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Commission Implementing Regulation (EU) 2025/379 amending Implementing Regulation (EU) 2016/2070 on benchmark portfolios and reporting templates

The European Commission amends Implementing Regulation (EU) 2016/2070 by replacing Annexes IV through VII and X to update benchmark portfolios and reporting instructions for credit risk benchmarking exercises. Institutions permitted to use internal approaches are required to report mandatory probability of default and loss given default risk parameters, including specific components like the margin of conservativeness and downturn components, alongside their models' identifiers. The regulation also expands validation templates for the standardised approach to include additional portfolios beyond interest rate instruments. These amended technical standards enter into force on the twentieth day following publication in the Official Journal of the European Union.

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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

C/2025/1194

OJ L, 2025/379, 12.3.2025, ELI: http://data.europa.eu/eli/reg_impl/2025/379/oj (BG, ES, CS, DA, DE, ET, EL, EN, FR, GA, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)

In force

ELI: http://data.europa.eu/eli/reg_impl/2025/379/oj

Language 1

Language 2

Language 3

Official Journal of the European Union

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

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.

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.

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.

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

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

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.

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

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

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.

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.

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.

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;

the confidence level set at 90%;

DR 1 y

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;

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;

the confidence level set at 90%;

DR 1 y

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;

the confidence level set at 90%;

DR 5 y

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;

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;

the confidence level set at 90%;

DR 5 y

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;

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

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

Long 10 000 BAYER (Ticker: BAYN GR) shares.

Exchange: Xetra

EBA instrument currency: EUR

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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.

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

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

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

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

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

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

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

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.

Long GERMANY GOVT (Inflation) EUR 1 000 000 (ISIN DE0001030583).

Maturity: 15 April 2033

EBA instrument currency: EUR

Short GERMANY GOVT EUR 1 000 000 (ISIN DE0001030708).

Maturity: 15 August 2030

EBA instrument currency: EUR

Long ITALY GOVT (Inflation) EUR 1 000 000 (ISIN IT0005138828).

Maturity: 15 September 2032

EBA instrument currency: EUR

Long ITALY GOVT EUR 1 000 000 (ISIN IT0005340929).

Maturity: 1 December 2028

EBA instrument currency: EUR

Long SPAIN GOVT EUR 1 000 000 (ISIN ES00000127A2).

Maturity: 30 July 2030

EBA instrument currency: EUR

Short FRANCE GOVT EUR 1 000 000 (ISIN FR0012993103).

Maturity: 25 May 2031

EBA instrument currency: EUR

Short GERMANY GOVT EUR 1 000 000 (ISIN DE0001135176).

Maturity: 4 January 2031

EBA instrument currency: EUR

Long UNITED KINGDOM GOVT GBP 1 000 000 (ISIN GB0004893086).

Maturity: 7 June 2032

EBA instrument currency: GBP

Long PORTUGAL GOVT EUR 1 000 000 (ISIN PTOTEXOE0024).

Maturity: 15 June 2029

EBA instrument currency: EUR

Short UNITED STATES GOVT USD 1 000 000 (ISIN US91282CAV37).

Maturity: 15 November 2030

EBA instrument currency USD

Long BRAZIL GOVT (callable) 1 000 000 USD (ISIN US105756BZ27).

Maturity: 13 January 2028

EBA instrument currency: USD

Long MEXICO GOVT (callable) 1 000 000 USD (ISIN US91087BAT70).

Maturity: 19 May 2033

EBA instrument currency USD

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

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

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

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

Long ITALY GOVT (Inflation) EUR 1 000 000 (ISIN IT0005387052).

Maturity: 15 May 2030

EBA instrument currency: EUR

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Long (i.e. Buy protection) USD 1 000 000 CDS on PORTUGAL.

Restructuring clause: FULL

EBA instrument currency: USD

Long (i.e. Buy protection) USD 1 000 000 CDS on ITALY.

Restructuring clause: FULL

EBA instrument currency: USD

Short (i.e. Sell protection) USD 1 000 000 CDS on SPAIN.

Restructuring clause: FULL

EBA instrument currency: USD

Long (i.e. Buy protection) USD 1 000 000 CDS on MEXICO.

Restructuring clause: FULL

EBA instrument currency: USD

Long (i.e. Buy protection) USD 1 000 000 CDS on BRAZIL.

Restructuring clause: FULL

EBA instrument currency: USD

Long (i.e. Buy protection) USD 1 000 000 CDS on UK.

Restructuring clause: FULL

EBA instrument currency: USD

Short (i.e. Sell protection) EUR 1 000 000 CDS on Telefonica (Ticker TEF SM).

EBA instrument currency: EUR

Long (i.e. Buy protection) EUR 1 000 000 CDS on Telefonica (Ticker TEF SM).

Maturity: December Year T+2

EBA instrument currency: EUR

Short (i.e. Sell protection) EUR 1 000 000 CDS on Aviva (Ticker AV LN).

ISDA Definitions year 2003

EBA instrument currency: EUR

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

Short (i.e. Sell protection) EUR 1 000 000 CDS on Vodafone (Ticker VOD LN).

EBA instrument currency: EUR

Short (i.e. Sell protection) EUR 1 000 000 CDS on ENI SpA (Ticker ENI IM).

EBA instrument currency: EUR

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

Short (i.e. Sell protection) EUR 1 000 000 CDS on Unilever (Ticker UNA NA).

EBA instrument currency: EUR

Long (i.e. Buy protection) EUR 1 000 000 CDS on Total SA (Ticker FP FP).

EBA instrument currency: EUR

Long (i.e. Buy protection) EUR 1 000 000 CDS on Volkswagen Group (Ticker VOW GR).

EBA instrument currency: EUR

Long position on TURKEY Govt. notes USD 1 000 000 (ISIN US900123CT57).

Maturity: 26 April 2029

EBA instrument currency: USD

Long (i.e. Buy protection) USD 1 000 000 CDS on TURKEY. Effective date as booking date.

Restructuring clause: FULL

EBA instrument currency: USD

Long position on Telefonica notes EUR 1 000 000 (ISIN XS1681521081).

Maturity: 12 January 2028

EBA instrument currency: EUR

Long position on Volkswagen Group notes EUR 1 000 000 (ISIN XS2234567233).

Maturity: 22 September 2028

EBA instrument currency: EUR

Short position Volkswagen Group notes EUR 1 000 000 (ISIN XS1167667283).

Maturity: 16 January 2030

EBA instrument currency: EUR

Long position on Total SA notes EUR 1 000 000 (ISIN XS1856281834).

Maturity: 11 July 2033

EBA instrument currency: EUR

Long AUSTRIA GOVT EUR 1 000 000 (ISIN AT0000A04967).

Maturity: 15 March 2037

EBA instrument currency: EUR

Long (i.e. Buy protection) USD 1 000 000 CDS on AUSTRIA.

Maturity: June Year T+15

EBA instrument currency: USD

Long NETHERLANDS GOVT EUR 1 000 000 (ISIN NL0013552060).

Maturity: 15 January 2040

EBA instrument currency: EUR

Long (i.e. Buy protection) USD 1 000 000 CDS on NETHERLANDS.

Maturity: June Year T+20

EBA instrument currency: USD

Long BELGIUM GOVT EUR 1 000 000 (ISIN BE0000348574).

Maturity: 22 June 2050

EBA instrument currency: EUR

Long (i.e. Buy protection) USD 1 000 000 CDS on BELGIUM.

Maturity: June Year T+30

EBA instrument currency: USD

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

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

Long AXA SA (callable) EUR 1 000 000 (ISIN XS1799611642).

Maturity: 28 May 2049

EBA instrument currency: EUR

Long AT&T Bond (callable) USD 1 000 000 (ISIN US00206RFW79).

Maturity: 15 August 2037

EBA instrument currency: USD

Long BAYER AG (callable) EUR 1 000 000 (ISIN XS2199266268).

Maturity: 06 January 2030

EBA instrument currency: EUR

Long ORANGE SA Bond (callable) EUR 1 000 000 (ISIN FR0013323870).

Maturity: 20 March 2028

EBA instrument currency: EUR

CTP

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

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

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

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

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

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

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

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

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.

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:

Coupon Rate Reset Business Day:

LON, NYC, TARGET

Coupon Rate Reset Business Day Convention:

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:

Coupon Rate Reset Business Day:

LON, NYC, TARGET

Coupon Rate Reset Business Day Convention:

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:

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

C 106.01 –

SBM. Risk sensitivities by Instrument

C 107.01 –

VaR & sVaR Non-CTP. Details.

C 107.02 –

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

C 108.00 –

Profit & Loss Time Series

C 109.01 –

IRC. Details of the Model

C 109.02 –

IRC. Details by Portfolio

C 109.03 –

IRC. Amount by Portfolio/Date.

C 110.01 –

CT. Details of the Model.

C 110.02 –

CT. Details by Portfolio.

C 110.03 –

CT. APR by Portfolio/Date

C 120.01 –

SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO

C 120.02 –

SBM. OFR COMPOSITION BY PORTFOLIO

C 120.04 –

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

C 120.05 –

DRC. OFR COMPOSITION BY PORTFOLIO

C 120.06 –

ASA. OFR

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 ρ kl

(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 (S k ) 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 (S k ) 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 (CVR k

) or the downward net curvature risk position of that risk factor (CVR k

) 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

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.

—

(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 (S k ) 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 (S k ) 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 (CVR k

) or the downward net curvature risk position of that risk factor (CVR k

) 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 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

(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 V notional 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&L long and Adjustment long 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&L short and Adjustment short in accordance with Article 325w(2) of that Regulation.

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

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:

—

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

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

0060

DRC OFR

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

0070

RRAO OFR

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

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

DELTA

0 years

CM_D_00.00

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

DELTA

0,25 years

CM_D_00.25

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

DELTA

0,5 years

CM_D_00.50

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

DELTA

1 year

CM_D_01.00

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

DELTA

2 years

CM_D_02.00

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

DELTA

3 years

CM_D_03.00

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

DELTA

5 years

CM_D_05.00

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

DELTA

10 years

CM_D_10.00

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

DELTA

15 years

CM_D_15.00

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

DELTA

20 years

CM_D_20.00

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

DELTA

30 years

CM_D_30.00

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

VEGA

0,5 years

CM_V_00.50

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

VEGA

1 year

CM_V_01.00

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

VEGA

3 years

CM_V_03.00

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

VEGA

5 years

CM_V_05.00

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

VEGA

10 years

CM_V_10.00

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

CURVATURE

Upward shift

CM_CU

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

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

DELTA

Spot price

EQ_D_SPOT

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

DELTA

Repo rate

EQ_D_REPO

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

VEGA

0,5 years

EQ_V_00.50

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

VEGA

1 year

EQ_V_01.00

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

VEGA

3 years

EQ_V_03.00

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

VEGA

5 years

EQ_V_05.00

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

VEGA

10 years

EQ_V_10.00

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

CURVATURE

Upward shift

EQ_CU

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

CURVATURE

Downward shift

EQ_CD

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

DELTA

FX_D

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

VEGA

0,5 years

FX_V_00.50

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

VEGA

1 year

FX_V_01.00

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

VEGA

3 years

FX_V_03.00

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

VEGA

5 years

FX_V_05.00

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

VEGA

10 years

FX_V_10.00

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

CURVATURE

Upward shift

FX_CU

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

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

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

–65 000,00

S_IRD_e13#

GIRR_D_INF

EUR

– 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

ISSUER A

100,00

S_EQV_aa4#

EQ_V_5.00

ISSUER AA

1 200,00

S_EQV_ac1#

EQ_V_5.00

ISSUER AC

–50,00

S_EQV_ae4#

EQ_V_5.00

ISSUER AE

600,00

S_EQV_af4#

EQ_V_5.00

ISSUER AF

375,00

S_EQV_b4#

EQ_V_5.00

ISSUER B

50,00

S_EQV_f4#

EQ_V_5.00

ISSUER F

450,00

S_EQV_j4#

EQ_V_5.00

ISSUER J

– 200,00

S_EQV_k4#

EQ_V_5.00

ISSUER K

– 825,00

S_EQV_m1#

EQ_V_5.00

ISSUER M

– 700,00

S_EQV_n4#

EQ_V_5.00

INDEX N

850,00

S_EQV_o4#

EQ_V_5.00

INDEX O

150,00

S_EQV_y1#

EQ_V_5.00

ISSUER Y

700,00

S_EQV_a4#

EQ_V_3.00

ISSUER A

– 500,00

S_EQV_aa3#

EQ_V_3.00

ISSUER AA

– 850,00

S_EQV_ad1#

EQ_V_3.00

ISSUER AD

300,00

S_EQV_ae3#

EQ_V_3.00

ISSUER AE

– 450,00

S_EQV_af3#

EQ_V_3.00

ISSUER AF

– 725,00

S_EQV_b3#

EQ_V_3.00

ISSUER B

– 500,00

S_EQV_f3#

EQ_V_3.00

ISSUER F

250,00

S_EQV_j3#

EQ_V_3.00

ISSUER J

– 900,00

S_EQV_k3#

EQ_V_3.00

ISSUER K

– 975,00

S_EQV_n3#

EQ_V_3.00

INDEX N

–1 250,00

S_EQV_o3#

EQ_V_3.00

INDEX O

100,00

S_EQV_x1#

EQ_V_3.00

ISSUER X

– 200,00

S_EQV_z1#

EQ_V_3.00

ISSUER Z

– 800,00

S_EQV_a6#

EQ_V_10.00

ISSUER A

100,00

S_EQV_aa5#

EQ_V_10.00

ISSUER AA

– 300,00

S_EQV_ab1#

EQ_V_10.00

ISSUER AB

– 400,00

S_EQV_ae5#

EQ_V_10.00

ISSUER AE

– 850,00

S_EQV_af5#

EQ_V_10.00

ISSUER AF

525,00

S_EQV_b5#

EQ_V_10.00

ISSUER B

500,00

S_EQV_f5#

EQ_V_10.00

ISSUER F

600,00

S_EQV_j5#

EQ_V_10.00

ISSUER J

150,00

S_EQV_k5#

EQ_V_10.00

ISSUER K

300,00

S_EQV_n5#

EQ_V_10.00

INDEX N

225,00

S_EQV_o5#

EQ_V_10.00

INDEX O

– 200,00

S_EQV_q1#

EQ_V_10.00

INDEX Q

– 800,00

S_EQV_a3#

EQ_V_1.00

ISSUER A

400,00

S_EQV_aa2#

EQ_V_1.00

ISSUER AA

– 400,00

S_EQV_ae2#

EQ_V_1.00

ISSUER AE

– 250,00

S_EQV_af2#

EQ_V_1.00

ISSUER AF

–1 150,00

S_EQV_b2#

EQ_V_1.00

ISSUER B

200,00

S_EQV_f2#

EQ_V_1.00

ISSUER F

– 750,00

S_EQV_j2#

EQ_V_1.00

ISSUER J

350,00

S_EQV_k2#

EQ_V_1.00

ISSUER K

1 050,00

S_EQV_n2#

EQ_V_1.00

INDEX N

– 800,00

S_EQV_o2#

EQ_V_1.00

INDEX O

400,00

S_EQV_a1#

EQ_V_0.50

ISSUER A

– 100,00

S_EQV_a2#

EQ_V_0.50

ISSUER A

700,00

S_EQV_aa1#

EQ_V_0.50

ISSUER AA

950,00

S_EQV_ae1#

EQ_V_0.50

ISSUER AE

50,00

S_EQV_af1#

EQ_V_0.50

ISSUER AF

– 300,00

S_EQV_b1#

EQ_V_0.50

ISSUER B

900,00

S_EQV_c1#

EQ_V_0.50

ISSUER C

– 500,00

S_EQV_d1#

EQ_V_0.50

ISSUER D

600,00

S_EQV_e1#

EQ_V_0.50

ISSUER E

– 800,00

S_EQV_f1#

EQ_V_0.50

ISSUER F

1 000,00

S_EQV_g1#

EQ_V_0.50

ISSUER G

– 400,00

S_EQV_h1#

EQ_V_0.50

ISSUER H

–50,00

S_EQV_i1#

EQ_V_0.50

ISSUER I

300,00

S_EQV_j1#

EQ_V_0.50

ISSUER J

50,00

S_EQV_k1#

EQ_V_0.50

ISSUER K

– 300,00

S_EQV_l1#

EQ_V_0.50

ISSUER L

1 000,00

S_EQV_n1#

EQ_V_0.50

INDEX N

750,00

S_EQV_o1#

EQ_V_0.50

INDEX O

– 500,00

S_EQV_p1#

EQ_V_0.50

INDEX P

40,00

S_EQD_a1#

EQ_D_SPOT

ISSUER A

16 500,00

S_EQD_a2#

EQ_D_SPOT

ISSUER A

–35 000,00

S_EQD_b1#

EQ_D_SPOT

ISSUER B

20 000,00

S_EQD_c1#

EQ_D_SPOT

ISSUER C

66 000,00

S_EQD_d1#

EQ_D_SPOT

ISSUER D

1 700,00

S_EQD_e1#

EQ_D_SPOT

ISSUER E

1 100,00

S_EQD_f1#

EQ_D_SPOT

ISSUER F

25 000,00

S_EQD_g1#

EQ_D_SPOT

ISSUER G

8 400,00

S_EQD_h1#

EQ_D_SPOT

ISSUER H

22 500,00

S_EQD_i1#

EQ_D_SPOT

ISSUER I

–12 300,00

S_EQD_j1#

EQ_D_SPOT

ISSUER J

– 450,00

S_EQD_k1#

EQ_D_SPOT

ISSUER K

– 143,00

S_EQD_l1#

EQ_D_SPOT

ISSUER L

– 143,00

S_EQD_m1#

EQ_D_SPOT

ISSUER M

– 100,00

S_EQD_n1#

EQ_D_SPOT

ISSUER N

– 100,00

S_EQD_o1#

EQ_D_SPOT

ISSUER O

–19 600,00

S_EQD_q1#

EQ_D_SPOT

INDEX Q

1 100,00

S_EQD_r1#

EQ_D_SPOT

INDEX R

–40 000,00

S_EQD_s1#

EQ_D_SPOT

INDEX S

–1 950,00

S_EQD_s2#

EQ_D_SPOT

INDEX S

280,00

S_EQD_t2#

EQ_D_SPOT

INDEX T

3 150,00

S_EQD_u1#

EQ_D_SPOT

ISSUER U

–57,00

S_EQD_v1#

EQ_D_SPOT

ISSUER V

– 100,00

S_EQD_a3#

EQ_D_REPO

ISSUER A

50 000,00

S_EQD_aa1#

EQ_D_REPO

ISSUER AA

79 000,00

S_EQD_ab1#

EQ_D_REPO

ISSUER AB

31 000,00

S_EQD_ac1#

EQ_D_REPO

ISSUER AC

–10 000,00

S_EQD_b2#

EQ_D_REPO

ISSUER B

–39 000,00

S_EQD_f2#

EQ_D_REPO

ISSUER F

90 000,00

S_EQD_g2#

EQ_D_REPO

ISSUER G

60 000,00

S_EQD_k2#

EQ_D_REPO

ISSUER K

–14 250,00

S_EQD_l2#

EQ_D_REPO

ISSUER L

– 150 000,00

S_EQD_m2#

EQ_D_REPO

ISSUER M

–85 000,00

S_EQD_n2#

EQ_D_REPO

ISSUER N

–72 000,00

S_EQD_p1#

EQ_D_REPO

ISSUER P

48 000,00

S_EQD_q2#

EQ_D_REPO

INDEX Q

85 000,00

S_EQD_r2#

EQ_D_REPO

INDEX R

–40 000,00

S_EQD_t1#

EQ_D_REPO

INDEX T

– 125 000,00

S_EQD_x1#

EQ_D_REPO

ISSUER X

75 000,00

S_EQD_y1#

EQ_D_REPO

ISSUER Y

4 800,00

S_EQD_z1#

EQ_D_REPO

ISSUER Z

–15 000,00

S_EQC_a1#

EQ_CU

ISSUER A

–37 820,00

S_EQC_a2#

EQ_CU

ISSUER A

77 655,00

S_EQC_aa1#

EQ_CU

ISSUER AA

39 300,00

S_EQC_ab1#

EQ_CU

ISSUER AB

17 262,00

S_EQC_ac1#

EQ_CU

ISSUER AC

7 139,60

S_EQC_ad1#

EQ_CU

ISSUER AD

–3 642,50

S_EQC_ae1#

EQ_CU

ISSUER AE

3 900,00

S_EQC_af1#

EQ_CU

ISSUER AF

41 550,00

S_EQC_ag1#

EQ_CU

ISSUER AG

36 860,00

S_EQC_ah1#

EQ_CU

ISSUER AH

22 150,00

S_EQC_b1#

EQ_CU

ISSUER B

20 677,50

S_EQC_c1#

EQ_CU

ISSUER C

–31 440,00

S_EQC_d1#

EQ_CU

ISSUER D

6 238,00

S_EQC_e1#

EQ_CU

ISSUER E

–21 605,00

S_EQC_f1#

EQ_CU

ISSUER F

–2 850,00

S_EQC_g1#

EQ_CU

ISSUER G

–3 642,50

S_EQC_h1#

EQ_CU

ISSUER H

–7 800,00

S_EQC_i1#

EQ_CU

ISSUER I

–29 550,00

S_EQC_j1#

EQ_CU

ISSUER J

– 216 320,00

S_EQC_k1#

EQ_CU

ISSUER K

1 950,00

S_EQC_q1#

EQ_CU

ISSUER Q

–19 142,00

S_EQC_r1#

EQ_CU

ISSUER R

28 713,00

S_EQC_s1#

EQ_CU

ISSUER S

–17 025,00

S_EQC_t1#

EQ_CU

ISSUER T

7 466,67

S_EQC_u1#

EQ_CU

ISSUER U

11 160,00

S_EQC_v1#

EQ_CU

ISSUER V

–39 200,00

S_EQC_w1#

EQ_CU

ISSUER W

–58 590,00

S_EQC_y1#

EQ_CU

ISSUER Y

–23 930,00

S_EQC_z1#

EQ_CU

ISSUER Z

–47 860,00

S_EQC_a1#

EQ_CD

ISSUER A

39 157,50

S_EQC_a2#

EQ_CD

ISSUER A

–80 349,00

S_EQC_aa1#

EQ_CD

ISSUER AA

–30 600,00

S_EQC_ab1#

EQ_CD

ISSUER AB

–9 826,00

S_EQC_ac1#

EQ_CD

ISSUER AC

–5 414,60

S_EQC_ad1#

EQ_CD

ISSUER AD

2 617,50

S_EQC_ae1#

EQ_CD

ISSUER AE

–2 720,00

S_EQC_af1#

EQ_CD

ISSUER AF

–28 250,00

S_EQC_ag1#

EQ_CD

ISSUER AG

–30 935,00

S_EQC_ah1#

EQ_CD

ISSUER AH

–15 025,00

S_EQC_b1#

EQ_CD

ISSUER B

– 238 910,00

S_EQC_c1#

EQ_CD

ISSUER C

24 480,00

S_EQC_d1#

EQ_CD

ISSUER D

–6 068,00

S_EQC_e1#

EQ_CD

ISSUER E

12 310,00

S_EQC_f1#

EQ_CD

ISSUER F

2 160,00

S_EQC_g1#

EQ_CD

ISSUER G

2 617,50

S_EQC_h1#

EQ_CD

ISSUER H

5 440,00

S_EQC_i1#

EQ_CD

ISSUER I

20 050,00

S_EQC_j1#

EQ_CD

ISSUER J

181 560,00

S_EQC_k1#

EQ_CD

ISSUER K

–2 900,00

S_EQC_q1#

EQ_CD

ISSUER Q

20 052,00

S_EQC_r1#

EQ_CD

ISSUER R

–30 078,00

S_EQC_s1#

EQ_CD

ISSUER S

–9 435,00

S_EQC_t1#

EQ_CD

ISSUER T

–7 400,00

S_EQC_u1#

EQ_CD

ISSUER U

–11 040,00

S_EQC_v1#

EQ_CD

ISSUER V

38 850,00

S_EQC_w1#

EQ_CD

ISSUER W

57 960,00

S_EQC_y1#

EQ_CD

ISSUER Y

13 590,00

S_EQC_z1#

EQ_CD

ISSUER Z

27 180,00

S_CNV_a5#

CSR_NON_SEC_V_5.00

ISSUER A

100,00

S_CNV_b4#

CSR_NON_SEC_V_5.00

ISSUER B

50,00

S_CNV_c4#

CSR_NON_SEC_V_5.00

ISSUER C

150,00

S_CNV_hb1#

CSR_NON_SEC_V_5.00

ISSUER HA

– 750,00

S_CNV_a4#

CSR_NON_SEC_V_3.00

ISSUER A

– 500,00

S_CNV_ab1#

CSR_NON_SEC_V_3.00

ISSUER AB

325,00

S_CNV_b3#

CSR_NON_SEC_V_3.00

ISSUER B

– 500,00

S_CNV_c3#

CSR_NON_SEC_V_3.00

ISSUER C

100,00

S_CNV_v1#

CSR_NON_SEC_V_3.00

INDEX V

500,00

S_CNV_a6#

CSR_NON_SEC_V_10.00

ISSUER A

100,00

S_CNV_b5#

CSR_NON_SEC_V_10.00

ISSUER B

500,00

S_CNV_c5#

CSR_NON_SEC_V_10.00

ISSUER C

– 200,00

S_CNV_a3#

CSR_NON_SEC_V_1.00

ISSUER A

400,00

S_CNV_b2#

CSR_NON_SEC_V_1.00

ISSUER B

200,00

S_CNV_c2#

CSR_NON_SEC_V_1.00

ISSUER C

400,00

S_CNV_a1#

CSR_NON_SEC_V_0.50

ISSUER A

– 100,00

S_CNV_a2#

CSR_NON_SEC_V_0.50

ISSUER A

700,00

S_CNV_b1#

CSR_NON_SEC_V_0.50

ISSUER B

900,00

S_CNV_c1#

CSR_NON_SEC_V_0.50

ISSUER C

– 500,00

S_CNV_d1#

CSR_NON_SEC_V_0.50

ISSUER D

700,00

S_CNV_e1#

CSR_NON_SEC_V_0.50

ISSUER E

– 800,00

S_CNV_f1#

CSR_NON_SEC_V_0.50

ISSUER F

700,00

S_CNV_g1#

CSR_NON_SEC_V_0.50

ISSUER G

– 400,00

S_CNV_h1#

CSR_NON_SEC_V_0.50

ISSUER H

–50,00

S_CNV_i1#

CSR_NON_SEC_V_0.50

ISSUER I

300,00

S_CNV_j1#

CSR_NON_SEC_V_0.50

ISSUER J

50,00

S_CNV_k1#

CSR_NON_SEC_V_0.50

ISSUER K

– 300,00

S_CNV_l1#

CSR_NON_SEC_V_0.50

ISSUER L

1 000,00

S_CNV_m1#

CSR_NON_SEC_V_0.50

ISSUER M

– 350,00

S_CNV_n1#

CSR_NON_SEC_V_0.50

ISSUER N

950,00

S_CNV_o1#

CSR_NON_SEC_V_0.50

ISSUER O

– 900,00

S_CNV_p1#

CSR_NON_SEC_V_0.50

ISSUER P

200,00

S_CNV_q1#

CSR_NON_SEC_V_0.50

ISSUER Q

400,00

S_CNV_r1#

CSR_NON_SEC_V_0.50

ISSUER R

– 300,00

S_CNV_s1#

CSR_NON_SEC_V_0.50

INDEX S

850,00

S_CNV_t1#

CSR_NON_SEC_V_0.50

INDEX T

– 650,00

S_CNV_u1#

CSR_NON_SEC_V_0.50

INDEX U

– 350,00

S_CND_hb2#

CSR_NON_SEC_D_3.00_DEBT

ISSUER HB

–17 000,00

S_CND_t1#

CSR_NON_SEC_D_3.00_DEBT

ISSUER T

–6 000,00

S_CND_y1#

CSR_NON_SEC_D_3.00_DEBT

INDEX Y

9 000,00

S_CND_ab2#

CSR_NON_SEC_D_3.00_CDS

ISSUER AC

14 000,00

S_CND_b2#

CSR_NON_SEC_D_3.00_CDS

ISSUER B

–17 000,00

S_CND_w1#

CSR_NON_SEC_D_10.00_DEBT

ISSUER W

CQS 1

9 000,00

S_CND_a4#

CSR_NON_SEC_D_1.00_DEBT

ISSUER A

–10 000,00

S_CND_s1#

CSR_NON_SEC_D_1.00_DEBT

ISSUER S

–6 000,00

S_CND_x1#

CSR_NON_SEC_D_1.00_CDS

INDEX X

–18 500,00

S_CND_a1#

CSR_NON_SEC_D_0.50_DEBT

ISSUER A

20 000,00

S_CND_a2#

CSR_NON_SEC_D_0.50_DEBT

ISSUER A

–30 000,00

S_CND_b1#

CSR_NON_SEC_D_0.50_DEBT

ISSUER B

12 000,00

S_CND_c1#

CSR_NON_SEC_D_0.50_DEBT

ISSUER C

–6 000,00

S_CND_d1#

CSR_NON_SEC_D_0.50_DEBT

ISSUER D

25 000,00

S_CND_e1#

CSR_NON_SEC_D_0.50_DEBT

ISSUER E

–4 000,00

S_CND_f1#

CSR_NON_SEC_D_0.50_DEBT

ISSUER F

–8 000,00

S_CND_g1#

CSR_NON_SEC_D_0.50_DEBT

ISSUER G

8 000,00

S_CND_h1#

CSR_NON_SEC_D_0.50_DEBT

ISSUER H

3 000,00

S_CND_hb1#

CSR_NON_SEC_D_0.50_DEBT

ISSUER HA

–23 000,00

S_CND_i1#

CSR_NON_SEC_D_0.50_DEBT

ISSUER I

CQS 2

–5 000,00

S_CND_j1#

CSR_NON_SEC_D_0.50_DEBT

ISSUER J

2 000,00

S_CND_k1#

CSR_NON_SEC_D_0.50_DEBT

ISSUER K

7 000,00

S_CND_l1#

CSR_NON_SEC_D_0.50_DEBT

ISSUER L

–9 000,00

S_CND_m1#

CSR_NON_SEC_D_0.50_DEBT

ISSUER M

10 000,00

S_CND_n1#

CSR_NON_SEC_D_0.50_DEBT

ISSUER N

–20 000,00

S_CND_o1#

CSR_NON_SEC_D_0.50_DEBT

ISSUER O

5 000,00

S_CND_p1#

CSR_NON_SEC_D_0.50_DEBT

ISSUER P

–3 000,00

S_CND_q1#

CSR_NON_SEC_D_0.50_DEBT

ISSUER Q

10 000,00

S_CND_r1#

CSR_NON_SEC_D_0.50_DEBT

ISSUER R

–5 000,00

S_CND_a3#

CSR_NON_SEC_D_0.50_CDS

ISSUER A

15 000,00

S_CND_ab1#

CSR_NON_SEC_D_0.50_CDS

ISSUER AB

21 000,00

S_CND_u1#

CSR_NON_SEC_D_0.50_CDS

INDEX U

–32 000,00

S_CND_v1#

CSR_NON_SEC_D_0.50_CDS

INDEX V

–13 000,00

S_CND_x2#

CSR_NON_SEC_D_0.50_CDS

INDEX X

52 500,00

S_CNC_a1#

CSR_NON_SEC_CU

ISSUER A

–2 338,64

S_CNC_a2#

CSR_NON_SEC_CU

ISSUER A

35 116,67

S_CNC_aa1#

CSR_NON_SEC_CU

ISSUER AA

CQS 1

–1 212,50

S_CNC_ab1#

CSR_NON_SEC_CU

ISSUER AB1

– 247,47

S_CNC_b1#

CSR_NON_SEC_CU

ISSUER B

890,91

S_CNC_c1#

CSR_NON_SEC_CU

ISSUER C

– 500,00

S_CNC_d1#

CSR_NON_SEC_CU

ISSUER D

415,00

S_CNC_e1#

CSR_NON_SEC_CU

ISSUER E

–1 050,00

S_CNC_f1#

CSR_NON_SEC_CU

ISSUER F

– 150,00

S_CNC_g1#

CSR_NON_SEC_CU

ISSUER G

– 318,75

S_CNC_h1#

CSR_NON_SEC_CU

ISSUER H

– 425,00

S_CNC_hb1#

CSR_NON_SEC_CU

ISSUER HB1

– 500,00

S_CNC_i1#

CSR_NON_SEC_CU

ISSUER I

CQS 2

– 937,50

S_CNC_j1#

CSR_NON_SEC_CU

ISSUER J

–4 650,00

S_CNC_k1#

CSR_NON_SEC_CU

ISSUER K

– 425,00

S_CNC_l1#

CSR_NON_SEC_CU

ISSUER L

–27 660,00

S_CNC_m1#

CSR_NON_SEC_CU

ISSUER M

– 488,00

S_CNC_n1#

CSR_NON_SEC_CU

ISSUER N

13 237,50

S_CNC_o1#

CSR_NON_SEC_CU

ISSUER O

–1 127,50

S_CNC_p1#

CSR_NON_SEC_CU

ISSUER P

–5 775,00

S_CNC_q1#

CSR_NON_SEC_CU

ISSUER Q

–7 842,00

S_CNC_r1#

CSR_NON_SEC_CU

ISSUER R

15 684,00

S_CNC_s1#

CSR_NON_SEC_CU

ISSUER S

– 750,00

S_CNC_t1#

CSR_NON_SEC_CU

ISSUER T

3 550,00

S_CNC_u1#

CSR_NON_SEC_CU

ISSUER U

1 660,00

S_CNC_v1#

CSR_NON_SEC_CU

ISSUER V

–18 637,50

S_CNC_w1#

CSR_NON_SEC_CU

ISSUER W

–8 715,00

S_CNC_x1#

CSR_NON_SEC_CU

ISSUER X

– 500,00

S_CNC_y1#

CSR_NON_SEC_CU

ISSUER Y

– 249,95

S_CNC_z1#

CSR_NON_SEC_CU

ISSUER Z

– 249,95

S_CNC_a1#

CSR_NON_SEC_CD

ISSUER A

2 363,38

S_CNC_a2#

CSR_NON_SEC_CD

ISSUER A

–35 314,65

S_CNC_aa1#

CSR_NON_SEC_CD

ISSUER AA

CQS 1

1 150,00

S_CNC_ab1#

CSR_NON_SEC_CD

ISSUER AB1

247,47

S_CNC_b1#

CSR_NON_SEC_CD

ISSUER B

–5 543,43

S_CNC_c1#

CSR_NON_SEC_CD

ISSUER C

500,00

S_CNC_d1#

CSR_NON_SEC_CD

ISSUER D

– 385,00

S_CNC_e1#

CSR_NON_SEC_CD

ISSUER E

575,00

S_CNC_f1#

CSR_NON_SEC_CD

ISSUER F

75,00

S_CNC_g1#

CSR_NON_SEC_CD

ISSUER G

287,50

S_CNC_h1#

CSR_NON_SEC_CD

ISSUER H

400,00

S_CNC_hb1#

CSR_NON_SEC_CD

ISSUER HB1

500,00

S_CNC_i1#

CSR_NON_SEC_CD

ISSUER I

CQS 2

750,00

S_CNC_j1#

CSR_NON_SEC_CD

ISSUER J

4 100,00

S_CNC_k1#

CSR_NON_SEC_CD

ISSUER K

387,50

S_CNC_l1#

CSR_NON_SEC_CD

ISSUER L

22 130,00

S_CNC_m1#

CSR_NON_SEC_CD

ISSUER M

160,00

S_CNC_n1#

CSR_NON_SEC_CD

ISSUER N

–23 437,50

S_CNC_o1#

CSR_NON_SEC_CD

ISSUER O

1 246,25

S_CNC_p1#

CSR_NON_SEC_CD

ISSUER P

6 225,00

S_CNC_q1#

CSR_NON_SEC_CD

ISSUER Q

8 752,00

S_CNC_r1#

CSR_NON_SEC_CD

ISSUER R

–17 504,00

S_CNC_s1#

CSR_NON_SEC_CD

ISSUER S

– 250,00

S_CNC_t1#

CSR_NON_SEC_CD

ISSUER T

–3 500,00

S_CNC_u1#

CSR_NON_SEC_CD

ISSUER U

–1 540,00

S_CNC_v1#

CSR_NON_SEC_CD

ISSUER V

18 375,00

S_CNC_w1#

CSR_NON_SEC_CD

ISSUER W

8 085,00

S_CNC_x1#

CSR_NON_SEC_CD

ISSUER X

500,00

S_CNC_y1#

CSR_NON_SEC_CD

ISSUER Y

– 226,77

S_CNC_z1#

CSR_NON_SEC_CD

ISSUER Z

– 226,77

S_CMV_a5#

CM_V_5.00

COAL

– 300,00

S_CMV_b4#

CM_V_5.00

URANIUM

450,00

S_CMV_a4#

CM_V_3.00

COAL

800,00

S_CMV_b3#

CM_V_3.00

URANIUM

800,00

S_CMV_a6#

CM_V_10.00

COAL

100,00

S_CMV_b5#

CM_V_10.00

URANIUM

– 250,00

S_CMV_a3#

CM_V_1.00

COAL

– 200,00

S_CMV_b2#

CM_V_1.00

URANIUM

– 750,00

S_CMV_d1#

CM_V_1.00

WTI

– 175,00

S_CMV_f1#

CM_V_1.00

FWD ELECTRICITY NE

– 450,00

S_CMV_h1#

CM_V_1.00

PANAMAX

–5 500,00

S_CMV_j1#

CM_V_1.00

COPPER

– 200,00

S_CMV_l1#

CM_V_1.00

LIQUEFIED NATURAL GAS

1 000,00

S_CMV_n1#

CM_V_1.00

SILVER

500,00

S_CMV_p1#

CM_V_1.00

CORN

–1 000,00

S_CMV_r1#

CM_V_1.00

WHEY

– 125,00

S_CMV_t1#

CM_V_1.00

RUBBER

–50,00

S_CMV_v1#

CM_V_1.00

POTASH

–1 800,00

S_CMV_a1#

CM_V_0.50

COAL

1 000,00

S_CMV_a2#

CM_V_0.50

COAL

– 350,00

S_CMV_b1#

CM_V_0.50

URANIUM

150,00

S_CMV_c1#

CM_V_0.50

BRENT

200,00

S_CMV_e1#

CM_V_0.50

SPOT ELECTRICITY SE

– 300,00

S_CMV_g1#

CM_V_0.50

SUPRAMAX

–5 000,00

S_CMV_i1#

CM_V_0.50

STEEL

550,00

S_CMV_k1#

CM_V_0.50

NATURAL GAS

400,00

S_CMV_m1#

CM_V_0.50

GOLD

– 200,00

S_CMV_o1#

CM_V_0.50

SOYBEANS

– 750,00

S_CMV_q1#

CM_V_0.50

FISH

250,00

S_CMV_s1#

CM_V_0.50

COCOA

350,00

S_CMV_u1#

CM_V_0.50

FLAT GLASS

3 000,00

S_CMV_w1#

CM_V_0.50

SUPRAMAX

–5 000,00

S_CMV_x1#

CM_V_0.50

PANAMAX

15 000,00

S_CMD_p1#

CM_D_30.00

CORN

OKLAHOMA

–10 000,00

S_CMD_f1#

CM_D_3.00

FWD ELECTRICITY NE

TEXAS

–4 500,00

S_CMD_h1#

CM_D_3.00

PANAMAX

NEW ORLEANS

–68 750,00

S_CMD_n1#

CM_D_20.00

SILVER

EU1

5 000,00

S_CMD_r1#

CM_D_20.00

WHEY

NEWCASTLE

–1 250,00

S_CMD_d1#

CM_D_2.00

WTI

OKLAHOMA

–1 750,00

S_CMD_l1#

CM_D_15.00

LIQUEFIED NATURAL GAS

OKLAHOMA

10 000,00

S_CMD_t1#

CM_D_15.00

RUBBER

NEWCASTLE

– 500,00

S_CMD_j1#

CM_D_10.00

COPPER

OKLAHOMA

–2 000,00

S_CMD_v1#

CM_D_10.00

POTASH

NEWCASTLE

–18 000,00

S_CMD_b1#

CM_D_1.00

URANIUM

OKLAHOMA

1 500,00

S_CMD_g1#

CM_D_1.00

SUPRAMAX

SANTOS

–62 500,00

S_CMD_w1#

CM_D_1.00

SUPRAMAX

SANTOS

–62 500,00

S_CMD_x1#

CM_D_1.00

PANAMAX

NEW ORLEANS

187 500,00

S_CMD_a4#

CM_D_0.50

COAL

NEWCASTLE

8 000,00

S_CMD_a1#

CM_D_0.00

COAL

NEWCASTLE

10 000,00

S_CMD_a2#

CM_D_0.00

COAL

NEWCASTLE

–3 500,00

S_CMD_a3#

CM_D_0.00

COAL

LONDON

–2 000,00

S_CMD_c1#

CM_D_0.00

BRENT

LE HAVRE

2 000,00

S_CMD_e1#

CM_D_0.00

SPOT ELECTRICITY SE

LONDON

–3 000,00

S_CMD_i1#

CM_D_0.00

STEEL

LE HAVRE

5 500,00

S_CMD_k1#

CM_D_0.00

NATURAL GAS

LE HAVRE

4 000,00

S_CMD_m1#

CM_D_0.00

GOLD

UK1

–2 000,00

S_CMD_o1#

CM_D_0.00

SOYBEANS

LE HAVRE

–7 500,00

S_CMD_q1#

CM_D_0.00

FISH

LONDON

2 500,00

S_CMD_s1#

CM_D_0.00

COCOA

LONDON

3 500,00

S_CMD_u1#

CM_D_0.00

FLAT GLASS

LONDON

30 000,00

S_CMC_a1#

CM_CU

COAL

17 335,00

S_CMC_a2#

CM_CU

COAL

36 936,00

S_CMC_b1#

CM_CU

URANIUM

6 635,00

S_CMC_c1#

CM_CU

BRENT

–11 600,00

S_CMC_d1#

CM_CU

WTI

–36 900,00

S_CMC_e1#

CM_CU

SPOT ELECTRICITY SE

8 563,00

S_CMC_f1#

CM_CU

FWD ELECTRICITY NE

–27 250,00

S_CMC_g1#

CM_CU

SUPRAMAX

–36 880,00

S_CMC_h1#

CM_CU

PANAMAX

29 472,00

S_CMC_i1#

CM_CU

STEEL

–5 850,00

S_CMC_j1#

CM_CU

COPPER

14 644,80

S_CMC_k1#

CM_CU

NATURAL GAS

–6 147,50

S_CMC_l1#

CM_CU

LIQUEFIED NATURAL GAS

–6 147,50

S_CMC_m1#

CM_CU

GOLD

–1 486,67

S_CMC_n1#

CM_CU

SILVER

743,33

S_CMC_o1#

CM_CU

SOYBEANS

–14 535,00

S_CMC_p1#

CM_CU

CORN

20 475,00

S_CMC_q1#

CM_CU

FISH

–19 900,00

S_CMC_r1#

CM_CU

WHEY

3 387,00

S_CMC_s1#

CM_CU

COCOA

1 005,00

S_CMC_t1#

CM_CU

RUBBER

10 892,20

S_CMC_u1#

CM_CU

FLAT GLASS

–13 790,00

S_CMC_v1#

CM_CU

POTASH

20 685,00

S_CMC_x1#

CM_CU

MILK

–6 300,00

S_CMC_y1#

CM_CU

URANIUM

–65 864,00

S_CMC_z1#

CM_CU

PANAMAX

29 472,00

S_CMC_a1#

CM_CD

COAL

–18 260,00

S_CMC_a2#

CM_CD

COAL

–37 630,00

S_CMC_b1#

CM_CD

URANIUM

–70 460,00

S_CMC_c1#

CM_CD

BRENT

8 320,00

S_CMC_d1#

CM_CD

WTI

3 550,00

S_CMC_e1#

CM_CD

SPOT ELECTRICITY SE

–8 233,00

S_CMC_f1#

CM_CD

FWD ELECTRICITY NE

16 370,00

S_CMC_g1#

CM_CD

SUPRAMAX

29 110,00

S_CMC_h1#

CM_CD

PANAMAX

–15 256,00

S_CMC_i1#

CM_CD

STEEL

4 080,00

S_CMC_j1#

CM_CD

COPPER

–10 219,80

S_CMC_k1#

CM_CD

NATURAL GAS

4 222,50

S_CMC_l1#

CM_CD

LIQUEFIED NATURAL GAS

4 222,50

S_CMC_m1#

CM_CD

GOLD

1 353,33

S_CMC_n1#

CM_CD

SILVER

– 676,67

S_CMC_o1#

CM_CD

SOYBEANS

10 435,00

S_CMC_p1#

CM_CD

CORN

–14 735,00

S_CMC_q1#

CM_CD

FISH

6 700,00

S_CMC_r1#

CM_CD

WHEY

–3 012,00

S_CMC_s1#

CM_CD

COCOA

–1 415,00

S_CMC_t1#

CM_CD

RUBBER

–7 817,20

S_CMC_u1#

CM_CD

FLAT GLASS

14 200,00

S_CMC_v1#

CM_CD

POTASH

–21 300,00

S_CMC_x1#

CM_CD

MILK

–4 700,00

S_CMC_y1#

CM_CD

URANIUM

–66 344,00

S_CMC_z1#

CM_CD

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

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

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

DELTA

S_EQD_a2#

E002

DELTA

S_EQD_c1#

E003

DELTA

S_EQD_d1#

E004

DELTA

S_EQD_e1#

E005

DELTA

S_EQD_f1#

E006

DELTA

S_EQD_h1#

E007

DELTA

S_EQD_i1#

E008

DELTA

S_EQD_j1#

E009

DELTA

S_EQD_k1#

E010

DELTA

S_EQD_m1#

E011

DELTA

S_EQD_o1#

E012

DELTA

S_EQD_q1#

E013

DELTA

S_EQD_s1#

E014

DELTA

S_EQD_a3#

E015

DELTA

S_EQD_x1#

E016

DELTA

S_EQD_y1#

E017

DELTA

S_EQD_z1#

E018

DELTA

S_EQD_f2#

E019

DELTA

S_EQD_aa1#

E020

DELTA

S_EQD_ab1#

E021

DELTA

S_EQD_ac1#

E022

DELTA

S_EQD_k2#

E023

DELTA

S_EQD_m2#

E024

DELTA

S_EQD_p1#

E025

DELTA

S_EQD_q2#

E026

DELTA

S_EQD_t1#

E027

DELTA

S_EQD_a1# S_EQD_a2#

E028

DELTA

S_EQD_a2# S_EQD_a3#

E029

DELTA

S_EQD_a2# S_EQD_b1#

E030

DELTA

S_EQD_a2# S_EQD_b2#

E031

DELTA

S_EQD_f1# S_EQD_f2#

E032

DELTA

S_EQD_f1# S_EQD_g1#

E033

DELTA

S_EQD_f1# S_EQD_g2#

E034

DELTA

S_EQD_k1# S_EQD_k2#

E035

DELTA

S_EQD_k1# S_EQD_l1#

E036

DELTA

S_EQD_k1# S_EQD_l2#

E037

DELTA

S_EQD_m1# S_EQD_m2#

E038

DELTA

S_EQD_m1# S_EQD_n1#

E039

DELTA

S_EQD_m1# S_EQD_n2#

E040

DELTA

S_EQD_o1# S_EQD_p1#

E041

DELTA

S_EQD_q1# S_EQD_q2#

E042

DELTA

S_EQD_q1# S_EQD_r1#

E043

DELTA

S_EQD_s1# S_EQD_t1#

E044

DELTA

S_EQD_s1# S_EQD_t1# S_EQD_t2#

E045

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

DELTA

S_EQD_a2# S_EQD_o1#

E047

DELTA

S_EQD_q1# S_EQD_s1#

E048

DELTA

S_EQD_a2# S_EQD_q1#

E049

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

DELTA

E051

VEGA

S_EQV_a2#

E052

VEGA

S_EQV_c1#

E053

VEGA

S_EQV_d1#

E054

VEGA

S_EQV_e1#

E055

VEGA

S_EQV_f1#

E056

VEGA

S_EQV_g1#

E057

VEGA

S_EQV_h1#

E058

VEGA

S_EQV_i1#

E059

VEGA

S_EQV_j1#

E060

VEGA

S_EQV_k1#

E061

VEGA

S_EQV_l1#

E062

VEGA

S_EQV_n1#

E063

VEGA

S_EQV_p1#

E064

VEGA

S_EQV_a1# S_EQV_a2#

E065

VEGA

S_EQV_a2# S_EQV_a3# S_EQV_a4# S_EQV_a5# S_EQV_a6#

E066

VEGA

S_EQV_a2# S_EQV_b1#

E067

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

VEGA

S_EQV_f1# S_EQV_f2# S_EQV_f3# S_EQV_f4# S_EQV_f5#

E069

VEGA

S_EQV_f1# S_EQV_aa1#

E070

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

VEGA

S_EQV_j1# S_EQV_j2# S_EQV_j3# S_EQV_j4# S_EQV_j5#

E072

VEGA

S_EQV_j1# S_EQV_ae1#

E073

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

VEGA

S_EQV_k1# S_EQV_k2# S_EQV_k3# S_EQV_k4# S_EQV_k5#

E075

VEGA

S_EQV_k1# S_EQV_af1#

E076

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

VEGA

S_EQV_l1# S_EQV_m1#

E078

VEGA

S_EQV_n1# S_EQV_n2# S_EQV_n3# S_EQV_n4# S_EQV_n5#

E079

VEGA

S_EQV_n1# S_EQV_o1#

E080

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

VEGA

S_EQV_o1# S_EQV_o2# S_EQV_o3# S_EQV_o4# S_EQV_o5#

E082

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

VEGA

S_EQV_a2# S_EQV_m1#

E084

VEGA

S_EQV_n1# S_EQV_p1#

E085

VEGA

S_EQV_a2# S_EQV_n1#

E086

VEGA

S_EQV_o1# S_EQV_o2# S_EQV_o3# S_EQV_o4# S_EQV_o5# S_EQV_p1#

E087

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

CURVATURE

S_EQC_b1#

E089

CURVATURE

S_EQC_c1#

E090

CURVATURE

S_EQC_d1#

E091

CURVATURE

S_EQC_e1#

E092

CURVATURE

S_EQC_f1#

E093

CURVATURE

S_EQC_g1#

E094

CURVATURE

S_EQC_h1#

E095

CURVATURE

S_EQC_i1#

E096

CURVATURE

S_EQC_j1#

E097

CURVATURE

S_EQC_k1#

E098

CURVATURE

S_EQC_q1#

E099

CURVATURE

S_EQC_t1#

E100

CURVATURE

S_EQC_u1#

E101

CURVATURE

S_EQC_a1# S_EQC_a2#

E102

CURVATURE

S_EQC_a1# S_EQC_b1#

E103

CURVATURE

S_EQC_f1# S_EQC_ac1#

E104

CURVATURE

S_EQC_j1# S_EQC_ag1#

E105

CURVATURE

S_EQC_k1# S_EQC_ah1#

E106

CURVATURE

S_EQC_q1# S_EQC_r1#

E107

CURVATURE

S_EQC_t1# S_EQC_v1#

E108

CURVATURE

S_EQC_a1# S_EQC_a2# S_EQC_b1# S_EQC_y1# S_EQC_z1#

E109

CURVATURE

S_EQC_s1#

E110

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

CURVATURE

S_EQC_a2# S_EQC_q1#

E112

CURVATURE

S_EQC_t1# S_EQC_u1#

E113

CURVATURE

S_EQC_a2# S_EQC_t1#

E114

CURVATURE

S_EQC_a1# S_EQC_b1# S_EQC_d1# S_EQC_s1#

E115

CURVATURE

S_EQC_a1# S_EQC_b1# S_EQC_t1# S_EQC_u1#

E116

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

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

DELTA

S_FXD_b1#

F002

DELTA

S_FXD_c1#

F003

DELTA

S_FXD_a1# S_FXD_b1#

F005

DELTA

S_FXD_b1# S_FXD_c1#

F007

DELTA

S_FXD_a1# S_FXD_b1# S_FXD_c1# S_FXD_d1# S_FXD_e1# S_FXD_f1#

F008

VEGA

S_FXV_b1#

F009

VEGA

S_FXV_a1# S_FXV_b1#

F010

VEGA

S_FXV_b1# S_FXV_b2# S_FXV_b3# S_FXV_b4# S_FXV_b5#

F011

VEGA

S_FXV_d1# S_FXV_d2# S_FXV_d3# S_FXV_d4# S_FXV_d5#

F012

VEGA

S_FXV_b1# S_FXV_b2# S_FXV_b3# S_FXV_b4# S_FXV_b5# S_FXV_c1#

F013

VEGA

S_FXV_c1# S_FXV_d1# S_FXV_d2# S_FXV_d3# S_FXV_d4# S_FXV_d5#

F014

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

CURVATURE

S_FXC_b1#

F016

CURVATURE

S_FXC_c1#

F017

CURVATURE

S_FXC_a1# S_FXC_b1#

F018

CURVATURE

S_FXC_d1#

F019

CURVATURE

S_FXC_b1# S_FXC_c1#

F020

CURVATURE

S_FXC_c1# S_FXC_e1#

F021

CURVATURE

S_FXC_b1# S_FXC_d1# S_FXC_e1#

F022

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

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

DELTA

S_FXD_d1#

F026

DELTA

S_FXD_f1#

F028

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

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

DELTA

S_CMD_a2#

C002

DELTA

S_CMD_c1#

C003

DELTA

S_CMD_e1#

C004

DELTA

S_CMD_g1#

C005

DELTA

S_CMD_i1#

C006

DELTA

S_CMD_k1#

C007

DELTA

S_CMD_m1#

C008

DELTA

S_CMD_o1#

C009

DELTA

S_CMD_q1#

C010

DELTA

S_CMD_s1#

C011

DELTA

S_CMD_u1#

C012

DELTA

S_CMD_a1# S_CMD_a2#

C013

DELTA

S_CMD_a2# S_CMD_a3#

C014

DELTA

S_CMD_a2# S_CMD_a4#

C015

DELTA

S_CMD_a3# S_CMD_a4#

C016

DELTA

S_CMD_a2# S_CMD_b1#

C017

DELTA

S_CMD_c1# S_CMD_d1#

C018

DELTA

S_CMD_e1# S_CMD_f1#

C019

DELTA

S_CMD_g1# S_CMD_h1#

C020

DELTA

S_CMD_i1# S_CMD_j1#

C021

DELTA

S_CMD_k1# S_CMD_l1#

C022

DELTA

S_CMD_m1# S_CMD_n1#

C023

DELTA

S_CMD_o1# S_CMD_p1#

C024

DELTA

S_CMD_q1# S_CMD_r1#

C025

DELTA

S_CMD_s1# S_CMD_t1#

C026

DELTA

S_CMD_u1# S_CMD_v1#

C027

DELTA

S_CMD_g1# S_CMD_h1# S_CMD_w1# S_CMD_x1#

C028

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

DELTA

S_CMD_a2# S_CMD_u1#

C030

DELTA

S_CMD_c1# S_CMD_d1# S_CMD_g1# S_CMD_h1# S_CMD_w1# S_CMD_x1#

C031

DELTA

C032

VEGA

S_CMV_a2#

C033

VEGA

S_CMV_a1# S_CMV_a2#

C034

VEGA

S_CMV_a2# S_CMV_a3# S_CMV_a4# S_CMV_a5# S_CMV_a6#

C035

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

VEGA

S_CMV_c1# S_CMV_d1#

C037

VEGA

S_CMV_e1# S_CMV_f1#

C038

VEGA

S_CMV_g1# S_CMV_h1#

C039

VEGA

S_CMV_i1# S_CMV_j1#

C040

VEGA

S_CMV_k1# S_CMV_l1#

C041

VEGA

S_CMV_m1# S_CMV_n1#

C042

VEGA

S_CMV_o1# S_CMV_p1#

C043

VEGA

S_CMV_q1# S_CMV_r1#

C044

VEGA

S_CMV_s1# S_CMV_t1#

C045

VEGA

S_CMV_u1# S_CMV_v1#

C046

VEGA

S_CMV_g1# S_CMV_h1# S_CMV_w1# S_CMV_x1#

C047

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

VEGA

S_CMV_a2# S_CMV_u1#

C049

VEGA

S_CMV_c1# S_CMV_d1# S_CMV_g1# S_CMV_h1# S_CMV_w1# S_CMV_x1#

C050

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

CURVATURE

S_CMC_b1#

C052

CURVATURE

S_CMC_c1#

C053

CURVATURE

S_CMC_e1#

C054

CURVATURE

S_CMC_g1#

C055

CURVATURE

S_CMC_i1#

C056

CURVATURE

S_CMC_k1#

C057

CURVATURE

S_CMC_m1#

C058

CURVATURE

S_CMC_o1#

C059

CURVATURE

S_CMC_q1#

C060

CURVATURE

S_CMC_s1#

C061

CURVATURE

S_CMC_u1#

C062

CURVATURE

S_CMC_a1# S_CMC_a2#

C063

CURVATURE

S_CMC_a1# S_CMC_b1#

C064

CURVATURE

S_CMC_c1# S_CMC_d1#

C065

CURVATURE

S_CMC_e1# S_CMC_f1#

C066

CURVATURE

S_CMC_g1# S_CMC_h1#

C067

CURVATURE

S_CMC_i1# S_CMC_j1#

C068

CURVATURE

S_CMC_k1# S_CMC_l1#

C069

CURVATURE

S_CMC_m1# S_CMC_n1#

C070

CURVATURE

S_CMC_o1# S_CMC_p1#

C071

CURVATURE

S_CMC_q1# S_CMC_r1#

C072

CURVATURE

S_CMC_s1# S_CMC_t1#

C073

CURVATURE

S_CMC_u1# S_CMC_v1#

C074

CURVATURE

S_CMC_a2# S_CMC_b1#

C075

CURVATURE

S_CMC_g1# S_CMC_z1#

C076

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

CURVATURE

S_CMC_a2# S_CMC_u1#

C078

CURVATURE

S_CMC_a1# S_CMC_a2# S_CMC_b1# S_CMC_y1# S_CMC_q1# S_CMC_r1# S_CMC_x1#

C079

CURVATURE

S_CMC_x1# S_CMC_g1# S_CMC_z1#

C080

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

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#

’

ELI: http://data.europa.eu/eli/reg_impl/2025/379/oj

ISSN 1977-0677 (electronic edition)

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