Commission Implementing Regulation (EU) 2025/379of 26 February 2025amending the implementing technical standards laid down in Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions to be applied in the Union for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council(Text with EEA relevance)

Commission Implementing Regulation (EU) 2025/379 of 26 February 2025 amending the implementing technical standards laid down in Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions to be applied in the Union for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance) THE EUROPEAN COMMISSION, Having regard to the Treaty on the Functioning of the European Union, Having regard to Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC OJ L 176, 27.6.2013, p. 338, ELI: http://data.europa.eu/eli/dir/2013/36/oj. , and in particular Article 78(8), third subparagraph, thereof, Whereas: (1) Pursuant to Article 78(1) of Directive 2013/36/EU, institutions permitted to use internal approaches are required to submit to their competent authority at an appropriate frequency, and at least annually, the results of the calculations of their risk weighted exposure amounts or own fund requirements under their internal approaches for exposures or positions that are included in the benchmark portfolios, to enable that competent authority to assess the quality of those internal approaches (benchmarking exercise). Pursuant to Article 78(3), second subparagraph, of that Directive, the European Banking Authority (the EBA) is to produce a report to assist the competent authorities in the assessment of the quality of the institutions’ internal approaches, based on the results of the benchmarking exercise. The reporting requirements for the benchmarking exercise are specified in Commission Implementing Regulation (EU) 2016/2070 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 (OJ L 328, 2.12.2016, p. 1, ELI: http://data.europa.eu/eli/reg_impl/2016/2070/oj). that was amended several times. To reflect the changes in the focus of the competent authorities’ assessments and of the EBA’s reports, and in light of legislative changes in the area of market risk, it is necessary to update again the benchmark portfolios, together with the reporting requirements laid down in that Implementing Regulation. (2) For the credit risk benchmarking, the instructions should be changed to specify the mandatory nature of reporting probability of default (PD) and loss given default (LGD) risk parameters with regard to the margin of conservativeness (MoC), regulatory add-on, and downturn (DWT) components, which can be a source of variability in the models. In addition, it should be specified that institutions are required to report the models’ identifier assigned by the competent authority, simplifying the operationalisation of the reporting allocation of data.

(3) Commission Delegated Regulation (EU) 2024/2795 Commission Delegated Regulation (EU) 2024/2795 of 24 July 2024 amending Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to the date of application of the own funds requirements for market risk (OJ L, 2024/2795, 31.10.2024, ELI: http://data.europa.eu/eli/reg_del/2024/2795/oj). postponed the date of application of the new own funds requirements for market risk. Therefore, the templates for the existing internal model approach are not being replaced for this exercise. In parallel, the templates for the validation of the standardised approach should be expanded to include additional portfolios compared to the 2024 exercise, where only interest rates instruments were in scope. That aims to ensure adequate supervision and a smooth implementation of the new standardised approach, which is used for the calculation of the output floor. (4) Implementing Regulation (EU) 2016/2070 should therefore be amended accordingly. (5) This Regulation is based on the draft implementing technical standards submitted to the Commission by the EBA. (6) The EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12, ELI: http://data.europa.eu/eli/reg/2010/1093/oj). , HAS ADOPTED THIS REGULATION:

Article 1

Implementing Regulation (EU) 2016/2070 is amended as follows: (1) Annex IV is replaced by the text in Annex I to this Regulation; (2) Annex V is replaced by the text in Annex II to this Regulation; (3) Annex VI is replaced by the text in Annex III to this Regulation; (4) Annex VII is replaced by the text in Annex IV to this Regulation; (5) Annex X is replaced by the text in Annex V 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, 26 February 2025. For the Commission The President Ursula von der Leyen

Annex

ANNEX I

Annex

ANNEX IV RESULTS SUPERVISORY BENCHMARK PORTFOLIOS PART I: GENERAL INSTRUCTIONS PART II: TEMPLATE-RELATED INSTRUCTIONS C 101 – Details on exposures in Low Default Portfolios by counterparty C 102 – Details on exposures in Low Default Portfolios C 103 – Details on exposures in High Default Portfolio C 105.01 – Definition of internal models C 105.02 – Mapping of internal models to portfolios

C 105.03 – Mapping of internal models to countries PART I: GENERAL INSTRUCTIONS

1. Information shall be submitted only for those counterparties and portfolios where an actual exposure exists at the reference date in the form of either an Original Exposure or an Exposure after CRM. Counterparties and portfolios for which no exposure exists at the reference date shall not be submitted.
2. Information shall be submitted only for those exposures for which the competent authority has approved an internal model for the calculation of risk weighted exposure amounts (RWA). In template C 101, counterparty codes ending with STDA shall not be reported. For the remaining counterparty codes of template C 101 of Annex I and for the benchmarking portfolios referred to in templates C 102 and C 103, exposures under the Standardised Approach and exposures for which the respective competent authority has permitted the temporary or permanent partial use of the Standardised Approach, shall be excluded.
3. The fields collecting non-applicable/ill-defined information shall either be left blank or the indication NULL shall be inserted; this also applies to exposure at default (EAD)-weighted quantities or parameters that cannot be calculated. Likewise, data fields whose reporting is not mandatory may be left blank or submitted as NULL. Zero values shall be reported only where the intention is to report a quantity or parameter of zero. Neither of the indications blank or NULL shall be used to report quantities or parameters that are zero.
4. Monetary amounts shall be reported in the same way as they are reported for calculating own funds requirements at a specific reference date in accordance with Commission Implementing Regulation (EU) 2021/451 Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (OJ L 97, 19.3.2021, p. 1, ELI: http://data.europa.eu/eli/reg_impl/2021/451/oj). PART II: TEMPLATE-RELATED INSTRUCTIONS C 101 – Details on exposures in Low Default Portfolios by counterparty Specialised lending exposures shall be excluded. Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1, ELI: http://data.europa.eu/eli/reg/2013/575/oj). ColumnLabelLegal referenceInstructions0010Counterparty CodeTemplate C 101, column 0010 of Annex IThe counterparty code of template C 101, column 0010 of Annex I defining the counterparty included in the low default portfolio (LDP) samples portfolios shall be reported. This code shall be a row identifier and shall be unique for each row in the template.0020Exposure classParagraph 76 of Annex II to Implementing Regulation (EU) 2021/451

Each counterparty shall be assigned to one of the following exposure classes: (a) Central banks and central governments; (b) Institutions; (c) Corporate – SME (small- and medium-sized enterprise); (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 applies, which is the case where the exposures to a counterparty are classified in multiple exposure classes without one being clearly predominant. 0040Rating The rank of the internal rating grade assigned to the counterparty within the institution’s applicable internal rating scale shall be reported. It shall follow the numerical order 1, 2, 3, etc., from lowest risk to highest risk excluding defaults with PD corresponding to 100%. Where an institution uses a continuous rating scale in accordance with Article 169(3) of Regulation (EU) No 575/2013 of the European Parliament and of the Council, the rating grades as reported in column 0005 of template C 08.02 of Annex I to Implementing Regulation (EU) 2021/451 shall be used. Where exposures to a counterparty have been assigned to multiple rating grades in accordance with Article 172(1), point (e)(i) or (iii), of Regulation (EU) No 575/2013, the rating grade zero (0) shall be reported. 0050Date of most recent rating of counterpartyThe date of the most recent rating of the counterparty shall be reported.0060PDTemplate C 08.01, column 0010 of Annex I to Implementing Regulation (EU) 2021/451The PD assigned to the counterparty shall be reported. The PD shall be the PD used in the calculation of the RWA excluding the effect of measures in accordance with Article 458 of Regulation (EU) No 575/2013. The PD shall be expressed as a value between 0 and 1.0070Default status The default status of the counterparty shall be reported. It shall be one of the following in accordance with Article 178 of Regulation (EU) No 575/2013: (a) Defaulted; (b) Non-defaulted. 0080Original exposure pre-conversion factorsTemplate C 08.01, column 0020 of Annex I to Implementing Regulation (EU) 2021/451The original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported.0090Exposure after CRM substitution effects pre-conversion factorsTemplate C 08.01, column 0090 of Annex I to Implementing Regulation (EU) 2021/451The amount to which conversion factors (CCFs) are applied in order to obtain the EAD (column 0110) shall be reported. This shall be done by taking into account credit risk mitigation techniques with substitution effects on the exposure.0100CCFArticle 166(8) of Regulation (EU) No 575/2013 The weighted average of the CCFs shall be reported. The weights used shall be the amounts to which the CCFs are applied to obtain the EAD.

For counterparties whose facilities exclusively correspond to items referred to in Article 166(8) of Regulation (EU) No 575/2013, the reported weighted average of the CCFs shall be based on all facilities. For counterparties whose facilities do not fall under the items referred to in Article 166(8) of Regulation (EU) No 575/2013, the CCF shall either be left blank or the indication NULL shall be inserted. For counterparties with facilities corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013 and facilities that do not fall under the items referred to in Article 166(8) of that Regulation, the reported weighted average of the CCF shall be based only on the facilities corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013. In particular, facilities corresponding to items referred to in Article 166(10) of that Regulation shall not be considered in the calculation. Where the institution applies own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, those CCFs shall be used to calculate the weighted average of the CCFs. Where the institution does not apply own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, the regulatory CCFs given in Article 166(8) of Regulation (EU) No 575/2013 shall be used. The CCF shall be expressed as a value between 0 and 1. 0110EADTemplate C 08.01, column 0110 of Annex I to Implementing Regulation (EU) 2021/451The exposure value shall be reported.0120Collateral valueTemplate C 08.01, columns 0150 to 0210 of Annex I to Implementing Regulation (EU) 2021/451The market value of the collateral shall be reported.0130Hyp LGD senior unsecured without negative pledgeArticle 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 exposures to the counterparty shall be reported in accordance with the following: (a) the scope of the exposures is the same as for the LGD value reported in column 0150; (b) the exposures are senior and unsecured; (c) no negative pledge clause is in place. A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party. 0140Hyp LGD senior unsecured with negative pledgeArticle 161 of Regulation (EU) No 575/2013 The hypothetical own estimates of LGD that would be applied by the institution to the exposures to the counterparty shall be reported in accordance with the following: (a) the scope of the exposures is the same as for the LGD value reported in column 0150; (b) the exposures are senior and unsecured; (c) a negative pledge clause is in place. A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party. 0150LGDTemplate C 08.01, columns 0230 and 0240 of Annex I to Implementing Regulation (EU) 2021/451 The EAD-weighted average of the LGD values of the exposures to the counterparty shall be reported.

The LGDs shall be those used for the calculation of the RWA. Specifically, where the institution has obtained permission from its competent authority to use own estimates for LGDs, the LGDs shall be based on the institution’s own estimates, otherwise the LGDs shall be based on the regulatory LGD values taking into account the applicable risk mitigation. LGDs for large regulated financial sector entities and unregulated financial entities shall be included. The effect of measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013 shall be excluded. The LGD shall be expressed as a value between 0 and 1. 0160MaturityTemplate C 08.01, column 0250 of Annex I to Implementing Regulation (EU) 2021/451The EAD-weighted maturity for the exposures to the counterparty shall be reported. It shall be expressed in number of days.0170RWATemplate C 08.01, column 0260 of Annex I to Implementing Regulation (EU) 2021/451The RWA after supporting factors (SME and infrastructure supporting factors) shall be reported. The RWA shall not include the effect of potential measures under Article 458 of Regulation (EU) No 575/2013. C 102 – Details on exposures in Low Default Portfolios For portfolios referred to 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 0130), LGD without supervisory measures (column 0131), LGD without margin of conservatism (MoC) and supervisory measures (column 0132), LGD without MoC, supervisory measures and downturn component (column 0133), Expected Loss Amount (column 0150) and RWA (column 0170). For portfolios with the regulatory approach defined as Specialised lending slotting criteria, the following information shall be omitted: PD (column 0060), PD without supervisory measures (column 0061), PD without MoC and supervisory measures (column 0062), LGD (column 0130), LGD without supervisory measures (column 0131), LGD without MoC and supervisory measures (column 0132), LGD without MoC, supervisory measures and downturn component (column 0133). ColumnLabelLegal referenceInstructions0010Portfolio IDTemplate C102, Column 0010 of Annex I The portfolio ID of column 0010 of template C.102 of Annex I defining the portfolio shall be reported. This ID shall be a row identifier and shall be unique for each row in the template. The assignment of exposures to portfolio IDs is not exclusive: Exposures or parts of exposures shall be reported under each portfolio IDs that is applicable. 0040Number of obligors The number of obligors shall be reported. It shall be based on obligors that have a strictly positive value reported either in column 0080 or in column 0090. Where a full substitution is applied due to a credit risk mitigation technique, the original obligor shall be added to the Number of obligors of its original portfolio, and the guarantor shall be added to the Number of obligors of the guarantor’s portfolio.

0060PDTemplate C08.01, column 0010 of Annex I to Implementing Regulation (EU) 2021/451The 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 portfolios corresponding to an individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pools, the EAD-weighted average of the PDs assigned to the exposures included in the aggregation shall be provided. The PD shall be expressed as a value between 0 and 1.0061PD without supervisory measures The PD without supervisory measures shall be the PD based on the provisions laid down in Articles 179 and 180 of Regulation (EU) No 575/2013 that includes the MoC added by the institution but excludes measures (multipliers, add-ons, floors or similar measures that directly increase the PD) that have been imposed by the competent authorities. For portfolios corresponding to an individual grade or pool, the PD for that grade that includes the MoC but is net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pools, the EAD-weighted average of the PDs of the respective exposures that include the MoCs but are net of the supervisory measures, shall be provided. The PD without supervisory measures shall be expressed as a value between 0 and 1. In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply. 0062PD without MoC and supervisory measures The PD without MoC and supervisory measures shall be the PD that includes neither MoCadded by the institution in accordance with Article 179(1), point (f), and Article 180(1), point (e), of Regulation (EU) No 575/2013 nor the effect of measures imposed by the competent authorities (multipliers, add-ons, floors or similar measures that directly increase the PD). For portfolios corresponding to an individual grade or pool, the PD for that grade that is net of the MoC and net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pool, the EAD-weighted average of the PDs of the respective exposures that are net of the MoCs and net of supervisory measures, shall be reported. The PD without MoC and supervisory measures shall be expressed as a value between 0 and 1. In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply. 0080Original exposure pre-conversion factorsTemplate C08.01, column 0020 of Annex I to Implementing Regulation (EU) 2021/451The original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported.0090Exposure after CRM substitution effects pre-conversion factorsTemplate C08.01, column 0090 of Annex I to Implementing Regulation (EU) 2021/451The amount to which conversion factors (CCFs) are applied in order to obtain the EAD (column 0110) shall be reported. This shall be done by taking into account credit risk mitigation techniques with substitution effects on the exposure.0100CCFArticle 166(8) of Regulation (EU) No 575/2013

The weighted average of the CCFs shall be reported. The weights used shall be the amounts to which the CCFs are applied to obtain the EAD. For portfolios that include facilities exclusively corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013, the reported weighted average of the CCFs shall be based on all facilities. For portfolios for which none of the included facilities fall under the items referred to in Article 166 of Regulation (EU) No 575/2013, the CCF shall either be left blank or the indication NULL shall be inserted. For portfolios that include facilities corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013 and facilities that do not fall under the items referred to in Article 166(8) of that Regulation, the reported weighted average of the CCF shall be based only on the facilities corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013. In particular, facilities corresponding to items referred to in Article 166(10) of that Regulation shall not be considered in the calculation. Where the institution applies own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, those CCFs shall be used to calculate the weighted average of the CCFs. Where the institution does not apply own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, the regulatory CCFs given in Article 166(8) of Regulation (EU) No 575/2013 shall be used. The CCF shall be expressed as a value between 0 and 1. 0110EADTemplate C08.01, column 0110 of Annex I to Implementing Regulation (EU) 2021/451The exposure value shall be reported.0120Collateral valueTemplate C08.01, columns 0150 to 0210 of Annex I to Implementing Regulation (EU) 2021/451The market value of the collateral shall be reported.0130LGDTemplate C08.01, columns 0230 and 0240 of Annex I to Implementing Regulation (EU) 2021/451 The EAD-weighted average of the LGD values of the exposures in the respective portfolio shall be reported. The LGDs shall be those used for the calculation of the RWA. Specifically, where the institution has obtained permission from its competent authority to use own estimates for LGDs, the LGDs shall be based on the institutions’ own estimates, otherwise the LGDs shall be based on the regulatory LGD values taking into account the applicable risk mitigation. Exposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall be included. The effect of measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013 shall be excluded. The LGD shall be expressed as a value between 0 and 1. 0131LGD without supervisory measures The LGD without supervisory measures shall be the LGD based on the provisions laid down in Articles 179 and 181 of Regulation (EU) No 575/2013 that includes the MoC added by the institution but excludes measures (multipliers, add-ons, floors or similar measures that directly increase the LGD) that have been imposed by the competent authorities.

For portfolios corresponding to an individual grade or pool, the LGD for that grade that includes the MoC but is net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pools, the EAD-weighted average of the LGDs of the respective exposures that include the MoCs but are net of the supervisory measures, shall be provided. The LGD without supervisory measures shall be expressed as a value between 0 and 1. In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply. 0132LGD without MoC and without supervisory measures The LGD without MoC and supervisory measures shall be the LGD that includes neither MoC added by the institution in line with Article 179(1), point (f), and Article 181 of Regulation (EU) No 575/2013 nor the effect of measures imposed by the competent authorities (multipliers, add-ons, floors or similar measures that directly increase the LGD). For portfolios corresponding to an individual grade or pool, the LGD for that grade that is net of the MoC and net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pool, the EAD-weighted average of the LGDs of the respective exposures that are net of the MoCs and net of supervisory measures shall be reported. The LGD without MoC and supervisory measures shall be expressed as a value between 0 and 1. In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply. 0133LGD without MoC, supervisory measures and downturn component, The LGD without MoC, supervisory measures and downturn component shall be the LGD that includes neither the (MoC added by the institution in line with Article 179(1), point (f), and Article 181 of Regulation (EU) No 575/2013 nor the effect of measures imposed by the competent authorities (multipliers, add-ons, floors or similar measures that directly increase the LGD) nor the downturn component as required by Article 181(1), point (b), of that Regulation. For portfolios corresponding to an individual grade or pool, the LGD for that grade that is net of the MoC and net of the supervisory measures and net of the downturn component shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pool, the EAD-weighted average of the LGDs of the respective exposures that are net of the MoCs, net of supervisory measures and net of the downturn component, shall be reported. The LGD without MoC, supervisory measures and downturn component shall be expressed as a value between 0 and 1. In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply. 0140MaturityTemplate C08.01, column 0250 of Annex I to Implementing Regulation (EU) 2021/451 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 RWA. In particular, the maturity shall not be reported for portfolios that represent exposures of the exposure class Retail.

0150Expected Loss amountTemplate C08.01, column 0280 of Annex I to Implementing Regulation (EU) 2021/451The expected loss amount shall be reported.0160Provisions defaulted exposuresTemplate C09.02, columns 0050, 0055 and 0060 of Annex I to Implementing Regulation (EU) 2021/451The provisions for defaulted exposures shall be reported. These shall include all general and specific credit risk adjustments on exposures in default as referred to in Article 110 of Regulation (EU) No 575/2013. (One-off) Credit risk adjustments that an institution applies in connection with the changes in the implementation of the definition of default (DoD) shall be reported as recorded in the institution’s database.0170RWATemplate C08.01, column 0260 of Annex I to Implementing Regulation (EU) 2021/451The RWA after supporting factors (SME and infrastructure supporting factors) shall be reported. The RWA shall not include the effect of potential measures under Article 458 of Regulation (EU) No 575/2013.0180RWA StandardisedPart Three, Title II, Chapter 2 of Regulation (EU) No 575/2013RWA Standardised is the hypothetical RWA amount obtained by applying the standardised approach for credit risk to the exposures instead of the IRB approach. C 103 – Details on exposures in High Default Portfolio For portfolios referred to 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 0130), LGD without supervisory measures (column 0131), LGD without MoC and supervisory measures (column 0132), LGD without MoC, supervisory measures and downturn component (column 0133), Expected Loss Amount (column 0150), RWA (column 0170), Loss rate latest year (column 0210) and Loss rate past 5 years (column 0220). ColumnLabelLegal referenceInstructions0010Portfolio ID The portfolio ID of template C 103, column 0010 of Annex I defining the portfolio shall be reported. This ID shall be a row identifier and shall be unique for each row in the template. The assignment of exposures to portfolio IDs is not exclusive: exposures or parts of exposures shall be reported under each portfolio ID that is applicable. 0040Number of obligorsThe instructions for template C 102, column 0040 of Annex I shall apply.0060PDThe instructions for template C 102, column 0060 of Annex I shall apply.0061PD without supervisory measuresThe instructions for template C 102, column 0061 of Annex I shall apply.0062PD without MoC and supervisory measuresThe instructions for template C 102, column 0062 of Annex I shall apply.0080Original exposure pre conversion factorsThe instructions for template C 102, column 0080 of Annex I shall apply.0090Exposure after CRM substitution effects pre conversion factorsThe instructions for template C 102, column 0090 of Annex I shall apply.0100CCFThe instructions for template C 102, column 0100 of Annex I shall apply.0110EADThe instructions for template C 102, column 0110 of Annex I shall apply.0120Collateral valueThe instructions for template C 102, column 0120 of Annex I shall apply.0130LGDThe instructions for template C 102, column 0130 of Annex I shall apply.

0131LGD without supervisory measuresThe instructions for template C 102, column 0131 of Annex I shall apply.0132LGD without MoC and without supervisory measuresThe instructions for template C 102, column 0132 of Annex I shall apply.0133LGD without MoC, supervisory measures and downturn componentThe instructions for template C 102, column 0133 of Annex I shall apply.0140MaturityThe instructions for template C 102, column 0140 of Annex I shall apply.0150Expected Loss amountThe instructions for template C 102, column 0150 of Annex I shall apply.0160Provisions defaulted exposuresThe instructions for template C 102, column 0160 of Annex I shall apply.0170RWAThe instructions for template C 102, column 0170 of Annex I shall apply.0180RWA StandardisedThe instructions for template C 102, column 0180 of Annex I shall apply.0190Default rate latest year The default rate for the most recent year shall be reported. For that purpose, the default rate shall be defined as the ratio between the following values: (a) the sum of the exposures (original exposure, column 0080, measured at the reference date minus one year) that were non-defaulted exactly one year before the reference date and defaulted between the reference date minus one year and the reference date; (b) the sum of the exposures (original exposure, column 0080, 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; it shall be expressed as a value between 0 and 1. Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used. 0200Default 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 0190 shall apply. The weights to be used are the non-defaulted exposures used in the calculation of the default rate in accordance with column 0190. Where the institution is not required to calculate a default rate for the past five years preceding the reference date under Article 180(1), point (h), or Article 180(2), point (e), of Regulation (EU) No 575/2013, 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; it shall be expressed as a value between 0 and 1. Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used. 0210Loss rate latest year The loss rate observed in the most recent year shall be reported for portfolio IDs relating to non-defaulted and defaulted exposures only. 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. The numerator of the loss rate shall incorporate all the credit risk adjustments and write-offs related to the exposures that defaulted within the year preceding the reference, including the credit risk adjustments applied before the default 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 consider exposures that were in default exactly one year before the reference date. It shall be the sum of (a) credit risk adjustments to these exposures one year before the reference date; and (b) credit risk adjustments and write-offs applied within the year preceding the reference date, divided by the sum of the EAD, measured exactly one year before the reference date of the exposures under consideration. 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 same obligor shall be included only once. The loss rate shall be expressed as a value between 0 and 1. Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used.

0220Loss 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 for portfolio IDs relating to non-defaulted and defaulted exposures only. The definition of loss rate in column 0210 shall apply. The loss rate past five years shall be based on the annual loss rates of the past five years, where these annual loss rates are defined in analogy to the definition of the loss rate of column 0210; in particular, the annual loss rates shall not include additional changes in credit risk adjustments and write offs that have occurred after the observation horizon (calendar year) of each annual loss rate. Where the institution is not required to use data for the past five years preceding the reference date under Article 181(2), last paragraph, of Regulation (EU) No 575/2013, 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. The loss rate shall be expressed as a value between 0 and 1. Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used. 0250RWA- Institutions shall calculate and report RWA- for portfolios that are referred to in Annex I, template 103 with the following portfolio IDs: CORP_ALL_0086_CT____ALL SMEC_ALL_0106_CT___ ALL MORT_ALL_0094_CT__ _ALL SMOT_ALL_0106_CT____ALL RSMS_ALL_0106_CT____ALL RETO_ALL_0094_CT____ALL RQRR_ALL_0094_CT____ALL RWA- shall be the hypothetical RWA, after supporting factors, 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 0005 of template C 08.02 of Annex I to Commission Implementing Regulation (EU) 2021/451 shall be used (For instructions see template C 08.01, column 0010, and template C 08.02 of Annex II to that Regulation). For each obligor grade, p– shall be the smallest positive value satisfying the equation p–+ Φ– 1q•p–•1 – p–n ≥ DR1y where DR1y0, and p–0 where DR1y0. Here, 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 most recent 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 formula set out in the fourth subparagraph for the obligor grade assigned to the obligor. 0260RWA+ Institutions shall calculate and report RWA+ for the portfolios that are referred to in Annex I, template 103 with the following portfolio ID: CORP_ALL_0086_CT____ALL SMEC_ALL_0106_CT____ALL MORT_ALL_0094_CT____ALL SMOT_ALL_0106_CT____ALL RSMS_ALL_0106_CT____ALL RETO_ALL_0094_CT____ALL RQRR_ALL_0094_CT____ALL RWA+ shall be the hypothetical RWA, after supporting factors, 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 0005 of template C 08.02 of Annex I to Commission Implementing Regulation (EU) 2021/451 shall be used (For instructions see template C 08.01, column 0010, and template C 08.02 of Annex II to that Regulation). For each obligor grade, p+ shall be the largest positive value satisfying the equation p+– Φ– 1q•p+•1 – p+n ≤ DR1y 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 most recent 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 formula set out in the fourth subparagraph for the obligor grade assigned to the obligor. 0270RWA-- Institutions shall calculate and report RWA— for the portfolios that are referred to in Annex I, template 103 with the following portfolio Identifier (ID): CORP_ALL_0086_CT____ALL SMEC_ALL_0106_CT____ALL MORT_ALL_0094_CT____ALL SMOT_ALL_0106_CT____ALL RSMS_ALL_0106_CT____ALL RETO_ALL_0094_CT____ALL RQRR_ALL_0094_CT____ALL RWA-- shall be the hypothetical RWA, after supporting factors, 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 0005 of template C 08.02 of Annex I to Commission Implementing Regulation (EU) 2021/451 shall be used (For instructions see template C 08.01, column 0010, and template C 08.02 of Annex II to that Regulation).

For each obligor grade, p– – shall be the smallest positive value satisfying the equation p– –+ Φ– 1q•p– –•1 – p– –n ≥ DR5y where DR5y0, and p–:=0 where DR5y0 Here, 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 formula set out in the fourth subparagraph for the obligor grade assigned to the obligor. 0280RWA++ Institutions shall calculate and report RWA++ for the portfolios that are referred to in Annex I, template 103 with the following portfolio ID: CORP_ALL_0086_CT____ALL SMEC_ALL_0106_CT____ALL MORT_ALL_0094_CT____ALL SMOT_ALL_0106_CT____ALL RSMS_ALL_0106_CT____ALL RETO_ALL_0094_CT____ALL RQRR_ALL_0094_CT____ALL RWA++ shall be the hypothetical RWA, after supporting factors, 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 0005 of template C 08.02 of Annex I to Commission Implementing Regulation (EU) 2021/451 shall be used (For instructions see template C 08.01, column 0010, and template C 08.02 of Annex II to that Regulation). For each obligor grade, p+ + shall be the largest positive value satisfying the equation p+ +– Φ– 1q•p+ +•1 – p+ +n ≤ DR5y where, 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 formula set out in the fourth subparagraph for the obligor grade assigned to the obligor. C 105.01 – Definition of internal models ColumnLabelLegal referenceInstructions0010Internal model IDThe institution shall report the internal model ID assigned by the competent authority. In case this is unavailable, the institution shall report the internal model ID assigned by itself. The internal model ID shall uniquely refer to an internal model approved by the competent authority and used for the calculation of RWA. It shall be a row identifier and shall be unique for each row in the template.0020Model nameThe model name assigned to the internal model by the reporting institution shall be reported.0030IRBA Risk parameter

The IRB approach risk parameter shall be one of the following: (a) PD; (b) LGD; (c) CCF. For an internal model for Corporate – Specialised Lending exposures under Article 153(5) of Regulation (EU) No 575/2013 (Specialised lending slotting criteria), the field shall be left blank or NULL shall be inserted. 0040EADTemplate C08.01, column 0110 of Annex I to Implementing Regulation (EU) 2021/451The aggregate exposure value of the exposures within the range of application of the rating model shall be reported.0050EAD weighted average default rate for calibrationThe 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. The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported.0060Case weighted average default rate for calibration The simple average of the annual case-weighted default rates used in the calibration of the PD models shall be reported. This information shall be completed only for PD models. The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported. 0070Long-run PDThe 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.0080Cure rate defaulted asset The cure rate defaulted asset shall be the percentage of defaulted outstanding that returns in non-defaulted status over a 12-month 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. That information shall be completed only for LGD models. 0090Recovery rate not cured foreclosed assets 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. The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported. An institution that does not have a specific recovery rate for non-cured defaults due to an incomplete recovery procedure, shall calculate a proxy taking into account observed recoveries as well as the estimations of recoveries for incomplete workout . The institution shall report the use of a proxy to the competent authority. That information shall be completed only for LGD models. 0100Recovery period length not cured foreclosed assets 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. The case weighted average length shall be expressed in number of days.

The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported. 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. That information shall be completed only for LGD models. 0110Joint decisionArticle 20(2), point (a); of Regulation (EU) No 575/2013The institution shall report whether or not a joint decision on prudential requirements exists between the consolidating and the 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.0120Consolidating supervisorArticle 20 of Regulation (EU) No 575/2013The country ISO code of the country of origin of the competent authority responsible for the consolidated supervision of the institution using an IRB approach shall be reported.0130RWATemplate C08.01, Column 0260 of Annex I to Implementing Regulation (EU) 2021/451The aggregate RWA after supporting factors (SME and infrastructure supporting factors) of the exposures within the range of application of the rating model shall be reported. 0140RWA add-ons The RWA add-ons shall be a sub-position (of which) of the RWA (Template C105.01, column 0130) and shall include (a) the RWA that is added to the RWA resulting from the application of the model’s risk parameter(s) due to additional internal measures of conservatism directly applied on the RWA, if any; (b) the RWA that is added to the RWA resulting from the application of the model’s risk parameter(s) due to supervisory measures directly applied on the RWA, if any. The amounts under points (a) and (b) shall not include measures that are already reflected in the PD (templates C102, column 0060 and C103, column 0060 of), CCF (column 0100 of templates C102 and C103) or LGD (templates C102 and C103, column 0130), but shall be restricted to measures that are directly applied on the RWA and, if relevant, in addition to the margins of conservatism and supervisory measures (multipliers, add-ons, floors or similar measures) that increase the risk parameters. The RWA add-ons shall not include the effect of potential measures under Article 458 of Regulation (EU) No 575/2013. In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply. C 105.02 – Mapping of internal models to portfolios ColumnLabelLegal referenceInstructions0010Portfolio IDTemplates C102, column 0010 and C103, column 0010 The portfolio ID uniquely identifying the portfolio in accordance with templates C102 and C103 of Annex I shall be reported. Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in this template.

0020Internal model IDTemplate C 105.01, column 0010 The internal model ID assigned by the reporting institution shall be reported. Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in template C105.02. 0030EADTemplate C08.01, column 0110 of Annex I to Implementing Regulation (EU) 2021/451The aggregate exposure value of the exposures that are included in the portfolio defined by column 0010 and within the range of application of the rating model defined by column 0020 shall be reported. Where all exposures 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 0110 of templates C 102 or C 103, as applicable.0040RWATemplate C08.01, column 0260 of Annex I to Implementing Regulation (EU) 2021/451The aggregate RWA after supporting factors for the exposures that are included in the portfolio defined by column 0010 and within the range of application of the rating model defined by column 0020 shall be reported. Where all exposures of a given portfolio are treated with one specific model, the RWA shall be identical to the amount reported for the same portfolio in column 0170 of templates C 102 or C 103, as applicable. C 105.03 – Mapping of internal models to countries ColumnLabelLegal referenceInstructions0005Row IDThis code shall be a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.0010Internal model IDTemplate C105.01, column 0010The 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 0010 and 0020 are a composite row identifier and their combination shall be unique for each row in the table.0020Location of institutionArticle 20 of Regulation (EU) No 575/2013The 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

ANNEX II

Annex

ANNEX V MARKET RISK BENCHMARK INSTRUMENTS AND PORTFOLIOS Section 1: Instructions Section 2: Instruments Section 3: Individual portfolios – Single instrument Section 4: Individual portfolios – Multi instruments Section 5: Aggregated Portfolios Section 6: Additional specifications for instruments Section 7: SBM validation portfolios Section 1: Instructions (a) For the purposes of this Annex, the following shall apply: (i) Booking date means the date and time on which institutions book the transactions for the purposes of the benchmarking exercise; (ii) Initial Market Valuation (IMV) means the marked-to-market value of the instruments referred to in Section 2 of this Annex, at the IMV reference date and time; (iii) IMV reference date means the date and time with reference to which institutions shall determine the IMV of the transactions in the benchmarking portfolio;

(iv) IMV remittance date means the date by which institutions shall submit the results of the IMV of the transactions in the benchmarking portfolio; (v) VaR means the Value at Risk; (vi) sVaR means the Stressed Value at Risk; (vii) IRC means the Incremental Risk Charge; (viii) CTP means the Correlation Trading Portfolio; (ix) APR means the All Price Risk calculated in accordance with Article 377(2) of Regulation (EU) No 575/2013; (x) Risk Measures (RM) means the value of the VaR, sVaR, and when required IRC and APR for the portfolios, as set out in Sections 3, 4 and 5 of this Annex, between the RM initial and RM final reference date; (xi) RM initial reference date means the date on which institutions shall start to compute the RM values; (xii) RM final reference date means the date on which institutions shall finish to compute the RM values; (xiii) RM remittance date means the date by which institutions shall submit the results of the RM of the transactions in the benchmarking portfolio; (xiv) Present Value (PV) means the marked-to-market value of the portfolios, set out in Section 3 of this Annex, at the RM final reference date; (xv) ATM means At The Money in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative; (xvi) OTM means Out of The Money in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative; (xvii) ITM means In The Money in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative; (xviii) long means bought and short means sold; (xix) CDS means Credit Default Swaps; (xx) for CDS, long means bought protection and short means sold protection; (xxi) MLN means millions; (xxii) OTC means Over-The-Counter; (xxiii) ASA means the alternative standardised approach as referred to in Part Three, Title IV, Chapter 1a, Section 1 of Regulation (EU) No 575/2013; (xxiv) SBM means the Sensitivities-Based Method as referred to in Part Three, Title IV, Chapter 1a, Section 2 of Regulation (EU) No 575/2013; (xxv) DRC means the Default Risk requirement as referred to in Part Three, Title IV, Chapter 1a, Section 5 of Regulation (EU) No 575/2013; (xxvi) RRAO means the Residual Risk Add-On as referred to in Part Three, Title IV, Chapter 1a, Section 4 of Regulation (EU) No 575/2013. (b) The following dates shall apply for the benchmarking exercise: (i) the booking date shall be 30 January 2025; (ii) the IMV (and initial SBM) reference date shall be 6 February 2025 (at 5:30 pm CET); (iii) the IMV (and initial SBM, and SBM validation) remittance date shall be 28 February 2025; (iv) the RM initial reference date shall be 2 June 2025; (v) the RM (and final ASA) final reference date shall be 13 June 2025; (vi) the RM (and final ASA) remittance date shall be 18 July 2025. (c) Unless explicitly specified otherwise in Section 2 of this Annex, all positions shall be booked on the booking date referred to in point (b)(i) of this Section. Once positions have been booked, each portfolio shall age for the duration of the benchmarking exercise and shall be calculated under the assumption that the institution does not take any action to manage the portfolio in any way during the entire period of the benchmarking exercise. Unless explicitly stated otherwise in the specifications for a particular instrument, strike prices for option positions shall be determined relative to prices for the underlying as observed at market close on the booking date.

(d) For the purposes of the initial market valuation, the valuation of each instrument shall be submitted to the institution’s competent authority by the IMV remittance date. By that date, the institution shall submit an explanatory note accompanying the results, in accordance with point (e). IMV shall be provided in accordance with the institution’s front office valuation, where possible. In case IMVs are not provided by the institution’s front office, the institution shall specify in the explanatory note who is the IMV data source provider. (e) The explanatory note that institutions are to submit together with the IMV shall include all of the following for each instrument: (i) the risk factors used to calculate the instrument’s IMV; (ii) the pricing model used to calculate the instrument’s IMV and a description of this pricing model; (iii) the risk factors included in the VaR model for the instrument; (iv) the risk factors included in the VaR model that are also valuation inputs for the IMV of the instrument; (v) the VaR model specifics in relation to the instrument; (vi) available reference data for the instrument in the institution’s own format; (vii) the aspects referred to in points (h), (i), (k), (m), (n), (o), (v), (w), (y), (gg) and (kk) of this Section. (f) For the purposes of point (e), sub point (v), all of the following shall be reported: (i) concise VaR model descriptions; (ii) revaluation methods applied; (iii) functional form applied for modelling of returns (such as absolute, relatives, other methods; (iv) qualitative information on the time series used to calibrate the VaR model in relation to the instrument (such as source, methodology for normalisation, buckets applied, other information deemed relevant by the institutions to explain the results provided). (g) The explanatory note referred to in point (d) shall be updated with each resubmission of any value, reflecting the changes between submissions. The explanatory note shall contain one section which lists all submission dates and the reasons for resubmissions. (h) 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. Collateral agreement shall be considered in place for the derivatives instruments referred to in Section 2 of this Annex. Where that is not possible, reasons shall be provided in the explanatory note referred to in point (d). (i) Counterparty credit risk and credit valuation adjustment (CVA) risk shall not be taken into account in the valuation of the risks of the portfolios. Where that is not possible, reasons shall be provided in the explanatory note referred to in point (d) of this Section. Institutions shall report cases where other typologies of Valuation Adjustments are included in the IMV and explain for each financial instrument the methodology and the impact in the explanatory note referred to in point (d) of this Section.

(j) For transactions that include long positions in CDS, institutions shall assume an immediate up-front fee is paid to enter the position as per the market standards and conventions. The maturity date for all CDS shall correspond to conventional quarterly termination dates. (k) Additional specifications needed in order to carry out pricing calculations required for CDS positions shall be consistent with commonly used market standards and conventions and shall be explained in the explanatory note referred to in point (d) of this Section. (l) The maturity date shall ensure that the transaction is closest to the term-to-maturity specified in accordance with market standards and conventions. (m) With respect to the details of instruments not referred to in Section 2 of this Annex, institutions shall provide the assumptions that have been used, including the day count convention and the choice for a tradable and liquid instrument, where permitted, along with the results in the explanatory note referred to in point (d) of this Section. (n) Institutions that believe that assumptions in addition to those specified in this Section are relevant to the interpretation of the results of its exercise, including close of business timing, coupon rolls, mapping against indices and others, shall submit a description of those assumptions in the explanatory note referred to in point (d) of this Section. (o) The explanatory note referred to in point (d) of this Section shall include explanations for risks not captured by the model for the instruments referred to in Section 2 of this Annex. (p) All options shall be treated as if they are traded OTC, unless explicitly specified otherwise. (q) The standard timing conventions for OTC options shall be followed. The time to maturity for an n-month option shall be in n months. Where options expire on a non-trading day, institutions shall adjust the expiration date per business date, in accordance with market standards and conventions. (r) All OTC options shall be treated as follows: (i) as American for single name equities and commodities; (ii) as European for equity indices, foreign exchange and swaptions. (s) All OTC options shall be considered naked so that the premium shall be excluded from the initial market valuation. (t) Regarding the CTPs, institutions that have permission to use the APR model for CTPs shall provide details about their most relevant assumptions, market standards and conventions regarding the CTP instruments referred to in Section 2 of this Annex, including the hedge ratios they have calculated to make the CTP instruments CS01 neutral at the booking date. (u) The IMV for each instrument shall be provided in the EBA instrument currency specified in Section 2 of this Annex for that instrument. (v) For portfolios composed of one or more instruments denominated in EBA instrument currencies that are different from the EBA portfolio currency, the result shall be converted into the reported EBA portfolio currency using the ECB spot exchange rate of the relevant date. The converted result shall be explained in the explanatory note referred to in point (d) of this Section.

(w) When booking positions, institutions shall follow appropriate market conventions, unless otherwise specified in these instructions in the Instruments descriptions (Section 2 of this Annex). (x) Where an instrument, or the underlying instrument for a derivative, is subject to a corporate action that affects the benchmarking exercise, such as a call from the issuer, a default or similar actions, institutions shall exclude such instrument from the exercise together with any related CDS or option. (y) With regard to an index series, on-the-run shall refer to the most liquid and tradable series of that index available in the market. Institutions shall explain their choice of on-the-run series along with the related results in the accompanying explanatory note referred to in point (d) of this Section. (z) Where not specified otherwise, institutions shall apply the EU Benchmarks Regulation for the interest rate in order to book the instruments specified in Section 2 of this Annex. Institutions shall specify the rate applied, apart from the ones specified in Section 2 of this Annex, in the explanatory note referred to in point (d) of these instructions. (aa) Risk measures for the portfolios referred to in Sections 3, 4 and 5, together with the Present Value, shall be computed from the RM initial reference date to the RM final reference date. FRTB ASA Risk measures (SBM, DRC and RRAO) shall be computed for the RM final reference date. Institutions shall submit the results of those calculations to their competent authority by RM remittance date. IMV and SBM shall be reported for each instrument. Risk measures, SBM, DRC, RRAO and Present Value, where applicable, shall be reported for each portfolio, both individual and aggregated. SBM, DRC and RRAO, where applicable, shall be reported at least for the same portfolios for which risk measures are reported. (bb) For the portfolios referred to in Section 7, institutions shall report SBM results and submit them in line with the reporting dates of the IMV submission. (cc) Only institutions which have been granted permission to model specific risk of debt instruments shall report credit spread portfolios. For interest rate portfolios which include risk as part of certain instruments, individual and aggregated portfolios shall be modelled by institutions which have been granted the permission to model the general interest risk as well as institutions which have been granted the permission to model the general and the specific interest risk. (dd) The results for both individual and the aggregated portfolios shall be submitted only where the results of the instruments that are part of them are also being submitted. (ee) In Section 2 of this Annex (Instruments), Year T shall mean 2025 and Year T + X shall mean 2025 + X, with X as specified in Section 2. (ff) In Section 2 of this Annex (Instruments), institutions shall determine the day of expiry/maturity in accordance with the following instructions: (i) Where the date is specified, that specific date shall be used;

(ii) Where no date is specified, market convention, where available, shall be used. If for example there is a market convention that the day of expiry/maturity is the 3rd Friday of the month, then June Year T shall mean the 3rd Friday of the month of the year T; (iii) At the end of the month, where it is specified End of, it shall mean the last calendar day in the month; (iv) For a fix period of time following the booking date, if the period is defined as a number of days, it is the last day of the period. If the period is defined in weeks, months or years, it is the same day of the following week, month or year with respect to the booking date, or, if the last month or year of the period is shorter, the last day of that month or year; if the booking date + x period is a holiday day, then select the following working day; (v) In case it is not specified otherwise the following assumptions shall be used: Day count convention: Act/360, Holiday calendar: Target2. (gg) In Section 2 of this Annex (Instruments), for all CDS, unless explicitly specified otherwise, the following requirements shall apply: (i) Coupon frequency: Quarterly; (ii) Coupon(bps): 100; (iii) Day count: ACT/360; (iv) ISDA Definitions year: 2014; (v) Restructuring clause: Modified-Modified Restructuring (MMR); (vi) Maturity: December Year T+4; (vii) Debt type: Senior; (viii) Tenor: 5 Year; (ix) Effective date as booking date; (x) The used discount curve and recovery rate shall be indicated in the explanatory note referred to in point (d) of this Annex. (hh) The IMV of bond instruments shall include accrued interest. (ii) Institutions shall provide the information related to the time of valuation of the PV mentioning the time in the explanatory note referred to in point (d) of this Section. Where possible, valuation of the PV shall be computed at close of business day. (jj) The risk measures of the portfolios shall be calculated in the same currency of the portfolio currency, not including any FX Risk, also related to the reporting currency of the institutions. The FX Risk shall be considered only when intrinsically included in the instruments. Where both reporting and portfolio currency results are reported as part of the exercise, for the ASA figures, results calculated in the reporting currency of the institution shall be translated into the EBA portfolio currency by spot conversion using the ECB spot exchange rate associated with the date of the calculation. The translation into the EBA portfolio currency does not imply a change in the FX risk factors. (kk) Where Article 325q(7) of Regulation (EU) No 575/2013 (base currency approach) applies, when performing SBM calculations and reporting SBM sensitivities, institutions shall consider the FX risk factors resulting from the application of the base currency approach. The reported values shall not be expressed in the chosen base currency but rather in the institutions’ reporting currency by applying spot conversion using the ECB spot exchange rate associated with relevant date.

Section 2: Instruments Institutions shall provide IMV, in accordance with the instructions laid down in Section 1 of this Annex, for the following financial instruments, where Institutions shall provide risk measures and the Present Value of the portfolios specified in Section 3 and Section 4: EQUITY 101. Long EURO STOXX 50 index (Ticker: FESX) Futures. Notional: equivalent to the value of the index times 1000 EUR Exchange: Eurex Expiry date: June Year T EBA instrument currency: EUR 102. Long 10000 BAYER (Ticker: BAYN GR) shares. Exchange: Xetra EBA instrument currency: EUR 103. Short Futures BAYER (Ticker: BAYN GR). Notional: equivalent to the value of 10000 shares of the underlying asset Exchange: Eurex Expiry date: June Year T EBA instrument currency: EUR 104. Short Futures, STELLANTIS (Ticker: STLA FP). Notional: equivalent to the value of 10000 shares of the underlying asset Exchange: Euronext Expiry date: June Year T EBA instrument currency: EUR 105. Short Futures, ALLIANZ (Ticker: ALV GR). Notional: equivalent to the value of 10000 shares of the underlying asset Exchange: Eurex Expiry date: June Year T EBA instrument currency: EUR 106. Short Futures BARCLAYS (Ticker: BARC LN). Notional: equivalent to the value of 10000 shares of the underlying asset Exchange: Eurex Expiry date: June Year T EBA instrument currency: GBP 107. Short Futures DEUTSCHE BANK (Ticker: DBK GR). Notional: equivalent to the value of 10000 shares of the underlying asset Exchange: Eurex Expiry date: June Year T EBA instrument currency: EUR 108. Short Futures CRÉDIT AGRICOLE (Ticker: ACA FP). Notional: equivalent to the value of 10000 shares of the underlying asset Exchange: Euronext Expiry date: June Year T EBA instrument currency: EUR 109. Long Call Options. Underlying BAYER (Ticker: BAYN GR), ATM (1 contract = 100 shares). Notional: equivalent to the value of 10000 shares of the underlying asset Expiry date: June Year T EBA instrument currency: EUR 110. Short Call Options. Underlying BAYER (Ticker: BAYN GR), ATM (1 contract = 100 shares). Notional: equivalent to the value of 10000 shares of the underlying asset Expiry date: December Year T EBA instrument currency: EUR 111. Long Call Options. Underlying PFIZER (Ticker PFE US) 10% OTM, (1 contract = 100 shares). Notional: equivalent to the value of 10000 shares of the underlying asset Expiry date: June Year T EBA instrument currency: USD 112. Long Put Options. Underlying PFIZER (Ticker PFE US) 10% OTM, (1 contract = 100 shares). Notional: equivalent to value of 10000 shares of the underlying asset Expiry date: June Year T EBA instrument currency: USD 113. Long Call Options. Underlying BAYER (Ticker: BAYN GR), 10% OTM (1 contract = 100 shares). Notional: equivalent to the value of 10000 shares of the underlying asset Expiry date: December Year T EBA instrument currency: EUR 114. Short Call Options. Underlying BAYER (Ticker: BAYN GR), 10% OTM (1 contract = 100 shares). Notional: equivalent to the value of 10000 shares of the underlying asset

Expiry date: June Year T EBA instrument currency: EUR 115. Long Call Options. Underlying AVIVA (Ticker: AV/LN), 10% OTM (1 contract = 100 shares). Notional: equivalent to the value of 10000 shares of the underlying asset Expiry date: December Year T EBA instrument currency: GBP 116. Long Put Options. Underlying AVIVA (Ticker: AV/LN), 10% OTM (1 contract = 100 shares). Notional: equivalent to the value of 10000 shares of the underlying asset Expiry date: December Year T EBA instrument currency: GBP 117. Short Futures NIKKEI 225 (Ticker NKY). Notional: equivalent to the value of the index times 20000 JPY Exchange: CME Expiry date: June Year T EBA instrument currency: JPY 118. Auto-callable Equity product. Long position Booking on Booking date Notional amount (Capital): EUR 1000000 Underlying: Index EURO STOXX 50 (Ticker: SX5E) EBA instrument currency: EUR Maturity: 5 years Annual Pay-out and annual observation (Booking date + 1 year, Booking date + 2 years, Booking date + 3 years, Booking date + 4 years, Booking date + 5 years). Pay-out occurs 10 days after reference date. Coupon: 6% Autocall level (Initial value): End of day Booking date + 1 month Barrier coupon payment 60% of autocall level Protection barrier: 55% of autocall level Capital not guaranteed if the index is below the protection barrier (capital returned on year 5 will be pro-rata where the level is below the protection barrier: for instance, if the SX5E = 40% of its initial level then the capital returned is 40%); If SX5E ≥ 60% (barrier coupon) of initial value at the end of any year, then the coupon paid out is 6%; If SX5E ≥ 100% of initial value at the end of any year, then the product is called and the pay-out is the coupon plus the capital (100%); If SX5E < 60% (barrier coupon) of initial value at the end of any year, then no coupon is paid; If SX5E < 55% (protection barrier) of initial value at the end of year 5, then the capital is only paid pro-rata. Else if SX5E>= 55% (protection barrier) of initial value at the end of year 5, then the capital is fully paid. 119. Long Call Options. Underlying EURO STOXX 50 index (Ticker: SX5E), ATM. Notional: equivalent to the value of the index times 1000 EUR Expiry date: June Year T EBA instrument currency: EUR 120. Long Call Options. Underlying EURO STOXX 600 index (Ticker: SXXP), ATM. Notional: equivalent to the value of the index times 10000 EUR Expiry date: June Year T EBA instrument currency: EUR 121. Long Call Options. Underlying VIX (CBOE), ATM. Notional: equivalent to the value of the index times 100000 USD Expiry date: June Year T EBA instrument currency: USD IR 201. 5-year IRS EUR – Receive fixed rate and pay floating rate. Fixed leg: receive annually Floating rate: 6-month EURIBOR, pay semi-annually. Daycount: ACT/360 Notional: EUR 10000000 Roll convention and calendar: standard Effective date as booking date (i.e. the rates to be used shall be those at the market close as of the booking date) Maturity: September Year T+4. EBA instrument currency: EUR

1. Two-year EUR swaption on 5-year IRS EUR – pay fixed rate and receive floating rate. Notional: EUR 10000000. 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, the counterparty shall receive the fixed rate while the institution shall receive the floating rate. Swaption with maturity of two years (Booking date + 2 years) on IRS defined as follow: Fixed leg - pay annually; Floating rate: 6-month EURIBOR, receive semi-annually; Notional: EUR 10000000; Roll convention and calendar: standard; Effective date of the underlying swap: Booking date + 2 years. Maturity of the underlying swap: Booking date + 7 years Premium paid at the booking date (Booking date). Cash settled The strike price is based on the ATM rate of the forward starting swap defined in this instrument EBA instrument currency: EUR
2. 5-year IRS USD. Receive fixed rate and pay floating rate. Fixed rate: receive annually Floating rate: 3-month USD SOFR rate, pay quarterly Notional: USD 1000000 Roll convention and calendar: standard Effective date as booking date (i.e. the rates to be used shall be those at the market close as of the booking date) Maturity date: September Year T+4. EBA instrument currency: USD
3. 2-year IRS GBP. Receive fixed rate and pay floating rate. Fixed rate: receive annually Floating rate: SONIA (overnight) rate compounded and paid quarterly. Daycount: ACT/365 Notional: GBP 10000000 Roll convention and calendar: standard Effective date as booking date (i.e. the rates to be used shall be those at the market close as of the booking date) Maturity: Booking date + 2 years EBA instrument currency GBP
4. Collared 10y floating rate note sold by UBS. Notional (Principal) Amount: USD 1000000. Floating Rate Notes (the Notes) are senior unsecured obligations of UBS AG (UBS). EBA instrument currency USD The Notes shall bear interest at a per annum rate equal to USD 3-Month SOFR plus 1.5% per annum (the Floating Interest Rate), subject to a maximum interest rate of 7.5% per annum (the Interest Rate Cap) and a minimum interest rate of 2.5% per annum (the Interest Rate Floor). Any payment on the Notes, including interest and principal at maturity, shall be subject to the creditworthiness of UBS AG. Institutions are asked to use an appropriate discounting curve, motivating that in the explanatory note. Income: The Notes will pay interest quarterly at a rate equal to the Floating Interest Rate, provided that if on any Coupon Determination Date (i) the Floating Interest Rate is less than the Interest Rate Floor, then the applicable interest rate for the related Interest Period will be equal to the Interest Rate Floor; or (ii) the Floating Interest Rate is greater than the Interest Rate Cap, then the applicable interest rate for the related Interest Period will be equal to the Interest Rate Cap. Interest Payment AmountThe amount of interest to be paid on the Notes for an Interest Period shall be 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 DateBooking dateInterest Payment DatesQuarterly, on the Booking date + 3 months, Booking date + 6 months, Booking date + 9 months and Booking date + 1 year, commencing on Booking date + 3 months, during the term of the Notes (subject to adjustments, as described herein).

Maturity Date Currency Booking date + 10 years USD Day count Basis30/360Business Day ConventionFollowing 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 U.S. dollars are transacted in the London interbank market. 206. Long GERMANY GOVT (Inflation) EUR 1000000 (ISIN DE0001030583). Maturity: 15 April 2033 EBA instrument currency: EUR 207. Short GERMANY GOVT EUR 1000000 (ISIN DE0001030708). Maturity: 15 August 2030 EBA instrument currency: EUR 208. Long ITALY GOVT (Inflation) EUR 1000000 (ISIN IT0005138828). Maturity: 15 September 2032 EBA instrument currency: EUR 209. Long ITALY GOVT EUR 1000000 (ISIN IT0005340929). Maturity: 1 December 2028 EBA instrument currency: EUR 210. Long SPAIN GOVT EUR 1000000 (ISIN ES00000127A2). Maturity: 30 July 2030 EBA instrument currency: EUR 211. Short FRANCE GOVT EUR 1000000 (ISIN FR0012993103). Maturity: 25 May 2031 EBA instrument currency: EUR 212. Short GERMANY GOVT EUR 1000000 (ISIN DE0001135176). Maturity: 4 January 2031 EBA instrument currency: EUR 213. Long UNITED KINGDOM GOVT GBP 1000000 (ISIN GB0004893086). Maturity: 7 June 2032 EBA instrument currency: GBP 214. Long PORTUGAL GOVT EUR 1000000 (ISIN PTOTEXOE0024). Maturity: 15 June 2029 EBA instrument currency: EUR 215. Short UNITED STATES GOVT USD 1000000 (ISIN US91282CAV37). Maturity: 15 November 2030 EBA instrument currency USD 216. Long BRAZIL GOVT (callable) 1000000 USD (ISIN US105756BZ27). Maturity: 13 January 2028 EBA instrument currency: USD 217. Long MEXICO GOVT (callable) 1000000 USD (ISIN US91087BAT70). Maturity: 19 May 2033 EBA instrument currency USD 218. 10-year IRS EURO – Receive floating rate and pay fixed rate. Fixed leg: pay annually Floating rate: 3-month EURIBOR, receive quarterly. Daycount: ACT/360 Notional: EUR 10000000 Roll convention and calendar: standard Effective date as the booking date (i.e. rates to be used are those at the market close on booking date) Maturity: Booking date + 10 years EBA instrument currency: EUR 219. 5-year IRS EURO – Receive floating rate and pay fixed rate. Fixed leg: pay annually Floating rate: 6-month EURIBOR, receive every 6 months. Daycount: ACT/360 Notional: EUR 10000000 Roll convention and calendar: standard Effective date as the booking date (i.e. rates to be used are those at the market close on booking date) Maturity: Booking date + 5 years EBA instrument currency: EUR 220. 5-year Mark to Market (MtM) Cross Currency EUR/USD SWAP. Receive USD and pay EUR. EUR: 3-month ESTER, pay quarterly compounded with a payment lag of 2 days. Daycount: ACT/360 USD: 3-month SOFR, receive quarterly compounded with a payment lag of 2 days. Daycount: ACT/360 Leg 1 – USD: Notional EUR 10000000 equivalent adjusted on a quarterly basis

Leg 2 – EUR: Notional EUR 10000000 Roll convention and calendar: standard Effective date as booking date + 6 months Maturity: Booking date + 5.5 years EBA instrument currency: EUR See also Section 6 of this Annex – Instrument additional specifications 221. 10-year IRS EURO – Receive ESTER and pay EURIBOR. ESTER leg: receive annually. Daycount: ACT/360 EURIBOR leg: 3-month EURIBOR + Basis, pay quarterly. Daycount: ACT/360 Notional: EUR 10000000 Roll convention and calendar: standard Effective date as booking date (i.e. the rates to be used shall be those at the market close as of the booking date) Maturity: September Year T + 9 years EBA instrument currency: EUR 222. Long ITALY GOVT (Inflation) EUR 1000000 (ISIN IT0005387052). Maturity: 15 May 2030 EBA instrument currency: EUR 223. 5-year Zero Coupon Inflation swap EUR – Receive Inflation indexed return and pay fixed rate (r). Inflation Index: CPI (HICPxT) Fixed leg (Pay fixed): 1 + r5– 1 Rec Inflation indexed return:CPI at the end maturity dateCPI at the start date – 1 Notional: EUR 10000000 Base fixing date: June Year T-1 Final Fixing: August Year T+4 Maturity: September Year T+4 EBA instrument currency: EUR 224. Two-year EUR swaption on 5-year IRS EUR – receive fixed rate and pay floating rate. Notional: EUR 10000000. 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, the counterparty shall receive the floating rate while the institution shall receive the fixed rate. Swaption with maturity of two years (Booking date + 2 years) on IRS defined as follow: Fixed leg- receive annually; Floating rate: 6-month EURIBOR, pay every 6 months; Notional: EUR 10000000; Roll convention and calendar: standard; Effective date of the underlying swap: Booking date + 2 years. Maturity of the underlying swap: Booking date + 7 years Premium paid at the booking date (Booking date). Cash settled The strike price is based on the ATM rate of the forward starting swap defined in this instrument+ 100 bps EBA instrument currency: EUR FX 301. 6-month USD/EUR forward contract. Cash settled. Long USD – Short EUR; Notional USD 10000000; Forward Strike: equal to 100% of the relevant ECB spot reference rate at the end of the booking date. EBA instrument currency: EUR 302. 6-month EUR/GBP forward contract. Cash settled. Long EUR – Short GBP; Notional 10000000 GBP; Forward Strike: equal to 100% of the relevant ECB spot reference rate at the end of the booking date. EBA instrument currency: EUR 303. Long 10000000 USD Cash. Cash position. To be considered as having intrinsic FX risk as described in paragraph (kk) EBA instrument currency: EUR 304. Long EUR/USD Call option (long EUR, short USD). Cash settled. Notional: EUR 10000000. 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 the booking date Expiry date: Booking date + 1 year

EBA instrument currency: EUR 305. Long EUR/USD Call Option (long EUR, short USD). Cash settled. Notional: EUR 10000000. 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 the booking date Expiry date: Booking date + 1 year EBA instrument currency: EUR 306. Short EUR/USD Call Option (short EUR, long USD). Cash settled. Notional: EUR 10000000. Equivalent amount based on EUR/USD ECB reference spot rate as of end of the booking date. Strike price: 100% of EUR/USD ECB reference rate as of end of the booking date Expiry date: Booking date + 1 year EBA instrument currency: EUR 307. Short EUR/GBP Call Option (short EUR, long GBP). Cash settled. Notional: EUR 10000000. Equivalent amount based on EUR/GBP ECB reference spot rate as of end of the booking date. Strike price: 110% of EUR/GBP ECB reference rate as of end of the booking date Expiry date: Booking date + 1 year EBA instrument currency: EUR 308. Long EUR/JPY Put Option (short EUR, long JPY). Cash settled. Notional: EUR 10000000. Equivalent amount based on EUR/JPY ECB reference spot rate as of end of the booking date. Strike price: 110% of EUR/JPY ECB reference rate as of end of the booking date Expiry date: Booking date + 1 year EBA instrument currency: EUR 309. Short EUR/AUD Put Option (long EUR, short AUD). Cash settled. Notional: EUR 10000000. Equivalent amount based on EUR/AUD ECB reference spot rate as of end of the booking date. Strike price: 110% of EUR/AUD ECB reference rate as of end of the booking date Expiry date: Booking date + 1 year EBA instrument currency: EUR 310. 6-month EUR/DKK forward contract (long EUR, short DKK). Cash settled; Notional EUR 10000000; EUR/DKK ECB reference spot rate as of end of the booking date to determine forward rate. EBA instrument currency: EUR 311. 6-month EUR/BRL Non deliverable forward contract (long EUR, short BRL); Notional EUR 10000000; EUR/BRL ECB reference spot rate as of end of the booking date to determine forward rate. EBA instrument currency: EUR COMMODITIES 401. Long 6-month 3500 troy ounces London Gold Forward (long Gold, short USD). Cash Settled. Strike Price: 6-month end-of-day forward price on the booking date EBA instrument currency: USD 402. Short 12-month 3500 troy ounces London Gold Forward (short Gold, long USD). Cash Settled. Strike Price: 12-month end-of-day forward price on the booking date EBA instrument currency: USD 403. Long Call option 30000 barrels Brent Crude Oil (long WTI, short USD). Cash settled. Strike price: 12- month end-of-day forward price on the booking date. Expiry date: Booking date + 6 months EBA instrument currency USD 404. Short Put option 30000 barrels Brent Crude Oil (long WTI, short USD). Cash settled. Strike price: 12- month end-of-day forward price on the booking date. Expiry date: Booking date + 6 months EBA instrument currency USD 405. Long Call option 5000 troy ounces London Gold (long Gold, short USD). Cash settled. Strike price: 18- month end-of-day forward price on the booking date. Expiry date: Booking date + 18 months

EBA instrument currency: USD CREDIT SPREAD 501. Long (i.e. Buy protection) USD 1000000 CDS on PORTUGAL. Restructuring clause: FULL EBA instrument currency: USD 502. Long (i.e. Buy protection) USD 1000000 CDS on ITALY. Restructuring clause: FULL EBA instrument currency: USD 503. Short (i.e. Sell protection) USD 1000000 CDS on SPAIN. Restructuring clause: FULL EBA instrument currency: USD 504. Long (i.e. Buy protection) USD 1000000 CDS on MEXICO. Restructuring clause: FULL EBA instrument currency: USD 505. Long (i.e. Buy protection) USD 1000000 CDS on BRAZIL. Restructuring clause: FULL EBA instrument currency: USD 506. Long (i.e. Buy protection) USD 1000000 CDS on UK. Restructuring clause: FULL EBA instrument currency: USD 507. Short (i.e. Sell protection) EUR 1000000 CDS on Telefonica (Ticker TEF SM). EBA instrument currency: EUR 508. Long (i.e. Buy protection) EUR 1000000 CDS on Telefonica (Ticker TEF SM). Maturity: December Year T+2 EBA instrument currency: EUR 509. Short (i.e. Sell protection) EUR 1000000 CDS on Aviva (Ticker AV LN). ISDA Definitions year 2003 EBA instrument currency: EUR 510. Long (i.e. Buy protection) EUR 1000000 CDS on Aviva (Ticker AV LN). ISDA Definitions year 2003 Maturity: December Year T+2 EBA instrument currency: EUR 511. Short (i.e. Sell protection) EUR 1000000 CDS on Vodafone (Ticker VOD LN). EBA instrument currency: EUR 512. Short (i.e. Sell protection) EUR 1000000 CDS on ENI SpA (Ticker ENI IM). EBA instrument currency: EUR 513. Short (i.e. Sell protection) USD 1000000 CDS on Eli Lilly (Ticker LLY US). Restructuring clause: No restructuring (XR14) EBA instrument currency: USD 514. Short (i.e. Sell protection) EUR 1000000 CDS on Unilever (Ticker UNA NA). EBA instrument currency: EUR 515. Long (i.e. Buy protection) EUR 1000000 CDS on Total SA (Ticker FP FP). EBA instrument currency: EUR 516. Long (i.e. Buy protection) EUR 1000000 CDS on Volkswagen Group (Ticker VOW GR). EBA instrument currency: EUR 517. Long position on TURKEY Govt. notes USD 1000000 (ISIN US900123CT57). Maturity: 26 April 2029 EBA instrument currency: USD 518. Long (i.e. Buy protection) USD 1000000 CDS on TURKEY. Effective date as booking date. Restructuring clause: FULL EBA instrument currency: USD 519. Long position on Telefonica notes EUR 1000000 (ISIN XS1681521081). Maturity: 12 January 2028 EBA instrument currency: EUR 520. Long position on Volkswagen Group notes EUR 1000000 (ISIN XS2234567233). Maturity: 22 September 2028 EBA instrument currency: EUR 521. Short position Volkswagen Group notes EUR 1000000 (ISIN XS1167667283). Maturity: 16 January 2030 EBA instrument currency: EUR 522. Long position on Total SA notes EUR 1000000 (ISIN XS1856281834). Maturity: 11 July 2033 EBA instrument currency: EUR 523. Long AUSTRIA GOVT EUR 1000000 (ISIN AT0000A04967). Maturity: 15 March 2037 EBA instrument currency: EUR 524. Long (i.e. Buy protection) USD 1000000 CDS on AUSTRIA. Maturity: June Year T+15 EBA instrument currency: USD 525. Long NETHERLANDS GOVT EUR 1000000 (ISIN NL0013552060).

Maturity: 15 January 2040 EBA instrument currency: EUR 526. Long (i.e. Buy protection) USD 1000000 CDS on NETHERLANDS. Maturity: June Year T+20 EBA instrument currency: USD 527. Long BELGIUM GOVT EUR 1000000 (ISIN BE0000348574). Maturity: 22 June 2050 EBA instrument currency: EUR 528. Long (i.e. Buy protection) USD 1000000 CDS on BELGIUM. Maturity: June Year T+30 EBA instrument currency: USD 529. Long (Buy protection) EUR 10000000 CDS on iTraxx Europe index on-the-run series. Maturity: June Year T+4 EBA instrument currency: EUR 530. Short Put option. EUR 10000000. 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 1000000 (ISIN XS1799611642). Maturity: 28 May 2049 EBA instrument currency: EUR 532. Long AT&T Bond (callable) USD 1000000 (ISIN US00206RFW79). Maturity: 15 August 2037 EBA instrument currency: USD 533. Long BAYER AG (callable) EUR 1000000 (ISIN XS2199266268). Maturity: 06 January 2030 EBA instrument currency: EUR 534. Long ORANGE SA Bond (callable) EUR 1000000 (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 5000000 Maturity: 5 years EBA instrument currency: EUR 602. Long (i.e. Buy protection) EUR 5000000 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 5000000 Maturity: 5 years EBA instrument currency: EUR 604. Short (i.e. Sell protection) EUR 5000000 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 5000000 Maturity: 5 years EBA instrument currency: EUR 606. Long (i.e. Buy protection) EUR 5000000 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 5000000 Maturity: 5 years EBA instrument currency: EUR 608. Short (i.e. Sell protection) EUR 5000000 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 5000000 Maturity: 5 years EBA instrument currency: EUR Recovery rate: 40% fixed. 610. Long (i.e. Buy protection) EUR 5000000 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 currencyRisk measures required1001101 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO1002102– 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO1003103 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO1004104 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO1005105– 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO1006106 – 1 instrumentGBPVaR; Stressed VaR; SBM; DRC; RRAO1007107 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO1008108 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO1009109 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO1010110 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO1011111 – 1 instrumentUSDVaR; Stressed VaR; SBM; DRC; RRAO1012112 – 1 instrumentUSDVaR; Stressed VaR; SBM; DRC; RRAO1013113 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO1014114 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO1015115 – 1 instrumentGBPVaR; Stressed VaR; SBM; DRC; RRAO1016116 – 1 instrumentGBPVaR; Stressed VaR; SBM; DRC; RRAO1017117 – 1 instrumentJPYVaR; Stressed VaR; SBM; DRC; RRAO1018118 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO 1019119 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO1020120 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO1021121 – 1 instrumentUSDVaR; Stressed VaR; SBM; DRC; RRAO2001201 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO2002202 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO2003203 – 1 instrumentUSDVaR; Stressed VaR; SBM; DRC; RRAO2004204 – 1 instrumentGBPVaR; Stressed VaR; SBM; DRC; RRAO2005205 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM; DRC; RRAO2006206 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO2007207 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO2008208– 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO2009209 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO2010210 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO2011211 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO2012212 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO2013213 – 1 instrumentGBPVaR; Stressed VaR; IRC; SBM; DRC; RRAO2014214 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO2015215 – 1 instrumentUSDVaR; Stressed VaR; SBM; DRC; RRAO2016216 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM; DRC; RRAO2017217 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM; DRC; RRAO2018218 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO2019219 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO2020220 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO2021221 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO2022222 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO

2023223 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO2024224 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO3001301 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO3002302 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO3003303 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO3004304 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO3005305 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO3006306 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO3007307 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO3008308 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO3009309 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO3010310 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO3011311 – 1 instrumentEURVaR; Stressed VaR; SBM; DRC; RRAO4001401 – 1 instrumentUSDVaR; Stressed VaR; SBM; DRC; RRAO4002402 – 1 instrumentUSDVaR; Stressed VaR; SBM; DRC; RRAO4003403 – 1 instrumentUSDVaR; Stressed VaR; SBM; DRC; RRAO4004404 – 1 instrumentUSDVaR; Stressed VaR; SBM; DRC; RRAO4005405 – 1 instrumentUSDVaR; Stressed VaR; SBM; DRC; RRAO5001501 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5002502 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5003503 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5004504 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5005505 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5006506 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5007507 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO 5008508 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5009509 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5010510 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5011511 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5012512 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5013513 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5014514 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5015515 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5016516 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5017517 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5018518 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5019519 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5020520 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5021521 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5022522 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5023523 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5024524 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5025525 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5026526 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5027527 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5028528 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5029529 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5030530 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5031531 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5032532 – 1 instrumentUSDVaR; Stressed VaR; IRC; SBM; DRC; RRAO

5033533 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5034534 – 1 instrumentEURVaR; Stressed VaR; IRC; SBM; DRC; RRAO6001601 – 1 instrumentEURVaR; Stressed VaR; APR; SBM; DRC; RRAO6002602 – 1 instrumentEURVaR; Stressed VaR; APR; SBM; DRC; RRAO6003603 – 1 instrumentEURVaR; Stressed VaR; APR; SBM; DRC; RRAO6004604 – 1 instrumentEURVaR; Stressed VaR; APR; SBM; DRC; RRAO6005605 – 1 instrumentEURVaR; Stressed VaR; APR; SBM; DRC; RRAO6006606 – 1 instrumentEURVaR; Stressed VaR; APR; SBM; DRC; RRAO6007607 – 1 instrumentEURVaR; Stressed VaR; APR; SBM; DRC; RRAO6008608 – 1 instrumentEURVaR; Stressed VaR; APR; SBM; DRC; RRAO6009609 – 1 instrumentEURVaR; Stressed VaR; APR; SBM; DRC; RRAO6010610 – 1 instrumentEURVaR; 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 currencyRisk measures required1101 103 – 1 instrument 104 – 1 instrument 105 – 1 instrument EURVaR; Stressed VaR; SBM; DRC; RRAO1102 113 – 1 instrument 110 – 1 instrument EURVaR; Stressed VaR; SBM; DRC; RRAO1103 115 – 1 instrument 116 – 1 instrument GBPVaR; Stressed VaR; SBM; DRC; RRAO1104 109 – 1 instrument 110 – 1 instrument EURVaR; Stressed VaR; SBM; DRC; RRAO 1105 111 – 1 instrument 112 – 1 instrument USDVaR; Stressed VaR; SBM; DRC; RRAO1106 102 – 1 instrument 114 – 1 instrument EURVaR; Stressed VaR; SBM; DRC; RRAO1107 106 – 1 instrument 107 – 1 instrument 108 – 1 instrument EURVaR; Stressed VaR; SBM; DRC; RRAO1108 101 – 1 instrument 103 – 1 instrument EURVaR; Stressed VaR; SBM; DRC; RRAO1109 101 – 1 instrument 103 – 1 instrument 104 – 1 instrument EURVaR; Stressed VaR; SBM; DRC; RRAO1110 102– 1 instrument 104 – 1 instrument EURVaR; Stressed VaR; SBM; DRC; RRAO2201 206 – 1 instrument 207 – 1 instrument EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO2202 206 – 1 instrument 207 – 1 instrument 208 – 1 instrument EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO2203 206 – 1 instrument 207 – 1 instrument 208 – 1 instrument 209 – 1 instrument 210 – 1 instrument 211 – 1 instrument 212 – 1 instrument EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO2204 201 – 1 instrument 218 – 1 instrument EURVaR; Stressed VaR; SBM; DRC; RRAO2205 201 – 1 instrument 219 – 1 instrument EURVaR; Stressed VaR; SBM; DRC; RRAO2206 218 – 1 instrument 219 – 1 instrument EURVaR; Stressed VaR; SBM; DRC; RRAO2207 201 – 1 instrument 202 – 1 instrument EURVaR; Stressed VaR; SBM; DRC; RRAO2208 215 – 1 instrument 216 – 1 instrument 217 – 1 instrument USDVaR; Stressed VaR; IRC; SBM; DRC; RRAO2209 203 – 1 instrument 215 – 1 instrument USDVaR; Stressed VaR; SBM; DRC; RRAO 2210 208 – 1 instrument 209 – 1 instrument 210 – 1 instrument 214 – 1 instrument EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO2211

209 – 1 instrument 219 – 1 instrument EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO2212 201 – 1 instrument 223 – 1 instrument EURVaR; Stressed VaR; SBM; DRC; RRAO3301 301 – 1 instrument 302 – 1 instrument EURVaR; Stressed VaR; SBM; DRC; RRAO3302 303 – 1 instrument 304 – 1 instrument EURVaR; Stressed VaR; SBM; DRC; RRAO3303 304 – 1 instrument 305 – 1 instrument 306 – 1 instrument EURVaR; Stressed VaR; SBM; DRC; RRAO3304 307 – 1 instrument 308 – 1 instrument EURVaR; Stressed VaR; SBM; DRC; RRAO4401 401 – 1 instrument 402 – 1 instrument USDVaR; Stressed VaR; SBM; DRC; RRAO4402 403 – 1 instrument 404 – 1 instrument USDVaR; Stressed VaR; SBM; DRC; RRAO4403 401 – 1 instrument 404 – 1 instrument USDVaR; Stressed VaR; SBM; DRC; RRAO5501 501 – 1 instrument 502 – 1 instrument 503 – 1 instrument USDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5502 504 – 1 instrument 505 – 1 instrument USDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5503 507 – 1 instrument 508 – 1 instrument EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5504 503 – 1 instrument 504 – 1 instrument USDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5505 509 – 1 instrument 510 – 1 instrument EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5506 511 – 1 instrument 512 – 1 instrument 514 – 1 instrument 515 – 1 instrument 516 – 1 instrument EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO 5507 517 – 1 instrument 518 – 1 instrument USDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5508 519 – 1 instrument 520 – 1 instrument 522 – 1 instrument EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5509 520 – 1 instrument 521 – 1 instrument EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5510 519 – 1 instrument 508 – 1 instrument EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5511 515 – 1 instrument 522 – 1 instrument EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5512 520 – 1 instrument 521 – 1 instrument 516 – 1 instrument EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5513 506 – 1 instrument 503 – 1 instrument USDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5514 502 – 1 instrument 209 – 1 instrument EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5515 504 – 1 instrument 217 – 1 instrument USDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5516 505 – 1 instrument 216 – 1 instrument USDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5517 504 – 1 instrument 217 – 1 instrument 505 – 1 instrument 216 – 1 instrument USDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5518 502 – 1 instrument 209 – 1 instrument 219 – 1 instrument EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5519 523 – 1 instrument 525 – 1 instrument 527 – 1 instrument EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO5520 524 – 1 instrument 526 – 1 instrument 528 – 1 instrument USDVaR; Stressed VaR; IRC; SBM; DRC; RRAO5521 523 – 1 instrument 524 – 1 instrument 525 – 1 instrument 526 – 1 instrument 527 – 1 instrument 528 – 1 instrument EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO 5522 529 – 1 instrument 530 – 1 instrument EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO6601 601 – 1 instrument 602 – 1 instrument EURVaR; Stressed VaR; APR; SBM; DRC; RRAO6602 603 – 1 instrument 604 – 1 instrument EURVaR; Stressed VaR; APR; SBM; DRC; RRAO6603

605 – 1 instrument 606 – 1 instrument EURVaR; Stressed VaR; APR; SBM; DRC; RRAO6604 607 – 1 instrument 608 – 1 instrument EURVaR; Stressed VaR; APR; SBM; DRC; RRAO6605 609 – 1 instrument 610 – 1 instrument EURVaR; 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. PortfolioDescriptionCombination of Individual Portfolios (individual portfolios as stated by their numbers as referred to in Sections 3 and 4 of this Annex)EBA portfolio CurrencyRisk measures required10000ALL-IN no-CTP1001, 1101, 1104, 1106, 2001, 2002, 2203, 2206, 3301, 3303, 3304, 4401, 4402, 5503, 5506, 5508, 5521EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO11000EQUITY Cumulative1001, 1101, 1104, 1106EURVaR; Stressed VaR; SBM; DRC; RRAO12000IR Cumulative2001, 2002, 2203, 2206EURVaR; Stressed VaR; SBM; DRC; RRAO13000FX Cumulative3301, 3303, 3304EURVaR; Stressed VaR; SBM; DRC; RRAO14000Commodity Cumulative4401, 4402USDVaR; Stressed VaR; SBM; DRC; RRAO15000Credit Spread cumulative5503, 5506, 5508, 5521EURVaR; Stressed VaR; IRC; SBM; DRC; RRAO16000CTP cumulative EUR6601, 6602EURVaR; 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:220Description: 5-year Mark to Market (MtM) Cross Currency EUR/USD SWAP Receive USD and pay EUR Notional: EUR 10000000, USD (EUR 10000000 FX USD/EUR) Pay:Float leg 2Rec:Float leg 1Notional 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 10000000 EUR, at spot rate 2 business days in advance of each payment date.Cash balanceIncludedFloat Leg 1Notional:10000000 EUR equivalent converted to USD at spot on effective date, equivalent adjusted on a quarterly basisEffective Date:Booking date + 6 monthsMaturity Date:Booking date + 5,5 yearsPayment Date Generation:Forward from Effective DateCoupon Payment Frequency:QuarterlyCoupon Rate:3-month SOFR + 0bps.Coupon Rate Reset Freq:QuarterlyCoupon Rate Fixing Convention:Compounded daily over the 3-month periodCoupon Rate Compounding Frequency:Simple InterestDay Count:ACT/360Payment Business Day:LON, NYC, TARGETPayment Business Day Convention:Modified FollowingNotional Reset Business Day:LON, NYC, TARGETNotional Reset Business Day Convention:PreviousCoupon Rate Reset Business Day:LON, NYC, TARGETCoupon Rate Reset Business Day Convention:Previous Float Leg 2Notional:10000000 EUREffective Date:Booking date + 6 monthsMaturity Date:Booking date + 5,5 yearsPayment Date Generation:Forward from Effective DateCoupon Payment Frequency:QuarterlyCoupon Rate:3-month ESTER + 0 bps.Coupon Rate Reset Frequency:QuarterlyCoupon Rate Fixing Convention:Compounded daily over the 3-month periodCoupon Rate Compounding Frequency:Simple InterestDay Count:ACT/360Payment Business Day:LON, NYC, TARGETPayment Business DayModified FollowingNotional Reset Business Day:LON, NYC, TARGETNotional Reset Business Day Convention:PreviousCoupon Rate Reset Business Day:LON, NYC, TARGETCoupon 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

ANNEX III

Annex

ANNEX VI RESULTS SUPERVISORY BENCHMARK PORTFOLIOS TEMPLATE-RELATED INSTRUCTIONS C 106.00 – Initial Market Valuation and exclusion justification 57 C 106.01 – SBM. Risk sensitivities by Instrument 57 C 107.01 – VaR & sVaR Non-CTP. Details. 61 C 107.02 – VaR, sVaR and PV - Non-CTP. EBA portfolio currency Results. 63 C 108.00 – Profit & Loss Time Series 64 C 109.01 – IRC. Details of the Model 65 C 109.02 – IRC. Details by Portfolio 65 C 109.03 – IRC. Amount by Portfolio/Date. 66 C 110.01 – CT. Details of the Model. 67 C 110.02 – CT. Details by Portfolio. 68 C 110.03 – CT. APR by Portfolio/Date 69 C 120.01 – SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO 69 C 120.02 – SBM. OFR COMPOSITION BY PORTFOLIO 72 C 120.04 – DRC. MARKET VALUES AND GROSS JTD AMOUNTS BY INSTRUMENT/PORTFOLIO 74 C 120.05 – DRC. OFR COMPOSITION BY PORTFOLIO 80 C 120.06 – ASA. OFR 82 TEMPLATE-RELATED INSTRUCTIONS C 106.00 – Initial Market Valuation and exclusion justification ColumnLabelLegal referenceInstructions0010Instrument numberSection 2 of Annex VThe instrument number taken from Annex V shall be reported.0020Instrument modelled for VaR and sVaR (TRUE/FALSE)Either TRUE or FALSE shall be reported.0030Instrument modelled for IRC (TRUE/FALSE)Either TRUE or FALSE shall be reported.0040Instrument modelled for correlation trading (TRUE/FALSE)Either TRUE or FALSE shall be reported.0050Rationale for exclusionArticle 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. 0060Free text boxAn institution may provide any additional information in this column.0070Initial 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) LabelLegal referenceInstructionsInstrument numberSection 2 of Annex VThe instrument number taken from Annex V shall be reported.ColumnLabelLegal referenceInstructions0010Risk factor identifierArticles 325l, 325m, 325n, 325o, 325p and 325q of Regulation (EU) No 575/2013The risk factor identifier as specified in the table at the end of this Annex shall be reported.0020BucketArticle 325d(3) of Regulation (EU) No 575/2013 The bucket shall be reported, where the risk factor identifier selected in column 0010 corresponds to the risk class: General interest rate risk, the answer shall be the name of the currency of the relevant risk-free rate, inflation or cross-currency-basis risk factor (following the ISO 4217 currency designation, e.g. EUR). Credit spread risk for non-securitisation, the answer shall be the bucket number in Article 325ah (1), Table 4, of Regulation (EU) No 575/2013. Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR), the answer shall be the bucket number in Article 325am (1), Table 7, of that Regulation. Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR), the answer shall be the bucket number in Article 325ak, Table 6, of that Regulation. Equity risk, the answer shall be the bucket number in Article 325ap (1), Table 8, of that Regulation. Commodity risk, the answer shall be the bucket number in Article 325as, Table 9, of that Regulation. FX risk and the components Delta or Curvature, the answer shall be the name of the currency (e.g. USD, the reported currency codes shall follow the ISO 4217 currency designation). FX risk and the component Vega, the answer shall be the name of the currency pair (e.g. EUR_USD, the reported currency codes shall follow the ISO 4217 currency designation). 0030Additional identifier1Articles 325l to 325q and Article 325ai of Regulation (EU) No 575/2013 The following information distinguishing the risk factor at intra-bucket level shall be reported. Where the risk factor identifier selected in column 0010 corresponds to the risk class:

General interest rate risk and the component Delta, the answer shall be the name of the risk-free curve or another corresponding unique identifier. Credit spread risk for non-securitisation or the risk class credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR), the answer shall be the issuer name or another corresponding unique identifier and it shall be identical for any two reported sensitivities towards two risk factors that receive a correlation parameter ρkl(name) equal to 1 in accordance with Article 325ai(1) of Regulation (EU) No 575/2013. Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR), the answer shall be the tranche name or another corresponding unique identifier. Equity risk, the answer shall be the equity issuer name or a corresponding unique identifier. Commodity risk, the answer shall be the name of the commodity or another corresponding unique identifier. Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable. 0050Risk sensitivity (Reporting currency results)Article 325d(2) and Articles 325g, 325r, 325s, 325t and 325ax of Regulation (EU) No 575/2013 Risk sensitivities (delta / vega sensitivities and curvature risk positions) shall be reported at the level of each instrument for all relevant risk factors as specified in the columns 0010 to 0030. The values shall be reported in the institution’s reporting currency. Where the risk factor identifier selected in column 0010 corresponds to the: Delta risk component of the sensitivities-based method, the net sensitivity to the risk factor (Sk) as specified in Article 325r of Regulation (EU) No 575/2013 shall be reported. Where institutions have obtained permission from their competent authority to use alternative definitions of delta risk sensitivities in accordance with Article 325t(5) of that Regulation, they shall refer to those alternative definitions for the reporting. Vega risk component of the sensitivities-based method, the vega risk sensitivity of an option to a given risk factor (Sk) as specified in Article 325s of Regulation (EU) No 575/2013 shall be reported. Where institutions have obtained permission from their competent authority to use alternative calculations of vega risk sensitivities in accordance with Article 325t(6) of that Regulation, they shall refer to those alternative calculations for the reporting. Regardless of whether the definition of Article 325s or an alternative calculation in accordance with Article 325t(6) of that Regulation is used by the institution, the sensitivity shall be reported after weighting it by the corresponding implied volatility. Curvature risk component of the sensitivities-based method, 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.

The reported figure shall be expressed as a decimal with a minimum precision of two decimal places. Zero values shall be reported only where the result of the calculation is actually zero. 0060Reporting currencyThe name of the reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation, e.g. EUR). 0070Risk 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 575/2013The values shall be reported following the instructions for column 0050 but translated at the ECB spot exchange rate associated with the currency of the instrument as defined in Section 2 of Annex V to this Regulation.0080Pricing modelArticle 325t of Regulation (EU) No 575/2013 The institution shall specify which pricing model applies to derive the sensitivities. One of the following shall be reported: (a) Institution’s pricing models that serve as a basis for reporting profit and loss to senior management (as for Article 325t(1), first subparagraph, of Regulation (EU) No 575/2013); (b) Institution’s internal model approach (as for Article 325t(1), second subparagraph, of that Regulation); 0090Sensitivities definitionArticles 325r, 325s and 325t of Regulation (EU) No 575/2013 The institution shall specify which sensitivities definition is applied in the calculation of the own funds requirements. One of the following shall be reported: (a) Sensitivities definition in Articles 325r and 325s of Regulation (EU) No 575/2013; (b) Sensitivities definition in accordance with Article 325t(5) and (6) of Regulation (EU) No 575/2013; Where the risk factor identifier selected in column 0010 corresponds to the curvature risk component of the sensitivities-based method, the value indicated in point (b) shall be reported if any of the sensitivities used in the calculation of the reported curvature risk position are based on a sensitivity definition in accordance with Article 325t(5) and (6) of Regulation (EU) No 575/2013, and the value indicated in point (a) shall be reported otherwise. 0100Free text boxAn institution may provide additional information in this column concerning pricing model and sensitivities definition applied.0110Additional identifier2Article 325p(2) of Regulation (EU) No 575/2013 Where the risk factor identifier selected in column 0010 corresponds to the risk class Commodity risk and the Delta risk component of the sensitivities-based method, the answer shall be the set of legal terms regarding the delivery location or another corresponding unique identifier. Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable. 0120Credit quality categoryArticle 325m(1) and Article 325ah(1) of Regulation (EU) No 575/2013 Where the risk factor identifier selected in column 0010 corresponds to the risk class Credit spread risk for non-securitisation and the Delta risk component of the sensitivities-based method, the answer shall be one of the following:

(a) CQS 1; (b) CQS 2; (c) CQS 3; (d) CQS 4; (e) CQS 5; (f) CQS 6; (g) No CQS assigned (unrated). Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable. C 107.01 – VaR & sVaR Non-CTP. Details. RowLabelLegal referenceInstructions0010 - 0060VaR0010Methodology 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. 0020Computation of 10-day horizonArticle 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. 0030Length of observation periodArticle 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. 0040Data WeightingArticle 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. 0050Backtesting add-onArticle 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. 0060VaR Regulatory add-onArticle 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- 0100SVaR (i.e. Stressed VaR)0070Methodology 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. 0080Computation of 10 day HorizonArticle 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. 0090SVaR Regulatory add-onArticle 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. 0100SVaR periodArticle 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) LabelLegal referenceInstructionsPortfolioSections 3, 4 and 5 of Annex VThe portfolio number taken from Annex V shall be reported.ColumnLabelLegal referenceInstructions0010DateVaR, sVaR and Present Value (PV) results shall be reported for all the 10 business days between the RM initial reference date and the RM (and final ASA) final reference date, as specified in Section 1, point (b), of Annex V. The dd/mm/yyyy convention shall be adopted to report the dates. 0020VaRArticle 365 of Regulation (EU) No 575/2013 The 10-day regulatory VaR obtained for each portfolio, without applying the at least 3 regulatory multiplication factor, shall be reported. Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a VaR on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).

0030sVaRArticle 365 of Regulation (EU) No 575/2013 The 10-day regulatory sVaR obtained for each portfolio, without applying the at least 3 regulatory multiplication factor, shall be reported. Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a sVaR on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero). 0040PV The present value (PV) for each portfolio shall be reported. Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a PV on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero). 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) LabelLegal referenceInstructionsPortfolioSections 3, 4 and 5 of Annex VThe portfolio number taken from Annex V shall be reported.ColumnLabelLegal referenceInstructions0010DateArticle 365(1) point (d), of Regulation (EU) No 575/2013On each business day, determined in accordance with the calendar in the institution’s jurisdiction, institutions shall provide the P&L series used to calculate VaR in C107.02 column 0010 with a minimum of 250 observations starting from the RM (and final ASA) final reference date, as specified in Section 1, point (b)(v), of Annex V, and going backward.0020Daily 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 by using historically simulated daily risk factor changes (i.e. the daily P&L series used to derive the regulatory 1-day VaR). In case a day is a bank holiday in the relevant jurisdiction, this cell shall be left blank (i.e. a zero P&L shall be reported only where there was no change in the hypothetical value of the portfolio on a given business day). C 109.01 – IRC. Details of the Model RowLabelLegal referenceInstructions0010Number 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. 0020Source 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) LabelLegal referenceInstructionsPortfolioSections 3, 4 and 5 of Annex VThe portfolio number taken from Annex V, only for those portfolios where IRC is requested, shall be reported. RowLabelLegal referenceInstructions0010Liquidity HorizonArticle 374(5) of Regulation (EU) No 575/2013 EBA/GL/2012/3 The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following: (a) Up to 3 months; (b) More than 3 and up to 6 months; (c) More than 6 and up to 9 months; (d) More than 9 and up to 12 months. 0020Source 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 PDs; (d) Other source of PDs (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 this column 0020. 0030Source 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 transition matrices; (d) Other sources of transition matrices (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 this column 0020. C 109.03 – IRC. Amount by Portfolio/Date. Instructions concerning sheets (z-axis) LabelLegal referenceInstructionsPortfolioSections 3, 4 and 5of Annex VThe portfolio number taken from Annex V, only for those portfolios where IRC is requested, shall be reported. ColumnLabelLegal referenceInstructions0010DateIRC shall be reported for all the 10 business days between the RM initial reference date and the RM (and final ASA) final reference date, as specified in Section 1, point (b), of Annex V. The dd/mm/yyyy convention shall be adopted to report the dates.0020IRCArticles 372 to 376 of Regulation (EU) No 575/2013 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 0010. The cell shall be left blank where the institution does not calculate an IRC on the date reported in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero). C 110.01 – CT. Details of the Model. RowLabelLegal referenceInstructions0010Number of modelling factorsArticle 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. 0020Source of LGDsArticle 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) LabelLegal referenceInstructionsPortfolioSections 3, 4 and 5 of Annex VThe portfolio number taken from Annex V, only for those portfolios where APR is requested, shall be reported.RowLabelLegal referenceInstructions0010Liquidity horizonArticle 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) Up to 3 months; (b) More than 3 and up to 6 months; (c) More than 6 and up to 9 months; (d) More than 9 and up to 12 months. 0020Source of PDsArticle 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 PDs; (d) Other source of PDs (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. 0030Source of transition matricesArticle 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 transition matrices; (d) Other source of transition matrices (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. C 110.03 – CT. APR by Portfolio/Date Instructions concerning sheets (z-axis) LabelLegal referenceInstructionsPortfolioSection 3, 4 and 5 of Annex VThe portfolio number taken from Annex V, only for those portfolios where APR is requested, shall be reportedColumnLabelLegal referenceInstructions0010DateArticle 377 of Regulation (EU) No 575/2013All price risk (APR) shall be reported for all the 10 business days between the RM initial reference date and the RM (and final ASA) final reference date as referred to in Section 1, point (b), of Annex V. The dd/mm/yyyy convention shall be adopted to report the dates.0060APRArticle 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 0010. The cell shall be left blank where the institution does not use a correlation trading model on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).

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) LabelLegal referenceInstructionsPortfolioSections 3, 4 and 5 of Annex VThe number of the portfolio taken from Annex V shall be reported.ColumnLabelLegal referenceInstructions0010Instrument numberSection 2 of Annex VThe instrument number taken from Annex V shall be reported. 0020Risk factor identifierArticles 325l, 325m, 325n, 325o, 325p, 325q of Regulation (EU) No 575/2013The risk factor identifier as specified in the table at the end of this Annex shall be reported.0030BucketArticle 325d(3) of Regulation (EU) No 575/2013 The bucket shall be reported, where the risk factor identifier selected in column 0020 corresponds to the risk class: General interest rate risk. The answer shall be the name of the currency of the relevant risk-free rate, inflation or cross-currency-basis risk factor (following the ISO 4217 currency designation, e.g. EUR). Credit spread risk for non-securitisation. The answer shall be the bucket number in Article 325ah (1), Table 4, of Regulation (EU) No 575/2013. Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR). The answer shall be the bucket number in Article 325am (1), Table 7, of that Regulation. Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR). The answer shall be the bucket number in Article 325ak, Table 6, of that Regulation . Equity risk. The answer shall be the bucket number in Article 325ap (1), Table 8, of that Regulation. Commodity risk. The answer shall be the bucket number in Article 325as, Table 9, of that Regulation. FX risk and the components Delta or Curvature. The answer shall the name of the currency (e.g. USD, the reported currency codes shall follow the ISO 4217 currency designation), FX risk and the component Vega. The answer shall be the name of the currency pair (e.g. EUR_USD, the reported currency codes shall follow the ISO 4217 currency designation). 0040Additional identifier1Articles 325l to 325q and 325ai of Regulation (EU) No 575/2013 The following information distinguishing the risk factor at intra-bucket level shall be reported. Where the risk factor identifier selected in column 0020 corresponds to the risk class:

General interest rate risk and the component Delta, the answer shall be the name of the risk-free curve or another corresponding unique identifier. Credit spread risk for non-securitisation or the risk class credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR), the answer shall be the issuer name or another corresponding unique identifier and it shall be identical for any two reported sensitivities towards two risk factors that receive a correlation parameter ρkl(name) equal to 1 in accordance with to Article 325ai(1) of Regulation (EU) No 575/2013. Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR), the answer shall be tranche name or another corresponding unique identifier. Equity risk, the answer shall be the equity issuer name or a corresponding unique identifier. Commodity risk, the answer shall be the name of the commodity or another corresponding unique identifier. Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable. 0060Risk sensitivity (Reporting currency results)Article 325d(2) and Articles 325g, 325r, 325s, 325t and 325ax of Regulation (EU) No 575/2013 Risk sensitivities (delta / vega sensitivities and curvature risk positions) shall be reported at the level of each instrument for all relevant risk factors as specified in the columns 0020 to 0040. The values shall be reported in the institution’s reporting currency. Where the risk factor identifier selected in column 0020 corresponds to the: Delta risk component of the sensitivities-based method, the net sensitivity to the risk factor (Sk) as specified in Article 325r of Regulation (EU) No 575/2013 shall be reported. Where institutions have obtained permission from their competent authority to use alternative calculations of delta risk sensitivities in accordance with Article 325t(5) of that Regulation, they shall refer to these alternative definitions for the reporting. Vega risk component of the sensitivities-based method, the vega risk sensitivity of an option to a given risk factor (Sk) as specified in Article 325s of Regulation (EU) No 575/2013 shall be reported. Where institutions have obtained permission from their competent authority to use alternative calculations of vega risk sensitivities in accordance with Article 325t(6) of that Regulation, they shall refer to those alternative calculations for the reporting. Regardless of whether the calculation of Article 325s or an alternative calculation in accordance with Article 325t(6) of that Regulation is used by the institution, the sensitivity shall be reported after weighting it by the corresponding implied volatility. Curvature risk component of the sensitivities-based method, 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.

The reported figure shall be expressed as a decimal with a minimum precision of two decimal places. Zero values shall be reported only where the result of the calculation is actually zero. 0070Reporting currencyThe name of the reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation, e.g. EUR).0080Risk 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 575/2013The values shall be reported following the instructions for column 0060 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation. 0090Risk weightPart Three, Title IV, Chapter 1a, Section 6, of Regulation (EU) No 575/2013 The risk weight corresponding to the risk factor as specified in the columns 0020 to 0040 shall be reported. Where the risk factor identifier selected in column 0020 corresponds to the Curvature risk component, the risk weight used to determine the applicable relative shift shall be reported. The reported figure shall be expressed as a decimal with a minimum precision of four decimal places. 0110Additional identifier2Article 325p(2) of Regulation (EU) No 575/2013 Where the risk factor identifier selected in column 0010 corresponds to the risk class Commodity risk and the Delta risk component of the sensitivities-based method, the answer shall be the set of legal terms regarding the delivery location or another corresponding unique identifier. Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable. 0120Credit quality categoryArticle 325m(1) and Article 325ah(1) of Regulation (EU) No 575/2013 Where the risk factor identifier selected in column 0010 corresponds to the risk class Credit spread risk for non-securitisation and the Delta risk component of the sensitivities-based method, the answer shall be one of the following: (a) CQS 1; (b) CQS 2; (c) CQS 3; (d) CQS 4; (e) CQS 5; (f) CQS 6; (g) No CQS assigned (unrated). Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable. C 120.02 – SBM. OFR COMPOSITION BY PORTFOLIO Instructions concerning sheets (z-axis) LabelLegal referenceInstructionsPortfolioSections 3, 4 and 5 of Annex VThe number of the portfolio taken from Annex V shall be reported. ColumnLabelLegal referenceInstructions0010Risk classArticle 325d(1) of Regulation (EU) No 575/2013 The risk class shall be reported. The answer shall be one of the following: (a) General interest rate risk (GIRR); (b) Credit spread risk.Non-securitisations CSR (credit spread risk (CSR) for non-securitisation); (c) Credit spread risk.Non-ACTP CSR (credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR)); (d) Credit spread risk.ACTP CSR (credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR));

(e) Equity risk; (f) Commodities risk; (g) Foreign-exchange risk. 0020ComponentArticle 325e(1) of Regulation (EU) No 575/2013 The component of the sensitivities-based method shall be reported. The answer shall be one of the following: (a) Delta risk; (b) Vega risk; (c) Curvature risk; 0030Correlation scenarioArticle 325h of Regulation (EU) No 575/2013 The correlation scenario shall be reported. The answer shall be one of the following: (a) Medium correlation scenario; (b) High correlation scenario; (c) Low correlation scenario. 0040Own funds requirements (Reporting currency results)Article 325h of Regulation (EU) No 575/2013Own funds requirements values shall be reported for the RM (and final ASA) final reference date (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio for all relevant combinations of risk class, component and correlation scenario. The values shall be reported in the institution’s reporting currency and shall be expressed with a minimum precision of two decimal places.0050Reporting currencyThe reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation).0060Own funds requirements (EBA portfolio currency results)Sections 3 and 4 of Annex V to this Regulation and Article 325h of Regulation (EU) No 575/2013The values shall be reported following the instructions for column 0040 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation.0070Positions without optionality subjected to curvature risk own funds requirementsArticle 325e(3) of Regulation (EU) No 575/2013 Where the component in column 0020 corresponds to curvature risk: (a) TRUE shall be reported if the institution applies the approach set out in Article 325e(3), first subparagraph of Regulation (EU) No 575/2013 in calculating the result reported in columns 0040 and 0060. (b) FALSE shall be reported otherwise. FALSE shall also be reported where none of those cases applies. 0080Base currency approach applied for foreign-exchange risk delta and curvatureArticle 325q(7) of Regulation (EU) No 575/2013 Where the risk class in column 0010 corresponds to foreign-exchange risk and the component in column 0020 corresponds to delta risk or curvature risk: (a) TRUE shall be reported if the institution applies the approach set out Article 325q(7) of Regulation (EU) No 575/2013 in calculating the result reported in columns 0040 and 0060. (b) FALSE shall be reported otherwise. FALSE shall also be reported where none of those cases applies. 0090Division of curvature risk components for foreign-exchange risk by scalarArticle 325q(6) of Regulation (EU) No 575/2013 Where the risk class in column 0010 corresponds to foreign-exchange risk and the component in column 0020 corresponds to curvature risk: (a) TRUE shall be reported if the institution applies the approach set out Article 325q(6) of Regulation (EU) No 575/2013 in calculating the result reported in columns 0040 and 0060.

(b) FALSE shall be reported otherwise. FALSE shall also be reported where none of those cases applies. 0095Submission of SBM validation portfolio resultsArticle 325e(1) of Regulation (EU) No 575/2013 Where the portfolio for which information is reported is an SBM validation portfolio as referred to in Section 7 of Annex V: (a) Submitted shall be reported if the institution submits results corresponding to this portfolio; (b) Not submitted - no exposure to risk factor shall be reported if the institution chooses not to submit results for the relevant SBM validation portfolio, as there is no internal approval by the management of that institution to operate in instruments that would generate exposure towards the relevant risk factor. Not applicable shall be reported where the portfolio for which information is reported is a portfolio as referred to in Sections 3, 4 or 5 of Annex V. 0100Free text boxAn institution may provide any additional information in this column. 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) LabelLegal referenceInstructionsPortfolioSections 3, 4 and 5 of Annex VThe number of the portfolio taken from Annex V shall be reported. ColumnLabelLegal referenceInstructions0010Instrument numberSection 2 of Annex VThe instrument number taken from Annex V shall be reported.0020Risk classArticle 325v(2) of Regulation (EU) No 575/2013 The risk class for which the default risk requirement (DRC) is reported in columns 0030 and 0040 shall be reported. The answer shall be one of the following instrument types: (a) Instruments other than securitisation positions; (b) Securitisation positions that are not included in the ACTP; (c) Securitisation positions that are included in the ACTP. 0030Bucket1Article 325y(3), Article 325aa(4) and Article 325ad(2) of Regulation (EU) No 575/2013 The bucket shall be reported. Where the risk class reported in column 0020 corresponds to non-securitisations, the answer shall be one of the following: (a) Corporates; (b) Sovereigns; (c) Local governments/municipalities. Where instead the risk class reported in column 0020 corresponds to securitisations that are not included in the ACTP, the answer shall be (a) above or one of the following: (d) ABCP - Asia; (e) ABCP - Europe; (f) ABCP - North America; (g) ABCP - Rest of the world; (h) Auto loans/leases - Asia; (i) Auto loans/leases - Europe; (j) Auto loans/leases - North America; (k) Auto loans/leases - Rest of the world; (l) Collateralised debt obligations squared (CDO-squared) - Asia;

(m) Collateralised debt obligations squared (CDO-squared) - Europe; (n) Collateralised debt obligations squared (CDO-squared) - North America; (o) Collateralised debt obligations squared (CDO-squared) - Rest of the world; (p) Collateralised loan obligations - Asia; (q) Collateralised loan obligations - Europe; (r) Collateralised loan obligations - North America; (s) Collateralised loan obligations - Rest of the world; (t) Commercial mortgage-backed securities (CMBS) - Asia; (u) Commercial mortgage-backed securities (CMBS) - Europe; (v) Commercial mortgage-backed securities (CMBS) - North America; (w) Commercial mortgage-backed securities (CMBS) - Rest of the world; (x) Credit cards - Asia; (y) Credit cards - Europe; (z) Credit cards - North America; (aa) Credit cards - Rest of the world; (bb) Other retail - Asia; (cc) Other retail - Europe; (dd) Other retail - North America; (ee) Other retail - Rest of the world; (ff) Other wholesale - Asia; (gg) Other wholesale - Europe; (hh) Other wholesale - North America; (ii) Other wholesale - Rest of the world; (jj) Residential mortgage-backed securities (RMBS) - Asia; (kk) Residential mortgage-backed securities (RMBS) - Europe; (ll) Residential mortgage-backed securities (RMBS) - North America; (mm) Residential mortgage-backed securities (RMBS) - Rest of the world; (nn) Small and medium-sized enterprises (SMEs) - Asia; (oo) Small and medium-sized enterprises (SMEs) - Europe; (pp) Small and medium-sized enterprises (SMEs) - North America; (qq) Small and medium-sized enterprises (SMEs) - Rest of the world; (rr) Student loans - Asia; (ss) Student loans - Europe; (tt) Student loans - North America; (uu) Student loans - Rest of the world. Where instead the risk class reported in column 0020 corresponds to securitisations that are included in the ACTP, the answer shall be securitisations that are included in the ACTP. 0040Bucket2Article 325ad(2) of Regulation (EU) No 575/2013Where the risk class reported in column 0020 corresponds to securitisations that are included in the ACTP, the answer shall be the name of the index, otherwise it shall report (NUL).0050ObligorArticle 325v(2), Article 325x(1), and Articles 325z and 325ac of Regulation (EU) No 575/2013 Institutions shall report information related to the obligor. Where the risk class reported in column 0020 corresponds to: Instruments other than securitisation positions, the answer shall be the name of the obligor; securitisation positions that are not included in the ACTP, the answer shall be the name of the obligor or a unique identifier denoting the underlying asset pool and tranche; securitisation positions that are included in the ACTP, the answer shall be a unique identifier denoting index family, series and tranche. 0060Credit quality categoryArticle 325y(1) and (2), Article 325aa(1) and Article 325ad(1) of Regulation (EU) No 575/2013 Institutions shall report the credit quality. The answer shall be one of the following: (a) CQS 1; (b) CQS 2; (c) CQS 3;

(d) CQS 4; (e) CQS 5; (f) CQS 6; (g) No CQS assigned (unrated); (h) No CQS assigned (defaulted); (i) No CQS assigned (0 % risk-weight). Where the risk class reported in column 0020 corresponds to securitisations that are included in the ACTP or Securitisations that are not included in the ACTP, the answer shall be one of the above or the following: (j) CQS 7; (k) CQS 8; (l) CQS 9; (m) CQS 10; (n) CQS 11; (o) CQS 12; (p) CQS 13; (q) CQS 14; (r) CQS 15; (s) CQS 16; (t) CQS 17; (u) CQS All Other; 0070Default risk weightArticle 325v(1), point (f), Article 325y(1) and (2), Article 325aa(1) and Article 325ad(1) of Regulation (EU) No 575/2013Institutions shall report the relevant risk weight. Risk weights applied to securitisation exposures shall be reported after multiplication by 8 % in accordance with Article 325aa(1) of Regulation (EU) No 575/2013.0080SeniorityArticle 325w(3) and (6) of Regulation (EU) No 575/2013 The seniority of the exposure shall be reported. Where the risk class reported in column 0020 corresponds to Instruments other than securitisation positions or securitisation positions that are not included in the ACTP, the answer shall be one of the following: (a) Equity instruments; (b) Non-senior debt instruments; (c) Senior debt instruments; (d) Covered bonds. The cell shall be left blank where none of those cases applies. 0090MaturityArticles 325x, 325z and 325ac of Regulation (EU) No 575/2013The maturity date of the exposure shall be reported. The dd/mm/yyyy convention shall be adopted to report the date. 0100Recovery rateArticle 325v(1), point (e), of Regulation (EU) No 575/2013 Institutions shall report the recovery rate. The recovery rate shall be calculated using the applicable loss given default (LGD) as recovery rate = 1 - LGD. The recovery rate reported figure shall be expressed as a decimal value, between 0 and 1, with a minimum precision of four decimal places. 0110DirectionArticle 325v(1), points (a) and (b), of Regulation (EU) No 575/2013 Institutions shall report the direction of the exposure in accordance with the definitions of Article 325v(1), points (a) and (b), of Regulation (EU) No 575/2013. The answer shall be one of the following: (a) Short exposure; (b) Long exposure. 0120Attachment point (%)Articles 325aa and 325ad of Regulation (EU) No 575/2013 Where the reported exposure refers to a tranche, institutions shall report the attachment point of the tranche. The reported figure shall be expressed as a decimal with a minimum precision of four decimal places. 0130Detachment point (%)Articles 325aa and 325ad of Regulation (EU) No 575/2013 Where the reported exposure refers to a tranche, institutions shall report the detachment point of the tranche. The reported figure shall be expressed as a decimal with a minimum precision of four decimal places. 0140- 0170Reporting currency resultsThe values shall be reported referring to the institution’s reporting currency and shall be expressed with a minimum precision of two decimal places where applicable.0140NotionalArticle 325w(1), (2) and (5) of Regulation (EU) No 575/2013

Where the risk class reported in column 0020 corresponds to Instruments other than securitisation positions, institutions shall report the notional amount of the instrument. The value shall correspond to the term Vnotional in Article 325w(1) and (2) of Regulation (EU) No 575/2013 or the term V in Article 325w(5) of that Regulation, depending on the type of exposure. The cell shall be left blank where none of those cases applies or where the institution does not explicitly calculate or use the amount to be reported in this column in order to estimate the Gross jump-to-default (JTD) amount. 0150P&L + AdjustmentArticle 325w(1), (2) and (5) of Regulation (EU) No 575/2013 Institutions shall report the sum of P&L and Adjustment for each exposure: Where the risk class reported in column 0020 corresponds to Instruments other than securitisation positions and the reported exposure is a long exposure, institutions shall report the sum of P&Llong and Adjustmentlong in accordance with Article 325w(1) of Regulation (EU) No 575/2013. Where the risk class reported in column 0020 corresponds to Instruments other than securitisation positions and the reported exposure is a short exposure, institutions shall report the sum of P&Lshort and Adjustmentshort in accordance with Article 325w(2) of that Regulation. The cell shall be left blank where none of those cases applies or where the institution does not explicitly calculate or use the amount to be reported in this column in order to estimate the Gross JTD amount. 0160Gross JTD amountArticle 325v(1), point (c), Article 325w(1), (2) and (5), Article 325z(1) and Article 325ac(2) of Regulation (EU) No 575/2013Institutions shall report the gross JTD amount for the specific exposure.0170CurrencyThe reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation).0180- 0200EBA portfolio currency resultsSections 3 and 4 of Annex V to this Regulation and Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013The values shall be reported following the instructions for column 0030 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation.0180NotionalArticle 325w(1), (2) and (5) of Regulation (EU) No 575/2013 Where the risk class reported in column 0020 corresponds to Instruments other than securitisation positions, institutions shall report the notional amount of the instrument. The value shall correspond to the term Vnotional in Article 325w(1) and (2) of Regulation (EU) No 575/2013 or the term V in Article 325w(5) of that Regulation, depending on the type of exposure. The cell shall be left blank where none of those cases applies or where the institution does not explicitly calculate or use the amount to be reported in this column in order to estimate the Gross JTD amount. 0190P&L + AdjustmentArticle 325w(1), (2) and (5) of Regulation (EU) No 575/2013 Institutions shall report the sum of P&L and Adjustment for each exposure:

Where the risk class reported in column 0020 corresponds to Instruments other than securitisation positions and the reported exposure is a long exposure, institutions shall report the sum of P&Llong and Adjustmentlong in accordance with Article 325w(1) of Regulation (EU) No 575/2013. Where the risk class reported in column 0020 corresponds to Instruments other than securitisation positions and the reported exposure is a short exposure, institutions shall report the sum of P&Lshort and Adjustmentshort in accordance with Article 325w(2) of that Regulation. The cell shall be left blank where none of those cases applies or where the institution does not explicitly calculate or use the amount to be reported in this column in order to estimate the Gross JTD amount. 0200Gross JTD amountArticle 325v(1), point (c), Article 325w(1), (2) and (5), Article 325z(1) and Article 325ac(2) of Regulation (EU) No 575/2013Institutions shall report the gross jump-to-default (JTD) amount for the specific exposure. C 120.05 – DRC. OFR COMPOSITION BY PORTFOLIO Instructions concerning sheets (z-axis) LabelLegal referenceInstructionsPortfolioSections 3, 4 and 5 of Annex VThe number of the portfolio taken from Annex V shall be reported.ColumnLabelLegal referenceInstructions0010Risk classArticle 325v(2) of Regulation (EU) No 575/2013 The risk class for which default risk requirement are reported in columns 0030 and 0040 shall be reported. The answer shall be one of the following instrument types: (a) instruments other than securitisation positions; (b) securitisation positions that are not included in the ACTP; (c) securitisation positions that are included in the ACTP. 0020Bucket1Article 325y(3), Article 325aa(4) and Article 325ad(2) of Regulation (EU) No 575/2013 The bucket shall be reported. Where the risk class reported in column 0010 corresponds to Instruments other than securitisation positions, the answer shall be one of the following: (a) corporates; (b) sovereigns; (c) local governments/municipalities. Where instead the risk class reported in column 0010 corresponds to securitisation positions that are not included in the ACTP, the answer shall be one of the following: (d) ABCP - Asia; (e) ABCP - Europe; (f) ABCP - North America; (g) ABCP - Rest of the world; (h) Auto loans/leases - Asia; (i) Auto loans/leases - Europe; (j) Auto loans/leases - North America; (k) Auto loans/leases - Rest of the world; (l) Collateralised debt obligations squared (CDO-squared) - Asia; (m) Collateralised debt obligations squared (CDO-squared) - Europe; (n) Collateralised debt obligations squared (CDO-squared) - North America; (o) Collateralised debt obligations squared (CDO-squared) - Rest of the world; (p) Collateralised loan obligations - Asia; (q) Collateralised loan obligations - Europe; (r) Collateralised loan obligations - North America; (s) Collateralised loan obligations - Rest of the world; (t) Commercial mortgage-backed securities (CMBS) - Asia; (u) Commercial mortgage-backed securities (CMBS) - Europe;

(v) Commercial mortgage-backed securities (CMBS) - North America; (w) Commercial mortgage-backed securities (CMBS) - Rest of the world; (x) Credit cards - Asia; (y) Credit cards - Europe; (z) Credit cards - North America; (aa) Credit cards - Rest of the world; (bb) Other retail - Asia; (cc) Other retail - Europe; (dd) Other retail - North America; (ee) Other retail - Rest of the world; (ff) Other wholesale - Asia; (gg) Other wholesale - Europe; (hh) Other wholesale - North America; (ii) Other wholesale - Rest of the world; (jj) Residential mortgage-backed securities (RMBS) - Asia; (kk) Residential mortgage-backed securities (RMBS) - Europe; (ll) Residential mortgage-backed securities (RMBS) - North America; (mm) Residential mortgage-backed securities (RMBS) - Rest of the world; (nn) Small and medium-sized enterprises (SMEs) - Asia; (oo) Small and medium-sized enterprises (SMEs) - Europe; (pp) Small and medium-sized enterprises (SMEs) - North America; (qq) Small and medium-sized enterprises (SMEs) - Rest of the world; (rr) Student loans - Asia; (ss) Student loans - Europe; (tt) Student loans - North America; (uu) Student loans - Rest of the world. Where instead the risk class reported in column 0010 corresponds to securitisation positions that are included in the ACTP, the answer shall be securitisations that are included in the ACTP. 0030Bucket2Article 325ad(2) of Regulation (EU) No 575/2013Where the risk class reported in column 0010 corresponds to securitisation positions that are included in the ACTP, the answer shall be the name of the index, otherwise it shall be left (NUL)0040Own funds requirements (Reporting currency results)Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013Own funds requirements for default risk shall be reported for the RM (and final ASA) final reference date (as specified in Section 1, point (b), of Annex V to this Regulation). The values shall be reported in the institution’s reporting currency and shall be expressed with a minimum precision of two decimal places.0050Reporting currencyThe reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation).0060Own funds requirements (EBA portfolio currency results)Sections 3 and 4 of Annex V to this Regulation and Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013The values shall be reported following the instructions for column 0030 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation. C 120.06 – ASA. OFR ColumnLabelLegal referenceInstructions0010Portfolio numberSections 3, 4 and 5 of Annex VThe number of the portfolio taken from Annex V shall be reported.0020- 0040Reporting currency resultsSections 3 and 4 of Annex V 0020SBM OFRArticle 325h of Regulation (EU) No 575/2013Own funds requirements for the sensitivities-based method of the alternative standardised approach shall be reported for the RM (and final ASA) final reference date (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.0030DRC OFRArticle 325v of Regulation (EU) No 575/2013Own funds requirements for the default risk requirement of the alternative standardised approach shall be reported for the RM (and final ASA) final reference date (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.0040RRAO OFRArticle 325u of Regulation (EU) No 575/2013Own funds requirements for the residual risk add-on of the alternative standardised approach shall be reported for the RM (and final ASA) final reference date (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.0050- 0070EBA portfolio currency resultsSections 3 and 4 of Annex VWhen the reporting currency of the institution is different from the EBA portfolio currencies specified in Sections 3 and 4 of Annex V, the institutions shall convert the reporting currency at the applicable ECB spot exchange rate.0050SBM OFRArticle 325h of Regulation (EU) No 575/2013Own funds requirements for the sensitivities-based method of the alternative standardised approach shall be reported for the RM (and final ASA) final reference date (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.0060DRC OFRArticle 325v of Regulation (EU) No 575/2013Own funds requirements for the default risk requirement of the alternative standardised approach shall be reported for the RM (and final ASA) final reference date (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.0070RRAO OFRArticle 325u of Regulation (EU) No 575/2013Own funds requirements for the residual risk add-on of the alternative standardised approach shall be reported for the RM (and final ASA) final reference date (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.

Table: guidance for the reporting of templates 106.01 (column 0010) and 120.01 (column 0020) The column risk class refers to Article 325d(1) of Regulation (EU) No 575/2013. The following acronyms are used to denote the risk classes: (a) GIRR (general interest rate risk); (b) CSR_NON_SEC (credit spread risk (CSR) for non-securitisation); (c) CSR_SEC_NON_ACTP (credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR)); (d) CSR_SEC_ACTP (credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR)); (e) EQ (equity risk); (f) CM (commodity risk); (g) FX (foreign exchange risk). The column component refers to Article 325e(1) of Regulation (EU) No 575/2013. The following acronyms are used to denote the components of the sensitivities-based method: (a) DELTA (delta risk); (b) VEGA (vega risk); (c) CURVATURE (curvature risk). The column maturity refers to the maturity of the risk factor, where risk factors are defined along specified vertices following Articles 325l, 325m, 325n, 325o, 325p and 325q of Regulation (EU) No 575/2013. For vega general interest rate risk factors as specified in Article 325l(7) of that Regulation two maturities are given and separated by a hyphen (e.g. 0,5 years - 0,5 years), the first refers to the maturity of the option and the second to residual maturity of the underlying of the option at the expiry date of the option. The column additional specifications further specifies the respective risk factor with regards to the distinction between inflation risk and cross-currency basis risk factors according to Article 325l of Regulation (EU) No 575/2013, the distinction between risk factors relating to debt instruments and risk factors relating to credit default swaps according to Articles 325m and 325n of that Regulation, the distinction between equity spot price and equity repo rate risk factors according to Article 325o of that Regulation and the distinction between the upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Article 325g of that Regulation. Risk classComponentMaturityAdditional specificationRisk factor identifierLegal referenceCMDELTA0 yearsCM_D_00.00Article 325p of Regulation (EU) No 575/2013CMDELTA0,25 yearsCM_D_00.25Article 325p of Regulation (EU) No 575/2013CMDELTA0,5 yearsCM_D_00.50Article 325p of Regulation (EU) No 575/2013CMDELTA1 yearCM_D_01.00Article 325p of Regulation (EU) No 575/2013CMDELTA2 yearsCM_D_02.00Article 325p of Regulation (EU) No 575/2013CMDELTA3 yearsCM_D_03.00Article 325p of Regulation (EU) No 575/2013CMDELTA5 yearsCM_D_05.00Article 325p of Regulation (EU) No 575/2013CMDELTA10 yearsCM_D_10.00Article 325p of Regulation (EU) No 575/2013CMDELTA15 yearsCM_D_15.00Article 325p of Regulation (EU) No 575/2013CMDELTA20 yearsCM_D_20.00Article 325p of Regulation (EU) No 575/2013CMDELTA30 yearsCM_D_30.00Article 325p of Regulation (EU) No 575/2013CMVEGA0,5 yearsCM_V_00.50Article 325p of Regulation (EU) No 575/2013CMVEGA1 yearCM_V_01.00Article 325p of Regulation (EU) No 575/2013CMVEGA3 yearsCM_V_03.00Article 325p of Regulation (EU) No 575/2013CMVEGA5 yearsCM_V_05.00Article 325p of Regulation (EU) No 575/2013CMVEGA10 yearsCM_V_10.00Article 325p of Regulation (EU) No 575/2013CMCURVATUREUpward shiftCM_CUArticles 325p, 325g of Regulation (EU) No 575/2013

CMCURVATUREDownward shiftCM_CDArticles 325p, 325g of Regulation (EU) No 575/2013CSR_NON_SECDELTA0,5 yearsDebt instrumentCSR_NON_SEC_D_00.50_DEBTArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA1 yearDebt instrumentCSR_NON_SEC_D_01.00_DEBTArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA3 yearsDebt instrumentCSR_NON_SEC_D_03.00_DEBTArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA5 yearsDebt instrumentCSR_NON_SEC_D_05.00_DEBTArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA10 yearsDebt instrumentCSR_NON_SEC_D_10.00_DEBTArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA0,5 yearsCredit Default SwapCSR_NON_SEC_D_00.50_CDSArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA1 yearCredit Default SwapCSR_NON_SEC_D_01.00_CDSArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA3 yearsCredit Default SwapCSR_NON_SEC_D_03.00_CDSArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA5 yearsCredit Default SwapCSR_NON_SEC_D_05.00_CDSArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECDELTA10 yearsCredit Default SwapCSR_NON_SEC_D_10.00_CDSArticle 325m of Regulation (EU) No 575/2013CSR_NON_SECVEGA0,5 yearsCSR_NON_SEC_V_00.50Article 325m of Regulation (EU) No 575/2013CSR_NON_SECVEGA1 yearCSR_NON_SEC_V_01.00Article 325m of Regulation (EU) No 575/2013CSR_NON_SECVEGA3 yearsCSR_NON_SEC_V_03.00Article 325m of Regulation (EU) No 575/2013CSR_NON_SECVEGA5 yearsCSR_NON_SEC_V_05.00Article 325m of Regulation (EU) No 575/2013CSR_NON_SECVEGA10 yearsCSR_NON_SEC_V_10.00Article 325m of Regulation (EU) No 575/2013CSR_NON_SECCURVATUREUpward shiftCSR_NON_SEC_CUArticles 325m, 325g of Regulation (EU) No 575/2013 CSR_NON_SECCURVATUREDownward shiftCSR_NON_SEC_CDArticles 325m, 325g of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA0,5 yearsDebt instrumentCSR_SEC_ACTP_D_00.50_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA1 yearDebt instrumentCSR_SEC_ACTP_D_01.00_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA3 yearsDebt instrumentCSR_SEC_ACTP_D_03.00_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA5 yearsDebt instrumentCSR_SEC_ACTP_D_05.00_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA10 yearsDebt instrumentCSR_SEC_ACTP_D_10.00_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA0,5 yearsCredit Default SwapCSR_SEC_ACTP_D_00.50_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA1 yearCredit Default SwapCSR_SEC_ACTP_D_01.00_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA3 yearsCredit Default SwapCSR_SEC_ACTP_D_03.00_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA5 yearsCredit Default SwapCSR_SEC_ACTP_D_05.00_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPDELTA10 yearsCredit Default SwapCSR_SEC_ACTP_D_10.00_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPVEGA0,5 yearsCSR_SEC_ACTP_V_00.50Article 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPVEGA1 yearCSR_SEC_ACTP_V_01.00Article 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPVEGA3 yearsCSR_SEC_ACTP_V_03.00Article 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPVEGA5 yearsCSR_SEC_ACTP_V_05.00Article 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPVEGA10 yearsCSR_SEC_ACTP_V_10.00Article 325n of Regulation (EU) No 575/2013CSR_SEC_ACTPCURVATUREUpward shiftCSR_SEC_ACTP_CUArticles 325n, 325g of Regulation (EU) No 575/2013

CSR_SEC_ACTPCURVATUREDownward shiftCSR_SEC_ACTP_CDArticles 325n, 325g of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA0,5 yearsDebt instrumentCSR_SEC_NON_ACTP_D_00.50_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA1 yearDebt instrumentCSR_SEC_NON_ACTP_D_01.00_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA3 yearsDebt instrumentCSR_SEC_NON_ACTP_D_03.00_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA5 yearsDebt instrumentCSR_SEC_NON_ACTP_D_05.00_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA10 yearsDebt instrumentCSR_SEC_NON_ACTP_D_10.00_DEBTArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA0,5 yearsCredit Default SwapCSR_SEC_NON_ACTP_D_00.50_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA1 yearCredit Default SwapCSR_SEC_NON_ACTP_D_01.00_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA3 yearsCredit Default SwapCSR_SEC_NON_ACTP_D_03.00_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA5 yearsCredit Default SwapCSR_SEC_NON_ACTP_D_05.00_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPDELTA10 yearsCredit Default SwapCSR_SEC_NON_ACTP_D_10.00_CDSArticle 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPVEGA0,5 yearsCSR_SEC_NON_ACTP_V_00.50Article 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPVEGA1 yearCSR_SEC_NON_ACTP_V_01.00Article 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPVEGA3 yearsCSR_SEC_NON_ACTP_V_03.00Article 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPVEGA5 yearsCSR_SEC_NON_ACTP_V_05.00Article 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPVEGA10 yearsCSR_SEC_NON_ACTP_V_10.00Article 325n of Regulation (EU) No 575/2013CSR_SEC_NON_ACTPCURVATUREUpward shiftCSR_SEC_NON_ACTP_CUArticles 325n, 325g of Regulation (EU) No 575/2013 CSR_SEC_NON_ACTPCURVATUREDownward shiftCSR_SEC_NON_ACTP_CDArticles 325n, 325g of Regulation (EU) No 575/2013EQDELTASpot priceEQ_D_SPOTArticle 325o of Regulation (EU) No 575/2013EQDELTARepo rateEQ_D_REPOArticle 325o of Regulation (EU) No 575/2013EQVEGA0,5 yearsEQ_V_00.50Article 325o of Regulation (EU) No 575/2013EQVEGA1 yearEQ_V_01.00Article 325o of Regulation (EU) No 575/2013EQVEGA3 yearsEQ_V_03.00Article 325o of Regulation (EU) No 575/2013EQVEGA5 yearsEQ_V_05.00Article 325o of Regulation (EU) No 575/2013EQVEGA10 yearsEQ_V_10.00Article 325o of Regulation (EU) No 575/2013EQCURVATUREUpward shiftEQ_CUArticles 325o, 325g of Regulation (EU) No 575/2013EQCURVATUREDownward shiftEQ_CDArticles 325o, 325g of Regulation (EU) No 575/2013FXDELTAFX_DArticle 325q of Regulation (EU) No 575/2013FXVEGA0,5 yearsFX_V_00.50Article 325q of Regulation (EU) No 575/2013FXVEGA1 yearFX_V_01.00Article 325q of Regulation (EU) No 575/2013FXVEGA3 yearsFX_V_03.00Article 325q of Regulation (EU) No 575/2013FXVEGA5 yearsFX_V_05.00Article 325q of Regulation (EU) No 575/2013FXVEGA10 yearsFX_V_10.00Article 325q of Regulation (EU) No 575/2013FXCURVATUREUpward shiftFX_CUArticles 325q, 325g of Regulation (EU) No 575/2013

FXCURVATUREDownward shiftFX_CDArticles 325q, 325g of Regulation (EU) No 575/2013GIRRDELTA0,25 yearsGIRR_D_00.25Article 325l of Regulation (EU) No 575/2013GIRRDELTA0,5 yearsGIRR_D_00.50Article 325l of Regulation (EU) No 575/2013GIRRDELTA1 yearGIRR_D_01.00Article 325l of Regulation (EU) No 575/2013GIRRDELTA2 yearsGIRR_D_02.00Article 325l of Regulation (EU) No 575/2013GIRRDELTA3 yearsGIRR_D_03.00Article 325l of Regulation (EU) No 575/2013GIRRDELTA5 yearsGIRR_D_05.00Article 325l of Regulation (EU) No 575/2013GIRRDELTA10 yearsGIRR_D_10.00Article 325l of Regulation (EU) No 575/2013GIRRDELTA15 yearsGIRR_D_15.00Article 325l of Regulation (EU) No 575/2013GIRRDELTA20 yearsGIRR_D_20.00Article 325l of Regulation (EU) No 575/2013GIRRDELTA30 yearsGIRR_D_30.00Article 325l of Regulation (EU) No 575/2013GIRRDELTAInflationGIRR_D_INFArticle 325l of Regulation (EU) No 575/2013GIRRDELTACross-currency basis (over EUR)GIRR_D_CRO_EURArticle 325l of Regulation (EU) No 575/2013GIRRDELTACross-currency basis (over USD)GIRR_D_CRO_USDArticle 325l of Regulation (EU) No 575/2013GIRRVEGA0,5 years - 0,5 yearsGIRR_V_00.50_00.50Article 325l of Regulation (EU) No 575/2013GIRRVEGA1 year - 0,5 yearsGIRR_V_01.00_00.50Article 325l of Regulation (EU) No 575/2013GIRRVEGA3 years - 0,5 yearsGIRR_V_03.00_00.50Article 325l of Regulation (EU) No 575/2013 GIRRVEGA5 years - 0,5 yearsGIRR_V_05.00_00.50Article 325l of Regulation (EU) No 575/2013GIRRVEGA10 years - 0,5 yearsGIRR_V_10.00_00.50Article 325l of Regulation (EU) No 575/2013GIRRVEGA0,5 years - 1 yearGIRR_V_00.50_01.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA1 year - 1 yearGIRR_V_01.00_01.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA3 years - 1 yearGIRR_V_03.00_01.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA5 years - 1 yearGIRR_V_05.00_01.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA10 years - 1 yearGIRR_V_10.00_01.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA0,5 years - 3 yearsGIRR_V_00.50_03.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA1 year - 3 yearsGIRR_V_01.00_03.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA3 years - 3 yearsGIRR_V_03.00_03.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA5 years - 3 yearsGIRR_V_05.00_03.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA10 years - 3 yearsGIRR_V_10.00_03.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA0,5 years - 5 yearsGIRR_V_00.50_05.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA1 year - 5 yearsGIRR_V_01.00_05.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA3 years - 5 yearsGIRR_V_03.00_05.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA5 years - 5 yearsGIRR_V_05.00_05.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA10 years - 5 yearsGIRR_V_10.00_05.00Article 325l of Regulation (EU) No 575/2013 GIRRVEGA0,5 years - 10 yearsGIRR_V_00.50_10.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA1 year - 10 yearsGIRR_V_01.00_10.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA3 years - 10 yearsGIRR_V_03.00_10.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA5 years - 10 yearsGIRR_V_05.00_10.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA10 years - 10 yearsGIRR_V_10.00_10.00Article 325l of Regulation (EU) No 575/2013GIRRVEGA0,5 yearsInflationGIRR_V_00.50_INFArticle 325l of Regulation (EU) No 575/2013GIRRVEGA1 yearInflationGIRR_V_01.00_INFArticle 325l of Regulation (EU) No 575/2013GIRRVEGA3 yearsInflationGIRR_V_03.00_INFArticle 325l of Regulation (EU) No 575/2013GIRRVEGA5 yearsInflationGIRR_V_05.00_INFArticle 325l of Regulation (EU) No 575/2013GIRRVEGA10 yearsInflationGIRR_V_10.00_INFArticle 325l of Regulation (EU) No 575/2013GIRRVEGA0,5 yearsCross-currency basis (over EUR)GIRR_V_00.50_CRO_EURArticle 325l of Regulation (EU) No 575/2013GIRRVEGA1 yearCross-currency basis (over EUR)GIRR_V_01.00_CRO_EURArticle 325l of Regulation (EU) No 575/2013GIRRVEGA3 yearsCross-currency basis (over EUR)GIRR_V_03.00_CRO_EURArticle 325l of Regulation (EU) No 575/2013GIRRVEGA5 yearsCross-currency basis (over EUR)GIRR_V_05.00_CRO_EURArticle 325l of Regulation (EU) No 575/2013GIRRVEGA10 yearsCross-currency basis (over EUR)GIRR_V_10.00_CRO_EURArticle 325l of Regulation (EU) No 575/2013GIRRVEGA0,5 yearsCross-currency basis (over USD)GIRR_V_00.50_CRO_USDArticle 325l of Regulation (EU) No 575/2013GIRRVEGA1 yearCross-currency basis (over USD)GIRR_V_01.00_CRO_USDArticle 325l of Regulation (EU) No 575/2013

GIRRVEGA3 yearsCross-currency basis (over USD)GIRR_V_03.00_CRO_USDArticle 325l of Regulation (EU) No 575/2013GIRRVEGA5 yearsCross-currency basis (over USD)GIRR_V_05.00_CRO_USDArticle 325l of Regulation (EU) No 575/2013GIRRVEGA10 yearsCross-currency basis (over USD)GIRR_V_10.00_CRO_USDArticle 325l of Regulation (EU) No 575/2013GIRRCURVATUREUpward shiftGIRR_CUArticles 325l, 325g of Regulation (EU) No 575/2013GIRRCURVATUREDownward shiftGIRR_CDArticles 325l, 325g of Regulation (EU) No 575/2013

Annex

ANNEX IV

Annex

ANNEX VII Results Supervisory Benchmarking portfolios. MARKET RISK RESULTS BENCHMARKING PORTFOLIOS. MARKET RISKTemplate numberTemplate codeName of the template /group of templatesShort nameINITIAL MARKET VALUATION106,1C 106.00INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATIONIMV106,2C 106.01RISK SENSITIVITIES BY INSTRUMENTSENSITIVITIESVaR, sVaR and PV107,1C 107.01DETAILSVaR&SVaR 1107,2C 107.02EBA PORTFOLIO CURRENCY RESULTSVaR&SVaR 2PROFIT & LOSS TIME SERIES108C 108.00PROFIT & LOSS TIME SERIESP&LINCREMENTAL RISK CHARGE109,1C 109.01IRC. DETAILS OF THE MODELIRC 1109,2C 109.02IRC. DETAILS BY PORTFOLIOIRC 2109,3C 109.03IRC. AMOUNT BY PORTFOLIO/DATEIRC 3CORRELATION TRADING110,1C 110.01CT. DETAILS OF THE MODELCT 1110,2C 110.02CT. DETAILS BY PORTFOLIOCT 2110,3C 110.03CT. AMOUNT BY PORTFOLIO/DATECT 3ASA (SBM & DRC)120,1C 120.01SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIOSBM 1120,2C 120.02SBM. OFR COMPOSITION BY PORTFOLIOSBM 2120,4C 120.04DRC. MARKET VALUES AND GROSS JTD AMOUNTS BY INSTRUMENT/PORTFOLIODRC 1120,5C 120.05DRC. OFR COMPOSITION BY PORTFOLIODRC 2120,6C 120.06ASA. OFR BY PORTFOLIOASA OFR C 106.00 - INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATIONInstrument numberInstrument Modelled for Var + SVaR (True/False)Instrument Modelled for IRC (True/False)Instrument Modelled for Correlation Trading (True/False)Rationale for ExclusionFree text boxInitial Market Valuation0010002000300040005000600070C 106.01 - RISK SENSITIVITIES BY INSTRUMENTInstrument numberRisk factor identifierBucketAdditional identifierRisk sensitivity (Reporting currency results)Reporting currencyRisk sensitivity (EBA instrument currency results)Pricing modelSensitivities definitionFree text boxAdditional identifier2Credit quality category001000200030005000600070008000900100110120C 107.01 - VaR, sVaR and PV. DETAILSOptionFree text box00100020VaR0010Methodology0020Computation of 10-day Horizon 0030Length of observation period0040Data Weighting0050Backtesting add-on0060VaR Regulatory add-onSVaR0070Methodology0080Computation of 10-day Horizon0090SVaR Regulatory add-on0100SVaR periodC 107.02 - VaR and SVaR NON-CTP. EBA PORTFOLIO CURRENCY RESULTSPortfolioDateVaRsVaRPV0010002000300040 C 108.00- PROFIT & LOSS TIME SERIESPortfolioDateDaily P&L00100020C 109.01 - IRC. DETAILS OF THE MODELOptionFree text boxRowItem001000200010Number of modelling factors0020Source of LGDs C 109.02 - IRC. DETAILS BY PORTFOLIOPortfolioOptionFree text boxRowItem001000200010Liquidity Horizon0020Source of PDs0030Source of transition matricesC 109.03 - IRC. AMOUNT BY PORTFOLIO/DATEPortfolioDateIRC00100020

C 110.01 - CT. DETAILS OF THE MODELOptionFree text boxRowItem001000200010Number of modelling factors0020Source of LGDsC 110.02 - CT. DETAILS BY PORTFOLIOPortfolioOptionFree text boxRowItem001000200010Liquidity Horizon0020Source of PDs0030Source of transition matrices C 110.03 - CT. APR BY PORTFOLIO/DATEPortfolioDateAPR00100060C 120.01 - SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIOPortfolioInstrument numberRisk factor identifierBucketAdditional identifier Risk sensitivity (Reporting currency results) Reporting currency Risk sensitivity (EBA portfolio currency results) Risk weightAdditional identifier2Credit quality category00100020003000400060007000800090110120 C 120.02 - SBM. OFR COMPOSITION BY PORTFOLIOPortfolioRisk classRisk ComponentCorrelations scenarioOwn funds requirements (Reporting currency results)Reporting currencyOwn funds requirements (EBA portfolio currency results)Positions without optionality subjected to curvature risk own funds requirementsBase currency approach applied for foreign-exchange risk delta and curvatureDivision of curvature risk components for foreign-exchange risk by scalarSubmission of SBM validation portfolio resultsFree text box00100020003000400050006000700080009009500100C 120.04 - DRC. Market values and gross JTD amounts by Instrument/PortfolioPortfolioIntegerInstrument numberRisk classBucket1Bucket2ObligorCredit quality categoryDefault risk weightSeniorityMaturityRecovery RateDirectionAttachment point (%)Detachment point (%)Reporting currency resultsEBA portfolio currency resultsNotionalP&L + AdjustmentGross JTD amountCurrencyNotionalP&L + AdjustmentGross JTD amount00100020003000400050006000700080009001000110012001300140015001600170018001900200 C 120.05 - DRC. OFR COMPOSITION BY PORTFOLIOPortfolioIntegerRisk classBucket1Bucket2Own funds requirements (Reporting currency results)Reporting currencyOwn funds requirements (EBA portfolio currency results)001000200030004000500060C 120.06 - ASA. OFRPortfolio numberReporting currency resultsEBA portfolio currency resultsSBM OFRDRC OFRRRAO OFRSBM OFRDRC OFRRRAO OFR0010002000300040005000600070

Annex

ANNEX V

Annex

ANNEX X SBM Validation Portfolios Sheet nameDescriptionInstrumentsInstruments (sensitivities and curvature risk positions) for SBM validation purposesPortfoliosSBM validation portfolios defined as combinations of the instruments defined in this AnnexInstrumentRisk factor identifierBucketAdditional identifierAdditional identifier2Credit quality categoryRisk sensitivityS_IRV_b25#GIRR_V_10.00_10.00USD400,00S_IRV_b24#GIRR_V_10.00_05.00USD200,00S_IRV_b23#GIRR_V_10.00_03.00USD–900,00S_IRV_b22#GIRR_V_10.00_01.00USD950,00S_IRV_b21#GIRR_V_10.00_00.50USD–350,00S_IRV_b20#GIRR_V_05.00_10.00USD1000,00S_IRV_b19#GIRR_V_05.00_05.00USD–300,00S_IRV_b18#GIRR_V_05.00_03.00USD50,00S_IRV_b17#GIRR_V_05.00_01.00USD300,00S_IRV_b16#GIRR_V_05.00_00.50USD–50,00S_IRV_e3#GIRR_V_03.00_CRO_USDBRL500,00S_IRV_b15#GIRR_V_03.00_10.00USD–400,00 S_IRV_b14#GIRR_V_03.00_05.00USD700,00S_IRV_b13#GIRR_V_03.00_03.00USD–800,00S_IRV_b12#GIRR_V_03.00_01.00USD700,00S_IRV_b11#GIRR_V_03.00_00.50USD–100,00S_IRV_e2#GIRR_V_01.00_INFBRL750,00S_IRV_b10#GIRR_V_01.00_10.00USD500,00S_IRV_b9#GIRR_V_01.00_05.00USD50,00S_IRV_b8#GIRR_V_01.00_03.00USD–500,00S_IRV_b7#GIRR_V_01.00_01.00USD200,00S_IRV_b6#GIRR_V_01.00_00.50USD900,00S_IRV_b5#GIRR_V_00.50_10.00USD100,00S_IRV_c5#GIRR_V_00.50_10.00CLP–100,00S_IRV_d5#GIRR_V_00.50_10.00EUR–2000,00S_IRV_b4#GIRR_V_00.50_05.00USD100,00S_IRV_c4#GIRR_V_00.50_05.00CLP100,00S_IRV_d4#GIRR_V_00.50_05.00EUR1500,00S_IRV_b3#GIRR_V_00.50_03.00USD–500,00S_IRV_c3#GIRR_V_00.50_03.00CLP–300,00S_IRV_d3#GIRR_V_00.50_03.00EUR1000,00S_IRV_b2#GIRR_V_00.50_01.00USD400,00S_IRV_c2#GIRR_V_00.50_01.00CLP150,00S_IRV_d2#GIRR_V_00.50_01.00EUR3750,00S_IRV_a1#GIRR_V_00.50_00.50USD–100,00S_IRV_b1#GIRR_V_00.50_00.50USD700,00

S_IRV_c1#GIRR_V_00.50_00.50CLP300,00S_IRV_d1#GIRR_V_00.50_00.50EUR–4750,00S_IRV_e1#GIRR_V_00.50_00.50BRL–500,00S_IRD_b11#GIRR_D_INFUSD–50000,00S_IRD_d11#GIRR_D_INFCLP95000,00S_IRD_e11#GIRR_D_INFEURDE–65000,00S_IRD_e13#GIRR_D_INFEURFR–100000,00S_IRD_d12#GIRR_D_CRO_USDCLP10500,00S_IRD_e12#GIRR_D_CRO_USDEUR–85000,00S_IRD_b12#GIRR_D_CRO_EURUSD–65000,00S_IRD_b10#GIRR_D_30.00USDOIS–50000,00S_IRD_c10#GIRR_D_30.00USDLibor3m10000,00S_IRD_d10#GIRR_D_30.00CLPOIS15000,00S_IRD_e10#GIRR_D_30.00EUROIS–120000,00S_IRD_b9#GIRR_D_20.00USDOIS200000,00S_IRD_c9#GIRR_D_20.00USDLibor3m–30000,00S_IRD_d9#GIRR_D_20.00CLPOIS90000,00S_IRD_e9#GIRR_D_20.00EUROIS100,00S_IRD_b8#GIRR_D_15.00USDOIS30000,00S_IRD_c8#GIRR_D_15.00USDLibor3m10000,00S_IRD_d8#GIRR_D_15.00CLPOIS70000,00 S_IRD_e8#GIRR_D_15.00EUROIS100,00S_IRD_b7#GIRR_D_10.00USDOIS2000,00S_IRD_c7#GIRR_D_10.00USDLibor3m–100000,00S_IRD_d7#GIRR_D_10.00CLPOIS–25000,00S_IRD_e7#GIRR_D_10.00EUROIS100,00S_IRD_b6#GIRR_D_05.00USDOIS–90000,00S_IRD_c6#GIRR_D_05.00USDLibor3m–35000,00S_IRD_d6#GIRR_D_05.00CLPOIS–5000,00S_IRD_e6#GIRR_D_05.00EUROIS100,00S_IRD_b5#GIRR_D_03.00USDOIS85000,00S_IRD_c5#GIRR_D_03.00USDLibor3m55000,00S_IRD_d5#GIRR_D_03.00CLPOIS–100000,00S_IRD_e5#GIRR_D_03.00EUROIS100,00S_IRD_b4#GIRR_D_02.00USDOIS–10000,00S_IRD_c4#GIRR_D_02.00USDLibor3m10000,00S_IRD_d4#GIRR_D_02.00CLPOIS5000,00S_IRD_e4#GIRR_D_02.00EUROIS100,00S_IRD_b3#GIRR_D_01.00USDOIS–65000,00S_IRD_c3#GIRR_D_01.00USDLibor3m70000,00S_IRD_d3#GIRR_D_01.00CLPOIS10000,00S_IRD_e3#GIRR_D_01.00EUROIS–50000,00S_IRD_b2#GIRR_D_00.50USDOIS15000,00S_IRD_c2#GIRR_D_00.50USDLibor3m–40000,00S_IRD_d2#GIRR_D_00.50CLPOIS45000,00S_IRD_e2#GIRR_D_00.50EUROIS100,00S_IRD_a1#GIRR_D_00.25USDOIS30000,00S_IRD_b1#GIRR_D_00.25USDOIS20000,00 S_IRD_c1#GIRR_D_00.25USDLibor3m–30000,00S_IRD_d1#GIRR_D_00.25CLPOIS–30000,00S_IRD_e1#GIRR_D_00.25EUROIS100,00S_IRD_f1#GIRR_D_00.25DKKOIS100,00S_IRC_a1#GIRR_CUUSD–18466,83S_IRC_b1#GIRR_CUUSD92233,09S_IRC_c1#GIRR_CUCLP–1270,00S_IRC_d1#GIRR_CUEUR–253,12S_IRC_e1#GIRR_CUVND–11950,00S_IRC_a1#GIRR_CDUSD18647,66S_IRC_b1#GIRR_CDUSD–93178,71S_IRC_c1#GIRR_CDCLP450,00S_IRC_d1#GIRR_CDEUR–3237,08S_IRC_e1#GIRR_CDVND–4030,00S_FXV_b4#FX_V_5.00EUR_CLP200,00S_FXV_d4#FX_V_5.00CHF_VND1500,00S_FXV_b3#FX_V_3.00EUR_CLP–400,00S_FXV_d3#FX_V_3.00CHF_VND1000,00S_FXV_b5#FX_V_10.00EUR_CLP150,00S_FXV_d5#FX_V_10.00CHF_VND–2000,00S_FXV_b2#FX_V_1.00EUR_CLP300,00S_FXV_d2#FX_V_1.00CHF_VND3750,00 S_FXV_a1#FX_V_0.50EUR_CLP–100,00S_FXV_b1#FX_V_0.50EUR_CLP700,00S_FXV_c1#FX_V_0.50AUD_JPY450,00S_FXV_d1#FX_V_0.50CHF_VND–4800,00S_FXD_a1#FX_DGBP5000,00S_FXD_b1#FX_DGBP–8000,00S_FXD_c1#FX_DCLP3000,00S_FXD_d1#FX_DDKK1000,00S_FXD_f1#FX_DBGN1000,00S_FXC_a1#FX_CUEUR–16037,91S_FXC_b1#FX_CUEUR80159,24S_FXC_c1#FX_CUCLP–800,00S_FXC_d1#FX_CUJPY–1472,88S_FXC_e1#FX_CUVND–3400,00S_FXC_f1#FX_CUDKK–48,61S_FXC_a1#FX_CDEUR16162,18S_FXC_b1#FX_CDEUR–80723,02S_FXC_c1#FX_CDCLP700,00S_FXC_d1#FX_CDJPY–1324,35S_FXC_e1#FX_CDVND–2100,00S_FXC_f1#FX_CDDKK48,61S_EQV_a5#EQ_V_5.001ISSUER A100,00 S_EQV_aa4#EQ_V_5.005ISSUER AA1200,00S_EQV_ac1#EQ_V_5.007ISSUER AC–50,00S_EQV_ae4#EQ_V_5.009ISSUER AE600,00S_EQV_af4#EQ_V_5.0010ISSUER AF375,00S_EQV_b4#EQ_V_5.001ISSUER B50,00S_EQV_f4#EQ_V_5.005ISSUER F450,00S_EQV_j4#EQ_V_5.009ISSUER J–200,00S_EQV_k4#EQ_V_5.0010ISSUER K–825,00S_EQV_m1#EQ_V_5.0011ISSUER M–700,00S_EQV_n4#EQ_V_5.0012INDEX N850,00S_EQV_o4#EQ_V_5.0012INDEX O150,00S_EQV_y1#EQ_V_5.003ISSUER Y700,00S_EQV_a4#EQ_V_3.001ISSUER A–500,00S_EQV_aa3#EQ_V_3.005ISSUER AA–850,00S_EQV_ad1#EQ_V_3.008ISSUER AD300,00S_EQV_ae3#EQ_V_3.009ISSUER AE–450,00S_EQV_af3#EQ_V_3.0010ISSUER AF–725,00S_EQV_b3#EQ_V_3.001ISSUER B–500,00

S_EQV_f3#EQ_V_3.005ISSUER F250,00S_EQV_j3#EQ_V_3.009ISSUER J–900,00S_EQV_k3#EQ_V_3.0010ISSUER K–975,00S_EQV_n3#EQ_V_3.0012INDEX N–1250,00S_EQV_o3#EQ_V_3.0012INDEX O100,00S_EQV_x1#EQ_V_3.002ISSUER X–200,00S_EQV_z1#EQ_V_3.004ISSUER Z–800,00S_EQV_a6#EQ_V_10.001ISSUER A100,00S_EQV_aa5#EQ_V_10.005ISSUER AA–300,00S_EQV_ab1#EQ_V_10.006ISSUER AB–400,00S_EQV_ae5#EQ_V_10.009ISSUER AE–850,00S_EQV_af5#EQ_V_10.0010ISSUER AF525,00S_EQV_b5#EQ_V_10.001ISSUER B500,00S_EQV_f5#EQ_V_10.005ISSUER F600,00S_EQV_j5#EQ_V_10.009ISSUER J150,00S_EQV_k5#EQ_V_10.0010ISSUER K300,00S_EQV_n5#EQ_V_10.0012INDEX N225,00S_EQV_o5#EQ_V_10.0012INDEX O–200,00 S_EQV_q1#EQ_V_10.0013INDEX Q–800,00S_EQV_a3#EQ_V_1.001ISSUER A400,00S_EQV_aa2#EQ_V_1.005ISSUER AA–400,00S_EQV_ae2#EQ_V_1.009ISSUER AE–250,00S_EQV_af2#EQ_V_1.0010ISSUER AF–1150,00S_EQV_b2#EQ_V_1.001ISSUER B200,00S_EQV_f2#EQ_V_1.005ISSUER F–750,00S_EQV_j2#EQ_V_1.009ISSUER J350,00S_EQV_k2#EQ_V_1.0010ISSUER K1050,00S_EQV_n2#EQ_V_1.0012INDEX N–800,00S_EQV_o2#EQ_V_1.0012INDEX O400,00S_EQV_a1#EQ_V_0.501ISSUER A–100,00S_EQV_a2#EQ_V_0.501ISSUER A700,00S_EQV_aa1#EQ_V_0.505ISSUER AA950,00S_EQV_ae1#EQ_V_0.509ISSUER AE50,00S_EQV_af1#EQ_V_0.5010ISSUER AF–300,00S_EQV_b1#EQ_V_0.501ISSUER B900,00S_EQV_c1#EQ_V_0.502ISSUER C–500,00 S_EQV_d1#EQ_V_0.503ISSUER D600,00S_EQV_e1#EQ_V_0.504ISSUER E–800,00S_EQV_f1#EQ_V_0.505ISSUER F1000,00S_EQV_g1#EQ_V_0.506ISSUER G–400,00S_EQV_h1#EQ_V_0.507ISSUER H–50,00S_EQV_i1#EQ_V_0.508ISSUER I300,00S_EQV_j1#EQ_V_0.509ISSUER J50,00S_EQV_k1#EQ_V_0.5010ISSUER K–300,00S_EQV_l1#EQ_V_0.5011ISSUER L1000,00S_EQV_n1#EQ_V_0.5012INDEX N750,00S_EQV_o1#EQ_V_0.5012INDEX O–500,00S_EQV_p1#EQ_V_0.5013INDEX P40,00S_EQD_a1#EQ_D_SPOT1ISSUER A16500,00S_EQD_a2#EQ_D_SPOT1ISSUER A–35000,00S_EQD_b1#EQ_D_SPOT1ISSUER B20000,00S_EQD_c1#EQ_D_SPOT2ISSUER C66000,00S_EQD_d1#EQ_D_SPOT3ISSUER D1700,00S_EQD_e1#EQ_D_SPOT4ISSUER E1100,00 S_EQD_f1#EQ_D_SPOT5ISSUER F25000,00S_EQD_g1#EQ_D_SPOT5ISSUER G8400,00S_EQD_h1#EQ_D_SPOT6ISSUER H22500,00S_EQD_i1#EQ_D_SPOT7ISSUER I–12300,00S_EQD_j1#EQ_D_SPOT8ISSUER J–450,00S_EQD_k1#EQ_D_SPOT9ISSUER K–143,00S_EQD_l1#EQ_D_SPOT9ISSUER L–143,00S_EQD_m1#EQ_D_SPOT10ISSUER M–100,00S_EQD_n1#EQ_D_SPOT10ISSUER N–100,00S_EQD_o1#EQ_D_SPOT11ISSUER O–19600,00S_EQD_q1#EQ_D_SPOT12INDEX Q1100,00S_EQD_r1#EQ_D_SPOT12INDEX R–40000,00S_EQD_s1#EQ_D_SPOT13INDEX S–1950,00S_EQD_s2#EQ_D_SPOT13INDEX S280,00S_EQD_t2#EQ_D_SPOT13INDEX T3150,00S_EQD_u1#EQ_D_SPOT9ISSUER U–57,00S_EQD_v1#EQ_D_SPOT10ISSUER V–100,00 S_EQD_a3#EQ_D_REPO1ISSUER A50000,00S_EQD_aa1#EQ_D_REPO6ISSUER AA79000,00S_EQD_ab1#EQ_D_REPO7ISSUER AB31000,00S_EQD_ac1#EQ_D_REPO8ISSUER AC–10000,00S_EQD_b2#EQ_D_REPO1ISSUER B–39000,00S_EQD_f2#EQ_D_REPO5ISSUER F90000,00S_EQD_g2#EQ_D_REPO5ISSUER G60000,00S_EQD_k2#EQ_D_REPO9ISSUER K–14250,00S_EQD_l2#EQ_D_REPO9ISSUER L–150000,00S_EQD_m2#EQ_D_REPO10ISSUER M–85000,00S_EQD_n2#EQ_D_REPO10ISSUER N–72000,00S_EQD_p1#EQ_D_REPO11ISSUER P48000,00S_EQD_q2#EQ_D_REPO12INDEX Q85000,00S_EQD_r2#EQ_D_REPO12INDEX R–40000,00S_EQD_t1#EQ_D_REPO13INDEX T–125000,00S_EQD_x1#EQ_D_REPO2ISSUER X75000,00S_EQD_y1#EQ_D_REPO3ISSUER Y4800,00

S_EQD_z1#EQ_D_REPO4ISSUER Z–15000,00S_EQC_a1#EQ_CU1ISSUER A–37820,00S_EQC_a2#EQ_CU1ISSUER A77655,00S_EQC_aa1#EQ_CU2ISSUER AA39300,00S_EQC_ab1#EQ_CU4ISSUER AB17262,00S_EQC_ac1#EQ_CU5ISSUER AC7139,60S_EQC_ad1#EQ_CU6ISSUER AD–3642,50S_EQC_ae1#EQ_CU7ISSUER AE3900,00S_EQC_af1#EQ_CU8ISSUER AF41550,00S_EQC_ag1#EQ_CU9ISSUER AG36860,00S_EQC_ah1#EQ_CU10ISSUER AH22150,00S_EQC_b1#EQ_CU1ISSUER B20677,50S_EQC_c1#EQ_CU2ISSUER C–31440,00S_EQC_d1#EQ_CU3ISSUER D6238,00S_EQC_e1#EQ_CU4ISSUER E–21605,00S_EQC_f1#EQ_CU5ISSUER F–2850,00S_EQC_g1#EQ_CU6ISSUER G–3642,50 S_EQC_h1#EQ_CU7ISSUER H–7800,00S_EQC_i1#EQ_CU8ISSUER I–29550,00S_EQC_j1#EQ_CU9ISSUER J–216320,00S_EQC_k1#EQ_CU10ISSUER K1950,00S_EQC_q1#EQ_CU11ISSUER Q–19142,00S_EQC_r1#EQ_CU11ISSUER R28713,00S_EQC_s1#EQ_CU3ISSUER S–17025,00S_EQC_t1#EQ_CU12ISSUER T7466,67S_EQC_u1#EQ_CU13ISSUER U11160,00S_EQC_v1#EQ_CU12ISSUER V–39200,00S_EQC_w1#EQ_CU13ISSUER W–58590,00S_EQC_y1#EQ_CU1ISSUER Y–23930,00S_EQC_z1#EQ_CU1ISSUER Z–47860,00S_EQC_a1#EQ_CD1ISSUER A39157,50S_EQC_a2#EQ_CD1ISSUER A–80349,00S_EQC_aa1#EQ_CD2ISSUER AA–30600,00S_EQC_ab1#EQ_CD4ISSUER AB–9826,00S_EQC_ac1#EQ_CD5ISSUER AC–5414,60 S_EQC_ad1#EQ_CD6ISSUER AD2617,50S_EQC_ae1#EQ_CD7ISSUER AE–2720,00S_EQC_af1#EQ_CD8ISSUER AF–28250,00S_EQC_ag1#EQ_CD9ISSUER AG–30935,00S_EQC_ah1#EQ_CD10ISSUER AH–15025,00S_EQC_b1#EQ_CD1ISSUER B–238910,00S_EQC_c1#EQ_CD2ISSUER C24480,00S_EQC_d1#EQ_CD3ISSUER D–6068,00S_EQC_e1#EQ_CD4ISSUER E12310,00S_EQC_f1#EQ_CD5ISSUER F2160,00S_EQC_g1#EQ_CD6ISSUER G2617,50S_EQC_h1#EQ_CD7ISSUER H5440,00S_EQC_i1#EQ_CD8ISSUER I20050,00S_EQC_j1#EQ_CD9ISSUER J181560,00S_EQC_k1#EQ_CD10ISSUER K–2900,00S_EQC_q1#EQ_CD11ISSUER Q20052,00S_EQC_r1#EQ_CD11ISSUER R–30078,00S_EQC_s1#EQ_CD3ISSUER S–9435,00 S_EQC_t1#EQ_CD12ISSUER T–7400,00S_EQC_u1#EQ_CD13ISSUER U–11040,00S_EQC_v1#EQ_CD12ISSUER V38850,00S_EQC_w1#EQ_CD13ISSUER W57960,00S_EQC_y1#EQ_CD1ISSUER Y13590,00S_EQC_z1#EQ_CD1ISSUER Z27180,00S_CNV_a5#CSR_NON_SEC_V_5.001ISSUER A100,00S_CNV_b4#CSR_NON_SEC_V_5.001ISSUER B50,00S_CNV_c4#CSR_NON_SEC_V_5.003ISSUER C150,00S_CNV_hb1#CSR_NON_SEC_V_5.009ISSUER HA–750,00S_CNV_a4#CSR_NON_SEC_V_3.001ISSUER A–500,00S_CNV_ab1#CSR_NON_SEC_V_3.002ISSUER AB325,00S_CNV_b3#CSR_NON_SEC_V_3.001ISSUER B–500,00S_CNV_c3#CSR_NON_SEC_V_3.003ISSUER C100,00S_CNV_v1#CSR_NON_SEC_V_3.0020INDEX V500,00S_CNV_a6#CSR_NON_SEC_V_10.001ISSUER A100,00S_CNV_b5#CSR_NON_SEC_V_10.001ISSUER B500,00 S_CNV_c5#CSR_NON_SEC_V_10.003ISSUER C–200,00S_CNV_a3#CSR_NON_SEC_V_1.001ISSUER A400,00S_CNV_b2#CSR_NON_SEC_V_1.001ISSUER B200,00S_CNV_c2#CSR_NON_SEC_V_1.003ISSUER C400,00S_CNV_a1#CSR_NON_SEC_V_0.501ISSUER A–100,00S_CNV_a2#CSR_NON_SEC_V_0.501ISSUER A700,00S_CNV_b1#CSR_NON_SEC_V_0.501ISSUER B900,00S_CNV_c1#CSR_NON_SEC_V_0.503ISSUER C–500,00S_CNV_d1#CSR_NON_SEC_V_0.504ISSUER D700,00S_CNV_e1#CSR_NON_SEC_V_0.505ISSUER E–800,00S_CNV_f1#CSR_NON_SEC_V_0.506ISSUER F700,00S_CNV_g1#CSR_NON_SEC_V_0.507ISSUER G–400,00S_CNV_h1#CSR_NON_SEC_V_0.508ISSUER H–50,00S_CNV_i1#CSR_NON_SEC_V_0.5010ISSUER I300,00S_CNV_j1#CSR_NON_SEC_V_0.5011ISSUER J50,00S_CNV_k1#CSR_NON_SEC_V_0.5012ISSUER K–300,00S_CNV_l1#CSR_NON_SEC_V_0.5013ISSUER L1000,00

S_CNV_m1#CSR_NON_SEC_V_0.5014ISSUER M–350,00S_CNV_n1#CSR_NON_SEC_V_0.5015ISSUER N950,00S_CNV_o1#CSR_NON_SEC_V_0.5016ISSUER O–900,00S_CNV_p1#CSR_NON_SEC_V_0.5017ISSUER P200,00S_CNV_q1#CSR_NON_SEC_V_0.5018ISSUER Q400,00S_CNV_r1#CSR_NON_SEC_V_0.5018ISSUER R–300,00S_CNV_s1#CSR_NON_SEC_V_0.5019INDEX S850,00S_CNV_t1#CSR_NON_SEC_V_0.5020INDEX T–650,00S_CNV_u1#CSR_NON_SEC_V_0.5019INDEX U–350,00S_CND_hb2#CSR_NON_SEC_D_3.00_DEBT9ISSUER HB–17000,00S_CND_t1#CSR_NON_SEC_D_3.00_DEBT3ISSUER T–6000,00S_CND_y1#CSR_NON_SEC_D_3.00_DEBT20INDEX Y9000,00S_CND_ab2#CSR_NON_SEC_D_3.00_CDS2ISSUER AC14000,00S_CND_b2#CSR_NON_SEC_D_3.00_CDS1ISSUER B–17000,00S_CND_w1#CSR_NON_SEC_D_10.00_DEBT10ISSUER WCQS 19000,00S_CND_a4#CSR_NON_SEC_D_1.00_DEBT1ISSUER A–10000,00S_CND_s1#CSR_NON_SEC_D_1.00_DEBT3ISSUER S–6000,00 S_CND_x1#CSR_NON_SEC_D_1.00_CDS19INDEX X–18500,00S_CND_a1#CSR_NON_SEC_D_0.50_DEBT1ISSUER A20000,00S_CND_a2#CSR_NON_SEC_D_0.50_DEBT1ISSUER A–30000,00S_CND_b1#CSR_NON_SEC_D_0.50_DEBT1ISSUER B12000,00S_CND_c1#CSR_NON_SEC_D_0.50_DEBT3ISSUER C–6000,00S_CND_d1#CSR_NON_SEC_D_0.50_DEBT4ISSUER D25000,00S_CND_e1#CSR_NON_SEC_D_0.50_DEBT5ISSUER E–4000,00S_CND_f1#CSR_NON_SEC_D_0.50_DEBT6ISSUER F–8000,00S_CND_g1#CSR_NON_SEC_D_0.50_DEBT7ISSUER G8000,00S_CND_h1#CSR_NON_SEC_D_0.50_DEBT8ISSUER H3000,00S_CND_hb1#CSR_NON_SEC_D_0.50_DEBT9ISSUER HA–23000,00S_CND_i1#CSR_NON_SEC_D_0.50_DEBT10ISSUER ICQS 2–5000,00S_CND_j1#CSR_NON_SEC_D_0.50_DEBT11ISSUER J2000,00S_CND_k1#CSR_NON_SEC_D_0.50_DEBT12ISSUER K7000,00S_CND_l1#CSR_NON_SEC_D_0.50_DEBT13ISSUER L–9000,00S_CND_m1#CSR_NON_SEC_D_0.50_DEBT14ISSUER M10000,00S_CND_n1#CSR_NON_SEC_D_0.50_DEBT15ISSUER N–20000,00 S_CND_o1#CSR_NON_SEC_D_0.50_DEBT16ISSUER O5000,00S_CND_p1#CSR_NON_SEC_D_0.50_DEBT17ISSUER P–3000,00S_CND_q1#CSR_NON_SEC_D_0.50_DEBT18ISSUER Q10000,00S_CND_r1#CSR_NON_SEC_D_0.50_DEBT18ISSUER R–5000,00S_CND_a3#CSR_NON_SEC_D_0.50_CDS1ISSUER A15000,00S_CND_ab1#CSR_NON_SEC_D_0.50_CDS2ISSUER AB21000,00S_CND_u1#CSR_NON_SEC_D_0.50_CDS19INDEX U–32000,00S_CND_v1#CSR_NON_SEC_D_0.50_CDS20INDEX V–13000,00S_CND_x2#CSR_NON_SEC_D_0.50_CDS19INDEX X52500,00S_CNC_a1#CSR_NON_SEC_CU1ISSUER A–2338,64S_CNC_a2#CSR_NON_SEC_CU1ISSUER A35116,67S_CNC_aa1#CSR_NON_SEC_CU10ISSUER AACQS 1–1212,50S_CNC_ab1#CSR_NON_SEC_CU2ISSUER AB1–247,47S_CNC_b1#CSR_NON_SEC_CU1ISSUER B890,91S_CNC_c1#CSR_NON_SEC_CU3ISSUER C–500,00S_CNC_d1#CSR_NON_SEC_CU4ISSUER D415,00S_CNC_e1#CSR_NON_SEC_CU5ISSUER E–1050,00 S_CNC_f1#CSR_NON_SEC_CU6ISSUER F–150,00S_CNC_g1#CSR_NON_SEC_CU7ISSUER G–318,75S_CNC_h1#CSR_NON_SEC_CU8ISSUER H–425,00S_CNC_hb1#CSR_NON_SEC_CU9ISSUER HB1–500,00S_CNC_i1#CSR_NON_SEC_CU10ISSUER ICQS 2–937,50S_CNC_j1#CSR_NON_SEC_CU11ISSUER J–4650,00S_CNC_k1#CSR_NON_SEC_CU12ISSUER K–425,00S_CNC_l1#CSR_NON_SEC_CU13ISSUER L–27660,00S_CNC_m1#CSR_NON_SEC_CU14ISSUER M–488,00S_CNC_n1#CSR_NON_SEC_CU15ISSUER N13237,50S_CNC_o1#CSR_NON_SEC_CU16ISSUER O–1127,50S_CNC_p1#CSR_NON_SEC_CU17ISSUER P–5775,00S_CNC_q1#CSR_NON_SEC_CU18ISSUER Q–7842,00S_CNC_r1#CSR_NON_SEC_CU18ISSUER R15684,00S_CNC_s1#CSR_NON_SEC_CU4ISSUER S–750,00S_CNC_t1#CSR_NON_SEC_CU19ISSUER T3550,00S_CNC_u1#CSR_NON_SEC_CU20ISSUER U1660,00S_CNC_v1#CSR_NON_SEC_CU19ISSUER V–18637,50

S_CNC_w1#CSR_NON_SEC_CU20ISSUER W–8715,00S_CNC_x1#CSR_NON_SEC_CU3ISSUER X–500,00S_CNC_y1#CSR_NON_SEC_CU1ISSUER Y–249,95S_CNC_z1#CSR_NON_SEC_CU1ISSUER Z–249,95S_CNC_a1#CSR_NON_SEC_CD1ISSUER A2363,38S_CNC_a2#CSR_NON_SEC_CD1ISSUER A–35314,65S_CNC_aa1#CSR_NON_SEC_CD10ISSUER AACQS 11150,00S_CNC_ab1#CSR_NON_SEC_CD2ISSUER AB1247,47S_CNC_b1#CSR_NON_SEC_CD1ISSUER B–5543,43S_CNC_c1#CSR_NON_SEC_CD3ISSUER C500,00S_CNC_d1#CSR_NON_SEC_CD4ISSUER D–385,00S_CNC_e1#CSR_NON_SEC_CD5ISSUER E575,00S_CNC_f1#CSR_NON_SEC_CD6ISSUER F75,00S_CNC_g1#CSR_NON_SEC_CD7ISSUER G287,50S_CNC_h1#CSR_NON_SEC_CD8ISSUER H400,00S_CNC_hb1#CSR_NON_SEC_CD9ISSUER HB1500,00S_CNC_i1#CSR_NON_SEC_CD10ISSUER ICQS 2750,00S_CNC_j1#CSR_NON_SEC_CD11ISSUER J4100,00 S_CNC_k1#CSR_NON_SEC_CD12ISSUER K387,50S_CNC_l1#CSR_NON_SEC_CD13ISSUER L22130,00S_CNC_m1#CSR_NON_SEC_CD14ISSUER M160,00S_CNC_n1#CSR_NON_SEC_CD15ISSUER N–23437,50S_CNC_o1#CSR_NON_SEC_CD16ISSUER O1246,25S_CNC_p1#CSR_NON_SEC_CD17ISSUER P6225,00S_CNC_q1#CSR_NON_SEC_CD18ISSUER Q8752,00S_CNC_r1#CSR_NON_SEC_CD18ISSUER R–17504,00S_CNC_s1#CSR_NON_SEC_CD4ISSUER S–250,00S_CNC_t1#CSR_NON_SEC_CD19ISSUER T–3500,00S_CNC_u1#CSR_NON_SEC_CD20ISSUER U–1540,00S_CNC_v1#CSR_NON_SEC_CD19ISSUER V18375,00S_CNC_w1#CSR_NON_SEC_CD20ISSUER W8085,00S_CNC_x1#CSR_NON_SEC_CD3ISSUER X500,00S_CNC_y1#CSR_NON_SEC_CD1ISSUER Y–226,77S_CNC_z1#CSR_NON_SEC_CD1ISSUER Z–226,77S_CMV_a5#CM_V_5.001COAL–300,00 S_CMV_b4#CM_V_5.001URANIUM450,00S_CMV_a4#CM_V_3.001COAL800,00S_CMV_b3#CM_V_3.001URANIUM800,00S_CMV_a6#CM_V_10.001COAL100,00S_CMV_b5#CM_V_10.001URANIUM–250,00S_CMV_a3#CM_V_1.001COAL–200,00S_CMV_b2#CM_V_1.001URANIUM–750,00S_CMV_d1#CM_V_1.002WTI–175,00S_CMV_f1#CM_V_1.003FWD ELECTRICITY NE–450,00S_CMV_h1#CM_V_1.004PANAMAX–5500,00S_CMV_j1#CM_V_1.005COPPER–200,00S_CMV_l1#CM_V_1.006LIQUEFIED NATURAL GAS1000,00S_CMV_n1#CM_V_1.007SILVER500,00S_CMV_p1#CM_V_1.008CORN–1000,00S_CMV_r1#CM_V_1.009WHEY–125,00S_CMV_t1#CM_V_1.0010RUBBER–50,00S_CMV_v1#CM_V_1.0011POTASH–1800,00 S_CMV_a1#CM_V_0.501COAL1000,00S_CMV_a2#CM_V_0.501COAL–350,00S_CMV_b1#CM_V_0.501URANIUM150,00S_CMV_c1#CM_V_0.502BRENT200,00S_CMV_e1#CM_V_0.503SPOT ELECTRICITY SE–300,00S_CMV_g1#CM_V_0.504SUPRAMAX–5000,00S_CMV_i1#CM_V_0.505STEEL550,00S_CMV_k1#CM_V_0.506NATURAL GAS400,00S_CMV_m1#CM_V_0.507GOLD–200,00S_CMV_o1#CM_V_0.508SOYBEANS–750,00S_CMV_q1#CM_V_0.509FISH250,00S_CMV_s1#CM_V_0.5010COCOA350,00S_CMV_u1#CM_V_0.5011FLAT GLASS3000,00S_CMV_w1#CM_V_0.504SUPRAMAX–5000,00S_CMV_x1#CM_V_0.504PANAMAX15000,00S_CMD_p1#CM_D_30.008CORNOKLAHOMA–10000,00S_CMD_f1#CM_D_3.003FWD ELECTRICITY NETEXAS–4500,00 S_CMD_h1#CM_D_3.004PANAMAXNEW ORLEANS–68750,00S_CMD_n1#CM_D_20.007SILVEREU15000,00S_CMD_r1#CM_D_20.009WHEYNEWCASTLE–1250,00S_CMD_d1#CM_D_2.002WTIOKLAHOMA–1750,00S_CMD_l1#CM_D_15.006LIQUEFIED NATURAL GASOKLAHOMA10000,00S_CMD_t1#CM_D_15.0010RUBBERNEWCASTLE–500,00S_CMD_j1#CM_D_10.005COPPEROKLAHOMA–2000,00S_CMD_v1#CM_D_10.0011POTASHNEWCASTLE–18000,00S_CMD_b1#CM_D_1.001URANIUMOKLAHOMA1500,00S_CMD_g1#CM_D_1.004SUPRAMAXSANTOS–62500,00S_CMD_w1#CM_D_1.004SUPRAMAXSANTOS–62500,00S_CMD_x1#CM_D_1.004PANAMAXNEW ORLEANS187500,00S_CMD_a4#CM_D_0.501COALNEWCASTLE8000,00S_CMD_a1#CM_D_0.001COALNEWCASTLE10000,00S_CMD_a2#CM_D_0.001COALNEWCASTLE–3500,00S_CMD_a3#CM_D_0.001COALLONDON–2000,00S_CMD_c1#CM_D_0.002BRENTLE HAVRE2000,00

S_CMD_e1#CM_D_0.003SPOT ELECTRICITY SELONDON–3000,00S_CMD_i1#CM_D_0.005STEELLE HAVRE5500,00S_CMD_k1#CM_D_0.006NATURAL GASLE HAVRE4000,00S_CMD_m1#CM_D_0.007GOLDUK1–2000,00S_CMD_o1#CM_D_0.008SOYBEANSLE HAVRE–7500,00S_CMD_q1#CM_D_0.009FISHLONDON2500,00S_CMD_s1#CM_D_0.0010COCOALONDON3500,00S_CMD_u1#CM_D_0.0011FLAT GLASSLONDON30000,00S_CMC_a1#CM_CU1COAL17335,00S_CMC_a2#CM_CU1COAL36936,00S_CMC_b1#CM_CU1URANIUM6635,00S_CMC_c1#CM_CU2BRENT–11600,00S_CMC_d1#CM_CU2WTI–36900,00S_CMC_e1#CM_CU3SPOT ELECTRICITY SE8563,00S_CMC_f1#CM_CU3FWD ELECTRICITY NE–27250,00S_CMC_g1#CM_CU4SUPRAMAX–36880,00S_CMC_h1#CM_CU4PANAMAX29472,00 S_CMC_i1#CM_CU5STEEL–5850,00S_CMC_j1#CM_CU5COPPER14644,80S_CMC_k1#CM_CU6NATURAL GAS–6147,50S_CMC_l1#CM_CU6LIQUEFIED NATURAL GAS–6147,50S_CMC_m1#CM_CU7GOLD–1486,67S_CMC_n1#CM_CU7SILVER743,33S_CMC_o1#CM_CU8SOYBEANS–14535,00S_CMC_p1#CM_CU8CORN20475,00S_CMC_q1#CM_CU9FISH–19900,00S_CMC_r1#CM_CU9WHEY3387,00S_CMC_s1#CM_CU10COCOA1005,00S_CMC_t1#CM_CU10RUBBER10892,20S_CMC_u1#CM_CU11FLAT GLASS–13790,00S_CMC_v1#CM_CU11POTASH20685,00S_CMC_x1#CM_CU9MILK–6300,00S_CMC_y1#CM_CU1URANIUM–65864,00S_CMC_z1#CM_CU4PANAMAX29472,00 S_CMC_a1#CM_CD1COAL–18260,00S_CMC_a2#CM_CD1COAL–37630,00S_CMC_b1#CM_CD1URANIUM–70460,00S_CMC_c1#CM_CD2BRENT8320,00S_CMC_d1#CM_CD2WTI3550,00S_CMC_e1#CM_CD3SPOT ELECTRICITY SE–8233,00S_CMC_f1#CM_CD3FWD ELECTRICITY NE16370,00S_CMC_g1#CM_CD4SUPRAMAX29110,00S_CMC_h1#CM_CD4PANAMAX–15256,00S_CMC_i1#CM_CD5STEEL4080,00S_CMC_j1#CM_CD5COPPER–10219,80S_CMC_k1#CM_CD6NATURAL GAS4222,50S_CMC_l1#CM_CD6LIQUEFIED NATURAL GAS4222,50S_CMC_m1#CM_CD7GOLD1353,33S_CMC_n1#CM_CD7SILVER–676,67S_CMC_o1#CM_CD8SOYBEANS10435,00S_CMC_p1#CM_CD8CORN–14735,00 S_CMC_q1#CM_CD9FISH6700,00S_CMC_r1#CM_CD9WHEY–3012,00S_CMC_s1#CM_CD10COCOA–1415,00S_CMC_t1#CM_CD10RUBBER–7817,20S_CMC_u1#CM_CD11FLAT GLASS14200,00S_CMC_v1#CM_CD11POTASH–21300,00S_CMC_x1#CM_CD9MILK–4700,00S_CMC_y1#CM_CD1URANIUM–66344,00S_CMC_z1#CM_CD4PANAMAX–22856,00 PortfolioRisk classComponentInstrumentsG000GIRRDELTAS_IRD_a1#G001GIRRDELTAS_IRD_b1#G002GIRRDELTAS_IRD_b2#G003GIRRDELTAS_IRD_b3#G004GIRRDELTAS_IRD_b4#G005GIRRDELTAS_IRD_b5#G006GIRRDELTAS_IRD_b6#G007GIRRDELTAS_IRD_b7#G008GIRRDELTAS_IRD_b8#G009GIRRDELTAS_IRD_b9#G010GIRRDELTAS_IRD_b10#G011GIRRDELTAS_IRD_b11#G012GIRRDELTAS_IRD_b12#G013GIRRDELTAS_IRD_d1#G014GIRRDELTAS_IRD_d2#G015GIRRDELTAS_IRD_d3#G016GIRRDELTAS_IRD_d4#G017GIRRDELTAS_IRD_d5#G018GIRRDELTAS_IRD_d6#G019GIRRDELTAS_IRD_d7#G020GIRRDELTAS_IRD_d8#G021GIRRDELTAS_IRD_d9#G022GIRRDELTAS_IRD_d10#G023GIRRDELTAS_IRD_d11#G024GIRRDELTAS_IRD_d12#G025GIRRDELTAS_IRD_a1# S_IRD_b1#G026GIRRDELTAS_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10#G027GIRRDELTAS_IRD_b1# S_IRD_c1#G028GIRRDELTAS_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_c1# S_IRD_c2# S_IRD_c3# S_IRD_c4# S_IRD_c5# S_IRD_c6# S_IRD_c7# S_IRD_c8# S_IRD_c9# S_IRD_c10# G029GIRRDELTAS_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11#G030GIRRDELTAS_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11# S_IRD_b12#G031GIRRDELTAS_IRD_c2# S_IRD_c3# S_IRD_c6#G032GIRRDELTAS_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11# S_IRD_b12# S_IRD_c1# S_IRD_c2# S_IRD_c3# S_IRD_c4# S_IRD_c5# S_IRD_c6# S_IRD_c7# S_IRD_c8# S_IRD_c9# S_IRD_c10# S_IRD_d1# S_IRD_d2# S_IRD_d3# S_IRD_d4# S_IRD_d5# S_IRD_d6# S_IRD_d7# S_IRD_d8# S_IRD_d9# S_IRD_d10# S_IRD_d11# S_IRD_d12#G033GIRRDELTAS_IRD_d1# S_IRD_d2# S_IRD_d3# S_IRD_d4# S_IRD_d5# S_IRD_d6# S_IRD_d7# S_IRD_d8# S_IRD_d9# S_IRD_d10# S_IRD_d11# S_IRD_d12# S_IRD_e1# S_IRD_e2# S_IRD_e3# S_IRD_e4# S_IRD_e5# S_IRD_e6# S_IRD_e7# S_IRD_e8# S_IRD_e9# S_IRD_e10# S_IRD_e11# S_IRD_e12# S_IRD_e13#G034GIRRDELTAS_IRD_a1# S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11# S_IRD_b12# S_IRD_c1# S_IRD_c2# S_IRD_c3# S_IRD_c4# S_IRD_c5# S_IRD_c6# S_IRD_c7# S_IRD_c8# S_IRD_c9# S_IRD_c10# S_IRD_d1# S_IRD_d2# S_IRD_d3# S_IRD_d4# S_IRD_d5# S_IRD_d6# S_IRD_d7# S_IRD_d8# S_IRD_d9# S_IRD_d10# S_IRD_d11# S_IRD_d12# S_IRD_e1# S_IRD_e2# S_IRD_e3# S_IRD_e4# S_IRD_e5# S_IRD_e6# S_IRD_e7# S_IRD_e8# S_IRD_e9# S_IRD_e10# S_IRD_e11# S_IRD_e12# S_IRD_e13# S_IRD_f1#G035GIRRVEGAS_IRV_b1#G036GIRRVEGAS_IRV_a1# S_IRV_b1#G037GIRRVEGAS_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5#G038GIRRVEGAS_IRV_b1# S_IRV_b6# S_IRV_b11# S_IRV_b16# S_IRV_b21#

G039GIRRVEGAS_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5# S_IRV_b6# S_IRV_b7# S_IRV_b8# S_IRV_b9# S_IRV_b10# S_IRV_b11# S_IRV_b12# S_IRV_b13# S_IRV_b14# S_IRV_b15# S_IRV_b16# S_IRV_b17# S_IRV_b18# S_IRV_b19# S_IRV_b20# S_IRV_b21# S_IRV_b22# S_IRV_b23# S_IRV_b24# S_IRV_b25#G040GIRRVEGAS_IRV_e1# S_IRV_e2#G041GIRRVEGAS_IRV_e1# S_IRV_e3#G042GIRRVEGAS_IRV_d1# S_IRV_d2# S_IRV_d3# S_IRV_d4# S_IRV_d5#G043GIRRVEGAS_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5# S_IRV_b6# S_IRV_b7# S_IRV_b8# S_IRV_b9# S_IRV_b10# S_IRV_b11# S_IRV_b12# S_IRV_b13# S_IRV_b14# S_IRV_b15# S_IRV_b16# S_IRV_b17# S_IRV_b18# S_IRV_b19# S_IRV_b20# S_IRV_b21# S_IRV_b22# S_IRV_b23# S_IRV_b24# S_IRV_b25# S_IRV_c1# S_IRV_c2# S_IRV_c3# S_IRV_c4# S_IRV_c5#G044GIRRVEGAS_IRV_c1# S_IRV_c2# S_IRV_c3# S_IRV_c4# S_IRV_c5# S_IRV_d1# S_IRV_d2# S_IRV_d3# S_IRV_d4# S_IRV_d5#G045GIRRVEGAS_IRV_a1# S_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5# S_IRV_b6# S_IRV_b7# S_IRV_b8# S_IRV_b9# S_IRV_b10# S_IRV_b11# S_IRV_b12# S_IRV_b13# S_IRV_b14# S_IRV_b15# S_IRV_b16# S_IRV_b17# S_IRV_b18# S_IRV_b19# S_IRV_b20# S_IRV_b21# S_IRV_b22# S_IRV_b23# S_IRV_b24# S_IRV_b25# S_IRV_c1# S_IRV_c2# S_IRV_c3# S_IRV_c4# S_IRV_c5# S_IRV_d1# S_IRV_d2# S_IRV_d3# S_IRV_d4# S_IRV_d5# S_IRV_e1# S_IRV_e2# S_IRV_e3#G046GIRRCURVATURES_IRC_b1#G047GIRRCURVATURES_IRC_c1#G048GIRRCURVATURES_IRC_a1# S_IRC_b1#G049GIRRCURVATURES_IRC_d1#G050GIRRCURVATURES_IRC_b1# S_IRC_c1#G051GIRRCURVATURES_IRC_c1# S_IRC_e1#G052GIRRCURVATURES_IRC_d1# S_IRC_e1#G053GIRRCURVATURES_IRC_a1# S_IRC_a1# S_IRC_b1# S_IRC_b1# S_IRC_c1# S_IRC_c1# S_IRC_d1# S_IRC_d1# S_IRC_e1# S_IRC_e1# G054GIRRALLS_IRD_a1# S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11# S_IRD_b12# S_IRD_c1# S_IRD_c2# S_IRD_c3# S_IRD_c4# S_IRD_c5# S_IRD_c6# S_IRD_c7# S_IRD_c8# S_IRD_c9# S_IRD_c10# S_IRD_d1# S_IRD_d2# S_IRD_d3# S_IRD_d4# S_IRD_d5# S_IRD_d6# S_IRD_d7# S_IRD_d8# S_IRD_d9# S_IRD_d10# S_IRD_d11# S_IRD_d12# S_IRD_e1# S_IRD_e2# S_IRD_e3# S_IRD_e4# S_IRD_e5# S_IRD_e6# S_IRD_e7# S_IRD_e8# S_IRD_e9# S_IRD_e10# S_IRD_e11# S_IRD_e12# S_IRD_e13# S_IRD_f1# S_IRV_a1# S_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5# S_IRV_b6# S_IRV_b7# S_IRV_b8# S_IRV_b9# S_IRV_b10# S_IRV_b11# S_IRV_b12# S_IRV_b13# S_IRV_b14# S_IRV_b15# S_IRV_b16# S_IRV_b17# S_IRV_b18# S_IRV_b19# S_IRV_b20# S_IRV_b21# S_IRV_b22# S_IRV_b23# S_IRV_b24# S_IRV_b25# S_IRV_c1# S_IRV_c2# S_IRV_c3# S_IRV_c4# S_IRV_c5# S_IRV_d1# S_IRV_d2# S_IRV_d3# S_IRV_d4# S_IRV_d5# S_IRV_e1# S_IRV_e2# S_IRV_e3# S_IRC_a1# S_IRC_a1# S_IRC_b1# S_IRC_b1# S_IRC_c1# S_IRC_c1# S_IRC_d1# S_IRC_d1# S_IRC_e1# S_IRC_e1#G055GIRRDELTAS_IRD_e11# S_IRD_e13#G056GIRRDELTAS_IRD_e1# S_IRD_f1#E001EQDELTAS_EQD_a2#E002EQDELTAS_EQD_c1#E003EQDELTAS_EQD_d1#E004EQDELTAS_EQD_e1#E005EQDELTAS_EQD_f1#E006EQDELTAS_EQD_h1#E007EQDELTAS_EQD_i1#E008EQDELTAS_EQD_j1#E009EQDELTAS_EQD_k1#E010EQDELTAS_EQD_m1#E011EQDELTAS_EQD_o1#E012EQDELTAS_EQD_q1#E013EQDELTAS_EQD_s1#E014EQDELTAS_EQD_a3# E015EQDELTAS_EQD_x1#E016EQDELTAS_EQD_y1#E017EQDELTAS_EQD_z1#E018EQDELTAS_EQD_f2#E019EQDELTAS_EQD_aa1#E020EQDELTAS_EQD_ab1#E021EQDELTAS_EQD_ac1#E022EQDELTAS_EQD_k2#E023EQDELTAS_EQD_m2#E024EQDELTAS_EQD_p1#E025EQDELTAS_EQD_q2#E026EQDELTAS_EQD_t1#E027EQDELTAS_EQD_a1# S_EQD_a2#E028EQDELTAS_EQD_a2# S_EQD_a3#E029EQDELTAS_EQD_a2# S_EQD_b1#E030EQDELTAS_EQD_a2# S_EQD_b2#E031EQDELTAS_EQD_f1# S_EQD_f2#E032EQDELTAS_EQD_f1# S_EQD_g1#E033EQDELTAS_EQD_f1# S_EQD_g2#E034EQDELTAS_EQD_k1# S_EQD_k2#E035EQDELTAS_EQD_k1# S_EQD_l1#E036EQDELTAS_EQD_k1# S_EQD_l2#E037EQDELTAS_EQD_m1# S_EQD_m2#E038EQDELTAS_EQD_m1# S_EQD_n1#E039EQDELTAS_EQD_m1# S_EQD_n2#E040EQDELTAS_EQD_o1# S_EQD_p1#E041EQDELTAS_EQD_q1# S_EQD_q2#E042EQDELTAS_EQD_q1# S_EQD_r1#E043EQDELTAS_EQD_s1# S_EQD_t1#E044EQDELTAS_EQD_s1# S_EQD_t1# S_EQD_t2#

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F015FXCURVATURES_FXC_b1#F016FXCURVATURES_FXC_c1#F017FXCURVATURES_FXC_a1# S_FXC_b1#F018FXCURVATURES_FXC_d1#F019FXCURVATURES_FXC_b1# S_FXC_c1#F020FXCURVATURES_FXC_c1# S_FXC_e1#F021FXCURVATURES_FXC_b1# S_FXC_d1# S_FXC_e1#F022FXCURVATURES_FXC_a1# S_FXC_a1# S_FXC_b1# S_FXC_b1# S_FXC_c1# S_FXC_c1# S_FXC_d1# S_FXC_d1# S_FXC_e1# S_FXC_e1# S_FXC_f1# S_FXC_f1#F023FXALLS_FXD_a1# S_FXD_b1# S_FXD_c1# S_FXD_d1# S_FXD_e1# S_FXD_f1# S_FXV_a1# S_FXV_b1# S_FXV_b2# S_FXV_b3# S_FXV_b4# S_FXV_b5# S_FXV_c1# S_FXV_d1# S_FXV_d2# S_FXV_d3# S_FXV_d4# S_FXV_d5# S_FXC_a1# S_FXC_a1# S_FXC_b1# S_FXC_b1# S_FXC_c1# S_FXC_c1# S_FXC_d1# S_FXC_d1# S_FXC_e1# S_FXC_e1# S_FXC_f1# S_FXC_f1#F024FXDELTAS_FXD_d1#F026FXDELTAS_FXD_f1#F028FXCURVATURES_FXC_f1#N001CSR_NON_SECDELTAS_CND_a1#N002CSR_NON_SECDELTAS_CND_c1#N003CSR_NON_SECDELTAS_CND_d1#N004CSR_NON_SECDELTAS_CND_e1#N005CSR_NON_SECDELTAS_CND_f1#N006CSR_NON_SECDELTAS_CND_g1#N007CSR_NON_SECDELTAS_CND_h1#N008CSR_NON_SECDELTAS_CND_i1#N009CSR_NON_SECDELTAS_CND_w1#N010CSR_NON_SECDELTAS_CND_j1#N011CSR_NON_SECDELTAS_CND_k1#N012CSR_NON_SECDELTAS_CND_l1#N013CSR_NON_SECDELTAS_CND_m1#N014CSR_NON_SECDELTAS_CND_n1# N015CSR_NON_SECDELTAS_CND_o1#N016CSR_NON_SECDELTAS_CND_p1#N017CSR_NON_SECDELTAS_CND_q1#N018CSR_NON_SECDELTAS_CND_u1#N019CSR_NON_SECDELTAS_CND_v1#N020CSR_NON_SECDELTAS_CND_a1# S_CND_a2#N021CSR_NON_SECDELTAS_CND_a2# S_CND_a3#N022CSR_NON_SECDELTAS_CND_a2# S_CND_a4#N023CSR_NON_SECDELTAS_CND_a3# S_CND_a4#N024CSR_NON_SECDELTAS_CND_a1# S_CND_b1#N025CSR_NON_SECDELTAS_CND_a3# S_CND_b1#N026CSR_NON_SECDELTAS_CND_a4# S_CND_b1#N027CSR_NON_SECDELTAS_CND_a1# S_CND_b2#N028CSR_NON_SECDELTAS_CND_q1# S_CND_r1#N029CSR_NON_SECDELTAS_CND_u1# S_CND_x2#N030CSR_NON_SECDELTAS_CND_v1# S_CND_y1#N031CSR_NON_SECDELTAS_CND_u1# S_CND_x1# S_CND_x2#N032CSR_NON_SECDELTAS_CND_a1# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_f1# S_CND_g1# S_CND_h1# S_CND_i1#N033CSR_NON_SECDELTAS_CND_a1# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1#N034CSR_NON_SECDELTAS_CND_a1# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_n1# S_CND_o1# S_CND_p1#N035CSR_NON_SECDELTAS_CND_a1# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_q1# S_CND_u1# S_CND_v1#N036CSR_NON_SECDELTAS_CND_f1# S_CND_g1# S_CND_h1# S_CND_i1# S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1#N037CSR_NON_SECDELTAS_CND_f1# S_CND_g1# S_CND_h1# S_CND_i1# S_CND_n1# S_CND_o1# S_CND_p1#N038CSR_NON_SECDELTAS_CND_f1# S_CND_g1# S_CND_h1# S_CND_i1# S_CND_q1# S_CND_u1# S_CND_v1#N039CSR_NON_SECDELTAS_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1# S_CND_n1# S_CND_o1# S_CND_p1#N040CSR_NON_SECDELTAS_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1# S_CND_q1# S_CND_u1# S_CND_v1# N041CSR_NON_SECDELTAS_CND_n1# S_CND_o1# S_CND_p1# S_CND_q1# S_CND_u1# S_CND_v1#N042CSR_NON_SECDELTAS_CND_a3# S_CND_b1# S_CND_c1# S_CND_s1# S_CND_t1#N043CSR_NON_SECDELTAS_CND_a1# S_CND_a2# S_CND_a3# S_CND_a4# S_CND_b1# S_CND_b2# S_CND_ab1# S_CND_ab2# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_f1# S_CND_g1# S_CND_h1# S_CND_hb1# S_CND_hb2# S_CND_i1# S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1# S_CND_n1# S_CND_o1# S_CND_p1# S_CND_q1# S_CND_r1# S_CND_s1# S_CND_t1# S_CND_u1# S_CND_v1# S_CND_w1# S_CND_x1# S_CND_x2# S_CND_y1#N044CSR_NON_SECVEGAS_CNV_a2#N045CSR_NON_SECVEGAS_CNV_a1# S_CNV_a2#N046CSR_NON_SECVEGAS_CNV_a2# S_CNV_a3# S_CNV_a4# S_CNV_a5# S_CNV_a6#N047CSR_NON_SECVEGAS_CNV_a2# S_CNV_b1#N048CSR_NON_SECVEGAS_CNV_a1# S_CNV_a2# S_CNV_a3# S_CNV_a4# S_CNV_a5# S_CNV_a6# S_CNV_b1# S_CNV_b2# S_CNV_b3# S_CNV_b4# S_CNV_b5#N049CSR_NON_SECVEGAS_CNV_q1# S_CNV_r1#N050CSR_NON_SECVEGAS_CNV_s1# S_CNV_u1#N051CSR_NON_SECVEGAS_CNV_t1# S_CNV_v1#N052CSR_NON_SECVEGAS_CNV_c1# S_CNV_c2# S_CNV_c3# S_CNV_c4# S_CNV_c5#N053CSR_NON_SECVEGAS_CNV_a1# S_CNV_c1# S_CNV_d1# S_CNV_e1# S_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_i1#N054CSR_NON_SECVEGAS_CNV_a1# S_CNV_c1# S_CNV_d1# S_CNV_e1# S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1#N055CSR_NON_SECVEGAS_CNV_a1# S_CNV_c1# S_CNV_d1# S_CNV_e1# S_CNV_n1# S_CNV_o1# S_CNV_p1#N056CSR_NON_SECVEGAS_CNV_a1# S_CNV_c1# S_CNV_d1# S_CNV_e1# S_CNV_q1# S_CNV_s1# S_CNV_t1#N057CSR_NON_SECVEGAS_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_i1# S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1#N058CSR_NON_SECVEGAS_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_i1# S_CNV_n1# S_CNV_o1# S_CNV_p1#N059CSR_NON_SECVEGAS_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_i1# S_CNV_q1# S_CNV_s1# S_CNV_t1#

N060CSR_NON_SECVEGAS_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1# S_CNV_n1# S_CNV_o1# S_CNV_p1#N061CSR_NON_SECVEGAS_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1# S_CNV_q1# S_CNV_s1# S_CNV_t1#N062CSR_NON_SECVEGAS_CNV_n1# S_CNV_o1# S_CNV_p1# S_CNV_q1# S_CNV_s1# S_CNV_t1#N063CSR_NON_SECVEGAS_CNV_b4# S_CNV_c1# S_CNV_c2# S_CNV_c3# S_CNV_c4# S_CNV_c5#N064CSR_NON_SECVEGAS_CNV_a1# S_CNV_a2# S_CNV_a3# S_CNV_a4# S_CNV_a5# S_CNV_a6# S_CNV_b1# S_CNV_b2# S_CNV_b3# S_CNV_b4# S_CNV_b5# S_CNV_ab1# S_CNV_c1# S_CNV_c2# S_CNV_c3# S_CNV_c4# S_CNV_c5# S_CNV_d1# S_CNV_e1# S_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_hb1# S_CNV_i1# S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1# S_CNV_n1# S_CNV_o1# S_CNV_p1# S_CNV_q1# S_CNV_r1# S_CNV_s1# S_CNV_t1# S_CNV_u1# S_CNV_v1#N065CSR_NON_SECCURVATURES_CNC_b1#N066CSR_NON_SECCURVATURES_CNC_c1#N067CSR_NON_SECCURVATURES_CNC_d1#N068CSR_NON_SECCURVATURES_CNC_e1#N069CSR_NON_SECCURVATURES_CNC_f1#N070CSR_NON_SECCURVATURES_CNC_g1#N071CSR_NON_SECCURVATURES_CNC_h1#N072CSR_NON_SECCURVATURES_CNC_i1#N073CSR_NON_SECCURVATURES_CNC_aa1#N074CSR_NON_SECCURVATURES_CNC_j1#N075CSR_NON_SECCURVATURES_CNC_k1#N076CSR_NON_SECCURVATURES_CNC_l1#N077CSR_NON_SECCURVATURES_CNC_m1#N078CSR_NON_SECCURVATURES_CNC_n1#N079CSR_NON_SECCURVATURES_CNC_o1#N080CSR_NON_SECCURVATURES_CNC_p1# N081CSR_NON_SECCURVATURES_CNC_q1#N082CSR_NON_SECCURVATURES_CNC_t1#N083CSR_NON_SECCURVATURES_CNC_u1#N084CSR_NON_SECCURVATURES_CNC_a1# S_CNC_a2#N085CSR_NON_SECCURVATURES_CNC_a1# S_CNC_b1#N086CSR_NON_SECCURVATURES_CNC_q1# S_CNC_r1#N087CSR_NON_SECCURVATURES_CNC_t1# S_CNC_v1#N088CSR_NON_SECCURVATURES_CNC_u1# S_CNC_w1#N089CSR_NON_SECCURVATURES_CNC_a1# S_CNC_a2# S_CNC_b1# S_CNC_y1# S_CNC_z1#N090CSR_NON_SECCURVATURES_CNC_s1#N091CSR_NON_SECCURVATURES_CNC_a1# S_CNC_c1# S_CNC_d1# S_CNC_e1# S_CNC_f1# S_CNC_g1# S_CNC_h1# S_CNC_i1#N092CSR_NON_SECCURVATURES_CNC_a1# S_CNC_c1# S_CNC_d1# S_CNC_e1# S_CNC_j1# S_CNC_k1# S_CNC_l1# S_CNC_m1#N093CSR_NON_SECCURVATURES_CNC_a1# S_CNC_c1# S_CNC_d1# S_CNC_e1# S_CNC_n1# S_CNC_o1# S_CNC_p1#N094CSR_NON_SECCURVATURES_CNC_a1# S_CNC_c1# S_CNC_d1# S_CNC_e1# S_CNC_q1# S_CNC_t1# S_CNC_u1#N095CSR_NON_SECCURVATURES_CNC_f1# S_CNC_g1# S_CNC_h1# S_CNC_i1# S_CNC_j1# S_CNC_k1# S_CNC_l1# S_CNC_m1#N096CSR_NON_SECCURVATURES_CNC_f1# S_CNC_g1# S_CNC_h1# S_CNC_i1# S_CNC_n1# S_CNC_o1# S_CNC_p1#N097CSR_NON_SECCURVATURES_CNC_f1# S_CNC_g1# S_CNC_h1# S_CNC_i1# S_CNC_q1# S_CNC_t1# S_CNC_u1#N098CSR_NON_SECCURVATURES_CNC_j1# S_CNC_k1# S_CNC_l1# S_CNC_m1# S_CNC_n1# S_CNC_o1# S_CNC_p1#N099CSR_NON_SECCURVATURES_CNC_j1# S_CNC_k1# S_CNC_l1# S_CNC_m1# S_CNC_q1# S_CNC_t1# S_CNC_u1#N100CSR_NON_SECCURVATURES_CNC_n1# S_CNC_o1# S_CNC_p1# S_CNC_q1# S_CNC_t1# S_CNC_u1#N101CSR_NON_SECCURVATURES_CNC_c1# S_CNC_x1# S_CNC_y1# S_CNC_z1#N102CSR_NON_SECCURVATURES_CNC_a1# S_CNC_b1# S_CNC_d1# S_CNC_s1# N103CSR_NON_SECCURVATURES_CNC_a1# S_CNC_a1# S_CNC_a2# S_CNC_a2# S_CNC_b1# S_CNC_b1# S_CNC_ab1# S_CNC_ab1# S_CNC_c1# S_CNC_c1# S_CNC_d1# S_CNC_d1# S_CNC_e1# S_CNC_e1# S_CNC_f1# S_CNC_f1# S_CNC_g1# S_CNC_g1# S_CNC_h1# S_CNC_h1# S_CNC_hb1# S_CNC_hb1# S_CNC_i1# S_CNC_i1# S_CNC_j1# S_CNC_j1# S_CNC_k1# S_CNC_k1# S_CNC_l1# S_CNC_l1# S_CNC_m1# S_CNC_m1# S_CNC_n1# S_CNC_n1# S_CNC_o1# S_CNC_o1# S_CNC_p1# S_CNC_p1# S_CNC_q1# S_CNC_q1# S_CNC_r1# S_CNC_r1# S_CNC_s1# S_CNC_s1# S_CNC_t1# S_CNC_t1# S_CNC_u1# S_CNC_u1# S_CNC_v1# S_CNC_v1# S_CNC_w1# S_CNC_w1# S_CNC_x1# S_CNC_x1# S_CNC_y1# S_CNC_y1# S_CNC_z1# S_CNC_z1# S_CNC_aa1# S_CNC_aa1#N104CSR_NON_SECALLS_CND_a1# S_CND_a2# S_CND_a3# S_CND_a4# S_CND_b1# S_CND_b2# S_CND_ab1# S_CND_ab2# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_f1# S_CND_g1# S_CND_h1# S_CND_hb1# S_CND_hb2# S_CND_i1# S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1# S_CND_n1# S_CND_o1# S_CND_p1# S_CND_q1# S_CND_r1# S_CND_s1# S_CND_t1# S_CND_u1# S_CND_v1# S_CND_w1# S_CND_x1# S_CND_x2# S_CND_y1# S_CNV_a1# S_CNV_a2# S_CNV_a3# S_CNV_a4# S_CNV_a5# S_CNV_a6# S_CNV_b1# S_CNV_b2# S_CNV_b3# S_CNV_b4# S_CNV_b5# S_CNV_ab1# S_CNV_c1# S_CNV_c2# S_CNV_c3# S_CNV_c4# S_CNV_c5# S_CNV_d1# S_CNV_e1# S_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_hb1# S_CNV_i1# S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1# S_CNV_n1# S_CNV_o1# S_CNV_p1# S_CNV_q1# S_CNV_r1# S_CNV_s1# S_CNV_t1# S_CNV_u1# S_CNV_v1# S_CNC_a1# S_CNC_a1# S_CNC_a2# S_CNC_a2# S_CNC_b1# S_CNC_b1# S_CNC_ab1# S_CNC_ab1# S_CNC_c1# S_CNC_c1# S_CNC_d1# S_CNC_d1# S_CNC_e1# S_CNC_e1# S_CNC_f1# S_CNC_f1# S_CNC_g1# S_CNC_g1# S_CNC_h1# S_CNC_h1# S_CNC_hb1# S_CNC_hb1# S_CNC_i1# S_CNC_i1# S_CNC_j1# S_CNC_j1# S_CNC_k1# S_CNC_k1# S_CNC_l1# S_CNC_l1# S_CNC_m1# S_CNC_m1# S_CNC_n1# S_CNC_n1# S_CNC_o1# S_CNC_o1# S_CNC_p1# S_CNC_p1# S_CNC_q1# S_CNC_q1# S_CNC_r1# S_CNC_r1# S_CNC_s1# S_CNC_s1# S_CNC_t1# S_CNC_t1# S_CNC_u1# S_CNC_u1# S_CNC_v1# S_CNC_v1# S_CNC_w1# S_CNC_w1# S_CNC_x1# S_CNC_x1# S_CNC_y1# S_CNC_y1# S_CNC_z1# S_CNC_z1# S_CNC_aa1# S_CNC_aa1#

N104(CRR2/DA)CSR_NON_SECCURVATURES_CNC_ab1#N105(CRR2/DA)CSR_NON_SECCURVATURES_CNC_hb1#N106(CRR2/DA)CSR_NON_SECDELTAS_CND_ab1#N107(CRR2/DA)CSR_NON_SECDELTAS_CND_hb1#C001CMDELTAS_CMD_a2#C002CMDELTAS_CMD_c1#C003CMDELTAS_CMD_e1#C004CMDELTAS_CMD_g1#C005CMDELTAS_CMD_i1#C006CMDELTAS_CMD_k1#C007CMDELTAS_CMD_m1#C008CMDELTAS_CMD_o1#C009CMDELTAS_CMD_q1#C010CMDELTAS_CMD_s1#C011CMDELTAS_CMD_u1#C012CMDELTAS_CMD_a1# S_CMD_a2#C013CMDELTAS_CMD_a2# S_CMD_a3#C014CMDELTAS_CMD_a2# S_CMD_a4#C015CMDELTAS_CMD_a3# S_CMD_a4#C016CMDELTAS_CMD_a2# S_CMD_b1#C017CMDELTAS_CMD_c1# S_CMD_d1#C018CMDELTAS_CMD_e1# S_CMD_f1#C019CMDELTAS_CMD_g1# S_CMD_h1#C020CMDELTAS_CMD_i1# S_CMD_j1#C021CMDELTAS_CMD_k1# S_CMD_l1#C022CMDELTAS_CMD_m1# S_CMD_n1#C023CMDELTAS_CMD_o1# S_CMD_p1#C024CMDELTAS_CMD_q1# S_CMD_r1#C025CMDELTAS_CMD_s1# S_CMD_t1#C026CMDELTAS_CMD_u1# S_CMD_v1# C027CMDELTAS_CMD_g1# S_CMD_h1# S_CMD_w1# S_CMD_x1#C028CMDELTAS_CMD_a2# S_CMD_c1# S_CMD_e1# S_CMD_g1# S_CMD_i1# S_CMD_k1# S_CMD_m1# S_CMD_o1# S_CMD_q1# S_CMD_s1#C029CMDELTAS_CMD_a2# S_CMD_u1#C030CMDELTAS_CMD_c1# S_CMD_d1# S_CMD_g1# S_CMD_h1# S_CMD_w1# S_CMD_x1#C031CMDELTAS_CMD_a1# S_CMD_a2# S_CMD_a3# S_CMD_a4# S_CMD_b1# S_CMD_c1# S_CMD_d1# S_CMD_e1# S_CMD_f1# S_CMD_g1# S_CMD_h1# S_CMD_i1# S_CMD_j1# S_CMD_k1# S_CMD_l1# S_CMD_m1# S_CMD_n1# S_CMD_o1# S_CMD_p1# S_CMD_q1# S_CMD_r1# S_CMD_s1# S_CMD_t1# S_CMD_u1# S_CMD_v1# S_CMD_w1# S_CMD_x1#C032CMVEGAS_CMV_a2#C033CMVEGAS_CMV_a1# S_CMV_a2#C034CMVEGAS_CMV_a2# S_CMV_a3# S_CMV_a4# S_CMV_a5# S_CMV_a6#C035CMVEGAS_CMV_a1# S_CMV_a2# S_CMV_a3# S_CMV_a4# S_CMV_a5# S_CMV_a6# S_CMV_b1# S_CMV_b2# S_CMV_b3# S_CMV_b4# S_CMV_b5#C036CMVEGAS_CMV_c1# S_CMV_d1#C037CMVEGAS_CMV_e1# S_CMV_f1#C038CMVEGAS_CMV_g1# S_CMV_h1#C039CMVEGAS_CMV_i1# S_CMV_j1#C040CMVEGAS_CMV_k1# S_CMV_l1#C041CMVEGAS_CMV_m1# S_CMV_n1#C042CMVEGAS_CMV_o1# S_CMV_p1#C043CMVEGAS_CMV_q1# S_CMV_r1#C044CMVEGAS_CMV_s1# S_CMV_t1#C045CMVEGAS_CMV_u1# S_CMV_v1#C046CMVEGAS_CMV_g1# S_CMV_h1# S_CMV_w1# S_CMV_x1#C047CMVEGAS_CMV_a2# S_CMV_c1# S_CMV_e1# S_CMV_g1# S_CMV_i1# S_CMV_k1# S_CMV_m1# S_CMV_o1# S_CMV_q1# S_CMV_s1#C048CMVEGAS_CMV_a2# S_CMV_u1# C049CMVEGAS_CMV_c1# S_CMV_d1# S_CMV_g1# S_CMV_h1# S_CMV_w1# S_CMV_x1#C050CMVEGAS_CMV_a1# S_CMV_a2# S_CMV_a3# S_CMV_a4# S_CMV_a5# S_CMV_a6# S_CMV_b1# S_CMV_b2# S_CMV_b3# S_CMV_b4# S_CMV_b5# S_CMV_c1# S_CMV_d1# S_CMV_e1# S_CMV_f1# S_CMV_g1# S_CMV_h1# S_CMV_i1# S_CMV_j1# S_CMV_k1# S_CMV_l1# S_CMV_m1# S_CMV_n1# S_CMV_o1# S_CMV_p1# S_CMV_q1# S_CMV_r1# S_CMV_s1# S_CMV_t1# S_CMV_u1# S_CMV_v1# S_CMV_w1# S_CMV_x1#C051CMCURVATURES_CMC_b1#C052CMCURVATURES_CMC_c1#C053CMCURVATURES_CMC_e1#C054CMCURVATURES_CMC_g1#C055CMCURVATURES_CMC_i1#C056CMCURVATURES_CMC_k1#C057CMCURVATURES_CMC_m1#C058CMCURVATURES_CMC_o1#C059CMCURVATURES_CMC_q1#C060CMCURVATURES_CMC_s1#C061CMCURVATURES_CMC_u1#C062CMCURVATURES_CMC_a1# S_CMC_a2#C063CMCURVATURES_CMC_a1# S_CMC_b1#C064CMCURVATURES_CMC_c1# S_CMC_d1#C065CMCURVATURES_CMC_e1# S_CMC_f1#C066CMCURVATURES_CMC_g1# S_CMC_h1#C067CMCURVATURES_CMC_i1# S_CMC_j1#C068CMCURVATURES_CMC_k1# S_CMC_l1#C069CMCURVATURES_CMC_m1# S_CMC_n1#C070CMCURVATURES_CMC_o1# S_CMC_p1#C071CMCURVATURES_CMC_q1# S_CMC_r1#C072CMCURVATURES_CMC_s1# S_CMC_t1#C073CMCURVATURES_CMC_u1# S_CMC_v1#C074CMCURVATURES_CMC_a2# S_CMC_b1#C075CMCURVATURES_CMC_g1# S_CMC_z1#

C076CMCURVATURES_CMC_b1# S_CMC_c1# S_CMC_e1# S_CMC_g1# S_CMC_i1# S_CMC_k1# S_CMC_m1# S_CMC_o1# S_CMC_q1# S_CMC_s1#C077CMCURVATURES_CMC_a2# S_CMC_u1#C078CMCURVATURES_CMC_a1# S_CMC_a2# S_CMC_b1# S_CMC_y1# S_CMC_q1# S_CMC_r1# S_CMC_x1#C079CMCURVATURES_CMC_x1# S_CMC_g1# S_CMC_z1#C080CMCURVATURES_CMC_a1# S_CMC_a1# S_CMC_a2# S_CMC_a2# S_CMC_b1# S_CMC_b1# S_CMC_c1# S_CMC_c1# S_CMC_d1# S_CMC_d1# S_CMC_e1# S_CMC_e1# S_CMC_f1# S_CMC_f1# S_CMC_g1# S_CMC_g1# S_CMC_h1# S_CMC_h1# S_CMC_i1# S_CMC_i1# S_CMC_j1# S_CMC_j1# S_CMC_k1# S_CMC_k1# S_CMC_l1# S_CMC_l1# S_CMC_m1# S_CMC_m1# S_CMC_n1# S_CMC_n1# S_CMC_o1# S_CMC_o1# S_CMC_p1# S_CMC_p1# S_CMC_q1# S_CMC_q1# S_CMC_r1# S_CMC_r1# S_CMC_s1# S_CMC_s1# S_CMC_t1# S_CMC_t1# S_CMC_u1# S_CMC_u1# S_CMC_v1# S_CMC_v1# S_CMC_x1# S_CMC_x1# S_CMC_y1# S_CMC_y1# S_CMC_z1# S_CMC_z1#C081CMALLS_CMD_a1# S_CMD_a2# S_CMD_a3# S_CMD_a4# S_CMD_b1# S_CMD_c1# S_CMD_d1# S_CMD_e1# S_CMD_f1# S_CMD_g1# S_CMD_h1# S_CMD_i1# S_CMD_j1# S_CMD_k1# S_CMD_l1# S_CMD_m1# S_CMD_n1# S_CMD_o1# S_CMD_p1# S_CMD_q1# S_CMD_r1# S_CMD_s1# S_CMD_t1# S_CMD_u1# S_CMD_v1# S_CMD_w1# S_CMD_x1# S_CMV_a1# S_CMV_a2# S_CMV_a3# S_CMV_a4# S_CMV_a5# S_CMV_a6# S_CMV_b1# S_CMV_b2# S_CMV_b3# S_CMV_b4# S_CMV_b5# S_CMV_c1# S_CMV_d1# S_CMV_e1# S_CMV_f1# S_CMV_g1# S_CMV_h1# S_CMV_i1# S_CMV_j1# S_CMV_k1# S_CMV_l1# S_CMV_m1# S_CMV_n1# S_CMV_o1# S_CMV_p1# S_CMV_q1# S_CMV_r1# S_CMV_s1# S_CMV_t1# S_CMV_u1# S_CMV_v1# S_CMV_w1# S_CMV_x1# S_CMC_a1# S_CMC_a1# S_CMC_a2# S_CMC_a2# S_CMC_b1# S_CMC_b1# S_CMC_c1# S_CMC_c1# S_CMC_d1# S_CMC_d1# S_CMC_e1# S_CMC_e1# S_CMC_f1# S_CMC_f1# S_CMC_g1# S_CMC_g1# S_CMC_h1# S_CMC_h1# S_CMC_i1# S_CMC_i1# S_CMC_j1# S_CMC_j1# S_CMC_k1# S_CMC_k1# S_CMC_l1# S_CMC_l1# S_CMC_m1# S_CMC_m1# S_CMC_n1# S_CMC_n1# S_CMC_o1# S_CMC_o1# S_CMC_p1# S_CMC_p1# S_CMC_q1# S_CMC_q1# S_CMC_r1# S_CMC_r1# S_CMC_s1# S_CMC_s1# S_CMC_t1# S_CMC_t1# S_CMC_u1# S_CMC_u1# S_CMC_v1# S_CMC_v1# S_CMC_x1# S_CMC_x1# S_CMC_y1# S_CMC_y1# S_CMC_z1# S_CMC_z1#