Commission Implementing Regulation (EU) 2025/2159of 27 October 2025amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/2284 as regards supervisory reporting and disclosures of investment firms(Text with EEA relevance)

Commission Implementing Regulation (EU) 2025/2159 of 27 October 2025 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/2284 as regards supervisory reporting and disclosures of investment firms (Text with EEA relevance) THE EUROPEAN COMMISSION, Having regard to the Treaty on the Functioning of the European Union, Having regard to Regulation (EU) 2019/2033 of the European Parliament and of the Council of 27 November 2019 on the prudential requirements for investment firms and amending Regulations (EU) No 1093/2010, (EU) No 575/2013, (EU) No 600/2014 and (EU) No 806/2014 OJ L 314, 5.12.2019, p. 1, ELI: http://data.europa.eu/eli/reg/2019/2033/oj. , and in particular Article 54(3) thereof, Whereas: (1) Commission Implementing Regulation (EU) 2021/2284 Commission Implementing Regulation (EU) 2021/2284 of 10 December 2021 laying down implementing technical standards for the application of Regulation (EU) 2019/2033 of the European Parliament and of the Council with regard to supervisory reporting and disclosures of investment firms (OJ L 458, 22.12.2021, p. 48, ELI: http://data.europa.eu/eli/reg_impl/2021/2284/oj). introduced the regulatory reporting framework for the prudential regime of investment firms under Regulation (EU) 2019/2033. Article 5 of Implementing Regulation (EU) 2021/2284 on the format and frequency of reporting by investment firms other than small and non-interconnected investment firms, cross refers 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). . (2) Due to the changes introduced by Regulation (EU) 2024/1623 of the European Parliament and of the Council Regulation (EU) 2024/1623 of the European Parliament and of the Council of 31 May 2024 amending Regulation (EU) No 575/2013 as regards requirements for credit risk, credit valuation adjustment risk, operational risk, market risk and the output floor (OJ L, 2024/1623, 19.6.2024, ELI: http://data.europa.eu/eli/reg/2024/1623/oj) . into Regulation (EU) No 575/2013 of the European Parliament and of the Council Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions 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). , the reporting framework set out in Implementing Regulation (EU) 2021/451 has been revised. As a consequence, that Implementing Regulation has been repealed and replaced by Commission Implementing Regulation (EU) 2024/3117 Commission Implementing Regulation (EU) 2024/3117 of 29 November 2024 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 Commission Implementing Regulation (EU) 2021/451 (OJ L, 2024/3117, 27.12.2024, ELI: http://data.europa.eu/eli/reg_impl/2024/3117/oj).

. (3) To provide investment firms with sufficient time to adapt their own internal system and to comply with the revised reporting requirements, a derogation should be laid down deferring the remittance date of the first quarterly reporting obligation after the date of application of this Regulation. (4) Some elements of the revision introduced by Implementing Regulation (EU) 2024/3117 should be reflected in the reporting requirements applicable to investment firms, while other elements are not supposed to be amended. More specifically, the reporting on counterparty credit and credit valuation risks should be the same for investment firms that choose to apply the relevant provisions of Regulation (EU) No 575/2013 and credit institutions. By contrast, the reporting on own funds requirements for market risk, respectively K-factor net position risk (K-NPR), should differ between credit institutions and investment firms, in light of the modifications introduced by Implementing Regulation (EU) 2024/3117 for credit institutions, such as the introduction of multiplication factors and other minor adjustments. Investment firms should apply and report on the own funds requirements for market risk as laid down in Part Three, Title IV, of Regulation (EU) No 575/2013 in the version in force on 26 June 2019 prior to the modifications introduced by Regulation (EU) 2019/876 of the European Parliament and of the Council Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012 (OJ L 150, 7.6.2019, p. 1, ELI: http://data.europa.eu/eli/reg/2019/876/oj). . (5) To ensure coherence between the credit institutions reporting framework and the investment firms reporting framework where the regulatory framework applied is the same, and provide for specific rules where the regulatory framework applicable to investment firms and credit institutions is different, Article 5 of Implementing Regulation (EU) 2021/2284 should be amended. (6) To facilitate compliance with the reporting requirements, the minimum precision requirements laid down in Article 8 of Implementing Regulation (EU) 2021/2284 should be adjusted. (7) Implementing Regulation (EU) 2021/2284 should therefore be amended accordingly. (8) This Regulation is based on the draft implementing technical standards submitted to the Commission by the European Banking Authority (EBA). (9) Given that the amendments to Implementing Regulation (EU) 2021/2284 are based on Implementing Regulation (EU) 2024/3117 and do not involve significant changes in substantive terms, in accordance with Article 15(1), second subparagraph, 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). the EBA has not conducted open public consultations, nor analysed the potential related costs and benefits or requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of that Regulation, considering that it would be highly disproportionate in relation to the scope and impact of the draft implementing technical standards, HAS ADOPTED THIS REGULATION:

Article 1

Implementing Regulation (EU) 2021/2284 is amended as follows: (1) in Article 2(1), the following second subparagraph is added: By way of derogation from the first subparagraph, investment firms other than small and non-interconnected investment firms shall submit the information set out in template C 25.01 of Annex I to Commission Implementing Regulation (EU) 2024/3117 for any reference dates between January and April 2026 by 30 June 2026 at the latest. Commission Implementing Regulation (EU) 2024/3117 of 29 November 2024 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 Commission Implementing Regulation (EU) 2021/451 (OJ L, 2024/3117, 27.12.2024, ELI: http://data.europa.eu/eli/reg_impl/2024/3117/oj).; (2) in Article 5, paragraphs 2, 3 and 4 are replaced by the following: 2. Investment firms other than small and non-interconnected investment firms that determine the RtM K-factor requirement on the basis of K-NPR in accordance with Article 21(1) of Regulation (EU) 2019/2033 shall report with a quarterly frequency the information specified in templates C 18.00 to C 24.00 of Annex X to this Regulation in accordance with the instructions set out in Annex XI to this Regulation. 3. Investment firms other than small and non-interconnected investment firms that make use of the derogation laid down in Article 25(4) of Regulation (EU) 2019/2033 shall report with a quarterly frequency the information specified in template C 34.02 of Annex I to Implementing Regulation (EU) 2024/3117, with the exception of the information on the output floor, in accordance with the applicable instructions. 4. Investment firms other than small and non-interconnected investment firms that make use of the derogation laid down in Article 25(5), second subparagraph, of Regulation (EU) 2019/2033 shall report with a quarterly frequency the information specified in template C 25.01 of Annex I to Implementing Regulation (EU) 2024/3117 in accordance with the applicable instructions. ; (3) in Article 8, paragraph 1, point (b), point (i) is replaced by the following: (i) data points with the data type Monetary shall be reported using a minimum precision equivalent to ten thousands of units;

(4) the text in Annex I to this Regulation is added as Annex X; (5) the text in Annex II to this Regulation is added as Annex XI.

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, 27 October 2025. For the Commission The President Ursula von der Leyen

Annex

ANNEX I

Annex

ANNEX X REPORTING OF RtM K-FACTOR REQUIREMENT ON THE BASIS OF K-NPR INVESTMENT FIRMS TEMPLATESTemplate numberTemplate codeName of the template /group of templatesShort nameMARKET RISKMKR18C 18.00MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTSMKR SA TDI19C 19.00MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONSMKR SA SEC20C 20.00MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIOMKR SA CTP21C 21.00MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIESMKR SA EQU22C 22.00MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISKMKR SA FX23C 23.00MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIESMKR SA COM24C 24.00MARKET RISK INTERNAL MODELSMKR IM C 18.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) Currency: POSITIONSOWN FUNDS REQUIREMENTSTOTAL RISK EXPOSURE AMOUNTALL POSITIONSNET POSITIONSPOSITIONS SUBJECT TO CAPITAL CHARGELONGSHORTLONGSHORT00100020003000400050006000700010TRADED DEBT INSTRUMENTS IN TRADING BOOKCell linked to CA20011General risk0012Derivatives0013Other assets and liabilities0020Maturity-based approach0030Zone 100400 ≤ 1 month0050> 1 ≤ 3 months0060> 3 ≤ 6 months0070> 6 ≤ 12 months0080Zone 20090> 1 ≤ 2 (1,9 for cupon of less than 3%) years0100> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years0110> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years0120Zone 30130> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3%) years 0140> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years0150> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years0160> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years0170> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years0180> 20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years0190(> 12,0 ≤ 20,0 for cupon of less than 3%) years0200(> 20 for cupon of less than 3%) years0210Duration-based approach0220Zone 10230Zone 20240Zone 30250Specific risk0251Own funds requirement for non-securitisation debt instruments0260Debt securities under the first category in Table 10270Debt securities under the second category in Table 10280With residual term ≤ 6 months0290With a residual term > 6 months and ≤ 24 months0300With a residual term > 24 months 0310Debt securities under the third category in Table 10320Debt securities under the fourth category in Table 10321Rated nth-to default credit derivatives0325Own funds requirement for securitisation instruments0330Own funds requirement for the correlation trading portfolio0350Additional requirements for options (non-delta risks)0360Simplified method0370Delta plus approach - additional requirements for gamma risk0380Delta plus approach - additional requirements for vega risk0385Delta plus approach - non-continuous options and warrants0390Scenario matrix approach

C 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) ALL POSITIONS(-) POSITIONS DEDUCTED FROM OWN FUNDSNET POSITIONSBREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTSBREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTSBREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHESOVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402BEFORE CAPAFTER CAP / TOTAL OWN FUND REQUIREMENTSLONGSHORT(-) LONG(-) SHORTLONGSHORT[0 - 10%[[10 - 12%[[12 - 20%[[20 - 40%[[40 - 100%[[100 - 150%[[150 - 200%[[200 - 225%[[225 - 250%[[250 - 300%[[300 - 350%[[350 - 425%[[425 - 500%[[500 - 650%[[650 - 750%[[750 - 850%[[850 - 1250%[1250%[0 - 10%[[10 - 12%[[12 - 20%[[20 - 40%[[40 - 100%[[100 - 150%[[150 - 200%[[200 - 225%[[225 - 250%[[250 - 300%[[300 - 350%[[350 - 425%[[425 - 500%[[500 - 650%[[650 - 750%[[750 - 850%[[850 - 1250%[1250%SEC-IRBASEC-SASEC-ERBAINTERNAL ASSESSMENT APPROACHSPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONSOTHER (RW=1250%)WEIGHTED NET LONG POSITIONSWEIGHTED NET SHORT POSITIONS00100020003000400050006000610062006300640065006600710072007300740075007600770078007900810082008300850086008700880089009100920093009400950096009700980099010101020103010404020403040404050900040605300540057006010010TOTAL EXPOSURESCell linked to MKR SA TDI {325:060}0020Of which: RE-SECURITISATIONS0030ORIGINATOR: TOTAL EXPOSURES0040SECURITISATIONS0041OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0050RE-SECURITISATIONS0060INVESTOR: TOTAL EXPOSURES0070SECURITISATIONS0071OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0080RE-SECURITISATIONS0090SPONSOR: TOTAL EXPOSURES0100SECURITISATIONS0101OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0110RE-SECURITISATIONS C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) ALL POSITIONS(-) POSITIONS DEDUCTED FROM OWN FUNDSNET POSITIONSBREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTSBREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTSBREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHESBEFORE CAPAFTER CAPTOTAL OWN FUNDS REQUIRE-MENTSLONGSHORT(-) LONG(-) SHORTLONGSHORT[0 - 10%[[10 - 12%[[12 - 20%[[20 - 40%[[40 - 100%[[100 - 250%[[250 - 350%[[350 - 425%[[425 - 650%[[650 - 1250%[1250%[0 - 10%[[10 - 12%[[12 - 20%[[20 - 40%[[40 - 100%[[100 - 250%[[250 - 350%[[350 - 425%[[425 - 650%[[650 - 1250%[1250%SEC-IRBASEC-SASEC-ERBAINTERNAL ASSESS-MENT APPROACHSPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONSOTHER (RW= 1250%)WEIGHTED NET LONG POSITIONSWEIGHTED NET SHORT POSITIONSWEIGHTED NET LONG POSITIONSWEIGHTED NET SHORT POSITIONS0010002000300040005000600071007200730074007500760077007800790081008200860087008800890091009200930094009500960097040204030404040509000406041004200430044004500010TOTAL EXPOSURESCell linked to MKR SA TDI {0330:0060}SECURITISATION POSITIONS:0020ORIGINATOR: TOTAL EXPOSURES0030SECURITISATIONS0040OTHER CTP POSITIONS0050INVESTOR: TOTAL EXPOSURES0060SECURITISATIONS0070OTHER CTP POSITIONS0080SPONSOR: TOTAL EXPOSURES0090SECURITISATIONS0100OTHER CTP POSITIONSN-TH-TO-DEFAULT CREDIT DERIVATIVES:0110N-TH-TO-DEFAULT CREDIT DERIVATIVES0120OTHER CTP POSITIONS

C 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) National market: POSITIONSOWN FUNDS REQUIREMENTSTOTAL RISK EXPOSURE AMOUNTALL POSITIONSNET POSITIONSPOSITIONS SUBJECT TO CAPITAL CHARGELONGSHORTLONGSHORT00100020003000400050006000700010EQUITIES IN TRADING BOOKCell linked to CA0020General risk0021Derivatives0022Other assets and liabilities0030Exchange traded stock-index futures broadly diversified subject to particular approach0040Other equities than exchange traded stock-index futures broadly diversified0050Specific risk0090Additional requirements for options (non-delta risks)0100Simplified method0110Delta plus approach - additional requirements for gamma risk0120Delta plus approach - additional requirements for vega risk0125Delta plus approach - non-continuous options and warrants0130Scenario matrix approach C 22.00 - MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) ALL POSITIONSNET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions) OWN FUNDS REQUIREMENTSTOTAL RISK EXPOSURE AMOUNTLONGSHORTLONGSHORTLONGSHORTMATCHED0020003000400050006000700080009001000010TOTAL POSITIONSCell linked to CA0020Currencies closely correlated0025of which: reporting currency0030All other currencies (including CIUs treated as different currencies)0040Gold0050Additional requirements for options (non-delta risks)0060Simplified method0070Delta plus approach - additional requirements for gamma risk0080Delta plus approach - additional requirements for vega risk0085Delta plus approach - non-continuous options and warrants0090Scenario matrix approachBREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES0100Other assets and liabilities other than off-balance sheet items and derivatives0110Off-balance sheet items0120Derivatives Memorandum items: CURRENCY POSITIONS0130Euro0140Lek0150Argentine Peso0160Australian Dollar0170Brazilian Real0180Bulgarian Lev0190Canadian Dollar0200Czech Koruna0210Danish Krone0220Egyptian Pound0230Pound Sterling0240Forint0250Yen0280Denar0290Mexican Peso0300Zloty0310Rumanian Leu0320Russian Ruble0330Serbian Dinar0340Swedish Krona0350Swiss Franc 0360Turkish Lira0370Hryvnia0380US Dollar0390Iceland Krona0400Norwegian Krone0410Hong Kong Dollar0420New Taiwan Dollar0430New Zealand Dollar0440Singapore Dollar0450Won0460Yuan Renminbi0470Other C 23.00 - MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) ALL POSITIONSNET POSITIONSPOSITIONS SUBJECT TO CAPITAL CHARGEOWN FUNDS REQUIREMENTSTOTAL RISK EXPOSURE AMOUNTLONGSHORTLONGSHORT00100020003000400050006000700010TOTAL POSITIONS IN COMMODITIESCell linked to CA0020Precious metals (except gold)0030Base metals0040Agricultural products (softs)0050Others0060Of which energy products (oil, gas)0070Maturity ladder approach0080Extended maturity ladder approach0090Simplified approach: All positions0100Additional requirements for options (non-delta risks)0110Simplified method0120Delta plus approach - additional requirements for gamma risk0130Delta plus approach - additional requirements for vega risk0135Delta plus approach - non-continuous options and warrants0140Scenario matrix approach

C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM) VaRSTRESSED VaRINCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGEALL PRICE RISKS CAPITAL CHARGE FOR CTPOWN FUNDS REQUIREMENTSTOTAL RISK EXPOSURE AMOUNTNumber of overshootings during previous 250 working daysVaR Multiplication Factor (mc)SVaR Multiplication Factor (ms)ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAPASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAPMULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)PREVIOUS DAY (VaRt-1)MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)LATEST AVAILABLE (SVaRt-1)12 WEEKS AVERAGE MEASURELAST MEASUREFLOOR12 WEEKS AVERAGE MEASURELAST MEASURE00300040005000600070008000900100011001200130014001500160017001800010TOTAL POSITIONSCell linked to CAMemorandum items: BREAKDOWN OF MARKET RISK0020Traded debt instruments0030TDI - General risk0040TDI - Specific Risk0050Equities0060Equities - General risk0070Equities - Specific Risk0080Foreign Exchange risk 0090Commodities risk0100Total amount for general risk0110Total amount for specific risk

Annex

ANNEX II

Annex

ANNEX XI INSTRUCTIONS FOR REPORTING OF RtM K-FACTOR REQUIREMENT ON THE BASIS OF K-NPR Table of Contents PART I: GENERAL INSTRUCTIONS 18

1. CONVENTIONS 18 1.1. Numbering convention 18 1.2. Sign convention 18 1.3. References to Regulation (EU) No 575/2013 18 PART II: TEMPLATE RELATED INSTRUCTIONS: MARKET RISK TEMPLATES 18
2. GENERAL REMARKS 18
3. C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) 18 2.1. General Remarks 18 2.2. Instructions concerning specific positions 19
4. C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) 20 3.1. General Remarks 20 3.2. Instructions concerning specific positions 21
5. C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) 22 4.1. General Remarks 22 4.2. Instructions concerning specific positions 23
6. C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) 24 5.1. General Remarks 24 5.2. Instructions concerning specific positions 24
7. C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) 26 6.1. General Remarks 26 6.2. Instructions concerning specific positions 26
8. C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) 28 7.1. General Remarks 28 7.2. Instructions concerning specific positions 28
9. C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM) 29 8.1. General Remarks 29 8.2. Instructions concerning specific positions 29 PART I: GENERAL INSTRUCTIONS
10. CONVENTIONS 1.1. Numbering convention
11. The document follows the labelling convention set in points 2 to 5, when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules.
12. The following general notation is followed in the instructions: {Template; Row; Column}.

1. In the case of validations inside a template, in which only data points of that template are used, notations do not refer to a template: {Row; Column}.
2. In the case of templates with only one column, only rows are referred to. {Template; Row}.
3. An asterisk sign is used to express that the validation is done for the rows or columns specified before. 1.2. Sign convention
4. Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure is expected to be reported for that item. 1.3. References to Regulation (EU) No 575/2013
5. All references to Articles 325 to Article 377 of Regulation (EU) No 575/2013 shall be read as references to the version of that Regulation in force on 26 June 2019. PART II: TEMPLATE RELATED INSTRUCTIONS: MARKET RISK TEMPLATES
6. GENERAL REMARKS
7. These instructions refer to the templates for the reporting of the calculation of own funds requirements in accordance with the Standardised Approach for foreign exchange risk (MKR SA FX), commodities risk (MKR SA COM), interest rate risk (MKR SA TDI, MKR SA SEC, MKR SA CTP) and equity risk (MKR SA EQU). Additionally, instructions for the template for the reporting of the calculation of own funds requirements in accordance with the internal models approach (MKR IM) are included in this part.
8. The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components to calculate the capital required against that position risk. The first component shall cover its specific-risk – that is the risk of a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative, the issuer of the underlying instrument. The second component shall cover its general risk – that is the risk of a price change in the instrument due (in the case of a traded debt instrument or debt derivative) to a change in the level of interest rates or (in the case of an equity or equity derivative) to a broad equity market movement unrelated to any specific attributes of individual securities. The general treatment of specific instruments and netting procedures is laid down in Articles 326 to 333 of Regulation (EU) No 575/2013.
9. C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) 2.1. General Remarks
10. This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the Standardised Approach (Article 325(2), point (a), of Regulation (EU) No 575/2013). The different risks and methods available under Regulation (EU) No 575/2013 are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP shall only be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {0325;0060} (securitisations) and {0330;0060} (CTP) respectively.

Article 102 and Article 105(1) of Regulation (EU) No 575/2013. Those are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties in accordance with Article 345(1), first subparagraph, second sentence, of Regulation (EU) No 575/2013. Regarding the distinction between long and short positions, also applicable to those gross positions, see Article 328(2) of that Regulation. 0030-0040 NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and Article 334 of Regulation (EU) No 575/2013. Regarding the distinction between long and short positions, see Article 328(2) of that Regulation. 0050 POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches in Part Three, Title IV, Chapter 2, of Regulation (EU) No 575/2013, receive a capital charge. 0060 OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Part Three, Title IV, Chapter 2, of Regulation (EU) No 575/2013. 0070 TOTAL RISK EXPOSURE AMOUNT

Article 92(6), point (b), of Regulation (EU) No 575/2013. Result of the multiplication of the own funds requirements by 12,5. Rows0010-0350 TRADED DEBT INSTRUMENTS IN TRADING BOOK Positions in traded debt instruments in Trading Book and their corresponding own funds requirements for position risk in accordance with Article 92(4), point (b)(i), of Regulation (EU) No 575/2013 and of Part Three, Chapter 2, Title IV of that Regulation shall be reported depending on risk category, maturity and approach used. 0011GENERAL RISK0012 Derivatives Derivatives included in the calculation of interest rate risk of trading book positions, taking into account Articles 328 to 331 of Regulation (EU) No 575/2013, where applicable. 0013 Other assets and liabilities Instruments other than derivatives included in the calculation of interest rate risk of trading book positions. 0020-0200 MATURITY BASED APPROACH Positions in traded debt instruments subject to the maturity-based approach referred to in Article 339(1) to (8) of Regulation (EU) No 575/2013 and the corresponding own funds requirements calculated in accordance with Article 339(9) of that Regulation. The position shall be split by zones 1, 2 and 3 and those zones shall be split by the maturity of the instruments. 0210-0240 GENERAL RISK. DURATION BASED APPROACH Positions in traded debt instruments subject to the duration-based approach referred to in Article 340(1) to (6) of Regulation (EU) No 575/2013 and the corresponding own funds requirements calculated in accordance with Article 340(7) of that Regulation. The position shall be split by zones 1, 2 and 3. 0250 SPECIFIC RISK Sum of amounts reported in rows 0251, 0325 and 0330. Positions in traded debt instruments subject to the specific risk capital requirements and their corresponding capital requirements in accordance with Article 92(3), point (b), Article 335, Article 336(1), (2) and (3) and Articles 337 and 338 of Regulation (EU) No 575/2013. Be also aware of the last sentence in Article 327(1) of that Regulation. 0251-0321 Own funds requirement for non-securitisation debt instruments Sum of the amounts reported in rows 260 to 321. The own funds requirement of the n-th to default credit derivatives which are not rated externally shall be calculated by summing up the risk weights of the reference entities (Article 332(1), point (e), and Article 332(1), second subparagraph, of Regulation (EU) No 575/2013 – look-through). N-th-to-default credit derivatives which are rated externally (Article 332(1), third subparagraph, of Regulation (EU) No 575/2013) shall be reported separately in row 321. Reporting of positions subject to Article 336(3) of Regulation (EU) No 575/2013: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book in accordance with Article 129(3) of that Regulation (covered bonds). The specific own funds requirements shall be half of the percentage of the second category referred to in Article 336, Table 1 of Regulation (EU) No 575/2013. Those positions shall be assigned to rows 0280-0300 in accordance with the residual term to final maturity.

Where the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 of Regulation (EU) No 575/2013 shall apply. 0325 Own funds requirement for securitisation instruments Total own funds requirements reported in column 0601 of template MKR SA SEC. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI. 0330 Own funds requirement for the correlation trading portfolio Total own funds requirements reported in column 0450 of template MKR SA CTP. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI. 0350-0390 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 329(3) of Regulation (EU) No 575/2013. The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation. 3. C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) 3.1. General Remarks 12. This template requests information on positions (all/net and long/short) and the related own funds requirements for the specific risk component of position risk in securitisations/re-securitisations held in the trading book (not eligible for correlation trading portfolio) under the Standardised Approach. 13. The MKR SA SEC template presents the own funds requirement only for the specific risk of securitisation positions in accordance with Article 335 of Regulation (EU) No 575/2013 in conjunction with Article 337 of that Regulation. Where securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 of Regulation (EU) No 575/2013 apply. There is only one template for all positions of the trading book, irrespective of the approach investment firms apply to determine the risk weight for each of the positions in accordance with Part Three, Title II, Chapter 5, of Regulation (EU) No 575/2013. The own funds requirements of the general risk of those positions shall be reported in the MKR SA TDI or the MKR IM template. 14. Positions which receive a risk weight of 1250 % may alternatively be deducted from CET1 (see Article 244(1), point (b), Article 245(1), point (b), and Article 253 of Regulation (EU) No 575/2013). Those positions shall be reported in this template, even if the institution makes use of possibility to deduct. 3.2. Instructions concerning specific positions Columns0010-0020 ALL POSITIONS (LONG AND SHORT)

Article 244(1), point (b), Article 245(1), point (b), and Article 253 of Regulation (EU) No 575/2013 0050-0060 NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 of Regulation (EU) No 575/2013. Regarding the distinction between long and short positions, see Article 328(2) of that Regulation. 0061-0104 BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, Article 263, Tables 1 and 2, Article 264, Tables 3 and 4 and Article 266 of Regulation (EU) No 575/2013. The breakdown shall be done separately for long and short positions. 0402-0406 BREAKDOWN OF THE NET POSITIONS BY APPROACHES

Article 4(1), point (14), of Regulation (EU) No 575/2013. A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets. 4. C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) 4.1. General Remarks 15. This template requests information on positions of the Correlation Trading Portfolio (CTP) (comprising securitisations, nth-to-default credit derivatives and other CTP positions included in accordance with Article 338(3) of Regulation (EU) No 575/2013) and the corresponding own funds requirements under the Standardised Approach. 16. The MKR SA CTP template presents the own funds requirement only for the specific risk of positions assigned to the CTP in accordance with Article 335 of Regulation (EU) No 575/2013 in conjunction with Article 338(2) and (3) of that Regulation. If CTP-positions of the trading book are hedged by credit derivatives, Articles 346 and 347 of Regulation (EU) No 575/2013 apply. There is only one template for all CTP-positions of the trading book, irrespective of the approach investment firms apply to determine the risk weight for each of the positions in accordance with Part Three, Title II, Chapter 5, of Regulation (EU) No 575/2013. The own funds requirements for the general risk of those positions are reported in the MKR SA TDI or the MKR IM template. 17. This template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. Securitisation positions shall always be reported in rows 0030, 0060 or 0090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in row 0110. The other CTP-positions are positions that are neither securitisation positions nor n-th to default credit derivatives (see Article 338(3) of Regulation (EU) No 575/2013), but they are explicitly linked to one of those two positions (because of the hedging intent). 18. Positions which receive a risk weight of 1250 % may alternatively be deducted from CET1 (see Article 244(1), point (b), Article 245(1), point (b), and Article 253 of Regulation (EU) No 575/2013). Those positions shall be reported in this template, even if the institution makes use of possibility to deduct. 4.2. Instructions concerning specific positions Columns0010-0020 ALL POSITIONS (LONG AND SHORT)

Article 253 of Regulation (EU) No 575/2013 0050-0060 NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 of Regulation (EU) No 575/2013 Regarding the distinction between long and short positions, see Article 328(2) of that Regulation. 0071-0097 BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, Article 263, Tables 1 and 2, Article 264, Tables 3 and 4, and Article 266 of Regulation (EU) No 575/2013 0402-0406 BREAKDOWN OF THE NET POSITIONS BY APPROACHES

Article 254 of Regulation (EU) No 575/2013 0402 SEC-IRBA Articles 259 and 260 of Regulation (EU) No 575/2013 0403 SEC-SA Articles 261 and 262 of Regulation (EU) No 575/2013 0404 SEC-ERBA Articles 263 and 264 of Regulation (EU) No 575/2013 0405 INTERNAL ASSESSMENT APPROACH Articles 254 and 265 and Article 266(5) of Regulation (EU) No 575/2013 0900 SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS

Article 338 of Regulation (EU) No 575/2013, taking into account the discretion set out in Article 335 of that Regulation 0450 TOTAL OWN FUNDS REQUIREMENTS The own funds requirement is determined as the larger of either of the following: (a) the specific risk charge that would apply just to the net long positions (column 0430); (b) the specific risk charge that would apply just to the net short positions (column 0440). Rows0010 TOTAL EXPOSURES Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role of originator, investor or sponsor. 0020-0040 ORIGINATOR

Article 4(1), point (14), of Regulation (EU) No 575/2013 A sponsor that also securitises its own assets shall fill in the originator’'s rows with the information regarding its own securitised assets. 0030, 0060 and 0090 SECURITISATION POSITIONS The correlation trading portfolio shall comprise securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set out in Article 338(2) and (3) of Regulation (EU) No 575/2013. Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row Other CTP positions. 0110 N-TH-TO-DEFAULT CREDIT DERIVATIVES N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives in accordance with Article 347 of Regulation (EU) No 575/2013 shall both be reported here. The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions shall not be provided for n-th to default credit derivatives. 0040, 0070, 0100 and 0120 OTHER CTP POSITIONS The following positions are included: (a) derivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging CTP positions; (b) CTP positions hedged by credit derivatives in accordance with Article 346 of Regulation (EU) No 575/2013; (c) other positions that satisfy Article 338(3) of Regulation (EU) No 575/2013. 5. C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) 5.1. General Remarks 19. This template requests information on the positions and the corresponding own funds requirements for position risk in equities held in the trading book and treated under the Standardised Approach. 20. This template shall be filled out separately for the Total, plus a static, pre-defined list of the following markets: Bulgaria, Czech Republic, Denmark, Egypt, Hungary, Iceland, Liechtenstein, Norway, Poland, Romania, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA, Euro Area plus one residual template for all other markets. For this reporting requirement, the term market shall be read as country (except for countries belonging to the Euro Area, see Commission Delegated Regulation (EU) No 525/2014 Commission Delegated Regulation (EU) No 525/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for the definition of market (OJ L 148, 20.5.2014, p. 15, ELI: http://data.europa.eu/eli/reg_del/2014/525/oj). ). 5.2. Instructions concerning specific positions Columns0010-0020 ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) of Regulation (EU) No 575/2013. Those are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties as referred to in Article 345(1), first subparagraph, second sentence of that Regulation. 0030-0040 NET POSITIONS (LONG AND SHORT) Articles 327, 329, 332, 341 and 345 of Regulation (EU) No 575/2013. 0050 POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Part Three, Title IV, Chapter 2, of Regulation (EU) No 575/2013 receive a capital charge. The capital charge shall be calculated for each national market separately. Positions in stock-index futures as referred to in 344(4), second sentence, of Regulation (EU) No 575/2013 shall not be included in this column. 0060 OWN FUNDS REQUIREMENTS The own funds requirement in accordance with Part Three, Title IV, Chapter 2, of Regulation (EU) No 575/2013 for any relevant position 0070 TOTAL RISK EXPOSURE AMOUNT

Article 92(6), point (b), of Regulation (EU) No 575/2013. Result of the multiplication of the own funds requirements by 12,5. Commission Implementing Regulation (EU) No 945/2014 of 4 September 2014 laying down implementing technical standards with regard to relevant appropriately diversified indices according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 265, 5.9.2014, p. 3, ELI: http://data.europa.eu/eli/reg_impl/2014/945/oj). Rows0010-0130 EQUITIES IN TRADING BOOK Own funds requirements for position risk as referred to in Article 92(3), point (b)(i), of Regulation (EU) No 575/2013, and Part Three, Title IV, Chapter 2, Section 3, of that Regulation 0020-0040 GENERAL RISK Positions in equities subject to general risk (Article 343 of Regulation (EU) No 575/2013) and their corresponding own funds requirement in accordance with Part Three, Title IV, Chapter 2, Section 3, of that Regulation Both breakdowns (rows 0021/0022 as well as rows 0030/0040) are a breakdown related to all positions subject to general risk. Rows 0021 and 0022 request information on the breakdown by instruments. Only the breakdown in rows 0030 and 0040 shall be used as a basis for the calculation of own funds requirements. 0021 Derivatives Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332 of Regulation (EU) No 575/2013, where applicable 0022 Other assets and liabilities Instruments other than derivatives included in the calculation of equity risk of trading book positions. 0030 Exchange traded stock-index futures broadly diversified and subject to a particular approach Exchange traded stock-index futures broadly diversified and subject to a particular approach in accordance with Commission Implementing Regulation (EU) No 945/2014 Those positions shall be only subject to general risk and, accordingly, shall not be reported in row 0050. 0040 Other equities than exchange traded stock-index futures broadly diversified Other positions in equities subject to specific risk and the corresponding own funds requirements in accordance with Article 343 of Regulation (EU) No 575/2013, including positions in stock index futures treated in accordance with Article 344(3) of that Regulation 0050 SPECIFIC RISK Positions in equities subject to specific risk and the corresponding own funds requirement in accordance with Article 342 of Regulation (EU) No 575/2013, excluding positions in stock-index futures treated in accordance with Article 344(4), second sentence, of that Regulation 0090-0130 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 329(2) and (3) of Regulation (EU) No 575/2013 The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation. 6. C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) 6.1. General Remarks 21. Investment firms shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange risk treated under the Standardised Approach. The position shall be calculated for each currency (including EUR), gold, and positions to CIUs. 22. Rows 0100 to 0470 of this template shall be reported, where the investment firms have the permission to perform activities 3 or 6 of Annex I, Section A, to Directive 2014/65/EU of the European Parliament and of the Council Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU (OJ L 173, 12.6.2014, p. 349, ELI: http://data.europa.eu/eli/dir/2014/65/oj). , even where those investment firms are not required to calculate own funds requirements for foreign exchange risk in accordance with Article 351 of Regulation (EU) No 575/2013. In those memorandum items, all the positions in the reporting currency are included in rows 0100 to 0470, irrespective of whether they are considered for the purposes of Article 354 of Regulation (EU) No 575/2013. Rows 0130 to 0470 of the memorandum items of the template shall be filled out separately for all currencies of the Member States of the Union, the currencies GBP, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies. 6.2. Instructions concerning specific positions Columns0020-0030 ALL POSITIONS (LONG AND SHORT) Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) of Regulation (EU) No 575/2013 In accordance with Article 352(2) of Regulation (EU) No 575/2013 and subject to permission from competent authorities, positions taken to hedge against the adverse effect of the exchange rate on their ratios in accordance with Article 92(1) of that Regulation and positions related to items that are already deducted in the calculation of own funds shall not be reported. 0040-0050 NET POSITIONS (LONG AND SHORT)

Article 352(4), third sentence, and Articles 353 and 354 of Regulation (EU) No 575/2013 0060-0070 POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT) The long and short net positions for each currency shall be calculated by deducting the total of short positions from the total of long positions. Long net positions for each operation in a currency shall be added to obtain the long net position in that currency. Short net positions for each operation in a currency shall be added to obtain the short net position in that currency. Unmatched positions in non-reporting currencies shall be added to positions subject to capital charges for other currencies (row 030) in column 060 or 070, depending on their short or long arrangement. 0080 POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED) Matched positions for closely correlated currencies. 0090 OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Part Three, Title IV, Chapter 3, of Regulation (EU) No 575/2013 0100 TOTAL RISK EXPOSURE AMOUNT

Article 92(6), point (b), of Regulation (EU) No 575/2013. Result of the multiplication of the own funds requirements by 12,5. Rows0010 TOTAL POSITIONS All positions in non-reporting currencies and those positions in the reporting currency that are considered for the purposes of Article 354 of Regulation (EU) No 575/2013 and their corresponding own funds requirements for the foreign-exchange risk referred to in Article 92(3), point (c)(i), of that Regulation, taking into account Article 352(2) and (4) of Regulation (EU) No 575/2013 (for conversion into the reporting currency). 0020 CURRENCIES CLOSELY CORRELATED Positions and their corresponding own funds requirements for closely correlated currencies as referred to in Article 354 of Regulation (EU) No 575/2013. 0025 Currencies closely correlated: of which: reporting currency Positions in the reporting currency which contribute to the calculation of the capital requirements in accordance with Article 354 of Regulation (EU) No 575/2013. 0030 ALL OTHER CURRENCIES (including CIUs treated as different currencies) Positions and their corresponding own funds requirements for currencies subject to the general procedure referred to in Article 351 and Article 352(2) and (4) of Regulation (EU) No 575/2013. Reporting of CIUs treated as separate currencies in accordance with Article 353 of Regulation (EU) No 575/2013: There are two different treatments of CIUs treated as separate currencies for calculating the capital requirements: (a) the modified gold method, where the direction of the CIUs investment is not available (those CIUs shall be added to an institution’s overall net foreign-exchange position); (b) where the direction of the CIUs investment is available, those CIUs shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU). The reporting of those CIUs shall follow the calculation of the capital requirements. 0040 GOLD Positions and their corresponding own funds requirements for currencies subject to the general procedure referred to in Article 351 and Article 352(2) and (4) of Regulation (EU) No 575/2013 0050 - 0090 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 352(5) and (6) of Regulation (EU) No 575/2013 The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation. 0100-0120 Breakdown of total positions (reporting currency included) by exposure types Total positions shall be broken down into derivatives, other assets and liabilities, and off-balance sheet items. 0100 Other assets and liabilities other than off-balance sheet items and derivatives Positions not included in row 0110 or 0120 shall be included here. 0110 Off-balance sheet items Items within the scope of Article 352 of Regulation (EU) No 575/2013, irrespective of the currency of denomination, which are included in Annex I to that Regulation, except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting. 0120 Derivatives Positions valued in accordance with Article 352 of Regulation (EU) No 575/2013. 0130-0470 MEMORANDUM ITEMS: CURRENCY POSITIONS The memorandum items of the template shall be filled in separately for all currencies of the member states of the Union, GBP, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies. Positions in gold and positions in CIUs treated as a separate currency in accordance with Article 353(3) of Regulation (EU) No 575/2013 shall be included in row 0470. 7. C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) 7.1. General Remarks 23. This template request information on the positions in commodities and the corresponding own funds requirements treated under the Standardised Approach. 7.2. Instructions concerning specific positions Columns0010-0020 All POSITIONS (LONG AND SHORT) Gross long/short positions considered positions in the same commodity in accordance with Article 357(4) of Regulation (EU) No 575/2013 (see also Article 359(1) of that Regulation) 0030-0040 NET POSITIONS (LONG AND SHORT) As referred to in Article 357(3) of Regulation (EU) No 575/2013 0050 POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Part Three, Title IV, Chapter 4, of Regulation (EU) No 575/2013 receive a capital charge. 0060 OWN FUNDS REQUIREMENTS The own funds requirement calculated in accordance with Part Three, Title IV, Chapter 4, of Regulation (EU) No 575/2013 for any relevant position 0070 TOTAL RISK EXPOSURE AMOUNT

Article 92(6), point (b), of Regulation (EU) No 575/2013. Result of the multiplication of the own funds requirements by 12,5 Rows0010 TOTAL POSITIONS IN COMMODITIES Positions in commodities and their corresponding own funds requirements for market risk calculated in accordance with Article 92(4), point (c), of Regulation (EU) No 575/2013 and Part Three, Title IV, Chapter 4, of that Regulation 0020-0060 POSITIONS BY CATEGORY OF COMMODITY For reporting purposes, commodities shall be grouped in the four groups of commodities referred to in Article 361, Table 2, of Regulation (EU) No 575/2013. 0070 MATURITY LADDER APPROACH Positions in commodities subject to the maturity ladder approach referred to in Article 359 of Regulation (EU) No 575/2013 0080 EXTENDED MATURITY LADDER APPROACH Positions in commodities subject to the extended maturity ladder approach referred to in Article 361 of Regulation (EU) No 575/2013 0090 SIMPLIFIED APPROACH Positions in commodities subject to the simplified approach referred to in Article 360 of Regulation (EU) No 575/2013 0100-0140 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 358(4) of Regulation (EU) No 575/2013 The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation. 8. C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM) 8.1. General Remarks 24. This template provides a breakdown of VaR and stressed VaR (sVaR) figures by the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements. 25. Generally, it depends on the structure of the model of the investment firms whether the figures for general and specific risk may be determined and reported separately or only as a total. The same holds true for the decomposition of the VaR /Stress-VaR into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution may refrain from reporting those decompositions if that institution proves that reporting those figures would be unduly burdensome. 8.2. Instructions concerning specific positions Columns0030-0040 Value at Risk (VaR) VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon. 0030 Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)

Article 364(3), point (a), of Regulation (EU) No 575/2013 0120 OWN FUNDS REQUIREMENTS Own funds requirements as referred to in Article 364 of Regulation (EU) No 575/2013 of all risk factors, taking into account correlation effects, where applicable, plus incremental default and migration risk and all price of risks for CTP, but excluding the securitisation capital charges for securitisation and nth-to-default credit derivative according to Article 364(2) of that Regulation 0130 TOTAL RISK EXPOSURE AMOUNT

Article 92(6), point (b), of Regulation (EU) No 575/2013. Result of the multiplication of the own funds requirements by 12,5 0140 Number of overshootings (during previous 250 working days) Referred to in Article 366 of Regulation (EU) No 575/2013 The number of overshootings based on which the addend is determined shall be reported. Where investment firms are permitted to exclude certain overshootings from the calculation of the addend in accordance with Article 500c of Regulation (EU) No 575/2013, the number of overshootings reported in this column shall be net of those excluded overshootings. 0150-0160 VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms) As referred to in Article 366 of Regulation (EU) No 575/2013 The multiplication factors effectively applicable for the calculation of own funds requirements shall be reported; where applicable, after application of Article 500c of Regulation (EU) No 575/2013. 0170-0180 ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG/ SHORT POSITIONS AFTER CAP The amount reported and serving as the basis to calculate the floor capital charge for all price risks in accordance with Article 364(3), point (c), of Regulation (EU) No 575/2013, taking into account the discretion set out in Article 335 of that Regulation which stipulates that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss. Rows0010 TOTAL POSITIONS Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) of Regulation (EU) No 575/2013 linked to the risk factors referred to in Article 367(2) of that Regulation. Concerning the columns 0030 to 0060 (VAR and Stress-VAR), the figures in the total row are not equal to the decomposition of the figures for the VaR/Stress-VaR of the relevant risk components. 0020 TRADED DEBT INSTRUMENTS Corresponds to the part of position risk referred to in Article 363(1) of Regulation (EU) No 575/2013, linked to the interest rates risk factors referred to in Article 367(2), point (a), of that Regulation. 0030 TDI – GENERAL RISK General risk component as referred to in Article 362 of Regulation (EU) No 575/2013 0040 TDI – SPECIFIC RISK Specific risk component as referred to in Article 362 of Regulation (EU) No 575/2013 0050 EQUITIES Corresponds to the part of position risk referred to in Article 363(1) of Regulation (EU) No 575/2013 linked to the equity risk factors referred to in Article 367(2), point (c), of that Regulation. 0060 EQUITIES – GENERAL RISK General risk component as referred to in Article 362 of Regulation (EU) No 575/2013 0070 EQUITIES – SPECIFIC RISK Specific risk component as referred to in Article 362 of Regulation (EU) No 575/2013 0080 FOREIGN EXCHANGE RISK Articles 363(1) and Article 367(2), point (b), of Regulation (EU) No 575/2013 0090 COMMODITY RISK Articles 363(1) and Article 367(2), point (d), of Regulation (EU) No 575/2013 0100 TOTAL AMOUNT FOR GENERAL RISK Market risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VaR for general risk of all risk factors (taking into account correlation effects where applicable)