EN.   C - PRUDENT VALUATION: CORE APPROACH (PRUVAL 2) CATEGORY LEVEL AVA MARKET PRICE UNCERTAINTY CLOSE-OUT COSTS MODEL RISK CONCEN TRATED POSITIONS FUTURE ADMINIS TRATIVE COSTS EARLY TERMINATION OPERATIONAL RISK OF WHICH: CALCULATE D USING THE EXPERT BASED APPROACH OF WHICH: CALCULATE D USING THE EXPERT BASED APPROACH OF WHICH: CALCULATE D USING THE EXPERT BASED APPROACH 1 TOTAL CORE APPROACH OF WHICH: TRADING BOOK PORTFOLIOS UNDER ARTICLES 9 TO 17 - TOTAL CATEGORY LEVEL POST-DIVER SIFICATION TOTAL CATEGORY LEVEL PRE-DIVER SIFICATION * OF WHICH: UNEARNED CREDIT SPREADS AVA ** OF WHICH: INVESTMENT AND FUNDING COSTS AVA *** OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF DELEGATED REGULATION (EU) /101 **** OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF DELEGATED REGULATION (EU) /101EN  . CATEGORY LEVEL AVA MARKET PRICE UNCERTAINTY CLOSE-OUT COSTS MODEL RISK CONCEN TRATED POSITIONS FUTURE ADMINIS TRATIVE COSTS EARLY TERMINATION OPERATIONAL RISK OF WHICH: CALCULATE D USING THE EXPERT BASED APPROACH OF WHICH: CALCULATE D USING THE EXPERT BASED APPROACH OF WHICH: CALCULATE D USING THE EXPERT BASED APPROACH INTEREST RATES FOREIGN EXCHANGE CREDIT EQUITIES COMMODITIES. DIVERSIFICATION BENEFITS. DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1. DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2 * MEMORANDUM ITEM: PRE-DIVERSIFI CATION AVAS REDUCED BY MORE THAN 90% BY DIVERSIFICATION UNDER METHOD 2EN.   CATEGORY LEVEL AVA MARKET PRICE UNCERTAINTY CLOSE-OUT COSTS MODEL RISK CONCEN TRATED POSITIONS FUTURE ADMINIS TRATIVE COSTS EARLY TERMINATION OPERATIONAL RISK OF WHICH: CALCULATE D USING THE EXPERT BASED APPROACH OF WHICH: CALCULATE D USING THE EXPERT BASED APPROACH OF WHICH: CALCULATE D USING THE EXPERT BASED APPROACH PORTFOLIOS UNDER THE FALL-BACK APPROACH 100% OF NET UNREALISED PROFIT 10% OF NOTIONAL VALUE 25% OF INCEPTION VALUEEN  . TOTAL AVA UPSIDE UNCER TAINTY FAIR-VALUED ASSETS AND LIABILITIES QTD REVENUE IPV DIFFERENCE FAIR-VALUED ASSETS FAIR-VALUED LIABILITIES 1 TOTAL CORE APPROACH OF WHICH: TRADING BOOK PORTFOLIOS UNDER ARTICLES 9 TO 17 - TOTAL CATEGORY LEVEL POST-DIVER SIFICATION TOTAL CATEGORY LEVEL PRE-DIVER SIFICATION * OF WHICH: UNEARNED CREDIT SPREADS AVA ** OF WHICH: INVESTMENT AND FUNDING COSTS AVA *** OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF DELEGATED REGULATION (EU) /101 **** OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF DELEGATED REGULATION (EU) /101EN.   TOTAL AVA UPSIDE UNCER TAINTY FAIR-VALUED ASSETS AND LIABILITIES QTD REVENUE IPV DIFFERENCE FAIR-VALUED ASSETS FAIR-VALUED LIABILITIES INTEREST RATES FOREIGN EXCHANGE CREDIT EQUITIES COMMODITIES. DIVERSIFICATION BENEFITS. DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1. DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2 * MEMORANDUM ITEM: PRE-DIVERSIFI CATION AVAS REDUCED BY MORE THAN 90% BY DIVERSIFICATION UNDER METHOD 2EN  . TOTAL AVA UPSIDE UNCER TAINTY FAIR-VALUED ASSETS AND LIABILITIES QTD REVENUE IPV DIFFERENCE FAIR-VALUED ASSETS FAIR-VALUED LIABILITIES PORTFOLIOS UNDER THE FALL-BACK APPROACH 100% OF NET UNREALISED PROFIT 10% OF NOTIONAL VALUE 25% OF INCEPTION VALUEEN.   FAIR VALUE ADJUSTMENTS DAY 1 P&L EXPLANATION DESCRIPTI ON MARKET PRICE UNCERTAINTY CLOSE- OUT COSTS MODEL RISK CONCEN TRATED POSITIONS UNEARNE D CREDIT SPREADS INVESTING AND FUNDING COSTS FUTURE ADMINIS- TRATIVE COSTS EARLY TERMINATION OPERA- TIONAL RISK 1 TOTAL CORE APPROACH OF WHICH: TRADING BOOK PORTFOLIOS UNDER ARTICLES 9 TO 17 - TOTAL CATEGORY LEVEL POST-DIVER SIFICATION TOTAL CATEGORY LEVEL PRE-DIVER SIFICATION * OF WHICH: UNEARNED CREDIT SPREADS AVA ** OF WHICH: INVESTMENT AND FUNDING COSTS AVA *** OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF DELEGATED REGULATION (EU) /101 **** OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF DELEGATED REGULATION (EU) /101EN  . FAIR VALUE ADJUSTMENTS DAY 1 P&L EXPLANATION DESCRIPTI ON MARKET PRICE UNCERTAINTY CLOSE- OUT COSTS MODEL RISK CONCEN TRATED POSITIONS UNEARNE D CREDIT SPREADS INVESTING AND FUNDING COSTS FUTURE ADMINIS- TRATIVE COSTS EARLY TERMINATION OPERA- TIONAL RISK INTEREST RATES FOREIGN EXCHANGE CREDIT EQUITIES COMMODITIES. DIVERSIFICATION BENEFITS. DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1. DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2 * MEMORANDUM ITEM: PRE-DIVERSIFI CATION AVAS REDUCED BY MORE THAN 90% BY DIVERSIFICATION UNDER METHOD 2EN.   FAIR VALUE ADJUSTMENTS DAY 1 P&L EXPLANATION DESCRIPTI ON MARKET PRICE UNCERTAINTY CLOSE- OUT COSTS MODEL RISK CONCEN TRATED POSITIONS UNEARNE D CREDIT SPREADS INVESTING AND FUNDING COSTS FUTURE ADMINIS- TRATIVE COSTS EARLY TERMINATION OPERA- TIONAL RISK PORTFOLIOS UNDER THE FALL-BACK APPROACH 100% OF NET UNREALISED PROFIT 10% OF NOTIONAL VALUE 25% OF INCEPTION VALUE. C – PRUDENT VALUATION: CORE APPROACH (PRUVAL 2). General remarks 178. The purpose of this template is to provide information on the composition of the total AVA to be deducted from own funds under Articles 34 and 105 CRR alongside relevant information about the accounting valuation of the positions that give rise to the determination of AVAs. 179. This template shall be completed by all institutions that: (a) are required to use the core approach because they exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) /101, either on an individual basis or on a consolidated basis as set out in Article 4(3) of that Regulation; or (b) have chosen to apply the core approach despite not exceeding the threshold. 180. For the purposes of this template, ‘upside uncertainty’ shall mean the following: As determined by Article 8(2) of Delegated Regulation (EU) /101, AVAs are calculated as the difference between the fair value and a prudent valuation that is determined on the basis of a 90 % confidence that institutions can exit the exposure at that point or better within the notional range of plausible values. The upside value or ‘upside uncertainty’ is the opposing point in the distribution of plausible values at which institutions are only 10 % confident that they can exit the position at that point or better. The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA but substituting a 10 % level of certainty for the 90 % used when determining the total AVA.. Instructions concerning specific positions  – CATEGORY LEVEL AVA The category level AVAs for market price uncertainty, close-out costs, model risk, concen trated positions, future administrative costs, early termination and operational risk are calculated as described in Articles 9, 10, 11 and 14 to 17 of Delegated Regulation (EU) /101 respectively. For the market price uncertainty, close-out cost and model risk categories, which are subject to diversification benefit as set out in Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) /101, respectively, category level AVAs shall be, unless indicated otherwise, reported as the straight sum of the individual AVAs before diversification benefit [since diversification benefits calculated using method 1 or method 2 of the Annex of Delegated Regulation (EU) /101 are reported in items , and of the template]. For the market uncertainty, close-out cost and model risk categories, amounts calculated under the expert-based approach as referred to in point (b) of Article 9(5), point (b) of Article 10(6) and Article 11(4) of Delegated Regulation (EU) /101 shall be separately reported in columns , and. EN.    MARKET PRICE UNCERTAINTY Article 105(10) CRR. Market price uncertainty AVAs calculated in accordance with Article 9 of Delegated Regu lation (EU) /101. OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH Market price uncertainty AVAs calculated in accordance with point (b) of Article 9(5) of Delegated Regulation (EU) /101. CLOSE-OUT COSTS Article 105(10) CRR. Close-out costs AVAs calculated in accordance with Article 10 of Delegated Regulation (EU) /101. OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH Close-out costs AVAs calculated in accordance with point (b) of Article 10(6) of Delegated Regulation (EU) /101. MODEL RISK Article 105(10) CRR Model risk AVAs calculated in accordance with Article 11 of Delegated Regulation (EU) /101. OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH Model risk AVAs calculated in accordance with Article 11(4) of Delegated Regulation (EU) /101. CONCENTRATED POSITIONS Article 105(11) CRR Concentrated positions AVAs calculated in accordance with Article 14 of Delegated Regu lation (EU) /101. FUTURE ADMINISTRATIVE COSTS Article 105(10) CRR Future administrative costs AVAs calculated in accordance with Article 15 of Delegated Regulation (EU) /101. EARLY TERMINATION Article 105(10) CRR Early termination AVAs calculated in accordance with Article 16 of Delegated Regulation (EU) /101.EN  .  OPERATIONAL RISK Article 105(10) CRR Operational risk AVAs calculated in accordance with Article 17 of Delegated Regulation (EU) /101. TOTAL AVA Row : total AVA to be deducted from own funds in accordance with Articles 34 and 105 CRR and reported accordingly in row of C. The total AVA shall be the sum of rows and. Row : Share of the total AVA reported in row stemming from trading book positions (absolute value). Rows to : Sum of columns , , and to. Rows to : Total AVA stemming from portfolios under the fall-back approach. UPSIDE UNCERTAINTY Article 8(2) of Delegated Regulation (EU) /101. The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA computed in column , but substituting a 10 % level of certainty for the 90 % used when determining the total AVA. - FAIR-VALUED ASSETS AND LIABILITIES Absolute value of fair-valued assets and liabilities corresponding to the AVA amounts reported in rows to and row. For some rows, in particular rows to , these amounts may have to be approximated or allocated based on expert judgement. Row : Total absolute value of fair-valued assets and liabilities included in the threshold computation of Article 4(1) of Delegated Regulation (EU) /101. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) /101, which are also separately reported in rows and. Row is the sum of row and row. Row : share of total absolute value of fair-valued assets and liabilities reported in row stemming from trading book positions (absolute value). Row : Absolute value of fair-valued assets and liabilities corresponding to the portfolios referred to in Articles 9 to 17 of Delegated Regulation (EU) /101. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) /101, which are also separately reported in rows and. Row shall be the sum of rows to. Row : Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) /101, may not be considered exactly matching, offsetting anymore.EN.    Row : Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) /101, may not be considered exactly matching, offsetting anymore. Row : Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value referred to in Article 9(2) of Delegated Regulation (EU) /101. Row : Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value referred to in paragraphs 2 and 3 of Article 10 of Delegated Regulation (EU) /101. Rows to : Absolute value of fair-valued assets and liabilities allocated as set out below (see corresponding row instructions) in accordance with the following risk categories: interest rates, foreign exchange, credit, equities, commodities. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) /101, which are also separately reported in rows and. Row : Absolute value of fair-valued assets and liabilities corresponding to the portfolios under the fall-back approach FAIR-VALUED ASSETS Absolute value of fair-valued assets corresponding to the different rows as explained in the instructions on columns - above. FAIR-VALUED LIABILITIES Absolute value of fair-valued liabilities corresponding to the different rows as explained in the instructions on columns - above. QTD REVENUE The quarter-to-date revenues (‘QTD revenue’) since the last reporting date attributed to the fair valued assets and liabilities corresponding to the different rows as explained in the instructions on columns - above, where relevant allocated or approximated based on expert judgment. IPV DIFFERENCE The sum across all positions and risk factors of unadjusted difference amounts (‘IPV differ ence’) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the relevant position or risk factor. Unadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process. No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.EN  .  – FAIR VALUE ADJUSTMENTS Adjustments, sometimes also referred to as ‘reserves’, potentially applied in the institution’s accounting fair value that are made outside of the valuation model used to generate carrying amounts (excluding deferral of day one gains and losses) and that can be identified as addressing the same source of valuation uncertainty as the relevant AVA. They could reflect risk factors not captured within the valuation technique that are in a form of a risk premium or exit cost and are compliant with the definition of fair value. They shall nevertheless be considered by market participants when setting a price. (IFRS and IFRS13.88) MARKET PRICE UNCERTAINTY Adjustment applied in the institution’s fair value to reflect the risk premium arising from the existence of a range of observed prices for equivalent instruments or, in respect of a market parameter input to a valuation model, the instruments from which the input has been calibrated, and thus that can be identified as addressing the same source of valuation uncer tainty as the Market price uncertainty AVA. CLOSE-OUT COSTS Adjustment applied in the institution’s fair value to adjust for the fact that the position level valuations do not reflect an exit price for the position or portfolio, in particular where such valuations are calibrated to a mid-market price, and thus that can be identified as addressing the same source of valuation uncertainty as the close-out costs AVA. MODEL RISK Adjustment applied in the institution’s fair value to reflect market or product factors that are not captured by the model used to calculate daily position values and risks (‘valuation model’) or to reflect an appropriate level of prudence given the uncertainty arising from the existence of a range of alternative valid models and model calibrations and thus that can be identified as addressing the same source of valuation uncertainty as the model risk AVA. CONCENTRATED POSITIONS Adjustment applied in the institution’s fair value to reflect the fact that the aggregate position held by the institution is larger than normal traded volume or larger than the position sizes on which observable quotes or trades that are used to calibrate the price or inputs used by the valuation model are based and thus can be identified as addressing the same source of valuation uncertainty as the concentrated positions AVA. UNEARNED CREDIT SPREADS Adjustment applied in the institution’s fair value to cover expected losses due to counterparty default on derivative positions (i.e. total Credit Valuation Adjustment ‘CVA’ at institution level). INVESTING AND FUNDING COSTS Adjustment applied in the institution’s fair value to compensate where valuation models do not fully reflect the funding cost that market participants would factor into the exit price for a position or portfolio (i.e. total Funding Valuation Adjustment at institution level where an institution computes such adjustment, or alternatively, equivalent adjustment).EN.    FUTURE ADMINISTRATION COSTS Adjustment applied in the institution’s fair value to reflect administrative costs that are incurred by the portfolio or position but are not reflected in the valuation model or the prices used to calibrate inputs to that model, and thus that can be identified as addressing the same source of valuation uncertainty as the Future administrative costs AVA. EARLY TERMINATION Adjustments applied in the institution’s fair value to reflect contractual or non-contractual early termination expectations that are not reflected in the valuation model and thus can be identified as addressing the same source of valuation uncertainty as the Early termination AVA. OPERATIONAL RISK Adjustments applied in the institution’s fair value to reflect the risk premium that market participants would charge to compensate for operational risks arising from hedging, adminis tration and settlement of contracts in the portfolio, and thus can be identified as addressing the same source of valuation uncertainty as the operational risk AVA. DAY 1 P&L Adjustments to reflect instances where the valuation model plus all other relevant fair value adjustments applicable to a position or portfolio did not reflect the price paid or received at first day recognition, i.e. the deferral of day one gains and losses (IFRS 9.B5..A). EXPLANATION DESCRIPTION Description of the positions treated in accordance with point (b) of Article 7(2) of Delegated Regulation (EU) /101 and the reason why it was not possible to apply Articles 9 to 17 thereof. Rows 1. TOTAL CORE APPROACH Article 7(2) of Delegated Regulation (EU) /101. For each relevant category of AVAs referred to in columns to , total AVAs computed under the core approach as set out in Chapter 3 of Delegated Regulation (EU) /101 o for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation. That includes the diversification benefits reported in row in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regu lation (EU) /101. OF WHICH: TRADING BOOK Article 7(2) of Delegated Regulation (EU) /101. For each relevant category of AVAs referred to in columns to , share of total AVAs reported in row stemming from trading book positions (absolute value).EN  . Rows PORTFOLIOS UNDER ARTICLES 9 TO 17 OF COMMISSION DELEGATED REGU LATION (EU) /101- TOTAL CATEGORY LEVEL POST-DIVERSIFICATION Point (a) of Article 7(2) of Delegated Regulation (EU) /101. For each relevant category of AVAs referred to in columns to , total AVAs computed in accordance with Articles 9 to 17 of Delegated Regulation (EU) /101 for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation, except fair-valued assets and liabilities subject to the treatment described in point (b) of Article 7(2) of Delegated Regulation (EU) /101. That includes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) /101 that are reported in rows and and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation. That includes the diversification benefits reported in row in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) /101. Row shall be the difference between rows and. – TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION For rows to , institutions shall allocate their fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of Delegated Regu lation (EU) /101 (trading book and non-trading book) to the following risk categories: interest rates, foreign exchange, credit, equities, commodities. To that end, institutions shall rely on their internal risk management structure and, following a mapping developed based on expert judgement, allocate their business lines or trading desks to the most appropriate risk category. AVAs, Fair Value Adjustments and other required information which correspond to the allocated business lines or trading desks, shall be allocated to the same relevant risk category to provide at row level for each risk category a consistent overview of the adjustments performed both for prudential purposes and accounting purposes, as well as an indication of the size of the positions concerned (in terms of fair-valued assets and liabilities). Where AVAs or other adjustments are computed at a different level of aggregation, in particular at firm level, institutions shall develop an allocation methodology of the AVAs to the relevant sets of positions. The allocation methodology shall lead to row being the sum of rows to for columns to. Regardless of the approach applied, the information reported shall, as much as possible, be consistent at row level, since the information provided will be compared at this level (AVA amounts, upside uncertainty, fair-value amounts and potential fair-value adjustments). The breakdown in rows to excludes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) /101 that are reported in rows and and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation. Diversification benefits are reported in row in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) /101 and are therefore excluded from rows to. EN.   Rows OF WHICH: UNEARNED CREDIT SPREADS AVA Article 105(10) CRR, Article 12 of Delegated Regulation (EU) /101. The total AVA calculated for unearned credit spreads (‘AVA on CVA’) and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 12 of Delegated Regulation (EU) /101. Column : The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs.  and : Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVAs. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) /101 shall not be considered exactly matching, offsetting anymore. OF WHICH: INVESTMENT AND FUNDING COSTS AVA Article 105(10) CRR, Article 17 of Delegated Regulation (EU) /101. The total AVA calculated for investing and funding costs and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 13 of Delegated Regu lation (EU) /101. Column : The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs.  and : Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) /101 shall not be considered exactly matching, offsetting anymore. OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF Delegated Regulation (EU) /101 Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 9(2) of Delegated Regulation (EU) /101. OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF Delegated Regulation (EU) /101 Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 10(2) or 10(3) of Delegated Regulation (EU) /101. INTEREST RATES FOREIGN EXCHANGE CREDIT EQUITIES COMMODITIESEN  . Rows. Diversification BenefitS Total diversification benefit. Sum of rows and.. Diversification Benefit calculated using Method 1 For those categories of AVA aggregated under Method 1 in accordance with Articles 9(6), 10(7) and 11(6) of Delegated Regulation (EU) /101, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation.. Diversification Benefit calculated using Method 2 For those categories of AVA aggregated under Method 2 in accordance with Articles 9(6), 10(7) and 11(6) of Delegated Regulation (EU) /101, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation. * Memorandum item: pre-diversification AVAs reduced by more than 90 % by diversification under Method 2 In the terminology of Method 2, the sum of FV – PV for all valuation exposures for which APVA < 10 % (FV – PV). Portfolios calculated under the fall-back approach Point (b) of Article 7(2) of Delegated Regulation (EU) /101. For portfolios subject to the fall-back approach under point (b) of Article 7(2) of Delegated Regulation (EU) /101, the total AVA shall be computed as a sum of rows , and. Relevant balance sheet and other contextual information shall be provided in columns –. A description of the positions and the reason why it was not possible to apply Articles 9 to 17 of Delegated Regulation (EU) /101 shall be provided in column. Fall-back approach; 100 % unrealised profit Point (b)(i) of Article 7(2) of Delegated Regulation (EU) /101. Fall-back approach; 10 % notional value Point (b)(ii) of Article 7(2) of Delegated Regulation (EU) /101. Fall-back approach; 25 % of inception value Point (b)(iii) of Article 7(2) of Delegated Regulation (EU) /101.