ANNEX IISupplementary provisions
ANNEX II ‘ ANNEX V MARKET RISK BENCHMARK INSTRUMENTS AND PORTFOLIOS Section 1: Instructions 18 Section 2: Instruments 22 Section 3: Individual portfolios – Single instrument 36 Section 4: Individual portfolios – Multi instruments 39 Section 5: Aggregated Portfolios 42 Section 6: Additional specifications for instruments 43 Section 7: SBM validation portfolios 45 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), for Internal Model Approved (IMA) banks, means the value of the VaR, sVaR, and when required IRC and APR for the portfolios, as set out in Section3 to 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 19 February 2026; (ii) the IMV (and initial SBM) reference date shall be 27 February 2026 (at 5:30 pm CET); (iii) the IMV (and initial SBM, and SBM validation) remittance date shall be 13 March 2026; (iv) the RM initial reference date shall be 18 May 2026; (v) the RM (and final ASA) final reference date shall be 29 May 2026; (vi) the RM (and final ASA) remittance date shall be 26 June 2026; (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) available reference data for the instrument in the institution’s own format; (iv) the aspects referred to in points (h), (i), (l), (n), (o), (p), (w), (x), (z), and (hh) of this Section; (v) institutions approved to use internal models shall also report: (1) the risk factors included in the internal model for the instrument; (2) the risk factors included in the internal model that are also valuation inputs for the IMV of the instrument; (3) the internal model specifics in relation to the instruments. (f) For the purposes of point (e), sub point (v), all of the following shall be reported: (i) concise internal 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 Section 3 to Section 5 of this Annex, 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 of this Annex, institutions shall report SBM results and submit them in line with the reporting dates of the IMV submission. (cc) Institutions in the scope of the benchmarking exercise shall report solely instruments under internal models for which they have received approval by the supervisors and that are not forbidden to being trade by internal policy decision or trading system limitations. (dd) The results for individual and the aggregated portfolios shall be submitted only where the results of all the instruments that are part of them are also being submitted. (ee) In Section 2 of this Annex (Instruments), ‘Year T’ shall mean ‘2026’ and Year T + X shall mean 2026 + 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 (e) 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 1 000 EUR Exchange: Eurex Expiry date: September Year T EBA instrument currency: EUR 102. Long 10 000 BAYER (Ticker: BAYN GR) shares. Exchange: Xetra EBA instrument currency: EUR 103. Short Futures BAYER (Ticker: BAYN GR). Notional: equivalent to the value of 10 000 shares of the underlying asset Exchange: Eurex Expiry date: September Year T EBA instrument currency: EUR 104. Short Futures, STELLANTIS (Ticker: STLA FP). Notional: equivalent to the value of 10 000 shares of the underlying asset Exchange: Euronext Expiry date: September Year T EBA instrument currency: EUR 105. Short Futures, ALLIANZ (Ticker: ALV GR). Notional: equivalent to the value of 10 000 shares of the underlying asset Exchange: Eurex Expiry date: September Year T EBA instrument currency: EUR 106. Short Futures BARCLAYS (Ticker: BARC LN). Notional: equivalent to the value of 10 000 shares of the underlying asset Exchange: Eurex Expiry date: September Year T EBA instrument currency: GBP 107. Short Futures DEUTSCHE BANK (Ticker: DBK GR). Notional: equivalent to the value of 10 000 shares of the underlying asset Exchange: Eurex Expiry date: September Year T EBA instrument currency: EUR 108. Short Futures CRÉDIT AGRICOLE (Ticker: ACA FP). Notional: equivalent to the value of 10 000 shares of the underlying asset Exchange: Euronext Expiry date: September 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 10 000 shares of the underlying asset Expiry date: September 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 10 000 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 10 000 shares of the underlying asset Expiry date: September 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 10 000 shares of the underlying asset Expiry date: September 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 10 000 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 10 000 shares of the underlying asset Expiry date: September 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 10 000 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 10 000 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 20 000 JPY Exchange: CME Expiry date: September Year T EBA instrument currency: JPY 118. Auto-callable Equity product. Long position Booking on ‘Booking date’ Notional amount (‘Capital’): EUR 1 000 000 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 1 000 EUR Expiry date: September 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 10 000 EUR Expiry date: September Year T EBA instrument currency: EUR 121. Long VIX Index (CBOE) Futures. Notional: equivalent to the value of the index times 100 000 USD Expiry date: September 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 10 000 000 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 + 5 years EBA instrument currency: EUR 202. Two-year EUR swaption on 5-year IRS EUR – pay fixed rate and receive floating rate. Notional: EUR 10 000 000. 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 10 000 000; 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 203. 5-year IRS USD. Receive fixed rate and pay floating rate. Fixed rate: receive annually Floating rate: 3-month USD SOFR rate (overnight SOFR, daily compounded), pay quarterly Notional: USD 1 000 000 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: Booking date + 5 years EBA instrument currency: USD 204. 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 10 000 000 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 205. Collared 10y floating rate note sold by UBS. Notional (Principal) Amount: USD 1 000 000. 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 (overnight SOFR, daily compounded) 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 Amount The 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 Date ‘Booking date’ Interest Payment Dates Quarterly, 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 Basis 30/360 Business Day Convention Following Unadjusted Coupon Determination For each Interest Period, the second London Banking day immediately preceding the relevant Interest Date. 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 1 000 000 (ISIN DE0001030583). Maturity: 15 April 2033 EBA instrument currency: EUR 207. Short GERMANY GOVT EUR 1 000 000 (ISIN DE0001030708). Maturity: 15 August 2030 EBA instrument currency: EUR 208. Long ITALY GOVT (Inflation) EUR 1 000 000 (ISIN IT0005138828). Maturity: 15 September 2032 EBA instrument currency: EUR 209. Long ITALY GOVT EUR 1 000 000 (ISIN IT0005340929). Maturity: 1 December 2028 EBA instrument currency: EUR 210. Long SPAIN GOVT EUR 1 000 000 (ISIN ES00000127A2). Maturity: 30 July 2030 EBA instrument currency: EUR 211. Short FRANCE GOVT EUR 1 000 000 (ISIN FR0012993103). Maturity: 25 May 2031 EBA instrument currency: EUR 212. Short GERMANY GOVT EUR 1 000 000 (ISIN DE0001135176). Maturity: 4 January 2031 EBA instrument currency: EUR 213. Long UNITED KINGDOM GOVT GBP 1 000 000 (ISIN GB0004893086). Maturity: 7 June 2032 EBA instrument currency: GBP 214. Long PORTUGAL GOVT EUR 1 000 000 (ISIN PTOTEXOE0024). Maturity: 15 June 2029 EBA instrument currency: EUR 215. Short UNITED STATES GOVT USD 1 000 000 (ISIN US91282CAV37). Maturity: 15 November 2030 EBA instrument currency USD 216. Long BRAZIL GOVT (callable) 1 000 000 USD (ISIN US105756BZ27). Maturity: 13 January 2028 EBA instrument currency: USD 217. Long MEXICO GOVT (callable) 1 000 000 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 10 000 000 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 10 000 000 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 (overnight SOFR, daily compounded), receive quarterly compounded with a payment lag of 2 days. Daycount: ACT/360 Leg 1 – USD: Notional EUR 10 000 000 equivalent adjusted on a quarterly basis Leg 2 – EUR: Notional EUR 10 000 000 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 10 000 000 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 + 10 years EBA instrument currency: EUR 222. Long ITALY GOVT (Inflation) EUR 1 000 000 (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): Rec Inflation indexed return Notional: EUR 10 000 000 Base fixing date: Booking date – 3 months Final Fixing: Booking date + 4 years 9 months Maturity: Booking date + 5 years EBA instrument currency: EUR 224. Two-year EUR swaption on 5-year IRS EUR – receive fixed rate and pay floating rate. Notional: EUR 10 000 000. 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 10 000 000; 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 10 000 000; 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 10 000 000 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 10 000 000 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 10 000 000. 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 10 000 000. 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 10 000 000. 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 10 000 000. 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 10 000 000. 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 10 000 000. 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 10 000 000; Forward Strike: equal to 100 % of the relevant EUR/DKK ECB spot reference rate at the end of the booking date. EBA instrument currency: EUR 311. 6-month EUR/BRL Non deliverable forward contract (long EUR, short BRL); Notional EUR 10 000 000; Forward Strike: equal to 100 % of the relevant EUR/BRL ECB spot reference rate at the end of the booking date. EBA instrument currency: EUR COMMODITIES 401. Long 6-month 3 500 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 3 500 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 30 000 barrels Brent Crude Oil (long Brent Crude Oil, 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 30 000 barrels Brent Crude Oil (long Brent Crude Oil, 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 5 000 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 1 000 000 CDS on PORTUGAL. Restructuring clause: FULL EBA instrument currency: USD 502. Long (i.e. Buy protection) USD 1 000 000 CDS on ITALY. Restructuring clause: FULL EBA instrument currency: USD 503. Short (i.e. Sell protection) USD 1 000 000 CDS on SPAIN. Restructuring clause: FULL EBA instrument currency: USD 504. Long (i.e. Buy protection) USD 1 000 000 CDS on MEXICO. Restructuring clause: FULL EBA instrument currency: USD 505. Long (i.e. Buy protection) USD 1 000 000 CDS on BRAZIL. Restructuring clause: FULL EBA instrument currency: USD 506. Long (i.e. Buy protection) USD 1 000 000 CDS on UK. Restructuring clause: FULL EBA instrument currency: USD 507. Short (i.e. Sell protection) EUR 1 000 000 CDS on Telefonica (Ticker TEF SM). EBA instrument currency: EUR 508. Long (i.e. Buy protection) EUR 1 000 000 CDS on Telefonica (Ticker TEF SM). Maturity: December Year T+2 EBA instrument currency: EUR 509. Short (i.e. Sell protection) EUR 1 000 000 CDS on Aviva (Ticker AV LN). ISDA Definitions year 2003 EBA instrument currency: EUR 510. Long (i.e. Buy protection) EUR 1 000 000 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 1 000 000 CDS on Vodafone (Ticker VOD LN). EBA instrument currency: EUR 512. Short (i.e. Sell protection) EUR 1 000 000 CDS on ENI SpA (Ticker ENI IM). EBA instrument currency: EUR 513. Short (i.e. Sell protection) USD 1 000 000 CDS on Eli Lilly (Ticker LLY US). Restructuring clause: No restructuring (XR14) EBA instrument currency: USD 514. Short (i.e. Sell protection) EUR 1 000 000 CDS on Unilever (Ticker UNA NA). EBA instrument currency: EUR 515. Long (i.e. Buy protection) EUR 1 000 000 CDS on Total SA (Ticker FP FP). EBA instrument currency: EUR 516. Long (i.e. Buy protection) EUR 1 000 000 CDS on Volkswagen Group (Ticker VOW GR). EBA instrument currency: EUR 517. Long position on TURKEY Govt. notes USD 1 000 000 (ISIN US900123CT57). Maturity: 26 April 2029 EBA instrument currency: USD 518. Long (i.e. Buy protection) USD 1 000 000 CDS on TURKEY. Effective date as booking date. Restructuring clause: FULL EBA instrument currency: USD 519. Long position on Telefonica notes EUR 1 000 000 (ISIN XS1681521081). Maturity: 12 January 2028 EBA instrument currency: EUR 520. Long position on Volkswagen Group notes EUR 1 000 000 (ISIN XS2234567233). Maturity: 22 September 2028 EBA instrument currency: EUR 521. Short position Volkswagen Group notes EUR 1 000 000 (ISIN XS1167667283). Maturity: 16 January 2030 EBA instrument currency: EUR 522. Long position on Total SA notes EUR 1 000 000 (ISIN XS1856281834). Maturity: 11 July 2033 EBA instrument currency: EUR 523. Long AUSTRIA GOVT EUR 1 000 000 (ISIN AT0000A04967). Maturity: 15 March 2037 EBA instrument currency: EUR 524. Long (i.e. Buy protection) USD 1 000 000 CDS on AUSTRIA. Maturity: June Year T+15 EBA instrument currency: USD 525. Long NETHERLANDS GOVT EUR 1 000 000 (ISIN NL0013552060). Maturity: 15 January 2040 EBA instrument currency: EUR 526. Long (i.e. Buy protection) USD 1 000 000 CDS on NETHERLANDS. Maturity: June Year T+20 EBA instrument currency: USD 527. Long BELGIUM GOVT EUR 1 000 000 (ISIN BE0000348574). Maturity: 22 June 2050 EBA instrument currency: EUR 528. Long (i.e. Buy protection) USD 1 000 000 CDS on BELGIUM. Maturity: June Year T+30 EBA instrument currency: USD 529. Long (Buy protection) EUR 10 000 000 CDS on iTraxx Europe index on-the-run series. Maturity: June Year T+4 EBA instrument currency: EUR 530. Short Put option. EUR 10 000 000. Underlying iTraxx Europe index on-the-run series (same instrument of 529). Strike price: ATM Expiry date: Booking date + 6 months EBA instrument currency: EUR 531. Long AXA SA (callable) EUR 1 000 000 (ISIN XS1799611642). Maturity: 28 May 2049 EBA instrument currency: EUR 532. Long AT&T Bond (callable) USD 1 000 000 (ISIN US00206RFW79). Maturity: 15 August 2037 EBA instrument currency: USD 533. Long BAYER AG (callable) EUR 1 000 000 (ISIN XS2199266268). Maturity: 06 January 2030 EBA instrument currency: EUR 534. Long ORANGE SA Bond (callable) EUR 1 000 000 (ISIN FR0013323870). Maturity: 20 March 2028 EBA instrument currency: EUR Instruments included in the alternative correlation trading portfolio (ACTP) 601. Short (i.e. Sell protection) position in iTraxx Europe index on-the-run series. Attachment point: 3 % Detachment point: 6 % Notional: EUR 5 000 000 Maturity: 5 years EBA instrument currency: EUR 602. Long (i.e. Buy protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series. Maturity: June Year T+4 EBA instrument currency: EUR Notional adj. to fully hedge CS01 of 601 with no re-hedging required 603. Long (i.e. Buy protection) position in iTraxx Europe index on-the-run series. Attachment point: 3 % Detachment point: 6 % Notional: EUR 5 000 000 Maturity: 5 years EBA instrument currency: EUR 604. Short (i.e. Sell protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series. Maturity: June Year T+4 EBA instrument currency: EUR Notional adj. to fully hedge CS01 of 603 with no re-hedging required 605. Short (i.e. Sell protection) position in iTraxx Europe index on-the-run series. Attachment point: 12 % Detachment point: 100 % Notional: EUR 5 000 000 Maturity: 5 years EBA instrument currency: EUR 606. Long (i.e. Buy protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series. Maturity: June Year T+4 EBA instrument currency: EUR Notional adj. to fully hedge CS01 of 605 with no re-hedging required 607. Long (i.e. Buy protection) position in iTraxx Europe index on-the-run series. Attachment point: 12 % Detachment point: 100 % Notional: EUR 5 000 000 Maturity: 5 years EBA instrument currency: EUR 608. Short (i.e. Sell protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series. Maturity: June Year T+4 EBA instrument currency: EUR Notional adj. to fully hedge CS01 of 607 with no re-hedging required 609. Short (i.e. Sell protection) position in iTraxx Europe index on-the-run series. Attachment point: 3 % Detachment point: 6 % Notional: EUR 5 000 000 Maturity: 5 years EBA instrument currency: EUR Recovery rate: 40 % fixed. 610. Long (i.e. Buy protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series. Maturity: June Year T+4 EBA instrument currency: EUR Notional adj. to fully hedge CS01 of 609 with no re-hedging required Section 3: Individual portfolios – Single instrument Institutions shall provide the required risk measures, along with the Present Value, of the following individual portfolios: Portfolio Combination of instruments: The first figure represents the instrument (as referred to in Section 2 of this Annex). The second figure represents the quantity of each instrument or number of contracts, as applicable. EBA portfolio currency IMA Risk measures (VaR, SVaR, and where appropriate IRC and APR) required for the exercise FRTB ASA Risk measures (SBM, DRC, RRAO) required for the exercise 1001 101 – 1 instrument EUR No Yes 1002 102– 1 instrument EUR No Yes 1003 103 – 1 instrument EUR No Yes 1004 104 – 1 instrument EUR No Yes 1005 105– 1 instrument EUR No Yes 1006 106 – 1 instrument GBP No Yes 1007 107 – 1 instrument EUR No Yes 1008 108 – 1 instrument EUR No Yes 1009 109 – 1 instrument EUR No Yes 1010 110 – 1 instrument EUR No Yes 1011 111 – 1 instrument USD No Yes 1012 112 – 1 instrument USD No Yes 1013 113 – 1 instrument EUR No Yes 1014 114 – 1 instrument EUR No Yes 1015 115 – 1 instrument GBP No Yes 1016 116 – 1 instrument GBP No Yes 1017 117 – 1 instrument JPY No Yes 1018 118 – 1 instrument EUR No Yes 1019 119 – 1 instrument EUR No Yes 1020 120 – 1 instrument EUR No Yes 1021 121 – 1 instrument USD No Yes 2001 201 – 1 instrument EUR No Yes 2002 202 – 1 instrument EUR No Yes 2003 203 – 1 instrument USD No Yes 2004 204 – 1 instrument GBP No Yes 2005 205 – 1 instrument USD No Yes 2006 206 – 1 instrument EUR No Yes 2007 207 – 1 instrument EUR No Yes 2008 208– 1 instrument EUR No Yes 2009 209 – 1 instrument EUR No Yes 2010 210 – 1 instrument EUR No Yes 2011 211 – 1 instrument EUR No Yes 2012 212 – 1 instrument EUR No Yes 2013 213 – 1 instrument GBP No Yes 2014 214 – 1 instrument EUR No Yes 2015 215 – 1 instrument USD No Yes 2016 216 – 1 instrument USD No Yes 2017 217 – 1 instrument USD No Yes 2018 218 – 1 instrument EUR No Yes 2019 219 – 1 instrument EUR No Yes 2020 220 – 1 instrument EUR No Yes 2021 221 – 1 instrument EUR No Yes 2022 222 – 1 instrument EUR No Yes 2023 223 – 1 instrument EUR No Yes 2024 224 – 1 instrument EUR No Yes 3001 301 – 1 instrument EUR No Yes 3002 302 – 1 instrument EUR No Yes 3003 303 – 1 instrument EUR No Yes 3004 304 – 1 instrument EUR No Yes 3005 305 – 1 instrument EUR No Yes 3006 306 – 1 instrument EUR No Yes 3007 307 – 1 instrument EUR No Yes 3008 308 – 1 instrument EUR No Yes 3009 309 – 1 instrument EUR No Yes 3010 310 – 1 instrument EUR No Yes 3011 311 – 1 instrument EUR No Yes 4001 401 – 1 instrument USD No Yes 4002 402 – 1 instrument USD No Yes 4003 403 – 1 instrument USD No Yes 4004 404 – 1 instrument USD No Yes 4005 405 – 1 instrument USD No Yes 5001 501 – 1 instrument USD No Yes 5002 502 – 1 instrument USD No Yes 5003 503 – 1 instrument USD No Yes 5004 504 – 1 instrument USD No Yes 5005 505 – 1 instrument USD No Yes 5006 506 – 1 instrument USD No Yes 5007 507 – 1 instrument EUR No Yes 5008 508 – 1 instrument EUR No Yes 5009 509 – 1 instrument EUR No Yes 5010 510 – 1 instrument EUR No Yes 5011 511 – 1 instrument EUR No Yes 5012 512 – 1 instrument EUR No Yes 5013 513 – 1 instrument USD No Yes 5014 514 – 1 instrument EUR No Yes 5015 515 – 1 instrument EUR No Yes 5016 516 – 1 instrument EUR No Yes 5017 517 – 1 instrument USD No Yes 5018 518 – 1 instrument USD No Yes 5019 519 – 1 instrument EUR No Yes 5020 520 – 1 instrument EUR No Yes 5021 521 – 1 instrument EUR No Yes 5022 522 – 1 instrument EUR No Yes 5023 523 – 1 instrument EUR No Yes 5024 524 – 1 instrument USD No Yes 5025 525 – 1 instrument EUR No Yes 5026 526 – 1 instrument USD No Yes 5027 527 – 1 instrument EUR No Yes 5028 528 – 1 instrument USD No Yes 5029 529 – 1 instrument EUR No Yes 5030 530 – 1 instrument EUR No Yes 5031 531 – 1 instrument EUR No Yes 5032 532 – 1 instrument USD No Yes 5033 533 – 1 instrument EUR No Yes 5034 534 – 1 instrument EUR No Yes 6001 601 – 1 instrument EUR No Yes 6002 602 – 1 instrument EUR No Yes 6003 603 – 1 instrument EUR No Yes 6004 604 – 1 instrument EUR No Yes 6005 605 – 1 instrument EUR No Yes 6006 606 – 1 instrument EUR No Yes 6007 607 – 1 instrument EUR No Yes 6008 608 – 1 instrument EUR No Yes 6009 609 – 1 instrument EUR No Yes 6010 610 – 1 instrument EUR No Yes Section 4: Individual portfolios – Multi instruments Institutions shall provide the required risk measures, along with the Present Value, of the following individual portfolios: Portfolio Combination of instruments: The first figure represents the instrument (as referred to in Section 2 of this Annex). The second figure represents the quantity of each instrument or number of contracts, as applicable. EBA portfolio currency IMA Risk measures (VaR, SVaR, and where appropriate IRC and APR) required for the exercise FRTB ASA Risk measures required for the exercise 1101 103 – 1 instrument 104 – 1 instrument 105 – 1 instrument EUR No Yes 1102 113 – 1 instrument 110 – 1 instrument EUR No Yes 1103 115 – 1 instrument 116 – 1 instrument GBP No Yes 1104 109 – 1 instrument 110 – 1 instrument EUR No Yes 1105 111 – 1 instrument 112 – 1 instrument USD No Yes 1106 102 – 1 instrument 114 – 1 instrument EUR No Yes 1107 106 – 1 instrument 107 – 1 instrument 108 – 1 instrument EUR No Yes 1108 101 – 1 instrument 103 – 1 instrument EUR No Yes 1109 101 – 1 instrument 103 – 1 instrument 104 – 1 instrument EUR No Yes 1110 102– 1 instrument 104 – 1 instrument EUR No Yes 2201 206 – 1 instrument 207 – 1 instrument EUR No Yes 2202 206 – 1 instrument 207 – 1 instrument 208 – 1 instrument EUR No Yes 2203 206 – 1 instrument 207 – 1 instrument 208 – 1 instrument 209 – 1 instrument 210 – 1 instrument 211 – 1 instrument 212 – 1 instrument EUR No Yes 2204 201 – 1 instrument 218 – 1 instrument EUR No Yes 2205 201 – 1 instrument 219 – 1 instrument EUR No Yes 2206 218 – 1 instrument 219 – 1 instrument EUR No Yes 2207 201 – 1 instrument 202 – 1 instrument EUR No Yes 2208 215 – 1 instrument 216 – 1 instrument 217 – 1 instrument USD No Yes 2209 203 – 1 instrument 215 – 1 instrument USD No Yes 2210 208 – 1 instrument 209 – 1 instrument 210 – 1 instrument 214 – 1 instrument EUR No Yes 2211 209 – 1 instrument 219 – 1 instrument EUR No Yes 2212 201 – 1 instrument 223 – 1 instrument EUR No Yes 3301 301 – 1 instrument 302 – 1 instrument EUR No Yes 3302 303 – 1 instrument 304 – 1 instrument EUR No Yes 3303 304 – 1 instrument 305 – 1 instrument 306 – 1 instrument EUR No Yes 3304 307 – 1 instrument 308 – 1 instrument EUR No Yes 4401 401 – 1 instrument 402 – 1 instrument USD No Yes 4402 403 – 1 instrument 404 – 1 instrument USD No Yes 4403 401 – 1 instrument 404 – 1 instrument USD No Yes 5501 501 – 1 instrument 502 – 1 instrument 503 – 1 instrument USD No Yes 5502 504 – 1 instrument 505 – 1 instrument USD No Yes 5503 507 – 1 instrument 508 – 1 instrument EUR No Yes 5504 503 – 1 instrument 504 – 1 instrument USD No Yes 5505 509 – 1 instrument 510 – 1 instrument EUR No Yes 5506 511 – 1 instrument 512 – 1 instrument 514 – 1 instrument 515 – 1 instrument 516 – 1 instrument EUR No Yes 5507 517 – 1 instrument 518 – 1 instrument USD No Yes 5508 519 – 1 instrument 520 – 1 instrument 522 – 1 instrument EUR No Yes 5509 520 – 1 instrument 521 – 1 instrument EUR No Yes 5510 519 – 1 instrument 508 – 1 instrument EUR No Yes 5511 515 – 1 instrument 522 – 1 instrument EUR No Yes 5512 520 – 1 instrument 521 – 1 instrument 516 – 1 instrument EUR No Yes 5513 506 – 1 instrument 503 – 1 instrument USD No Yes 5514 502 – 1 instrument 209 – 1 instrument EUR No Yes 5515 504 – 1 instrument 217 – 1 instrument USD No Yes 5516 505 – 1 instrument 216 – 1 instrument USD No Yes 5517 504 – 1 instrument 217 – 1 instrument 505 – 1 instrument 216 – 1 instrument USD No Yes 5518 502 – 1 instrument 209 – 1 instrument 219 – 1 instrument EUR No Yes 5519 523 – 1 instrument 525 – 1 instrument 527 – 1 instrument EUR No Yes 5520 524 – 1 instrument 526 – 1 instrument 528 – 1 instrument USD No Yes 5521 523 – 1 instrument 524 – 1 instrument 525 – 1 instrument 526 – 1 instrument 527 – 1 instrument 528 – 1 instrument EUR No Yes 5522 529 – 1 instrument 530 – 1 instrument EUR No Yes 6601 601 – 1 instrument 602 – 1 instrument EUR No Yes 6602 603 – 1 instrument 604 – 1 instrument EUR No Yes 6603 605 – 1 instrument 606 – 1 instrument EUR No Yes 6604 607 – 1 instrument 608 – 1 instrument EUR No Yes 6605 609 – 1 instrument 610 – 1 instrument EUR No Yes Section 5: Aggregated Portfolios Institutions shall provide the required risk measures, along with the Present Value, of the following financial aggregated portfolios: Aggreg. Portfolio Description Combination of Individual Portfolios (individual portfolios as stated by their numbers as referred to in Section 3 and 4 of this Annex) EBA portfolio Currency IMA Risk measures (VaR, SVaR, and where appropriate IRC and APR) required for the exercise FRTB ASA Risk measures required for the exercise 10000 ALL-IN no-CTP 1001, 1101, 1104, 1106, 2001, 2002, 2203, 2206, 3301, 3303, 3304, 4401, 4402, 5503, 5506, 5508, 5521 EUR No Yes 11000 EQUITY Cumulative 1001, 1101, 1104, 1106 EUR No Yes 12000 IR Cumulative 2001, 2002, 2203, 2206 EUR No Yes 13000 FX Cumulative 3301, 3303, 3304 EUR No Yes 14000 Commodity Cumulative 4401, 4402 USD No Yes 15000 Credit Spread cumulative 5503, 5506, 5508, 5521 EUR No Yes 16000 CTP cumulative EUR 6601, 6602 EUR No Yes Section 6: Additional specifications for instruments Institutions shall apply the following additional specifications to the financial instruments described in Section 2 of this Annex: Instrument: 220 Description: 5-year Mark to Market (MtM) Cross Currency EUR/USD SWAP Receive USD and pay EUR Notional: EUR 10 000 000 , USD (EUR 10 000 000 * FX USD/EUR) Pay: Float leg 2 Rec: Float leg 1 Notional Exchange and Reset: On effective date and maturity date. Further, on every coupon payment date, an additional payment corresponding to adjustment of the USD notional on Float leg 2 is made. The USD notional is adjusted to equal 10 000 000 EUR, at spot rate 2 business days in advance of each payment date. Cash balance Included Float Leg 1 Notional: 10 000 000 EUR equivalent converted to USD at spot on effective date, equivalent adjusted on a quarterly basis Effective Date: Booking date + 6 months Maturity Date: Booking date + 5,5 years Payment Date Generation: Forward from Effective Date Coupon Payment Frequency: Quarterly Coupon Rate: 3-month SOFR (overnight SOFR, daily compounded) + 0bps. Coupon Rate Reset Freq: Quarterly Coupon Rate Fixing Convention: Compounded daily over the 3-month period Coupon Rate Compounding Frequency: Simple Interest Day Count: ACT/360 Payment Business Day: LON, NYC, TARGET Payment Business Day Convention: Modified Following Notional Reset Business Day: LON, NYC, TARGET Notional Reset Business Day Convention: Previous Coupon Rate Reset Business Day: LON, NYC, TARGET Coupon Rate Reset Business Day Convention: Previous Float Leg 2 Notional: 10 000 000 EUR Effective Date: Booking date + 6 months Maturity Date: Booking date + 5,5 years Payment Date Generation: Forward from Effective Date Coupon Payment Frequency: Quarterly Coupon Rate: 3-month ESTER + 0 bps. Coupon Rate Reset Frequency: Quarterly Coupon Rate Fixing Convention: Compounded daily over the 3-month period Coupon Rate Compounding Frequency: Simple Interest Day Count: ACT/360 Payment Business Day: LON, NYC, TARGET Payment Business Day Modified Following Notional Reset Business Day: LON, NYC, TARGET Notional Reset Business Day Convention: Previous Coupon Rate Reset Business Day: LON, NYC, TARGET Coupon Rate Reset Business Day Convention: Previous Section 7: SBM validation portfolios (a) Institutions shall provide the SBM risk measure of the portfolios defined in Annex X (SBM validation portfolios) as part of the IMV submission and submit them in line with the reporting dates of the IMV submission. (b) The following shall apply for the submission of the results corresponding to SBM validation portfolios: (i) Institutions shall report solely template C 106.02. (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). Where an instrument forming part of a validation portfolio specified in Annex X relates to curvature risk, banks should consider both the upward and downward curvature risk positions, which are provided under the same instrument number, but in separate rows within the instruments specified in Annex X. ’