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Commission Implementing Regulation (EU) 2016/2070 of 14 September 2016 laying down implementing technical standards for templates, definitions and IT-solutions to be used by institutions when reporting to the European Banking Authority and to competent authorities in accordance with Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance)
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Commission Implementing Regulation (EU) 2016/2070, ANNEX V is up to date with all changes known to be in force on or before 08 August 2024. There are changes that may be brought into force at a future date. Changes that have been made appear in the content and are referenced with annotations.
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Textual Amendments
F1 Substituted by Commission Implementing Regulation (EU) 2019/439 of 15 February 2019 amending Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions to be applied in the Union for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance).
Institutions shall apply all of the following:
Unless explicitly specified otherwise in the portfolio description, all positions shall be booked on 19 September 2018 . Once positions have been booked, each portfolio shall age for the duration of the benchmarking exercise. Furthermore, calculation shall be done under the assumptions that the institution does not take action to manage the portfolio in any way during the entire period of the exercise. Unless explicitly stated otherwise in the specifications for a particular portfolio, strike prices for options positions shall be determined relative to prices for the underlying, as observed at market close on Wednesday 19 September 2018 .
For the purposes of pre-benchmarking exercise validation, the valuation of each instrument shall be submitted to the institution's competent authority by Friday 5 October 2018 . By that day, the explanatory documents, accompanying the results, requested hereinafter, shall be delivered as well. Initial Market Valuation (IMV) means the determination of the value marked to market at the valuation day and time. The exact timing of the valuation shall be Wednesday 26 September 2018 , 17:30 CET (4.30 pm GMT).
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.
To the extent possible, counterparty credit risk and credit valuation adjustment ( ‘ CVA ’ ) risk shall be excluded when valuing the risks of the portfolios.
The 10-day 99 % Value at Risk ( ‘ VaR ’ ) shall be calculated on a daily basis. Stressed VaR ( ‘ sVaR ’ ) and the incremental risk charge ( ‘ IRC ’ ) may be calculated on a weekly basis. sVaR and IRC must be based on end-of-day prices for each Friday in the time window of the benchmarking exercise;
For each portfolio, provide results in the base currency of the instrument and of the portfolio (see below);
For transactions that include long positions in credit default swaps (CDS), institutions shall assume payment of an immediate up-front fee to enter the position as per the market standards and conventions. Treat the maturity date for all CDS as following conventional quarterly termination dates;
Where additional specifications are needed in order to carry out pricing calculations required for CDS positions, produce these in line with commonly used market standards and conventions;
Use the maturity date that ensures that the transaction is closest to the term-to-maturity specified, in line with market standards and conventions;
For material details of the instrument specification that are not explicitly stated in the document, provide the competent authority with a separate explanatory document accompanying the results and setting out the assumptions that you have used (e.g. day count convention and the choice of a tradable and liquid instrument, where permitted);
Where a bank is required to make assumptions beyond those specified here that it believes are relevant to the interpretation of its exercise results (e.g. close of business timing, coupon rolls, mapping against indices, etc.), it shall provide the competent authority with a description of them in a separate explanatory document accompanying the results;
The terms ‘ at the money ’ (ATM), ‘ out of the money ’ (OTM) and ‘ in the money ’ (ITM) refer to the relative position of the current or future price of a derivative's underlying asset with respect to its strike price ( ‘ moneyness ’ );
Treat all options as if they are traded over the counter (OTC), unless explicitly specified otherwise;
Follow the standard timing conventions for OTC options (i.e. expiry dates are the business day following a non-trading day). The time to maturity for an ‘ n-month ’ option is n months. If options expire on a non-trading day, adjust the expiry date per business date, in accordance with market standards and conventions;
Treat all OTC options as follows:
as American for single name equities and commodities; and
as European for equity indices, foreign exchange and swaptions;
Consider all OTC options as ‘ naked ’ , i.e. exclude the premium from the initial market valuation;
As regards the correlation trading portfolio (CTP), APR stands for ‘ all-price risk ’ in accordance with Article 377 of Regulation (EU) No 575/2013 (CRR). Institutions that are permitted to use the APR model for CTP must subsequently provide details of their most relevant assumptions and market standards and conventions as regards CTP instruments nos. 56 and 57, including the hedge ratios they have calculated to make the CTP instruments CS01 neutral at inception (i.e. the booking date). They must deliver this explanatory note to the competent authority by Friday 5 October 2018 ;
For the positions denominated in a common base currency, but composed by one or more instruments denominated in a different currency, convert the result provided into the reported base currency using the appropriate foreign exchange spot rate as for standard market practice, and explain this in the accompanying document;
When booking all positions, follow appropriate market conventions where not specified otherwise. Hereinafter, ‘ long ’ means buy and ‘ short ’ means sell. For CDS, ‘ long ’ means buy protection and ‘ short ’ means sell protection;
Where an instrument or the underlying instrument for a derivative is subject to a corporate action that affects this benchmarking exercise (e.g. a call from the issuer or a default or similar action), exclude it from the portfolio together with any related CDS or option;
‘ On-the-run ’ , referring to an index series, means the most liquid and tradable series of that specific index available on the market. Report this choice along with the related results in the appropriate text cell in the template and in the accompanying explanatory document;
The euro interbank offered rate (EURIBOR) is the rate calculated by the European Money Markets Institute at different maturities for euro interbank term deposit. The London interbank offered rate (LIBOR) is the rate calculated by the Intercontinental Exchange at different maturities for interbank term deposit in different currencies;
Compute risk measures for the portfolios, along with the present value, from 21 January to 1 February 2019 and submit the results to your competent authority by 28 February 2019 ;
Provide IMV for each instrument, and risk measures (and present value (1) where applicable) for each portfolio, both individual and aggregated. Report all results in the base currency;
Credit-spread portfolios must be considered only by institutions that have been granted permission to model specific risk. Interest-rate portfolios, even if specific risk is part of certain instruments and individual portfolios, must also be modelled by ‘ partial use ’ institutions;
Submit the results for the aggregated portfolios only if you have submitted the results of all components.
Provide IMV, in line with the common instructions, of the following financial instruments (2) :
Long position
Booking on 19 September2018
Notional amount ( ‘ capital ’ ) 1million
Underlying: Index Euro STOXX 50® (Ticker: SX5E)
Currency: EUR
Maturity: 5 years
Annual payout and annual observation ( 19.9.2019 , 18.9.2020 , 20.9.2021 , 19.9.2022 , 19.9.2023 ). Payout occurs 10 days after reference date.
Coupon 6 %
Autocall level ( ‘ initial value ’ ): end of day 17 October 2017
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, the capital returned is 40 %);
If SX5E >= 60 % (barrier coupon) of initial value at the end of any year, the coupon is paid out 6 %;
If SX5E >= 100 % of initial value at the end of any year, 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, no coupon is paid;
If SX5E < 55 % (protection barrier) of initial value at the end of year 5, the capital is only paid pro rata . If SX5E >= 55 % (protection barrier) of initial value at the end of year 5, the capital is fully paid.
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, it will receive the fixed rate, while the institution will receive the floating rate.
Swaption with maturity of two years ( 21 September 2020 ) on IRS defined in instrument no. 19.
Maturity of the underlying swap: 21 September 2025 .
Premium paid at the booking date ( 21 September 2018 ). Cash settled.
The strike price is based on the IRS rate defined in instrument no. 19 (i.e. the strike price is the fixed rate as defined in instrument no. 19).
Base currency EUR;
Notional (principal) amount: USD 1 million.
Floating rate notes are senior unsecured obligations of UBS AG.
The notes will bear interest at a per annum rate equal to USD three-month LIBOR plus 1,5 % per annum (‘floating interest rate’), subject to a maximum rate of 7,5 % per annum (‘interest rate cap’) and a minimum rate of 2,5 % per annum (‘interest rate floor’);
Any payment on the notes, including interest and principal at maturity, is subject to the creditworthiness of UBS AG. Institutions are asked to use an appropriate discounting curve, which they explain in the explanatory note;
Income: the notes will pay interest quarterly at a rate equal to the floating interest rate, provided:
if on any coupon determination date, the floating interest rate is below the interest rate floor, the applicable interest rate for the related interest period will be equal to the interest rate floor; and
if on any coupon determination date, the floating interest rate is above the interest rate cap, 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 is 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 | 19 September 2018 |
Interest payment dates | Quarterly, on the 19th day of December, March, June and September, commencing on 19 December 2018 , during the term of the notes (subject to adjustments, as described therein). |
Maturity date | 19 September 2028 |
Currency | USD |
Daycount basis | 30/360 |
Business day convention | Following unadjusted |
Coupon determination date | For each interest period, the second London banking day immediately preceding the relevant interest date. ‘ London banking day ’ means any day on which commercial banks are open for general business (including dealings in foreign exchange and foreign currency deposits) in London and on which dealings in US dollars are transacted in the London interbank market. |
EUR: three-month EURIBOR, pay quarterly
USD: three-month USD LIBOR rate, receive quarterly
Notional EUR10 million adjusted on a quarterly basis
Roll convention and calendar: standard.
Effective date same as booking date.
Maturity: 19 September 2023 .
Base currency EUR;
Provide the required risk measures, along with the present value, of the following individual portfolios:
Portfolio | Combination of instruments Instrument (as stated by its number in section 2 – quantity of each instrument | Base currency | Risk measures required |
---|---|---|---|
EQUITY | |||
1 | 1 – 1 000 instruments | EUR | VaR and sVaR |
2 | 1 – 1 000 instruments 1 – 1 000 instruments 1 – 1 000 instruments | EUR | VaR and sVaR |
3 | 1 – 100 instruments 1 – 100 instruments | EUR | VaR and sVaR |
4 | 1 – 100 instruments 1 – 100 instruments | GBP | VaR and sVaR |
5 | 1 – 1 000 instruments | JPY | VaR and sVaR |
6 | 1 – 500 instruments 1 – 500 instruments | EUR | VaR and sVaR |
7 | 18 – 1 instrument | EUR | VaR and sVaR |
8 | 1 – 1 000 instruments 1 – 1 000 instruments | USD | VaR and sVaR |
9 | 2 – 1 instruments 1 – 100 instruments | EUR | VaR and sVaR |
10 | 6 – 1 000 instruments 1 – 1 000 instruments 1 – 1 000 instruments | EUR | VaR and sVaR |
IR | |||
11 | 1 – 1 instrument | EUR | VaR and sVaR |
12 | 20 – 1 instrument | EUR | VaR and sVaR |
13 | 1 – 1 instrument | USD | VaR and sVaR |
14 | 1 – 1 instrument | GBP | VaR and sVaR |
15 | 23 – 1 instrument | USD | VaR; sVaR; IRC |
16 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
17 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
18 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
19 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR; |
20 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR; |
21 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR; |
22 | 1 – 1 instrument 20 – 1 instrument | EUR | VaR and sVaR; |
23 | 1 – 1 instrument | GBP | VaR; sVaR; IRC |
24 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; IRC |
25 | 1 – 1 instrument 1 – 1 instrument | USD | VaR and sVaR |
26 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
FX | |||
27 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR |
28 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR |
29 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR |
30 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR |
31 | 1 – 1 instrument | EUR | VaR and sVaR |
32 | 47 – 1 instrument | EUR | VaR and sVaR |
COMM. | |||
33 | 1 – 1 instrument 1 – 1 instrument | USD | VaR and sVaR |
34 | 1 – 1 instrument 1 – 1 instrument | USD | VaR and sVaR |
35 | 1 – 1 instrument 1 – 1 instrument | USD | VaR and sVaR |
Credit Spread | |||
36 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; IRC |
37 | 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; IRC |
38 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
39 | 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; IRC |
40 | 1 – 1 instrument 1 – 1 instrument | GBP | VaR; sVaR; IRC |
41 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
42 | 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; IRC |
43 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
44 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
45 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
46 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
47 | 1 – 1 instrument | USD | VaR; sVaR; IRC |
48 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
49 | 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; IRC |
50 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
51 | 1 – 5 instruments 1 – 1 instrument | USD | VaR; sVaR; IRC |
52 | 1 – 5 instruments 1 – 1 instrument | USD | VaR; sVaR; IRC |
53 | 1 – 5 instruments 1 – 1 instrument 1 – 5 instruments 1 – 1 instrument | USD | VaR; sVaR; IRC |
CTP | |||
54 | 1 – 1 instrument | EUR | VaR; sVaR; APR |
55 | 1 – 1 instrument | USD | VaR; sVaR; APR |
56 | 1 – 5 instruments 1 – 5 instruments 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; APR |
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 the numbers in section 2 | Base currency | Risk measures requested |
---|---|---|---|---|
57 | ALL-IN no-CTP | 1, 2, 6, 7, 9, 11, 12, 18, 21, 27, 28, 30, 31, 32, 33, 34, 38, 41, 43 | EUR | VaR; sVaR; IRC |
58 | EQUITY cumulative | 1, 2, 6, 7, 9 | EUR | VaR and sVaR |
59 | IR cumulative | 11, 12, 18, 21 | EUR | VaR and sVaR |
60 | FX cumulative | 27, 28, 30, 31, 32 | EUR | VaR and sVaR |
61 | Commodity cumulative | 33, 34 | USD | VaR and sVaR |
62 | Credit spread cumulative | 38, 41, 43 | EUR | VaR; sVaR; IRC |
63 | CTP cumulative EUR | 54, 56 | EUR | VaR; sVaR; APR] |
[F1In line with the IMV convention, the present value (PV) denotes the mark-to-market value at the day and time of valuation in accordance with the calculation of the VaR figures. Institutions must provide the information related to the time of valuation, preferably at COB, in the text cell in the appropriate template or in an attached explanatory note if needed.]
[F1Use a number of 100 contracts, where applicable (refer to the portfolio definitions in section 3), uniformly for the purpose of calculating IMV.]
[F1Where applicable, standard ISDA definitions apply. Accordingly, standard restructuring clauses apply.]
Textual Amendments
F1 Substituted by Commission Implementing Regulation (EU) 2019/439 of 15 February 2019 amending Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions to be applied in the Union for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance).
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