 – 1 instrument GBP VaR; sVaR; IRC
24 1 – 1 instrument1 – 1 instrument1 – 1 instrument USD VaR; sVaR; IRC
25 1 – 1 instrument1 – 1 instrument USD VaR and sVaR
26 1 – 1 instrument1 – 1 instrument1 – 1 instrument1 – 1 instrument EUR VaR; sVaR; IRC
FX
27 1 – 1 instrument1 – 1 instrument EUR VaR and sVaR
28 1 – 1 instrument1 – 1 instrument EUR VaR and sVaR
29 1 – 1 instrument1 – 1 instrument1 – 1 instrument EUR VaR and sVaR
30 1 – 1 instrument1 – 1 instrument EUR VaR and sVaR
31 1 – 1 instrument EUR VaR and sVaR
32 47 – 1 instrument EUR VaR and sVaR
COMM.
33 1 – 1 instrument1 – 1 instrument USD VaR and sVaR
34 1 – 1 instrument1 – 1 instrument USD VaR and sVaR
35 1 – 1 instrument1 – 1 instrument USD VaR and sVaR
Credit Spread
36 1 – 1 instrument1 – 1 instrument1 – 1 instrument USD VaR; sVaR; IRC
37 1 – 1 instrument1 – 1 instrument USD VaR; sVaR; IRC
38 1 – 1 instrument1 – 1 instrument EUR VaR; sVaR; IRC
39 1 – 1 instrument1 – 1 instrument USD VaR; sVaR; IRC
40 1 – 1 instrument1 – 1 instrument GBP VaR; sVaR; IRC
41 1 – 1 instrument1 – 1 instrument1 – 1 instrument1 – 1 instrument1 – 1 instrument EUR VaR; sVaR; IRC
42 1 – 1 instrument1 – 1 instrument USD VaR; sVaR; IRC
43 1 – 1 instrument1 – 1 instrument1 – 1 instrument EUR VaR; sVaR; IRC
44 1 – 1 instrument1 – 1 instrument EUR VaR; sVaR; IRC
45 1 – 1 instrument1 – 1 instrument EUR VaR; sVaR; IRC
46 1 – 1 instrument1 – 1 instrument EUR VaR; sVaR; IRC
47 1 – 1 instrument USD VaR; sVaR; IRC
48 1 – 1 instrument1 – 1 instrument1 – 1 instrument EUR VaR; sVaR; IRC
49 1 – 1 instrument1 – 1 instrument USD VaR; sVaR; IRC
50 1 – 1 instrument1 – 1 instrument EUR VaR; sVaR; IRC
51 1 – 5 instruments1 – 1 instrument USD VaR; sVaR; IRC
52 1 – 5 instruments1 – 1 instrument USD VaR; sVaR; IRC
53 1 – 5 instruments1 – 1 instrument1 – 5 instruments1 – 1 instrument USD VaR; sVaR; IRC
CTP
54 1 – 1 instrument EUR VaR; sVaR; APR
55 1 – 1 instrument USD VaR; sVaR; APR
56 1 – 5 instruments1 – 5 instruments1 – 1 instrument1 – 1 instrument USD VaR; sVaR; APR 4. 
Provide the required risk measures, along with the present value, of the following financial aggregated portfolios:

Aggreg. portfolio Description Combination of individual portfolios (individual portfolios
														as stated by the numbers in section 2 Base currency Risk measures requested
57 ALL-IN no-CTP 1, 2, 6, 7, 9, 11, 12, 18, 21, 27, 28, 30, 31, 32, 33, 34, 38, 41, 43 EUR VaR; sVaR; IRC
58 EQUITY cumulative 1, 2, 6, 7, 9 EUR VaR and sVaR
59 IR cumulative 11, 12, 18, 21 EUR VaR and sVaR
60 FX cumulative 27, 28, 30, 31, 32 EUR VaR and sVaR
61 Commodity cumulative 33, 34 USD VaR and sVaR
62 Credit spread cumulative 38, 41, 43 EUR VaR; sVaR; IRC
63 CTP cumulative EUR 54, 56 EUR VaR; sVaR; APR'

ANNEX VI

'
ANNEX VI 
Column Label Legal reference Instructions
010 Instrument number Section 2 of Annex V The instrument number taken from Annex V shall be reported.
020 Instrument Modelled for VaR and sVaR (YES/NO)  Either YES or NO shall be reported.
030 Instrument Modelled for IRC (YES/NO)  Either YES or NO shall be reported.
040 Instrument Modelled for Correlation Trading (YES/NO)  Either YES or NO shall be reported.
050 Rationale for Exclusion Article 4 of Commission Implementing Regulation (EU) 2016/2070 One of the following shall be reported:
((a)) Model not authorised by Regulator;
((b)) Instrument or underlying not authorised internally;
((c)) Underlying or modelling feature not contemplated internally;
((d)) Other rationale for exclusion. Please, explain that in column 060.
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 instrument on 26 September 2018 at 5:30 pm CETThe cell shall be left blank if the institution does not wish to provide an IMV for a certain portfolio (i.e. zero values shall be
																reported if and only if the result of the calculation is actually zero).
Row Label Legal reference Instructions
010 Methodology  One of the following shall be reported in column 010:
((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. In case option (d)
																was selected in column 010, the institution is expected to provide details in this column.
020 Computation of 10-day Horizon Article 365(1) of Regulation (EU) No 575/2013 One of the following shall be reported in column 010:
((a)) 1 day re-scaled to 10 days;
((b)) 10 days with overlapping periods;
((c)) 10 days other Methodology.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 in column 010:
((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 in column 010:
((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 Backtesting add-on means the addend between 0 and 1 in accordance with Table 1 in Art. 366 (2) CRRColumn 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
060 VaR Regulatory add-on Article 366(2) of Regulation (EU) No 575/2013 (‘at least 3’) Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for VaR (at
																least 3) in accordance with Art. 366 (2) CRR. The multiplication factor is given by the sum of 3 plus the backtesting add-on.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 in column 010:
((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. In case option (d)
																was selected in column 010, the institution is expected to provide details in this column.
080 Computation of 10 day Horizon Article 365(1) of Regulation (EU) No 575/2013 One of the following shall be reported in column 010:
((a)) 1 day re-scaled to 10 days;
((b)) 10 days with overlapping periods;
((c)) 10 days other Methodology.Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
090 sVaR Regulatory add-on Article 366(2) of Regulation (EU) No 575/2013 Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for sVaR (at
																least 3) in accordance with Art. 366 (2) CRR. The multiplication factor is given by the sum of 3 plus the backtesting add-on.Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
100 Stressed VaR (i.e. sVaR) period Article 365(2) of Regulation (EU) No 575/2013 One of the following shall be reported in column 010:
((a)) Daily computation of the stressed VaR calibrated to one continuous 12-month period starting from;
((b)) Weekly computation of the stressed VaR calibrated to one continuous 12-month period starting from;
((c)) Daily computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting
																		dates given in column 010 of C107.02 starting from;
((d)) Weekly computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting
																		dates given in column 010 of C107.02 starting from;
((e)) Maximum of daily computation of the stressed VaR calibrated to more than one single 12-month period;
((f)) Maximum of weekly computation of the stressed VaR calibrated to more than one single 12-month period;
((g)) Other choices for the stressed VaR calibration (please specify).Column 020 shall be used by the institution to provide the starting date (e.g. dd/mm/yyyy) in case of options (a) or (b) given in
																column 010; the starting dates (e.g. dd/mm/yyyy) used for each stressed VaR run in case of options (c) or (d) given in column 010; and,
																to provide more clarification on the 12-month period used for each stressed VaR run in case of options (e), (f) and (g) given in column
																010.
Label Legal reference Instructions
Portfolio Section 1 of Annex V The portfolio (both individual and aggregated) number taken from Annex V shall be reported.
Column Label Legal reference Instructions
010 Date  VaR, sVaR and Present Value (PV) results shall be reported at the following dates:
((a)) 21/1/2019;
((b)) 22/1/2019;
((c)) 23/1/2019;
((d)) 24/1/2019;
((e)) 25/1/2019;
((f)) 28/1/2019;
((g)) 29/1/2019;
((h)) 30/1/2019;
((i)) 31/1/2019;
((j)) 1/2/2019.
020 VaR Article 365 of Regulation (EU) No 575/2013 The 10-day regulatory VaR obtained for each portfolio, without applying the ‘3+’ regulatory multiplication factor, 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 VaR on the date provided in column 010 (i.e. zero values shall be reported if and only if the result of the calculation
																	is actually zero).
030 sVaR Article 365 of Regulation (EU) No 575/2013 The 10-day regulatory sVaR obtained for each portfolio, without applying the ‘3+’ regulatory multiplication factor, 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 if and only if the result of the calculation
																	is actually zero).
040 PV  The present value (PV) for each 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 a PV on the date provided in column 010 (i.e. zero values shall be reported if and only if the result of the calculation
																	is actually zero).
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 (both individual and aggregated) taken from Annex V shall be reported.
Column Label Legal reference Instructions
010 Date Article 365(1)(d) of Regulation (EU) No 575/2013 On each business day, according to the calendar in the institution's jurisdiction, institutions shall provide the P&L series used to
																calculate VaR in C107.02 column 010 with a minimum of 250 observations back from 1/2/2019
020 Daily P&L  Institutions that calculate VaR using Historical Simulation shall fill the full length historic series used by the institution,
																	with a minimum of 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 010 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
																	if and only if there really was no change in the hypothetical value of the portfolio on a given business day).
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 (please specify).Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (c)
																was selected in column 010, the institution is expected to provide details in this column.
Label Legal reference Instructions
Portfolio Section 1 of Annex V The portfolio number (both individual and aggregated) taken from Annex V, 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 (please specify).Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option
																	(d) was selected in column 010, the institution is expected to provide details in this column 020.
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 (please specify).Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option
																	(d) was selected in column 010, the institution is expected to provide details in this column 020.
Label Legal reference Instructions
Portfolio Section 1 of Annex V The portfolio (both individual and aggregated) number taken from Annex V, only for those portfolios where IRC is requested, shall be
																reported.
Column Label Legal reference Instructions
010 Date  IRC shall be reported at the following dates:
((a)) 21/1/2019;
((b)) 22/1/2019;
((c)) 23/1/2019;
((d)) 24/1/2019;
((e)) 25/1/2019;
((f)) 28/1/2019;
((g)) 29/1/2019;
((h)) 30/1/2019;
((i)) 31/1/2019;
((j)) 1/2/2019.
020 IRC Articles 372 to 376 of Regulation (EU) No 575/2013 and EBA/GL/2012/3 The regulatory IRC obtained for each 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 if and only if the result of the calculation
																	is actually zero).
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 (please specify).Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (c)
																was selected in column 010, the institution is expected to provide details in this column.
Label Legal reference Instructions
Portfolio Annex V The portfolio (both individual and aggregated) number taken from Annex V, only for those portfolios where APR is requested, 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 (please specify).Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option
																	(d) was selected in column 010, the institution is expected to provide details in this column 020.
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 (please specify).Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option
																	(d) was selected in column 010, the institution is expected to provide details in this column 020.
Label Legal reference Instructions
Portfolio Section 3 of Annex V The portfolio (both individual and aggregated) number taken from Annex V, only for those portfolios where APR is requested, shall be
																reported
Column Label Legal reference Instructions
010 Date Article 377 of Regulation (EU) No 575/2013 All price risk (‘APR’) shall be reported at the following dates:
((a)) 21/1/2019;
((b)) 22/1/2019;
((c)) 23/1/2019;
((d)) 24/1/2019;
((e)) 25/1/2019;
((f)) 28/1/2019;
((g)) 29/1/2019;
((h)) 30/1/2019;
((i)) 31/1/2019;
((j)) 1/2/2019.
60 APR Article 377 of Regulation (EU) No 575/2013 The results obtained by applying the regulatory Correlation Trading Model to each 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 if and only if the result of
																	the calculation is actually zero).'

ANNEX VII

'
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 IMV
  VaR, sVaR and PV 
107,1 C 107.01 DETAILS VaR&SVaR 1
107,2 C 107.02 BASE CURRENCY RESULTS VaR&SVaR 2
  PROFIT & LOSS TIME SERIES 
108 C 108.00 PROFIT & LOSS TIME SERIES P&L
  INCREMENTAL RISK CHARGE 
109,1 C 109.01 IRC. DETAILS OF THE MODEL IRC 1
109,2 C 109.02 IRC. DETAILS BY PORTFOLIO IRC 2
109,3 C 109.03 IRC. AMOUNT BY PORTFOLIO/DATE IRC 3
  CORRELATION TRADING 
110,1 C 110.01 CT. DETAILS OF THE MODEL CT 1
110,2 C 110.02 CT. DETAILS BY PORTFOLIO CT 2
110,3 C 110.03 CT. AMOUNT BY PORTFOLIO/DATE CT 3
Instrument number Instrument Modelled for Var + SVaR (YES/NO) Instrument Modelled for IRC (YES/NO) Instrument Modelled for Correlation Trading (YES/NO) Rationale for Exclusion Free text box Initial Market Valuation
010 020 030 040 050 060 070
      
 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  
100 Stressed VaR window time  
Portfolio 

Date VaR sVaR PV
010 020 030 040
   
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 Free text box
Row Item 010 020
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 Free text box
Row Item 010 020
010 Liquidity Horizon  
020 Source of PDs  
030 Source of transition matrices  
Portfolio 

Date APR  
010 020  
   '
