Commission Implementing Regulation (EU) 2025/379 of 26 February 2025 amending the implementing technical standards laid down in 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
Date: 2025-02-26
Institutions: Directorate-General for Financial Stability, Financial Services and Capital Markets Union, European Commission
Subjects: credit institution, disclosure of information, financial control, financial legislation, financial situation, financial transaction, investment company, market supervision, technical standard, trade information




L_202500379EN.000101.fmx.xml












Official Journal of the European Union


EN
L series













2025/379


12.3.2025







            COMMISSION IMPLEMENTING REGULATION (EU) 2025/379
of 26 February 2025
         
amending the implementing technical standards laid down in 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)


THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,


Having regard to Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (1), and in particular Article 78(8), third subparagraph, thereof,

Whereas:







(1)


Pursuant to Article 78(1) of Directive 2013/36/EU, institutions permitted to use internal approaches are required to submit to their competent authority at an appropriate frequency, and at least annually, the results of the calculations of their risk weighted exposure amounts or own fund requirements under their internal approaches for exposures or positions that are included in the benchmark portfolios, to enable that competent authority to assess the quality of those internal approaches (‘benchmarking exercise’). Pursuant to Article 78(3), second subparagraph, of that Directive, the European Banking Authority (the ‘EBA’) is to produce a report to assist the competent authorities in the assessment of the quality of the institutions’ internal approaches, based on the results of the benchmarking exercise. The reporting requirements for the benchmarking exercise are specified in Commission Implementing Regulation (EU) 2016/2070 (2) that was amended several times. To reflect the changes in the focus of the competent authorities’ assessments and of the EBA’s reports, and in light of legislative changes in the area of market risk, it is necessary to update again the benchmark portfolios, together with the reporting requirements laid down in that Implementing Regulation.












(2)


For the credit risk benchmarking, the instructions should be changed to specify the mandatory nature of reporting probability of default (PD) and loss given default (LGD) risk parameters with regard to the margin of conservativeness (MoC), regulatory add-on, and downturn (DWT) components, which can be a source of variability in the models. In addition, it should be specified that institutions are required to report the models’ identifier assigned by the competent authority, simplifying the operationalisation of the reporting allocation of data.












(3)


Commission Delegated Regulation (EU) 2024/2795 (3) postponed the date of application of the new own funds requirements for market risk. Therefore, the templates for the existing internal model approach are not being replaced for this exercise. In parallel, the templates for the validation of the standardised approach should be expanded to include additional portfolios compared to the 2024 exercise, where only interest rates instruments were in scope. That aims to ensure adequate supervision and a smooth implementation of the new standardised approach, which is used for the calculation of the output floor.












(4)


Implementing Regulation (EU) 2016/2070 should therefore be amended accordingly.












(5)


This Regulation is based on the draft implementing technical standards submitted to the Commission by the EBA.












(6)


The EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (4),





HAS ADOPTED THIS REGULATION:



Article 1
Implementing Regulation (EU) 2016/2070 is amended as follows:






(1)


Annex IV is replaced by the text in Annex I to this Regulation;










(2)


Annex V is replaced by the text in Annex II to this Regulation;










(3)


Annex VI is replaced by the text in Annex III to this Regulation;










(4)


Annex VII is replaced by the text in Annex IV to this Regulation;










(5)


Annex X is replaced by the text in Annex V to this Regulation;






Article 2
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.




This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 26 February 2025.


For the Commission


The President

Ursula VON DER LEYEN
            





(1)  
            OJ L 176, 27.6.2013, p. 338, ELI: http://data.europa.eu/eli/dir/2013/36/oj.

(2)  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 (OJ L 328, 2.12.2016, p. 1, ELI: http://data.europa.eu/eli/reg_impl/2016/2070/oj).

(3)  Commission Delegated Regulation (EU) 2024/2795 of 24 July 2024 amending Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to the date of application of the own funds requirements for market risk (OJ L, 2024/2795, 31.10.2024, ELI: http://data.europa.eu/eli/reg_del/2024/2795/oj).

(4)  Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12, ELI: http://data.europa.eu/eli/reg/2010/1093/oj).




ANNEX I



‘ANNEX IV

RESULTS SUPERVISORY BENCHMARK PORTFOLIOS









PART I:



GENERAL INSTRUCTIONS













PART II:



TEMPLATE-RELATED INSTRUCTIONS












C 101 –

Details on exposures in Low Default Portfolios by counterparty











C 102 –

Details on exposures in Low Default Portfolios











C 103 –

Details on exposures in High Default Portfolio











C 105.01 –

Definition of internal models











C 105.02 –

Mapping of internal models to portfolios











C 105.03 –

Mapping of internal models to countries





PART I:   GENERAL INSTRUCTIONS









1.


Information shall be submitted only for those counterparties and portfolios where an actual exposure exists at the reference date in the form of either an Original Exposure or an Exposure after CRM. Counterparties and portfolios for which no exposure exists at the reference date shall not be submitted.












2.


Information shall be submitted only for those exposures for which the competent authority has approved an internal model for the calculation of risk weighted exposure amounts (RWA). In template C 101, counterparty codes ending with “STDA” shall not be reported. For the remaining counterparty codes of template C 101 of Annex I and for the benchmarking portfolios referred to in templates C 102 and C 103, exposures under the Standardised Approach and exposures for which the respective competent authority has permitted the temporary or permanent partial use of the Standardised Approach, shall be excluded.












3.


The fields collecting non-applicable/ill-defined information shall either be left blank or the indication “NULL” shall be inserted; this also applies to exposure at default (EAD)-weighted quantities or parameters that cannot be calculated. Likewise, data fields whose reporting is not mandatory may be left blank or submitted as “NULL”. Zero values shall be reported only where the intention is to report a quantity or parameter of zero. Neither of the indications “blank” or “NULL” shall be used to report quantities or parameters that are zero.












4.


Monetary amounts shall be reported in the same way as they are reported for calculating own funds requirements at a specific reference date in accordance with Commission Implementing Regulation (EU) 2021/451 (1)






PART II:   TEMPLATE-RELATED INSTRUCTIONS


C 101 –   Details on exposures in Low Default Portfolios by counterparty

Specialised lending exposures shall be excluded.








Column


Label


Legal reference


Instructions




0010


Counterparty Code


Template C 101, column 0010 of Annex I


The counterparty code of template C 101, column 0010 of Annex I defining the counterparty included in the low default portfolio (“LDP”) samples portfolios shall be reported. This code shall be a row identifier and shall be unique for each row in the template.




0020


Exposure class


Paragraph 76 of Annex II to Implementing Regulation (EU) 2021/451


Each counterparty shall be assigned to one of the following exposure classes:






(a)


Central banks and central governments;










(b)


Institutions;










(c)


Corporate – SME (small- and medium-sized enterprise);










(d)


Corporate – Specialised lending;










(e)


Corporate – Other;










(f)


Retail – Secured by real estate SME;










(g)


Retail – Secured by real estate non-SME;










(h)


Retail – Qualifying revolving;










(i)


Retail – Other SME;










(j)


Retail – Other non-SME;










(k)


Not applicable




“Not applicable” shall be used where none of the answers in the list applies, which is the case where the exposures to a counterparty are classified in multiple exposure classes without one being clearly predominant.




0040


Rating


 


The rank of the internal rating grade assigned to the counterparty within the institution’s applicable internal rating scale shall be reported. It shall follow the numerical order 1, 2, 3, etc., from lowest risk to highest risk excluding defaults with PD corresponding to 100%.
Where an institution uses a continuous rating scale in accordance with Article 169(3) of Regulation (EU) No 575/2013 of the European Parliament and of the Council (2), the rating grades as reported in column 0005 of template C 08.02 of Annex I to Implementing Regulation (EU) 2021/451 shall be used.
Where exposures to a counterparty have been assigned to multiple rating grades in accordance with Article 172(1), point (e)(i) or (iii), of Regulation (EU) No 575/2013, the rating grade zero (0) shall be reported.




0050


Date of most recent rating of counterparty


 


The date of the most recent rating of the counterparty shall be reported.




0060


PD


Template C 08.01, column 0010 of Annex I to Implementing Regulation (EU) 2021/451


The PD assigned to the counterparty shall be reported. The PD shall be the PD used in the calculation of the RWA excluding the effect of measures in accordance with Article 458 of Regulation (EU) No 575/2013. The PD shall be expressed as a value between 0 and 1.




0070


Default status


 


The default status of the counterparty shall be reported. It shall be one of the following in accordance with Article 178 of Regulation (EU) No 575/2013:






(a)


Defaulted;










(b)


Non-defaulted.








0080


Original exposure pre-conversion factors


Template C 08.01, column 0020 of Annex I to Implementing Regulation (EU) 2021/451


The original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported.




0090


Exposure after CRM substitution effects pre-conversion factors


Template C 08.01, column 0090 of Annex I to Implementing Regulation (EU) 2021/451


The amount to which conversion factors (“CCFs”) are applied in order to obtain the EAD (column 0110) shall be reported. This shall be done by taking into account credit risk mitigation techniques with substitution effects on the exposure.




0100


CCF


Article 166(8) of Regulation (EU) No 575/2013


The weighted average of the CCFs shall be reported. The weights used shall be the amounts to which the CCFs are applied to obtain the EAD.
For counterparties whose facilities exclusively correspond to items referred to in Article 166(8) of Regulation (EU) No 575/2013, the reported weighted average of the CCFs shall be based on all facilities.
For counterparties whose facilities do not fall under the items referred to in Article 166(8) of Regulation (EU) No 575/2013, the CCF shall either be left blank or the indication “NULL” shall be inserted.
For counterparties with facilities corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013 and facilities that do not fall under the items referred to in Article 166(8) of that Regulation, the reported weighted average of the CCF shall be based only on the facilities corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013. In particular, facilities corresponding to items referred to in Article 166(10) of that Regulation shall not be considered in the calculation.
Where the institution applies own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, those CCFs shall be used to calculate the weighted average of the CCFs. Where the institution does not apply own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, the regulatory CCFs given in Article 166(8) of Regulation (EU) No 575/2013 shall be used.
The CCF shall be expressed as a value between 0 and 1.




0110


EAD


Template C 08.01, column 0110 of Annex I to Implementing Regulation (EU) 2021/451


The exposure value shall be reported.




0120


Collateral value


Template C 08.01, columns 0150 to 0210 of Annex I to Implementing Regulation (EU) 2021/451


The market value of the collateral shall be reported.




0130


Hyp LGD senior unsecured without negative pledge


Article 161 of Regulation (EU) No 575/2013


The hypothetical own estimates of loss given default (“LGD”) that would be applied by the institution to the exposures to the counterparty shall be reported in accordance with the following:






(a)


the scope of the exposures is the same as for the LGD value reported in column 0150;










(b)


the exposures are senior and unsecured;










(c)


no negative pledge clause is in place.




A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party.




0140


Hyp LGD senior unsecured with negative pledge


Article 161 of Regulation (EU) No 575/2013


The hypothetical own estimates of LGD that would be applied by the institution to the exposures to the counterparty shall be reported in accordance with the following:






(a)


the scope of the exposures is the same as for the LGD value reported in column 0150;










(b)


the exposures are senior and unsecured;










(c)


a negative pledge clause is in place.




A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party.




0150


LGD


Template C 08.01, columns 0230 and 0240 of Annex I to Implementing Regulation (EU) 2021/451


The EAD-weighted average of the LGD values of the exposures to the counterparty shall be reported.
The LGDs shall be those used for the calculation of the RWA. Specifically, where the institution has obtained permission from its competent authority to use own estimates for LGDs, the LGDs shall be based on the institution’s own estimates, otherwise the LGDs shall be based on the regulatory LGD values taking into account the applicable risk mitigation.
LGDs for large regulated financial sector entities and unregulated financial entities shall be included.
The effect of measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013 shall be excluded.
The LGD shall be expressed as a value between 0 and 1.




0160


Maturity


Template C 08.01, column 0250 of Annex I to Implementing Regulation (EU) 2021/451


The EAD-weighted maturity for the exposures to the counterparty shall be reported. It shall be expressed in number of days.




0170


RWA


Template C 08.01, column 0260 of Annex I to Implementing Regulation (EU) 2021/451


The RWA after supporting factors (SME and infrastructure supporting factors) shall be reported. The RWA shall not include the effect of potential measures under Article 458 of Regulation (EU) No 575/2013.





C 102 –   Details on exposures in Low Default Portfolios

For portfolios referred to in Annex I with a collateralisation status other than “Not applicable”, the following information may be omitted where the approved model does not accommodate distinct LGD calculations for the secured and unsecured parts of an exposure: LGD (column 0130), LGD without supervisory measures (column 0131), LGD without margin of conservatism (MoC) and supervisory measures (column 0132), LGD without MoC, supervisory measures and downturn component (column 0133), Expected Loss Amount (column 0150) and RWA (column 0170).
For portfolios with the regulatory approach defined as “Specialised lending slotting criteria”, the following information shall be omitted: PD (column 0060), PD without supervisory measures (column 0061), PD without MoC and supervisory measures (column 0062), LGD (column 0130), LGD without supervisory measures (column 0131), LGD without MoC and supervisory measures (column 0132), LGD without MoC, supervisory measures and downturn component (column 0133).








Column


Label


Legal reference


Instructions




0010


Portfolio ID


Template C102, Column 0010 of Annex I


The portfolio ID of column 0010 of template C.102 of Annex I defining the portfolio shall be reported. This ID shall be a row identifier and shall be unique for each row in the template.
The assignment of exposures to portfolio IDs is not exclusive: Exposures or parts of exposures shall be reported under each portfolio IDs that is applicable.




0040


Number of obligors


 


The number of obligors shall be reported.
It shall be based on obligors that have a strictly positive value reported either in column 0080 or in column 0090. Where a full substitution is applied due to a credit risk mitigation technique, the original obligor shall be added to the “Number of obligors” of its original portfolio, and the guarantor shall be added to the “Number of obligors” of the guarantor’s portfolio.




0060


PD


Template C08.01, column 0010 of Annex I to Implementing Regulation (EU) 2021/451


The PD shall be the PD used in the calculation of the RWA excluding the effect of potential measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013. For portfolios corresponding to an individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pools, the EAD-weighted average of the PDs assigned to the exposures included in the aggregation shall be provided. The PD shall be expressed as a value between 0 and 1.




0061


PD without supervisory measures


 


The PD without supervisory measures shall be the PD based on the provisions laid down in Articles 179 and 180 of Regulation (EU) No 575/2013 that includes the MoC added by the institution but excludes measures (multipliers, add-ons, floors or similar measures that directly increase the PD) that have been imposed by the competent authorities.
For portfolios corresponding to an individual grade or pool, the PD for that grade that includes the MoC but is net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pools, the EAD-weighted average of the PDs of the respective exposures that include the MoCs but are net of the supervisory measures, shall be provided.
The PD without supervisory measures shall be expressed as a value between 0 and 1.
In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply.




0062


PD without MoC and supervisory measures


 


The PD without MoC and supervisory measures shall be the PD that includes neither MoCadded by the institution in accordance with Article 179(1), point (f), and Article 180(1), point (e), of Regulation (EU) No 575/2013 nor the effect of measures imposed by the competent authorities (multipliers, add-ons, floors or similar measures that directly increase the PD).
For portfolios corresponding to an individual grade or pool, the PD for that grade that is net of the MoC and net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pool, the EAD-weighted average of the PDs of the respective exposures that are net of the MoCs and net of supervisory measures, shall be reported.
The PD without MoC and supervisory measures shall be expressed as a value between 0 and 1.
In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply.




0080


Original exposure pre-conversion factors


Template C08.01, column 0020 of Annex I to Implementing Regulation (EU) 2021/451


The original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported.




0090


Exposure after CRM substitution effects pre-conversion factors


Template C08.01, column 0090 of Annex I to Implementing Regulation (EU) 2021/451


The amount to which conversion factors (CCFs) are applied in order to obtain the EAD (column 0110) shall be reported. This shall be done by taking into account credit risk mitigation techniques with substitution effects on the exposure.




0100


CCF


Article 166(8) of Regulation (EU) No 575/2013


The weighted average of the CCFs shall be reported. The weights used shall be the amounts to which the CCFs are applied to obtain the EAD.
For portfolios that include facilities exclusively corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013, the reported weighted average of the CCFs shall be based on all facilities.
For portfolios for which none of the included facilities fall under the items referred to in Article 166 of Regulation (EU) No 575/2013, the CCF shall either be left blank or the indication “NULL” shall be inserted.
For portfolios that include facilities corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013 and facilities that do not fall under the items referred to in Article 166(8) of that Regulation, the reported weighted average of the CCF shall be based only on the facilities corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013. In particular, facilities corresponding to items referred to in Article 166(10) of that Regulation shall not be considered in the calculation.
Where the institution applies own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, those CCFs shall be used to calculate the weighted average of the CCFs. Where the institution does not apply own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, the regulatory CCFs given in Article 166(8) of Regulation (EU) No 575/2013 shall be used.
The CCF shall be expressed as a value between 0 and 1.




0110


EAD


Template C08.01, column 0110 of Annex I to Implementing Regulation (EU) 2021/451


The exposure value shall be reported.




0120


Collateral value


Template C08.01, columns 0150 to 0210 of Annex I to Implementing Regulation (EU) 2021/451


The market value of the collateral shall be reported.




0130


LGD


Template C08.01, columns 0230 and 0240 of Annex I to Implementing Regulation (EU) 2021/451


The EAD-weighted average of the LGD values of the exposures in the respective portfolio shall be reported.
The LGDs shall be those used for the calculation of the RWA. Specifically, where the institution has obtained permission from its competent authority to use own estimates for LGDs, the LGDs shall be based on the institutions’ own estimates, otherwise the LGDs shall be based on the regulatory LGD values taking into account the applicable risk mitigation.
Exposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall be included.
The effect of measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013 shall be excluded.
The LGD shall be expressed as a value between 0 and 1.




0131


LGD without supervisory measures


 


The LGD without supervisory measures shall be the LGD based on the provisions laid down in Articles 179 and 181 of Regulation (EU) No 575/2013 that includes the MoC added by the institution but excludes measures (multipliers, add-ons, floors or similar measures that directly increase the LGD) that have been imposed by the competent authorities.
For portfolios corresponding to an individual grade or pool, the LGD for that grade that includes the MoC but is net of the supervisory measures shall be reported.
For portfolios corresponding to an aggregation of obligors of different grades or pools, the EAD-weighted average of the LGDs of the respective exposures that include the MoCs but are net of the supervisory measures, shall be provided.
The LGD without supervisory measures shall be expressed as a value between 0 and 1.
In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply.




0132


LGD without MoC and without supervisory measures


 


The LGD without MoC and supervisory measures shall be the LGD that includes neither MoC added by the institution in line with Article 179(1), point (f), and Article 181 of Regulation (EU) No 575/2013 nor the effect of measures imposed by the competent authorities (multipliers, add-ons, floors or similar measures that directly increase the LGD).
For portfolios corresponding to an individual grade or pool, the LGD for that grade that is net of the MoC and net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pool, the EAD-weighted average of the LGDs of the respective exposures that are net of the MoCs and net of supervisory measures shall be reported.
The LGD without MoC and supervisory measures shall be expressed as a value between 0 and 1.
In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply.




0133


LGD without MoC, supervisory measures and downturn component,


 


The LGD without MoC, supervisory measures and downturn component shall be the LGD that includes neither the (MoC added by the institution in line with Article 179(1), point (f), and Article 181 of Regulation (EU) No 575/2013 nor the effect of measures imposed by the competent authorities (multipliers, add-ons, floors or similar measures that directly increase the LGD) nor the downturn component as required by Article 181(1), point (b), of that Regulation.
For portfolios corresponding to an individual grade or pool, the LGD for that grade that is net of the MoC and net of the supervisory measures and net of the downturn component shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pool, the EAD-weighted average of the LGDs of the respective exposures that are net of the MoCs, net of supervisory measures and net of the downturn component, shall be reported.
The LGD without MoC, supervisory measures and downturn component shall be expressed as a value between 0 and 1.
In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply.




0140


Maturity


Template C08.01, column 0250 of Annex I to Implementing Regulation (EU) 2021/451


The EAD-weighted maturity shall be reported. It shall be expressed in number of days.
This information shall not be reported for exposures for which the maturity is not an element in the calculation of RWA. In particular, the maturity shall not be reported for portfolios that represent exposures of the exposure class “Retail”.




0150


Expected Loss amount


Template C08.01, column 0280 of Annex I to Implementing Regulation (EU) 2021/451


The expected loss amount shall be reported.




0160


Provisions defaulted exposures


Template C09.02, columns 0050, 0055 and 0060 of Annex I to Implementing Regulation (EU) 2021/451


The provisions for defaulted exposures shall be reported. These shall include all general and specific credit risk adjustments on exposures in default as referred to in Article 110 of Regulation (EU) No 575/2013. (One-off) Credit risk adjustments that an institution applies in connection with the changes in the implementation of the definition of default (DoD) shall be reported as recorded in the institution’s database.




0170


RWA


Template C08.01, column 0260 of Annex I to Implementing Regulation (EU) 2021/451


The RWA after supporting factors (SME and infrastructure supporting factors) shall be reported. The RWA shall not include the effect of potential measures under Article 458 of Regulation (EU) No 575/2013.




0180


RWA Standardised


Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013


RWA Standardised is the hypothetical RWA amount obtained by applying the standardised approach for credit risk to the exposures instead of the IRB approach.





C 103 –   Details on exposures in High Default Portfolio

For portfolios referred to in Annex I with a collateralisation status different from “Not applicable”, the following information may be omitted where the approved model does not accommodate distinct LGD calculations for the secured and unsecured parts of an exposure: LGD (column 0130), LGD without supervisory measures (column 0131), LGD without MoC and supervisory measures (column 0132), LGD without MoC, supervisory measures and downturn component (column 0133), Expected Loss Amount (column 0150), RWA (column 0170), Loss rate latest year (column 0210) and Loss rate past 5 years (column 0220).








Column


Label


Legal reference


Instructions




0010


Portfolio ID


 


The portfolio ID of template C 103, column 0010 of Annex I defining the portfolio shall be reported. This ID shall be a row identifier and shall be unique for each row in the template.
The assignment of exposures to portfolio IDs is not exclusive: exposures or parts of exposures shall be reported under each portfolio ID that is applicable.




0040


Number of obligors


 


The instructions for template C 102, column 0040 of Annex I shall apply.




0060


PD


 


The instructions for template C 102, column 0060 of Annex I shall apply.




0061


PD without supervisory measures


 


The instructions for template C 102, column 0061 of Annex I shall apply.




0062


PD without MoC and supervisory measures


 


The instructions for template C 102, column 0062 of Annex I shall apply.




0080


Original exposure pre conversion factors


 


The instructions for template C 102, column 0080 of Annex I shall apply.




0090


Exposure after CRM substitution effects pre conversion factors


 


The instructions for template C 102, column 0090 of Annex I shall apply.




0100


CCF


 


The instructions for template C 102, column 0100 of Annex I shall apply.




0110


EAD


 


The instructions for template C 102, column 0110 of Annex I shall apply.




0120


Collateral value


 


The instructions for template C 102, column 0120 of Annex I shall apply.




0130


LGD


 


The instructions for template C 102, column 0130 of Annex I shall apply.




0131


LGD without supervisory measures


 


The instructions for template C 102, column 0131 of Annex I shall apply.




0132


LGD without MoC and without supervisory measures


 


The instructions for template C 102, column 0132 of Annex I shall apply.




0133


LGD without MoC, supervisory measures and downturn component


 


The instructions for template C 102, column 0133 of Annex I shall apply.




0140


Maturity


 


The instructions for template C 102, column 0140 of Annex I shall apply.




0150


Expected Loss amount


 


The instructions for template C 102, column 0150 of Annex I shall apply.




0160


Provisions defaulted exposures


 


The instructions for template C 102, column 0160 of Annex I shall apply.




0170


RWA


 


The instructions for template C 102, column 0170 of Annex I shall apply.




0180


RWA Standardised


 


The instructions for template C 102, column 0180 of Annex I shall apply.




0190


Default rate latest year


 


The default rate for the most recent year shall be reported. For that purpose, the default rate shall be defined as the ratio between the following values:






(a)


the sum of the exposures (original exposure, column 0080, measured at the reference date minus one year) that were non-defaulted exactly one year before the reference date and defaulted between the reference date minus one year and the reference date;










(b)


the sum of the exposures (original exposure, column 0080, measured at the reference date minus one year) that were non-defaulted at the reference date minus one year.




New exposures that were generated during the year preceding the reference date shall not be included. Exposures that defaulted and were cured again during the year preceding the reference date shall be included in both the numerator and the denominator. Multiple defaults of the same obligor shall be included only once.
This information shall be reported for portfolio IDs relating to non-defaulted exposures only; it shall be expressed as a value between 0 and 1.
Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used.




0200


Default rate past 5 years


 


The weighted average of the default rates observed in the last five years preceding the reference date shall be reported. The default rate definition referred to in column 0190 shall apply. The weights to be used are the non-defaulted exposures used in the calculation of the default rate in accordance with column 0190.
Where the institution is not required to calculate a default rate for the past five years preceding the reference date under Article 180(1), point (h), or Article 180(2), point (e), of Regulation (EU) No 575/2013, the institution shall develop a proxy using its longest history up to five years preceding the reference date and provide the documentation detailing the calculation to its competent authority.
This information shall be reported for portfolio IDs relating to “non-defaulted” exposures only; it shall be expressed as a value between 0 and 1.
Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used.




0210


Loss rate latest year


 


The loss rate observed in the most recent year shall be reported for portfolio IDs relating to “non-defaulted” and “defaulted” exposures only.
For non-defaulted portfolios, the loss rate shall be the sum of credit risk adjustments and write-offs applied, within the year preceding the reference date, to exposures that were non-defaulted exactly one year before the reference date and which defaulted during the year preceding the reference date, divided by the sum of the EAD, measured exactly one year before the reference date, of the exposures that were non-defaulted exactly one year before the reference date and which defaulted during the year preceding the reference date.
The numerator of the loss rate shall incorporate all the credit risk adjustments and write-offs related to the exposures that defaulted within the year preceding the reference, including the credit risk adjustments applied before the default date.
New exposures generated during the year preceding the reference date shall not be included. Exposures that defaulted and were cured again during the year preceding the reference date shall be included in the denominator of the loss rate and credit risk adjustments and write-offs on those exposures shall be considered in the numerator of the loss rate. Multiple defaults of the very same obligor shall be considered only once.
For defaulted portfolios, the loss rate shall consider exposures that were in default exactly one year before the reference date. It shall be the sum of






(a)


credit risk adjustments to these exposures one year before the reference date; and










(b)


credit risk adjustments and write-offs applied within the year preceding the reference date,
divided by the sum of the EAD, measured exactly one year before the reference date of the exposures under consideration.




New defaults during the year preceding the reference date shall not be included. Exposures that cured again during the year preceding the reference date shall be included in the denominator of the loss rate and credit risk adjustments and write-offs on those exposures shall be included in the numerator of the loss rate. Multiple defaults of the same obligor shall be included only once.
The loss rate shall be expressed as a value between 0 and 1.
Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used.




0220


Loss rate past 5 years


 


The EAD-weighted average of the loss rates observed in the last five years preceding the reference date shall be reported for portfolio IDs relating to “non-defaulted” and “defaulted” exposures only. The definition of loss rate in column 0210 shall apply.
The loss rate past five years shall be based on the annual loss rates of the past five years, where these annual loss rates are defined in analogy to the definition of the loss rate of column 0210; in particular, the annual loss rates shall not include additional changes in credit risk adjustments and write offs that have occurred after the observation horizon (calendar year) of each annual loss rate.
Where the institution is not required to use data for the past five years preceding the reference date under Article 181(2), last paragraph, of Regulation (EU) No 575/2013, the institution shall develop a proxy using its longest history up to five years preceding the reference date and provide the documentation detailing the calculation to its competent authority.
The loss rate shall be expressed as a value between 0 and 1.
Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used.




0250


RWA-


 


Institutions shall calculate and report RWA- for portfolios that are referred to in Annex I, template 103 with the following portfolio IDs:






 


CORP_ALL_0086_CT_****_**_***_ALL










 


SMEC_ALL_0106_CT_****_**_ ***_ALL










 


MORT_ALL_0094_CT_****_**_ ***_ALL










 


SMOT_ALL_0106_CT_****_**_***_ALL










 


RSMS_ALL_0106_CT_****_**_***_ALL










 


RETO_ALL_0094_CT_****_**_***_ALL










 


RQRR_ALL_0094_CT_****_**_***_ALL




RWA- shall be the hypothetical RWA, after supporting factors, which results from the application of the PD- values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes.
PD- shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 0005 of template C 08.02 of Annex I to Commission Implementing Regulation (EU) 2021/451 shall be used (For instructions see template C 08.01, column 0010, and template C 08.02 of Annex II to that Regulation).
For each obligor grade, 

 shall be the smallest positive value satisfying the equation








 and 

 where 

.
Here,














=


the inverse function of the standard normal (cumulative) distribution;




q


=


the confidence level set at 90%;




DR1y




=


the case weighted default rate of the year preceding the reference date, i.e., the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date and which defaulted during the most recent year, divided by the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date;




n


=


the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date.




For each obligor, PD- shall be equal to 

, where 

 shall be calculated in accordance with the formula set out in the fourth subparagraph for the obligor grade assigned to the obligor.




0260


RWA+


 


Institutions shall calculate and report RWA+ for the portfolios that are referred to in Annex I, template 103 with the following portfolio ID:






 


CORP_ALL_0086_CT_****_**_***_ALL










 


SMEC_ALL_0106_CT_****_**_***_ALL










 


MORT_ALL_0094_CT_****_**_***_ALL










 


SMOT_ALL_0106_CT_****_**_***_ALL










 


RSMS_ALL_0106_CT_****_**_***_ALL










 


RETO_ALL_0094_CT_****_**_***_ALL










 


RQRR_ALL_0094_CT_****_**_***_ALL




RWA+ shall be the hypothetical RWA, after supporting factors, which results from the application of the PD+ values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes.
PD+ shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 0005 of template C 08.02 of Annex I to Commission Implementing Regulation (EU) 2021/451 shall be used (For instructions see template C 08.01, column 0010, and template C 08.02 of Annex II to that Regulation).
For each obligor grade, 

 shall be the largest positive value satisfying the equation





In this equation,














=


the inverse function of the standard normal (cumulative) distribution;




q


=


the confidence level set at 90%;




DR1y




=


the case weighted default rate of the year preceding the reference date, i.e., the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date and which defaulted during the most recent year, divided by the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date;




n


=


the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date.




For each obligor, PD+ shall be equal to 

, where 

 shall be calculated in accordance with the formula set out in the fourth subparagraph for the obligor grade assigned to the obligor.




0270


RWA--


 


Institutions shall calculate and report RWA— for the portfolios that are referred to in Annex I, template 103 with the following portfolio Identifier (ID):






 


CORP_ALL_0086_CT_****_**_***_ALL










 


SMEC_ALL_0106_CT_****_**_***_ALL










 


MORT_ALL_0094_CT_****_**_***_ALL










 


SMOT_ALL_0106_CT_****_**_***_ALL










 


RSMS_ALL_0106_CT_****_**_***_ALL










 


RETO_ALL_0094_CT_****_**_***_ALL










 


RQRR_ALL_0094_CT_****_**_***_ALL




RWA-- shall be the hypothetical RWA, after supporting factors, which results from the application of the PD-- values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes.
PD-- shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 0005 of template C 08.02 of Annex I to Commission Implementing Regulation (EU) 2021/451 shall be used (For instructions see template C 08.01, column 0010, and template C 08.02 of Annex II to that Regulation).
For each obligor grade, 

 shall be the smallest positive value satisfying the equation








 and 

 where 



Here,














=


the inverse function of the standard normal (cumulative) distribution;




q


=


the confidence level set at 90%;




DR5y




=


the default rate of the 5 latest years for the obligor grade, calculated as the simple average of five 1-year case-weighted default rates;




n


=


the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date.




For each obligor, PD-- shall be equal to 

, where 

 shall be calculated in accordance with the formula set out in the fourth subparagraph for the obligor grade assigned to the obligor.




0280


RWA++


 


Institutions shall calculate and report RWA++ for the portfolios that are referred to in Annex I, template 103 with the following portfolio ID:






 


CORP_ALL_0086_CT_****_**_***_ALL










 


SMEC_ALL_0106_CT_****_**_***_ALL










 


MORT_ALL_0094_CT_****_**_***_ALL










 


SMOT_ALL_0106_CT_****_**_***_ALL










 


RSMS_ALL_0106_CT_****_**_***_ALL










 


RETO_ALL_0094_CT_****_**_***_ALL










 


RQRR_ALL_0094_CT_****_**_***_ALL




RWA++ shall be the hypothetical RWA, after supporting factors, which results from the application of the PD++ values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes.
PD++ shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 0005 of template C 08.02 of Annex I to Commission Implementing Regulation (EU) 2021/451 shall be used (For instructions see template C 08.01, column 0010, and template C 08.02 of Annex II to that Regulation).
For each obligor grade, 

 shall be the largest positive value satisfying the equation





where,














=


the inverse function of the standard normal (cumulative) distribution;




q


=


the confidence level set at 90%;




DR5y




=


the default rate of the 5 latest years for the obligor grade, calculated as the simple average of five 1-year case-weighted default rates;




n


=


the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date.




For each obligor, PD++ shall be equal to 

, where 

 shall be calculated in accordance with the formula set out in the fourth subparagraph for the obligor grade assigned to the obligor.





C 105.01 –   Definition of internal models









Column


Label


Legal reference


Instructions




0010


Internal model ID


 


The institution shall report the internal model ID assigned by the competent authority. In case this is unavailable, the institution shall report the internal model ID assigned by itself. The internal model ID shall uniquely refer to an internal model approved by the competent authority and used for the calculation of RWA. It shall be a row identifier and shall be unique for each row in the template.




0020


Model name


 


The model name assigned to the internal model by the reporting institution shall be reported.




0030


IRBA Risk parameter


 


The IRB approach risk parameter shall be one of the following:






(a)


PD;










(b)


LGD;










(c)


CCF.




For an internal model for Corporate – Specialised Lending exposures under Article 153(5) of Regulation (EU) No 575/2013 (“Specialised lending slotting criteria”), the field shall be left blank or “NULL” shall be inserted.




0040


EAD


Template C08.01, column 0110 of Annex I to Implementing Regulation (EU) 2021/451


The aggregate exposure value of the exposures within the range of application of the rating model shall be reported.




0050


EAD weighted average default rate for calibration


 


The EAD-weighted average of the annual default rates, where used in the calibration of the PD models, shall be reported. This information shall be completed only for PD models. The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported.




0060


Case weighted average default rate for calibration


 


The simple average of the annual case-weighted default rates used in the calibration of the PD models shall be reported. This information shall be completed only for PD models.
The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported.




0070


Long-run PD


 


The central tendency used by the institution in the calibration of the models that incorporates any prudent adjustment to the simple case weighted average of the annual default rates used in the calibration of the PD models shall be reported. This information shall be completed only for PD models.




0080


Cure rate defaulted asset


 


The cure rate defaulted asset shall be the percentage of defaulted outstanding that returns in “non-defaulted” status over a 12-month period.
An institution that does not calculate cure rates for a given model shall calculate a proxy for cure rates, in accordance with the definition provided. The institution shall report the use of a proxy to the competent authority. That information shall be completed only for LGD models.




0090


Recovery rate not cured foreclosed assets


 


The case-weighted average recovery rate for not cured defaults included in the time series used by the institution for the calibration of the LGD models on non-defaulted assets shall be reported.
The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported. An institution that does not have a specific recovery rate for non-cured defaults due to an incomplete recovery procedure, shall calculate a proxy taking into account observed recoveries as well as the estimations of recoveries for incomplete workout . The institution shall report the use of a proxy to the competent authority. That information shall be completed only for LGD models.




0100


Recovery period length not cured foreclosed assets


 


The case-weighted average length of the recovery period (from the start of the default status to the completion date of the recovery procedures) for the not cured defaults included in the time series used by the institution for the calibration of the LGD models on non-defaulted assets shall be reported. The case weighted average length shall be expressed in number of days.
The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported.
An institution that does not have a specific recovery period length for not cured defaults, due to an incomplete recovery procedure, shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority. That information shall be completed only for LGD models.




0110


Joint decision


Article 20(2), point (a); of Regulation (EU) No 575/2013


The institution shall report whether or not a joint decision on prudential requirements exists between the consolidating and the host competent authority regarding the permission to use the IRB approach for the calculation of the prudential requirements for the exposures held by the subsidiaries of the institutions in the reported benchmarking portfolios.




0120


Consolidating supervisor


Article 20 of Regulation (EU) No 575/2013


The country ISO code of the country of origin of the competent authority responsible for the consolidated supervision of the institution using an IRB approach shall be reported.




0130


RWA


Template C08.01, Column 0260 of Annex I to Implementing Regulation (EU) 2021/451


The aggregate RWA after supporting factors (SME and infrastructure supporting factors) of the exposures within the range of application of the rating model shall be reported.




0140


RWA add-ons


 


The RWA add-ons shall be a sub-position (“of which”) of the RWA (Template C105.01, column 0130) and shall include






(a)


the RWA that is added to the RWA resulting from the application of the model’s risk parameter(s) due to additional internal measures of conservatism directly applied on the RWA, if any;










(b)


the RWA that is added to the RWA resulting from the application of the model’s risk parameter(s) due to supervisory measures directly applied on the RWA, if any.




The amounts under points (a) and (b) shall not include measures that are already reflected in the PD (templates C102, column 0060 and C103, column 0060 of), CCF (column 0100 of templates C102 and C103) or LGD (templates C102 and C103, column 0130), but shall be restricted to measures that are directly applied on the RWA and, if relevant, in addition to the margins of conservatism and supervisory measures (multipliers, add-ons, floors or similar measures) that increase the risk parameters.
The RWA add-ons shall not include the effect of potential measures under Article 458 of Regulation (EU) No 575/2013.
In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply.





C 105.02 –   Mapping of internal models to portfolios









Column


Label


Legal reference


Instructions




0010


Portfolio ID


Templates C102, column 0010 and C103, column 0010


The portfolio ID uniquely identifying the portfolio in accordance with templates C102 and C103 of Annex I shall be reported.
Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in this template.




0020


Internal model ID


Template C 105.01, column 0010


The internal model ID assigned by the reporting institution shall be reported.
Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in template C105.02.




0030


EAD


Template C08.01, column 0110 of Annex I to Implementing Regulation (EU) 2021/451


The aggregate exposure value of the exposures that are included in the portfolio defined by column 0010 and within the range of application of the rating model defined by column 0020 shall be reported. Where all exposures of a given portfolio are treated with one specific model, the exposure value shall be identical to the amount reported for the same portfolio in column 0110 of templates C 102 or C 103, as applicable.




0040


RWA


Template C08.01, column 0260 of Annex I to Implementing Regulation (EU) 2021/451


The aggregate RWA after supporting factors for the exposures that are included in the portfolio defined by column 0010 and within the range of application of the rating model defined by column 0020 shall be reported. Where all exposures of a given portfolio are treated with one specific model, the RWA shall be identical to the amount reported for the same portfolio in column 0170 of templates C 102 or C 103, as applicable.





C 105.03 –   Mapping of internal models to countries









Column


Label


Legal reference


Instructions




0005


Row ID


 


This code shall be a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.




0010


Internal model ID


Template C105.01, column 0010


The internal model ID assigned by the reporting institution shall be reported. Where one internal model ID is associated with several countries, separate rows shall be reported for each combination of “Internal model ID” and “Location of institution”. Columns 0010 and 0020 are a composite row identifier and their combination shall be unique for each row in the table.




0020


Location of institution


Article 20 of Regulation (EU) No 575/2013


The country ISO code of the legal residence of each subsidiary where the IRB exposures reported for each benchmarking portfolio are booked shall be reported, irrespective of the existence of any permission granted by the host supervisor to apply an IRB approach.






            ’
         


(1)  Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (OJ L 97, 19.3.2021, p. 1, ELI: http://data.europa.eu/eli/reg_impl/2021/451/oj).

(2)  Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1, ELI: http://data.europa.eu/eli/reg/2013/575/oj).





ANNEX II



‘ANNEX V
MARKET RISK BENCHMARK INSTRUMENTS AND PORTFOLIOS







Section 1:

Instructions











Section 2:

Instruments











Section 3:

Individual portfolios – Single instrument











Section 4:

Individual portfolios – Multi instruments











Section 5:

Aggregated Portfolios











Section 6:

Additional specifications for instruments











Section 7:

SBM validation portfolios





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) means the value of the VaR, sVaR, and when required IRC and APR for the portfolios, as set out in Sections 3, 4 and 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 30 January 2025;










(ii)


the IMV (and initial SBM) reference date shall be 6 February 2025 (at 5:30 pm CET);










(iii)


the IMV (and initial SBM, and SBM validation) remittance date shall be 28 February 2025;










(iv)


the RM initial reference date shall be 2 June 2025;










(v)


the RM (and final ASA) final reference date shall be 13 June 2025;










(vi)


the RM (and final ASA) remittance date shall be 18 July 2025.














(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)


the risk factors included in the VaR model for the instrument;










(iv)


the risk factors included in the VaR model that are also valuation inputs for the IMV of the instrument;










(v)


the VaR model specifics in relation to the instrument;










(vi)


available reference data for the instrument in the institution’s own format;










(vii)


the aspects referred to in points (h), (i), (k), (m), (n), (o), (v), (w), (y), (gg) and (kk) of this Section.














(f)


For the purposes of point (e), sub point (v), all of the following shall be reported:






(i)


concise VaR 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 Sections 3, 4 and 5, 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, institutions shall report SBM results and submit them in line with the reporting dates of the IMV submission.










(cc)


Only institutions which have been granted permission to model specific risk of debt instruments shall report credit spread portfolios. For interest rate portfolios which include risk as part of certain instruments, individual and aggregated portfolios shall be modelled by institutions which have been granted the permission to model the general interest risk as well as institutions which have been granted the permission to model the general and the specific interest risk.










(dd)


The results for both individual and the aggregated portfolios shall be submitted only where the results of the instruments that are part of them are also being submitted.










(ee)


In Section 2 of this Annex (Instruments), “Year T” shall mean “2025” and Year T + X shall mean 2025 + 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 (d) 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: June 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: June 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: June 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: June 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: June 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: June 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: June 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: June 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: June 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: June 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: June 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: June 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: June 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: June Year T
EBA instrument currency: EUR












121.


Long Call Options. Underlying VIX (CBOE), ATM.
Notional: equivalent to the value of the index times 100 000 USD
Expiry date: June 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: September Year T+4.
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, 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: September Year T+4.
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 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
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 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, 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: September Year T + 9 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: June Year T-1
Final Fixing: August Year T+4
Maturity: September Year T+4
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; EUR/DKK ECB reference spot rate as of end of the booking date to determine forward rate.
EBA instrument currency: EUR












311.


6-month EUR/BRL Non deliverable forward contract (long EUR, short BRL); Notional EUR 10 000 000; EUR/BRL ECB reference spot rate as of end of the booking date to determine forward rate.
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 WTI, 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 WTI, 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





CTP









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


Risk measures required




1001


101 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1002


102– 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1003


103 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1004


104 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1005


105– 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1006


106 – 1 instrument


GBP


VaR; Stressed VaR; SBM; DRC; RRAO




1007


107 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1008


108 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1009


109 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1010


110 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1011


111 – 1 instrument


USD


VaR; Stressed VaR; SBM; DRC; RRAO




1012


112 – 1 instrument


USD


VaR; Stressed VaR; SBM; DRC; RRAO




1013


113 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1014


114 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1015


115 – 1 instrument


GBP


VaR; Stressed VaR; SBM; DRC; RRAO




1016


116 – 1 instrument


GBP


VaR; Stressed VaR; SBM; DRC; RRAO




1017


117 – 1 instrument


JPY


VaR; Stressed VaR; SBM; DRC; RRAO




1018


118 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1019


119 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1020


120 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1021


121 – 1 instrument


USD


VaR; Stressed VaR; SBM; DRC; RRAO




2001


201 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




2002


202 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




2003


203 – 1 instrument


USD


VaR; Stressed VaR; SBM; DRC; RRAO




2004


204 – 1 instrument


GBP


VaR; Stressed VaR; SBM; DRC; RRAO




2005


205 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




2006


206 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




2007


207 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




2008


208– 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




2009


209 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




2010


210 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




2011


211 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




2012


212 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




2013


213 – 1 instrument


GBP


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




2014


214 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




2015


215 – 1 instrument


USD


VaR; Stressed VaR; SBM; DRC; RRAO




2016


216 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




2017


217 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




2018


218 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




2019


219 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




2020


220 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




2021


221 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




2022


222 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




2023


223 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




2024


224 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




3001


301 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




3002


302 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




3003


303 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




3004


304 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




3005


305 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




3006


306 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




3007


307 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




3008


308 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




3009


309 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




3010


310 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




3011


311 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




4001


401 – 1 instrument


USD


VaR; Stressed VaR; SBM; DRC; RRAO




4002


402 – 1 instrument


USD


VaR; Stressed VaR; SBM; DRC; RRAO




4003


403 – 1 instrument


USD


VaR; Stressed VaR; SBM; DRC; RRAO




4004


404 – 1 instrument


USD


VaR; Stressed VaR; SBM; DRC; RRAO




4005


405 – 1 instrument


USD


VaR; Stressed VaR; SBM; DRC; RRAO




5001


501 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5002


502 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5003


503 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5004


504 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5005


505 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5006


506 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5007


507 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5008


508 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5009


509 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5010


510 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5011


511 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5012


512 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5013


513 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5014


514 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5015


515 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5016


516 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5017


517 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5018


518 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5019


519 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5020


520 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5021


521 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5022


522 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5023


523 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5024


524 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5025


525 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5026


526 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5027


527 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5028


528 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5029


529 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5030


530 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5031


531 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5032


532 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5033


533 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5034


534 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




6001


601 – 1 instrument


EUR


VaR; Stressed VaR; APR; SBM; DRC; RRAO




6002


602 – 1 instrument


EUR


VaR; Stressed VaR; APR; SBM; DRC; RRAO




6003


603 – 1 instrument


EUR


VaR; Stressed VaR; APR; SBM; DRC; RRAO




6004


604 – 1 instrument


EUR


VaR; Stressed VaR; APR; SBM; DRC; RRAO




6005


605 – 1 instrument


EUR


VaR; Stressed VaR; APR; SBM; DRC; RRAO




6006


606 – 1 instrument


EUR


VaR; Stressed VaR; APR; SBM; DRC; RRAO




6007


607 – 1 instrument


EUR


VaR; Stressed VaR; APR; SBM; DRC; RRAO




6008


608 – 1 instrument


EUR


VaR; Stressed VaR; APR; SBM; DRC; RRAO




6009


609 – 1 instrument


EUR


VaR; Stressed VaR; APR; SBM; DRC; RRAO




6010


610 – 1 instrument


EUR


VaR; Stressed VaR; APR; SBM; DRC; RRAO





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


Risk measures required




1101


103 – 1 instrument
104 – 1 instrument
105 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1102


113 – 1 instrument
110 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1103


115 – 1 instrument
116 – 1 instrument


GBP


VaR; Stressed VaR; SBM; DRC; RRAO




1104


109 – 1 instrument
110 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1105


111 – 1 instrument
112 – 1 instrument


USD


VaR; Stressed VaR; SBM; DRC; RRAO




1106


102 – 1 instrument
114 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1107


106 – 1 instrument
107 – 1 instrument
108 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1108


101 – 1 instrument
103 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1109


101 – 1 instrument
103 – 1 instrument
104 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




1110


102– 1 instrument
104 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




2201


206 – 1 instrument
207 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




2202


206 – 1 instrument
207 – 1 instrument
208 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




2203


206 – 1 instrument
207 – 1 instrument
208 – 1 instrument
209 – 1 instrument
210 – 1 instrument
211 – 1 instrument
212 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




2204


201 – 1 instrument
218 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




2205


201 – 1 instrument
219 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




2206


218 – 1 instrument
219 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




2207


201 – 1 instrument
202 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




2208


215 – 1 instrument
216 – 1 instrument
217 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




2209


203 – 1 instrument
215 – 1 instrument


USD


VaR; Stressed VaR; SBM; DRC; RRAO




2210


208 – 1 instrument
209 – 1 instrument
210 – 1 instrument
214 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




2211


209 – 1 instrument
219 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




2212


201 – 1 instrument
223 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




3301


301 – 1 instrument
302 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




3302


303 – 1 instrument
304 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




3303


304 – 1 instrument
305 – 1 instrument
306 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




3304


307 – 1 instrument
308 – 1 instrument


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




4401


401 – 1 instrument
402 – 1 instrument


USD


VaR; Stressed VaR; SBM; DRC; RRAO




4402


403 – 1 instrument
404 – 1 instrument


USD


VaR; Stressed VaR; SBM; DRC; RRAO




4403


401 – 1 instrument
404 – 1 instrument


USD


VaR; Stressed VaR; SBM; DRC; RRAO




5501


501 – 1 instrument
502 – 1 instrument
503 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5502


504 – 1 instrument
505 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5503


507 – 1 instrument
508 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5504


503 – 1 instrument
504 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5505


509 – 1 instrument
510 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5506


511 – 1 instrument
512 – 1 instrument
514 – 1 instrument
515 – 1 instrument
516 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5507


517 – 1 instrument
518 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5508


519 – 1 instrument
520 – 1 instrument
522 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5509


520 – 1 instrument
521 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5510


519 – 1 instrument
508 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5511


515 – 1 instrument
522 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5512


520 – 1 instrument
521 – 1 instrument
516 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5513


506 – 1 instrument
503 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5514


502 – 1 instrument
209 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5515


504 – 1 instrument
217 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5516


505 – 1 instrument
216 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5517


504 – 1 instrument
217 – 1 instrument
505 – 1 instrument
216 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5518


502 – 1 instrument
209 – 1 instrument
219 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5519


523 – 1 instrument
525 – 1 instrument
527 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5520


524 – 1 instrument
526 – 1 instrument
528 – 1 instrument


USD


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5521


523 – 1 instrument
524 – 1 instrument
525 – 1 instrument
526 – 1 instrument
527 – 1 instrument
528 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




5522


529 – 1 instrument
530 – 1 instrument


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




6601


601 – 1 instrument
602 – 1 instrument


EUR


VaR; Stressed VaR; APR; SBM; DRC; RRAO




6602


603 – 1 instrument
604 – 1 instrument


EUR


VaR; Stressed VaR; APR; SBM; DRC; RRAO




6603


605 – 1 instrument
606 – 1 instrument


EUR


VaR; Stressed VaR; APR; SBM; DRC; RRAO




6604


607 – 1 instrument
608 – 1 instrument


EUR


VaR; Stressed VaR; APR; SBM; DRC; RRAO




6605


609 – 1 instrument
610 – 1 instrument


EUR


VaR; Stressed VaR; APR; SBM; DRC; RRAO





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 Sections 3 and 4 of this Annex)


EBA portfolio Currency


Risk measures required




10000


ALL-IN no-CTP


1001, 1101, 1104, 1106, 2001, 2002, 2203, 2206, 3301, 3303, 3304, 4401, 4402, 5503, 5506, 5508, 5521


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




11000


EQUITY Cumulative


1001, 1101, 1104, 1106


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




12000


IR Cumulative


2001, 2002, 2203, 2206


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




13000


FX Cumulative


3301, 3303, 3304


EUR


VaR; Stressed VaR; SBM; DRC; RRAO




14000


Commodity Cumulative


4401, 4402


USD


VaR; Stressed VaR; SBM; DRC; RRAO




15000


Credit Spread cumulative


5503, 5506, 5508, 5521


EUR


VaR; Stressed VaR; IRC; SBM; DRC; RRAO




16000


CTP cumulative EUR


6601, 6602


EUR


VaR; Stressed VaR; APR; SBM; DRC; RRAO





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 + 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 only report template C120.02 and limit the reporting in this template to the reporting currency results (i.e. column 0060 of template C120.02 shall not be populated and templates C 106.00 and C 106.01 shall not be reported for the SBM validation portfolios);










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).










            ’
         





ANNEX III



‘ANNEX VI

RESULTS SUPERVISORY BENCHMARK PORTFOLIOS


TEMPLATE-RELATED INSTRUCTIONS








C 106.00 –

Initial Market Valuation and exclusion justification
57










C 106.01 –

SBM. Risk sensitivities by Instrument
57










C 107.01 –

VaR & sVaR Non-CTP. Details.
61










C 107.02 –

VaR, sVaR and PV - Non-CTP. EBA portfolio currency Results.
63










C 108.00 –

Profit & Loss Time Series
64










C 109.01 –

IRC. Details of the Model
65










C 109.02 –

IRC. Details by Portfolio
65










C 109.03 –

IRC. Amount by Portfolio/Date.
66










C 110.01 –

CT. Details of the Model.
67










C 110.02 –

CT. Details by Portfolio.
68










C 110.03 –

CT. APR by Portfolio/Date
69










C 120.01 –

SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO
69










C 120.02 –

SBM. OFR COMPOSITION BY PORTFOLIO
72










C 120.04 –

DRC. MARKET VALUES AND GROSS JTD AMOUNTS BY INSTRUMENT/PORTFOLIO
74










C 120.05 –

DRC. OFR COMPOSITION BY PORTFOLIO
80










C 120.06 –

ASA. OFR
82




TEMPLATE-RELATED INSTRUCTIONS


C 106.00 –   Initial Market Valuation and exclusion justification









Column


Label


Legal reference


Instructions




0010


Instrument number


Section 2 of Annex V


The instrument number taken from Annex V shall be reported.




0020


Instrument modelled for VaR and sVaR (TRUE/FALSE)


 


Either TRUE or FALSE shall be reported.




0030


Instrument modelled for IRC (TRUE/FALSE)


 


Either TRUE or FALSE shall be reported.




0040


Instrument modelled for correlation trading (TRUE/FALSE)


 


Either TRUE or FALSE shall be reported.




0050


Rationale for exclusion


Article 3(2)


One of the following shall be reported:






(a)


Model not authorised by regulator;










(b)


Instrument or underlying not authorised internally;










(c)


Underlying or modelling feature not contemplated internally;










(d)


Other rationale for exclusion. Please, explain that rationale in column 0060.








0060


Free text box


 


An institution may provide any additional information in this column.




0070


Initial market valuation (“IMV”)


 


The mark-to-market value of each instrument on the reference date at 5:30 pm CET (as referred to in Section 1, point (b), of Annex V.
The cell shall be left blank where the institution does not wish to provide an IMV for a certain portfolio (i.e. zero values shall be reported only where the result of the calculation is zero).





C 106.01 –   SBM. Risk sensitivities by Instrument

Institutions shall report the sensitivities towards the risk factors that the instrument is exposed to. One row shall be reported per risk factor/sensitivity. The upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Article 325g of Regulation (EU) 575/2013 shall be reported in individual rows. All values shall refer to the “IMV (and initial SBM) reference date” as specified in Section 1, point (b)(ii), of Annex V to this Regulation. Institutions shall report each combination of Instrument number, Risk identifier (column 0010), Bucket (column 0020) and Additional identifier (column 0030) only once.
Instructions concerning sheets (z-axis)







Label


Legal reference


Instructions




Instrument number


Section 2 of Annex V


The instrument number taken from Annex V shall be reported.















Column


Label


Legal reference


Instructions




0010


Risk factor identifier


Articles 325l, 325m, 325n, 325o, 325p and 325q of Regulation (EU) No 575/2013


The risk factor identifier as specified in the table at the end of this Annex shall be reported.




0020


Bucket


Article 325d(3) of Regulation (EU) No 575/2013


The bucket shall be reported, where the risk factor identifier selected in column 0010 corresponds to the risk class:






—


General interest rate risk, the answer shall be the name of the currency of the relevant risk-free rate, inflation or cross-currency-basis risk factor (following the ISO 4217 currency designation, e.g. “EUR”).










—


Credit spread risk for non-securitisation, the answer shall be the bucket number in Article 325ah (1), Table 4, of Regulation (EU) No 575/2013.










—


Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR), the answer shall be the bucket number in Article 325am (1), Table 7, of that Regulation.










—


Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR), the answer shall be the bucket number in Article 325ak, Table 6, of that Regulation.










—


Equity risk, the answer shall be the bucket number in Article 325ap (1), Table 8, of that Regulation.










—


Commodity risk, the answer shall be the bucket number in Article 325as, Table 9, of that Regulation.










—


FX risk and the components Delta or Curvature, the answer shall be the name of the currency (e.g. “USD”, the reported currency codes shall follow the ISO 4217 currency designation).










—


FX risk and the component Vega, the answer shall be the name of the currency pair (e.g. “EUR_USD”, the reported currency codes shall follow the ISO 4217 currency designation).








0030


Additional identifier1


Articles 325l to 325q and Article 325ai of Regulation (EU) No 575/2013


The following information distinguishing the risk factor at intra-bucket level shall be reported. Where the risk factor identifier selected in column 0010 corresponds to the risk class:






—


General interest rate risk and the component Delta, the answer shall be the name of the risk-free curve or another corresponding unique identifier.










—


Credit spread risk for non-securitisation or the risk class credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR), the answer shall be the issuer name or another corresponding unique identifier and it shall be identical for any two reported sensitivities towards two risk factors that receive a correlation parameter ρkl
(name) equal to 1 in accordance with Article 325ai(1) of Regulation (EU) No 575/2013.










—


Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR), the answer shall be the tranche name or another corresponding unique identifier.










—


Equity risk, the answer shall be the equity issuer name or a corresponding unique identifier.










—


Commodity risk, the answer shall be the name of the commodity or another corresponding unique identifier.




Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable.




0050


Risk sensitivity (Reporting currency results)


Article 325d(2) and Articles 325g, 325r, 325s, 325t and 325ax of Regulation (EU) No 575/2013


Risk sensitivities (delta / vega sensitivities and curvature risk positions) shall be reported at the level of each instrument for all relevant risk factors as specified in the columns 0010 to 0030. The values shall be reported in the institution’s reporting currency. Where the risk factor identifier selected in column 0010 corresponds to the:






—


Delta risk component of the sensitivities-based method, the net sensitivity to the risk factor (Sk) as specified in Article 325r of Regulation (EU) No 575/2013 shall be reported. Where institutions have obtained permission from their competent authority to use alternative definitions of delta risk sensitivities in accordance with Article 325t(5) of that Regulation, they shall refer to those alternative definitions for the reporting.










—


Vega risk component of the sensitivities-based method, the vega risk sensitivity of an option to a given risk factor (Sk) as specified in Article 325s of Regulation (EU) No 575/2013 shall be reported. Where institutions have obtained permission from their competent authority to use alternative calculations of vega risk sensitivities in accordance with Article 325t(6) of that Regulation, they shall refer to those alternative calculations for the reporting. Regardless of whether the definition of Article 325s or an alternative calculation in accordance with Article 325t(6) of that Regulation is used by the institution, the sensitivity shall be reported after weighting it by the corresponding implied volatility.










—


Curvature risk component of the sensitivities-based method, the upward net curvature risk position of that risk factor (CVRk
+) or the downward net curvature risk position of that risk factor (CVRk
-) as specified in Article 325g of Regulation (EU) No 575/2013 shall be reported.




The reported figure shall be expressed as a decimal with a minimum precision of two decimal places.
Zero values shall be reported only where the result of the calculation is actually zero.




0060


Reporting currency


 


The name of the reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation, e.g. “EUR”).




0070


Risk sensitivity (EBA instrument currency results)


Section 2 of Annex V to this Regulation and Article 325d(2) and Articles 325g, 325r and 325s of Regulation (EU) No 575/2013


The values shall be reported following the instructions for column 0050 but translated at the ECB spot exchange rate associated with the currency of the instrument as defined in Section 2 of Annex V to this Regulation.




0080


Pricing model


Article 325t of Regulation (EU) No 575/2013


The institution shall specify which pricing model applies to derive the sensitivities. One of the following shall be reported:






(a)


“Institution’s pricing models that serve as a basis for reporting profit and loss to senior management” (as for Article 325t(1), first subparagraph, of Regulation (EU) No 575/2013);










(b)


“Institution’s internal model approach” (as for Article 325t(1), second subparagraph, of that Regulation);








0090


Sensitivities definition


Articles 325r, 325s and 325t of Regulation (EU) No 575/2013


The institution shall specify which sensitivities definition is applied in the calculation of the own funds requirements.
One of the following shall be reported:






(a)


“Sensitivities definition in Articles 325r and 325s of Regulation (EU) No 575/2013”;










(b)


“Sensitivities definition in accordance with Article 325t(5) and (6) of Regulation (EU) No 575/2013”;




Where the risk factor identifier selected in column 0010 corresponds to the curvature risk component of the sensitivities-based method, the value indicated in point (b) shall be reported if any of the sensitivities used in the calculation of the reported curvature risk position are based on a sensitivity definition in accordance with Article 325t(5) and (6) of Regulation (EU) No 575/2013, and the value indicated in point (a) shall be reported otherwise.




0100


Free text box


 


An institution may provide additional information in this column concerning pricing model and sensitivities definition applied.




0110


Additional identifier2


Article 325p(2) of Regulation (EU) No 575/2013


Where the risk factor identifier selected in column 0010 corresponds to the risk class Commodity risk and the Delta risk component of the sensitivities-based method, the answer shall be the set of legal terms regarding the delivery location or another corresponding unique identifier.
Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable.




0120


Credit quality category


Article 325m(1) and Article 325ah(1) of Regulation (EU) No 575/2013


Where the risk factor identifier selected in column 0010 corresponds to the risk class Credit spread risk for non-securitisation and the Delta risk component of the sensitivities-based method, the answer shall be one of the following:






(a)


“CQS 1”;










(b)


“CQS 2”;










(c)


“CQS 3”;










(d)


“CQS 4”;










(e)


“CQS 5”;










(f)


“CQS 6”;










(g)


“No CQS assigned (unrated)”.




Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable.





C 107.01 –   VaR & sVaR Non-CTP. Details.









Row


Label


Legal reference


Instructions




0010 - 0060


VaR




0010


Methodology


 


One of the following shall be reported in column 0010:






(a)


Historical simulation;










(b)


Monte Carlo simulation;










(c)


Parametric methodology;










(d)


Combination / other methodology (please specify).




The institution shall use column 0020 to clarify the answer given in column 0010. Where option (d) was selected in column 0010, the institution shall provide details in column 0020.




0020


Computation of 10-day horizon


Article 365(1) of Regulation (EU) No 575/2013


One of the following shall be reported in column 0010:






(a)


1 day re-scaled to 10 days;










(b)


10 days with overlapping periods;










(c)


10 days other methodology.




The institution shall use column 0020 to clarify the answer given in column 0010.




0030


Length of observation period


Article 365(1) point (d) of Regulation (EU) No 575/2013


One of the following shall be reported in column 0010:






(a)


Up to 1 year;










(b)


More than 1 and up to 2 years;










(c)


More than 2 and up to 3 years;










(d)


More than 3 years.




The institution shall use column 0020 to clarify the answer given in column 0010.




0040


Data Weighting


Article 365(1) point (d), of Regulation (EU) No 575/2013


One of the following shall be reported in column 0010:






(a)


Unweighted (VaR data weighting);










(b)


Weighted (VaR data weighting);










(c)


Higher of weighted and unweighted (VaR data weighting) in points (a) and (b).




The institution shall use column 0020 to clarify the answer given in column 0010.




0050


Backtesting add-on


Article 366(2) of Regulation (EU) No 575/2013


Backtesting add-on means the addend between 0 and 1 in accordance with Article 366 (2), Table 1, of Regulation (EU) No 575/2013
The institution shall use column 0020 to clarify the answer given in column 0010.




0060


VaR Regulatory add-on


Article 366(2) of Regulation (EU) No 575/2013 (“at least 3”)


VaR Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for VaR (at least 3) in accordance with Article 366(2) of Regulation (EU) No 575/2013. The VaR Regulatory add-on is the sum of the backtesting add-on and of the qualitative add-on, where applicable, in excess to 3.
The institution shall use column 0020 to clarify the answer given in column 0010.




0070- 0100


SVaR (i.e. Stressed VaR)




0070


Methodology


 


One of the following shall be reported in column 0010:






(a)


Historical simulation;










(b)


Monte Carlo simulation;










(c)


Parametric methodology;










(d)


Combination / other methodology (please specify).




The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020.




0080


Computation of 10 day Horizon


Article 365(1) of Regulation (EU) No 575/2013


One of the following shall be reported in column 0010:






(a)


1 day re-scaled to 10 days;










(b)


10 days with overlapping periods;










(c)


10 days other methodology.




The institution shall use column 0020 to clarify the answer given in column 0010.




0090


SVaR Regulatory add-on


Article 366(2) of Regulation (EU) No 575/2013


Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for sVaR (at least 3) in accordance with Article 366(2) of Regulation (EU) No 575/2013. The regulatory add-on is the sum of 3, backtesting add-on and qualitative add-on (if applicable).
The institution shall use column 0020 to clarify the answer given in column 0010.




0100


SVaR period


Article 365(2) of Regulation (EU) No 575/2013


One of the following shall be reported in column 0010:






(a)


Daily computation of the stressed VaR calibrated to one continuous 12-month period starting from the date specified in column 0020;










(b)


Weekly computation of the stressed VaR calibrated to one continuous 12-month period starting from the date specified in column 0020;










(c)


Daily computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 0010 of C107.02 starting from the dates specified in column 0020;










(d)


Weekly computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 0010 of C107.02 starting from the dates specified in column 0020;










(e)


Maximum of daily computation of the stressed VaR calibrated to more than one single 12-month period;










(f)


Maximum of weekly computation of the stressed VaR calibrated to more than one single 12-month period;










(g)


Other choices for the stressed VaR calibration (please specify).




The institution shall use column 0020 to provide the starting date in the format of “dd/mm/yyyy” in case of options (a) or (b) given in column 0010 and the starting dates in the format “dd/mm/yyyy” used for each stressed VaR computation in case of options (c) or (d) given in column 0010. The institution shall also use column 0020 to clarify the 12-month period used for each stressed VaR computation in case of options (e), (f) and (g) given in column 0010.





C 107.02 –   VaR, sVaR and PV - Non-CTP. EBA portfolio currency results.

Instructions concerning sheets (z-axis)







Label


Legal reference


Instructions




Portfolio


Sections 3, 4 and 5 of Annex V


The portfolio number taken from Annex V shall be reported.















Column


Label


Legal reference


Instructions




0010


Date


 


VaR, sVaR and Present Value (PV) results shall be reported for all the 10 business days between the “RM initial reference date” and the “RM (and final ASA) final reference date”, as specified in Section 1, point (b), of Annex V. The “dd/mm/yyyy” convention shall be adopted to report the dates.




0020


VaR


Article 365 of Regulation (EU) No 575/2013


The 10-day regulatory VaR obtained for each portfolio, without applying the “at least 3” regulatory multiplication factor, shall be reported.
Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a VaR on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).




0030


sVaR


Article 365 of Regulation (EU) No 575/2013


The 10-day regulatory sVaR obtained for each portfolio, without applying the “at least 3” regulatory multiplication factor, shall be reported.
Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a sVaR on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).




0040


PV


 


The present value (PV) for each portfolio shall be reported.
Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a PV on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).





C 108.00 –   Profit & Loss Time Series

Template C 108.00 (“Profit & Loss Time Series”) shall be completed only by institutions that calculate VaR using historical simulation.
Instructions concerning sheets (z-axis)







Label


Legal reference


Instructions




Portfolio


Sections 3, 4 and 5 of Annex V


The portfolio number taken from Annex V shall be reported.















Column


Label


Legal reference


Instructions




0010


Date


Article 365(1) point (d), of Regulation (EU) No 575/2013


On each business day, determined in accordance with the calendar in the institution’s jurisdiction, institutions shall provide the P&L series used to calculate VaR in C107.02 column 0010 with a minimum of 250 observations starting from the “RM (and final ASA) final reference date”, as specified in Section 1, point (b)(v), of Annex V, and going backward.




0020


Daily P&L


 


Institutions that calculate VaR using historical simulation shall fill the full length historic series used by the institution, with a minimum of one-year data series, with the portfolio valuation change (i.e. daily P&L) produced by using historically simulated daily risk factor changes (i.e. the daily P&L series used to derive the regulatory 1-day VaR).
In case a day is a bank holiday in the relevant jurisdiction, this cell shall be left blank (i.e. a zero P&L shall be reported only where there was no change in the hypothetical value of the portfolio on a given business day).





C 109.01 –   IRC. Details of the Model









Row


Label


Legal reference


Instructions




0010


Number of modelling factors


 


EBA/GL/2012/3
The number of modelling factors at the overall IRC model level shall be reported. The answer shall be one of the following:






(a)


1 modelling factor;










(b)


2 modelling factors;










(c)


More than 2 modelling factors.




The institution shall use column 0020 to clarify the answer given in column 0010.




0020


Source of LGDs


 


EBA/GL/2012/3
The source of LGDs at the overall IRC Model level shall be reported. The answer shall be one of the following:






(a)


Market convention;










(b)


LGD used in IRB;










(c)


Other source of LGD (please specify).




The institution shall use column 0020 to clarify the answer given in column 0010. In case option (c) was selected in column 0010, the institution shall provide details in this column.





C 109.02 –   IRC. Details by Portfolio

Instructions concerning sheets (z-axis)







Label


Legal reference


Instructions




Portfolio


Sections 3, 4 and 5 of Annex V


The portfolio number taken from Annex V, only for those portfolios where IRC is requested, shall be reported.















Row


Label


Legal reference


Instructions




0010


Liquidity Horizon


Article 374(5) of Regulation (EU) No 575/2013


EBA/GL/2012/3
The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following:






(a)


Up to 3 months;










(b)


More than 3 and up to 6 months;










(c)


More than 6 and up to 9 months;










(d)


More than 9 and up to 12 months.








0020


Source of PDs


 


EBA/GL/2012/3
The source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following:






(a)


Rating agencies;










(b)


IRB;










(c)


Market implied PDs;










(d)


Other source of PDs (please specify).




The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in this column 0020.




0030


Source of transition matrices


 


EBA/GL/2012/3
The source of transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following:






(a)


Rating agencies;










(b)


IRB;










(c)


Market implied transition matrices;










(d)


Other sources of transition matrices (please specify).




The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in this column 0020.





C 109.03 –   IRC. Amount by Portfolio/Date.

Instructions concerning sheets (z-axis)







Label


Legal reference


Instructions




Portfolio


Sections 3, 4 and 5of Annex V


The portfolio number taken from Annex V, only for those portfolios where IRC is requested, shall be reported.















Column


Label


Legal reference


Instructions




0010


Date


 


IRC shall be reported for all the 10 business days between the “RM initial reference date” and the “RM (and final ASA) final reference date”, as specified in Section 1, point (b), of Annex V. The “dd/mm/yyyy” convention shall be adopted to report the dates.




0020


IRC


Articles 372 to 376 of Regulation (EU) No 575/2013


EBA/GL/2012/3
The regulatory IRC obtained for each portfolio shall be reported.
Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate an IRC on the date reported in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).





C 110.01 –   CT. Details of the Model.









Row


Label


Legal reference


Instructions




0010


Number of modelling factors


Article 377 of Regulation (EU) No 575/2013


The number of modelling factors at the overall correlation trading model level shall be reported. The answer shall be one of the following:






(a)


1 modelling factor;










(b)


2 modelling factors;










(c)


More than 2 modelling factors.




The institution shall use column 0020 where it wants to clarify the answer given in column 0010.




0020


Source of LGDs


Article 377 of Regulation (EU) No 575/2013


The source of LGDs at the overall correlation trading model level shall be reported. The answer shall be one of the following:






(a)


Market convention;










(b)


LGD used in IRB;










(c)


Other sources of LGD (please specify).




The institution shall use column 0020 to clarify the answer given in column 0010. In case option (c) was selected in column 0010, the institution shall provide details in this column.





C 110.02 –   CT. Details by Portfolio.

Instructions concerning sheets (z-axis)







Label


Legal reference


Instructions




Portfolio


Sections 3, 4 and 5 of Annex V


The portfolio number taken from Annex V, only for those portfolios where APR is requested, shall be reported.















Row


Label


Legal reference


Instructions




0010


Liquidity horizon


Article 377(2) of Regulation (EU) No 575/2013


The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following:






(a)


Up to 3 months;










(b)


More than 3 and up to 6 months;










(c)


More than 6 and up to 9 months;










(d)


More than 9 and up to 12 months.








0020


Source of PDs


Article 377 of Regulation (EU) No 575/2013


The source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following:






(a)


Rating agencies;










(b)


IRB;










(c)


Market implied PDs;










(d)


Other source of PDs (please specify).




The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020.




0030


Source of transition matrices


Article 377 of Regulation (EU) No 575/2013


The source of the transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following:






(a)


Rating agencies;










(b)


IRB;










(c)


Market implied transition matrices;










(d)


Other source of transition matrices (please specify).




The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020.





C 110.03 –   CT. APR by Portfolio/Date

Instructions concerning sheets (z-axis)







Label


Legal reference


Instructions




Portfolio


Section 3, 4 and 5 of Annex V


The portfolio number taken from Annex V, only for those portfolios where APR is requested, shall be reported















Column


Label


Legal reference


Instructions




0010


Date


Article 377 of Regulation (EU) No 575/2013


All price risk (“APR”) shall be reported for all the 10 business days between the “RM initial reference date” and the “RM (and final ASA) final reference date” as referred to in Section 1, point (b), of Annex V. The “dd/mm/yyyy” convention shall be adopted to report the dates.




0060


APR


Article 377 of Regulation (EU) No 575/2013


The results obtained by applying the regulatory correlation trading model to each portfolio shall be reported.
Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not use a correlation trading model on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).





C 120.01 –   SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO

Institutions shall report, instrument by instrument, the sensitivities towards the risk factors that the instrument is exposed to. One row shall be reported per risk factor/sensitivity. The upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Article 325g of Regulation (EU) No 575/2013 shall be reported in individual rows. All values shall refer to the “RM (and final ASA) final reference date” (as defined in Section 1, point (b)(v), of Annex V to this Regulation). Institutions shall report each combination of Portfolio, Instrument number (column 0010), Risk identifier (column 0020), Bucket (column 0030) and Additional identifier (column 0040) only once.
Instructions concerning sheets (z-axis)







Label


Legal reference


Instructions




Portfolio


Sections 3, 4 and 5 of Annex V


The number of the portfolio taken from Annex V shall be reported.















Column


Label


Legal reference


Instructions




0010


Instrument number


Section 2 of Annex V


The instrument number taken from Annex V shall be reported.




0020


Risk factor identifier


Articles 325l, 325m, 325n, 325o, 325p, 325q of Regulation (EU) No 575/2013


The risk factor identifier as specified in the table at the end of this Annex shall be reported.




0030


Bucket


Article 325d(3) of Regulation (EU) No 575/2013


The bucket shall be reported, where the risk factor identifier selected in column 0020 corresponds to the risk class:






—


General interest rate risk. The answer shall be the name of the currency of the relevant risk-free rate, inflation or cross-currency-basis risk factor (following the ISO 4217 currency designation, e.g. “EUR”).










—


Credit spread risk for non-securitisation. The answer shall be the bucket number in Article 325ah (1), Table 4, of Regulation (EU) No 575/2013.










—


Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR). The answer shall be the bucket number in Article 325am (1), Table 7, of that Regulation.










—


Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR). The answer shall be the bucket number in Article 325ak, Table 6, of that Regulation .










—


Equity risk. The answer shall be the bucket number in Article 325ap (1), Table 8, of that Regulation.










—


Commodity risk. The answer shall be the bucket number in Article 325as, Table 9, of that Regulation.










—


FX risk and the components Delta or Curvature. The answer shall the name of the currency (e.g. “USD”, the reported currency codes shall follow the ISO 4217 currency designation),










—


FX risk and the component Vega. The answer shall be the name of the currency pair (e.g. “EUR_USD”, the reported currency codes shall follow the ISO 4217 currency designation).








0040


Additional identifier1


Articles 325l to 325q and 325ai of Regulation (EU) No 575/2013


The following information distinguishing the risk factor at intra-bucket level shall be reported. Where the risk factor identifier selected in column 0020 corresponds to the risk class:






—


General interest rate risk and the component Delta, the answer shall be the name of the risk-free curve or another corresponding unique identifier.










—


Credit spread risk for non-securitisation or the risk class credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR), the answer shall be the issuer name or another corresponding unique identifier and it shall be identical for any two reported sensitivities towards two risk factors that receive a correlation parameter ρkl
(name) equal to 1 in accordance with to Article 325ai(1) of Regulation (EU) No 575/2013.










—


Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR), the answer shall be tranche name or another corresponding unique identifier.










—


Equity risk, the answer shall be the equity issuer name or a corresponding unique identifier.










—


Commodity risk, the answer shall be the name of the commodity or another corresponding unique identifier.




Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable.




0060


Risk sensitivity (Reporting currency results)


Article 325d(2) and Articles 325g, 325r, 325s, 325t and 325ax of Regulation (EU) No 575/2013


Risk sensitivities (delta / vega sensitivities and curvature risk positions) shall be reported at the level of each instrument for all relevant risk factors as specified in the columns 0020 to 0040. The values shall be reported in the institution’s reporting currency. Where the risk factor identifier selected in column 0020 corresponds to the:






—


Delta risk component of the sensitivities-based method, the net sensitivity to the risk factor (Sk) as specified in Article 325r of Regulation (EU) No 575/2013 shall be reported. Where institutions have obtained permission from their competent authority to use alternative calculations of delta risk sensitivities in accordance with Article 325t(5) of that Regulation, they shall refer to these alternative definitions for the reporting.










—


Vega risk component of the sensitivities-based method, the vega risk sensitivity of an option to a given risk factor (Sk) as specified in Article 325s of Regulation (EU) No 575/2013 shall be reported. Where institutions have obtained permission from their competent authority to use alternative calculations of vega risk sensitivities in accordance with Article 325t(6) of that Regulation, they shall refer to those alternative calculations for the reporting. Regardless of whether the calculation of Article 325s or an alternative calculation in accordance with Article 325t(6) of that Regulation is used by the institution, the sensitivity shall be reported after weighting it by the corresponding implied volatility.










—


Curvature risk component of the sensitivities-based method, the upward net curvature risk position of that risk factor (CVRk
+) or the downward net curvature risk position of that risk factor (CVRk
-) as specified in Article 325g of Regulation (EU) No 575/2013 shall be reported.




The reported figure shall be expressed as a decimal with a minimum precision of two decimal places.
Zero values shall be reported only where the result of the calculation is actually zero.




0070


Reporting currency


 


The name of the reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation, e.g. “EUR”).




0080


Risk sensitivity (EBA portfolio currency results)


Sections 3 and 4 of Annex V to this Regulation and Article 325d(2) and Articles 325g, 325r, 325s, , 325t and 325ax of Regulation (EU) No 575/2013


The values shall be reported following the instructions for column 0060 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation.




0090


Risk weight


Part Three, Title IV, Chapter 1a, Section 6, of Regulation (EU) No 575/2013


The risk weight corresponding to the risk factor as specified in the columns 0020 to 0040 shall be reported. Where the risk factor identifier selected in column 0020 corresponds to the Curvature risk component, the risk weight used to determine the applicable relative shift shall be reported.
The reported figure shall be expressed as a decimal with a minimum precision of four decimal places.




0110


Additional identifier2


Article 325p(2) of Regulation (EU) No 575/2013


Where the risk factor identifier selected in column 0010 corresponds to the risk class Commodity risk and the Delta risk component of the sensitivities-based method, the answer shall be the set of legal terms regarding the delivery location or another corresponding unique identifier.
Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable.




0120


Credit quality category


Article 325m(1) and Article 325ah(1) of Regulation (EU) No 575/2013


Where the risk factor identifier selected in column 0010 corresponds to the risk class Credit spread risk for non-securitisation and the Delta risk component of the sensitivities-based method, the answer shall be one of the following:






(a)


“CQS 1”;










(b)


“CQS 2”;










(c)


“CQS 3”;










(d)


“CQS 4”;










(e)


“CQS 5”;










(f)


“CQS 6”;










(g)


“No CQS assigned (unrated)”.




Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable.





C 120.02 –   SBM. OFR COMPOSITION BY PORTFOLIO

Instructions concerning sheets (z-axis)







Label


Legal reference


Instructions




Portfolio


Sections 3, 4 and 5 of Annex V


The number of the portfolio taken from Annex V shall be reported.















Column


Label


Legal reference


Instructions




0010


Risk class


Article 325d(1) of Regulation (EU) No 575/2013


The risk class shall be reported. The answer shall be one of the following:






(a)


“General interest rate risk (GIRR)”;










(b)


“Credit spread risk.Non-securitisations CSR” (credit spread risk (CSR) for non-securitisation);










(c)


“Credit spread risk.Non-ACTP CSR” (credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR));










(d)


“Credit spread risk.ACTP CSR” (credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR));










(e)


“Equity risk”;










(f)


“Commodities risk”;










(g)


“Foreign-exchange risk”.








0020


Component


Article 325e(1) of Regulation (EU) No 575/2013


The component of the sensitivities-based method shall be reported. The answer shall be one of the following:






(a)


“Delta risk”;










(b)


“Vega risk”;










(c)


“Curvature risk”;








0030


Correlation scenario


Article 325h of Regulation (EU) No 575/2013


The correlation scenario shall be reported. The answer shall be one of the following:






(a)


“Medium correlation scenario”;










(b)


“High correlation scenario”;










(c)


“Low correlation scenario”.








0040


Own funds requirements (Reporting currency results)


Article 325h of Regulation (EU) No 575/2013


Own funds requirements values shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio for all relevant combinations of risk class, component and correlation scenario. The values shall be reported in the institution’s reporting currency and shall be expressed with a minimum precision of two decimal places.




0050


Reporting currency


 


The reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation).




0060


Own funds requirements (EBA portfolio currency results)


Sections 3 and 4 of Annex V to this Regulation and Article 325h of Regulation (EU) No 575/2013


The values shall be reported following the instructions for column 0040 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation.




0070


Positions without optionality subjected to curvature risk own funds requirements


Article 325e(3) of Regulation (EU) No 575/2013


Where the component in column 0020 corresponds to curvature risk:






(a)


“TRUE” shall be reported if the institution applies the approach set out in Article 325e(3), first subparagraph of Regulation (EU) No 575/2013 in calculating the result reported in columns 0040 and 0060.










(b)


“FALSE” shall be reported otherwise.




“FALSE” shall also be reported where none of those cases applies.




0080


Base currency approach applied for foreign-exchange risk delta and curvature


Article 325q(7) of Regulation (EU) No 575/2013


Where the risk class in column 0010 corresponds to foreign-exchange risk and the component in column 0020 corresponds to delta risk or curvature risk:






(a)


“TRUE” shall be reported if the institution applies the approach set out Article 325q(7) of Regulation (EU) No 575/2013 in calculating the result reported in columns 0040 and 0060.










(b)


“FALSE” shall be reported otherwise.




“FALSE” shall also be reported where none of those cases applies.




0090


Division of curvature risk components for foreign-exchange risk by scalar


Article 325q(6) of Regulation (EU) No 575/2013


Where the risk class in column 0010 corresponds to foreign-exchange risk and the component in column 0020 corresponds to curvature risk:






(a)


“TRUE” shall be reported if the institution applies the approach set out Article 325q(6) of Regulation (EU) No 575/2013 in calculating the result reported in columns 0040 and 0060.










(b)


“FALSE” shall be reported otherwise.




“FALSE” shall also be reported where none of those cases applies.




0095


Submission of SBM validation portfolio results


Article 325e(1) of Regulation (EU) No 575/2013


Where the portfolio for which information is reported is an SBM validation portfolio as referred to in Section 7 of Annex V:






(a)


“Submitted” shall be reported if the institution submits results corresponding to this portfolio;










(b)


“Not submitted - no exposure to risk factor” shall be reported if the institution chooses not to submit results for the relevant SBM validation portfolio, as there is no internal approval by the management of that institution to operate in instruments that would generate exposure towards the relevant risk factor.




“Not applicable” shall be reported where the portfolio for which information is reported is a portfolio as referred to in Sections 3, 4 or 5 of Annex V.




0100


Free text box


 


An institution may provide any additional information in this column.





C 120.04 –   DRC. MARKET VALUES AND GROSS JTD AMOUNTS BY INSTRUMENT/PORTFOLIO

Institutions shall report, instrument by instrument, the exposures corresponding to the instrument. One row shall be reported per exposure. All values shall refer to the “RM (and final ASA) final reference date” (as defined in Section 1, point (b)(v), of Annex V to this Regulation). Exposures shall be reported before any offsetting has taken place but after replication or decomposition steps (as defined in Articles 325z and 325ac of Regulation (EU) No 575/2013), where applicable.
Instructions concerning sheets (z-axis)







Label


Legal reference


Instructions




Portfolio


Sections 3, 4 and 5 of Annex V


The number of the portfolio taken from Annex V shall be reported.















Column


Label


Legal reference


Instructions




0010


Instrument number


Section 2 of Annex V


The instrument number taken from Annex V shall be reported.




0020


Risk class


Article 325v(2) of Regulation (EU) No 575/2013


The risk class for which the default risk requirement (DRC) is reported in columns 0030 and 0040 shall be reported. The answer shall be one of the following instrument types:






(a)


“Instruments other than securitisation positions”;










(b)


“Securitisation positions that are not included in the ACTP”;










(c)


“Securitisation positions that are included in the ACTP”.








0030


Bucket1


Article 325y(3), Article 325aa(4) and Article 325ad(2) of Regulation (EU) No 575/2013


The bucket shall be reported.
Where the risk class reported in column 0020 corresponds to “non-securitisations“, the answer shall be one of the following:






(a)


“Corporates”;










(b)


“Sovereigns”;










(c)


“Local governments/municipalities”.




Where instead the risk class reported in column 0020 corresponds to “securitisations that are not included in the ACTP”, the answer shall be (a) above or one of the following:






(d)


“ABCP - Asia”;










(e)


“ABCP - Europe”;










(f)


“ABCP - North America”;










(g)


“ABCP - Rest of the world”;










(h)


“Auto loans/leases - Asia”;










(i)


“Auto loans/leases - Europe”;










(j)


“Auto loans/leases - North America”;










(k)


“Auto loans/leases - Rest of the world”;










(l)


“Collateralised debt obligations squared (CDO-squared) - Asia”;










(m)


“Collateralised debt obligations squared (CDO-squared) - Europe”;










(n)


“Collateralised debt obligations squared (CDO-squared) - North America”;










(o)


“Collateralised debt obligations squared (CDO-squared) - Rest of the world”;










(p)


“Collateralised loan obligations - Asia”;










(q)


“Collateralised loan obligations - Europe”;










(r)


“Collateralised loan obligations - North America”;










(s)


“Collateralised loan obligations - Rest of the world”;










(t)


“Commercial mortgage-backed securities (CMBS) - Asia”;










(u)


“Commercial mortgage-backed securities (CMBS) - Europe”;










(v)


“Commercial mortgage-backed securities (CMBS) - North America”;










(w)


“Commercial mortgage-backed securities (CMBS) - Rest of the world”;










(x)


“Credit cards - Asia”;










(y)


“Credit cards - Europe”;










(z)


“Credit cards - North America”;










(aa)


“Credit cards - Rest of the world”;










(bb)


“Other retail - Asia”;










(cc)


“Other retail - Europe”;










(dd)


“Other retail - North America”;










(ee)


“Other retail - Rest of the world”;










(ff)


“Other wholesale - Asia”;










(gg)


“Other wholesale - Europe”;










(hh)


“Other wholesale - North America”;










(ii)


“Other wholesale - Rest of the world”;










(jj)


“Residential mortgage-backed securities (RMBS) - Asia”;










(kk)


“Residential mortgage-backed securities (RMBS) - Europe”;










(ll)


“Residential mortgage-backed securities (RMBS) - North America”;










(mm)


“Residential mortgage-backed securities (RMBS) - Rest of the world”;










(nn)


“Small and medium-sized enterprises (SMEs) - Asia”;










(oo)


“Small and medium-sized enterprises (SMEs) - Europe”;










(pp)


“Small and medium-sized enterprises (SMEs) - North America”;










(qq)


“Small and medium-sized enterprises (SMEs) - Rest of the world”;










(rr)


“Student loans - Asia”;










(ss)


“Student loans - Europe”;










(tt)


“Student loans - North America”;










(uu)


“Student loans - Rest of the world”.




Where instead the risk class reported in column 0020 corresponds to “securitisations that are included in the ACTP”, the answer shall be “securitisations that are included in the ACTP”.




0040


Bucket2


Article 325ad(2) of Regulation (EU) No 575/2013


Where the risk class reported in column 0020 corresponds to “securitisations that are included in the ACTP”, the answer shall be the name of the index, otherwise it shall report (NUL).




0050


Obligor


Article 325v(2), Article 325x(1), and Articles 325z and 325ac of Regulation (EU) No 575/2013


Institutions shall report information related to the obligor. Where the risk class reported in column 0020 corresponds to:






—


“Instruments other than securitisation positions”, the answer shall be the name of the obligor;










—


“securitisation positions that are not included in the ACTP”, the answer shall be the name of the obligor or a unique identifier denoting the underlying asset pool and tranche;










—


“securitisation positions that are included in the ACTP”, the answer shall be a unique identifier denoting index family, series and tranche.








0060


Credit quality category


Article 325y(1) and (2), Article 325aa(1) and Article 325ad(1) of Regulation (EU) No 575/2013


Institutions shall report the credit quality. The answer shall be one of the following:






(a)


“CQS 1”;










(b)


“CQS 2”;










(c)


“CQS 3”;










(d)


“CQS 4”;










(e)


“CQS 5”;










(f)


“CQS 6”;










(g)


“No CQS assigned (unrated)”;










(h)


“No CQS assigned (defaulted)”;










(i)


“No CQS assigned (0 % risk-weight”).




Where the risk class reported in column 0020 corresponds to “securitisations that are included in the ACTP” or “Securitisations that are not included in the ACTP”, the answer shall be one of the above or the following:






(j)


“CQS 7”;










(k)


“CQS 8”;










(l)


“CQS 9”;










(m)


“CQS 10”;










(n)


“CQS 11”;










(o)


“CQS 12”;










(p)


“CQS 13”;










(q)


“CQS 14”;










(r)


“CQS 15”;










(s)


“CQS 16”;










(t)


“CQS 17”;










(u)


“CQS All Other”;








0070


Default risk weight


Article 325v(1), point (f), Article 325y(1) and (2), Article 325aa(1) and Article 325ad(1) of Regulation (EU) No 575/2013


Institutions shall report the relevant risk weight. Risk weights applied to securitisation exposures shall be reported after multiplication by 8 % in accordance with Article 325aa(1) of Regulation (EU) No 575/2013.




0080


Seniority


Article 325w(3) and (6) of Regulation (EU) No 575/2013


The seniority of the exposure shall be reported. Where the risk class reported in column 0020 corresponds to “Instruments other than securitisation positions” or “securitisation positions that are not included in the ACTP”, the answer shall be one of the following:






(a)


“Equity instruments”;










(b)


“Non-senior debt instruments”;










(c)


“Senior debt instruments”;










(d)


“Covered bonds”.




The cell shall be left blank where none of those cases applies.




0090


Maturity


Articles 325x, 325z and 325ac of Regulation (EU) No 575/2013


The maturity date of the exposure shall be reported. The “dd/mm/yyyy” convention shall be adopted to report the date.




0100


Recovery rate


Article 325v(1), point (e), of Regulation (EU) No 575/2013


Institutions shall report the recovery rate. The recovery rate shall be calculated using the applicable loss given default (LGD) as recovery rate = 1 - LGD.
The recovery rate reported figure shall be expressed as a decimal value, between 0 and 1, with a minimum precision of four decimal places.




0110


Direction


Article 325v(1), points (a) and (b), of Regulation (EU) No 575/2013


Institutions shall report the direction of the exposure in accordance with the definitions of Article 325v(1), points (a) and (b), of Regulation (EU) No 575/2013. The answer shall be one of the following:






(a)


“Short exposure”;










(b)


“Long exposure”.








0120


Attachment point (%)


Articles 325aa and 325ad of Regulation (EU) No 575/2013


Where the reported exposure refers to a tranche, institutions shall report the attachment point of the tranche.
The reported figure shall be expressed as a decimal with a minimum precision of four decimal places.




0130


Detachment point (%)


Articles 325aa and 325ad of Regulation (EU) No 575/2013


Where the reported exposure refers to a tranche, institutions shall report the detachment point of the tranche.
The reported figure shall be expressed as a decimal with a minimum precision of four decimal places.




0140- 0170


Reporting currency results


 


The values shall be reported referring to the institution’s reporting currency and shall be expressed with a minimum precision of two decimal places where applicable.




0140


Notional


Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013


Where the risk class reported in column 0020 corresponds to “Instruments other than securitisation positions”, institutions shall report the notional amount of the instrument. The value shall correspond to the term Vnotional in Article 325w(1) and (2) of Regulation (EU) No 575/2013 or the term V in Article 325w(5) of that Regulation, depending on the type of exposure.
The cell shall be left blank where none of those cases applies or where the institution does not explicitly calculate or use the amount to be reported in this column in order to estimate the Gross jump-to-default (JTD) amount.




0150


P&L + Adjustment


Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013


Institutions shall report the sum of P&L and Adjustment for each exposure:






—


Where the risk class reported in column 0020 corresponds to “Instruments other than securitisation positions” and the reported exposure is a long exposure, institutions shall report the sum of P&Llong and Adjustmentlong in accordance with Article 325w(1) of Regulation (EU) No 575/2013.










—


Where the risk class reported in column 0020 corresponds to “Instruments other than securitisation positions” and the reported exposure is a short exposure, institutions shall report the sum of P&Lshort and Adjustmentshort in accordance with Article 325w(2) of that Regulation.




The cell shall be left blank where none of those cases applies or where the institution does not explicitly calculate or use the amount to be reported in this column in order to estimate the Gross JTD amount.




0160


Gross JTD amount


Article 325v(1), point (c), Article 325w(1), (2) and (5), Article 325z(1) and Article 325ac(2) of Regulation (EU) No 575/2013


Institutions shall report the gross JTD amount for the specific exposure.




0170


Currency


 


The reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation).




0180- 0200


EBA portfolio currency results


Sections 3 and 4 of Annex V to this Regulation and Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013


The values shall be reported following the instructions for column 0030 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation.




0180


Notional


Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013


Where the risk class reported in column 0020 corresponds to “Instruments other than securitisation positions”, institutions shall report the notional amount of the instrument. The value shall correspond to the term Vnotional in Article 325w(1) and (2) of Regulation (EU) No 575/2013 or the term V in Article 325w(5) of that Regulation, depending on the type of exposure.
The cell shall be left blank where none of those cases applies or where the institution does not explicitly calculate or use the amount to be reported in this column in order to estimate the Gross JTD amount.




0190


P&L + Adjustment


Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013


Institutions shall report the sum of P&L and Adjustment for each exposure:






—


Where the risk class reported in column 0020 corresponds to “Instruments other than securitisation positions” and the reported exposure is a long exposure, institutions shall report the sum of P&Llong and Adjustmentlong in accordance with Article 325w(1) of Regulation (EU) No 575/2013.










—


Where the risk class reported in column 0020 corresponds to “Instruments other than securitisation positions” and the reported exposure is a short exposure, institutions shall report the sum of P&Lshort and Adjustmentshort in accordance with Article 325w(2) of that Regulation.




The cell shall be left blank where none of those cases applies or where the institution does not explicitly calculate or use the amount to be reported in this column in order to estimate the Gross JTD amount.




0200


Gross JTD amount


Article 325v(1), point (c), Article 325w(1), (2) and (5), Article 325z(1) and Article 325ac(2) of Regulation (EU) No 575/2013


Institutions shall report the gross jump-to-default (JTD) amount for the specific exposure.





C 120.05 –   DRC. OFR COMPOSITION BY PORTFOLIO

Instructions concerning sheets (z-axis)







Label


Legal reference


Instructions




Portfolio


Sections 3, 4 and 5 of Annex V


The number of the portfolio taken from Annex V shall be reported.















Column


Label


Legal reference


Instructions




0010


Risk class


Article 325v(2) of Regulation (EU) No 575/2013


The risk class for which default risk requirement are reported in columns 0030 and 0040 shall be reported. The answer shall be one of the following instrument types:






(a)


“instruments other than securitisation positions”;










(b)


“securitisation positions that are not included in the ACTP”;










(c)


“securitisation positions that are included in the ACTP”.








0020


Bucket1


Article 325y(3), Article 325aa(4) and Article 325ad(2) of Regulation (EU) No 575/2013


The bucket shall be reported.
Where the risk class reported in column 0010 corresponds to “Instruments other than securitisation positions”, the answer shall be one of the following:






(a)


“corporates”;










(b)


“sovereigns”;










(c)


“local governments/municipalities”.




Where instead the risk class reported in column 0010 corresponds to “securitisation positions that are not included in the ACTP”, the answer shall be one of the following:






(d)


“ABCP - Asia”;










(e)


“ABCP - Europe”;










(f)


“ABCP - North America”;










(g)


“ABCP - Rest of the world”;










(h)


“Auto loans/leases - Asia”;










(i)


“Auto loans/leases - Europe”;










(j)


“Auto loans/leases - North America”;










(k)


“Auto loans/leases - Rest of the world”;










(l)


“Collateralised debt obligations squared (CDO-squared) - Asia”;










(m)


“Collateralised debt obligations squared (CDO-squared) - Europe”;










(n)


“Collateralised debt obligations squared (CDO-squared) - North America”;










(o)


“Collateralised debt obligations squared (CDO-squared) - Rest of the world”;










(p)


“Collateralised loan obligations - Asia”;










(q)


“Collateralised loan obligations - Europe”;










(r)


“Collateralised loan obligations - North America”;










(s)


“Collateralised loan obligations - Rest of the world”;










(t)


“Commercial mortgage-backed securities (CMBS) - Asia”;










(u)


“Commercial mortgage-backed securities (CMBS) - Europe”;










(v)


“Commercial mortgage-backed securities (CMBS) - North America”;










(w)


“Commercial mortgage-backed securities (CMBS) - Rest of the world”;










(x)


“Credit cards - Asia”;










(y)


“Credit cards - Europe”;










(z)


“Credit cards - North America”;










(aa)


“Credit cards - Rest of the world”;










(bb)


“Other retail - Asia”;










(cc)


“Other retail - Europe”;










(dd)


“Other retail - North America”;










(ee)


“Other retail - Rest of the world”;










(ff)


“Other wholesale - Asia”;










(gg)


“Other wholesale - Europe”;










(hh)


“Other wholesale - North America”;










(ii)


“Other wholesale - Rest of the world”;










(jj)


“Residential mortgage-backed securities (RMBS) - Asia”;










(kk)


“Residential mortgage-backed securities (RMBS) - Europe”;










(ll)


“Residential mortgage-backed securities (RMBS) - North America”;










(mm)


“Residential mortgage-backed securities (RMBS) - Rest of the world”;










(nn)


“Small and medium-sized enterprises (SMEs) - Asia”;










(oo)


“Small and medium-sized enterprises (SMEs) - Europe”;










(pp)


“Small and medium-sized enterprises (SMEs) - North America”;










(qq)


“Small and medium-sized enterprises (SMEs) - Rest of the world”;










(rr)


“Student loans - Asia”;










(ss)


“Student loans - Europe”;










(tt)


“Student loans - North America”;










(uu)


“Student loans - Rest of the world”.




Where instead the risk class reported in column 0010 corresponds to “securitisation positions that are included in the ACTP”, the answer shall be “securitisations that are included in the ACTP”.




0030


Bucket2


Article 325ad(2) of Regulation (EU) No 575/2013


Where the risk class reported in column 0010 corresponds to “securitisation positions that are included in the ACTP”, the answer shall be the name of the index, otherwise it shall be left (NUL)




0040


Own funds requirements (Reporting currency results)


Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013


Own funds requirements for default risk shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation). The values shall be reported in the institution’s reporting currency and shall be expressed with a minimum precision of two decimal places.




0050


Reporting currency


 


The reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation).




0060


Own funds requirements (EBA portfolio currency results)


Sections 3 and 4 of Annex V to this Regulation and Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013


The values shall be reported following the instructions for column 0030 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation.





C 120.06 –   ASA. OFR









Column


Label


Legal reference


Instructions




0010


Portfolio number


Sections 3, 4 and 5 of Annex V


The number of the portfolio taken from Annex V shall be reported.




0020- 0040


Reporting currency results


Sections 3 and 4 of Annex V


 




0020


SBM OFR


Article 325h of Regulation (EU) No 575/2013


Own funds requirements for the sensitivities-based method of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.




0030


DRC OFR


Article 325v of Regulation (EU) No 575/2013


Own funds requirements for the default risk requirement of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.




0040


RRAO OFR


Article 325u of Regulation (EU) No 575/2013


Own funds requirements for the residual risk add-on of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.




0050- 0070


EBA portfolio currency results


Sections 3 and 4 of Annex V


When the reporting currency of the institution is different from the EBA portfolio currencies specified in Sections 3 and 4 of Annex V, the institutions shall convert the reporting currency at the applicable ECB spot exchange rate.




0050


SBM OFR


Article 325h of Regulation (EU) No 575/2013


Own funds requirements for the sensitivities-based method of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.




0060


DRC OFR


Article 325v of Regulation (EU) No 575/2013


Own funds requirements for the default risk requirement of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.




0070


RRAO OFR


Article 325u of Regulation (EU) No 575/2013


Own funds requirements for the residual risk add-on of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.





Table: guidance for the reporting of templates 106.01 (column 0010) and 120.01 (column 0020)







—


The column “risk class” refers to Article 325d(1) of Regulation (EU) No 575/2013. The following acronyms are used to denote the risk classes:






(a)


“GIRR” (general interest rate risk);










(b)


“CSR_NON_SEC” (credit spread risk (CSR) for non-securitisation);










(c)


“CSR_SEC_NON_ACTP” (credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR));










(d)


“CSR_SEC_ACTP” (credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR));










(e)


“EQ” (equity risk);










(f)


“CM” (commodity risk);










(g)


“FX” (foreign exchange risk).














—


The column “component” refers to Article 325e(1) of Regulation (EU) No 575/2013. The following acronyms are used to denote the components of the sensitivities-based method:






(a)


“DELTA” (delta risk);










(b)


“VEGA” (vega risk);










(c)


“CURVATURE” (curvature risk).














—


The column “maturity” refers to the maturity of the risk factor, where risk factors are defined along specified vertices following Articles 325l, 325m, 325n, 325o, 325p and 325q of Regulation (EU) No 575/2013. For vega general interest rate risk factors as specified in Article 325l(7) of that Regulation two maturities are given and separated by a hyphen (e.g. “0,5 years - 0,5 years”), the first refers to the maturity of the option and the second to residual maturity of the underlying of the option at the expiry date of the option.










—


The column “additional specifications” further specifies the respective risk factor with regards to the distinction between inflation risk and cross-currency basis risk factors according to Article 325l of Regulation (EU) No 575/2013, the distinction between risk factors relating to debt instruments and risk factors relating to credit default swaps according to Articles 325m and 325n of that Regulation, the distinction between equity spot price and equity repo rate risk factors according to Article 325o of that Regulation and the distinction between the upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Article 325g of that Regulation.










Risk class


Component


Maturity


Additional specification


Risk factor identifier


Legal reference




CM


DELTA


0 years


 


CM_D_00.00


Article 325p of Regulation (EU) No 575/2013




CM


DELTA


0,25 years


 


CM_D_00.25


Article 325p of Regulation (EU) No 575/2013




CM


DELTA


0,5 years


 


CM_D_00.50


Article 325p of Regulation (EU) No 575/2013




CM


DELTA


1 year


 


CM_D_01.00


Article 325p of Regulation (EU) No 575/2013




CM


DELTA


2 years


 


CM_D_02.00


Article 325p of Regulation (EU) No 575/2013




CM


DELTA


3 years


 


CM_D_03.00


Article 325p of Regulation (EU) No 575/2013




CM


DELTA


5 years


 


CM_D_05.00


Article 325p of Regulation (EU) No 575/2013




CM


DELTA


10 years


 


CM_D_10.00


Article 325p of Regulation (EU) No 575/2013




CM


DELTA


15 years


 


CM_D_15.00


Article 325p of Regulation (EU) No 575/2013




CM


DELTA


20 years


 


CM_D_20.00


Article 325p of Regulation (EU) No 575/2013




CM


DELTA


30 years


 


CM_D_30.00


Article 325p of Regulation (EU) No 575/2013




CM


VEGA


0,5 years


 


CM_V_00.50


Article 325p of Regulation (EU) No 575/2013




CM


VEGA


1 year


 


CM_V_01.00


Article 325p of Regulation (EU) No 575/2013




CM


VEGA


3 years


 


CM_V_03.00


Article 325p of Regulation (EU) No 575/2013




CM


VEGA


5 years


 


CM_V_05.00


Article 325p of Regulation (EU) No 575/2013




CM


VEGA


10 years


 


CM_V_10.00


Article 325p of Regulation (EU) No 575/2013




CM


CURVATURE


 


Upward shift


CM_CU


Articles 325p, 325g of Regulation (EU) No 575/2013




CM


CURVATURE


 


Downward shift


CM_CD


Articles 325p, 325g of Regulation (EU) No 575/2013




CSR_NON_SEC


DELTA


0,5 years


Debt instrument


CSR_NON_SEC_D_00.50_DEBT


Article 325m of Regulation (EU) No 575/2013




CSR_NON_SEC


DELTA


1 year


Debt instrument


CSR_NON_SEC_D_01.00_DEBT


Article 325m of Regulation (EU) No 575/2013




CSR_NON_SEC


DELTA


3 years


Debt instrument


CSR_NON_SEC_D_03.00_DEBT


Article 325m of Regulation (EU) No 575/2013




CSR_NON_SEC


DELTA


5 years


Debt instrument


CSR_NON_SEC_D_05.00_DEBT


Article 325m of Regulation (EU) No 575/2013




CSR_NON_SEC


DELTA


10 years


Debt instrument


CSR_NON_SEC_D_10.00_DEBT


Article 325m of Regulation (EU) No 575/2013




CSR_NON_SEC


DELTA


0,5 years


Credit Default Swap


CSR_NON_SEC_D_00.50_CDS


Article 325m of Regulation (EU) No 575/2013




CSR_NON_SEC


DELTA


1 year


Credit Default Swap


CSR_NON_SEC_D_01.00_CDS


Article 325m of Regulation (EU) No 575/2013




CSR_NON_SEC


DELTA


3 years


Credit Default Swap


CSR_NON_SEC_D_03.00_CDS


Article 325m of Regulation (EU) No 575/2013




CSR_NON_SEC


DELTA


5 years


Credit Default Swap


CSR_NON_SEC_D_05.00_CDS


Article 325m of Regulation (EU) No 575/2013




CSR_NON_SEC


DELTA


10 years


Credit Default Swap


CSR_NON_SEC_D_10.00_CDS


Article 325m of Regulation (EU) No 575/2013




CSR_NON_SEC


VEGA


0,5 years


 


CSR_NON_SEC_V_00.50


Article 325m of Regulation (EU) No 575/2013




CSR_NON_SEC


VEGA


1 year


 


CSR_NON_SEC_V_01.00


Article 325m of Regulation (EU) No 575/2013




CSR_NON_SEC


VEGA


3 years


 


CSR_NON_SEC_V_03.00


Article 325m of Regulation (EU) No 575/2013




CSR_NON_SEC


VEGA


5 years


 


CSR_NON_SEC_V_05.00


Article 325m of Regulation (EU) No 575/2013




CSR_NON_SEC


VEGA


10 years


 


CSR_NON_SEC_V_10.00


Article 325m of Regulation (EU) No 575/2013




CSR_NON_SEC


CURVATURE


 


Upward shift


CSR_NON_SEC_CU


Articles 325m, 325g of Regulation (EU) No 575/2013




CSR_NON_SEC


CURVATURE


 


Downward shift


CSR_NON_SEC_CD


Articles 325m, 325g of Regulation (EU) No 575/2013




CSR_SEC_ACTP


DELTA


0,5 years


Debt instrument


CSR_SEC_ACTP_D_00.50_DEBT


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_ACTP


DELTA


1 year


Debt instrument


CSR_SEC_ACTP_D_01.00_DEBT


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_ACTP


DELTA


3 years


Debt instrument


CSR_SEC_ACTP_D_03.00_DEBT


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_ACTP


DELTA


5 years


Debt instrument


CSR_SEC_ACTP_D_05.00_DEBT


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_ACTP


DELTA


10 years


Debt instrument


CSR_SEC_ACTP_D_10.00_DEBT


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_ACTP


DELTA


0,5 years


Credit Default Swap


CSR_SEC_ACTP_D_00.50_CDS


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_ACTP


DELTA


1 year


Credit Default Swap


CSR_SEC_ACTP_D_01.00_CDS


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_ACTP


DELTA


3 years


Credit Default Swap


CSR_SEC_ACTP_D_03.00_CDS


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_ACTP


DELTA


5 years


Credit Default Swap


CSR_SEC_ACTP_D_05.00_CDS


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_ACTP


DELTA


10 years


Credit Default Swap


CSR_SEC_ACTP_D_10.00_CDS


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_ACTP


VEGA


0,5 years


 


CSR_SEC_ACTP_V_00.50


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_ACTP


VEGA


1 year


 


CSR_SEC_ACTP_V_01.00


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_ACTP


VEGA


3 years


 


CSR_SEC_ACTP_V_03.00


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_ACTP


VEGA


5 years


 


CSR_SEC_ACTP_V_05.00


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_ACTP


VEGA


10 years


 


CSR_SEC_ACTP_V_10.00


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_ACTP


CURVATURE


 


Upward shift


CSR_SEC_ACTP_CU


Articles 325n, 325g of Regulation (EU) No 575/2013




CSR_SEC_ACTP


CURVATURE


 


Downward shift


CSR_SEC_ACTP_CD


Articles 325n, 325g of Regulation (EU) No 575/2013




CSR_SEC_NON_ACTP


DELTA


0,5 years


Debt instrument


CSR_SEC_NON_ACTP_D_00.50_DEBT


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_NON_ACTP


DELTA


1 year


Debt instrument


CSR_SEC_NON_ACTP_D_01.00_DEBT


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_NON_ACTP


DELTA


3 years


Debt instrument


CSR_SEC_NON_ACTP_D_03.00_DEBT


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_NON_ACTP


DELTA


5 years


Debt instrument


CSR_SEC_NON_ACTP_D_05.00_DEBT


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_NON_ACTP


DELTA


10 years


Debt instrument


CSR_SEC_NON_ACTP_D_10.00_DEBT


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_NON_ACTP


DELTA


0,5 years


Credit Default Swap


CSR_SEC_NON_ACTP_D_00.50_CDS


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_NON_ACTP


DELTA


1 year


Credit Default Swap


CSR_SEC_NON_ACTP_D_01.00_CDS


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_NON_ACTP


DELTA


3 years


Credit Default Swap


CSR_SEC_NON_ACTP_D_03.00_CDS


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_NON_ACTP


DELTA


5 years


Credit Default Swap


CSR_SEC_NON_ACTP_D_05.00_CDS


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_NON_ACTP


DELTA


10 years


Credit Default Swap


CSR_SEC_NON_ACTP_D_10.00_CDS


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_NON_ACTP


VEGA


0,5 years


 


CSR_SEC_NON_ACTP_V_00.50


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_NON_ACTP


VEGA


1 year


 


CSR_SEC_NON_ACTP_V_01.00


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_NON_ACTP


VEGA


3 years


 


CSR_SEC_NON_ACTP_V_03.00


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_NON_ACTP


VEGA


5 years


 


CSR_SEC_NON_ACTP_V_05.00


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_NON_ACTP


VEGA


10 years


 


CSR_SEC_NON_ACTP_V_10.00


Article 325n of Regulation (EU) No 575/2013




CSR_SEC_NON_ACTP


CURVATURE


 


Upward shift


CSR_SEC_NON_ACTP_CU


Articles 325n, 325g of Regulation (EU) No 575/2013




CSR_SEC_NON_ACTP


CURVATURE


 


Downward shift


CSR_SEC_NON_ACTP_CD


Articles 325n, 325g of Regulation (EU) No 575/2013




EQ


DELTA


 


Spot price


EQ_D_SPOT


Article 325o of Regulation (EU) No 575/2013




EQ


DELTA


 


Repo rate


EQ_D_REPO


Article 325o of Regulation (EU) No 575/2013




EQ


VEGA


0,5 years


 


EQ_V_00.50


Article 325o of Regulation (EU) No 575/2013




EQ


VEGA


1 year


 


EQ_V_01.00


Article 325o of Regulation (EU) No 575/2013




EQ


VEGA


3 years


 


EQ_V_03.00


Article 325o of Regulation (EU) No 575/2013




EQ


VEGA


5 years


 


EQ_V_05.00


Article 325o of Regulation (EU) No 575/2013




EQ


VEGA


10 years


 


EQ_V_10.00


Article 325o of Regulation (EU) No 575/2013




EQ


CURVATURE


 


Upward shift


EQ_CU


Articles 325o, 325g of Regulation (EU) No 575/2013




EQ


CURVATURE


 


Downward shift


EQ_CD


Articles 325o, 325g of Regulation (EU) No 575/2013




FX


DELTA


 


 


FX_D


Article 325q of Regulation (EU) No 575/2013




FX


VEGA


0,5 years


 


FX_V_00.50


Article 325q of Regulation (EU) No 575/2013




FX


VEGA


1 year


 


FX_V_01.00


Article 325q of Regulation (EU) No 575/2013




FX


VEGA


3 years


 


FX_V_03.00


Article 325q of Regulation (EU) No 575/2013




FX


VEGA


5 years


 


FX_V_05.00


Article 325q of Regulation (EU) No 575/2013




FX


VEGA


10 years


 


FX_V_10.00


Article 325q of Regulation (EU) No 575/2013




FX


CURVATURE


 


Upward shift


FX_CU


Articles 325q, 325g of Regulation (EU) No 575/2013




FX


CURVATURE


 


Downward shift


FX_CD


Articles 325q, 325g of Regulation (EU) No 575/2013




GIRR


DELTA


0,25 years


 


GIRR_D_00.25


Article 325l of Regulation (EU) No 575/2013




GIRR


DELTA


0,5 years


 


GIRR_D_00.50


Article 325l of Regulation (EU) No 575/2013




GIRR


DELTA


1 year


 


GIRR_D_01.00


Article 325l of Regulation (EU) No 575/2013




GIRR


DELTA


2 years


 


GIRR_D_02.00


Article 325l of Regulation (EU) No 575/2013




GIRR


DELTA


3 years


 


GIRR_D_03.00


Article 325l of Regulation (EU) No 575/2013




GIRR


DELTA


5 years


 


GIRR_D_05.00


Article 325l of Regulation (EU) No 575/2013




GIRR


DELTA


10 years


 


GIRR_D_10.00


Article 325l of Regulation (EU) No 575/2013




GIRR


DELTA


15 years


 


GIRR_D_15.00


Article 325l of Regulation (EU) No 575/2013




GIRR


DELTA


20 years


 


GIRR_D_20.00


Article 325l of Regulation (EU) No 575/2013




GIRR


DELTA


30 years


 


GIRR_D_30.00


Article 325l of Regulation (EU) No 575/2013




GIRR


DELTA


 


Inflation


GIRR_D_INF


Article 325l of Regulation (EU) No 575/2013




GIRR


DELTA


 


Cross-currency basis (over EUR)


GIRR_D_CRO_EUR


Article 325l of Regulation (EU) No 575/2013




GIRR


DELTA


 


Cross-currency basis (over USD)


GIRR_D_CRO_USD


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


0,5 years - 0,5 years


 


GIRR_V_00.50_00.50


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


1 year - 0,5 years


 


GIRR_V_01.00_00.50


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


3 years - 0,5 years


 


GIRR_V_03.00_00.50


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


5 years - 0,5 years


 


GIRR_V_05.00_00.50


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


10 years - 0,5 years


 


GIRR_V_10.00_00.50


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


0,5 years - 1 year


 


GIRR_V_00.50_01.00


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


1 year - 1 year


 


GIRR_V_01.00_01.00


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


3 years - 1 year


 


GIRR_V_03.00_01.00


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


5 years - 1 year


 


GIRR_V_05.00_01.00


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


10 years - 1 year


 


GIRR_V_10.00_01.00


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


0,5 years - 3 years


 


GIRR_V_00.50_03.00


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


1 year - 3 years


 


GIRR_V_01.00_03.00


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


3 years - 3 years


 


GIRR_V_03.00_03.00


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


5 years - 3 years


 


GIRR_V_05.00_03.00


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


10 years - 3 years


 


GIRR_V_10.00_03.00


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


0,5 years - 5 years


 


GIRR_V_00.50_05.00


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


1 year - 5 years


 


GIRR_V_01.00_05.00


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


3 years - 5 years


 


GIRR_V_03.00_05.00


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


5 years - 5 years


 


GIRR_V_05.00_05.00


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


10 years - 5 years


 


GIRR_V_10.00_05.00


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


0,5 years - 10 years


 


GIRR_V_00.50_10.00


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


1 year - 10 years


 


GIRR_V_01.00_10.00


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


3 years - 10 years


 


GIRR_V_03.00_10.00


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


5 years - 10 years


 


GIRR_V_05.00_10.00


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


10 years - 10 years


 


GIRR_V_10.00_10.00


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


0,5 years


Inflation


GIRR_V_00.50_INF


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


1 year


Inflation


GIRR_V_01.00_INF


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


3 years


Inflation


GIRR_V_03.00_INF


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


5 years


Inflation


GIRR_V_05.00_INF


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


10 years


Inflation


GIRR_V_10.00_INF


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


0,5 years


Cross-currency basis (over EUR)


GIRR_V_00.50_CRO_EUR


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


1 year


Cross-currency basis (over EUR)


GIRR_V_01.00_CRO_EUR


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


3 years


Cross-currency basis (over EUR)


GIRR_V_03.00_CRO_EUR


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


5 years


Cross-currency basis (over EUR)


GIRR_V_05.00_CRO_EUR


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


10 years


Cross-currency basis (over EUR)


GIRR_V_10.00_CRO_EUR


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


0,5 years


Cross-currency basis (over USD)


GIRR_V_00.50_CRO_USD


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


1 year


Cross-currency basis (over USD)


GIRR_V_01.00_CRO_USD


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


3 years


Cross-currency basis (over USD)


GIRR_V_03.00_CRO_USD


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


5 years


Cross-currency basis (over USD)


GIRR_V_05.00_CRO_USD


Article 325l of Regulation (EU) No 575/2013




GIRR


VEGA


10 years


Cross-currency basis (over USD)


GIRR_V_10.00_CRO_USD


Article 325l of Regulation (EU) No 575/2013




GIRR


CURVATURE


 


Upward shift


GIRR_CU


Articles 325l, 325g of Regulation (EU) No 575/2013




GIRR


CURVATURE


 


Downward shift


GIRR_CD


Articles 325l, 325g of Regulation (EU) No 575/2013










            ’
         





ANNEX IV



‘ANNEX VII
Results Supervisory Benchmarking portfolios. MARKET RISK









RESULTS BENCHMARKING PORTFOLIOS. MARKET RISK






Template number




Template code




Name of the template /group of templates




Short name





 


 



INITIAL MARKET VALUATION



 




106,1


C 106.00


INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION


IMV




106,2


C 106.01


RISK SENSITIVITIES BY INSTRUMENT


SENSITIVITIES




 


 



VaR, sVaR and PV



 




107,1


C 107.01


DETAILS


VaR&SVaR 1




107,2


C 107.02



EBA PORTFOLIO CURRENCY RESULTS


VaR&SVaR 2




 


 



PROFIT & LOSS TIME SERIES



 




108


C 108.00


PROFIT & LOSS TIME SERIES


P&L




 


 



INCREMENTAL RISK CHARGE



 




109,1


C 109.01


IRC. DETAILS OF THE MODEL


IRC 1




109,2


C 109.02


IRC. DETAILS BY PORTFOLIO


IRC 2




109,3


C 109.03


IRC. AMOUNT BY PORTFOLIO/DATE


IRC 3




 


 



CORRELATION TRADING



 




110,1


C 110.01


CT. DETAILS OF THE MODEL


CT 1




110,2


C 110.02


CT. DETAILS BY PORTFOLIO


CT 2




110,3


C 110.03


CT. AMOUNT BY PORTFOLIO/DATE


CT 3




 


 



ASA (SBM & DRC)



 




120,1


C 120.01


SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO


SBM 1




120,2


C 120.02


SBM. OFR COMPOSITION BY PORTFOLIO


SBM 2




120,4


C 120.04


DRC. MARKET VALUES AND GROSS JTD AMOUNTS BY INSTRUMENT/PORTFOLIO


DRC 1




120,5


C 120.05


DRC. OFR COMPOSITION BY PORTFOLIO


DRC 2




120,6


C 120.06


ASA. OFR BY PORTFOLIO


ASA OFR













C 106.00 - INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION




















Instrument number




Instrument Modelled for Var + SVaR (True/False)




Instrument Modelled for IRC (True/False)




Instrument Modelled for Correlation Trading (True/False)




Rationale for Exclusion




Free text box




Initial Market Valuation





0010


0020


0030


0040


0050


0060


0070




 


 


 


 


 


 


 













C 106.01 - RISK SENSITIVITIES BY INSTRUMENT















 


 


 





Instrument number



 


 























Risk factor identifier




Bucket




Additional identifier




Risk sensitivity (Reporting currency results)




Reporting currency




Risk sensitivity (EBA instrument currency results)




Pricing model




Sensitivities definition




Free text box




Additional identifier2




Credit quality category





0010


0020


0030


0050


0060


0070


0080


0090


0100


110


120




 


 


 


 


 


 


 


 


 


 


 













C 107.01 - VaR, sVaR and PV. DETAILS
















 



Option




Free text box





0010


0020





VaR





0010



Methodology



 


 




0020



Computation of 10-day Horizon



 


 




0030



Length of observation period



 


 




0040



Data Weighting



 


 




0050



Backtesting add-on



 


 




0060



VaR Regulatory add-on



 


 





SVaR





0070



Methodology



 


 




0080



Computation of 10-day Horizon



 


 




0090



SVaR Regulatory add-on



 


 




0100



SVaR period



 


 













C 107.02 - VaR and SVaR NON-CTP. EBA PORTFOLIO CURRENCY RESULTS















 


 


 





Portfolio



 


 
















Date




VaR




sVaR




PV





0010


0020


0030


0040




 


 


 


 













C 108.00- PROFIT & LOSS TIME SERIES















 


 


 





Portfolio



 


 













Date



Daily P&L





0010


0020




 


 













C 109.01 - IRC. DETAILS OF THE MODEL
















 



Option




Free text box






Row




Item



0010


0020




0010



Number of modelling factors



 


 




0020



Source of LGDs



 


 













C 109.02 - IRC. DETAILS BY PORTFOLIO















 


 


 





Portfolio



 


 















 



Option




Free text box






Row




Item



0010


0020




0010



Liquidity Horizon



 


 




0020



Source of PDs



 


 




0030



Source of transition matrices



 


 













C 109.03 - IRC. AMOUNT BY PORTFOLIO/DATE















 


 


 





Portfolio



 


 














Date




IRC





0010


0020




 


 













C 110.01 - CT. DETAILS OF THE MODEL
















 



Option




Free text box






Row




Item



0010


0020




0010



Number of modelling factors



 


 




0020



Source of LGDs



 


 













C 110.02 - CT. DETAILS BY PORTFOLIO















 


 


 





Portfolio



 


 















 



Option




Free text box






Row




Item



0010


0020




0010



Liquidity Horizon



 


 




0020



Source of PDs



 


 




0030



Source of transition matrices



 


 













C 110.03 - CT. APR BY PORTFOLIO/DATE















 


 


 





Portfolio



 


 













Date



APR





0010


0060




 


 













C 120.01 - SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO















 


 


 





Portfolio



 


 






















Instrument number




Risk factor identifier




Bucket




Additional identifier




Risk sensitivity


(Reporting currency results)




Reporting currency




Risk sensitivity


(EBA portfolio currency results)




Risk weight




Additional identifier2




Credit quality category





0010


0020


0030


0040


0060


0070


0080


0090


110


120




 


 


 


 


 


 


 


 


 


 













C 120.02 - SBM. OFR COMPOSITION BY PORTFOLIO















 


 


 





Portfolio



 


 























Risk class




Risk Component




Correlations scenario




Own funds requirements (Reporting currency results)




Reporting currency




Own funds requirements (EBA portfolio currency results)




Positions without optionality subjected to curvature risk own funds requirements




Base currency approach applied for foreign-exchange risk delta and curvature




Division of curvature risk components for foreign-exchange risk by scalar




Submission of SBM validation portfolio results




Free text box





0010


0020


0030


0040


0050


0060


0070


0080


0090


0950


0100




 


 


 


 


 


 


 


 


 


 


 













C 120.04 - DRC. Market values and gross JTD amounts by Instrument/Portfolio















 


 


 





Portfolio



 


 




 



Integer



 
































Instrument number




Risk class




Bucket1




Bucket2




Obligor




Credit quality category




Default risk weight




Seniority




Maturity




Recovery Rate




Direction




Attachment point (%)




Detachment point (%)




Reporting currency results




EBA portfolio currency results






Notional




P&L + Adjustment




Gross JTD amount




Currency




Notional




P&L + Adjustment




Gross JTD amount





0010


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130


0140


0150


0160


0170


0180


0190


0200




 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 













C 120.05 - DRC. OFR COMPOSITION BY PORTFOLIO















 


 


 





Portfolio



 


 




 



Integer



 


















Risk class




Bucket1




Bucket2




Own funds requirements (Reporting currency results)




Reporting currency




Own funds requirements (EBA portfolio currency results)





0010


0020


0030


0040


0050


0060




 


 


 


 


 


 













C 120.06 - ASA. OFR




















Portfolio number




Reporting currency results




EBA portfolio currency results






SBM OFR




DRC OFR




RRAO OFR




SBM OFR




DRC OFR




RRAO OFR





0010


0020


0030


0040


0050


0060


0070




 


 


 


 


 


 


 






            ’
         





ANNEX V



‘ANNEX X
SBM Validation Portfolios







Sheet name




Description





Instruments


Instruments (sensitivities and curvature risk positions) for SBM validation purposes




Portfolios


SBM validation portfolios defined as combinations of the instruments defined in this Annex


















Instrument


Risk factor identifier


Bucket


Additional identifier


Additional identifier2


Credit quality category


Risk sensitivity




S_IRV_b25#


GIRR_V_10.00_10.00


USD


 


 


 


400,00 




S_IRV_b24#


GIRR_V_10.00_05.00


USD


 


 


 


200,00 




S_IRV_b23#


GIRR_V_10.00_03.00


USD


 


 


 


– 900,00 




S_IRV_b22#


GIRR_V_10.00_01.00


USD


 


 


 


950,00 




S_IRV_b21#


GIRR_V_10.00_00.50


USD


 


 


 


– 350,00 




S_IRV_b20#


GIRR_V_05.00_10.00


USD


 


 


 


1 000,00 




S_IRV_b19#


GIRR_V_05.00_05.00


USD


 


 


 


– 300,00 




S_IRV_b18#


GIRR_V_05.00_03.00


USD


 


 


 


50,00 




S_IRV_b17#


GIRR_V_05.00_01.00


USD


 


 


 


300,00 




S_IRV_b16#


GIRR_V_05.00_00.50


USD


 


 


 


–50,00 




S_IRV_e3#


GIRR_V_03.00_CRO_USD


BRL


 


 


 


500,00 




S_IRV_b15#


GIRR_V_03.00_10.00


USD


 


 


 


– 400,00 




S_IRV_b14#


GIRR_V_03.00_05.00


USD


 


 


 


700,00 




S_IRV_b13#


GIRR_V_03.00_03.00


USD


 


 


 


– 800,00 




S_IRV_b12#


GIRR_V_03.00_01.00


USD


 


 


 


700,00 




S_IRV_b11#


GIRR_V_03.00_00.50


USD


 


 


 


– 100,00 




S_IRV_e2#


GIRR_V_01.00_INF


BRL


 


 


 


750,00 




S_IRV_b10#


GIRR_V_01.00_10.00


USD


 


 


 


500,00 




S_IRV_b9#


GIRR_V_01.00_05.00


USD


 


 


 


50,00 




S_IRV_b8#


GIRR_V_01.00_03.00


USD


 


 


 


– 500,00 




S_IRV_b7#


GIRR_V_01.00_01.00


USD


 


 


 


200,00 




S_IRV_b6#


GIRR_V_01.00_00.50


USD


 


 


 


900,00 




S_IRV_b5#


GIRR_V_00.50_10.00


USD


 


 


 


100,00 




S_IRV_c5#


GIRR_V_00.50_10.00


CLP


 


 


 


– 100,00 




S_IRV_d5#


GIRR_V_00.50_10.00


EUR


 


 


 


–2 000,00 




S_IRV_b4#


GIRR_V_00.50_05.00


USD


 


 


 


100,00 




S_IRV_c4#


GIRR_V_00.50_05.00


CLP


 


 


 


100,00 




S_IRV_d4#


GIRR_V_00.50_05.00


EUR


 


 


 


1 500,00 




S_IRV_b3#


GIRR_V_00.50_03.00


USD


 


 


 


– 500,00 




S_IRV_c3#


GIRR_V_00.50_03.00


CLP


 


 


 


– 300,00 




S_IRV_d3#


GIRR_V_00.50_03.00


EUR


 


 


 


1 000,00 




S_IRV_b2#


GIRR_V_00.50_01.00


USD


 


 


 


400,00 




S_IRV_c2#


GIRR_V_00.50_01.00


CLP


 


 


 


150,00 




S_IRV_d2#


GIRR_V_00.50_01.00


EUR


 


 


 


3 750,00 




S_IRV_a1#


GIRR_V_00.50_00.50


USD


 


 


 


– 100,00 




S_IRV_b1#


GIRR_V_00.50_00.50


USD


 


 


 


700,00 




S_IRV_c1#


GIRR_V_00.50_00.50


CLP


 


 


 


300,00 




S_IRV_d1#


GIRR_V_00.50_00.50


EUR


 


 


 


–4 750,00 




S_IRV_e1#


GIRR_V_00.50_00.50


BRL


 


 


 


– 500,00 




S_IRD_b11#


GIRR_D_INF


USD


 


 


 


–50 000,00 




S_IRD_d11#


GIRR_D_INF


CLP


 


 


 


95 000,00 




S_IRD_e11#


GIRR_D_INF


EUR


DE


 


 


–65 000,00 




S_IRD_e13#


GIRR_D_INF


EUR


FR


 


 


– 100 000,00 




S_IRD_d12#


GIRR_D_CRO_USD


CLP


 


 


 


10 500,00 




S_IRD_e12#


GIRR_D_CRO_USD


EUR


 


 


 


–85 000,00 




S_IRD_b12#


GIRR_D_CRO_EUR


USD


 


 


 


–65 000,00 




S_IRD_b10#


GIRR_D_30.00


USD


OIS


 


 


–50 000,00 




S_IRD_c10#


GIRR_D_30.00


USD


Libor3m


 


 


10 000,00 




S_IRD_d10#


GIRR_D_30.00


CLP


OIS


 


 


15 000,00 




S_IRD_e10#


GIRR_D_30.00


EUR


OIS


 


 


– 120 000,00 




S_IRD_b9#


GIRR_D_20.00


USD


OIS


 


 


200 000,00 




S_IRD_c9#


GIRR_D_20.00


USD


Libor3m


 


 


–30 000,00 




S_IRD_d9#


GIRR_D_20.00


CLP


OIS


 


 


90 000,00 




S_IRD_e9#


GIRR_D_20.00


EUR


OIS


 


 


100,00 




S_IRD_b8#


GIRR_D_15.00


USD


OIS


 


 


30 000,00 




S_IRD_c8#


GIRR_D_15.00


USD


Libor3m


 


 


10 000,00 




S_IRD_d8#


GIRR_D_15.00


CLP


OIS


 


 


70 000,00 




S_IRD_e8#


GIRR_D_15.00


EUR


OIS


 


 


100,00 




S_IRD_b7#


GIRR_D_10.00


USD


OIS


 


 


2 000,00 




S_IRD_c7#


GIRR_D_10.00


USD


Libor3m


 


 


– 100 000,00 




S_IRD_d7#


GIRR_D_10.00


CLP


OIS


 


 


–25 000,00 




S_IRD_e7#


GIRR_D_10.00


EUR


OIS


 


 


100,00 




S_IRD_b6#


GIRR_D_05.00


USD


OIS


 


 


–90 000,00 




S_IRD_c6#


GIRR_D_05.00


USD


Libor3m


 


 


–35 000,00 




S_IRD_d6#


GIRR_D_05.00


CLP


OIS


 


 


–5 000,00 




S_IRD_e6#


GIRR_D_05.00


EUR


OIS


 


 


100,00 




S_IRD_b5#


GIRR_D_03.00


USD


OIS


 


 


85 000,00 




S_IRD_c5#


GIRR_D_03.00


USD


Libor3m


 


 


55 000,00 




S_IRD_d5#


GIRR_D_03.00


CLP


OIS


 


 


– 100 000,00 




S_IRD_e5#


GIRR_D_03.00


EUR


OIS


 


 


100,00 




S_IRD_b4#


GIRR_D_02.00


USD


OIS


 


 


–10 000,00 




S_IRD_c4#


GIRR_D_02.00


USD


Libor3m


 


 


10 000,00 




S_IRD_d4#


GIRR_D_02.00


CLP


OIS


 


 


5 000,00 




S_IRD_e4#


GIRR_D_02.00


EUR


OIS


 


 


100,00 




S_IRD_b3#


GIRR_D_01.00


USD


OIS


 


 


–65 000,00 




S_IRD_c3#


GIRR_D_01.00


USD


Libor3m


 


 


70 000,00 




S_IRD_d3#


GIRR_D_01.00


CLP


OIS


 


 


10 000,00 




S_IRD_e3#


GIRR_D_01.00


EUR


OIS


 


 


–50 000,00 




S_IRD_b2#


GIRR_D_00.50


USD


OIS


 


 


15 000,00 




S_IRD_c2#


GIRR_D_00.50


USD


Libor3m


 


 


–40 000,00 




S_IRD_d2#


GIRR_D_00.50


CLP


OIS


 


 


45 000,00 




S_IRD_e2#


GIRR_D_00.50


EUR


OIS


 


 


100,00 




S_IRD_a1#


GIRR_D_00.25


USD


OIS


 


 


30 000,00 




S_IRD_b1#


GIRR_D_00.25


USD


OIS


 


 


20 000,00 




S_IRD_c1#


GIRR_D_00.25


USD


Libor3m


 


 


–30 000,00 




S_IRD_d1#


GIRR_D_00.25


CLP


OIS


 


 


–30 000,00 




S_IRD_e1#


GIRR_D_00.25


EUR


OIS


 


 


100,00 




S_IRD_f1#


GIRR_D_00.25


DKK


OIS


 


 


100,00 




S_IRC_a1#


GIRR_CU


USD


 


 


 


–18 466,83 




S_IRC_b1#


GIRR_CU


USD


 


 


 


92 233,09 




S_IRC_c1#


GIRR_CU


CLP


 


 


 


–1 270,00 




S_IRC_d1#


GIRR_CU


EUR


 


 


 


– 253,12 




S_IRC_e1#


GIRR_CU


VND


 


 


 


–11 950,00 




S_IRC_a1#


GIRR_CD


USD


 


 


 


18 647,66 




S_IRC_b1#


GIRR_CD


USD


 


 


 


–93 178,71 




S_IRC_c1#


GIRR_CD


CLP


 


 


 


450,00 




S_IRC_d1#


GIRR_CD


EUR


 


 


 


–3 237,08 




S_IRC_e1#


GIRR_CD


VND


 


 


 


–4 030,00 




S_FXV_b4#


FX_V_5.00


EUR_CLP


 


 


 


200,00 




S_FXV_d4#


FX_V_5.00


CHF_VND


 


 


 


1 500,00 




S_FXV_b3#


FX_V_3.00


EUR_CLP


 


 


 


– 400,00 




S_FXV_d3#


FX_V_3.00


CHF_VND


 


 


 


1 000,00 




S_FXV_b5#


FX_V_10.00


EUR_CLP


 


 


 


150,00 




S_FXV_d5#


FX_V_10.00


CHF_VND


 


 


 


–2 000,00 




S_FXV_b2#


FX_V_1.00


EUR_CLP


 


 


 


300,00 




S_FXV_d2#


FX_V_1.00


CHF_VND


 


 


 


3 750,00 




S_FXV_a1#


FX_V_0.50


EUR_CLP


 


 


 


– 100,00 




S_FXV_b1#


FX_V_0.50


EUR_CLP


 


 


 


700,00 




S_FXV_c1#


FX_V_0.50


AUD_JPY


 


 


 


450,00 




S_FXV_d1#


FX_V_0.50


CHF_VND


 


 


 


–4 800,00 




S_FXD_a1#


FX_D


GBP


 


 


 


5 000,00 




S_FXD_b1#


FX_D


GBP


 


 


 


–8 000,00 




S_FXD_c1#


FX_D


CLP


 


 


 


3 000,00 




S_FXD_d1#


FX_D


DKK


 


 


 


1 000,00 




S_FXD_f1#


FX_D


BGN


 


 


 


1 000,00 




S_FXC_a1#


FX_CU


EUR


 


 


 


–16 037,91 




S_FXC_b1#


FX_CU


EUR


 


 


 


80 159,24 




S_FXC_c1#


FX_CU


CLP


 


 


 


– 800,00 




S_FXC_d1#


FX_CU


JPY


 


 


 


–1 472,88 




S_FXC_e1#


FX_CU


VND


 


 


 


–3 400,00 




S_FXC_f1#


FX_CU


DKK


 


 


 


–48,61 




S_FXC_a1#


FX_CD


EUR


 


 


 


16 162,18 




S_FXC_b1#


FX_CD


EUR


 


 


 


–80 723,02 




S_FXC_c1#


FX_CD


CLP


 


 


 


700,00 




S_FXC_d1#


FX_CD


JPY


 


 


 


–1 324,35 




S_FXC_e1#


FX_CD


VND


 


 


 


–2 100,00 




S_FXC_f1#


FX_CD


DKK


 


 


 


48,61 




S_EQV_a5#


EQ_V_5.00


1 


ISSUER A


 


 


100,00 




S_EQV_aa4#


EQ_V_5.00


5 


ISSUER AA


 


 


1 200,00 




S_EQV_ac1#


EQ_V_5.00


7 


ISSUER AC


 


 


–50,00 




S_EQV_ae4#


EQ_V_5.00


9 


ISSUER AE


 


 


600,00 




S_EQV_af4#


EQ_V_5.00


10 


ISSUER AF


 


 


375,00 




S_EQV_b4#


EQ_V_5.00


1 


ISSUER B


 


 


50,00 




S_EQV_f4#


EQ_V_5.00


5 


ISSUER F


 


 


450,00 




S_EQV_j4#


EQ_V_5.00


9 


ISSUER J


 


 


– 200,00 




S_EQV_k4#


EQ_V_5.00


10 


ISSUER K


 


 


– 825,00 




S_EQV_m1#


EQ_V_5.00


11 


ISSUER M


 


 


– 700,00 




S_EQV_n4#


EQ_V_5.00


12 


INDEX N


 


 


850,00 




S_EQV_o4#


EQ_V_5.00


12 


INDEX O


 


 


150,00 




S_EQV_y1#


EQ_V_5.00


3 


ISSUER Y


 


 


700,00 




S_EQV_a4#


EQ_V_3.00


1 


ISSUER A


 


 


– 500,00 




S_EQV_aa3#


EQ_V_3.00


5 


ISSUER AA


 


 


– 850,00 




S_EQV_ad1#


EQ_V_3.00


8 


ISSUER AD


 


 


300,00 




S_EQV_ae3#


EQ_V_3.00


9 


ISSUER AE


 


 


– 450,00 




S_EQV_af3#


EQ_V_3.00


10 


ISSUER AF


 


 


– 725,00 




S_EQV_b3#


EQ_V_3.00


1 


ISSUER B


 


 


– 500,00 




S_EQV_f3#


EQ_V_3.00


5 


ISSUER F


 


 


250,00 




S_EQV_j3#


EQ_V_3.00


9 


ISSUER J


 


 


– 900,00 




S_EQV_k3#


EQ_V_3.00


10 


ISSUER K


 


 


– 975,00 




S_EQV_n3#


EQ_V_3.00


12 


INDEX N


 


 


–1 250,00 




S_EQV_o3#


EQ_V_3.00


12 


INDEX O


 


 


100,00 




S_EQV_x1#


EQ_V_3.00


2 


ISSUER X


 


 


– 200,00 




S_EQV_z1#


EQ_V_3.00


4 


ISSUER Z


 


 


– 800,00 




S_EQV_a6#


EQ_V_10.00


1 


ISSUER A


 


 


100,00 




S_EQV_aa5#


EQ_V_10.00


5 


ISSUER AA


 


 


– 300,00 




S_EQV_ab1#


EQ_V_10.00


6 


ISSUER AB


 


 


– 400,00 




S_EQV_ae5#


EQ_V_10.00


9 


ISSUER AE


 


 


– 850,00 




S_EQV_af5#


EQ_V_10.00


10 


ISSUER AF


 


 


525,00 




S_EQV_b5#


EQ_V_10.00


1 


ISSUER B


 


 


500,00 




S_EQV_f5#


EQ_V_10.00


5 


ISSUER F


 


 


600,00 




S_EQV_j5#


EQ_V_10.00


9 


ISSUER J


 


 


150,00 




S_EQV_k5#


EQ_V_10.00


10 


ISSUER K


 


 


300,00 




S_EQV_n5#


EQ_V_10.00


12 


INDEX N


 


 


225,00 




S_EQV_o5#


EQ_V_10.00


12 


INDEX O


 


 


– 200,00 




S_EQV_q1#


EQ_V_10.00


13 


INDEX Q


 


 


– 800,00 




S_EQV_a3#


EQ_V_1.00


1 


ISSUER A


 


 


400,00 




S_EQV_aa2#


EQ_V_1.00


5 


ISSUER AA


 


 


– 400,00 




S_EQV_ae2#


EQ_V_1.00


9 


ISSUER AE


 


 


– 250,00 




S_EQV_af2#


EQ_V_1.00


10 


ISSUER AF


 


 


–1 150,00 




S_EQV_b2#


EQ_V_1.00


1 


ISSUER B


 


 


200,00 




S_EQV_f2#


EQ_V_1.00


5 


ISSUER F


 


 


– 750,00 




S_EQV_j2#


EQ_V_1.00


9 


ISSUER J


 


 


350,00 




S_EQV_k2#


EQ_V_1.00


10 


ISSUER K


 


 


1 050,00 




S_EQV_n2#


EQ_V_1.00


12 


INDEX N


 


 


– 800,00 




S_EQV_o2#


EQ_V_1.00


12 


INDEX O


 


 


400,00 




S_EQV_a1#


EQ_V_0.50


1 


ISSUER A


 


 


– 100,00 




S_EQV_a2#


EQ_V_0.50


1 


ISSUER A


 


 


700,00 




S_EQV_aa1#


EQ_V_0.50


5 


ISSUER AA


 


 


950,00 




S_EQV_ae1#


EQ_V_0.50


9 


ISSUER AE


 


 


50,00 




S_EQV_af1#


EQ_V_0.50


10 


ISSUER AF


 


 


– 300,00 




S_EQV_b1#


EQ_V_0.50


1 


ISSUER B


 


 


900,00 




S_EQV_c1#


EQ_V_0.50


2 


ISSUER C


 


 


– 500,00 




S_EQV_d1#


EQ_V_0.50


3 


ISSUER D


 


 


600,00 




S_EQV_e1#


EQ_V_0.50


4 


ISSUER E


 


 


– 800,00 




S_EQV_f1#


EQ_V_0.50


5 


ISSUER F


 


 


1 000,00 




S_EQV_g1#


EQ_V_0.50


6 


ISSUER G


 


 


– 400,00 




S_EQV_h1#


EQ_V_0.50


7 


ISSUER H


 


 


–50,00 




S_EQV_i1#


EQ_V_0.50


8 


ISSUER I


 


 


300,00 




S_EQV_j1#


EQ_V_0.50


9 


ISSUER J


 


 


50,00 




S_EQV_k1#


EQ_V_0.50


10 


ISSUER K


 


 


– 300,00 




S_EQV_l1#


EQ_V_0.50


11 


ISSUER L


 


 


1 000,00 




S_EQV_n1#


EQ_V_0.50


12 


INDEX N


 


 


750,00 




S_EQV_o1#


EQ_V_0.50


12 


INDEX O


 


 


– 500,00 




S_EQV_p1#


EQ_V_0.50


13 


INDEX P


 


 


40,00 




S_EQD_a1#


EQ_D_SPOT


1 


ISSUER A


 


 


16 500,00 




S_EQD_a2#


EQ_D_SPOT


1 


ISSUER A


 


 


–35 000,00 




S_EQD_b1#


EQ_D_SPOT


1 


ISSUER B


 


 


20 000,00 




S_EQD_c1#


EQ_D_SPOT


2 


ISSUER C


 


 


66 000,00 




S_EQD_d1#


EQ_D_SPOT


3 


ISSUER D


 


 


1 700,00 




S_EQD_e1#


EQ_D_SPOT


4 


ISSUER E


 


 


1 100,00 




S_EQD_f1#


EQ_D_SPOT


5 


ISSUER F


 


 


25 000,00 




S_EQD_g1#


EQ_D_SPOT


5 


ISSUER G


 


 


8 400,00 




S_EQD_h1#


EQ_D_SPOT


6 


ISSUER H


 


 


22 500,00 




S_EQD_i1#


EQ_D_SPOT


7 


ISSUER I


 


 


–12 300,00 




S_EQD_j1#


EQ_D_SPOT


8 


ISSUER J


 


 


– 450,00 




S_EQD_k1#


EQ_D_SPOT


9 


ISSUER K


 


 


– 143,00 




S_EQD_l1#


EQ_D_SPOT


9 


ISSUER L


 


 


– 143,00 




S_EQD_m1#


EQ_D_SPOT


10 


ISSUER M


 


 


– 100,00 




S_EQD_n1#


EQ_D_SPOT


10 


ISSUER N


 


 


– 100,00 




S_EQD_o1#


EQ_D_SPOT


11 


ISSUER O


 


 


–19 600,00 




S_EQD_q1#


EQ_D_SPOT


12 


INDEX Q


 


 


1 100,00 




S_EQD_r1#


EQ_D_SPOT


12 


INDEX R


 


 


–40 000,00 




S_EQD_s1#


EQ_D_SPOT


13 


INDEX S


 


 


–1 950,00 




S_EQD_s2#


EQ_D_SPOT


13 


INDEX S


 


 


280,00 




S_EQD_t2#


EQ_D_SPOT


13 


INDEX T


 


 


3 150,00 




S_EQD_u1#


EQ_D_SPOT


9 


ISSUER U


 


 


–57,00 




S_EQD_v1#


EQ_D_SPOT


10 


ISSUER V


 


 


– 100,00 




S_EQD_a3#


EQ_D_REPO


1 


ISSUER A


 


 


50 000,00 




S_EQD_aa1#


EQ_D_REPO


6 


ISSUER AA


 


 


79 000,00 




S_EQD_ab1#


EQ_D_REPO


7 


ISSUER AB


 


 


31 000,00 




S_EQD_ac1#


EQ_D_REPO


8 


ISSUER AC


 


 


–10 000,00 




S_EQD_b2#


EQ_D_REPO


1 


ISSUER B


 


 


–39 000,00 




S_EQD_f2#


EQ_D_REPO


5 


ISSUER F


 


 


90 000,00 




S_EQD_g2#


EQ_D_REPO


5 


ISSUER G


 


 


60 000,00 




S_EQD_k2#


EQ_D_REPO


9 


ISSUER K


 


 


–14 250,00 




S_EQD_l2#


EQ_D_REPO


9 


ISSUER L


 


 


– 150 000,00 




S_EQD_m2#


EQ_D_REPO


10 


ISSUER M


 


 


–85 000,00 




S_EQD_n2#


EQ_D_REPO


10 


ISSUER N


 


 


–72 000,00 




S_EQD_p1#


EQ_D_REPO


11 


ISSUER P


 


 


48 000,00 




S_EQD_q2#


EQ_D_REPO


12 


INDEX Q


 


 


85 000,00 




S_EQD_r2#


EQ_D_REPO


12 


INDEX R


 


 


–40 000,00 




S_EQD_t1#


EQ_D_REPO


13 


INDEX T


 


 


– 125 000,00 




S_EQD_x1#


EQ_D_REPO


2 


ISSUER X


 


 


75 000,00 




S_EQD_y1#


EQ_D_REPO


3 


ISSUER Y


 


 


4 800,00 




S_EQD_z1#


EQ_D_REPO


4 


ISSUER Z


 


 


–15 000,00 




S_EQC_a1#


EQ_CU


1 


ISSUER A


 


 


–37 820,00 




S_EQC_a2#


EQ_CU


1 


ISSUER A


 


 


77 655,00 




S_EQC_aa1#


EQ_CU


2 


ISSUER AA


 


 


39 300,00 




S_EQC_ab1#


EQ_CU


4 


ISSUER AB


 


 


17 262,00 




S_EQC_ac1#


EQ_CU


5 


ISSUER AC


 


 


7 139,60 




S_EQC_ad1#


EQ_CU


6 


ISSUER AD


 


 


–3 642,50 




S_EQC_ae1#


EQ_CU


7 


ISSUER AE


 


 


3 900,00 




S_EQC_af1#


EQ_CU


8 


ISSUER AF


 


 


41 550,00 




S_EQC_ag1#


EQ_CU


9 


ISSUER AG


 


 


36 860,00 




S_EQC_ah1#


EQ_CU


10 


ISSUER AH


 


 


22 150,00 




S_EQC_b1#


EQ_CU


1 


ISSUER B


 


 


20 677,50 




S_EQC_c1#


EQ_CU


2 


ISSUER C


 


 


–31 440,00 




S_EQC_d1#


EQ_CU


3 


ISSUER D


 


 


6 238,00 




S_EQC_e1#


EQ_CU


4 


ISSUER E


 


 


–21 605,00 




S_EQC_f1#


EQ_CU


5 


ISSUER F


 


 


–2 850,00 




S_EQC_g1#


EQ_CU


6 


ISSUER G


 


 


–3 642,50 




S_EQC_h1#


EQ_CU


7 


ISSUER H


 


 


–7 800,00 




S_EQC_i1#


EQ_CU


8 


ISSUER I


 


 


–29 550,00 




S_EQC_j1#


EQ_CU


9 


ISSUER J


 


 


– 216 320,00 




S_EQC_k1#


EQ_CU


10 


ISSUER K


 


 


1 950,00 




S_EQC_q1#


EQ_CU


11 


ISSUER Q


 


 


–19 142,00 




S_EQC_r1#


EQ_CU


11 


ISSUER R


 


 


28 713,00 




S_EQC_s1#


EQ_CU


3 


ISSUER S


 


 


–17 025,00 




S_EQC_t1#


EQ_CU


12 


ISSUER T


 


 


7 466,67 




S_EQC_u1#


EQ_CU


13 


ISSUER U


 


 


11 160,00 




S_EQC_v1#


EQ_CU


12 


ISSUER V


 


 


–39 200,00 




S_EQC_w1#


EQ_CU


13 


ISSUER W


 


 


–58 590,00 




S_EQC_y1#


EQ_CU


1 


ISSUER Y


 


 


–23 930,00 




S_EQC_z1#


EQ_CU


1 


ISSUER Z


 


 


–47 860,00 




S_EQC_a1#


EQ_CD


1 


ISSUER A


 


 


39 157,50 




S_EQC_a2#


EQ_CD


1 


ISSUER A


 


 


–80 349,00 




S_EQC_aa1#


EQ_CD


2 


ISSUER AA


 


 


–30 600,00 




S_EQC_ab1#


EQ_CD


4 


ISSUER AB


 


 


–9 826,00 




S_EQC_ac1#


EQ_CD


5 


ISSUER AC


 


 


–5 414,60 




S_EQC_ad1#


EQ_CD


6 


ISSUER AD


 


 


2 617,50 




S_EQC_ae1#


EQ_CD


7 


ISSUER AE


 


 


–2 720,00 




S_EQC_af1#


EQ_CD


8 


ISSUER AF


 


 


–28 250,00 




S_EQC_ag1#


EQ_CD


9 


ISSUER AG


 


 


–30 935,00 




S_EQC_ah1#


EQ_CD


10 


ISSUER AH


 


 


–15 025,00 




S_EQC_b1#


EQ_CD


1 


ISSUER B


 


 


– 238 910,00 




S_EQC_c1#


EQ_CD


2 


ISSUER C


 


 


24 480,00 




S_EQC_d1#


EQ_CD


3 


ISSUER D


 


 


–6 068,00 




S_EQC_e1#


EQ_CD


4 


ISSUER E


 


 


12 310,00 




S_EQC_f1#


EQ_CD


5 


ISSUER F


 


 


2 160,00 




S_EQC_g1#


EQ_CD


6 


ISSUER G


 


 


2 617,50 




S_EQC_h1#


EQ_CD


7 


ISSUER H


 


 


5 440,00 




S_EQC_i1#


EQ_CD


8 


ISSUER I


 


 


20 050,00 




S_EQC_j1#


EQ_CD


9 


ISSUER J


 


 


181 560,00 




S_EQC_k1#


EQ_CD


10 


ISSUER K


 


 


–2 900,00 




S_EQC_q1#


EQ_CD


11 


ISSUER Q


 


 


20 052,00 




S_EQC_r1#


EQ_CD


11 


ISSUER R


 


 


–30 078,00 




S_EQC_s1#


EQ_CD


3 


ISSUER S


 


 


–9 435,00 




S_EQC_t1#


EQ_CD


12 


ISSUER T


 


 


–7 400,00 




S_EQC_u1#


EQ_CD


13 


ISSUER U


 


 


–11 040,00 




S_EQC_v1#


EQ_CD


12 


ISSUER V


 


 


38 850,00 




S_EQC_w1#


EQ_CD


13 


ISSUER W


 


 


57 960,00 




S_EQC_y1#


EQ_CD


1 


ISSUER Y


 


 


13 590,00 




S_EQC_z1#


EQ_CD


1 


ISSUER Z


 


 


27 180,00 




S_CNV_a5#


CSR_NON_SEC_V_5.00


1 


ISSUER A


 


 


100,00 




S_CNV_b4#


CSR_NON_SEC_V_5.00


1 


ISSUER B


 


 


50,00 




S_CNV_c4#


CSR_NON_SEC_V_5.00


3 


ISSUER C


 


 


150,00 




S_CNV_hb1#


CSR_NON_SEC_V_5.00


9 


ISSUER HA


 


 


– 750,00 




S_CNV_a4#


CSR_NON_SEC_V_3.00


1 


ISSUER A


 


 


– 500,00 




S_CNV_ab1#


CSR_NON_SEC_V_3.00


2 


ISSUER AB


 


 


325,00 




S_CNV_b3#


CSR_NON_SEC_V_3.00


1 


ISSUER B


 


 


– 500,00 




S_CNV_c3#


CSR_NON_SEC_V_3.00


3 


ISSUER C


 


 


100,00 




S_CNV_v1#


CSR_NON_SEC_V_3.00


20 


INDEX V


 


 


500,00 




S_CNV_a6#


CSR_NON_SEC_V_10.00


1 


ISSUER A


 


 


100,00 




S_CNV_b5#


CSR_NON_SEC_V_10.00


1 


ISSUER B


 


 


500,00 




S_CNV_c5#


CSR_NON_SEC_V_10.00


3 


ISSUER C


 


 


– 200,00 




S_CNV_a3#


CSR_NON_SEC_V_1.00


1 


ISSUER A


 


 


400,00 




S_CNV_b2#


CSR_NON_SEC_V_1.00


1 


ISSUER B


 


 


200,00 




S_CNV_c2#


CSR_NON_SEC_V_1.00


3 


ISSUER C


 


 


400,00 




S_CNV_a1#


CSR_NON_SEC_V_0.50


1 


ISSUER A


 


 


– 100,00 




S_CNV_a2#


CSR_NON_SEC_V_0.50


1 


ISSUER A


 


 


700,00 




S_CNV_b1#


CSR_NON_SEC_V_0.50


1 


ISSUER B


 


 


900,00 




S_CNV_c1#


CSR_NON_SEC_V_0.50


3 


ISSUER C


 


 


– 500,00 




S_CNV_d1#


CSR_NON_SEC_V_0.50


4 


ISSUER D


 


 


700,00 




S_CNV_e1#


CSR_NON_SEC_V_0.50


5 


ISSUER E


 


 


– 800,00 




S_CNV_f1#


CSR_NON_SEC_V_0.50


6 


ISSUER F


 


 


700,00 




S_CNV_g1#


CSR_NON_SEC_V_0.50


7 


ISSUER G


 


 


– 400,00 




S_CNV_h1#


CSR_NON_SEC_V_0.50


8 


ISSUER H


 


 


–50,00 




S_CNV_i1#


CSR_NON_SEC_V_0.50


10 


ISSUER I


 


 


300,00 




S_CNV_j1#


CSR_NON_SEC_V_0.50


11 


ISSUER J


 


 


50,00 




S_CNV_k1#


CSR_NON_SEC_V_0.50


12 


ISSUER K


 


 


– 300,00 




S_CNV_l1#


CSR_NON_SEC_V_0.50


13 


ISSUER L


 


 


1 000,00 




S_CNV_m1#


CSR_NON_SEC_V_0.50


14 


ISSUER M


 


 


– 350,00 




S_CNV_n1#


CSR_NON_SEC_V_0.50


15 


ISSUER N


 


 


950,00 




S_CNV_o1#


CSR_NON_SEC_V_0.50


16 


ISSUER O


 


 


– 900,00 




S_CNV_p1#


CSR_NON_SEC_V_0.50


17 


ISSUER P


 


 


200,00 




S_CNV_q1#


CSR_NON_SEC_V_0.50


18 


ISSUER Q


 


 


400,00 




S_CNV_r1#


CSR_NON_SEC_V_0.50


18 


ISSUER R


 


 


– 300,00 




S_CNV_s1#


CSR_NON_SEC_V_0.50


19 


INDEX S


 


 


850,00 




S_CNV_t1#


CSR_NON_SEC_V_0.50


20 


INDEX T


 


 


– 650,00 




S_CNV_u1#


CSR_NON_SEC_V_0.50


19 


INDEX U


 


 


– 350,00 




S_CND_hb2#


CSR_NON_SEC_D_3.00_DEBT


9 


ISSUER HB


 


 


–17 000,00 




S_CND_t1#


CSR_NON_SEC_D_3.00_DEBT


3 


ISSUER T


 


 


–6 000,00 




S_CND_y1#


CSR_NON_SEC_D_3.00_DEBT


20 


INDEX Y


 


 


9 000,00 




S_CND_ab2#


CSR_NON_SEC_D_3.00_CDS


2 


ISSUER AC


 


 


14 000,00 




S_CND_b2#


CSR_NON_SEC_D_3.00_CDS


1 


ISSUER B


 


 


–17 000,00 




S_CND_w1#


CSR_NON_SEC_D_10.00_DEBT


10 


ISSUER W


 


CQS 1


9 000,00 




S_CND_a4#


CSR_NON_SEC_D_1.00_DEBT


1 


ISSUER A


 


 


–10 000,00 




S_CND_s1#


CSR_NON_SEC_D_1.00_DEBT


3 


ISSUER S


 


 


–6 000,00 




S_CND_x1#


CSR_NON_SEC_D_1.00_CDS


19 


INDEX X


 


 


–18 500,00 




S_CND_a1#


CSR_NON_SEC_D_0.50_DEBT


1 


ISSUER A


 


 


20 000,00 




S_CND_a2#


CSR_NON_SEC_D_0.50_DEBT


1 


ISSUER A


 


 


–30 000,00 




S_CND_b1#


CSR_NON_SEC_D_0.50_DEBT


1 


ISSUER B


 


 


12 000,00 




S_CND_c1#


CSR_NON_SEC_D_0.50_DEBT


3 


ISSUER C


 


 


–6 000,00 




S_CND_d1#


CSR_NON_SEC_D_0.50_DEBT


4 


ISSUER D


 


 


25 000,00 




S_CND_e1#


CSR_NON_SEC_D_0.50_DEBT


5 


ISSUER E


 


 


–4 000,00 




S_CND_f1#


CSR_NON_SEC_D_0.50_DEBT


6 


ISSUER F


 


 


–8 000,00 




S_CND_g1#


CSR_NON_SEC_D_0.50_DEBT


7 


ISSUER G


 


 


8 000,00 




S_CND_h1#


CSR_NON_SEC_D_0.50_DEBT


8 


ISSUER H


 


 


3 000,00 




S_CND_hb1#


CSR_NON_SEC_D_0.50_DEBT


9 


ISSUER HA


 


 


–23 000,00 




S_CND_i1#


CSR_NON_SEC_D_0.50_DEBT


10 


ISSUER I


 


CQS 2


–5 000,00 




S_CND_j1#


CSR_NON_SEC_D_0.50_DEBT


11 


ISSUER J


 


 


2 000,00 




S_CND_k1#


CSR_NON_SEC_D_0.50_DEBT


12 


ISSUER K


 


 


7 000,00 




S_CND_l1#


CSR_NON_SEC_D_0.50_DEBT


13 


ISSUER L


 


 


–9 000,00 




S_CND_m1#


CSR_NON_SEC_D_0.50_DEBT


14 


ISSUER M


 


 


10 000,00 




S_CND_n1#


CSR_NON_SEC_D_0.50_DEBT


15 


ISSUER N


 


 


–20 000,00 




S_CND_o1#


CSR_NON_SEC_D_0.50_DEBT


16 


ISSUER O


 


 


5 000,00 




S_CND_p1#


CSR_NON_SEC_D_0.50_DEBT


17 


ISSUER P


 


 


–3 000,00 




S_CND_q1#


CSR_NON_SEC_D_0.50_DEBT


18 


ISSUER Q


 


 


10 000,00 




S_CND_r1#


CSR_NON_SEC_D_0.50_DEBT


18 


ISSUER R


 


 


–5 000,00 




S_CND_a3#


CSR_NON_SEC_D_0.50_CDS


1 


ISSUER A


 


 


15 000,00 




S_CND_ab1#


CSR_NON_SEC_D_0.50_CDS


2 


ISSUER AB


 


 


21 000,00 




S_CND_u1#


CSR_NON_SEC_D_0.50_CDS


19 


INDEX U


 


 


–32 000,00 




S_CND_v1#


CSR_NON_SEC_D_0.50_CDS


20 


INDEX V


 


 


–13 000,00 




S_CND_x2#


CSR_NON_SEC_D_0.50_CDS


19 


INDEX X


 


 


52 500,00 




S_CNC_a1#


CSR_NON_SEC_CU


1 


ISSUER A


 


 


–2 338,64 




S_CNC_a2#


CSR_NON_SEC_CU


1 


ISSUER A


 


 


35 116,67 




S_CNC_aa1#


CSR_NON_SEC_CU


10 


ISSUER AA


 


CQS 1


–1 212,50 




S_CNC_ab1#


CSR_NON_SEC_CU


2 


ISSUER AB1


 


 


– 247,47 




S_CNC_b1#


CSR_NON_SEC_CU


1 


ISSUER B


 


 


890,91 




S_CNC_c1#


CSR_NON_SEC_CU


3 


ISSUER C


 


 


– 500,00 




S_CNC_d1#


CSR_NON_SEC_CU


4 


ISSUER D


 


 


415,00 




S_CNC_e1#


CSR_NON_SEC_CU


5 


ISSUER E


 


 


–1 050,00 




S_CNC_f1#


CSR_NON_SEC_CU


6 


ISSUER F


 


 


– 150,00 




S_CNC_g1#


CSR_NON_SEC_CU


7 


ISSUER G


 


 


– 318,75 




S_CNC_h1#


CSR_NON_SEC_CU


8 


ISSUER H


 


 


– 425,00 




S_CNC_hb1#


CSR_NON_SEC_CU


9 


ISSUER HB1


 


 


– 500,00 




S_CNC_i1#


CSR_NON_SEC_CU


10 


ISSUER I


 


CQS 2


– 937,50 




S_CNC_j1#


CSR_NON_SEC_CU


11 


ISSUER J


 


 


–4 650,00 




S_CNC_k1#


CSR_NON_SEC_CU


12 


ISSUER K


 


 


– 425,00 




S_CNC_l1#


CSR_NON_SEC_CU


13 


ISSUER L


 


 


–27 660,00 




S_CNC_m1#


CSR_NON_SEC_CU


14 


ISSUER M


 


 


– 488,00 




S_CNC_n1#


CSR_NON_SEC_CU


15 


ISSUER N


 


 


13 237,50 




S_CNC_o1#


CSR_NON_SEC_CU


16 


ISSUER O


 


 


–1 127,50 




S_CNC_p1#


CSR_NON_SEC_CU


17 


ISSUER P


 


 


–5 775,00 




S_CNC_q1#


CSR_NON_SEC_CU


18 


ISSUER Q


 


 


–7 842,00 




S_CNC_r1#


CSR_NON_SEC_CU


18 


ISSUER R


 


 


15 684,00 




S_CNC_s1#


CSR_NON_SEC_CU


4 


ISSUER S


 


 


– 750,00 




S_CNC_t1#


CSR_NON_SEC_CU


19 


ISSUER T


 


 


3 550,00 




S_CNC_u1#


CSR_NON_SEC_CU


20 


ISSUER U


 


 


1 660,00 




S_CNC_v1#


CSR_NON_SEC_CU


19 


ISSUER V


 


 


–18 637,50 




S_CNC_w1#


CSR_NON_SEC_CU


20 


ISSUER W


 


 


–8 715,00 




S_CNC_x1#


CSR_NON_SEC_CU


3 


ISSUER X


 


 


– 500,00 




S_CNC_y1#


CSR_NON_SEC_CU


1 


ISSUER Y


 


 


– 249,95 




S_CNC_z1#


CSR_NON_SEC_CU


1 


ISSUER Z


 


 


– 249,95 




S_CNC_a1#


CSR_NON_SEC_CD


1 


ISSUER A


 


 


2 363,38 




S_CNC_a2#


CSR_NON_SEC_CD


1 


ISSUER A


 


 


–35 314,65 




S_CNC_aa1#


CSR_NON_SEC_CD


10 


ISSUER AA


 


CQS 1


1 150,00 




S_CNC_ab1#


CSR_NON_SEC_CD


2 


ISSUER AB1


 


 


247,47 




S_CNC_b1#


CSR_NON_SEC_CD


1 


ISSUER B


 


 


–5 543,43 




S_CNC_c1#


CSR_NON_SEC_CD


3 


ISSUER C


 


 


500,00 




S_CNC_d1#


CSR_NON_SEC_CD


4 


ISSUER D


 


 


– 385,00 




S_CNC_e1#


CSR_NON_SEC_CD


5 


ISSUER E


 


 


575,00 




S_CNC_f1#


CSR_NON_SEC_CD


6 


ISSUER F


 


 


75,00 




S_CNC_g1#


CSR_NON_SEC_CD


7 


ISSUER G


 


 


287,50 




S_CNC_h1#


CSR_NON_SEC_CD


8 


ISSUER H


 


 


400,00 




S_CNC_hb1#


CSR_NON_SEC_CD


9 


ISSUER HB1


 


 


500,00 




S_CNC_i1#


CSR_NON_SEC_CD


10 


ISSUER I


 


CQS 2


750,00 




S_CNC_j1#


CSR_NON_SEC_CD


11 


ISSUER J


 


 


4 100,00 




S_CNC_k1#


CSR_NON_SEC_CD


12 


ISSUER K


 


 


387,50 




S_CNC_l1#


CSR_NON_SEC_CD


13 


ISSUER L


 


 


22 130,00 




S_CNC_m1#


CSR_NON_SEC_CD


14 


ISSUER M


 


 


160,00 




S_CNC_n1#


CSR_NON_SEC_CD


15 


ISSUER N


 


 


–23 437,50 




S_CNC_o1#


CSR_NON_SEC_CD


16 


ISSUER O


 


 


1 246,25 




S_CNC_p1#


CSR_NON_SEC_CD


17 


ISSUER P


 


 


6 225,00 




S_CNC_q1#


CSR_NON_SEC_CD


18 


ISSUER Q


 


 


8 752,00 




S_CNC_r1#


CSR_NON_SEC_CD


18 


ISSUER R


 


 


–17 504,00 




S_CNC_s1#


CSR_NON_SEC_CD


4 


ISSUER S


 


 


– 250,00 




S_CNC_t1#


CSR_NON_SEC_CD


19 


ISSUER T


 


 


–3 500,00 




S_CNC_u1#


CSR_NON_SEC_CD


20 


ISSUER U


 


 


–1 540,00 




S_CNC_v1#


CSR_NON_SEC_CD


19 


ISSUER V


 


 


18 375,00 




S_CNC_w1#


CSR_NON_SEC_CD


20 


ISSUER W


 


 


8 085,00 




S_CNC_x1#


CSR_NON_SEC_CD


3 


ISSUER X


 


 


500,00 




S_CNC_y1#


CSR_NON_SEC_CD


1 


ISSUER Y


 


 


– 226,77 




S_CNC_z1#


CSR_NON_SEC_CD


1 


ISSUER Z


 


 


– 226,77 




S_CMV_a5#


CM_V_5.00


1 


COAL


 


 


– 300,00 




S_CMV_b4#


CM_V_5.00


1 


URANIUM


 


 


450,00 




S_CMV_a4#


CM_V_3.00


1 


COAL


 


 


800,00 




S_CMV_b3#


CM_V_3.00


1 


URANIUM


 


 


800,00 




S_CMV_a6#


CM_V_10.00


1 


COAL


 


 


100,00 




S_CMV_b5#


CM_V_10.00


1 


URANIUM


 


 


– 250,00 




S_CMV_a3#


CM_V_1.00


1 


COAL


 


 


– 200,00 




S_CMV_b2#


CM_V_1.00


1 


URANIUM


 


 


– 750,00 




S_CMV_d1#


CM_V_1.00


2 


WTI


 


 


– 175,00 




S_CMV_f1#


CM_V_1.00


3 


FWD ELECTRICITY NE


 


 


– 450,00 




S_CMV_h1#


CM_V_1.00


4 


PANAMAX


 


 


–5 500,00 




S_CMV_j1#


CM_V_1.00


5 


COPPER


 


 


– 200,00 




S_CMV_l1#


CM_V_1.00


6 


LIQUEFIED NATURAL GAS


 


 


1 000,00 




S_CMV_n1#


CM_V_1.00


7 


SILVER


 


 


500,00 




S_CMV_p1#


CM_V_1.00


8 


CORN


 


 


–1 000,00 




S_CMV_r1#


CM_V_1.00


9 


WHEY


 


 


– 125,00 




S_CMV_t1#


CM_V_1.00


10 


RUBBER


 


 


–50,00 




S_CMV_v1#


CM_V_1.00


11 


POTASH


 


 


–1 800,00 




S_CMV_a1#


CM_V_0.50


1 


COAL


 


 


1 000,00 




S_CMV_a2#


CM_V_0.50


1 


COAL


 


 


– 350,00 




S_CMV_b1#


CM_V_0.50


1 


URANIUM


 


 


150,00 




S_CMV_c1#


CM_V_0.50


2 


BRENT


 


 


200,00 




S_CMV_e1#


CM_V_0.50


3 


SPOT ELECTRICITY SE


 


 


– 300,00 




S_CMV_g1#


CM_V_0.50


4 


SUPRAMAX


 


 


–5 000,00 




S_CMV_i1#


CM_V_0.50


5 


STEEL


 


 


550,00 




S_CMV_k1#


CM_V_0.50


6 


NATURAL GAS


 


 


400,00 




S_CMV_m1#


CM_V_0.50


7 


GOLD


 


 


– 200,00 




S_CMV_o1#


CM_V_0.50


8 


SOYBEANS


 


 


– 750,00 




S_CMV_q1#


CM_V_0.50


9 


FISH


 


 


250,00 




S_CMV_s1#


CM_V_0.50


10 


COCOA


 


 


350,00 




S_CMV_u1#


CM_V_0.50


11 


FLAT GLASS


 


 


3 000,00 




S_CMV_w1#


CM_V_0.50


4 


SUPRAMAX


 


 


–5 000,00 




S_CMV_x1#


CM_V_0.50


4 


PANAMAX


 


 


15 000,00 




S_CMD_p1#


CM_D_30.00


8 


CORN


OKLAHOMA


 


–10 000,00 




S_CMD_f1#


CM_D_3.00


3 


FWD ELECTRICITY NE


TEXAS


 


–4 500,00 




S_CMD_h1#


CM_D_3.00


4 


PANAMAX


NEW ORLEANS


 


–68 750,00 




S_CMD_n1#


CM_D_20.00


7 


SILVER


EU1


 


5 000,00 




S_CMD_r1#


CM_D_20.00


9 


WHEY


NEWCASTLE


 


–1 250,00 




S_CMD_d1#


CM_D_2.00


2 


WTI


OKLAHOMA


 


–1 750,00 




S_CMD_l1#


CM_D_15.00


6 


LIQUEFIED NATURAL GAS


OKLAHOMA


 


10 000,00 




S_CMD_t1#


CM_D_15.00


10 


RUBBER


NEWCASTLE


 


– 500,00 




S_CMD_j1#


CM_D_10.00


5 


COPPER


OKLAHOMA


 


–2 000,00 




S_CMD_v1#


CM_D_10.00


11 


POTASH


NEWCASTLE


 


–18 000,00 




S_CMD_b1#


CM_D_1.00


1 


URANIUM


OKLAHOMA


 


1 500,00 




S_CMD_g1#


CM_D_1.00


4 


SUPRAMAX


SANTOS


 


–62 500,00 




S_CMD_w1#


CM_D_1.00


4 


SUPRAMAX


SANTOS


 


–62 500,00 




S_CMD_x1#


CM_D_1.00


4 


PANAMAX


NEW ORLEANS


 


187 500,00 




S_CMD_a4#


CM_D_0.50


1 


COAL


NEWCASTLE


 


8 000,00 




S_CMD_a1#


CM_D_0.00


1 


COAL


NEWCASTLE


 


10 000,00 




S_CMD_a2#


CM_D_0.00


1 


COAL


NEWCASTLE


 


–3 500,00 




S_CMD_a3#


CM_D_0.00


1 


COAL


LONDON


 


–2 000,00 




S_CMD_c1#


CM_D_0.00


2 


BRENT


LE HAVRE


 


2 000,00 




S_CMD_e1#


CM_D_0.00


3 


SPOT ELECTRICITY SE


LONDON


 


–3 000,00 




S_CMD_i1#


CM_D_0.00


5 


STEEL


LE HAVRE


 


5 500,00 




S_CMD_k1#


CM_D_0.00


6 


NATURAL GAS


LE HAVRE


 


4 000,00 




S_CMD_m1#


CM_D_0.00


7 


GOLD


UK1


 


–2 000,00 




S_CMD_o1#


CM_D_0.00


8 


SOYBEANS


LE HAVRE


 


–7 500,00 




S_CMD_q1#


CM_D_0.00


9 


FISH


LONDON


 


2 500,00 




S_CMD_s1#


CM_D_0.00


10 


COCOA


LONDON


 


3 500,00 




S_CMD_u1#


CM_D_0.00


11 


FLAT GLASS


LONDON


 


30 000,00 




S_CMC_a1#


CM_CU


1 


COAL


 


 


17 335,00 




S_CMC_a2#


CM_CU


1 


COAL


 


 


36 936,00 




S_CMC_b1#


CM_CU


1 


URANIUM


 


 


6 635,00 




S_CMC_c1#


CM_CU


2 


BRENT


 


 


–11 600,00 




S_CMC_d1#


CM_CU


2 


WTI


 


 


–36 900,00 




S_CMC_e1#


CM_CU


3 


SPOT ELECTRICITY SE


 


 


8 563,00 




S_CMC_f1#


CM_CU


3 


FWD ELECTRICITY NE


 


 


–27 250,00 




S_CMC_g1#


CM_CU


4 


SUPRAMAX


 


 


–36 880,00 




S_CMC_h1#


CM_CU


4 


PANAMAX


 


 


29 472,00 




S_CMC_i1#


CM_CU


5 


STEEL


 


 


–5 850,00 




S_CMC_j1#


CM_CU


5 


COPPER


 


 


14 644,80 




S_CMC_k1#


CM_CU


6 


NATURAL GAS


 


 


–6 147,50 




S_CMC_l1#


CM_CU


6 


LIQUEFIED NATURAL GAS


 


 


–6 147,50 




S_CMC_m1#


CM_CU


7 


GOLD


 


 


–1 486,67 




S_CMC_n1#


CM_CU


7 


SILVER


 


 


743,33 




S_CMC_o1#


CM_CU


8 


SOYBEANS


 


 


–14 535,00 




S_CMC_p1#


CM_CU


8 


CORN


 


 


20 475,00 




S_CMC_q1#


CM_CU


9 


FISH


 


 


–19 900,00 




S_CMC_r1#


CM_CU


9 


WHEY


 


 


3 387,00 




S_CMC_s1#


CM_CU


10 


COCOA


 


 


1 005,00 




S_CMC_t1#


CM_CU


10 


RUBBER


 


 


10 892,20 




S_CMC_u1#


CM_CU


11 


FLAT GLASS


 


 


–13 790,00 




S_CMC_v1#


CM_CU


11 


POTASH


 


 


20 685,00 




S_CMC_x1#


CM_CU


9 


MILK


 


 


–6 300,00 




S_CMC_y1#


CM_CU


1 


URANIUM


 


 


–65 864,00 




S_CMC_z1#


CM_CU


4 


PANAMAX


 


 


29 472,00 




S_CMC_a1#


CM_CD


1 


COAL


 


 


–18 260,00 




S_CMC_a2#


CM_CD


1 


COAL


 


 


–37 630,00 




S_CMC_b1#


CM_CD


1 


URANIUM


 


 


–70 460,00 




S_CMC_c1#


CM_CD


2 


BRENT


 


 


8 320,00 




S_CMC_d1#


CM_CD


2 


WTI


 


 


3 550,00 




S_CMC_e1#


CM_CD


3 


SPOT ELECTRICITY SE


 


 


–8 233,00 




S_CMC_f1#


CM_CD


3 


FWD ELECTRICITY NE


 


 


16 370,00 




S_CMC_g1#


CM_CD


4 


SUPRAMAX


 


 


29 110,00 




S_CMC_h1#


CM_CD


4 


PANAMAX


 


 


–15 256,00 




S_CMC_i1#


CM_CD


5 


STEEL


 


 


4 080,00 




S_CMC_j1#


CM_CD


5 


COPPER


 


 


–10 219,80 




S_CMC_k1#


CM_CD


6 


NATURAL GAS


 


 


4 222,50 




S_CMC_l1#


CM_CD


6 


LIQUEFIED NATURAL GAS


 


 


4 222,50 




S_CMC_m1#


CM_CD


7 


GOLD


 


 


1 353,33 




S_CMC_n1#


CM_CD


7 


SILVER


 


 


– 676,67 




S_CMC_o1#


CM_CD


8 


SOYBEANS


 


 


10 435,00 




S_CMC_p1#


CM_CD


8 


CORN


 


 


–14 735,00 




S_CMC_q1#


CM_CD


9 


FISH


 


 


6 700,00 




S_CMC_r1#


CM_CD


9 


WHEY


 


 


–3 012,00 




S_CMC_s1#


CM_CD


10 


COCOA


 


 


–1 415,00 




S_CMC_t1#


CM_CD


10 


RUBBER


 


 


–7 817,20 




S_CMC_u1#


CM_CD


11 


FLAT GLASS


 


 


14 200,00 




S_CMC_v1#


CM_CD


11 


POTASH


 


 


–21 300,00 




S_CMC_x1#


CM_CD


9 


MILK


 


 


–4 700,00 




S_CMC_y1#


CM_CD


1 


URANIUM


 


 


–66 344,00 




S_CMC_z1#


CM_CD


4 


PANAMAX


 


 


–22 856,00 















Portfolio


Risk class


Component


Instruments




G000


GIRR


DELTA


S_IRD_a1#




G001


GIRR


DELTA


S_IRD_b1#




G002


GIRR


DELTA


S_IRD_b2#




G003


GIRR


DELTA


S_IRD_b3#




G004


GIRR


DELTA


S_IRD_b4#




G005


GIRR


DELTA


S_IRD_b5#




G006


GIRR


DELTA


S_IRD_b6#




G007


GIRR


DELTA


S_IRD_b7#




G008


GIRR


DELTA


S_IRD_b8#




G009


GIRR


DELTA


S_IRD_b9#




G010


GIRR


DELTA


S_IRD_b10#




G011


GIRR


DELTA


S_IRD_b11#




G012


GIRR


DELTA


S_IRD_b12#




G013


GIRR


DELTA


S_IRD_d1#




G014


GIRR


DELTA


S_IRD_d2#




G015


GIRR


DELTA


S_IRD_d3#




G016


GIRR


DELTA


S_IRD_d4#




G017


GIRR


DELTA


S_IRD_d5#




G018


GIRR


DELTA


S_IRD_d6#




G019


GIRR


DELTA


S_IRD_d7#




G020


GIRR


DELTA


S_IRD_d8#




G021


GIRR


DELTA


S_IRD_d9#




G022


GIRR


DELTA


S_IRD_d10#




G023


GIRR


DELTA


S_IRD_d11#




G024


GIRR


DELTA


S_IRD_d12#




G025


GIRR


DELTA


S_IRD_a1# S_IRD_b1#




G026


GIRR


DELTA


S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10#




G027


GIRR


DELTA


S_IRD_b1# S_IRD_c1#




G028


GIRR


DELTA


S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_c1# S_IRD_c2# S_IRD_c3# S_IRD_c4# S_IRD_c5# S_IRD_c6# S_IRD_c7# S_IRD_c8# S_IRD_c9# S_IRD_c10#




G029


GIRR


DELTA


S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11#




G030


GIRR


DELTA


S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11# S_IRD_b12#




G031


GIRR


DELTA


S_IRD_c2# S_IRD_c3# S_IRD_c6#




G032


GIRR


DELTA


S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11# S_IRD_b12# S_IRD_c1# S_IRD_c2# S_IRD_c3# S_IRD_c4# S_IRD_c5# S_IRD_c6# S_IRD_c7# S_IRD_c8# S_IRD_c9# S_IRD_c10# S_IRD_d1# S_IRD_d2# S_IRD_d3# S_IRD_d4# S_IRD_d5# S_IRD_d6# S_IRD_d7# S_IRD_d8# S_IRD_d9# S_IRD_d10# S_IRD_d11# S_IRD_d12#




G033


GIRR


DELTA


S_IRD_d1# S_IRD_d2# S_IRD_d3# S_IRD_d4# S_IRD_d5# S_IRD_d6# S_IRD_d7# S_IRD_d8# S_IRD_d9# S_IRD_d10# S_IRD_d11# S_IRD_d12# S_IRD_e1# S_IRD_e2# S_IRD_e3# S_IRD_e4# S_IRD_e5# S_IRD_e6# S_IRD_e7# S_IRD_e8# S_IRD_e9# S_IRD_e10# S_IRD_e11# S_IRD_e12# S_IRD_e13#




G034


GIRR


DELTA


S_IRD_a1# S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11# S_IRD_b12# S_IRD_c1# S_IRD_c2# S_IRD_c3# S_IRD_c4# S_IRD_c5# S_IRD_c6# S_IRD_c7# S_IRD_c8# S_IRD_c9# S_IRD_c10# S_IRD_d1# S_IRD_d2# S_IRD_d3# S_IRD_d4# S_IRD_d5# S_IRD_d6# S_IRD_d7# S_IRD_d8# S_IRD_d9# S_IRD_d10# S_IRD_d11# S_IRD_d12# S_IRD_e1# S_IRD_e2# S_IRD_e3# S_IRD_e4# S_IRD_e5# S_IRD_e6# S_IRD_e7# S_IRD_e8# S_IRD_e9# S_IRD_e10# S_IRD_e11# S_IRD_e12# S_IRD_e13# S_IRD_f1#




G035


GIRR


VEGA


S_IRV_b1#




G036


GIRR


VEGA


S_IRV_a1# S_IRV_b1#




G037


GIRR


VEGA


S_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5#




G038


GIRR


VEGA


S_IRV_b1# S_IRV_b6# S_IRV_b11# S_IRV_b16# S_IRV_b21#




G039


GIRR


VEGA


S_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5# S_IRV_b6# S_IRV_b7# S_IRV_b8# S_IRV_b9# S_IRV_b10# S_IRV_b11# S_IRV_b12# S_IRV_b13# S_IRV_b14# S_IRV_b15# S_IRV_b16# S_IRV_b17# S_IRV_b18# S_IRV_b19# S_IRV_b20# S_IRV_b21# S_IRV_b22# S_IRV_b23# S_IRV_b24# S_IRV_b25#




G040


GIRR


VEGA


S_IRV_e1# S_IRV_e2#




G041


GIRR


VEGA


S_IRV_e1# S_IRV_e3#




G042


GIRR


VEGA


S_IRV_d1# S_IRV_d2# S_IRV_d3# S_IRV_d4# S_IRV_d5#




G043


GIRR


VEGA


S_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5# S_IRV_b6# S_IRV_b7# S_IRV_b8# S_IRV_b9# S_IRV_b10# S_IRV_b11# S_IRV_b12# S_IRV_b13# S_IRV_b14# S_IRV_b15# S_IRV_b16# S_IRV_b17# S_IRV_b18# S_IRV_b19# S_IRV_b20# S_IRV_b21# S_IRV_b22# S_IRV_b23# S_IRV_b24# S_IRV_b25# S_IRV_c1# S_IRV_c2# S_IRV_c3# S_IRV_c4# S_IRV_c5#




G044


GIRR


VEGA


S_IRV_c1# S_IRV_c2# S_IRV_c3# S_IRV_c4# S_IRV_c5# S_IRV_d1# S_IRV_d2# S_IRV_d3# S_IRV_d4# S_IRV_d5#




G045


GIRR


VEGA


S_IRV_a1# S_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5# S_IRV_b6# S_IRV_b7# S_IRV_b8# S_IRV_b9# S_IRV_b10# S_IRV_b11# S_IRV_b12# S_IRV_b13# S_IRV_b14# S_IRV_b15# S_IRV_b16# S_IRV_b17# S_IRV_b18# S_IRV_b19# S_IRV_b20# S_IRV_b21# S_IRV_b22# S_IRV_b23# S_IRV_b24# S_IRV_b25# S_IRV_c1# S_IRV_c2# S_IRV_c3# S_IRV_c4# S_IRV_c5# S_IRV_d1# S_IRV_d2# S_IRV_d3# S_IRV_d4# S_IRV_d5# S_IRV_e1# S_IRV_e2# S_IRV_e3#




G046


GIRR


CURVATURE


S_IRC_b1#




G047


GIRR


CURVATURE


S_IRC_c1#




G048


GIRR


CURVATURE


S_IRC_a1# S_IRC_b1#




G049


GIRR


CURVATURE


S_IRC_d1#




G050


GIRR


CURVATURE


S_IRC_b1# S_IRC_c1#




G051


GIRR


CURVATURE


S_IRC_c1# S_IRC_e1#




G052


GIRR


CURVATURE


S_IRC_d1# S_IRC_e1#




G053


GIRR


CURVATURE


S_IRC_a1# S_IRC_a1# S_IRC_b1# S_IRC_b1# S_IRC_c1# S_IRC_c1# S_IRC_d1# S_IRC_d1# S_IRC_e1# S_IRC_e1#




G054


GIRR


ALL


S_IRD_a1# S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11# S_IRD_b12# S_IRD_c1# S_IRD_c2# S_IRD_c3# S_IRD_c4# S_IRD_c5# S_IRD_c6# S_IRD_c7# S_IRD_c8# S_IRD_c9# S_IRD_c10# S_IRD_d1# S_IRD_d2# S_IRD_d3# S_IRD_d4# S_IRD_d5# S_IRD_d6# S_IRD_d7# S_IRD_d8# S_IRD_d9# S_IRD_d10# S_IRD_d11# S_IRD_d12# S_IRD_e1# S_IRD_e2# S_IRD_e3# S_IRD_e4# S_IRD_e5# S_IRD_e6# S_IRD_e7# S_IRD_e8# S_IRD_e9# S_IRD_e10# S_IRD_e11# S_IRD_e12# S_IRD_e13# S_IRD_f1# S_IRV_a1# S_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5# S_IRV_b6# S_IRV_b7# S_IRV_b8# S_IRV_b9# S_IRV_b10# S_IRV_b11# S_IRV_b12# S_IRV_b13# S_IRV_b14# S_IRV_b15# S_IRV_b16# S_IRV_b17# S_IRV_b18# S_IRV_b19# S_IRV_b20# S_IRV_b21# S_IRV_b22# S_IRV_b23# S_IRV_b24# S_IRV_b25# S_IRV_c1# S_IRV_c2# S_IRV_c3# S_IRV_c4# S_IRV_c5# S_IRV_d1# S_IRV_d2# S_IRV_d3# S_IRV_d4# S_IRV_d5# S_IRV_e1# S_IRV_e2# S_IRV_e3# S_IRC_a1# S_IRC_a1# S_IRC_b1# S_IRC_b1# S_IRC_c1# S_IRC_c1# S_IRC_d1# S_IRC_d1# S_IRC_e1# S_IRC_e1#




G055


GIRR


DELTA


S_IRD_e11# S_IRD_e13#




G056


GIRR


DELTA


S_IRD_e1# S_IRD_f1#




E001


EQ


DELTA


S_EQD_a2#




E002


EQ


DELTA


S_EQD_c1#




E003


EQ


DELTA


S_EQD_d1#




E004


EQ


DELTA


S_EQD_e1#




E005


EQ


DELTA


S_EQD_f1#




E006


EQ


DELTA


S_EQD_h1#




E007


EQ


DELTA


S_EQD_i1#




E008


EQ


DELTA


S_EQD_j1#




E009


EQ


DELTA


S_EQD_k1#




E010


EQ


DELTA


S_EQD_m1#




E011


EQ


DELTA


S_EQD_o1#




E012


EQ


DELTA


S_EQD_q1#




E013


EQ


DELTA


S_EQD_s1#




E014


EQ


DELTA


S_EQD_a3#




E015


EQ


DELTA


S_EQD_x1#




E016


EQ


DELTA


S_EQD_y1#




E017


EQ


DELTA


S_EQD_z1#




E018


EQ


DELTA


S_EQD_f2#




E019


EQ


DELTA


S_EQD_aa1#




E020


EQ


DELTA


S_EQD_ab1#




E021


EQ


DELTA


S_EQD_ac1#




E022


EQ


DELTA


S_EQD_k2#




E023


EQ


DELTA


S_EQD_m2#




E024


EQ


DELTA


S_EQD_p1#




E025


EQ


DELTA


S_EQD_q2#




E026


EQ


DELTA


S_EQD_t1#




E027


EQ


DELTA


S_EQD_a1# S_EQD_a2#




E028


EQ


DELTA


S_EQD_a2# S_EQD_a3#




E029


EQ


DELTA


S_EQD_a2# S_EQD_b1#




E030


EQ


DELTA


S_EQD_a2# S_EQD_b2#




E031


EQ


DELTA


S_EQD_f1# S_EQD_f2#




E032


EQ


DELTA


S_EQD_f1# S_EQD_g1#




E033


EQ


DELTA


S_EQD_f1# S_EQD_g2#




E034


EQ


DELTA


S_EQD_k1# S_EQD_k2#




E035


EQ


DELTA


S_EQD_k1# S_EQD_l1#




E036


EQ


DELTA


S_EQD_k1# S_EQD_l2#




E037


EQ


DELTA


S_EQD_m1# S_EQD_m2#




E038


EQ


DELTA


S_EQD_m1# S_EQD_n1#




E039


EQ


DELTA


S_EQD_m1# S_EQD_n2#




E040


EQ


DELTA


S_EQD_o1# S_EQD_p1#




E041


EQ


DELTA


S_EQD_q1# S_EQD_q2#




E042


EQ


DELTA


S_EQD_q1# S_EQD_r1#




E043


EQ


DELTA


S_EQD_s1# S_EQD_t1#




E044


EQ


DELTA


S_EQD_s1# S_EQD_t1# S_EQD_t2#




E045


EQ


DELTA


S_EQD_a2# S_EQD_c1# S_EQD_d1# S_EQD_e1# S_EQD_f1# S_EQD_h1# S_EQD_i1# S_EQD_j1# S_EQD_k1# S_EQD_m1#




E046


EQ


DELTA


S_EQD_a2# S_EQD_o1#




E047


EQ


DELTA


S_EQD_q1# S_EQD_s1#




E048


EQ


DELTA


S_EQD_a2# S_EQD_q1#




E049


EQ


DELTA


S_EQD_k1# S_EQD_l1# S_EQD_m1# S_EQD_n1# S_EQD_q1# S_EQD_s2# S_EQD_u1# S_EQD_v1#




E050


EQ


DELTA


S_EQD_a1# S_EQD_a2# S_EQD_a3# S_EQD_b1# S_EQD_b2# S_EQD_c1# S_EQD_x1# S_EQD_d1# S_EQD_y1# S_EQD_e1# S_EQD_z1# S_EQD_f1# S_EQD_f2# S_EQD_g1# S_EQD_g2# S_EQD_h1# S_EQD_aa1# S_EQD_i1# S_EQD_ab1# S_EQD_j1# S_EQD_ac1# S_EQD_k1# S_EQD_k2# S_EQD_l1# S_EQD_l2# S_EQD_m1# S_EQD_m2# S_EQD_n1# S_EQD_n2# S_EQD_o1# S_EQD_p1# S_EQD_q1# S_EQD_q2# S_EQD_r1# S_EQD_r2# S_EQD_s1# S_EQD_s2# S_EQD_t1# S_EQD_t2# S_EQD_u1# S_EQD_v1#




E051


EQ


VEGA


S_EQV_a2#




E052


EQ


VEGA


S_EQV_c1#




E053


EQ


VEGA


S_EQV_d1#




E054


EQ


VEGA


S_EQV_e1#




E055


EQ


VEGA


S_EQV_f1#




E056


EQ


VEGA


S_EQV_g1#




E057


EQ


VEGA


S_EQV_h1#




E058


EQ


VEGA


S_EQV_i1#




E059


EQ


VEGA


S_EQV_j1#




E060


EQ


VEGA


S_EQV_k1#




E061


EQ


VEGA


S_EQV_l1#




E062


EQ


VEGA


S_EQV_n1#




E063


EQ


VEGA


S_EQV_p1#




E064


EQ


VEGA


S_EQV_a1# S_EQV_a2#




E065


EQ


VEGA


S_EQV_a2# S_EQV_a3# S_EQV_a4# S_EQV_a5# S_EQV_a6#




E066


EQ


VEGA


S_EQV_a2# S_EQV_b1#




E067


EQ


VEGA


S_EQV_a1# S_EQV_a2# S_EQV_a3# S_EQV_a4# S_EQV_a5# S_EQV_a6# S_EQV_b1# S_EQV_b2# S_EQV_b3# S_EQV_b4# S_EQV_b5#




E068


EQ


VEGA


S_EQV_f1# S_EQV_f2# S_EQV_f3# S_EQV_f4# S_EQV_f5#




E069


EQ


VEGA


S_EQV_f1# S_EQV_aa1#




E070


EQ


VEGA


S_EQV_f1# S_EQV_f2# S_EQV_f3# S_EQV_f4# S_EQV_f5# S_EQV_aa1# S_EQV_aa2# S_EQV_aa3# S_EQV_aa4# S_EQV_aa5#




E071


EQ


VEGA


S_EQV_j1# S_EQV_j2# S_EQV_j3# S_EQV_j4# S_EQV_j5#




E072


EQ


VEGA


S_EQV_j1# S_EQV_ae1#




E073


EQ


VEGA


S_EQV_j1# S_EQV_j2# S_EQV_j3# S_EQV_j4# S_EQV_j5# S_EQV_ae1# S_EQV_ae2# S_EQV_ae3# S_EQV_ae4# S_EQV_ae5#




E074


EQ


VEGA


S_EQV_k1# S_EQV_k2# S_EQV_k3# S_EQV_k4# S_EQV_k5#




E075


EQ


VEGA


S_EQV_k1# S_EQV_af1#




E076


EQ


VEGA


S_EQV_k1# S_EQV_k2# S_EQV_k3# S_EQV_k4# S_EQV_k5# S_EQV_af1# S_EQV_af2# S_EQV_af3# S_EQV_af4# S_EQV_af5#




E077


EQ


VEGA


S_EQV_l1# S_EQV_m1#




E078


EQ


VEGA


S_EQV_n1# S_EQV_n2# S_EQV_n3# S_EQV_n4# S_EQV_n5#




E079


EQ


VEGA


S_EQV_n1# S_EQV_o1#




E080


EQ


VEGA


S_EQV_n1# S_EQV_n2# S_EQV_n3# S_EQV_n4# S_EQV_n5# S_EQV_o1# S_EQV_o2# S_EQV_o3# S_EQV_o4# S_EQV_o5#




E081


EQ


VEGA


S_EQV_o1# S_EQV_o2# S_EQV_o3# S_EQV_o4# S_EQV_o5#




E082


EQ


VEGA


S_EQV_a2# S_EQV_c1# S_EQV_d1# S_EQV_e1# S_EQV_f1# S_EQV_g1# S_EQV_h1# S_EQV_i1# S_EQV_j1# S_EQV_k1#




E083


EQ


VEGA


S_EQV_a2# S_EQV_m1#




E084


EQ


VEGA


S_EQV_n1# S_EQV_p1#




E085


EQ


VEGA


S_EQV_a2# S_EQV_n1#




E086


EQ


VEGA


S_EQV_o1# S_EQV_o2# S_EQV_o3# S_EQV_o4# S_EQV_o5# S_EQV_p1#




E087


EQ


VEGA


S_EQV_a1# S_EQV_a2# S_EQV_a3# S_EQV_a4# S_EQV_a5# S_EQV_a6# S_EQV_b1# S_EQV_b2# S_EQV_b3# S_EQV_b4# S_EQV_b5# S_EQV_c1# S_EQV_x1# S_EQV_d1# S_EQV_y1# S_EQV_e1# S_EQV_z1# S_EQV_f1# S_EQV_f2# S_EQV_f3# S_EQV_f4# S_EQV_f5# S_EQV_aa1# S_EQV_aa2# S_EQV_aa3# S_EQV_aa4# S_EQV_aa5# S_EQV_g1# S_EQV_ab1# S_EQV_h1# S_EQV_ac1# S_EQV_i1# S_EQV_ad1# S_EQV_j1# S_EQV_j2# S_EQV_j3# S_EQV_j4# S_EQV_j5# S_EQV_ae1# S_EQV_ae2# S_EQV_ae3# S_EQV_ae4# S_EQV_ae5# S_EQV_k1# S_EQV_k2# S_EQV_k3# S_EQV_k4# S_EQV_k5# S_EQV_af1# S_EQV_af2# S_EQV_af3# S_EQV_af4# S_EQV_af5# S_EQV_l1# S_EQV_m1# S_EQV_n1# S_EQV_n2# S_EQV_n3# S_EQV_n4# S_EQV_n5# S_EQV_o1# S_EQV_o2# S_EQV_o3# S_EQV_o4# S_EQV_o5# S_EQV_p1# S_EQV_q1#




E088


EQ


CURVATURE


S_EQC_b1#




E089


EQ


CURVATURE


S_EQC_c1#




E090


EQ


CURVATURE


S_EQC_d1#




E091


EQ


CURVATURE


S_EQC_e1#




E092


EQ


CURVATURE


S_EQC_f1#




E093


EQ


CURVATURE


S_EQC_g1#




E094


EQ


CURVATURE


S_EQC_h1#




E095


EQ


CURVATURE


S_EQC_i1#




E096


EQ


CURVATURE


S_EQC_j1#




E097


EQ


CURVATURE


S_EQC_k1#




E098


EQ


CURVATURE


S_EQC_q1#




E099


EQ


CURVATURE


S_EQC_t1#




E100


EQ


CURVATURE


S_EQC_u1#




E101


EQ


CURVATURE


S_EQC_a1# S_EQC_a2#




E102


EQ


CURVATURE


S_EQC_a1# S_EQC_b1#




E103


EQ


CURVATURE


S_EQC_f1# S_EQC_ac1#




E104


EQ


CURVATURE


S_EQC_j1# S_EQC_ag1#




E105


EQ


CURVATURE


S_EQC_k1# S_EQC_ah1#




E106


EQ


CURVATURE


S_EQC_q1# S_EQC_r1#




E107


EQ


CURVATURE


S_EQC_t1# S_EQC_v1#




E108


EQ


CURVATURE


S_EQC_a1# S_EQC_a2# S_EQC_b1# S_EQC_y1# S_EQC_z1#




E109


EQ


CURVATURE


S_EQC_s1#




E110


EQ


CURVATURE


S_EQC_a2# S_EQC_c1# S_EQC_d1# S_EQC_e1# S_EQC_f1# S_EQC_g1# S_EQC_h1# S_EQC_i1# S_EQC_j1# S_EQC_k1#




E111


EQ


CURVATURE


S_EQC_a2# S_EQC_q1#




E112


EQ


CURVATURE


S_EQC_t1# S_EQC_u1#




E113


EQ


CURVATURE


S_EQC_a2# S_EQC_t1#




E114


EQ


CURVATURE


S_EQC_a1# S_EQC_b1# S_EQC_d1# S_EQC_s1#




E115


EQ


CURVATURE


S_EQC_a1# S_EQC_b1# S_EQC_t1# S_EQC_u1#




E116


EQ


CURVATURE


S_EQC_a1# S_EQC_a1# S_EQC_a2# S_EQC_a2# S_EQC_b1# S_EQC_b1# S_EQC_c1# S_EQC_c1# S_EQC_aa1# S_EQC_aa1# S_EQC_d1# S_EQC_d1# S_EQC_e1# S_EQC_e1# S_EQC_ab1# S_EQC_ab1# S_EQC_f1# S_EQC_f1# S_EQC_ac1# S_EQC_ac1# S_EQC_g1# S_EQC_g1# S_EQC_ad1# S_EQC_ad1# S_EQC_h1# S_EQC_h1# S_EQC_ae1# S_EQC_ae1# S_EQC_i1# S_EQC_i1# S_EQC_af1# S_EQC_af1# S_EQC_j1# S_EQC_j1# S_EQC_ag1# S_EQC_ag1# S_EQC_k1# S_EQC_k1# S_EQC_ah1# S_EQC_ah1# S_EQC_q1# S_EQC_q1# S_EQC_r1# S_EQC_r1# S_EQC_s1# S_EQC_s1# S_EQC_t1# S_EQC_t1# S_EQC_u1# S_EQC_u1# S_EQC_v1# S_EQC_v1# S_EQC_w1# S_EQC_w1# S_EQC_y1# S_EQC_y1# S_EQC_z1# S_EQC_z1#




E117


EQ


ALL


S_EQD_a1# S_EQD_a2# S_EQD_a3# S_EQD_b1# S_EQD_b2# S_EQD_c1# S_EQD_x1# S_EQD_d1# S_EQD_y1# S_EQD_e1# S_EQD_z1# S_EQD_f1# S_EQD_f2# S_EQD_g1# S_EQD_g2# S_EQD_h1# S_EQD_aa1# S_EQD_i1# S_EQD_ab1# S_EQD_j1# S_EQD_ac1# S_EQD_k1# S_EQD_k2# S_EQD_l1# S_EQD_l2# S_EQD_m1# S_EQD_m2# S_EQD_n1# S_EQD_n2# S_EQD_o1# S_EQD_p1# S_EQD_q1# S_EQD_q2# S_EQD_r1# S_EQD_r2# S_EQD_s1# S_EQD_s2# S_EQD_t1# S_EQD_t2# S_EQD_u1# S_EQD_v1# S_EQV_a1# S_EQV_a2# S_EQV_a3# S_EQV_a4# S_EQV_a5# S_EQV_a6# S_EQV_b1# S_EQV_b2# S_EQV_b3# S_EQV_b4# S_EQV_b5# S_EQV_c1# S_EQV_x1# S_EQV_d1# S_EQV_y1# S_EQV_e1# S_EQV_z1# S_EQV_f1# S_EQV_f2# S_EQV_f3# S_EQV_f4# S_EQV_f5# S_EQV_aa1# S_EQV_aa2# S_EQV_aa3# S_EQV_aa4# S_EQV_aa5# S_EQV_g1# S_EQV_ab1# S_EQV_h1# S_EQV_ac1# S_EQV_i1# S_EQV_ad1# S_EQV_j1# S_EQV_j2# S_EQV_j3# S_EQV_j4# S_EQV_j5# S_EQV_ae1# S_EQV_ae2# S_EQV_ae3# S_EQV_ae4# S_EQV_ae5# S_EQV_k1# S_EQV_k2# S_EQV_k3# S_EQV_k4# S_EQV_k5# S_EQV_af1# S_EQV_af2# S_EQV_af3# S_EQV_af4# S_EQV_af5# S_EQV_l1# S_EQV_m1# S_EQV_n1# S_EQV_n2# S_EQV_n3# S_EQV_n4# S_EQV_n5# S_EQV_o1# S_EQV_o2# S_EQV_o3# S_EQV_o4# S_EQV_o5# S_EQV_p1# S_EQV_q1# S_EQC_a1# S_EQC_a1# S_EQC_a2# S_EQC_a2# S_EQC_b1# S_EQC_b1# S_EQC_c1# S_EQC_c1# S_EQC_aa1# S_EQC_aa1# S_EQC_d1# S_EQC_d1# S_EQC_e1# S_EQC_e1# S_EQC_ab1# S_EQC_ab1# S_EQC_f1# S_EQC_f1# S_EQC_ac1# S_EQC_ac1# S_EQC_g1# S_EQC_g1# S_EQC_ad1# S_EQC_ad1# S_EQC_h1# S_EQC_h1# S_EQC_ae1# S_EQC_ae1# S_EQC_i1# S_EQC_i1# S_EQC_af1# S_EQC_af1# S_EQC_j1# S_EQC_j1# S_EQC_ag1# S_EQC_ag1# S_EQC_k1# S_EQC_k1# S_EQC_ah1# S_EQC_ah1# S_EQC_q1# S_EQC_q1# S_EQC_r1# S_EQC_r1# S_EQC_s1# S_EQC_s1# S_EQC_t1# S_EQC_t1# S_EQC_u1# S_EQC_u1# S_EQC_v1# S_EQC_v1# S_EQC_w1# S_EQC_w1# S_EQC_y1# S_EQC_y1# S_EQC_z1# S_EQC_z1#




F001


FX


DELTA


S_FXD_b1#




F002


FX


DELTA


S_FXD_c1#




F003


FX


DELTA


S_FXD_a1# S_FXD_b1#




F005


FX


DELTA


S_FXD_b1# S_FXD_c1#




F007


FX


DELTA


S_FXD_a1# S_FXD_b1# S_FXD_c1# S_FXD_d1# S_FXD_e1# S_FXD_f1#




F008


FX


VEGA


S_FXV_b1#




F009


FX


VEGA


S_FXV_a1# S_FXV_b1#




F010


FX


VEGA


S_FXV_b1# S_FXV_b2# S_FXV_b3# S_FXV_b4# S_FXV_b5#




F011


FX


VEGA


S_FXV_d1# S_FXV_d2# S_FXV_d3# S_FXV_d4# S_FXV_d5#




F012


FX


VEGA


S_FXV_b1# S_FXV_b2# S_FXV_b3# S_FXV_b4# S_FXV_b5# S_FXV_c1#




F013


FX


VEGA


S_FXV_c1# S_FXV_d1# S_FXV_d2# S_FXV_d3# S_FXV_d4# S_FXV_d5#




F014


FX


VEGA


S_FXV_a1# S_FXV_b1# S_FXV_b2# S_FXV_b3# S_FXV_b4# S_FXV_b5# S_FXV_c1# S_FXV_d1# S_FXV_d2# S_FXV_d3# S_FXV_d4# S_FXV_d5#




F015


FX


CURVATURE


S_FXC_b1#




F016


FX


CURVATURE


S_FXC_c1#




F017


FX


CURVATURE


S_FXC_a1# S_FXC_b1#




F018


FX


CURVATURE


S_FXC_d1#




F019


FX


CURVATURE


S_FXC_b1# S_FXC_c1#




F020


FX


CURVATURE


S_FXC_c1# S_FXC_e1#




F021


FX


CURVATURE


S_FXC_b1# S_FXC_d1# S_FXC_e1#




F022


FX


CURVATURE


S_FXC_a1# S_FXC_a1# S_FXC_b1# S_FXC_b1# S_FXC_c1# S_FXC_c1# S_FXC_d1# S_FXC_d1# S_FXC_e1# S_FXC_e1# S_FXC_f1# S_FXC_f1#




F023


FX


ALL


S_FXD_a1# S_FXD_b1# S_FXD_c1# S_FXD_d1# S_FXD_e1# S_FXD_f1# S_FXV_a1# S_FXV_b1# S_FXV_b2# S_FXV_b3# S_FXV_b4# S_FXV_b5# S_FXV_c1# S_FXV_d1# S_FXV_d2# S_FXV_d3# S_FXV_d4# S_FXV_d5# S_FXC_a1# S_FXC_a1# S_FXC_b1# S_FXC_b1# S_FXC_c1# S_FXC_c1# S_FXC_d1# S_FXC_d1# S_FXC_e1# S_FXC_e1# S_FXC_f1# S_FXC_f1#




F024


FX


DELTA


S_FXD_d1#




F026


FX


DELTA


S_FXD_f1#




F028


FX


CURVATURE


S_FXC_f1#




N001


CSR_NON_SEC


DELTA


S_CND_a1#




N002


CSR_NON_SEC


DELTA


S_CND_c1#




N003


CSR_NON_SEC


DELTA


S_CND_d1#




N004


CSR_NON_SEC


DELTA


S_CND_e1#




N005


CSR_NON_SEC


DELTA


S_CND_f1#




N006


CSR_NON_SEC


DELTA


S_CND_g1#




N007


CSR_NON_SEC


DELTA


S_CND_h1#




N008


CSR_NON_SEC


DELTA


S_CND_i1#




N009


CSR_NON_SEC


DELTA


S_CND_w1#




N010


CSR_NON_SEC


DELTA


S_CND_j1#




N011


CSR_NON_SEC


DELTA


S_CND_k1#




N012


CSR_NON_SEC


DELTA


S_CND_l1#




N013


CSR_NON_SEC


DELTA


S_CND_m1#




N014


CSR_NON_SEC


DELTA


S_CND_n1#




N015


CSR_NON_SEC


DELTA


S_CND_o1#




N016


CSR_NON_SEC


DELTA


S_CND_p1#




N017


CSR_NON_SEC


DELTA


S_CND_q1#




N018


CSR_NON_SEC


DELTA


S_CND_u1#




N019


CSR_NON_SEC


DELTA


S_CND_v1#




N020


CSR_NON_SEC


DELTA


S_CND_a1# S_CND_a2#




N021


CSR_NON_SEC


DELTA


S_CND_a2# S_CND_a3#




N022


CSR_NON_SEC


DELTA


S_CND_a2# S_CND_a4#




N023


CSR_NON_SEC


DELTA


S_CND_a3# S_CND_a4#




N024


CSR_NON_SEC


DELTA


S_CND_a1# S_CND_b1#




N025


CSR_NON_SEC


DELTA


S_CND_a3# S_CND_b1#




N026


CSR_NON_SEC


DELTA


S_CND_a4# S_CND_b1#




N027


CSR_NON_SEC


DELTA


S_CND_a1# S_CND_b2#




N028


CSR_NON_SEC


DELTA


S_CND_q1# S_CND_r1#




N029


CSR_NON_SEC


DELTA


S_CND_u1# S_CND_x2#




N030


CSR_NON_SEC


DELTA


S_CND_v1# S_CND_y1#




N031


CSR_NON_SEC


DELTA


S_CND_u1# S_CND_x1# S_CND_x2#




N032


CSR_NON_SEC


DELTA


S_CND_a1# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_f1# S_CND_g1# S_CND_h1# S_CND_i1#




N033


CSR_NON_SEC


DELTA


S_CND_a1# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1#




N034


CSR_NON_SEC


DELTA


S_CND_a1# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_n1# S_CND_o1# S_CND_p1#




N035


CSR_NON_SEC


DELTA


S_CND_a1# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_q1# S_CND_u1# S_CND_v1#




N036


CSR_NON_SEC


DELTA


S_CND_f1# S_CND_g1# S_CND_h1# S_CND_i1# S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1#




N037


CSR_NON_SEC


DELTA


S_CND_f1# S_CND_g1# S_CND_h1# S_CND_i1# S_CND_n1# S_CND_o1# S_CND_p1#




N038


CSR_NON_SEC


DELTA


S_CND_f1# S_CND_g1# S_CND_h1# S_CND_i1# S_CND_q1# S_CND_u1# S_CND_v1#




N039


CSR_NON_SEC


DELTA


S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1# S_CND_n1# S_CND_o1# S_CND_p1#




N040


CSR_NON_SEC


DELTA


S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1# S_CND_q1# S_CND_u1# S_CND_v1#




N041


CSR_NON_SEC


DELTA


S_CND_n1# S_CND_o1# S_CND_p1# S_CND_q1# S_CND_u1# S_CND_v1#




N042


CSR_NON_SEC


DELTA


S_CND_a3# S_CND_b1# S_CND_c1# S_CND_s1# S_CND_t1#




N043


CSR_NON_SEC


DELTA


S_CND_a1# S_CND_a2# S_CND_a3# S_CND_a4# S_CND_b1# S_CND_b2# S_CND_ab1# S_CND_ab2# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_f1# S_CND_g1# S_CND_h1# S_CND_hb1# S_CND_hb2# S_CND_i1# S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1# S_CND_n1# S_CND_o1# S_CND_p1# S_CND_q1# S_CND_r1# S_CND_s1# S_CND_t1# S_CND_u1# S_CND_v1# S_CND_w1# S_CND_x1# S_CND_x2# S_CND_y1#




N044


CSR_NON_SEC


VEGA


S_CNV_a2#




N045


CSR_NON_SEC


VEGA


S_CNV_a1# S_CNV_a2#




N046


CSR_NON_SEC


VEGA


S_CNV_a2# S_CNV_a3# S_CNV_a4# S_CNV_a5# S_CNV_a6#




N047


CSR_NON_SEC


VEGA


S_CNV_a2# S_CNV_b1#




N048


CSR_NON_SEC


VEGA


S_CNV_a1# S_CNV_a2# S_CNV_a3# S_CNV_a4# S_CNV_a5# S_CNV_a6# S_CNV_b1# S_CNV_b2# S_CNV_b3# S_CNV_b4# S_CNV_b5#




N049


CSR_NON_SEC


VEGA


S_CNV_q1# S_CNV_r1#




N050


CSR_NON_SEC


VEGA


S_CNV_s1# S_CNV_u1#




N051


CSR_NON_SEC


VEGA


S_CNV_t1# S_CNV_v1#




N052


CSR_NON_SEC


VEGA


S_CNV_c1# S_CNV_c2# S_CNV_c3# S_CNV_c4# S_CNV_c5#




N053


CSR_NON_SEC


VEGA


S_CNV_a1# S_CNV_c1# S_CNV_d1# S_CNV_e1# S_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_i1#




N054


CSR_NON_SEC


VEGA


S_CNV_a1# S_CNV_c1# S_CNV_d1# S_CNV_e1# S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1#




N055


CSR_NON_SEC


VEGA


S_CNV_a1# S_CNV_c1# S_CNV_d1# S_CNV_e1# S_CNV_n1# S_CNV_o1# S_CNV_p1#




N056


CSR_NON_SEC


VEGA


S_CNV_a1# S_CNV_c1# S_CNV_d1# S_CNV_e1# S_CNV_q1# S_CNV_s1# S_CNV_t1#




N057


CSR_NON_SEC


VEGA


S_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_i1# S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1#




N058


CSR_NON_SEC


VEGA


S_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_i1# S_CNV_n1# S_CNV_o1# S_CNV_p1#




N059


CSR_NON_SEC


VEGA


S_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_i1# S_CNV_q1# S_CNV_s1# S_CNV_t1#




N060


CSR_NON_SEC


VEGA


S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1# S_CNV_n1# S_CNV_o1# S_CNV_p1#




N061


CSR_NON_SEC


VEGA


S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1# S_CNV_q1# S_CNV_s1# S_CNV_t1#




N062


CSR_NON_SEC


VEGA


S_CNV_n1# S_CNV_o1# S_CNV_p1# S_CNV_q1# S_CNV_s1# S_CNV_t1#




N063


CSR_NON_SEC


VEGA


S_CNV_b4# S_CNV_c1# S_CNV_c2# S_CNV_c3# S_CNV_c4# S_CNV_c5#




N064


CSR_NON_SEC


VEGA


S_CNV_a1# S_CNV_a2# S_CNV_a3# S_CNV_a4# S_CNV_a5# S_CNV_a6# S_CNV_b1# S_CNV_b2# S_CNV_b3# S_CNV_b4# S_CNV_b5# S_CNV_ab1# S_CNV_c1# S_CNV_c2# S_CNV_c3# S_CNV_c4# S_CNV_c5# S_CNV_d1# S_CNV_e1# S_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_hb1# S_CNV_i1# S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1# S_CNV_n1# S_CNV_o1# S_CNV_p1# S_CNV_q1# S_CNV_r1# S_CNV_s1# S_CNV_t1# S_CNV_u1# S_CNV_v1#




N065


CSR_NON_SEC


CURVATURE


S_CNC_b1#




N066


CSR_NON_SEC


CURVATURE


S_CNC_c1#




N067


CSR_NON_SEC


CURVATURE


S_CNC_d1#




N068


CSR_NON_SEC


CURVATURE


S_CNC_e1#




N069


CSR_NON_SEC


CURVATURE


S_CNC_f1#




N070


CSR_NON_SEC


CURVATURE


S_CNC_g1#




N071


CSR_NON_SEC


CURVATURE


S_CNC_h1#




N072


CSR_NON_SEC


CURVATURE


S_CNC_i1#




N073


CSR_NON_SEC


CURVATURE


S_CNC_aa1#




N074


CSR_NON_SEC


CURVATURE


S_CNC_j1#




N075


CSR_NON_SEC


CURVATURE


S_CNC_k1#




N076


CSR_NON_SEC


CURVATURE


S_CNC_l1#




N077


CSR_NON_SEC


CURVATURE


S_CNC_m1#




N078


CSR_NON_SEC


CURVATURE


S_CNC_n1#




N079


CSR_NON_SEC


CURVATURE


S_CNC_o1#




N080


CSR_NON_SEC


CURVATURE


S_CNC_p1#




N081


CSR_NON_SEC


CURVATURE


S_CNC_q1#




N082


CSR_NON_SEC


CURVATURE


S_CNC_t1#




N083


CSR_NON_SEC


CURVATURE


S_CNC_u1#




N084


CSR_NON_SEC


CURVATURE


S_CNC_a1# S_CNC_a2#




N085


CSR_NON_SEC


CURVATURE


S_CNC_a1# S_CNC_b1#




N086


CSR_NON_SEC


CURVATURE


S_CNC_q1# S_CNC_r1#




N087


CSR_NON_SEC


CURVATURE


S_CNC_t1# S_CNC_v1#




N088


CSR_NON_SEC


CURVATURE


S_CNC_u1# S_CNC_w1#




N089


CSR_NON_SEC


CURVATURE


S_CNC_a1# S_CNC_a2# S_CNC_b1# S_CNC_y1# S_CNC_z1#




N090


CSR_NON_SEC


CURVATURE


S_CNC_s1#




N091


CSR_NON_SEC


CURVATURE


S_CNC_a1# S_CNC_c1# S_CNC_d1# S_CNC_e1# S_CNC_f1# S_CNC_g1# S_CNC_h1# S_CNC_i1#




N092


CSR_NON_SEC


CURVATURE


S_CNC_a1# S_CNC_c1# S_CNC_d1# S_CNC_e1# S_CNC_j1# S_CNC_k1# S_CNC_l1# S_CNC_m1#




N093


CSR_NON_SEC


CURVATURE


S_CNC_a1# S_CNC_c1# S_CNC_d1# S_CNC_e1# S_CNC_n1# S_CNC_o1# S_CNC_p1#




N094


CSR_NON_SEC


CURVATURE


S_CNC_a1# S_CNC_c1# S_CNC_d1# S_CNC_e1# S_CNC_q1# S_CNC_t1# S_CNC_u1#




N095


CSR_NON_SEC


CURVATURE


S_CNC_f1# S_CNC_g1# S_CNC_h1# S_CNC_i1# S_CNC_j1# S_CNC_k1# S_CNC_l1# S_CNC_m1#




N096


CSR_NON_SEC


CURVATURE


S_CNC_f1# S_CNC_g1# S_CNC_h1# S_CNC_i1# S_CNC_n1# S_CNC_o1# S_CNC_p1#




N097


CSR_NON_SEC


CURVATURE


S_CNC_f1# S_CNC_g1# S_CNC_h1# S_CNC_i1# S_CNC_q1# S_CNC_t1# S_CNC_u1#




N098


CSR_NON_SEC


CURVATURE


S_CNC_j1# S_CNC_k1# S_CNC_l1# S_CNC_m1# S_CNC_n1# S_CNC_o1# S_CNC_p1#




N099


CSR_NON_SEC


CURVATURE


S_CNC_j1# S_CNC_k1# S_CNC_l1# S_CNC_m1# S_CNC_q1# S_CNC_t1# S_CNC_u1#




N100


CSR_NON_SEC


CURVATURE


S_CNC_n1# S_CNC_o1# S_CNC_p1# S_CNC_q1# S_CNC_t1# S_CNC_u1#




N101


CSR_NON_SEC


CURVATURE


S_CNC_c1# S_CNC_x1# S_CNC_y1# S_CNC_z1#




N102


CSR_NON_SEC


CURVATURE


S_CNC_a1# S_CNC_b1# S_CNC_d1# S_CNC_s1#




N103


CSR_NON_SEC


CURVATURE


S_CNC_a1# S_CNC_a1# S_CNC_a2# S_CNC_a2# S_CNC_b1# S_CNC_b1# S_CNC_ab1# S_CNC_ab1# S_CNC_c1# S_CNC_c1# S_CNC_d1# S_CNC_d1# S_CNC_e1# S_CNC_e1# S_CNC_f1# S_CNC_f1# S_CNC_g1# S_CNC_g1# S_CNC_h1# S_CNC_h1# S_CNC_hb1# S_CNC_hb1# S_CNC_i1# S_CNC_i1# S_CNC_j1# S_CNC_j1# S_CNC_k1# S_CNC_k1# S_CNC_l1# S_CNC_l1# S_CNC_m1# S_CNC_m1# S_CNC_n1# S_CNC_n1# S_CNC_o1# S_CNC_o1# S_CNC_p1# S_CNC_p1# S_CNC_q1# S_CNC_q1# S_CNC_r1# S_CNC_r1# S_CNC_s1# S_CNC_s1# S_CNC_t1# S_CNC_t1# S_CNC_u1# S_CNC_u1# S_CNC_v1# S_CNC_v1# S_CNC_w1# S_CNC_w1# S_CNC_x1# S_CNC_x1# S_CNC_y1# S_CNC_y1# S_CNC_z1# S_CNC_z1# S_CNC_aa1# S_CNC_aa1#




N104


CSR_NON_SEC


ALL


S_CND_a1# S_CND_a2# S_CND_a3# S_CND_a4# S_CND_b1# S_CND_b2# S_CND_ab1# S_CND_ab2# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_f1# S_CND_g1# S_CND_h1# S_CND_hb1# S_CND_hb2# S_CND_i1# S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1# S_CND_n1# S_CND_o1# S_CND_p1# S_CND_q1# S_CND_r1# S_CND_s1# S_CND_t1# S_CND_u1# S_CND_v1# S_CND_w1# S_CND_x1# S_CND_x2# S_CND_y1# S_CNV_a1# S_CNV_a2# S_CNV_a3# S_CNV_a4# S_CNV_a5# S_CNV_a6# S_CNV_b1# S_CNV_b2# S_CNV_b3# S_CNV_b4# S_CNV_b5# S_CNV_ab1# S_CNV_c1# S_CNV_c2# S_CNV_c3# S_CNV_c4# S_CNV_c5# S_CNV_d1# S_CNV_e1# S_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_hb1# S_CNV_i1# S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1# S_CNV_n1# S_CNV_o1# S_CNV_p1# S_CNV_q1# S_CNV_r1# S_CNV_s1# S_CNV_t1# S_CNV_u1# S_CNV_v1# S_CNC_a1# S_CNC_a1# S_CNC_a2# S_CNC_a2# S_CNC_b1# S_CNC_b1# S_CNC_ab1# S_CNC_ab1# S_CNC_c1# S_CNC_c1# S_CNC_d1# S_CNC_d1# S_CNC_e1# S_CNC_e1# S_CNC_f1# S_CNC_f1# S_CNC_g1# S_CNC_g1# S_CNC_h1# S_CNC_h1# S_CNC_hb1# S_CNC_hb1# S_CNC_i1# S_CNC_i1# S_CNC_j1# S_CNC_j1# S_CNC_k1# S_CNC_k1# S_CNC_l1# S_CNC_l1# S_CNC_m1# S_CNC_m1# S_CNC_n1# S_CNC_n1# S_CNC_o1# S_CNC_o1# S_CNC_p1# S_CNC_p1# S_CNC_q1# S_CNC_q1# S_CNC_r1# S_CNC_r1# S_CNC_s1# S_CNC_s1# S_CNC_t1# S_CNC_t1# S_CNC_u1# S_CNC_u1# S_CNC_v1# S_CNC_v1# S_CNC_w1# S_CNC_w1# S_CNC_x1# S_CNC_x1# S_CNC_y1# S_CNC_y1# S_CNC_z1# S_CNC_z1# S_CNC_aa1# S_CNC_aa1#




N104(CRR2/DA)


CSR_NON_SEC


CURVATURE


S_CNC_ab1#




N105(CRR2/DA)


CSR_NON_SEC


CURVATURE


S_CNC_hb1#




N106(CRR2/DA)


CSR_NON_SEC


DELTA


S_CND_ab1#




N107(CRR2/DA)


CSR_NON_SEC


DELTA


S_CND_hb1#




C001


CM


DELTA


S_CMD_a2#




C002


CM


DELTA


S_CMD_c1#




C003


CM


DELTA


S_CMD_e1#




C004


CM


DELTA


S_CMD_g1#




C005


CM


DELTA


S_CMD_i1#




C006


CM


DELTA


S_CMD_k1#




C007


CM


DELTA


S_CMD_m1#




C008


CM


DELTA


S_CMD_o1#




C009


CM


DELTA


S_CMD_q1#




C010


CM


DELTA


S_CMD_s1#




C011


CM


DELTA


S_CMD_u1#




C012


CM


DELTA


S_CMD_a1# S_CMD_a2#




C013


CM


DELTA


S_CMD_a2# S_CMD_a3#




C014


CM


DELTA


S_CMD_a2# S_CMD_a4#




C015


CM


DELTA


S_CMD_a3# S_CMD_a4#




C016


CM


DELTA


S_CMD_a2# S_CMD_b1#




C017


CM


DELTA


S_CMD_c1# S_CMD_d1#




C018


CM


DELTA


S_CMD_e1# S_CMD_f1#




C019


CM


DELTA


S_CMD_g1# S_CMD_h1#




C020


CM


DELTA


S_CMD_i1# S_CMD_j1#




C021


CM


DELTA


S_CMD_k1# S_CMD_l1#




C022


CM


DELTA


S_CMD_m1# S_CMD_n1#




C023


CM


DELTA


S_CMD_o1# S_CMD_p1#




C024


CM


DELTA


S_CMD_q1# S_CMD_r1#




C025


CM


DELTA


S_CMD_s1# S_CMD_t1#




C026


CM


DELTA


S_CMD_u1# S_CMD_v1#




C027


CM


DELTA


S_CMD_g1# S_CMD_h1# S_CMD_w1# S_CMD_x1#




C028


CM


DELTA


S_CMD_a2# S_CMD_c1# S_CMD_e1# S_CMD_g1# S_CMD_i1# S_CMD_k1# S_CMD_m1# S_CMD_o1# S_CMD_q1# S_CMD_s1#




C029


CM


DELTA


S_CMD_a2# S_CMD_u1#




C030


CM


DELTA


S_CMD_c1# S_CMD_d1# S_CMD_g1# S_CMD_h1# S_CMD_w1# S_CMD_x1#




C031


CM


DELTA


S_CMD_a1# S_CMD_a2# S_CMD_a3# S_CMD_a4# S_CMD_b1# S_CMD_c1# S_CMD_d1# S_CMD_e1# S_CMD_f1# S_CMD_g1# S_CMD_h1# S_CMD_i1# S_CMD_j1# S_CMD_k1# S_CMD_l1# S_CMD_m1# S_CMD_n1# S_CMD_o1# S_CMD_p1# S_CMD_q1# S_CMD_r1# S_CMD_s1# S_CMD_t1# S_CMD_u1# S_CMD_v1# S_CMD_w1# S_CMD_x1#




C032


CM


VEGA


S_CMV_a2#




C033


CM


VEGA


S_CMV_a1# S_CMV_a2#




C034


CM


VEGA


S_CMV_a2# S_CMV_a3# S_CMV_a4# S_CMV_a5# S_CMV_a6#




C035


CM


VEGA


S_CMV_a1# S_CMV_a2# S_CMV_a3# S_CMV_a4# S_CMV_a5# S_CMV_a6# S_CMV_b1# S_CMV_b2# S_CMV_b3# S_CMV_b4# S_CMV_b5#




C036


CM


VEGA


S_CMV_c1# S_CMV_d1#




C037


CM


VEGA


S_CMV_e1# S_CMV_f1#




C038


CM


VEGA


S_CMV_g1# S_CMV_h1#




C039


CM


VEGA


S_CMV_i1# S_CMV_j1#




C040


CM


VEGA


S_CMV_k1# S_CMV_l1#




C041


CM


VEGA


S_CMV_m1# S_CMV_n1#




C042


CM


VEGA


S_CMV_o1# S_CMV_p1#




C043


CM


VEGA


S_CMV_q1# S_CMV_r1#




C044


CM


VEGA


S_CMV_s1# S_CMV_t1#




C045


CM


VEGA


S_CMV_u1# S_CMV_v1#




C046


CM


VEGA


S_CMV_g1# S_CMV_h1# S_CMV_w1# S_CMV_x1#




C047


CM


VEGA


S_CMV_a2# S_CMV_c1# S_CMV_e1# S_CMV_g1# S_CMV_i1# S_CMV_k1# S_CMV_m1# S_CMV_o1# S_CMV_q1# S_CMV_s1#




C048


CM


VEGA


S_CMV_a2# S_CMV_u1#




C049


CM


VEGA


S_CMV_c1# S_CMV_d1# S_CMV_g1# S_CMV_h1# S_CMV_w1# S_CMV_x1#




C050


CM


VEGA


S_CMV_a1# S_CMV_a2# S_CMV_a3# S_CMV_a4# S_CMV_a5# S_CMV_a6# S_CMV_b1# S_CMV_b2# S_CMV_b3# S_CMV_b4# S_CMV_b5# S_CMV_c1# S_CMV_d1# S_CMV_e1# S_CMV_f1# S_CMV_g1# S_CMV_h1# S_CMV_i1# S_CMV_j1# S_CMV_k1# S_CMV_l1# S_CMV_m1# S_CMV_n1# S_CMV_o1# S_CMV_p1# S_CMV_q1# S_CMV_r1# S_CMV_s1# S_CMV_t1# S_CMV_u1# S_CMV_v1# S_CMV_w1# S_CMV_x1#




C051


CM


CURVATURE


S_CMC_b1#




C052


CM


CURVATURE


S_CMC_c1#




C053


CM


CURVATURE


S_CMC_e1#




C054


CM


CURVATURE


S_CMC_g1#




C055


CM


CURVATURE


S_CMC_i1#




C056


CM


CURVATURE


S_CMC_k1#




C057


CM


CURVATURE


S_CMC_m1#




C058


CM


CURVATURE


S_CMC_o1#




C059


CM


CURVATURE


S_CMC_q1#




C060


CM


CURVATURE


S_CMC_s1#




C061


CM


CURVATURE


S_CMC_u1#




C062


CM


CURVATURE


S_CMC_a1# S_CMC_a2#




C063


CM


CURVATURE


S_CMC_a1# S_CMC_b1#




C064


CM


CURVATURE


S_CMC_c1# S_CMC_d1#




C065


CM


CURVATURE


S_CMC_e1# S_CMC_f1#




C066


CM


CURVATURE


S_CMC_g1# S_CMC_h1#




C067


CM


CURVATURE


S_CMC_i1# S_CMC_j1#




C068


CM


CURVATURE


S_CMC_k1# S_CMC_l1#




C069


CM


CURVATURE


S_CMC_m1# S_CMC_n1#




C070


CM


CURVATURE


S_CMC_o1# S_CMC_p1#




C071


CM


CURVATURE


S_CMC_q1# S_CMC_r1#




C072


CM


CURVATURE


S_CMC_s1# S_CMC_t1#




C073


CM


CURVATURE


S_CMC_u1# S_CMC_v1#




C074


CM


CURVATURE


S_CMC_a2# S_CMC_b1#




C075


CM


CURVATURE


S_CMC_g1# S_CMC_z1#




C076


CM


CURVATURE


S_CMC_b1# S_CMC_c1# S_CMC_e1# S_CMC_g1# S_CMC_i1# S_CMC_k1# S_CMC_m1# S_CMC_o1# S_CMC_q1# S_CMC_s1#




C077


CM


CURVATURE


S_CMC_a2# S_CMC_u1#




C078


CM


CURVATURE


S_CMC_a1# S_CMC_a2# S_CMC_b1# S_CMC_y1# S_CMC_q1# S_CMC_r1# S_CMC_x1#




C079


CM


CURVATURE


S_CMC_x1# S_CMC_g1# S_CMC_z1#




C080


CM


CURVATURE


S_CMC_a1# S_CMC_a1# S_CMC_a2# S_CMC_a2# S_CMC_b1# S_CMC_b1# S_CMC_c1# S_CMC_c1# S_CMC_d1# S_CMC_d1# S_CMC_e1# S_CMC_e1# S_CMC_f1# S_CMC_f1# S_CMC_g1# S_CMC_g1# S_CMC_h1# S_CMC_h1# S_CMC_i1# S_CMC_i1# S_CMC_j1# S_CMC_j1# S_CMC_k1# S_CMC_k1# S_CMC_l1# S_CMC_l1# S_CMC_m1# S_CMC_m1# S_CMC_n1# S_CMC_n1# S_CMC_o1# S_CMC_o1# S_CMC_p1# S_CMC_p1# S_CMC_q1# S_CMC_q1# S_CMC_r1# S_CMC_r1# S_CMC_s1# S_CMC_s1# S_CMC_t1# S_CMC_t1# S_CMC_u1# S_CMC_u1# S_CMC_v1# S_CMC_v1# S_CMC_x1# S_CMC_x1# S_CMC_y1# S_CMC_y1# S_CMC_z1# S_CMC_z1#




C081


CM


ALL


S_CMD_a1# S_CMD_a2# S_CMD_a3# S_CMD_a4# S_CMD_b1# S_CMD_c1# S_CMD_d1# S_CMD_e1# S_CMD_f1# S_CMD_g1# S_CMD_h1# S_CMD_i1# S_CMD_j1# S_CMD_k1# S_CMD_l1# S_CMD_m1# S_CMD_n1# S_CMD_o1# S_CMD_p1# S_CMD_q1# S_CMD_r1# S_CMD_s1# S_CMD_t1# S_CMD_u1# S_CMD_v1# S_CMD_w1# S_CMD_x1# S_CMV_a1# S_CMV_a2# S_CMV_a3# S_CMV_a4# S_CMV_a5# S_CMV_a6# S_CMV_b1# S_CMV_b2# S_CMV_b3# S_CMV_b4# S_CMV_b5# S_CMV_c1# S_CMV_d1# S_CMV_e1# S_CMV_f1# S_CMV_g1# S_CMV_h1# S_CMV_i1# S_CMV_j1# S_CMV_k1# S_CMV_l1# S_CMV_m1# S_CMV_n1# S_CMV_o1# S_CMV_p1# S_CMV_q1# S_CMV_r1# S_CMV_s1# S_CMV_t1# S_CMV_u1# S_CMV_v1# S_CMV_w1# S_CMV_x1# S_CMC_a1# S_CMC_a1# S_CMC_a2# S_CMC_a2# S_CMC_b1# S_CMC_b1# S_CMC_c1# S_CMC_c1# S_CMC_d1# S_CMC_d1# S_CMC_e1# S_CMC_e1# S_CMC_f1# S_CMC_f1# S_CMC_g1# S_CMC_g1# S_CMC_h1# S_CMC_h1# S_CMC_i1# S_CMC_i1# S_CMC_j1# S_CMC_j1# S_CMC_k1# S_CMC_k1# S_CMC_l1# S_CMC_l1# S_CMC_m1# S_CMC_m1# S_CMC_n1# S_CMC_n1# S_CMC_o1# S_CMC_o1# S_CMC_p1# S_CMC_p1# S_CMC_q1# S_CMC_q1# S_CMC_r1# S_CMC_r1# S_CMC_s1# S_CMC_s1# S_CMC_t1# S_CMC_t1# S_CMC_u1# S_CMC_u1# S_CMC_v1# S_CMC_v1# S_CMC_x1# S_CMC_x1# S_CMC_y1# S_CMC_y1# S_CMC_z1# S_CMC_z1#






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ELI: http://data.europa.eu/eli/reg_impl/2025/379/oj
ISSN 1977-0677 (electronic edition)