ANNEX VSupplementary provisions
ANNEX V Annex V to Implementing Regulation (EU) 2016/2070 is amended as follows: (1) In Section 1 (‘Instructions’) points (b), (aa) and (ff) are replaced by the following: ‘(b) The following dates shall apply for the exercise: (i) The booking date shall be 17 September 2020; (ii) the IMV reference date shall be 24 September 2020 at 5:30 pm CET; (iii) the IMV remittance date shall be 2 October 2020; (iv) the RM initial reference date shall be 18 January 2021; (v) the RM final reference date shall be 29 January 2021; (vi) the RM remittance dates shall be 26 February 2021’; ‘(aa) Where necessary, institutions shall apply the EU Benchmarks Regulation for the interest rate in order to substitute the reference rate (“EURIBOR”) and (“LIBOR”) stated in Section 2 of this Annex. Institutions shall specify the alternative rate they use instead of the reference rate (“EURIBOR”) and (“LIBOR”) in the explanatory note referred to in point (d) of these instructions.’; ‘(ff) In Section 2 (“Instruments”): “Year T” = 2021; In addition, Year T + X = 2021 + X, with X as specified in Section 2.’. (2) In Section 1 (‘Instructions’) the following point (mm) is added: ‘(mm) 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.’. (3) In Section 2 (‘Instruments’), points (17), (18), (27), (34), (38) and (39) are replaced by the following: ‘17. Short Future NIKKEI 225 (Ticker NKY) (1 point equals 500 JPY). Exchange: CME Expiry date: 11 June Year T Base currency: JPY’; ‘18. Auto-callable Equity product Long position Booking on “Booking date” Notional amount (“Capital”): 1 000 000 Underlying: Index EURO STOXX 50 (Ticker: SX5E) Base currency: EUR Maturity: 5 years Annual Payout and annual observation (“Booking date + 1 year”, “Booking date + 2 years”, “Booking date + 3 years”, “Booking date + 4 years”, Booking date + 5 years). Payout occurs 10 days after reference date. Coupon: 6 % Autocall level (“Initial value”): End of day Booking date - 1 year Barrier coupon payment 60 % of autocall level Protection barrier: 55 % of autocall level — Capital not guaranteed if index is below the protection barrier (capital returned on year 5 will be pro-rata if the level is below the protection barrier: for instance, if the SX5E = 40 % of its initial level then the capital returned is 40 %); — If SX5E ≥ 60 % (barrier coupon) of initial value at the end of any year then the coupon is paid out 6 %; — If SX5E ≥ 100 % of initial value at the end of any year then the product is called and the payout is the coupon plus the capital (100 %); — If SX5E < 60 % (barrier coupon) of initial value at the end of any year 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.’; ‘27. Long ITALY GOVT EUR 1 000 000 (ISIN IT0004953417) Maturity: 1 March 2024 Base currency: EUR’; ‘34. Long BRAZIL GOVT 5 000 000 USD (ISIN US105756AR10) Maturity: 15 April 2024 Base currency: USD’; ‘38. 6-month USD/EUR forward contract. Cash settled. Long USD – Short EUR; Notional USD 10 000 000 USD; EUR/USD ECB reference spot rate as of end of the booking date. Base currency: EUR’; ‘39. 6-month EUR/GBP forward contract. Cash settled. Long EUR – Short GBP; Notional 10 000 000 GBP; EUR/GBP ECB reference spot rate as of end of the booking date.’; Base currency: EUR’. (4) In Section 5 (‘Instrument additional specifications’), in the sixth row of the second column, the word ‘included’ is replaced by the word ‘Excluded’.