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Commission Implementing Regulation (EU) 2016/2070 of 14 September 2016 laying down implementing technical standards for templates, definitions and IT-solutions to be used by institutions when reporting to the European Banking Authority and to competent authorities in accordance with Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance )

Type Implementing Regulation
Publication 2016-12-02
Last updated 2025-04-01
State In force
Department European Commission
Source EUR-Lex
articles 7
Reform history JSON API
  • EBA instrument currency: EUR
  • 528.Long (i.e. Buy protection) USD 1 000 000 CDS on BELGIUM.
  • Maturity: June Year T+30
  • EBA instrument currency: USD
  • 529.Long (Buy protection) EUR 10 000 000 CDS on iTraxx Europe index on-the-run series.
  • Maturity: June Year T+4
  • EBA instrument currency: EUR
  • 530.Short Put option. EUR 10 000 000 . Underlying iTraxx Europe index on-the-run series (same instrument of 529).
  • Strike price: ATM
  • Expiry date: Booking date + 6 months
  • EBA instrument currency: EUR
  • 531.Long AXA SA (callable) EUR 1 000 000 (ISIN XS1799611642).
  • Maturity: 28 May 2049
  • EBA instrument currency: EUR
  • 532.Long AT&T Bond (callable) USD 1 000 000 (ISIN US00206RFW79).
  • Maturity: 15 August 2037
  • EBA instrument currency: USD
  • 533.Long BAYER AG (callable) EUR 1 000 000 (ISIN XS2199266268).
  • Maturity: 06 January 2030
  • EBA instrument currency: EUR
  • 534.Long ORANGE SA Bond (callable) EUR 1 000 000 (ISIN FR0013323870).
  • Maturity: 20 March 2028
  • EBA instrument currency: EUR

CTP

  • 601.Short (i.e. Sell protection) position in iTraxx Europe index on-the-run series.
  • Attachment point: 3%
  • Detachment point: 6%
  • Notional: EUR 5 000 000
  • Maturity: 5 years
  • EBA instrument currency: EUR
  • 602.Long (i.e. Buy protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series.
  • Maturity: June Year T+4
  • EBA instrument currency: EUR
  • Notional adj. to fully hedge CS01 of 601 with no re-hedging required
  • 603.Long (i.e. Buy protection) position in iTraxx Europe index on-the-run series.
  • Attachment point: 3%
  • Detachment point: 6%
  • Notional: EUR 5 000 000
  • Maturity: 5 years
  • EBA instrument currency: EUR
  • 604.Short (i.e. Sell protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series.
  • Maturity: June Year T+4
  • EBA instrument currency: EUR
  • Notional adj. to fully hedge CS01 of 603 with no re-hedging required
  • 605.Short (i.e. Sell protection) position in iTraxx Europe index on-the-run series.
  • Attachment point: 12%
  • Detachment point: 100%
  • Notional: EUR 5 000 000
  • Maturity: 5 years
  • EBA instrument currency: EUR
  • 606.Long (i.e. Buy protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series.
  • Maturity: June Year T+4
  • EBA instrument currency: EUR
  • Notional adj. to fully hedge CS01 of 605 with no re-hedging required
  • 607.Long (i.e. Buy protection) position in iTraxx Europe index on-the-run series.
  • Attachment point: 12%
  • Detachment point: 100%
  • Notional: EUR 5 000 000
  • Maturity: 5 years
  • EBA instrument currency: EUR
  • 608.Short (i.e. Sell protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series.
  • Maturity: June Year T+4
  • EBA instrument currency: EUR
  • Notional adj. to fully hedge CS01 of 607 with no re-hedging required
  • 609.Short (i.e. Sell protection) position in iTraxx Europe index on-the-run series.
  • Attachment point: 3%
  • Detachment point: 6%
  • Notional: EUR 5 000 000
  • Maturity: 5 years
  • EBA instrument currency: EUR
  • Recovery rate: 40% fixed.
  • 610.Long (i.e. Buy protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series.
  • Maturity: June Year T+4
  • EBA instrument currency: EUR
  • Notional adj. to fully hedge CS01 of 609 with no re-hedging required

Section 3:   Individual portfolios - Single instrument

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

Portfolio Combination of instruments: The first figure represents the instrument (as referred to in Section 2 of this Annex). The second figure represents the quantity of each instrument or number of contracts, as applicable. EBA portfolio currency Risk measures required
1001 101 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1002 102– 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1003 103 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1004 104 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1005 105– 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1006 106 – 1 instrument GBP VaR; Stressed VaR; SBM; DRC; RRAO
1007 107 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1008 108 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1009 109 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1010 110 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1011 111 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO
1012 112 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO
1013 113 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1014 114 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1015 115 – 1 instrument GBP VaR; Stressed VaR; SBM; DRC; RRAO
1016 116 – 1 instrument GBP VaR; Stressed VaR; SBM; DRC; RRAO
1017 117 – 1 instrument JPY VaR; Stressed VaR; SBM; DRC; RRAO
1018 118 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1019 119 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1020 120 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1021 121 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO
2001 201 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
2002 202 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
2003 203 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO
2004 204 – 1 instrument GBP VaR; Stressed VaR; SBM; DRC; RRAO
2005 205 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
2006 206 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
2007 207 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
2008 208– 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
2009 209 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
2010 210 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
2011 211 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
2012 212 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
2013 213 – 1 instrument GBP VaR; Stressed VaR; IRC; SBM; DRC; RRAO
2014 214 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
2015 215 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO
2016 216 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
2017 217 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
2018 218 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
2019 219 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
2020 220 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
2021 221 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
2022 222 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
2023 223 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
2024 224 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
3001 301 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
3002 302 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
3003 303 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
3004 304 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
3005 305 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
3006 306 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
3007 307 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
3008 308 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
3009 309 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
3010 310 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
3011 311 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
4001 401 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO
4002 402 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO
4003 403 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO
4004 404 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO
4005 405 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO
5001 501 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5002 502 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5003 503 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5004 504 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5005 505 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5006 506 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5007 507 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5008 508 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5009 509 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5010 510 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5011 511 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5012 512 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5013 513 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5014 514 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5015 515 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5016 516 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5017 517 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5018 518 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5019 519 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5020 520 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5021 521 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5022 522 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5023 523 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5024 524 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5025 525 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5026 526 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5027 527 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5028 528 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5029 529 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5030 530 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5031 531 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5032 532 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5033 533 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5034 534 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
6001 601 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO
6002 602 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO
6003 603 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO
6004 604 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO
6005 605 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO
6006 606 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO
6007 607 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO
6008 608 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO
6009 609 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO
6010 610 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO

Section 4:   Individual portfolios - Multi instruments

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

Portfolio Combination of instruments: The first figure represents the instrument (as referred to in Section 2 of this Annex). The second figure represents the quantity of each instrument or number of contracts, as applicable. EBA portfolio currency Risk measures required
1101 103 – 1 instrument 104 – 1 instrument 105 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1102 113 – 1 instrument 110 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1103 115 – 1 instrument 116 – 1 instrument GBP VaR; Stressed VaR; SBM; DRC; RRAO
1104 109 – 1 instrument 110 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1105 111 – 1 instrument 112 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO
1106 102 – 1 instrument 114 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1107 106 – 1 instrument 107 – 1 instrument 108 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1108 101 – 1 instrument 103 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1109 101 – 1 instrument 103 – 1 instrument 104 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
1110 102– 1 instrument 104 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
2201 206 – 1 instrument 207 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
2202 206 – 1 instrument 207 – 1 instrument 208 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
2203 206 – 1 instrument 207 – 1 instrument 208 – 1 instrument 209 – 1 instrument 210 – 1 instrument 211 – 1 instrument 212 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
2204 201 – 1 instrument 218 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
2205 201 – 1 instrument 219 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
2206 218 – 1 instrument 219 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
2207 201 – 1 instrument 202 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
2208 215 – 1 instrument 216 – 1 instrument 217 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
2209 203 – 1 instrument 215 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO
2210 208 – 1 instrument 209 – 1 instrument 210 – 1 instrument 214 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
2211 209 – 1 instrument 219 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
2212 201 – 1 instrument 223 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
3301 301 – 1 instrument 302 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
3302 303 – 1 instrument 304 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
3303 304 – 1 instrument 305 – 1 instrument 306 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
3304 307 – 1 instrument 308 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO
4401 401 – 1 instrument 402 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO
4402 403 – 1 instrument 404 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO
4403 401 – 1 instrument 404 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO
5501 501 – 1 instrument 502 – 1 instrument 503 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5502 504 – 1 instrument 505 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5503 507 – 1 instrument 508 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5504 503 – 1 instrument 504 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5505 509 – 1 instrument 510 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5506 511 – 1 instrument 512 – 1 instrument 514 – 1 instrument 515 – 1 instrument 516 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5507 517 – 1 instrument 518 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5508 519 – 1 instrument 520 – 1 instrument 522 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5509 520 – 1 instrument 521 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5510 519 – 1 instrument 508 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5511 515 – 1 instrument 522 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5512 520 – 1 instrument 521 – 1 instrument 516 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5513 506 – 1 instrument 503 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5514 502 – 1 instrument 209 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5515 504 – 1 instrument 217 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5516 505 – 1 instrument 216 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5517 504 – 1 instrument 217 – 1 instrument 505 – 1 instrument 216 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5518 502 – 1 instrument 209 – 1 instrument 219 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5519 523 – 1 instrument 525 – 1 instrument 527 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5520 524 – 1 instrument 526 – 1 instrument 528 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5521 523 – 1 instrument 524 – 1 instrument 525 – 1 instrument 526 – 1 instrument 527 – 1 instrument 528 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
5522 529 – 1 instrument 530 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
6601 601 – 1 instrument 602 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO
6602 603 – 1 instrument 604 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO
6603 605 – 1 instrument 606 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO
6604 607 – 1 instrument 608 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO
6605 609 – 1 instrument 610 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO

Section 5:   Aggregated Portfolios

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

Aggreg. Portfolio Description Combination of Individual Portfolios (individual portfolios as stated by their numbers as referred to in Sections 3 and 4 of this Annex) EBA portfolio Currency Risk measures required
10000 ALL-IN no-CTP 1001, 1101, 1104, 1106, 2001, 2002, 2203, 2206, 3301, 3303, 3304, 4401, 4402, 5503, 5506, 5508, 5521 EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
11000 EQUITY Cumulative 1001, 1101, 1104, 1106 EUR VaR; Stressed VaR; SBM; DRC; RRAO
12000 IR Cumulative 2001, 2002, 2203, 2206 EUR VaR; Stressed VaR; SBM; DRC; RRAO
13000 FX Cumulative 3301, 3303, 3304 EUR VaR; Stressed VaR; SBM; DRC; RRAO
14000 Commodity Cumulative 4401, 4402 USD VaR; Stressed VaR; SBM; DRC; RRAO
15000 Credit Spread cumulative 5503, 5506, 5508, 5521 EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO
16000 CTP cumulative EUR 6601, 6602 EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO

Section 6:   Additional specifications for instruments

Institutions shall apply the following additional specifications to the financial instruments described in Section 2 of this Annex:
Instrument: 220
Description: 5-year Mark to Market (MtM) Cross Currency EUR/USD SWAP Receive USD and pay EUR Notional: EUR 10 000 000 , USD (EUR 10 000 000 * FX USD/EUR)
Pay: Float leg 2
Rec: Float leg 1
Notional Exchange and Reset: On effective date and maturity date. Further, on every coupon payment date, an additional payment corresponding to adjustment of the USD notional on Float leg 2 is made. The USD notional is adjusted to equal 10 000 000 EUR, at spot rate 2 business days in advance of each payment date.
Cash balance Included
Float Leg 1
Notional: 10 000 000 EUR equivalent converted to USD at spot on effective date, equivalent adjusted on a quarterly basis
Effective Date: Booking date + 6 months
Maturity Date: Booking date + 5,5 years
Payment Date Generation: Forward from Effective Date
Coupon Payment Frequency: Quarterly
Coupon Rate: 3-month SOFR + 0bps.
Coupon Rate Reset Freq: Quarterly
Coupon Rate Fixing Convention: Compounded daily over the 3-month period
Coupon Rate Compounding Frequency: Simple Interest
Day Count: ACT/360
Payment Business Day: LON, NYC, TARGET
Payment Business Day Convention: Modified Following
Notional Reset Business Day: LON, NYC, TARGET
Notional Reset Business Day Convention: Previous
Coupon Rate Reset Business Day: LON, NYC, TARGET
Coupon Rate Reset Business Day Convention: Previous
Float Leg 2
Notional: 10 000 000 EUR
Effective Date: Booking date + 6 months
Maturity Date: Booking date + 5,5 years
Payment Date Generation: Forward from Effective Date
Coupon Payment Frequency: Quarterly
Coupon Rate: 3-month ESTER + 0 bps.
Coupon Rate Reset Frequency: Quarterly
Coupon Rate Fixing Convention: Compounded daily over the 3-month period
Coupon Rate Compounding Frequency: Simple Interest
Day Count: ACT/360
Payment Business Day: LON, NYC, TARGET
Payment Business Day Modified Following
Notional Reset Business Day: LON, NYC, TARGET
Notional Reset Business Day Convention: Previous
Coupon Rate Reset Business Day: LON, NYC, TARGET
Coupon Rate Reset Business Day Convention: Previous

Section 7:   SBM validation portfolios

  • (a) Institutions shall provide the SBM risk measure of the portfolios defined in Annex X (SBM validation portfolios) as part of the IMV submission and submit them in line with the reporting dates of the IMV submission.
  • (b) The following shall apply for the submission of the results corresponding to SBM validation portfolios:
  • i. Institutions shall only report template C120.02 and limit the reporting in this template to the reporting currency results (i.e. column 0060 of template C120.02 shall not be populated and templates C 106.00 and C 106.01 shall not be reported for the SBM validation portfolios);
  • ii. Institutions shall assume that the risk sensitivities and curvature risk positions defined by the instruments specified in Annex X are expressed in the institution’s reporting currency and that the information are provided in the format specified in the reporting instructions for templates C 106.01 / C 120.01 and the corresponding table with guidance for reporting these templates in Annex VI (Template instructions).

ANNEX VI

RESULTS SUPERVISORY BENCHMARK PORTFOLIOS
TEMPLATE-RELATED INSTRUCTIONS
C 106.00 – Initial Market Valuation and exclusion justification
C 106.01 – SBM. Risk sensitivities by Instrument
C 107.01 – VaR & sVaR Non-CTP. Details.
C 107.02 – VaR, sVaR and PV - Non-CTP. EBA portfolio currency Results.
C 108.00 – Profit & Loss Time Series
C 109.01 – IRC. Details of the Model
C 109.02 – IRC. Details by Portfolio
C 109.03 – IRC. Amount by Portfolio/Date.
C 110.01 – CT. Details of the Model.
C 110.02 – CT. Details by Portfolio.
C 110.03 – CT. APR by Portfolio/Date
C 120.01 – SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO
C 120.02 – SBM. OFR COMPOSITION BY PORTFOLIO
C 120.04 – DRC. MARKET VALUES AND GROSS JTD AMOUNTS BY INSTRUMENT/PORTFOLIO
C 120.05 – DRC. OFR COMPOSITION BY PORTFOLIO
C 120.06 – ASA. OFR

C 106.00 –   Initial Market Valuation and exclusion justification

Column Label Legal reference Instructions
0010 Instrument number Section 2 of Annex V The instrument number taken from Annex V shall be reported.
0020 Instrument modelled for VaR and sVaR (TRUE/FALSE) Either TRUE or FALSE shall be reported.
0030 Instrument modelled for IRC (TRUE/FALSE) Either TRUE or FALSE shall be reported.
0040 Instrument modelled for correlation trading (TRUE/FALSE) Either TRUE or FALSE shall be reported.
0050 Rationale for exclusion Article 3(2) One of the following shall be reported: (a) Model not authorised by regulator; (b) Instrument or underlying not authorised internally; (c) Underlying or modelling feature not contemplated internally; (d) Other rationale for exclusion. Please, explain that rationale in column 0060.
0060 Free text box An institution may provide any additional information in this column.
0070 Initial market valuation (‘IMV’) The mark-to-market value of each instrument on the reference date at 5:30 pm CET (as referred to in Section 1, point (b), of Annex V. The cell shall be left blank where the institution does not wish to provide an IMV for a certain portfolio (i.e. zero values shall be reported only where the result of the calculation is zero).

C 106.01 –   SBM. Risk sensitivities by Instrument

Institutions shall report the sensitivities towards the risk factors that the instrument is exposed to. One row shall be reported per risk factor/sensitivity. The upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Article 325g of Regulation (EU) 575/2013 shall be reported in individual rows. All values shall refer to the ‘IMV (and initial SBM) reference date’ as specified in Section 1, point (b)(ii), of Annex V to this Regulation. Institutions shall report each combination of Instrument number, Risk identifier (column 0010), Bucket (column 0020) and Additional identifier (column 0030) only once.

Instructions concerning sheets (z-axis)

Label Legal reference Instructions
Instrument number Section 2 of Annex V The instrument number taken from Annex V shall be reported.
Column Label Legal reference
--- --- ---
0010 Risk factor identifier Articles 325l, 325m, 325n, 325o, 325p and 325q of Regulation (EU) No 575/2013
0020 Bucket Article 325d(3) of Regulation (EU) No 575/2013
0030 Additional identifier1 Articles 325l to 325q and Article 325ai of Regulation (EU) No 575/2013
0050 Risk sensitivity (Reporting currency results) Article 325d(2) and Articles 325g, 325r, 325s, 325t and 325ax of Regulation (EU) No 575/2013
0060 Reporting currency
0070 Risk sensitivity (EBA instrument currency results) Section 2 of Annex V to this Regulation and Article 325d(2) and Articles 325g, 325r and 325s of Regulation (EU) No 575/2013
0080 Pricing model Article 325t of Regulation (EU) No 575/2013
0090 Sensitivities definition Articles 325r, 325s and 325t of Regulation (EU) No 575/2013
0100 Free text box
0110 Additional identifier2 Article 325p(2) of Regulation (EU) No 575/2013
0120 Credit quality category Article 325m(1) and Article 325ah(1) of Regulation (EU) No 575/2013

C 107.01 –   VaR & sVaR Non-CTP. Details.

Row Label Legal reference Instructions
0010 - 0060 VaR VaR VaR
0010 Methodology One of the following shall be reported in column 0010: (a) Historical simulation; (b) Monte Carlo simulation; (c) Parametric methodology; (d) Combination / other methodology (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. Where option (d) was selected in column 0010, the institution shall provide details in column 0020.
0020 Computation of 10-day horizon Article 365(1) of Regulation (EU) No 575/2013 One of the following shall be reported in column 0010: (a) 1 day re-scaled to 10 days; (b) 10 days with overlapping periods; (c) 10 days other methodology. The institution shall use column 0020 to clarify the answer given in column 0010.
0030 Length of observation period Article 365(1) point (d) of Regulation (EU) No 575/2013 One of the following shall be reported in column 0010: (a) Up to 1 year; (b) More than 1 and up to 2 years; (c) More than 2 and up to 3 years; (d) More than 3 years. The institution shall use column 0020 to clarify the answer given in column 0010.
0040 Data Weighting Article 365(1) point (d), of Regulation (EU) No 575/2013 One of the following shall be reported in column 0010: (a) Unweighted (VaR data weighting); (b) Weighted (VaR data weighting); (c) Higher of weighted and unweighted (VaR data weighting) in points (a) and (b). The institution shall use column 0020 to clarify the answer given in column 0010.
0050 Backtesting add-on Article 366(2) of Regulation (EU) No 575/2013 Backtesting add-on means the addend between 0 and 1 in accordance with Article 366 (2), Table 1, of Regulation (EU) No 575/2013 The institution shall use column 0020 to clarify the answer given in column 0010.
0060 VaR Regulatory add-on Article 366(2) of Regulation (EU) No 575/2013 (‘at least 3’) VaR Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for VaR (at least 3) in accordance with Article 366(2) of Regulation (EU) No 575/2013. The VaR Regulatory add-on is the sum of the backtesting add-on and of the qualitative add-on, where applicable, in excess to 3. The institution shall use column 0020 to clarify the answer given in column 0010.
0070- 0100 SVaR (i.e. Stressed VaR) SVaR (i.e. Stressed VaR) SVaR (i.e. Stressed VaR)
0070 Methodology One of the following shall be reported in column 0010: (a) Historical simulation; (b) Monte Carlo simulation; (c) Parametric methodology; (d) Combination / other methodology (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020.
0080 Computation of 10 day Horizon Article 365(1) of Regulation (EU) No 575/2013 One of the following shall be reported in column 0010: (a) 1 day re-scaled to 10 days; (b) 10 days with overlapping periods; (c) 10 days other methodology. The institution shall use column 0020 to clarify the answer given in column 0010.
0090 SVaR Regulatory add-on Article 366(2) of Regulation (EU) No 575/2013 Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for sVaR (at least 3) in accordance with Article 366(2) of Regulation (EU) No 575/2013. The regulatory add-on is the sum of 3, backtesting add-on and qualitative add-on (if applicable). The institution shall use column 0020 to clarify the answer given in column 0010.
0100 SVaR period Article 365(2) of Regulation (EU) No 575/2013 One of the following shall be reported in column 0010: (a) Daily computation of the stressed VaR calibrated to one continuous 12-month period starting from the date specified in column 0020; (b) Weekly computation of the stressed VaR calibrated to one continuous 12-month period starting from the date specified in column 0020; (c) Daily computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 0010 of C107.02 starting from the dates specified in column 0020; (d) Weekly computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 0010 of C107.02 starting from the dates specified in column 0020; (e) Maximum of daily computation of the stressed VaR calibrated to more than one single 12-month period; (f) Maximum of weekly computation of the stressed VaR calibrated to more than one single 12-month period; (g) Other choices for the stressed VaR calibration (please specify). The institution shall use column 0020 to provide the starting date in the format of ‘dd/mm/yyyy’ in case of options (a) or (b) given in column 0010 and the starting dates in the format ‘dd/mm/yyyy’ used for each stressed VaR computation in case of options (c) or (d) given in column 0010. The institution shall also use column 0020 to clarify the 12-month period used for each stressed VaR computation in case of options (e), (f) and (g) given in column 0010.

C 107.02 –   VaR, sVaR and PV - Non-CTP. EBA portfolio currency results.

Instructions concerning sheets (z-axis)

Label Legal reference Instructions
Portfolio Sections 3, 4 and 5 of Annex V The portfolio number taken from Annex V shall be reported.
Column Label Legal reference
--- --- ---
0010 Date
0020 VaR Article 365 of Regulation (EU) No 575/2013
0030 sVaR Article 365 of Regulation (EU) No 575/2013
0040 PV

C 108.00 –   Profit & Loss Time Series

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

Instructions concerning sheets (z-axis)

Label Legal reference Instructions
Portfolio Sections 3, 4 and 5 of Annex V The portfolio number taken from Annex V shall be reported.
Column Label Legal reference
--- --- ---
0010 Date Article 365(1) point (d), of Regulation (EU) No 575/2013
0020 Daily P&L

C 109.01 –   IRC. Details of the Model

Row Label Legal reference Instructions
0010 Number of modelling factors EBA/GL/2012/3 The number of modelling factors at the overall IRC model level shall be reported. The answer shall be one of the following: (a) 1 modelling factor; (b) 2 modelling factors; (c) More than 2 modelling factors. The institution shall use column 0020 to clarify the answer given in column 0010.
0020 Source of LGDs EBA/GL/2012/3 The source of LGDs at the overall IRC Model level shall be reported. The answer shall be one of the following: (a) Market convention; (b) LGD used in IRB; (c) Other source of LGD (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. In case option (c) was selected in column 0010, the institution shall provide details in this column.

C 109.02 –   IRC. Details by Portfolio

Instructions concerning sheets (z-axis)

Label Legal reference Instructions
Portfolio Sections 3, 4 and 5 of Annex V The portfolio number taken from Annex V, only for those portfolios where IRC is requested, shall be reported.
Row Label Legal reference
--- --- ---
0010 Liquidity Horizon Article 374(5) of Regulation (EU) No 575/2013
0020 Source of PDs
0030 Source of transition matrices

C 109.03 –   IRC. Amount by Portfolio/Date.

Instructions concerning sheets (z-axis)

Label Legal reference Instructions
Portfolio Sections 3, 4 and 5of Annex V The portfolio number taken from Annex V, only for those portfolios where IRC is requested, shall be reported.
Column Label Legal reference
--- --- ---
0010 Date
0020 IRC Articles 372 to 376 of Regulation (EU) No 575/2013

C 110.01 –   CT. Details of the Model.

Row Label Legal reference Instructions
0010 Number of modelling factors Article 377 of Regulation (EU) No 575/2013 The number of modelling factors at the overall correlation trading model level shall be reported. The answer shall be one of the following: (a) 1 modelling factor; (b) 2 modelling factors; (c) More than 2 modelling factors. The institution shall use column 0020 where it wants to clarify the answer given in column 0010.
0020 Source of LGDs Article 377 of Regulation (EU) No 575/2013 The source of LGDs at the overall correlation trading model level shall be reported. The answer shall be one of the following: (a) Market convention; (b) LGD used in IRB; (c) Other sources of LGD (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. In case option (c) was selected in column 0010, the institution shall provide details in this column.

C 110.02 –   CT. Details by Portfolio.

Instructions concerning sheets (z-axis)

Label Legal reference Instructions
Portfolio Sections 3, 4 and 5 of Annex V The portfolio number taken from Annex V, only for those portfolios where APR is requested, shall be reported.
Row Label Legal reference
--- --- ---
0010 Liquidity horizon Article 377(2) of Regulation (EU) No 575/2013
0020 Source of PDs Article 377 of Regulation (EU) No 575/2013
0030 Source of transition matrices Article 377 of Regulation (EU) No 575/2013

C 110.03 –   CT. APR by Portfolio/Date

Instructions concerning sheets (z-axis)

Label Legal reference Instructions
Portfolio Section 3, 4 and 5 of Annex V The portfolio number taken from Annex V, only for those portfolios where APR is requested, shall be reported
Column Label Legal reference
--- --- ---
0010 Date Article 377 of Regulation (EU) No 575/2013
0060 APR Article 377 of Regulation (EU) No 575/2013

C 120.01 –   SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO

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

Instructions concerning sheets (z-axis)

Label Legal reference Instructions
Portfolio Sections 3, 4 and 5 of Annex V The number of the portfolio taken from Annex V shall be reported.
Column Label Legal reference
--- --- ---
0010 Instrument number Section 2 of Annex V
0020 Risk factor identifier Articles 325l, 325m, 325n, 325o, 325p, 325q of Regulation (EU) No 575/2013
0030 Bucket Article 325d(3) of Regulation (EU) No 575/2013
0040 Additional identifier1 Articles 325l to 325q and 325ai of Regulation (EU) No 575/2013
0060 Risk sensitivity (Reporting currency results) Article 325d(2) and Articles 325g, 325r, 325s, 325t and 325ax of Regulation (EU) No 575/2013
0070 Reporting currency
0080 Risk sensitivity (EBA portfolio currency results) Sections 3 and 4 of Annex V to this Regulation and Article 325d(2) and Articles 325g, 325r, 325s, , 325t and 325ax of Regulation (EU) No 575/2013
0090 Risk weight Part Three, Title IV, Chapter 1a, Section 6, of Regulation (EU) No 575/2013
0110 Additional identifier2 Article 325p(2) of Regulation (EU) No 575/2013
0120 Credit quality category Article 325m(1) and Article 325ah(1) of Regulation (EU) No 575/2013

C 120.02 –   SBM. OFR COMPOSITION BY PORTFOLIO

Instructions concerning sheets (z-axis)

Label Legal reference Instructions
Portfolio Sections 3, 4 and 5 of Annex V The number of the portfolio taken from Annex V shall be reported.
Column Label Legal reference
--- --- ---
0010 Risk class Article 325d(1) of Regulation (EU) No 575/2013
0020 Component Article 325e(1) of Regulation (EU) No 575/2013
0030 Correlation scenario Article 325h of Regulation (EU) No 575/2013
0040 Own funds requirements (Reporting currency results) Article 325h of Regulation (EU) No 575/2013
0050 Reporting currency
0060 Own funds requirements (EBA portfolio currency results) Sections 3 and 4 of Annex V to this Regulation and Article 325h of Regulation (EU) No 575/2013
0070 Positions without optionality subjected to curvature risk own funds requirements Article 325e(3) of Regulation (EU) No 575/2013
0080 Base currency approach applied for foreign-exchange risk delta and curvature Article 325q(7) of Regulation (EU) No 575/2013
0090 Division of curvature risk components for foreign-exchange risk by scalar Article 325q(6) of Regulation (EU) No 575/2013
0095 Submission of SBM validation portfolio results Article 325e(1) of Regulation (EU) No 575/2013
0100 Free text box

C 120.04 –   DRC. MARKET VALUES AND GROSS JTD AMOUNTS BY INSTRUMENT/PORTFOLIO

Institutions shall report, instrument by instrument, the exposures corresponding to the instrument. One row shall be reported per exposure. All values shall refer to the ‘RM (and final ASA) final reference date’ (as defined in Section 1, point (b)(v), of Annex V to this Regulation). Exposures shall be reported before any offsetting has taken place but after replication or decomposition steps (as defined in Articles 325z and 325ac of Regulation (EU) No 575/2013), where applicable.

Instructions concerning sheets (z-axis)

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