Regulatory Alerts2026-07-29
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Commission Implementing Regulation (EU) 2026/1872 amending Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and instructions for Article 78(2) of Directive 2013/36/EU
This Regulation amends Implementing Regulation (EU) 2016/2070 by replacing Annexes II, V, VI, VII, and X with new text regarding benchmark portfolios, reporting templates, and reporting instructions. The scope of the benchmarking exercise for market risk remains limited until 1 January 2027 to institutions permitted to use the Internal Model Approach, with data collection restricted to elements of the Alternative Standardised Approach during that period. Credit risk benchmarking exposure classes are aligned with the breakdown followed by credit risk IRB templates laid down in Implementing Regulation (EU) 2024/3117. The Regulation enters into force on the twentieth day following publication and has a date of effect of 1 September 2026.
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Document 32026R1872
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Commission Implementing Regulation (EU) 2026/1872 of 29 July 2026 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
Commission Implementing Regulation (EU) 2026/1872 of 29 July 2026 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
Commission Implementing Regulation (EU) 2026/1872 of 29 July 2026 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/2026/5110
OJ L, 2026/1872, 12.8.2026, ELI: http://data.europa.eu/eli/reg_impl/2026/1872/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)
Date of entry into force unknown (pending notification) or not yet in force., Date of effect: 01/09/2026
ELI: http://data.europa.eu/eli/reg_impl/2026/1872/oj
Language 1
Language 2
Language 3
Official Journal of the European Union
EN
L series
2026/1872
12.8.2026
COMMISSION IMPLEMENTING REGULATION (EU) 2026/1872
of 29 July 2026
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), fourth subparagraph thereof,
Whereas:
(1)
Directive (EU) 2024/1619 of the European Parliament and of the Council ( 2 ) amended Directive 2013/36/EU, inter alia, to introduce into that Directive requirements concerning ESG risks and to amend the supervisory benchmarking requirements. Those amendments should be reflected in Commission Implementing Regulation (EU) 2016/2070 ( 3 ) .
(2)
Commission Delegated Regulation (EU) 2025/1496 ( 4 ) amended Article 520a of Regulation (EU) No 575/2013 of the European Parliament and of the Council ( 5 ) to defer the application of the Fundamental Review of the Trading Book standards for the calculation of own funds requirements for market risk. That amendment has as a consequence that, until 1 January 2027, institutions are required to continue to apply the market risk framework laid down in the version of Regulation (EU) No 575/2013 in force on 8 July 2024. It follows that the scope of application of the benchmarking exercise should temporarily remain limited to institutions that are permitted to use the internal approaches (Internal Model Approach) as referred in Article 78(1), point (a), of Directive 2013/36/EU.
(3)
Moreover, it is opportune that the data collection for institutions using the internal models approach and falling in scope of the exercise for market risk is restricted to the elements of the Alternative Standardised Approach until 1 January 2027. That would substantially reduce the burden for the participating institutions during that period, but still guarantee comparability of annual data collections and ensure the provision of the data considered most useful by the supervisors.
(4)
Commission Implementing Regulation (EU) 2024/3117 ( 6 ) contains the templates for supervisory reporting of the use of the IRB Approach to credit risk. It is therefore appropriate to ensure that for credit risk benchmarking, exposure classes used for determining the benchmarking portfolios are aligned with the breakdown followed by the credit risk IRB templates laid down in that Implementing Regulation
(5)
Implementing Regulation (EU) 2016/2070 should therefore be amended accordingly.
(6)
This Regulation is based on the draft implementing technical standards submitted to the Commission by the EBA.
(7)
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 ( 7 ) ,
HAS ADOPTED THIS REGULATION:
Article 1
Implementing Regulation (EU) 2016/2070 is amended as follows:
(1)
Annex II 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, 29 July 2026.
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 ) Directive (EU) 2024/1619 of the European Parliament and of the Council of 31 May 2024 amending Directive 2013/36/EU as regards supervisory powers, sanctions, third-country branches, and environmental, social and governance risks ( OJ L, 2024/1619, 19.6.2024, ELI: http://data.europa.eu/eli/dir/2024/1619/oj ).
( 3 ) 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 ).
( 4 ) Commission Delegated Regulation (EU) 2025/1496 of 12 June 2025 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, 2025/1496, 19.9.2025, ELI: http://data.europa.eu/eli/reg_del/2025/1496/oj ).
( 5 ) Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions 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 ).
( 6 ) Commission Implementing Regulation (EU) 2024/3117 of 29 November 2024 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 Commission Implementing Regulation (EU) 2021/451 ( OJ L, 2024/3117, 27.12.2024, ELI: http://data.europa.eu/eli/reg_impl/2024/3117/oj ).
( 7 ) 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 II
SUPERVISORY BENCHMARKING PORTFOLIOS
DEFINITION OF THE SUPERVISORY BENCHMARK PORTFOLIOS
4
C 101.00 –
Definition of Low Default Portfolio counterparties
4
C 102.00 –
Definition of Low Default Portfolios
5
The following mapping between the exposure classes and the breakdown of the CR IRB template shall be applied:
C 103.00 –
Definition of High Default Portfolios
12
The following mapping between the exposure classes and the breakdown of the Credit Risk IRB template shall be applied:
C 104.00 –
Definition of High Default Portfolios for IFRS 9 templates
15
DEFINITION OF THE SUPERVISORY BENCHMARK PORTFOLIOS
When mapping the exposures of the institutions to the counterparties and the portfolios specified in Annex I, the institution shall use the columns, labels, legal references and instructions provided in this Annex.
Where ‘Not applicable’ is used in Annex I, no specific split shall be required for the variable it relates to.
C 101.00 –
Definition of Low Default Portfolio counterparties
Only exposures to the counterparties listed in Annex I, table C 101.00 which are treated under the Foundation IRB approach or under the Advanced IRB approach shall be reported in Annex III, template C 101.00. In Annex VIII, templates C 111.00, C 112.00 and C 113.00, -exposures to counterparties listed in Annex I, table C 101.00 which are treated under the standardised approach shall also be reported. Independent of the regulatory approach, exposures to related entities of the counterparties listed in Annex I, table C 101.00, including subsidiaries and parent companies, shall not be reported.
Column
Label
Legal reference
Instructions
0010
Counterparty code
The code assigned by EBA to each legal entity included in the low default portfolio (‘LDP’) sample.
0020
Legal entity identifier (LEI)
20-digit, alpha-numeric code that connects to key reference information that enables clear and unique identification of companies Cparticipating in global financial markets.
0030
Credit register code
The code used by the national credit register of the place of residence of the counterparty. The code is used as an identifier for the counterparty.
0040
Commercial register code
The code assigned to a counterparty by the public commercial register of the country where that counterparty is registered.
0050
ISIN code
The ‘International Securities Identification Number’ used to identify uniquely securities issued by a counterparty.
0060
Bloomberg ticker
The string of characters or numbers used to identify a company or entity uniquely in Bloomberg.
0070
Name
The name of the legal entity included in the LDP samples.
0080
Geographical area
The country of residence (ISO Code or ‘Other countries’) of the counterparty (0010).
0090
Portfolio name
The sample to which the counterparty (0010) is assigned. It is one of the following:
(a)
Sovereign sample;
(b)
Institutions sample;
(c)
Large corporate sample.
0100
Sector of counterparty
Annex VI, to Commission Implementing Regulation (EU) 2021/451
The relevant economic sector to which the counterparty (0010) is assigned. It is one of the following:
(a)
central banks;
(b)
general governments;
(c)
credit institutions;
(d)
other financial corporations;
(e)
non-financial corporations;
(f)
households;
(g)
not applicable.
The assignment of counterparties to sectors is made in accordance with the instructions in Annex V, Section 1, point 42, of Implementing Regulation (EU) 2021/451 for all counterparties except for the “European Investment Bank”, which shall be assigned to (b) General Governments due to its treatment as multilateral development bank under Article 117(2), point (j), of Regulation (EU) No 575/2013.
0110
Type of exposure
Only exposures other than specialised lending exposures shall be reported in Annex III, template C 101.00.
0120
Type of facility
Not applicable: exposures shall be reported in Annex III, template C 101.00 independently of the type of facility.
0130
Type of risk
Exposures shall be split into parts and assigned to portfolios based on the type of risk:
(a)
counterparty credit risk;
(b)
credit risk and free deliveries;
(c)
credit risk, counterparty credit risk and free deliveries.
0140
Regulatory approach
Exposures to counterparties shall be split into parts and assigned to portfolios based on the regulatory approach used for the calculation of RWEA:
(a)
foundation IRB Approach;
(b)
advanced IRB Approach;
(c)
Standardised Approach.
C 102.00 –
Definition of Low Default Portfolios
Column
Label
Legal reference
Instructions
0010
Portfolio ID
The unique ID assigned to the portfolio by EBA.
0020
Portfolio name
Each portfolio is assigned to one of the following portfolio names:
(a)
sovereign;
(b)
institutions;
(c)
large corporates;
(d)
specialised lending exposures, which comprises all the exposures defined under Article 147(2)(c)(ii) and 147(8) of Regulation (EU) No 575/2013.
0030
Type of risk
The instructions provided for column 0130 of table C 101.00 shall apply.
0040
Regulatory approach
Exposures shall be split into parts and assigned to portfolios based on the regulatory approach used for the calculation of RWEA:
(a)
foundation IRB Approach;
(b)
advanced IRB Approach;
(c)
specialised lending slotting criteria.
0050
Geographical area
Exposures shall be split into parts and assigned to portfolios based on the country of residence (ISO Code or ‘Other countries’) of the obligors.
0060
Rating
Article 153(5) of Regulation (EU) No 575/2013
Exposures shall be split into parts and assigned to portfolios based on the rank of the internal rating applied by the institution from lowest risk to highest risk excluding defaults with a probability of default (‘PD’) corresponding to 100 %. The ranking shall take values from Rating 1, Rating 2 etc.
Template C08.02 of Annex I to the Implementing Commission Regulation (EU) 2024/3117 and related instructions.
Where the reporting institution applies a unique rating system or is able to report in accordance with an internal master scale, that internal master scale shall be used. In all other cases, the different rating systems shall be merged and ordered according to the following instructions:
(a)
obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher;
(b)
where a large number of grades or pools is used, a reduced number of grades or pools to be reported may be agreed with the competent authorities.
For specialised lending exposures risk weighted in accordance with the approach set out in Article 153(5) of Regulation (EU) No 575/2013, the rating split shall be based on the supervisory risk weight category described in Table 1 of that Article, as follows:
(a)
rating 1: category 1 with remaining maturity less than 2,5 years;
(b)
rating 2: category 2 with remaining maturity less than 2,5 years;
(c)
rating 3: category 3 with remaining maturity less than 2,5 years;
(d)
rating 4: category 4 with remaining maturity less than 2,5 years;
(e)
rating 5: category 1 with remaining maturity equal or more than 2,5 years;
(f)
rating 6: category 2 with remaining maturity equal or more than 2,5 years;
(g)
rating 7: category 3 with remaining maturity equal or more than 2,5 years;
(h)
rating 8: category 4 with remaining maturity equal or more than 2,5 years.
The rating scale used for reporting in Annex I, template C 08.02 of Implementing Regulation (EU) 2021/451 shall be used. Where the institution uses a group master scale, that master scale shall be used.
0070
Exposure class
Annex II, Paragraph 76, to Implementing Regulation (EU) 2021/451
Exposures shall be split into parts and assigned to portfolios based on the exposure class:
(a)
central governments and central banks;
(b)
institutions;
(c)
For corporates exposures in Low Default Portfolios:
(c.1)
corporates – general;
(c.2)
corporates – specialised lending exposures;
(e)
not applicable.
The following mapping between the exposure classes and the breakdown of the CR IRB template shall be applied:
(*)
Exposure Class
Code in the Portfolio ID
(a)
central governments and central banks;
GOVT
A.2; B.2
(b)
institutions;
INST
A.3; A.4; A.5; B.3; B.4
(c.1)
corporates – general;
LCOR
A.6.2; A.6.3; B.5.2; B.5.3
(c.2)
corporates – specialised lending exposures;
COSP
A.6.1; B.5.1
(*)
Commission Implementing Regulation (EU) 2024/3117 of 29 November 2024 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 Commission Implementing Regulation (EU) 2021/451 (OJ L 2024/3117, 27.12.2024), Annex II: Instructions for reporting on own funds requirements, Part II: Template related instructions, Section 3.3.2
In accordance with Article 147(3a), of Regulation (EU) No 575/2013 exposures to regional governments, local authorities and public sector entities which are treated as exposures to central governments shall be assigned to the exposure class (a) central governments and central banks.
The exposure classes "equity exposures", “exposures in the form of units or shares in a CIU”, "items representing securitisation positions" and “other non-credit obligation assets” referred to in article 147(2), points (e), (ea), (f) and (g) of Regulation (EU) No 575/2013, shall not be reported.
0080
Sector of counterparty
Annex VI, to Implementing Regulation (EU) 2021/451
Exposures shall be split into parts and assigned to portfolios based on the relevant economic sector:
(a)
central banks;
(b)
general governments;
(c)
credit institutions;
(d)
other financial corporations;
(e)
non-financial corporations;
(f)
households;
(g)
not applicable.
The assignment of exposures to sectors is made in accordance with the instructions in Annex V Section 1, point 42, to Implementing Regulation (EU) 2021/451.
0090
Default status
Exposures shall be split into parts and assigned to portfolios based on the default status in accordance with Article 178 of Regulation (EU) No 575/2013:
(a)
defaulted;
(b)
non-defaulted;
(c)
not applicable.
0100
Type of facility
Article 166(8) and (10) of Regulation (EU) No 575/2013
Exposures shall be split into parts and assigned to portfolios based on the type of facility. Where more than one facility type value applies to the credit product, the exposure value shall be split on the basis of the facility type values.
The type of facility is one of the following:
(a)
full risk (100 %);
(b)
note issuance facility and revolving underwriting facility (Medium risk);
(c)
issued warranties and indemnities, guarantees, irrevocable stand-by letters of credit, documentary credit and other medium risk off-balance sheet items (Medium risk), including tender, performance, customs and tax bonds, guarantees, irrevocable standby letters of credit not having the character of credit substitutes and other medium risk off-balance sheet items;
(d)
undrawn committed revolving credit facility (Medium- low risk) including revolving lending commitments that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to a deterioration in a borrower’s creditworthiness;
(e)
undrawn committed term credit facility (Medium-low risk) including term lending commitments that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to a deterioration in a borrower’s creditworthiness;
(f)
undrawn committed other credit facility (Medium-low risk) including lending commitments, other than revolving and term, that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to a deterioration in a borrower’s creditworthiness;
(g)
issued short-term letters of credit and other medium-low risk off-balance sheet items (Medium-low risk);
(h)
undrawn uncommitted credit lines (Low risk) including lending facilities that are undrawn and that may be cancelled unconditionally at any time without notice or that do provide for automatic cancellation due to a deterioration in borrower’s creditworthiness;
(i)
undrawn purchase commitments for revolving purchased receivables and other low-risk off-balance sheet items (Low risk) including commitments that are able to be unconditionally cancelled or that effectively provide for automatic cancellation at any time by the institution without prior notice;
(j)
not applicable.
0110
Collateralisation status
Template C08.01, columns 150 to 220, of Annex I to the Implementing Commission Regulation (EU) 2024/3117 and related instructions.
Exposures shall be split into parts and assigned to portfolios based on the collateralisation status of each part:
(a)
exposures with credit protection;
(b)
exposures without credit protection;
(c)
not applicable.
The part of the exposure with credit protection shall be determined by the value of the collateral after haircuts applied in accordance with Part Three, Title II, Chapter 4, Section 4, of Regulation (EU) No 575/2013 and, where applicable, institutions’ internal guidelines.
0120
Collateral type
Template C08.01, columns 0040 to 0060 and 0150 to 0220, of Annex I to the Implementing Commission Regulation (EU) 2024/3117 and related instructions.
Exposures shall be split into parts and assigned to portfolios based on the collateral type:
(a)
eligible financial collateral (template C 08.01, column 0180);
(b)
other eligible collateral: Receivables (template C 08.01, column 0210);
(c)
other eligible collateral: Residential real estate (template C 08.01 column 0190);
(d)
other eligible collateral: Commercial real estate (template C 08.01, column 0190);
(e)
other eligible collateral: Physical collateral (template C 08.01, column 0200);
(f)
other funded credit protection (template C 08.01, columns 0060 and 0170);
(g)
credit derivatives (template C 08.01, columns 0050 and 0160);
(h)
guarantees (template C 08.01, columns 0040 and 0150);
(i)
not applicable.
The part of the exposure secured by a specific type of collateral shall be determined by the value of that specific type of the collateral after the required haircuts are applied in accordance with Part Three, Title II, Chapter 4, Section 4, of Regulation (EU) No 575/2013 and, where applicable, institutions’ internal guidelines.
0130
Counterparty
Exposures shall be split into parts and assigned to portfolios based on the type of counterparty:
(a)
public sector entities (Article 4 points (1) and (8), of Regulation (EU) No 575/2013);
(b)
counterparties other than public sector entities;
(c)
not applicable.
0140
Size of counterparty
Exposures shall be split into parts and assigned to portfolios based on the size of the counterparty which shall be determined based on the total annual turnover for the consolidated group of which the counterparty is a part:
(a)
<=EUR 50 million;
(b)
EUR 50 million and <=EUR 200 million;
(c)
EUR 200 million;
(d)
EUR 200 million and <=EUR 500 million;
(e)
EUR 500 million;
(f)
not applicable.
The total annual turnover shall be calculated in accordance with the Annex, Article 4, to Commission Recommendation 2003/361/EC ** and shall refer to the year ending one year before the reporting reference date.
0150
NACE code
Exposures shall be split into parts and assigned to portfolios based on the economic activity of the counterparty determined by the NACE Rev. 2 set out in Regulation (EC) No 1893/2006 *** :
(a)
NACE 1: C Manufacturing;
(b)
NACE 2: G Wholesale and retail trade;
(c)
NACE 3: F Construction;
(d)
NACE 4: H Transport and storage;
(e)
NACE 5: D Electricity, gas, steam and air conditioning supply;
(f)
NACE 6: A Agriculture, forestry and fishing;
(g)
NACE 7: L Real estate activities;
(h)
NACE 8: All other exposures than those included in points (a) to (g) above;
(i)
not applicable.
0160
Type of exposure
Article 147(8) of Regulation (EU) No 575/2013
Exposures shall be split into parts and assigned to portfolios based on the type of exposure:
(a)
not applicable;
(b)
specialised lending exposures – project finance;
(c)
specialised lending exposures – income-producing real estate and high-volatility commercial real estate;
(d)
specialised lending exposures – object finance;
(e)
specialised lending exposures – commodities finance;
(f)
eligible covered bonds that meet the requirements of Article 129(1) of Regulation (EU) No 575/2013;
(g)
other exposures than those referred to in (b) to point (f).
0170
Size of exposure
Template C08.01, column 0110, of Annex I to the Implementing Commission Regulation (EU) 2024/3117 and related instructions.
Exposures shall be split into parts and assigned to portfolios based on the size of the exposure expressed in terms of exposure value (i.e. exposure at default (‘EAD’)):
(a)
Not applicable.
0180
Indexed loan-to-value range
Exposures shall be split into parts and assigned to portfolios based on the indexed loan-to-value (‘ILTV’) range which shall be the ratio between the current loan amount and the current value of the property:
(a)
bucket 1:<=55 % if the property is a residential immovable property;
<=60 % if the property is a commercial immovable property;
(b)
bucket 2: > 55 % <=70 % if the property is a residential immovable property;
60 % <=70 % if the property is a commercial immovable property;
(c)
bucket 3: > 70 % <=80 %;
(d)
bucket 4: > 80 % <=90 %;
(e)
bucket 5: > 90 % <= 100 %;
(f)
bucket 6: > 100 % <= 110 %;
(g)
bucket 7: > 110 %;
(h)
not applicable.
The indexed loan-to-value range shall be calculated in a prudent manner and comply with the following requirements:
(a)
total amount of the loan: the outstanding amount of the mortgage loan plus any undrawn committed amount of the mortgage loan (after applying the corresponding credit conversion factor). The loan amount shall be calculated before taking into consideration any specific credit risk adjustments and shall include all other loans (including loans known to the institution that are provided by other financial institutions that are known to the institution) secured with liens of equal or higher ranking on the same residential property with respect to the lien securing the loan. Where there is insufficient information for ascertaining the ranking of the other liens, the institution shall assume that those liens rank pari passu with the lien securing the loan.
(b)
value of the property: the value of the property is the latest independent valuation of the property and converted to a current value using a property price index. The valuation shall be performed in an independent way and by qualified appraisers. Qualifying requirements and minimum appraisal standards shall comply with the following requirements:
(i)
there is an individual assessment of the property and the property is valued in a prudently conservative manner (e.g. excluding expectations of future price appreciations and taking into account any potential for the current property price to be above a level that is sustainable over the life of the loan, for example due to a property price bubble);
(ii)
where a market value can be determined, the valuation is not higher than the market value;
(iii)
the valuation is supported by adequate appraisal documentation.
0190
Balance sheet recognition
Exposures shall be split into parts and assigned to portfolios based on the balance sheet recognition:
(a)
on-balance sheet items;
(b)
off-balance sheet items;
(c)
other;
(d)
not applicable.
Exposures representing securities financing transactions, derivatives and long settlement transactions or contractual cross product netting and which are subject to counterparty credit risk shall be assigned to point (c). Those exposures shall not be reported in points (a) or (b).
C 103.00 –
Definition of High Default Portfolios
Column
Legal reference
Instructions
0010
Portfolio ID
The unique ID assigned by EBA to each portfolio.
0020
Portfolio name
Each portfolio is assigned to one of the following portfolio names:
1.0
CORP
1.1
CORP Defaulted
1.2
CORP Non-Defaulted
2.0
SMEC
2.1
SMEC Defaulted
2.2
SMEC Non-Defaulted
3.0
Other retail SME
3.1
Other retail SME Defaulted
3.2
Other retail SME Non-Defaulted
4.0
Mortgages non SME
4.1
Mortgages non SME Defaulted
4.2
Mortgages non SME Non-defaulted
5.0.
Mortgages SME
5.1
Mortgages SME Defaulted
5.2
Mortgages SME Non-defaulted
6.0
Other retail non-SME
6.1
Other retail non-SME Defaulted
6.2
Other retail non-SME Non-defaulted
7.0
QRRE
7.1
QRRE Defaulted
7.2
QRRE Non-defaulted
0030
Type of risk
The instructions provided for column 0130 of table C 101.00 shall apply.
0040
Regulatory approach
Exposures shall be split into parts and assigned to portfolios based on the regulatory approach used for the calculation of RWEA:
(a)
foundation IRB Approach;
(b)
advanced IRB Approach.
0050
Geographical area
Exposures shall be split into parts and assigned to portfolios based on the country of residence (ISO Code or ‘Other countries’) of the obligors.
For the ‘Retail – SME – secured by real estate’ and ‘Retail – Non-SME – secured by real estate’ portfolios, exposures shall be split into parts based on the location of the collateral.
0060
Rating
The instructions provided for column 0060 of table C 102.00 shall apply.
0070
Exposure class
Exposures shall be split into parts and assigned to portfolios based on the exposure class:
(d)
For corporate exposures in High Default Portfolios:
(d.1)
corporates – SME;
(d.2)
corporates – non SME;
(e)
For retail exposures:
(e.1)
retail – SME;
(e.1.1)
retail – SME – Secured by real estate;
(e.1.2)
retail – SME – Other;
(e.2)
Retail – Non SME;
(e.2.1)
retail – Non SME – Other;
(e.2.2)
retail – Non SME – Secured by real estate;
(e.3.3)
Retail – Qualifying revolving;
(f)
not applicable.
The following mapping between the exposure classes and the breakdown of the Credit Risk IRB template shall be applied:
(*)
Exposure Class
Portfolio Code
(d.1)
corporates – SME;
SMEC
A.6.2; A.6.3; B.5.2; B.5.3
(d.2)
corporates – non SME;
CORP
A.6.2; A.6.3; B.5.2; B.5.3
(e.1.1)
retail – SME – Secured by real estate;
RSMS
B.6.5
(e.1.2)
retail – SME – Other;
SMOT
B.6.7, B.6.3 (**)
(e.2.1)
retail – Non SME – Other;
RETO
B.6.8, B.6.3 (***)
(e.2.2)
retail – Non SME – Secured by real estate;
MORT
B.6.6
(e.3.3)
Retail – Qualifying revolving;
RQRR
B.6.2
(*)
Commission Implementing Regulation (EU) 2024/3117 of [29 November 2024] 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 Commission Implementing Regulation (EU) 2021/451 (OJ L 2024/3117, 27.12.2024), Annex II: Instructions for reporting on own funds requirements, Part II: Template related instructions, Section 3.3.2
(**)
Excluding counterparties and their exposures classified as non-SME
(***)
Excluding counterparties and their exposures classified as SME
The exposure classes "equity exposures", “exposures in the form of units or shares in a CIU”, "items representing securitisation positions" and “other non-credit obligation assets” referred to in Article 147(2), points (e), (ea), (f) and (g), of Regulation (EU) No 575/2013, shall not be reported.
0080
Sector of counterparty
The instructions provided for column 0100 of table C 102.00 shall apply.
0090
Default status
The instructions provided for column 0090 of table C 102.00 shall apply.
0100
Type of facility
The instructions provided for column 0120 of table C 102.00 shall apply.
0110
Collateralisation status
The instructions provided for column 0110 of table C 102.00 shall apply.
0120
Collateral type
The instructions provided for column 0120 of table C 102.00 shall apply.
0130
Counterparty
The instructions provided for column 0130 of table C 102.00 shall apply.
0140
Size of counterparty
The instructions provided for column 0140 of table C 102.00 shall apply.
0150
NACE code
The instructions provided for column 0150 of table C 102.00 shall apply.
0160
Type of exposure
The instructions provided for column 0110 of table C 102.00 shall apply.
0170
Size of exposure
The instructions provided for column 0170 of table C 102.00 shall apply.
0180
Indexed loan-to-value range
The instructions provided for column 0180 of table C 102.00 shall apply
0190
Balance sheet recognition
The instructions provided for column 0190 of table C 102.00 shall apply.
0200
Collateralisation status IFRS 9
IFRS 9 B.5.55
Exposures shall be assigned to portfolios based on their collateralisation status, as used for the purpose of the expected credit loss measurement under IFRS 9:
(a)
Collateralised exposures.
This portfolio shall include all those exposures, for which, in accordance with IFRS 9 B5.5.55, the measurement of expected credit losses reflects the cash flows expected from the related collateral and/or other credit enhancements that are part of the contractual terms of the exposure into question and are not recognised separately by the entity. Those exposures that are only partially collateralised shall be reported for their full amount within this portfolio.
(b)
Not-collateralised exposures.
This portfolio shall include all those exposures, for which, the measurement of the related expected credit losses is not affected by the presence of any collateral or any other form of credit enhancements.
(c)
Not applicable.
C 104.00 –
Definition of High Default Portfolios for IFRS 9 templates
Column
Legal reference
Instructions
0010
Portfolio ID
The unique ID assigned by EBA to each portfolio.
0020
Portfolio name
The instructions provided for column 0020 of C 103 shall apply.
0030
Type of risk
The instructions provided for column 0130 of C 101 shall apply.
0040
Regulatory approach
The instructions provided for column 0140 of C 101 shall apply.
0050
Geographical area
The instructions provided for column 0080 of C 101 shall apply.
0060
Rating
The instructions provided for column 0060 of C 102 shall apply.
0070
Exposure class
The instructions provided for column 0070 of C 103 shall apply.
0080
Sector of counterparty
The instructions provided for column 0100 of C 101 shall apply.
0090
Default status
The instructions provided for column 0090 of C 102 shall apply.
0100
Type of facility
The instructions provided for column 0120 of C 101 shall apply.
0110
Collateralisation status
The instructions provided for column 0110 of C 102 shall apply.
0120
Collateral type
The instructions provided for column 0120 of C 102 shall apply.
0130
Counterparty
The instructions provided for column 0130 of C 102 shall apply.
0140
Size of counterparty
The instructions provided for column 0140 of C 102 shall apply.
0150
NACE code
The instructions provided for column 0150 of C 102 shall apply.
0160
Type of exposure
The instructions provided for column 0110 of C 101 shall apply.
0170
Size of exposure
The instructions provided for column 0170 of C 102 shall apply.
0180
Indexed loan-to-value range
The instructions provided for column 0180 of C 102 shall apply
0190
Balance sheet recognition
The instructions provided for column 0190 of C 102 shall apply.
0200
Collateralisation status IFRS 9
IFRS 9 B.5.55
The instructions provided for column 0200 of C 103 shall apply.
’
ANNEX II
‘
ANNEX V
MARKET RISK BENCHMARK INSTRUMENTS AND PORTFOLIOS
Section 1:
Instructions
18
Section 2:
Instruments
22
Section 3:
Individual portfolios – Single instrument
36
Section 4:
Individual portfolios – Multi instruments
39
Section 5:
Aggregated Portfolios
42
Section 6:
Additional specifications for instruments
43
Section 7:
SBM validation portfolios
45
Section 1:
Instructions
(a)
For the purposes of this Annex, the following shall apply:
(i)
‘Booking date’ means the date and time on which institutions book the transactions for the purposes of the benchmarking exercise;
(ii)
‘Initial Market Valuation (IMV)’ means the marked-to-market value of the instruments referred to in Section 2 of this Annex, at the IMV reference date and time;
(iii)
‘IMV reference date’ means the date and time with reference to which institutions shall determine the IMV of the transactions in the benchmarking portfolio;
(iv)
‘IMV remittance date’ means the date by which institutions shall submit the results of the IMV of the transactions in the benchmarking portfolio;
(v)
‘VaR’ means the Value at Risk;
(vi)
‘sVaR’ means the Stressed Value at Risk;
(vii)
‘IRC’ means the Incremental Risk Charge;
(viii)
‘CTP’ means the Correlation Trading Portfolio;
(ix)
‘APR’ means the All Price Risk calculated in accordance with Article 377(2) of Regulation (EU) No 575/2013;
(x)
‘Risk Measures’, (RM), for Internal Model Approved (IMA) banks, means the value of the VaR, sVaR, and when required IRC and APR for the portfolios, as set out in Section3 to 5 of this Annex, between the RM initial and RM final reference date;
(xi)
‘RM initial reference date’ means the date on which institutions shall start to compute the RM values;
(xii)
‘RM final reference date’ means the date on which institutions shall finish to compute the RM values;
(xiii)
‘RM remittance date’ means the date by which institutions shall submit the results of the RM of the transactions in the benchmarking portfolio;
(xiv)
‘Present Value (PV)’ means the marked-to-market value of the portfolios, set out in Section 3 of this Annex, at the RM final reference date;
(xv)
‘ATM’ means ‘At The Money’ in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative;
(xvi)
‘OTM’ means ‘Out of The Money’ in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative;
(xvii)
‘ITM’ means ‘In The Money’ in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative;
(xviii)
‘long’ means ‘bought’ and ‘short’ means ‘sold’;
(xix)
‘CDS’ means Credit Default Swaps;
(xx)
for CDS, ‘long’ means ‘bought protection’ and ‘short’ means ‘sold protection’;
(xxi)
‘MLN’ means millions;
(xxii)
‘OTC’ means Over-The-Counter;
(xxiii)
‘ASA’ means the alternative standardised approach as referred to in Part Three, Title IV, Chapter 1a, Section 1 of Regulation (EU) No 575/2013;
(xxiv)
‘SBM’ means the Sensitivities-Based Method as referred to in Part Three, Title IV, Chapter 1a, Section 2 of Regulation (EU) No 575/2013;
(xxv)
‘DRC’ means the Default Risk requirement as referred to in Part Three, Title IV, Chapter 1a, Section 5 of Regulation (EU) No 575/2013;
(xxvi)
‘RRAO’ means the Residual Risk Add-On as referred to in Part Three, Title IV, Chapter 1a, Section 4 of Regulation (EU) No 575/2013.
(b)
The following dates shall apply for the ‘benchmarking’ exercise:
(i)
the booking date shall be 19 February 2026;
(ii)
the IMV (and initial SBM) reference date shall be 27 February 2026 (at 5:30 pm CET);
(iii)
the IMV (and initial SBM, and SBM validation) remittance date shall be 13 March 2026;
(iv)
the RM initial reference date shall be 18 May 2026;
(v)
the RM (and final ASA) final reference date shall be 29 May 2026;
(vi)
the RM (and final ASA) remittance date shall be 26 June 2026;
(c)
Unless explicitly specified otherwise in Section 2 of this Annex, all positions shall be booked on the booking date referred to in point (b)(i) of this Section. Once positions have been booked, each portfolio shall age for the duration of the benchmarking exercise and shall be calculated under the assumption that the institution does not take any action to manage the portfolio in any way during the entire period of the benchmarking exercise. Unless explicitly stated otherwise in the specifications for a particular instrument, strike prices for option positions shall be determined relative to prices for the underlying as observed at market close on the booking date.
(d)
For the purposes of the initial market valuation, the valuation of each instrument shall be submitted to the institution’s competent authority by the IMV remittance date. By that date, the institution shall submit an explanatory note accompanying the results, in accordance with point (e). IMV shall be provided in accordance with the institution’s front office valuation, where possible. In case IMVs are not provided by the institution’s front office, the institution shall specify in the explanatory note who is the IMV data source provider.
(e)
The explanatory note that institutions are to submit together with the IMV shall include all of the following for each instrument:
(i)
the risk factors used to calculate the instrument’s IMV;
(ii)
the pricing model used to calculate the instrument’s IMV and a description of this pricing model;
(iii)
available reference data for the instrument in the institution’s own format;
(iv)
the aspects referred to in points (h), (i), (l), (n), (o), (p), (w), (x), (z), and (hh) of this Section;
(v)
institutions approved to use internal models shall also report:
(1)
the risk factors included in the internal model for the instrument;
(2)
the risk factors included in the internal model that are also valuation inputs for the IMV of the instrument;
(3)
the internal model specifics in relation to the instruments.
(f)
For the purposes of point (e), sub point (v), all of the following shall be reported:
(i)
concise internal model descriptions;
(ii)
revaluation methods applied;
(iii)
functional form applied for modelling of returns (such as absolute, relatives, other methods;
(iv)
qualitative information on the time series used to calibrate the VaR model in relation to the instrument (such as source, methodology for normalisation, buckets applied, other information deemed relevant by the institutions to explain the results provided).
(g)
The explanatory note referred to in point (d) shall be updated with each resubmission of any value, reflecting the changes between submissions. The explanatory note shall contain one section which lists all submission dates and the reasons for resubmissions.
(h)
The risks of the positions shall be calculated without taking into account the funding costs. Where applicable, institutions shall use the overnight rate of the instrument currency as the discount rate. Collateral agreement shall be considered in place for the derivatives instruments referred to in Section 2 of this Annex. Where that is not possible, reasons shall be provided in the explanatory note referred to in point (d).
(i)
Counterparty credit risk and credit valuation adjustment (‘CVA’) risk shall not be taken into account in the valuation of the risks of the portfolios. Where that is not possible, reasons shall be provided in the explanatory note referred to in point (d) of this Section. Institutions shall report cases where other typologies of Valuation Adjustments are included in the IMV and explain for each financial instrument the methodology and the impact in the explanatory note referred to in point (d) of this Section.
(j)
For transactions that include long positions in CDS, institutions shall assume an immediate up-front fee is paid to enter the position as per the market standards and conventions. The maturity date for all CDS shall correspond to conventional quarterly termination dates.
(k)
Additional specifications needed in order to carry out pricing calculations required for CDS positions shall be consistent with commonly used market standards and conventions and shall be explained in the explanatory note referred to in point (d) of this Section.
(l)
The maturity date shall ensure that the transaction is closest to the term-to-maturity specified in accordance with market standards and conventions.
(m)
With respect to the details of instruments not referred to in Section 2 of this Annex, institutions shall provide the assumptions that have been used, including the day count convention and the choice for a tradable and liquid instrument, where permitted, along with the results in the explanatory note referred to in point (d) of this Section.
(n)
Institutions that believe that assumptions in addition to those specified in this Section are relevant to the interpretation of the results of its exercise, including close of business timing, coupon rolls, mapping against indices and others, shall submit a description of those assumptions in the explanatory note referred to in point (d) of this Section.
(o)
The explanatory note referred to in point (d) of this Section shall include explanations for risks not captured by the model for the instruments referred to in Section 2 of this Annex.
(p)
All options shall be treated as if they are traded OTC, unless explicitly specified otherwise.
(q)
The standard timing conventions for OTC options shall be followed. The time to maturity for an ‘n-month’ option shall be in n months. Where options expire on a non-trading day, institutions shall adjust the expiration date per business date, in accordance with market standards and conventions.
(r)
All OTC options shall be treated as follows:
(i)
as American for single name equities and commodities;
(ii)
as European for equity indices, foreign exchange and swaptions.
(s)
All OTC options shall be considered ‘naked’ so that the premium shall be excluded from the initial market valuation.
(t)
Regarding the CTPs, institutions that have permission to use the APR model for CTPs shall provide details about their most relevant assumptions, market standards and conventions regarding the CTP instruments referred to in Section 2 of this Annex, including the hedge ratios they have calculated to make the CTP instruments CS01 neutral at the booking date.
(u)
The IMV for each instrument shall be provided in the EBA instrument currency specified in Section 2 of this Annex for that instrument.
(v)
For portfolios composed of one or more instruments denominated in EBA instrument currencies that are different from the EBA portfolio currency, the result shall be converted into the reported EBA portfolio currency using the ECB spot exchange rate of the relevant date. The converted result shall be explained in the explanatory note referred to in point (d) of this Section.
(w)
When booking positions, institutions shall follow appropriate market conventions, unless otherwise specified in these instructions in the Instruments descriptions (Section 2 of this Annex).
(x)
Where an instrument, or the underlying instrument for a derivative, is subject to a corporate action that affects the benchmarking exercise, such as a call from the issuer, a default or similar actions, institutions shall exclude such instrument from the exercise together with any related CDS or option.
(y)
With regard to an index series, ‘on-the-run’ shall refer to the most liquid and tradable series of that index available in the market. Institutions shall explain their choice of ‘on-the-run’ series along with the related results in the accompanying explanatory note referred to in point (d) of this Section.
(z)
Where not specified otherwise, institutions shall apply the EU Benchmarks Regulation for the interest rate in order to book the instruments specified in Section 2 of this Annex. Institutions shall specify the rate applied, apart from the ones specified in Section 2 of this Annex, in the explanatory note referred to in point (d) of these instructions.
(aa)
Risk measures for the portfolios referred to in Section 3 to Section 5 of this Annex, together with the Present Value, shall be computed from the ‘RM initial reference date’ to the ‘RM final reference date’. FRTB ASA Risk measures (SBM, DRC and RRAO) shall be computed for the ‘RM final reference date’. Institutions shall submit the results of those calculations to their competent authority by RM remittance date. IMV and SBM shall be reported for each instrument. Risk measures, SBM, DRC, RRAO and Present Value, where applicable, shall be reported for each portfolio, both individual and aggregated. SBM, DRC and RRAO, where applicable, shall be reported at least for the same portfolios for which risk measures are reported.
(bb)
For the portfolios referred to in Section 7 of this Annex, institutions shall report SBM results and submit them in line with the reporting dates of the IMV submission.
(cc)
Institutions in the scope of the benchmarking exercise shall report solely instruments under internal models for which they have received approval by the supervisors and that are not forbidden to being trade by internal policy decision or trading system limitations.
(dd)
The results for individual and the aggregated portfolios shall be submitted only where the results of all the instruments that are part of them are also being submitted.
(ee)
In Section 2 of this Annex (Instruments), ‘Year T’ shall mean ‘2026’ and Year T + X shall mean 2026 + X, with X as specified in Section 2.
(ff)
In Section 2 of this Annex (Instruments), institutions shall determine the day of expiry/maturity in accordance with the following instructions:
(i)
Where the date is specified, that specific date shall be used;
(ii)
Where no date is specified, market convention, where available, shall be used. If for example there is a market convention that the day of expiry/maturity is the 3rd Friday of the month, then ‘June Year T’ shall mean the 3rd Friday of the month of the year T;
(iii)
At the end of the month, where it is specified ‘End of’, it shall mean the last calendar day in the month;
(iv)
For a fix period of time following the ‘booking date’, if the period is defined as a number of days, it is the last day of the period. If the period is defined in weeks, months or years, it is the same day of the following week, month or year with respect to the booking date, or, if the last month or year of the period is shorter, the last day of that month or year; if the ‘booking date + x period’ is a holiday day, then select the following working day;
(v)
In case it is not specified otherwise the following assumptions shall be used: Day count convention: Act/360, Holiday calendar: Target2.
(gg)
In Section 2 of this Annex (Instruments), for all CDS, unless explicitly specified otherwise, the following requirements shall apply:
(i)
Coupon frequency: Quarterly;
(ii)
Coupon(bps): 100;
(iii)
Day count: ACT/360;
(iv)
ISDA Definitions year: 2014;
(v)
Restructuring clause: Modified-Modified Restructuring (MMR);
(vi)
Maturity: December Year T+4;
(vii)
Debt type: Senior;
(viii)
Tenor: 5 Year;
(ix)
Effective date as booking date;
(x)
The used discount curve and recovery rate shall be indicated in the explanatory note referred to in point (d) of this Annex.
(hh)
The IMV of bond instruments shall include accrued interest.
(ii)
Institutions shall provide the information related to the time of valuation of the PV mentioning the time in the explanatory note referred to in point (e) of this Section. Where possible, valuation of the PV shall be computed at close of business day.
(jj)
The risk measures of the portfolios shall be calculated in the same currency of the portfolio currency, not including any FX Risk, also related to the reporting currency of the institutions. The FX Risk shall be considered only when intrinsically included in the instruments. Where both reporting and portfolio currency results are reported as part of the exercise, for the ASA figures, results calculated in the reporting currency of the institution shall be translated into the EBA portfolio currency by spot conversion using the ECB spot exchange rate associated with the date of the calculation. The translation into the EBA portfolio currency does not imply a change in the FX risk factors.
(kk)
Where Article 325q(7) of Regulation (EU) No 575/2013 (“base currency approach”) applies, when performing SBM calculations and reporting SBM sensitivities, institutions shall consider the FX risk factors resulting from the application of the base currency approach. The reported values shall not be expressed in the chosen base currency but rather in the institutions’ reporting currency by applying spot conversion using the ECB spot exchange rate associated with relevant date.
Section 2:
Instruments
Institutions shall provide IMV, in accordance with the instructions laid down in Section 1 of this Annex, for the following financial instruments, where Institutions shall provide risk measures and the Present Value of the portfolios specified in Section 3 and Section 4:
EQUITY
Long EURO STOXX 50 index (Ticker: FESX) Futures.
Notional: equivalent to the value of the index times 1 000 EUR
Exchange: Eurex
Expiry date: September Year T
EBA instrument currency: EUR
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: September 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: September 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: September 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: September 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: September 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: September 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: September 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: September 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: September 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: September 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: September 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: September 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: September Year T
EBA instrument currency: EUR
Long VIX Index (CBOE) Futures.
Notional: equivalent to the value of the index times 100 000 USD
Expiry date: September Year T
EBA instrument currency: USD
IR
5-year IRS EUR – Receive fixed rate and pay floating rate.
Fixed leg: receive annually
Floating rate: 6-month EURIBOR, pay semi-annually. Daycount: ACT/360
Notional: EUR 10 000 000
Roll convention and calendar: standard
Effective date as booking date (i.e. the rates to be used shall be those at the market close as of the booking date)
Maturity: Booking date + 5 years
EBA instrument currency: EUR
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 (overnight SOFR, daily compounded), pay quarterly
Notional: USD 1 000 000
Roll convention and calendar: standard
Effective date as booking date (i.e. the rates to be used shall be those at the market close as of the booking date)
Maturity date: Booking date + 5 years
EBA instrument currency: USD
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 (overnight SOFR, daily compounded) plus 1,5 % per annum (the ‘Floating Interest Rate’), subject to a maximum interest rate of 7,5 % per annum (the ‘Interest Rate Cap’) and a minimum interest rate of 2,5 % per annum (the ‘Interest Rate Floor’).
—
Any payment on the Notes, including interest and principal at maturity, shall be subject to the creditworthiness of UBS AG. Institutions are asked to use an appropriate discounting curve, motivating that in the explanatory note.
—
Income: The Notes will pay interest quarterly at a rate equal to the Floating Interest Rate, provided that if on any Coupon Determination Date (i) the Floating Interest Rate is less than the Interest Rate Floor, then the applicable interest rate for the related Interest Period will be equal to the Interest Rate Floor, or (ii) the Floating Interest Rate is greater than the Interest Rate Cap, then the applicable interest rate for the related Interest Period will be equal to the Interest Rate Cap.
Interest Payment Amount
The amount of interest to be paid on the Notes for an Interest Period shall be equal to the product of (a) the principal amount of the Notes, (b) the Applicable Interest Rate for that Interest Period and (c) a fraction, the numerator of which is the number of days in the Interest Period (calculated on the basis of a 360-day year of twelve 30-day months) and the denominator of which is 360.
Trade and Settlement Date
‘Booking date’
Interest Payment Dates
Quarterly, on the Booking date + 3 months, Booking date + 6 months, Booking date + 9 months and Booking date + 1 year, commencing on Booking date + 3 months, during the term of the Notes (subject to adjustments, as described herein).
Maturity Date
Currency
Booking date + 10 years
USD
Day count Basis
30/360
Business Day Convention
Following Unadjusted
Coupon Determination
For each Interest Period, the second London Banking day immediately preceding the relevant Interest Date.
Date
‘London Banking Day’ means any day on which commercial banks are open for general business (including dealings in foreign exchange and foreign currency deposits) in London and on which dealings in U.S. dollars are transacted in the London interbank market.
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 (overnight SOFR, daily compounded), receive quarterly compounded with a payment lag of 2 days. Daycount: ACT/360
Leg 1 – USD: Notional EUR 10 000 000 equivalent adjusted on a quarterly basis
Leg 2 – EUR: Notional EUR 10 000 000
Roll convention and calendar: standard
Effective date as booking date + 6 months
Maturity: Booking date + 5.5 years
EBA instrument currency: EUR
See also Section 6 of this Annex – Instrument additional specifications
10-year IRS EURO – Receive ESTER and pay EURIBOR.
ESTER leg: receive annually. Daycount: ACT/360
EURIBOR leg: 3-month EURIBOR + Basis, pay quarterly. Daycount: ACT/360
Notional: EUR 10 000 000
Roll convention and calendar: standard
Effective date as booking date (i.e. the rates to be used shall be those at the market close as of the booking date)
Maturity: Booking date + 10 years
EBA instrument currency: EUR
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: Booking date – 3 months
Final Fixing: Booking date + 4 years 9 months
Maturity: Booking date + 5 years
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
FX
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;
Forward Strike: equal to 100 % of the relevant EUR/DKK ECB spot reference rate at the end of the booking date.
EBA instrument currency: EUR
6-month EUR/BRL Non deliverable forward contract (long EUR, short BRL); Notional EUR 10 000 000;
Forward Strike: equal to 100 % of the relevant EUR/BRL ECB spot reference rate at the end of the booking date.
EBA instrument currency: EUR
COMMODITIES
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 Brent Crude Oil, short USD). Cash settled. Strike price: 12- month end-of-day forward price on the booking date. Expiry date: Booking date + 6 months
EBA instrument currency USD
Short Put option 30 000 barrels Brent Crude Oil (long Brent Crude Oil, short USD). Cash settled. Strike price: 12- month end-of-day forward price on the booking date. Expiry date: Booking date + 6 months
EBA instrument currency USD
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
Instruments included in the alternative correlation trading portfolio (ACTP)
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
IMA Risk measures (VaR, SVaR, and where appropriate IRC and APR) required for the exercise
FRTB ASA Risk measures (SBM, DRC, RRAO) required for the exercise
1001
101 – 1 instrument
EUR
No
Yes
1002
102– 1 instrument
EUR
No
Yes
1003
103 – 1 instrument
EUR
No
Yes
1004
104 – 1 instrument
EUR
No
Yes
1005
105– 1 instrument
EUR
No
Yes
1006
106 – 1 instrument
GBP
No
Yes
1007
107 – 1 instrument
EUR
No
Yes
1008
108 – 1 instrument
EUR
No
Yes
1009
109 – 1 instrument
EUR
No
Yes
1010
110 – 1 instrument
EUR
No
Yes
1011
111 – 1 instrument
USD
No
Yes
1012
112 – 1 instrument
USD
No
Yes
1013
113 – 1 instrument
EUR
No
Yes
1014
114 – 1 instrument
EUR
No
Yes
1015
115 – 1 instrument
GBP
No
Yes
1016
116 – 1 instrument
GBP
No
Yes
1017
117 – 1 instrument
JPY
No
Yes
1018
118 – 1 instrument
EUR
No
Yes
1019
119 – 1 instrument
EUR
No
Yes
1020
120 – 1 instrument
EUR
No
Yes
1021
121 – 1 instrument
USD
No
Yes
2001
201 – 1 instrument
EUR
No
Yes
2002
202 – 1 instrument
EUR
No
Yes
2003
203 – 1 instrument
USD
No
Yes
2004
204 – 1 instrument
GBP
No
Yes
2005
205 – 1 instrument
USD
No
Yes
2006
206 – 1 instrument
EUR
No
Yes
2007
207 – 1 instrument
EUR
No
Yes
2008
208– 1 instrument
EUR
No
Yes
2009
209 – 1 instrument
EUR
No
Yes
2010
210 – 1 instrument
EUR
No
Yes
2011
211 – 1 instrument
EUR
No
Yes
2012
212 – 1 instrument
EUR
No
Yes
2013
213 – 1 instrument
GBP
No
Yes
2014
214 – 1 instrument
EUR
No
Yes
2015
215 – 1 instrument
USD
No
Yes
2016
216 – 1 instrument
USD
No
Yes
2017
217 – 1 instrument
USD
No
Yes
2018
218 – 1 instrument
EUR
No
Yes
2019
219 – 1 instrument
EUR
No
Yes
2020
220 – 1 instrument
EUR
No
Yes
2021
221 – 1 instrument
EUR
No
Yes
2022
222 – 1 instrument
EUR
No
Yes
2023
223 – 1 instrument
EUR
No
Yes
2024
224 – 1 instrument
EUR
No
Yes
3001
301 – 1 instrument
EUR
No
Yes
3002
302 – 1 instrument
EUR
No
Yes
3003
303 – 1 instrument
EUR
No
Yes
3004
304 – 1 instrument
EUR
No
Yes
3005
305 – 1 instrument
EUR
No
Yes
3006
306 – 1 instrument
EUR
No
Yes
3007
307 – 1 instrument
EUR
No
Yes
3008
308 – 1 instrument
EUR
No
Yes
3009
309 – 1 instrument
EUR
No
Yes
3010
310 – 1 instrument
EUR
No
Yes
3011
311 – 1 instrument
EUR
No
Yes
4001
401 – 1 instrument
USD
No
Yes
4002
402 – 1 instrument
USD
No
Yes
4003
403 – 1 instrument
USD
No
Yes
4004
404 – 1 instrument
USD
No
Yes
4005
405 – 1 instrument
USD
No
Yes
5001
501 – 1 instrument
USD
No
Yes
5002
502 – 1 instrument
USD
No
Yes
5003
503 – 1 instrument
USD
No
Yes
5004
504 – 1 instrument
USD
No
Yes
5005
505 – 1 instrument
USD
No
Yes
5006
506 – 1 instrument
USD
No
Yes
5007
507 – 1 instrument
EUR
No
Yes
5008
508 – 1 instrument
EUR
No
Yes
5009
509 – 1 instrument
EUR
No
Yes
5010
510 – 1 instrument
EUR
No
Yes
5011
511 – 1 instrument
EUR
No
Yes
5012
512 – 1 instrument
EUR
No
Yes
5013
513 – 1 instrument
USD
No
Yes
5014
514 – 1 instrument
EUR
No
Yes
5015
515 – 1 instrument
EUR
No
Yes
5016
516 – 1 instrument
EUR
No
Yes
5017
517 – 1 instrument
USD
No
Yes
5018
518 – 1 instrument
USD
No
Yes
5019
519 – 1 instrument
EUR
No
Yes
5020
520 – 1 instrument
EUR
No
Yes
5021
521 – 1 instrument
EUR
No
Yes
5022
522 – 1 instrument
EUR
No
Yes
5023
523 – 1 instrument
EUR
No
Yes
5024
524 – 1 instrument
USD
No
Yes
5025
525 – 1 instrument
EUR
No
Yes
5026
526 – 1 instrument
USD
No
Yes
5027
527 – 1 instrument
EUR
No
Yes
5028
528 – 1 instrument
USD
No
Yes
5029
529 – 1 instrument
EUR
No
Yes
5030
530 – 1 instrument
EUR
No
Yes
5031
531 – 1 instrument
EUR
No
Yes
5032
532 – 1 instrument
USD
No
Yes
5033
533 – 1 instrument
EUR
No
Yes
5034
534 – 1 instrument
EUR
No
Yes
6001
601 – 1 instrument
EUR
No
Yes
6002
602 – 1 instrument
EUR
No
Yes
6003
603 – 1 instrument
EUR
No
Yes
6004
604 – 1 instrument
EUR
No
Yes
6005
605 – 1 instrument
EUR
No
Yes
6006
606 – 1 instrument
EUR
No
Yes
6007
607 – 1 instrument
EUR
No
Yes
6008
608 – 1 instrument
EUR
No
Yes
6009
609 – 1 instrument
EUR
No
Yes
6010
610 – 1 instrument
EUR
No
Yes
Section 4:
Individual portfolios – Multi instruments
Institutions shall provide the required risk measures, along with the Present Value, of the following individual portfolios:
Portfolio
Combination of instruments:
The first figure represents the instrument (as referred to in Section 2 of this Annex).
The second figure represents the quantity of each instrument or number of contracts, as applicable.
EBA portfolio currency
IMA Risk measures (VaR, SVaR, and where appropriate IRC and APR) required for the exercise
FRTB ASA Risk measures required for the exercise
1101
103 – 1 instrument
104 – 1 instrument
105 – 1 instrument
EUR
No
Yes
1102
113 – 1 instrument
110 – 1 instrument
EUR
No
Yes
1103
115 – 1 instrument
116 – 1 instrument
GBP
No
Yes
1104
109 – 1 instrument
110 – 1 instrument
EUR
No
Yes
1105
111 – 1 instrument
112 – 1 instrument
USD
No
Yes
1106
102 – 1 instrument
114 – 1 instrument
EUR
No
Yes
1107
106 – 1 instrument
107 – 1 instrument
108 – 1 instrument
EUR
No
Yes
1108
101 – 1 instrument
103 – 1 instrument
EUR
No
Yes
1109
101 – 1 instrument
103 – 1 instrument
104 – 1 instrument
EUR
No
Yes
1110
102– 1 instrument
104 – 1 instrument
EUR
No
Yes
2201
206 – 1 instrument
207 – 1 instrument
EUR
No
Yes
2202
206 – 1 instrument
207 – 1 instrument
208 – 1 instrument
EUR
No
Yes
2203
206 – 1 instrument
207 – 1 instrument
208 – 1 instrument
209 – 1 instrument
210 – 1 instrument
211 – 1 instrument
212 – 1 instrument
EUR
No
Yes
2204
201 – 1 instrument
218 – 1 instrument
EUR
No
Yes
2205
201 – 1 instrument
219 – 1 instrument
EUR
No
Yes
2206
218 – 1 instrument
219 – 1 instrument
EUR
No
Yes
2207
201 – 1 instrument
202 – 1 instrument
EUR
No
Yes
2208
215 – 1 instrument
216 – 1 instrument
217 – 1 instrument
USD
No
Yes
2209
203 – 1 instrument
215 – 1 instrument
USD
No
Yes
2210
208 – 1 instrument
209 – 1 instrument
210 – 1 instrument
214 – 1 instrument
EUR
No
Yes
2211
209 – 1 instrument
219 – 1 instrument
EUR
No
Yes
2212
201 – 1 instrument
223 – 1 instrument
EUR
No
Yes
3301
301 – 1 instrument
302 – 1 instrument
EUR
No
Yes
3302
303 – 1 instrument
304 – 1 instrument
EUR
No
Yes
3303
304 – 1 instrument
305 – 1 instrument
306 – 1 instrument
EUR
No
Yes
3304
307 – 1 instrument
308 – 1 instrument
EUR
No
Yes
4401
401 – 1 instrument
402 – 1 instrument
USD
No
Yes
4402
403 – 1 instrument
404 – 1 instrument
USD
No
Yes
4403
401 – 1 instrument
404 – 1 instrument
USD
No
Yes
5501
501 – 1 instrument
502 – 1 instrument
503 – 1 instrument
USD
No
Yes
5502
504 – 1 instrument
505 – 1 instrument
USD
No
Yes
5503
507 – 1 instrument
508 – 1 instrument
EUR
No
Yes
5504
503 – 1 instrument
504 – 1 instrument
USD
No
Yes
5505
509 – 1 instrument
510 – 1 instrument
EUR
No
Yes
5506
511 – 1 instrument
512 – 1 instrument
514 – 1 instrument
515 – 1 instrument
516 – 1 instrument
EUR
No
Yes
5507
517 – 1 instrument
518 – 1 instrument
USD
No
Yes
5508
519 – 1 instrument
520 – 1 instrument
522 – 1 instrument
EUR
No
Yes
5509
520 – 1 instrument
521 – 1 instrument
EUR
No
Yes
5510
519 – 1 instrument
508 – 1 instrument
EUR
No
Yes
5511
515 – 1 instrument
522 – 1 instrument
EUR
No
Yes
5512
520 – 1 instrument
521 – 1 instrument
516 – 1 instrument
EUR
No
Yes
5513
506 – 1 instrument
503 – 1 instrument
USD
No
Yes
5514
502 – 1 instrument
209 – 1 instrument
EUR
No
Yes
5515
504 – 1 instrument
217 – 1 instrument
USD
No
Yes
5516
505 – 1 instrument
216 – 1 instrument
USD
No
Yes
5517
504 – 1 instrument
217 – 1 instrument
505 – 1 instrument
216 – 1 instrument
USD
No
Yes
5518
502 – 1 instrument
209 – 1 instrument
219 – 1 instrument
EUR
No
Yes
5519
523 – 1 instrument
525 – 1 instrument
527 – 1 instrument
EUR
No
Yes
5520
524 – 1 instrument
526 – 1 instrument
528 – 1 instrument
USD
No
Yes
5521
523 – 1 instrument
524 – 1 instrument
525 – 1 instrument
526 – 1 instrument
527 – 1 instrument
528 – 1 instrument
EUR
No
Yes
5522
529 – 1 instrument
530 – 1 instrument
EUR
No
Yes
6601
601 – 1 instrument
602 – 1 instrument
EUR
No
Yes
6602
603 – 1 instrument
604 – 1 instrument
EUR
No
Yes
6603
605 – 1 instrument
606 – 1 instrument
EUR
No
Yes
6604
607 – 1 instrument
608 – 1 instrument
EUR
No
Yes
6605
609 – 1 instrument
610 – 1 instrument
EUR
No
Yes
Section 5:
Aggregated Portfolios
Institutions shall provide the required risk measures, along with the Present Value, of the following financial aggregated portfolios:
Aggreg. Portfolio
Description
Combination of Individual Portfolios (individual portfolios as stated by their numbers as referred to in Section 3 and 4 of this Annex)
EBA portfolio Currency
IMA Risk measures (VaR, SVaR, and where appropriate IRC and APR) required for the exercise
FRTB ASA Risk measures required for the exercise
10000
ALL-IN no-CTP
1001, 1101, 1104, 1106, 2001, 2002, 2203, 2206, 3301, 3303, 3304, 4401, 4402, 5503, 5506, 5508, 5521
EUR
No
Yes
11000
EQUITY Cumulative
1001, 1101, 1104, 1106
EUR
No
Yes
12000
IR Cumulative
2001, 2002, 2203, 2206
EUR
No
Yes
13000
FX Cumulative
3301, 3303, 3304
EUR
No
Yes
14000
Commodity Cumulative
4401, 4402
USD
No
Yes
15000
Credit Spread cumulative
5503, 5506, 5508, 5521
EUR
No
Yes
16000
CTP cumulative EUR
6601, 6602
EUR
No
Yes
Section 6:
Additional specifications for instruments
Institutions shall apply the following additional specifications to the financial instruments described in Section 2 of this Annex:
Instrument:
220
Description:
5-year Mark to Market (MtM) Cross Currency EUR/USD SWAP
Receive USD and pay EUR
Notional: EUR 10 000 000 , USD (EUR 10 000 000 * FX USD/EUR)
Pay:
Float leg 2
Rec:
Float leg 1
Notional Exchange and Reset:
On effective date and maturity date. Further, on every coupon payment date, an additional payment corresponding to adjustment of the USD notional on Float leg 2 is made. The USD notional is adjusted to equal 10 000 000 EUR, at spot rate 2 business days in advance of each payment date.
Cash balance
Included
Float Leg 1
Notional:
10 000 000 EUR equivalent converted to USD at spot on effective date, equivalent adjusted on a quarterly basis
Effective Date:
Booking date + 6 months
Maturity Date:
Booking date + 5,5 years
Payment Date Generation:
Forward from Effective Date
Coupon Payment Frequency:
Quarterly
Coupon Rate:
3-month SOFR (overnight SOFR, daily compounded) + 0bps.
Coupon Rate Reset Freq:
Quarterly
Coupon Rate Fixing Convention:
Compounded daily over the 3-month period
Coupon Rate Compounding Frequency:
Simple Interest
Day Count:
ACT/360
Payment Business Day:
LON, NYC, TARGET
Payment Business Day Convention:
Modified Following
Notional Reset Business Day:
LON, NYC, TARGET
Notional Reset Business Day Convention:
Previous
Coupon Rate Reset Business Day:
LON, NYC, TARGET
Coupon Rate Reset Business Day Convention:
Previous
Float Leg 2
Notional:
10 000 000 EUR
Effective Date:
Booking date + 6 months
Maturity Date:
Booking date + 5,5 years
Payment Date Generation:
Forward from Effective Date
Coupon Payment Frequency:
Quarterly
Coupon Rate:
3-month ESTER + 0 bps.
Coupon Rate Reset Frequency:
Quarterly
Coupon Rate Fixing Convention:
Compounded daily over the 3-month period
Coupon Rate Compounding Frequency:
Simple Interest
Day Count:
ACT/360
Payment Business Day:
LON, NYC, TARGET
Payment Business Day
Modified Following
Notional Reset Business Day:
LON, NYC, TARGET
Notional Reset Business Day Convention:
Previous
Coupon Rate Reset Business Day:
LON, NYC, TARGET
Coupon Rate Reset Business Day Convention:
Previous
Section 7:
SBM validation portfolios
(a)
Institutions shall provide the SBM risk measure of the portfolios defined in Annex X (SBM validation portfolios) as part of the IMV submission and submit them in line with the reporting dates of the IMV submission.
(b)
The following shall apply for the submission of the results corresponding to SBM validation portfolios:
(i)
Institutions shall report solely template C 106.02.
(ii)
Institutions shall assume that the risk sensitivities and curvature risk positions defined by the instruments specified in Annex X are expressed in the institution’s reporting currency and that the information are provided in the format specified in the reporting instructions for templates C 106.01 / C 120.01 and the corresponding table with guidance for reporting these templates in Annex VI (Template instructions). Where an instrument forming part of a validation portfolio specified in Annex X relates to curvature risk, banks should consider both the upward and downward curvature risk positions, which are provided under the same instrument number, but in separate rows within the instruments specified in Annex X.
’
ANNEX III
‘
ANNEX VI
RESULTS SUPERVISORY BENCHMARK PORTFOLIOS
TEMPLATE RELATED INSTRUCTIONS
C 106.00 –
Initial Market Valuation and exclusion justification
47
C 106.01 –
SBM. Risk sensitivities by Instrument
47
C 106.02 –
SBM. OFR Composition by SBM Validation Portfolio
52
C 107.01 –
VaR & sVaR Non-CTP. Details.
53
C 107.02 –
VaR, sVaR and PV – Non-CTP. EBA portfolio currency results.
56
C 108.00 –
Profit & Loss Time Series
57
C 109.01 –
IRC. Details of the Model
57
C 109.02 –
IRC. Details by Portfolio
58
C 109.03 –
IRC. Amount by Portfolio/Date.
59
C 110.01 –
CT. Details of the Model.
60
C 110.02 –
CT. Details by Portfolio.
60
C 110.03 –
CT. APR by Portfolio/Date
61
C 120.01 –
SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO
62
C 120.02 –
SBM. OFR COMPOSITION BY PORTFOLIO
66
C 120.04 –
DRC. MARKET VALUES AND GROSS JTD AMOUNTS BY INSTRUMENT/PORTFOLIO
68
C 120.05 –
DRC. OFR COMPOSITION BY PORTFOLIO
74
C 120.06 –
ASA. OFR
77
TEMPLATE RELATED INSTRUCTIONS
C 106.00 –
Initial Market Valuation and exclusion justification
Column
Label
Legal reference
Instructions
0010
Instrument number
Annex V, Section 2, to this Regulation
The instrument number taken from Annex V to this Regulation 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 Annex V, Section 1, point (b) to this Regulation.
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 LEI of the issuer and it shall be identical for any two reported sensitivities towards two risk factors that receive a correlation parameter ρ κl
(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 ISIN of the underlying instrument.
—
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 106.02 –
SBM. OFR Composition by SBM Validation Portfolio
Instructions concerning sheets (z-axis)
Label
Legal reference
Instructions
Portfolio
Annex V, Section 7, to this Regulation
The number of the portfolio taken from Annex X to this Regulation 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 “IMV reference date” (as specified in Annex V, Section 1, point (b) 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
Submission of SBM validation portfolio results
Article 325e(1) of Regulation (EU) No 575/2013
The answer shall be one of the following:
(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 there is no internal approval by the management of that institution to operate in instruments that would generate exposure towards the relevant risk factor.
0060
Free text box
An institution may provide any additional information in this column.
C 107.01 –
VaR & sVaR Non-CTP. Details.
Row
Label
Legal reference
Instructions
0010 – 0060
VaR
0010
Methodology
One of the following shall be reported in column 0010:
(a)
Historical simulation;
(b)
Monte Carlo simulation;
(c)
Parametric methodology;
(d)
Combination / other methodology (please specify).
The institution shall use column 0020 to clarify the answer given in column 0010. Where option (d) was selected in column 0010, the institution shall provide details in column 0020.
0020
Computation of 10-day horizon
Article 365(1) of Regulation (EU) No 575/2013
One of the following shall be reported in column 0010:
(a)
1 day re-scaled to 10 days;
(b)
10 days with overlapping periods;
(c)
10 days other methodology.
The institution shall use column 0020 to clarify the answer given in column 0010.
0030
Length of observation period
Article 365(1) point (d) of Regulation (EU) No 575/2013
One of the following shall be reported in column 0010:
(a)
Up to 1 year;
(b)
More than 1 and up to 2 years;
(c)
More than 2 and up to 3 years;
(d)
More than 3 years.
The institution shall use column 0020 to clarify the answer given in column 0010.
0040
Data Weighting
Article 365(1) point (d), of Regulation (EU) No 575/2013
One of the following shall be reported in column 0010:
(a)
Unweighted (VaR data weighting);
(b)
Weighted (VaR data weighting);
(c)
Higher of weighted and unweighted (VaR data weighting) in points (a) and (b).
The institution shall use column 0020 to clarify the answer given in column 0010.
0050
Backtesting add-on
Article 366(2) of Regulation (EU) No 575/2013
Backtesting add-on means the addend between 0 and 1 in accordance with Article 366(2), Table 1, of Regulation (EU) No 575/2013
The institution shall use column 0020 to clarify the answer given in column 0010.
0060
VaR Regulatory add-on
Article 366(2) of Regulation (EU) No 575/2013 (‘at least 3’)
VaR Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for VaR (at least 3) in accordance with Article 366(2) of Regulation (EU) No 575/2013. The VaR Regulatory add-on is the sum of the backtesting add-on and of the qualitative add-on, where applicable, in excess to 3.
The institution shall use column 0020 to clarify the answer given in column 0010.
0070-0100
SVaR (i.e. Stressed VaR)
0070
Methodology
One of the following shall be reported in column 0010:
(a)
Historical simulation;
(b)
Monte Carlo simulation;
(c)
Parametric methodology;
(d)
Combination / other methodology (please specify).
The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020.
0080
Computation of 10 day Horizon
Article 365(1) of Regulation (EU) No 575/2013
One of the following shall be reported in column 0010:
(a)
1 day re-scaled to 10 days;
(b)
10 days with overlapping periods;
(c)
10 days other methodology.
The institution shall use column 0020 to clarify the answer given in column 0010.
0090
SVaR Regulatory add-on
Article 366(2) of Regulation (EU) No 575/2013
Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for sVaR (at least 3) in accordance with Article 366(2) of Regulation (EU) No 575/2013. The regulatory add-on is the sum of 3, backtesting add-on and qualitative add-on (if applicable).
The institution shall use column 0020 to clarify the answer given in column 0010.
0100
SVaR period
Article 365(2) of Regulation (EU) No 575/2013
One of the following shall be reported in column 0010:
(a)
Daily computation of the stressed VaR calibrated to one continuous 12-month period starting from the date specified in column 0020;
(b)
Weekly computation of the stressed VaR calibrated to one continuous 12-month period starting from the date specified in column 0020;
(c)
Daily computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 0010 of C107.02 starting from the dates specified in column 0020;
(d)
Weekly computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 0010 of C107.02 starting from the dates specified in column 0020;
(e)
Maximum of daily computation of the stressed VaR calibrated to more than one single 12-month period;
(f)
Maximum of weekly computation of the stressed VaR calibrated to more than one single 12-month period;
(g)
Other choices for the stressed VaR calibration (please specify).
The institution shall use column 0020 to provide the starting date in the format of ‘dd/mm/yyyy’ in case of options (a) or (b) given in column 0010 and the starting dates in the format ‘dd/mm/yyyy’ used for each stressed VaR computation in case of options (c) or (d) given in column 0010. The institution shall also use column 0020 to clarify the 12-month period used for each stressed VaR computation in case of options (e), (f) and (g) given in column 0010.
C 107.02 –
VaR, sVaR and PV – Non-CTP. EBA portfolio currency results.
Instructions concerning sheets (z-axis)
Label
Legal reference
Instructions
Portfolio
Sections 3, 4 and 5 of Annex V
The portfolio number taken from Annex V shall be reported.
Column
Label
Legal reference
Instructions
0010
Date
VaR, sVaR and Present Value (PV) results shall be reported for all the 10 business days between the ‘RM initial reference date’ and the ‘RM (and final ASA) final reference date’, as specified in Section 1, point (b), of Annex V. The ‘dd/mm/yyyy’ convention shall be adopted to report the dates.
0020
VaR
Article 365 of Regulation (EU) No 575/2013
The 10-day regulatory VaR obtained for each portfolio, without applying the ‘at least 3’ regulatory multiplication factor, shall be reported.
Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a VaR on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).
0030
sVaR
Article 365 of Regulation (EU) No 575/2013
The 10-day regulatory sVaR obtained for each portfolio, without applying the ‘at least 3’ regulatory multiplication factor, shall be reported.
Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a sVaR on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).
0040
PV
The present value (PV) for each portfolio shall be reported.
Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a PV on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).
C 108.00 –
Profit & Loss Time Series
Template C 108.00 (‘Profit & Loss Time Series’) shall be completed only by institutions that calculate VaR using historical simulation.
Instructions concerning sheets (z-axis)
Label
Legal reference
Instructions
Portfolio
Sections 3, 4 and 5 of Annex V
The portfolio number taken from Annex V shall be reported.
Column
Label
Legal reference
Instructions
0010
Date
Article 365(1) point (d), of Regulation (EU) No 575/2013
On each business day, determined in accordance with the calendar in the institution’s jurisdiction, institutions shall provide the P&L series used to calculate VaR in C107.02 column 0010 with a minimum of 250 observations starting from the ‘RM (and final ASA) final reference date’, as specified in Section 1, point (b)(v), of Annex V, and going backward.
0020
Daily P&L
Institutions that calculate VaR using historical simulation shall fill the full length historic series used by the institution, with a minimum of one-year data series, with the portfolio valuation change (i.e. daily P&L) produced by using historically simulated daily risk factor changes (i.e. the daily P&L series used to derive the regulatory 1-day VaR).
In case a day is a bank holiday in the relevant jurisdiction, this cell shall be left blank (i.e. a zero P&L shall be reported only where there was no change in the hypothetical value of the portfolio on a given business day).
C 109.01 –
IRC. Details of the Model
Row
Label
Legal reference
Instructions
0010
Number of modelling factors
EBA/GL/2012/3
The number of modelling factors at the overall IRC model level shall be reported. The answer shall be one of the following:
(a)
1 modelling factor;
(b)
2 modelling factors;
(c)
More than 2 modelling factors.
The institution shall use column 0020 to clarify the answer given in column 0010.
0020
Source of LGDs
EBA/GL/2012/3
The source of LGDs at the overall IRC Model level shall be reported. The answer shall be one of the following:
(a)
Market convention;
(b)
LGD used in IRB;
(c)
Other source of LGD (please specify).
The institution shall use column 0020 to clarify the answer given in column 0010. In case option (c) was selected in column 0010, the institution shall provide details in this column.
C 109.02 –
IRC. Details by Portfolio
Instructions concerning sheets (z-axis)
Label
Legal reference
Instructions
Portfolio
Sections 3, 4 and 5 of Annex V
The portfolio number taken from Annex V, only for those portfolios where IRC is requested, shall be reported.
Row
Label
Legal reference
Instructions
0010
Liquidity Horizon
Article 374(5) of Regulation (EU) No 575/2013
EBA/GL/2012/3
The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following:
(a)
Up to 3 months;
(b)
More than 3 and up to 6 months;
(c)
More than 6 and up to 9 months;
(d)
More than 9 and up to 12 months.
0020
Source of PDs
EBA/GL/2012/3
The source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following:
(a)
Rating agencies;
(b)
IRB;
(c)
Market implied PDs;
(d)
Other source of PDs (please specify).
The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in this column 0020.
0030
Source of transition matrices
EBA/GL/2012/3
The source of transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following:
(a)
Rating agencies;
(b)
IRB;
(c)
Market implied transition matrices;
(d)
Other sources of transition matrices (please specify).
The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in this column 0020.
C 109.03 –
IRC. Amount by Portfolio/Date.
Instructions concerning sheets (z-axis)
Label
Legal reference
Instructions
Portfolio
Sections 3, 4 and 5of Annex V
The portfolio number taken from Annex V, only for those portfolios where IRC is requested, shall be reported.
Column
Label
Legal reference
Instructions
0010
Date
IRC shall be reported for all the 10 business days between the ‘RM initial reference date’ and the ‘RM (and final ASA) final reference date’, as specified in Section 1, point (b), of Annex V. The ‘dd/mm/yyyy’ convention shall be adopted to report the dates.
0020
IRC
Articles 372 to 376 of Regulation (EU) No 575/2013
EBA/GL/2012/3
The regulatory IRC obtained for each portfolio shall be reported.
Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate an IRC on the date reported in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).
C 110.01 –
CT. Details of the Model.
Row
Label
Legal reference
Instructions
0010
Number of modelling factors
Article 377 of Regulation (EU) No 575/2013
The number of modelling factors at the overall correlation trading model level shall be reported. The answer shall be one of the following:
(a)
1 modelling factor;
(b)
2 modelling factors;
(c)
More than 2 modelling factors.
The institution shall use column 0020 where it wants to clarify the answer given in column 0010.
0020
Source of LGDs
Article 377 of Regulation (EU) No 575/2013
The source of LGDs at the overall correlation trading model level shall be reported. The answer shall be one of the following:
(a)
Market convention;
(b)
LGD used in IRB;
(c)
Other sources of LGD (please specify).
The institution shall use column 0020 to clarify the answer given in column 0010. In case option (c) was selected in column 0010, the institution shall provide details in this column.
C 110.02 –
CT. Details by Portfolio.
Instructions concerning sheets (z-axis)
Label
Legal reference
Instructions
Portfolio
Sections 3, 4 and 5 of Annex V
The portfolio number taken from Annex V, only for those portfolios where APR is requested, shall be reported.
Row
Label
Legal reference
Instructions
0010
Liquidity horizon
Article 377(2) of Regulation (EU) No 575/2013
The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following:
(a)
Up to 3 months;
(b)
More than 3 and up to 6 months;
(c)
More than 6 and up to 9 months;
(d)
More than 9 and up to 12 months.
0020
Source of PDs
Article 377 of Regulation (EU) No 575/2013
The source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following:
(a)
Rating agencies;
(b)
IRB;
(c)
Market implied PDs;
(d)
Other source of PDs (please specify).
The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020.
0030
Source of transition matrices
Article 377 of Regulation (EU) No 575/2013
The source of the transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following:
(a)
Rating agencies;
(b)
IRB;
(c)
Market implied transition matrices;
(d)
Other source of transition matrices (please specify).
The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020.
C 110.03 –
CT. APR by Portfolio/Date
Instructions concerning sheets (z-axis)
Label
Legal reference
Instructions
Portfolio
Section 3, 4 and 5 of Annex V
The portfolio number taken from Annex V, only for those portfolios where APR is requested, shall be reported
Column
Label
Legal reference
Instructions
0010
Date
Article 377 of Regulation (EU) No 575/2013
All price risk (‘APR’) shall be reported for all the 10 business days between the ‘RM initial reference date’ and the ‘RM (and final ASA) final reference date’ as referred to in Section 1, point (b), of Annex V. The ‘dd/mm/yyyy’ convention shall be adopted to report the dates.
0060
APR
Article 377 of Regulation (EU) No 575/2013
The results obtained by applying the regulatory correlation trading model to each portfolio shall be reported.
Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not use a correlation trading model on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).
C 120.01 –
SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO
Institutions shall report, instrument by instrument, the sensitivities towards the risk factors that the instrument is exposed to. One row shall be reported per risk factor/sensitivity. The upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Article 325g of Regulation (EU) No 575/2013 shall be reported in individual rows. All values shall refer to the “RM (and final ASA) final reference date” (as defined in Section 1, point (b)(v), of Annex V to this Regulation). Institutions shall report each combination of Portfolio, Instrument number (column 0010), Risk identifier (column 0020), Bucket (column 0030) and Additional identifier (column 0040) only once.
Instructions concerning sheets (z-axis)
Label
Legal reference
Instructions
Portfolio
Sections 3, 4 and 5 of Annex V
The number of the portfolio taken from Annex V shall be reported.
Column
Label
Legal reference
Instructions
0010
Instrument number
Section 2 of Annex V
The instrument number taken from Annex V shall be reported.
0020
Risk factor identifier
Articles 325l, 325m, 325n, 325o, 325p, 325q of Regulation (EU) No 575/2013
The risk factor identifier as specified in the table at the end of this Annex shall be reported.
0030
Bucket
Article 325d(3) of Regulation (EU) No 575/2013
The bucket shall be reported, where the risk factor identifier selected in column 0020 corresponds to the risk class:
—
General interest rate risk. The answer shall be the name of the currency of the relevant risk-free rate, inflation or cross-currency-basis risk factor (following the ISO 4217 currency designation, e.g. “EUR”).
—
Credit spread risk for non-securitisation. The answer shall be the bucket number in Article 325ah (1), Table 4, of Regulation (EU) No 575/2013.
—
Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR). The answer shall be the bucket number in Article 325am (1), Table 7, of that Regulation.
—
Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR). The answer shall be the bucket number in Article 325ak, Table 6, of that Regulation.
—
Equity risk. The answer shall be the bucket number in Article 325ap (1), Table 8, of that Regulation.
—
Commodity risk. The answer shall be the bucket number in Article 325as, Table 9, of that Regulation.
—
FX risk and the components Delta or Curvature. The answer shall the name of the currency (e.g. “USD”, the reported currency codes shall follow the ISO 4217 currency designation),
—
FX risk and the component Vega. The answer shall be the name of the currency pair (e.g. “EUR_USD”, the reported currency codes shall follow the ISO 4217 currency designation).
0040
Additional identifier1
Articles 325l to 325q and 325ai of Regulation (EU) No 575/2013
The following information distinguishing the risk factor at intra-bucket level shall be reported. Where the risk factor identifier selected in column 0020 corresponds to the risk class:
—
General interest rate risk and the component Delta, the answer shall be the name of the risk-free curve or another corresponding unique identifier.
—
Credit spread risk for non-securitisation or the risk class credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR), the answer shall be the LEI of the issuer and it shall be identical for any two reported sensitivities towards two risk factors that receive a correlation parameter ρ κl
(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 ISIN of the underlying instrument.
—
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 the risk factor identifier selected in column 0010 corresponds to the risk class Commodity risk and the Delta risk component of the sensitivities-based method, the answer shall be the set of legal terms regarding the delivery location or another corresponding unique identifier.
Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable.
0120
Credit quality category
Article 325m(1) and Article 325ah(1) of Regulation (EU) No 575/2013
Where the risk factor identifier selected in column 0010 corresponds to the risk class Credit spread risk for non-securitisation and the Delta risk component of the sensitivities-based method, the answer shall be one of the following:
(a)
‘CQS 1’;
(b)
‘CQS 2’;
(c)
‘CQS 3’;
(d)
‘CQS 4’;
(e)
‘CQS 5’;
(f)
‘CQS 6’;
(g)
‘No CQS assigned (unrated)’.
Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable.
C 120.02 –
SBM. OFR COMPOSITION BY PORTFOLIO
Instructions concerning sheets (z-axis)
Label
Legal reference
Instructions
Portfolio
Sections 3, 4 and 5 of Annex V
The number of the portfolio taken from Annex V shall be reported.
Column
Label
Legal reference
Instructions
0010
Risk class
Article 325d(1) of Regulation (EU) No 575/2013
The risk class shall be reported. The answer shall be one of the following:
(a)
‘General interest rate risk (GIRR)’;
(b)
‘Credit spread risk.Non-securitisations CSR’ (credit spread risk (CSR) for non-securitisation);
(c)
‘Credit spread risk.Non-ACTP CSR’ (credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR));
(d)
‘Credit spread risk.ACTP CSR’ (credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR));
(e)
‘Equity risk’;
(f)
‘Commodities risk’;
(g)
‘Foreign-exchange risk’.
0020
Component
Article 325e(1) of Regulation (EU) No 575/2013
The component of the sensitivities-based method shall be reported. The answer shall be one of the following:
(a)
‘Delta risk’;
(b)
‘Vega risk’;
(c)
‘Curvature risk’;
0030
Correlation scenario
Article 325h of Regulation (EU) No 575/2013
The correlation scenario shall be reported. The answer shall be one of the following:
(a)
‘Medium correlation scenario’;
(b)
‘High correlation scenario’;
(c)
‘Low correlation scenario’.
0040
Own funds requirements (Reporting currency results)
Article 325h of Regulation (EU) No 575/2013
Own funds requirements values shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio for all relevant combinations of risk class, component and correlation scenario. The values shall be reported in the institution’s reporting currency and shall be expressed with a minimum precision of two decimal places.
0050
Reporting currency
The reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation).
0060
Own funds requirements (EBA portfolio currency results)
Sections 3 and 4 of Annex V to this Regulation and Article 325h of Regulation (EU) No 575/2013
The values shall be reported following the instructions for column 0040 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation.
0070
Positions without optionality subjected to curvature risk own funds requirements
Article 325e(3) of Regulation (EU) No 575/2013
Where the component in column 0020 corresponds to curvature risk:
(a)
‘TRUE’ shall be reported if the institution applies the approach set out in Article 325e(3), first subparagraph of Regulation (EU) No 575/2013 in calculating the result reported in columns 0040 and 0060.
(b)
‘FALSE’ shall be reported otherwise.
‘FALSE’ shall also be reported where none of those cases applies.
0080
Base currency approach applied for foreign-exchange risk delta and curvature
Article 325q(7) of Regulation (EU) No 575/2013
Where the risk class in column 0010 corresponds to foreign-exchange risk and the component in column 0020 corresponds to delta risk or curvature risk:
(a)
‘TRUE’ shall be reported if the institution applies the approach set out Article 325q(7) of Regulation (EU) No 575/2013 in calculating the result reported in columns 0040 and 0060.
(b)
‘FALSE’ shall be reported otherwise.
‘FALSE’ shall also be reported where none of those cases applies.
0090
Division of curvature risk components for foreign-exchange risk by scalar
Article 325q(6) of Regulation (EU) No 575/2013
Where the risk class in column 0010 corresponds to foreign-exchange risk and the component in column 0020 corresponds to curvature risk:
(a)
‘TRUE’ shall be reported if the institution applies the approach set out Article 325q(6) of Regulation (EU) No 575/2013 in calculating the result reported in columns 0040 and 0060.
(b)
‘FALSE’ shall be reported otherwise.
‘FALSE’ shall also be reported where none of those cases applies.
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 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 LEI 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.
The cell shall be left blank where none of those cases applies or where the institution does not explicitly calculate or use the amount to be reported in this column in order to estimate the Gross JTD amount.
0160
Gross JTD amount
Article 325v(1), point (c), Article 325w(1), (2) and (5), Article 325z(1) and Article 325ac(2) of Regulation (EU) No 575/2013
Institutions shall report the gross JTD amount for the specific exposure.
0170
Currency
The reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation).
0180-0200
EBA portfolio currency results
Sections 3 and 4 of Annex V to this Regulation and Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013
The values shall be reported following the instructions for column 0030 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation.
0180
Notional
Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013
Where the risk class reported in column 0020 corresponds to ‘Instruments other than securitisation positions’, institutions shall report the notional amount of the instrument. The value shall correspond to the term 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 JTD amount.
0190
P&L + Adjustment
Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013
Institutions shall report the sum of P&L and Adjustment for each exposure:
—
Where the risk class reported in column 0020 corresponds to ‘Instruments other than securitisation positions’ and the reported exposure is a long exposure, institutions shall report the sum of P&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.
The cell shall be left blank where none of those cases applies or where the institution does not explicitly calculate or use the amount to be reported in this column in order to estimate the Gross JTD amount.
0200
Gross JTD amount
Article 325v(1), point (c), Article 325w(1), (2) and (5), Article 325z(1) and Article 325ac(2) of Regulation (EU) No 575/2013
Institutions shall report the gross jump-to-default (JTD) amount for the specific exposure.
C 120.05 –
DRC. OFR COMPOSITION BY PORTFOLIO
Instructions concerning sheets (z-axis)
Label
Legal reference
Instructions
Portfolio
Sections 3, 4 and 5 of Annex V
The number of the portfolio taken from Annex V shall be reported.
Column
Label
Legal reference
Instructions
0010
Risk class
Article 325v(2) of Regulation (EU) No 575/2013
The risk class for which default risk requirement are reported in columns 0030 and 0040 shall be reported. The answer shall be one of the following instrument types:
(a)
‘instruments other than securitisation positions’;
(b)
‘ securitisation positions that are not included in the ACTP’;
(c)
‘ securitisation positions that are included in the ACTP’.
0020
Bucket1
Article 325y(3), Article 325aa(4) and Article 325ad(2) of Regulation (EU) No 575/2013
The bucket shall be reported.
Where the risk class reported in column 0010 corresponds to ‘Instruments other than securitisation positions’, the answer shall be one of the following:
(a)
‘corporates’;
(b)
‘sovereigns’;
(c)
‘local governments/municipalities’.
Where instead the risk class reported in column 0010 corresponds to ‘ securitisation positions that are not included in the ACTP’, the answer shall be one of the following:
(d)
‘ABCP – Asia’;
(e)
‘ABCP – Europe’;
(f)
‘ABCP – North America’;
(g)
‘ABCP – Rest of the world’;
(h)
‘Auto loans/leases – Asia’;
(i)
‘Auto loans/leases – Europe’;
(j)
‘Auto loans/leases – North America’;
(k)
‘Auto loans/leases – Rest of the world’;
(l)
‘Collateralised debt obligations squared (CDO-squared) – Asia’;
(m)
‘Collateralised debt obligations squared (CDO-squared) – Europe’;
(n)
‘Collateralised debt obligations squared (CDO-squared) – North America’;
(o)
‘Collateralised debt obligations squared (CDO-squared) – Rest of the world’;
(p)
‘Collateralised loan obligations – Asia’;
(q)
‘Collateralised loan obligations – Europe’;
(r)
‘Collateralised loan obligations – North America’;
(s)
‘Collateralised loan obligations – Rest of the world’;
(t)
‘Commercial mortgage-backed securities (CMBS) – Asia’;
(u)
‘Commercial mortgage-backed securities (CMBS) – Europe’;
(v)
‘Commercial mortgage-backed securities (CMBS) – North America’;
(w)
‘Commercial mortgage-backed securities (CMBS) – Rest of the world’;
(x)
‘Credit cards – Asia’;
(y)
‘Credit cards – Europe’;
(z)
‘Credit cards – North America’;
(aa)
‘Credit cards – Rest of the world’;
(bb)
‘Other retail – Asia’;
(cc)
‘Other retail – Europe’;
(dd)
‘Other retail – North America’;
(ee)
‘Other retail – Rest of the world’;
(ff)
‘Other wholesale – Asia’;
(gg)
‘Other wholesale – Europe’;
(hh)
‘Other wholesale – North America’;
(ii)
‘Other wholesale – Rest of the world’;
(jj)
‘Residential mortgage-backed securities (RMBS) – Asia’;
(kk)
‘Residential mortgage-backed securities (RMBS) – Europe’;
(ll)
‘Residential mortgage-backed securities (RMBS) – North America’;
(mm)
‘Residential mortgage-backed securities (RMBS) – Rest of the world’;
(nn)
‘Small and medium-sized enterprises (SMEs) – Asia’;
(oo)
‘Small and medium-sized enterprises (SMEs) – Europe’;
(pp)
‘Small and medium-sized enterprises (SMEs) – North America’;
(qq)
‘Small and medium-sized enterprises (SMEs) – Rest of the world’;
(rr)
‘Student loans – Asia’;
(ss)
‘Student loans – Europe’;
(tt)
‘Student loans – North America’;
(uu)
‘Student loans – Rest of the world’.
Where instead the risk class reported in column 0010 corresponds to ‘ securitisation positions that are included in the ACTP’, the answer shall be ‘ securitisations that are included in the ACTP’.
0030
Bucket2
Article 325ad(2) of Regulation (EU) No 575/2013
Where the risk class reported in column 0010 corresponds to ‘ securitisation positions that are included in the ACTP’, the answer shall be the name of the index, otherwise it shall be left (NUL)
0040
Own funds requirements (Reporting currency results)
Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013
Own funds requirements for default risk shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation). The values shall be reported in the institution’s reporting currency and shall be expressed with a minimum precision of two decimal places.
0050
Reporting currency
The reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation).
0060
Own funds requirements (EBA portfolio currency results)
Sections 3 and 4 of Annex V to this Regulation and Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013
The values shall be reported following the instructions for column 0030 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation.
C 120.06 –
ASA. OFR
Column
Label
Legal reference
Instructions
0010
Portfolio number
Sections 3, 4 and 5 of Annex V
The number of the portfolio taken from Annex V shall be reported.
0020-0040
Reporting currency results
Sections 3 and 4 of Annex V
0020
SBM OFR
Article 325h of Regulation (EU) No 575/2013
Own funds requirements for the sensitivities-based method of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.
0030
DRC OFR
Article 325v of Regulation (EU) No 575/2013
Own funds requirements for the default risk requirement of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.
0040
RRAO OFR
Article 325u of Regulation (EU) No 575/2013
Own funds requirements for the residual risk add-on of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.
0050-0070
EBA portfolio currency results
Sections 3 and 4 of Annex V
When the reporting currency of the institution is different from the EBA portfolio currencies specified in Sections 3 and 4 of Annex V, the institutions shall convert the reporting currency at the applicable ECB spot exchange rate.
0050
SBM OFR
Article 325h of Regulation (EU) No 575/2013
Own funds requirements for the sensitivities-based method of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.
0060
DRC OFR
Article 325v of Regulation (EU) No 575/2013
Own funds requirements for the default risk requirement of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.
0070
RRAO OFR
Article 325u of Regulation (EU) No 575/2013
Own funds requirements for the residual risk add-on of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio.
Table: guidance for the reporting of templates 106.01 (column 0010) and 120.01 (column 0020)
—
The column "risk class" refers to Article 325d(1) of Regulation (EU) No 575/2013. The following acronyms are used to denote the risk classes:
(a)
“GIRR” (general interest rate risk);
(b)
“CSR_NON_SEC” (credit spread risk (CSR) for non-securitisation);
(c)
“CSR_SEC_NON_ACTP” (credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR));
(d)
“CSR_SEC_ACTP” (credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR));
(e)
“EQ” (equity risk);
(f)
“CM” (commodity risk);
(g)
“FX” (foreign exchange risk).
—
The column "component" refers to Article 325e(1) of Regulation (EU) No 575/2013. The following acronyms are used to denote the components of the sensitivities-based method:
(a)
“DELTA” (delta risk);
(b)
“VEGA” (vega risk);
(c)
“CURVATURE” (curvature risk).
—
The column "maturity" refers to the maturity of the risk factor, where risk factors are defined along specified vertices following Articles 325l, 325m, 325n, 325o, 325p and 325q of Regulation (EU) No 575/2013. For vega general interest rate risk factors as specified in Article 325l(7) of that Regulation two maturities are given and separated by a hyphen (e.g. “0,5 years – 0,5 years”), the first refers to the maturity of the option and the second to residual maturity of the underlying of the option at the expiry date of the option.
—
The column "additional specifications" further specifies the respective risk factor with regards to the distinction between inflation risk and cross-currency basis risk factors according to Article 325l of Regulation (EU) No 575/2013, the distinction between risk factors relating to debt instruments and risk factors relating to credit default swaps according to Articles 325m and 325n of that Regulation, the distinction between equity spot price and equity repo rate risk factors according to Article 325o of that Regulation and the distinction between the upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Article 325g of that Regulation.
Risk class
Component
Maturity
Additional specification
Risk factor identifier
Legal reference
CM
DELTA
0 years
CM_D_00.00
Article 325p of Regulation (EU) No 575/2013
CM
DELTA
0,25 years
CM_D_00.25
Article 325p of Regulation (EU) No 575/2013
CM
DELTA
0,5 years
CM_D_00.50
Article 325p of Regulation (EU) No 575/2013
CM
DELTA
1 year
CM_D_01.00
Article 325p of Regulation (EU) No 575/2013
CM
DELTA
2 years
CM_D_02.00
Article 325p of Regulation (EU) No 575/2013
CM
DELTA
3 years
CM_D_03.00
Article 325p of Regulation (EU) No 575/2013
CM
DELTA
5 years
CM_D_05.00
Article 325p of Regulation (EU) No 575/2013
CM
DELTA
10 years
CM_D_10.00
Article 325p of Regulation (EU) No 575/2013
CM
DELTA
15 years
CM_D_15.00
Article 325p of Regulation (EU) No 575/2013
CM
DELTA
20 years
CM_D_20.00
Article 325p of Regulation (EU) No 575/2013
CM
DELTA
30 years
CM_D_30.00
Article 325p of Regulation (EU) No 575/2013
CM
VEGA
0,5 years
CM_V_00.50
Article 325p of Regulation (EU) No 575/2013
CM
VEGA
1 year
CM_V_01.00
Article 325p of Regulation (EU) No 575/2013
CM
VEGA
3 years
CM_V_03.00
Article 325p of Regulation (EU) No 575/2013
CM
VEGA
5 years
CM_V_05.00
Article 325p of Regulation (EU) No 575/2013
CM
VEGA
10 years
CM_V_10.00
Article 325p of Regulation (EU) No 575/2013
CM
CURVATURE
Upward shift
CM_CU
Articles 325p, 325g of Regulation (EU) No 575/2013
CM
CURVATURE
Downward shift
CM_CD
Articles 325p, 325g of Regulation (EU) No 575/2013
CSR_NON_SEC
DELTA
0,5 years
Debt instrument
CSR_NON_SEC_D_00.50_DEBT
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC
DELTA
1 year
Debt instrument
CSR_NON_SEC_D_01.00_DEBT
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC
DELTA
3 years
Debt instrument
CSR_NON_SEC_D_03.00_DEBT
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC
DELTA
5 years
Debt instrument
CSR_NON_SEC_D_05.00_DEBT
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC
DELTA
10 years
Debt instrument
CSR_NON_SEC_D_10.00_DEBT
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC
DELTA
0,5 years
Credit Default Swap
CSR_NON_SEC_D_00.50_CDS
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC
DELTA
1 year
Credit Default Swap
CSR_NON_SEC_D_01.00_CDS
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC
DELTA
3 years
Credit Default Swap
CSR_NON_SEC_D_03.00_CDS
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC
DELTA
5 years
Credit Default Swap
CSR_NON_SEC_D_05.00_CDS
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC
DELTA
10 years
Credit Default Swap
CSR_NON_SEC_D_10.00_CDS
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC
VEGA
0,5 years
CSR_NON_SEC_V_00.50
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC
VEGA
1 year
CSR_NON_SEC_V_01.00
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC
VEGA
3 years
CSR_NON_SEC_V_03.00
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC
VEGA
5 years
CSR_NON_SEC_V_05.00
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC
VEGA
10 years
CSR_NON_SEC_V_10.00
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC
CURVATURE
Upward shift
CSR_NON_SEC_CU
Articles 325m, 325g of Regulation (EU) No 575/2013
CSR_NON_SEC
CURVATURE
Downward shift
CSR_NON_SEC_CD
Articles 325m, 325g of Regulation (EU) No 575/2013
CSR_SEC_ACTP
DELTA
0,5 years
Debt instrument
CSR_SEC_ACTP_D_00.50_DEBT
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP
DELTA
1 year
Debt instrument
CSR_SEC_ACTP_D_01.00_DEBT
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP
DELTA
3 years
Debt instrument
CSR_SEC_ACTP_D_03.00_DEBT
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP
DELTA
5 years
Debt instrument
CSR_SEC_ACTP_D_05.00_DEBT
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP
DELTA
10 years
Debt instrument
CSR_SEC_ACTP_D_10.00_DEBT
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP
DELTA
0,5 years
Credit Default Swap
CSR_SEC_ACTP_D_00.50_CDS
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP
DELTA
1 year
Credit Default Swap
CSR_SEC_ACTP_D_01.00_CDS
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP
DELTA
3 years
Credit Default Swap
CSR_SEC_ACTP_D_03.00_CDS
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP
DELTA
5 years
Credit Default Swap
CSR_SEC_ACTP_D_05.00_CDS
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP
DELTA
10 years
Credit Default Swap
CSR_SEC_ACTP_D_10.00_CDS
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP
VEGA
0,5 years
CSR_SEC_ACTP_V_00.50
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP
VEGA
1 year
CSR_SEC_ACTP_V_01.00
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP
VEGA
3 years
CSR_SEC_ACTP_V_03.00
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP
VEGA
5 years
CSR_SEC_ACTP_V_05.00
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP
VEGA
10 years
CSR_SEC_ACTP_V_10.00
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP
CURVATURE
Upward shift
CSR_SEC_ACTP_CU
Articles 325n, 325g of Regulation (EU) No 575/2013
CSR_SEC_ACTP
CURVATURE
Downward shift
CSR_SEC_ACTP_CD
Articles 325n, 325g of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP
DELTA
0,5 years
Debt instrument
CSR_SEC_NON_ACTP_D_00.50_DEBT
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP
DELTA
1 year
Debt instrument
CSR_SEC_NON_ACTP_D_01.00_DEBT
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP
DELTA
3 years
Debt instrument
CSR_SEC_NON_ACTP_D_03.00_DEBT
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP
DELTA
5 years
Debt instrument
CSR_SEC_NON_ACTP_D_05.00_DEBT
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP
DELTA
10 years
Debt instrument
CSR_SEC_NON_ACTP_D_10.00_DEBT
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP
DELTA
0,5 years
Credit Default Swap
CSR_SEC_NON_ACTP_D_00.50_CDS
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP
DELTA
1 year
Credit Default Swap
CSR_SEC_NON_ACTP_D_01.00_CDS
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP
DELTA
3 years
Credit Default Swap
CSR_SEC_NON_ACTP_D_03.00_CDS
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP
DELTA
5 years
Credit Default Swap
CSR_SEC_NON_ACTP_D_05.00_CDS
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP
DELTA
10 years
Credit Default Swap
CSR_SEC_NON_ACTP_D_10.00_CDS
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP
VEGA
0,5 years
CSR_SEC_NON_ACTP_V_00.50
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP
VEGA
1 year
CSR_SEC_NON_ACTP_V_01.00
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP
VEGA
3 years
CSR_SEC_NON_ACTP_V_03.00
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP
VEGA
5 years
CSR_SEC_NON_ACTP_V_05.00
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP
VEGA
10 years
CSR_SEC_NON_ACTP_V_10.00
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP
CURVATURE
Upward shift
CSR_SEC_NON_ACTP_CU
Articles 325n, 325g of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP
CURVATURE
Downward shift
CSR_SEC_NON_ACTP_CD
Articles 325n, 325g of Regulation (EU) No 575/2013
EQ
DELTA
Spot price
EQ_D_SPOT
Article 325o of Regulation (EU) No 575/2013
EQ
DELTA
Repo rate
EQ_D_REPO
Article 325o of Regulation (EU) No 575/2013
EQ
VEGA
0,5 years
EQ_V_00.50
Article 325o of Regulation (EU) No 575/2013
EQ
VEGA
1 year
EQ_V_01.00
Article 325o of Regulation (EU) No 575/2013
EQ
VEGA
3 years
EQ_V_03.00
Article 325o of Regulation (EU) No 575/2013
EQ
VEGA
5 years
EQ_V_05.00
Article 325o of Regulation (EU) No 575/2013
EQ
VEGA
10 years
EQ_V_10.00
Article 325o of Regulation (EU) No 575/2013
EQ
CURVATURE
Upward shift
EQ_CU
Articles 325o, 325g of Regulation (EU) No 575/2013
EQ
CURVATURE
Downward shift
EQ_CD
Articles 325o, 325g of Regulation (EU) No 575/2013
FX
DELTA
FX_D
Article 325q of Regulation (EU) No 575/2013
FX
VEGA
0,5 years
FX_V_00.50
Article 325q of Regulation (EU) No 575/2013
FX
VEGA
1 year
FX_V_01.00
Article 325q of Regulation (EU) No 575/2013
FX
VEGA
3 years
FX_V_03.00
Article 325q of Regulation (EU) No 575/2013
FX
VEGA
5 years
FX_V_05.00
Article 325q of Regulation (EU) No 575/2013
FX
VEGA
10 years
FX_V_10.00
Article 325q of Regulation (EU) No 575/2013
FX
CURVATURE
Upward shift
FX_CU
Articles 325q, 325g of Regulation (EU) No 575/2013
FX
CURVATURE
Downward shift
FX_CD
Articles 325q, 325g of Regulation (EU) No 575/2013
GIRR
DELTA
0,25 years
GIRR_D_00.25
Article 325l of Regulation (EU) No 575/2013
GIRR
DELTA
0,5 years
GIRR_D_00.50
Article 325l of Regulation (EU) No 575/2013
GIRR
DELTA
1 year
GIRR_D_01.00
Article 325l of Regulation (EU) No 575/2013
GIRR
DELTA
2 years
GIRR_D_02.00
Article 325l of Regulation (EU) No 575/2013
GIRR
DELTA
3 years
GIRR_D_03.00
Article 325l of Regulation (EU) No 575/2013
GIRR
DELTA
5 years
GIRR_D_05.00
Article 325l of Regulation (EU) No 575/2013
GIRR
DELTA
10 years
GIRR_D_10.00
Article 325l of Regulation (EU) No 575/2013
GIRR
DELTA
15 years
GIRR_D_15.00
Article 325l of Regulation (EU) No 575/2013
GIRR
DELTA
20 years
GIRR_D_20.00
Article 325l of Regulation (EU) No 575/2013
GIRR
DELTA
30 years
GIRR_D_30.00
Article 325l of Regulation (EU) No 575/2013
GIRR
DELTA
Inflation
GIRR_D_INF
Article 325l of Regulation (EU) No 575/2013
GIRR
DELTA
Cross-currency basis (over EUR)
GIRR_D_CRO_EUR
Article 325l of Regulation (EU) No 575/2013
GIRR
DELTA
Cross-currency basis (over USD)
GIRR_D_CRO_USD
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
0,5 years – 0,5 years
GIRR_V_00.50_00.50
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
1 year – 0,5 years
GIRR_V_01.00_00.50
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
3 years – 0,5 years
GIRR_V_03.00_00.50
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
5 years – 0,5 years
GIRR_V_05.00_00.50
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
10 years – 0,5 years
GIRR_V_10.00_00.50
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
0,5 years – 1 year
GIRR_V_00.50_01.00
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
1 year – 1 year
GIRR_V_01.00_01.00
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
3 years – 1 year
GIRR_V_03.00_01.00
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
5 years – 1 year
GIRR_V_05.00_01.00
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
10 years – 1 year
GIRR_V_10.00_01.00
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
0,5 years – 3 years
GIRR_V_00.50_03.00
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
1 year – 3 years
GIRR_V_01.00_03.00
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
3 years – 3 years
GIRR_V_03.00_03.00
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
5 years – 3 years
GIRR_V_05.00_03.00
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
10 years – 3 years
GIRR_V_10.00_03.00
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
0,5 years – 5 years
GIRR_V_00.50_05.00
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
1 year – 5 years
GIRR_V_01.00_05.00
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
3 years – 5 years
GIRR_V_03.00_05.00
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
5 years – 5 years
GIRR_V_05.00_05.00
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
10 years – 5 years
GIRR_V_10.00_05.00
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
0,5 years – 10 years
GIRR_V_00.50_10.00
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
1 year – 10 years
GIRR_V_01.00_10.00
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
3 years – 10 years
GIRR_V_03.00_10.00
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
5 years – 10 years
GIRR_V_05.00_10.00
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
10 years – 10 years
GIRR_V_10.00_10.00
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
0,5 years
Inflation
GIRR_V_00.50_INF
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
1 year
Inflation
GIRR_V_01.00_INF
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
3 years
Inflation
GIRR_V_03.00_INF
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
5 years
Inflation
GIRR_V_05.00_INF
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
10 years
Inflation
GIRR_V_10.00_INF
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
0,5 years
Cross-currency basis (over EUR)
GIRR_V_00.50_CRO_EUR
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
1 year
Cross-currency basis (over EUR)
GIRR_V_01.00_CRO_EUR
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
3 years
Cross-currency basis (over EUR)
GIRR_V_03.00_CRO_EUR
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
5 years
Cross-currency basis (over EUR)
GIRR_V_05.00_CRO_EUR
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
10 years
Cross-currency basis (over EUR)
GIRR_V_10.00_CRO_EUR
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
0,5 years
Cross-currency basis (over USD)
GIRR_V_00.50_CRO_USD
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
1 year
Cross-currency basis (over USD)
GIRR_V_01.00_CRO_USD
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
3 years
Cross-currency basis (over USD)
GIRR_V_03.00_CRO_USD
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
5 years
Cross-currency basis (over USD)
GIRR_V_05.00_CRO_USD
Article 325l of Regulation (EU) No 575/2013
GIRR
VEGA
10 years
Cross-currency basis (over USD)
GIRR_V_10.00_CRO_USD
Article 325l of Regulation (EU) No 575/2013
GIRR
CURVATURE
Upward shift
GIRR_CU
Articles 325l, 325g of Regulation (EU) No 575/2013
GIRR
CURVATURE
Downward shift
GIRR_CD
Articles 325l, 325g of Regulation (EU) No 575/2013
’
ANNEX IV
‘
ANNEX VII
Results Supervisory Benchmarking portfolios. MARKET RISK
RESULTS BENCHMARKING PORTFOLIOS. MARKET RISK
Template number
Template code
Name of the template /group of templates
Short name
INITIAL MARKET VALUATION
106
C 106.00
INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION
IMV
106,01
C 106.01
RISK SENSITIVITIES BY INSTRUMENT
SENSITIVITIES
106,02
C 106.02
SBM. OFR COMPOSITION BY SBM VALIDATION PORTFOLIO
SBM Validation
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)
120,01
C 120.01
SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO
SBM 1
120,02
C 120.02
SBM. OFR COMPOSITION BY PORTFOLIO
SBM 2
120,04
C 120.04
DRC. MARKET VALUES AND GROSS JTD AMOUNTS BY INSTRUMENT/PORTFOLIO
DRC 1
120,05
C 120.05
DRC. OFR COMPOSITION BY PORTFOLIO
DRC 2
120,06
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 106.02 - SBM. OFR COMPOSITION BY SBM VALIDATION PORTFOLIO
Portfolio
Risk class
Risk Component
Correlations scenario
Own funds requirements (Reporting currency results)
Submission of SBM validation portfolio results
Free text box
0010
0020
0030
0040
0050
0060
C 107.01 - VaR, sVaR and PV. DETAILS
Option
Free text box
0010
0020
VaR
0010
Methodology
0020
Computation of 10-day Horizon
0030
Length of observation period
0040
Data Weighting
0050
Backtesting add-on
0060
VaR Regulatory add-on
SVaR
0070
Methodology
0080
Computation of 10-day Horizon
0090
SVaR Regulatory add-on
0100
SVaR period
C 107.02 - VaR and SVaR NON-CTP. EBA PORTFOLIO CURRENCY RESULTS
Portfolio
Date
VaR
sVaR
PV
0010
0020
0030
0040
C 108.00- PROFIT & LOSS TIME SERIES
Portfolio
Date
Daily P&L
0010
0020
C 109.01 - IRC. DETAILS OF THE MODEL
Option
Free text box
Row
Item
0010
0020
0010
Number of modelling factors
0020
Source of LGDs
C 109.02 - IRC. DETAILS BY PORTFOLIO
Portfolio
Option
Free text box
Row
Item
0010
0020
0010
Liquidity Horizon
0020
Source of PDs
0030
Source of transition matrices
C 109.03 - IRC. AMOUNT BY PORTFOLIO/DATE
Portfolio
Date
IRC
0010
0020
C 110.01 - CT. DETAILS OF THE MODEL
Option
Free text box
Row
Item
0010
0020
0010
Number of modelling factors
0020
Source of LGDs
C 110.02 - CT. DETAILS BY PORTFOLIO
Portfolio
Option
Free text box
Row
Item
0010
0020
0010
Liquidity Horizon
0020
Source of PDs
0030
Source of transition matrices
C 110.03 - CT. APR BY PORTFOLIO/DATE
Portfolio
Date
APR
0010
0060
C 120.01 - SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO
Portfolio
Instrument number
Risk factor identifier
Bucket
Additional identifier
Risk sensitivity
(Reporting currency results)
Reporting currency
Risk sensitivity
(EBA portfolio currency results)
Risk weight
Additional identifier2
Credit quality category
0010
0020
0030
0040
0060
0070
0080
0090
110
120
C 120.02 - SBM. OFR COMPOSITION BY PORTFOLIO
Portfolio
Risk class
Risk Component
Correlations scenario
Own funds requirements (Reporting currency results)
Reporting currency
Own funds requirements (EBA portfolio currency results)
Positions without optionality subjected to curvature risk own funds requirements
Base currency approach applied for foreign-exchange risk delta and curvature
Division of curvature risk components for foreign-exchange risk by scalar
Free text box
0010
0020
0030
0040
0050
0060
0070
0080
0090
0100
C 120.04 - DRC. Market values and gross JTD amounts by Instrument/Portfolio
Portfolio
Integer
Instrument number
Risk class
Bucket1
Bucket2
Obligor
Credit quality category
Default risk weight
Seniority
Maturity
Recovery Rate
Direction
Attachment point (%)
Detachment point (%)
Reporting currency results
EBA portfolio currency results
Notional
P&L + Adjustment
Gross JTD amount
Currency
Notional
P&L + Adjustment
Gross JTD amount
0010
0020
0030
0040
0050
0060
0070
0080
0090
0100
0110
0120
0130
0140
0150
0160
0170
0180
0190
0200
C 120.05 - DRC. OFR COMPOSITION BY PORTFOLIO
Portfolio
Integer
Risk class
Bucket1
Bucket2
Own funds requirements (Reporting currency results)
Reporting currency
Own funds requirements (EBA portfolio currency results)
0010
0020
0030
0040
0050
0060
C 120.06 - ASA. OFR
Portfolio number
Reporting currency results
EBA portfolio currency results
SBM OFR
DRC OFR
RRAO OFR
SBM OFR
DRC OFR
RRAO OFR
0010
0020
0030
0040
0050
0060
0070
’
ANNEX V
‘
ANNEX X
SBM Validation Portfolios
Sheet name
Description
Instruments
Instruments (sensitivities and curvature risk positions) for SBM validation purposes
Portfolios
SBM validation portfolios defined as combinations of the instruments defined in this Annex
Instrument
Risk factor identifier
Bucket
Additional identifier
Additional identifier2
Credit quality category
Risk sensitivity
S_IRV_b25#
GIRR_V_10.00_10.00
USD
400,00
S_IRV_b24#
GIRR_V_10.00_05.00
USD
200,00
S_IRV_b23#
GIRR_V_10.00_03.00
USD
- 900,00
S_IRV_b22#
GIRR_V_10.00_01.00
USD
950,00
S_IRV_b21#
GIRR_V_10.00_00.50
USD
- 350,00
S_IRV_b20#
GIRR_V_05.00_10.00
USD
1 000,00
S_IRV_b19#
GIRR_V_05.00_05.00
USD
- 300,00
S_IRV_b18#
GIRR_V_05.00_03.00
USD
50,00
S_IRV_b17#
GIRR_V_05.00_01.00
USD
300,00
S_IRV_b16#
GIRR_V_05.00_00.50
USD
-50,00
S_IRV_e3#
GIRR_V_03.00_CRO_USD
BRL
500,00
S_IRV_b15#
GIRR_V_03.00_10.00
USD
- 400,00
S_IRV_b14#
GIRR_V_03.00_05.00
USD
700,00
S_IRV_b13#
GIRR_V_03.00_03.00
USD
- 800,00
S_IRV_b12#
GIRR_V_03.00_01.00
USD
700,00
S_IRV_b11#
GIRR_V_03.00_00.50
USD
- 100,00
S_IRV_e2#
GIRR_V_01.00_INF
BRL
750,00
S_IRV_b10#
GIRR_V_01.00_10.00
USD
500,00
S_IRV_b9#
GIRR_V_01.00_05.00
USD
50,00
S_IRV_b8#
GIRR_V_01.00_03.00
USD
- 500,00
S_IRV_b7#
GIRR_V_01.00_01.00
USD
200,00
S_IRV_b6#
GIRR_V_01.00_00.50
USD
900,00
S_IRV_b5#
GIRR_V_00.50_10.00
USD
100,00
S_IRV_c5#
GIRR_V_00.50_10.00
CLP
- 100,00
S_IRV_d5#
GIRR_V_00.50_10.00
EUR
-2 000,00
S_IRV_b4#
GIRR_V_00.50_05.00
USD
100,00
S_IRV_c4#
GIRR_V_00.50_05.00
CLP
100,00
S_IRV_d4#
GIRR_V_00.50_05.00
EUR
1 500,00
S_IRV_b3#
GIRR_V_00.50_03.00
USD
- 500,00
S_IRV_c3#
GIRR_V_00.50_03.00
CLP
- 300,00
S_IRV_d3#
GIRR_V_00.50_03.00
EUR
1 000,00
S_IRV_b2#
GIRR_V_00.50_01.00
USD
400,00
S_IRV_c2#
GIRR_V_00.50_01.00
CLP
150,00
S_IRV_d2#
GIRR_V_00.50_01.00
EUR
3 750,00
S_IRV_a1#
GIRR_V_00.50_00.50
USD
- 100,00
S_IRV_b1#
GIRR_V_00.50_00.50
USD
700,00
S_IRV_c1#
GIRR_V_00.50_00.50
CLP
300,00
S_IRV_d1#
GIRR_V_00.50_00.50
EUR
-4 750,00
S_IRV_e1#
GIRR_V_00.50_00.50
BRL
- 500,00
S_IRD_b11#
GIRR_D_INF
USD
-50 000,00
S_IRD_d11#
GIRR_D_INF
CLP
95 000,00
S_IRD_e11#
GIRR_D_INF
EUR
DE
-65 000,00
S_IRD_e13#
GIRR_D_INF
EUR
FR
- 100 000,00
S_IRD_d12#
GIRR_D_CRO_USD
CLP
10 500,00
S_IRD_e12#
GIRR_D_CRO_USD
EUR
-85 000,00
S_IRD_b12#
GIRR_D_CRO_EUR
USD
-65 000,00
S_IRD_b10#
GIRR_D_30.00
USD
OIS
-50 000,00
S_IRD_c10#
GIRR_D_30.00
USD
Libor3m
10 000,00
S_IRD_d10#
GIRR_D_30.00
CLP
OIS
15 000,00
S_IRD_e10#
GIRR_D_30.00
EUR
OIS
- 120 000,00
S_IRD_b9#
GIRR_D_20.00
USD
OIS
200 000,00
S_IRD_c9#
GIRR_D_20.00
USD
Libor3m
-30 000,00
S_IRD_d9#
GIRR_D_20.00
CLP
OIS
90 000,00
S_IRD_e9#
GIRR_D_20.00
EUR
OIS
100,00
S_IRD_b8#
GIRR_D_15.00
USD
OIS
30 000,00
S_IRD_c8#
GIRR_D_15.00
USD
Libor3m
10 000,00
S_IRD_d8#
GIRR_D_15.00
CLP
OIS
70 000,00
S_IRD_e8#
GIRR_D_15.00
EUR
OIS
100,00
S_IRD_b7#
GIRR_D_10.00
USD
OIS
2 000,00
S_IRD_c7#
GIRR_D_10.00
USD
Libor3m
- 100 000,00
S_IRD_d7#
GIRR_D_10.00
CLP
OIS
-25 000,00
S_IRD_e7#
GIRR_D_10.00
EUR
OIS
100,00
S_IRD_b6#
GIRR_D_05.00
USD
OIS
-90 000,00
S_IRD_c6#
GIRR_D_05.00
USD
Libor3m
-35 000,00
S_IRD_d6#
GIRR_D_05.00
CLP
OIS
-5 000,00
S_IRD_e6#
GIRR_D_05.00
EUR
OIS
100,00
S_IRD_b5#
GIRR_D_03.00
USD
OIS
85 000,00
S_IRD_c5#
GIRR_D_03.00
USD
Libor3m
55 000,00
S_IRD_d5#
GIRR_D_03.00
CLP
OIS
- 100 000,00
S_IRD_e5#
GIRR_D_03.00
EUR
OIS
100,00
S_IRD_b4#
GIRR_D_02.00
USD
OIS
-10 000,00
S_IRD_c4#
GIRR_D_02.00
USD
Libor3m
10 000,00
S_IRD_d4#
GIRR_D_02.00
CLP
OIS
5 000,00
S_IRD_e4#
GIRR_D_02.00
EUR
OIS
100,00
S_IRD_b3#
GIRR_D_01.00
USD
OIS
-65 000,00
S_IRD_c3#
GIRR_D_01.00
USD
Libor3m
70 000,00
S_IRD_d3#
GIRR_D_01.00
CLP
OIS
10 000,00
S_IRD_e3#
GIRR_D_01.00
EUR
OIS
-50 000,00
S_IRD_b2#
GIRR_D_00.50
USD
OIS
15 000,00
S_IRD_c2#
GIRR_D_00.50
USD
Libor3m
-40 000,00
S_IRD_d2#
GIRR_D_00.50
CLP
OIS
45 000,00
S_IRD_e2#
GIRR_D_00.50
EUR
OIS
100,00
S_IRD_a1#
GIRR_D_00.25
USD
OIS
30 000,00
S_IRD_b1#
GIRR_D_00.25
USD
OIS
20 000,00
S_IRD_c1#
GIRR_D_00.25
USD
Libor3m
-30 000,00
S_IRD_d1#
GIRR_D_00.25
CLP
OIS
-30 000,00
S_IRD_e1#
GIRR_D_00.25
EUR
OIS
100,00
S_IRD_f1#
GIRR_D_00.25
DKK
OIS
100,00
S_IRC_a1#
GIRR_CU
USD
-18 466,83
S_IRC_b1#
GIRR_CU
USD
92 233,09
S_IRC_c1#
GIRR_CU
CLP
-1 270,00
S_IRC_d1#
GIRR_CU
EUR
- 253,12
S_IRC_e1#
GIRR_CU
VND
-11 950,00
S_IRC_a1#
GIRR_CD
USD
18 647,66
S_IRC_b1#
GIRR_CD
USD
-93 178,71
S_IRC_c1#
GIRR_CD
CLP
450,00
S_IRC_d1#
GIRR_CD
EUR
-3 237,08
S_IRC_e1#
GIRR_CD
VND
-4 030,00
S_FXV_b4#
FX_V_5.00
EUR_CLP
200,00
S_FXV_d4#
FX_V_5.00
CHF_VND
1 500,00
S_FXV_b3#
FX_V_3.00
EUR_CLP
- 400,00
S_FXV_d3#
FX_V_3.00
CHF_VND
1 000,00
S_FXV_b5#
FX_V_10.00
EUR_CLP
150,00
S_FXV_d5#
FX_V_10.00
CHF_VND
-2 000,00
S_FXV_b2#
FX_V_1.00
EUR_CLP
300,00
S_FXV_d2#
FX_V_1.00
CHF_VND
3 750,00
S_FXV_a1#
FX_V_0.50
EUR_CLP
- 100,00
S_FXV_b1#
FX_V_0.50
EUR_CLP
700,00
S_FXV_c1#
FX_V_0.50
AUD_JPY
450,00
S_FXV_d1#
FX_V_0.50
CHF_VND
-4 800,00
S_FXD_a1#
FX_D
GBP
5 000,00
S_FXD_b1#
FX_D
GBP
-8 000,00
S_FXD_c1#
FX_D
CLP
3 000,00
S_FXD_d1#
FX_D
DKK
1 000,00
S_FXD_f1#
FX_D
BGN
1 000,00
S_FXC_a1#
FX_CU
EUR
-16 037,91
S_FXC_b1#
FX_CU
EUR
80 159,24
S_FXC_c1#
FX_CU
CLP
- 800,00
S_FXC_d1#
FX_CU
JPY
-1 472,88
S_FXC_e1#
FX_CU
VND
-3 400,00
S_FXC_f1#
FX_CU
DKK
-48,61
S_FXC_a1#
FX_CD
EUR
16 162,18
S_FXC_b1#
FX_CD
EUR
-80 723,02
S_FXC_c1#
FX_CD
CLP
700,00
S_FXC_d1#
FX_CD
JPY
-1 324,35
S_FXC_e1#
FX_CD
VND
-2 100,00
S_FXC_f1#
FX_CD
DKK
48,61
S_EQV_a5#
EQ_V_5.00
1
ISSUER A
100,00
S_EQV_aa4#
EQ_V_5.00
5
ISSUER AA
1 200,00
S_EQV_ac1#
EQ_V_5.00
7
ISSUER AC
-50,00
S_EQV_ae4#
EQ_V_5.00
9
ISSUER AE
600,00
S_EQV_af4#
EQ_V_5.00
10
ISSUER AF
375,00
S_EQV_b4#
EQ_V_5.00
1
ISSUER B
50,00
S_EQV_f4#
EQ_V_5.00
5
ISSUER F
450,00
S_EQV_j4#
EQ_V_5.00
9
ISSUER J
- 200,00
S_EQV_k4#
EQ_V_5.00
10
ISSUER K
- 825,00
S_EQV_m1#
EQ_V_5.00
11
ISSUER M
- 700,00
S_EQV_n4#
EQ_V_5.00
12
INDEX N
850,00
S_EQV_o4#
EQ_V_5.00
12
INDEX O
150,00
S_EQV_y1#
EQ_V_5.00
3
ISSUER Y
700,00
S_EQV_a4#
EQ_V_3.00
1
ISSUER A
- 500,00
S_EQV_aa3#
EQ_V_3.00
5
ISSUER AA
- 850,00
S_EQV_ad1#
EQ_V_3.00
8
ISSUER AD
300,00
S_EQV_ae3#
EQ_V_3.00
9
ISSUER AE
- 450,00
S_EQV_af3#
EQ_V_3.00
10
ISSUER AF
- 725,00
S_EQV_b3#
EQ_V_3.00
1
ISSUER B
- 500,00
S_EQV_f3#
EQ_V_3.00
5
ISSUER F
250,00
S_EQV_j3#
EQ_V_3.00
9
ISSUER J
- 900,00
S_EQV_k3#
EQ_V_3.00
10
ISSUER K
- 975,00
S_EQV_n3#
EQ_V_3.00
12
INDEX N
-1 250,00
S_EQV_o3#
EQ_V_3.00
12
INDEX O
100,00
S_EQV_x1#
EQ_V_3.00
2
ISSUER X
- 200,00
S_EQV_z1#
EQ_V_3.00
4
ISSUER Z
- 800,00
S_EQV_a6#
EQ_V_10.00
1
ISSUER A
100,00
S_EQV_aa5#
EQ_V_10.00
5
ISSUER AA
- 300,00
S_EQV_ab1#
EQ_V_10.00
6
ISSUER AB
- 400,00
S_EQV_ae5#
EQ_V_10.00
9
ISSUER AE
- 850,00
S_EQV_af5#
EQ_V_10.00
10
ISSUER AF
525,00
S_EQV_b5#
EQ_V_10.00
1
ISSUER B
500,00
S_EQV_f5#
EQ_V_10.00
5
ISSUER F
600,00
S_EQV_j5#
EQ_V_10.00
9
ISSUER J
150,00
S_EQV_k5#
EQ_V_10.00
10
ISSUER K
300,00
S_EQV_n5#
EQ_V_10.00
12
INDEX N
225,00
S_EQV_o5#
EQ_V_10.00
12
INDEX O
- 200,00
S_EQV_q1#
EQ_V_10.00
13
INDEX Q
- 800,00
S_EQV_a3#
EQ_V_1.00
1
ISSUER A
400,00
S_EQV_aa2#
EQ_V_1.00
5
ISSUER AA
- 400,00
S_EQV_ae2#
EQ_V_1.00
9
ISSUER AE
- 250,00
S_EQV_af2#
EQ_V_1.00
10
ISSUER AF
-1 150,00
S_EQV_b2#
EQ_V_1.00
1
ISSUER B
200,00
S_EQV_f2#
EQ_V_1.00
5
ISSUER F
- 750,00
S_EQV_j2#
EQ_V_1.00
9
ISSUER J
350,00
S_EQV_k2#
EQ_V_1.00
10
ISSUER K
1 050,00
S_EQV_n2#
EQ_V_1.00
12
INDEX N
- 800,00
S_EQV_o2#
EQ_V_1.00
12
INDEX O
400,00
S_EQV_a1#
EQ_V_0.50
1
ISSUER A
- 100,00
S_EQV_a2#
EQ_V_0.50
1
ISSUER A
700,00
S_EQV_aa1#
EQ_V_0.50
5
ISSUER AA
950,00
S_EQV_ae1#
EQ_V_0.50
9
ISSUER AE
50,00
S_EQV_af1#
EQ_V_0.50
10
ISSUER AF
- 300,00
S_EQV_b1#
EQ_V_0.50
1
ISSUER B
900,00
S_EQV_c1#
EQ_V_0.50
2
ISSUER C
- 500,00
S_EQV_d1#
EQ_V_0.50
3
ISSUER D
600,00
S_EQV_e1#
EQ_V_0.50
4
ISSUER E
- 800,00
S_EQV_f1#
EQ_V_0.50
5
ISSUER F
1 000,00
S_EQV_g1#
EQ_V_0.50
6
ISSUER G
- 400,00
S_EQV_h1#
EQ_V_0.50
7
ISSUER H
-50,00
S_EQV_i1#
EQ_V_0.50
8
ISSUER I
300,00
S_EQV_j1#
EQ_V_0.50
9
ISSUER J
50,00
S_EQV_k1#
EQ_V_0.50
10
ISSUER K
- 300,00
S_EQV_l1#
EQ_V_0.50
11
ISSUER L
1 000,00
S_EQV_n1#
EQ_V_0.50
12
INDEX N
750,00
S_EQV_o1#
EQ_V_0.50
12
INDEX O
- 500,00
S_EQV_p1#
EQ_V_0.50
13
INDEX P
40,00
S_EQD_a1#
EQ_D_SPOT
1
ISSUER A
16 500,00
S_EQD_a2#
EQ_D_SPOT
1
ISSUER A
-35 000,00
S_EQD_b1#
EQ_D_SPOT
1
ISSUER B
20 000,00
S_EQD_c1#
EQ_D_SPOT
2
ISSUER C
66 000,00
S_EQD_d1#
EQ_D_SPOT
3
ISSUER D
1 700,00
S_EQD_e1#
EQ_D_SPOT
4
ISSUER E
1 100,00
S_EQD_f1#
EQ_D_SPOT
5
ISSUER F
25 000,00
S_EQD_g1#
EQ_D_SPOT
5
ISSUER G
8 400,00
S_EQD_h1#
EQ_D_SPOT
6
ISSUER H
22 500,00
S_EQD_i1#
EQ_D_SPOT
7
ISSUER I
-12 300,00
S_EQD_j1#
EQ_D_SPOT
8
ISSUER J
- 450,00
S_EQD_k1#
EQ_D_SPOT
9
ISSUER K
- 143,00
S_EQD_l1#
EQ_D_SPOT
9
ISSUER L
- 143,00
S_EQD_m1#
EQ_D_SPOT
10
ISSUER M
- 100,00
S_EQD_n1#
EQ_D_SPOT
10
ISSUER N
- 100,00
S_EQD_o1#
EQ_D_SPOT
11
ISSUER O
-19 600,00
S_EQD_q1#
EQ_D_SPOT
12
INDEX Q
1 100,00
S_EQD_r1#
EQ_D_SPOT
12
INDEX R
-40 000,00
S_EQD_s1#
EQ_D_SPOT
13
INDEX S
-1 950,00
S_EQD_s2#
EQ_D_SPOT
13
INDEX S
280,00
S_EQD_t2#
EQ_D_SPOT
13
INDEX T
3 150,00
S_EQD_u1#
EQ_D_SPOT
9
ISSUER U
-57,00
S_EQD_v1#
EQ_D_SPOT
10
ISSUER V
- 100,00
S_EQD_a3#
EQ_D_REPO
1
ISSUER A
50 000,00
S_EQD_aa1#
EQ_D_REPO
6
ISSUER AA
79 000,00
S_EQD_ab1#
EQ_D_REPO
7
ISSUER AB
31 000,00
S_EQD_ac1#
EQ_D_REPO
8
ISSUER AC
-10 000,00
S_EQD_b2#
EQ_D_REPO
1
ISSUER B
-39 000,00
S_EQD_f2#
EQ_D_REPO
5
ISSUER F
90 000,00
S_EQD_g2#
EQ_D_REPO
5
ISSUER G
60 000,00
S_EQD_k2#
EQ_D_REPO
9
ISSUER K
-14 250,00
S_EQD_l2#
EQ_D_REPO
9
ISSUER L
- 150 000,00
S_EQD_m2#
EQ_D_REPO
10
ISSUER M
-85 000,00
S_EQD_n2#
EQ_D_REPO
10
ISSUER N
-72 000,00
S_EQD_p1#
EQ_D_REPO
11
ISSUER P
48 000,00
S_EQD_q2#
EQ_D_REPO
12
INDEX Q
85 000,00
S_EQD_r2#
EQ_D_REPO
12
INDEX R
-40 000,00
S_EQD_t1#
EQ_D_REPO
13
INDEX T
- 125 000,00
S_EQD_x1#
EQ_D_REPO
2
ISSUER X
75 000,00
S_EQD_y1#
EQ_D_REPO
3
ISSUER Y
4 800,00
S_EQD_z1#
EQ_D_REPO
4
ISSUER Z
-15 000,00
S_EQC_a1#
EQ_CU
1
ISSUER A
-37 820,00
S_EQC_a2#
EQ_CU
1
ISSUER A
77 655,00
S_EQC_aa1#
EQ_CU
2
ISSUER AA
39 300,00
S_EQC_ab1#
EQ_CU
4
ISSUER AB
17 262,00
S_EQC_ac1#
EQ_CU
5
ISSUER AC
7 139,60
S_EQC_ad1#
EQ_CU
6
ISSUER AD
-3 642,50
S_EQC_ae1#
EQ_CU
7
ISSUER AE
3 900,00
S_EQC_af1#
EQ_CU
8
ISSUER AF
41 550,00
S_EQC_ag1#
EQ_CU
9
ISSUER AG
36 860,00
S_EQC_ah1#
EQ_CU
10
ISSUER AH
22 150,00
S_EQC_b1#
EQ_CU
1
ISSUER B
20 677,50
S_EQC_c1#
EQ_CU
2
ISSUER C
-31 440,00
S_EQC_d1#
EQ_CU
3
ISSUER D
6 238,00
S_EQC_e1#
EQ_CU
4
ISSUER E
-21 605,00
S_EQC_f1#
EQ_CU
5
ISSUER F
-2 850,00
S_EQC_g1#
EQ_CU
6
ISSUER G
-3 642,50
S_EQC_h1#
EQ_CU
7
ISSUER H
-7 800,00
S_EQC_i1#
EQ_CU
8
ISSUER I
-29 550,00
S_EQC_j1#
EQ_CU
9
ISSUER J
- 216 320,00
S_EQC_k1#
EQ_CU
10
ISSUER K
1 950,00
S_EQC_q1#
EQ_CU
11
ISSUER Q
-19 142,00
S_EQC_r1#
EQ_CU
11
ISSUER R
28 713,00
S_EQC_s1#
EQ_CU
3
ISSUER S
-17 025,00
S_EQC_t1#
EQ_CU
12
ISSUER T
7 466,67
S_EQC_u1#
EQ_CU
13
ISSUER U
11 160,00
S_EQC_v1#
EQ_CU
12
ISSUER V
-39 200,00
S_EQC_w1#
EQ_CU
13
ISSUER W
-58 590,00
S_EQC_y1#
EQ_CU
1
ISSUER Y
-23 930,00
S_EQC_z1#
EQ_CU
1
ISSUER Z
-47 860,00
S_EQC_a1#
EQ_CD
1
ISSUER A
39 157,50
S_EQC_a2#
EQ_CD
1
ISSUER A
-80 349,00
S_EQC_aa1#
EQ_CD
2
ISSUER AA
-30 600,00
S_EQC_ab1#
EQ_CD
4
ISSUER AB
-9 826,00
S_EQC_ac1#
EQ_CD
5
ISSUER AC
-5 414,60
S_EQC_ad1#
EQ_CD
6
ISSUER AD
2 617,50
S_EQC_ae1#
EQ_CD
7
ISSUER AE
-2 720,00
S_EQC_af1#
EQ_CD
8
ISSUER AF
-28 250,00
S_EQC_ag1#
EQ_CD
9
ISSUER AG
-30 935,00
S_EQC_ah1#
EQ_CD
10
ISSUER AH
-15 025,00
S_EQC_b1#
EQ_CD
1
ISSUER B
- 238 910,00
S_EQC_c1#
EQ_CD
2
ISSUER C
24 480,00
S_EQC_d1#
EQ_CD
3
ISSUER D
-6 068,00
S_EQC_e1#
EQ_CD
4
ISSUER E
12 310,00
S_EQC_f1#
EQ_CD
5
ISSUER F
2 160,00
S_EQC_g1#
EQ_CD
6
ISSUER G
2 617,50
S_EQC_h1#
EQ_CD
7
ISSUER H
5 440,00
S_EQC_i1#
EQ_CD
8
ISSUER I
20 050,00
S_EQC_j1#
EQ_CD
9
ISSUER J
181 560,00
S_EQC_k1#
EQ_CD
10
ISSUER K
-2 900,00
S_EQC_q1#
EQ_CD
11
ISSUER Q
20 052,00
S_EQC_r1#
EQ_CD
11
ISSUER R
-30 078,00
S_EQC_s1#
EQ_CD
3
ISSUER S
-9 435,00
S_EQC_t1#
EQ_CD
12
ISSUER T
-7 400,00
S_EQC_u1#
EQ_CD
13
ISSUER U
-11 040,00
S_EQC_v1#
EQ_CD
12
ISSUER V
38 850,00
S_EQC_w1#
EQ_CD
13
ISSUER W
57 960,00
S_EQC_y1#
EQ_CD
1
ISSUER Y
13 590,00
S_EQC_z1#
EQ_CD
1
ISSUER Z
27 180,00
S_CNV_a5#
CSR_NON_SEC_V_5.00
1
ISSUER A
100,00
S_CNV_b4#
CSR_NON_SEC_V_5.00
1
ISSUER B
50,00
S_CNV_c4#
CSR_NON_SEC_V_5.00
3
ISSUER C
150,00
S_CNV_hb1#
CSR_NON_SEC_V_5.00
9
ISSUER HA
- 750,00
S_CNV_a4#
CSR_NON_SEC_V_3.00
1
ISSUER A
- 500,00
S_CNV_ab1#
CSR_NON_SEC_V_3.00
2
ISSUER AB
325,00
S_CNV_b3#
CSR_NON_SEC_V_3.00
1
ISSUER B
- 500,00
S_CNV_c3#
CSR_NON_SEC_V_3.00
3
ISSUER C
100,00
S_CNV_v1#
CSR_NON_SEC_V_3.00
20
INDEX V
500,00
S_CNV_a6#
CSR_NON_SEC_V_10.00
1
ISSUER A
100,00
S_CNV_b5#
CSR_NON_SEC_V_10.00
1
ISSUER B
500,00
S_CNV_c5#
CSR_NON_SEC_V_10.00
3
ISSUER C
- 200,00
S_CNV_a3#
CSR_NON_SEC_V_1.00
1
ISSUER A
400,00
S_CNV_b2#
CSR_NON_SEC_V_1.00
1
ISSUER B
200,00
S_CNV_c2#
CSR_NON_SEC_V_1.00
3
ISSUER C
400,00
S_CNV_a1#
CSR_NON_SEC_V_0.50
1
ISSUER A
- 100,00
S_CNV_a2#
CSR_NON_SEC_V_0.50
1
ISSUER A
700,00
S_CNV_b1#
CSR_NON_SEC_V_0.50
1
ISSUER B
900,00
S_CNV_c1#
CSR_NON_SEC_V_0.50
3
ISSUER C
- 500,00
S_CNV_d1#
CSR_NON_SEC_V_0.50
4
ISSUER D
700,00
S_CNV_e1#
CSR_NON_SEC_V_0.50
5
ISSUER E
- 800,00
S_CNV_f1#
CSR_NON_SEC_V_0.50
6
ISSUER F
700,00
S_CNV_g1#
CSR_NON_SEC_V_0.50
7
ISSUER G
- 400,00
S_CNV_h1#
CSR_NON_SEC_V_0.50
8
ISSUER H
-50,00
S_CNV_i1#
CSR_NON_SEC_V_0.50
10
ISSUER I
300,00
S_CNV_j1#
CSR_NON_SEC_V_0.50
11
ISSUER J
50,00
S_CNV_k1#
CSR_NON_SEC_V_0.50
12
ISSUER K
- 300,00
S_CNV_l1#
CSR_NON_SEC_V_0.50
13
ISSUER L
1 000,00
S_CNV_m1#
CSR_NON_SEC_V_0.50
14
ISSUER M
- 350,00
S_CNV_n1#
CSR_NON_SEC_V_0.50
15
ISSUER N
950,00
S_CNV_o1#
CSR_NON_SEC_V_0.50
16
ISSUER O
- 900,00
S_CNV_p1#
CSR_NON_SEC_V_0.50
17
ISSUER P
200,00
S_CNV_q1#
CSR_NON_SEC_V_0.50
18
ISSUER Q
400,00
S_CNV_r1#
CSR_NON_SEC_V_0.50
18
ISSUER R
- 300,00
S_CNV_s1#
CSR_NON_SEC_V_0.50
19
INDEX S
850,00
S_CNV_t1#
CSR_NON_SEC_V_0.50
20
INDEX T
- 650,00
S_CNV_u1#
CSR_NON_SEC_V_0.50
19
INDEX U
- 350,00
S_CND_hb2#
CSR_NON_SEC_D_3.00_DEBT
9
ISSUER HB
-17 000,00
S_CND_t1#
CSR_NON_SEC_D_3.00_DEBT
3
ISSUER T
-6 000,00
S_CND_y1#
CSR_NON_SEC_D_3.00_DEBT
20
INDEX Y
9 000,00
S_CND_ab2#
CSR_NON_SEC_D_3.00_CDS
2
ISSUER AC
14 000,00
S_CND_b2#
CSR_NON_SEC_D_3.00_CDS
1
ISSUER B
-17 000,00
S_CND_w1#
CSR_NON_SEC_D_10.00_DEBT
10
ISSUER W
CQS 1
9 000,00
S_CND_a4#
CSR_NON_SEC_D_1.00_DEBT
1
ISSUER A
-10 000,00
S_CND_s1#
CSR_NON_SEC_D_1.00_DEBT
3
ISSUER S
-6 000,00
S_CND_x1#
CSR_NON_SEC_D_1.00_CDS
19
INDEX X
-18 500,00
S_CND_a1#
CSR_NON_SEC_D_0.50_DEBT
1
ISSUER A
20 000,00
S_CND_a2#
CSR_NON_SEC_D_0.50_DEBT
1
ISSUER A
-30 000,00
S_CND_b1#
CSR_NON_SEC_D_0.50_DEBT
1
ISSUER B
12 000,00
S_CND_c1#
CSR_NON_SEC_D_0.50_DEBT
3
ISSUER C
-6 000,00
S_CND_d1#
CSR_NON_SEC_D_0.50_DEBT
4
ISSUER D
25 000,00
S_CND_e1#
CSR_NON_SEC_D_0.50_DEBT
5
ISSUER E
-4 000,00
S_CND_f1#
CSR_NON_SEC_D_0.50_DEBT
6
ISSUER F
-8 000,00
S_CND_g1#
CSR_NON_SEC_D_0.50_DEBT
7
ISSUER G
8 000,00
S_CND_h1#
CSR_NON_SEC_D_0.50_DEBT
8
ISSUER H
3 000,00
S_CND_hb1#
CSR_NON_SEC_D_0.50_DEBT
9
ISSUER HA
-23 000,00
S_CND_i1#
CSR_NON_SEC_D_0.50_DEBT
10
ISSUER I
CQS 2
-5 000,00
S_CND_j1#
CSR_NON_SEC_D_0.50_DEBT
11
ISSUER J
2 000,00
S_CND_k1#
CSR_NON_SEC_D_0.50_DEBT
12
ISSUER K
7 000,00
S_CND_l1#
CSR_NON_SEC_D_0.50_DEBT
13
ISSUER L
-9 000,00
S_CND_m1#
CSR_NON_SEC_D_0.50_DEBT
14
ISSUER M
10 000,00
S_CND_n1#
CSR_NON_SEC_D_0.50_DEBT
15
ISSUER N
-20 000,00
S_CND_o1#
CSR_NON_SEC_D_0.50_DEBT
16
ISSUER O
5 000,00
S_CND_p1#
CSR_NON_SEC_D_0.50_DEBT
17
ISSUER P
-3 000,00
S_CND_q1#
CSR_NON_SEC_D_0.50_DEBT
18
ISSUER Q
10 000,00
S_CND_r1#
CSR_NON_SEC_D_0.50_DEBT
18
ISSUER R
-5 000,00
S_CND_a3#
CSR_NON_SEC_D_0.50_CDS
1
ISSUER A
15 000,00
S_CND_ab1#
CSR_NON_SEC_D_0.50_CDS
2
ISSUER AB
21 000,00
S_CND_u1#
CSR_NON_SEC_D_0.50_CDS
19
INDEX U
-32 000,00
S_CND_v1#
CSR_NON_SEC_D_0.50_CDS
20
INDEX V
-13 000,00
S_CND_x2#
CSR_NON_SEC_D_0.50_CDS
19
INDEX X
52 500,00
S_CNC_a1#
CSR_NON_SEC_CU
1
ISSUER A
-2 338,64
S_CNC_a2#
CSR_NON_SEC_CU
1
ISSUER A
35 116,67
S_CNC_aa1#
CSR_NON_SEC_CU
10
ISSUER AA
CQS 1
-1 212,50
S_CNC_ab1#
CSR_NON_SEC_CU
2
ISSUER AB1
- 247,47
S_CNC_b1#
CSR_NON_SEC_CU
1
ISSUER B
890,91
S_CNC_c1#
CSR_NON_SEC_CU
3
ISSUER C
- 500,00
S_CNC_d1#
CSR_NON_SEC_CU
4
ISSUER D
415,00
S_CNC_e1#
CSR_NON_SEC_CU
5
ISSUER E
-1 050,00
S_CNC_f1#
CSR_NON_SEC_CU
6
ISSUER F
- 150,00
S_CNC_g1#
CSR_NON_SEC_CU
7
ISSUER G
- 318,75
S_CNC_h1#
CSR_NON_SEC_CU
8
ISSUER H
- 425,00
S_CNC_hb1#
CSR_NON_SEC_CU
9
ISSUER HB1
- 500,00
S_CNC_i1#
CSR_NON_SEC_CU
10
ISSUER I
CQS 2
- 937,50
S_CNC_j1#
CSR_NON_SEC_CU
11
ISSUER J
-4 650,00
S_CNC_k1#
CSR_NON_SEC_CU
12
ISSUER K
- 425,00
S_CNC_l1#
CSR_NON_SEC_CU
13
ISSUER L
-27 660,00
S_CNC_m1#
CSR_NON_SEC_CU
14
ISSUER M
- 488,00
S_CNC_n1#
CSR_NON_SEC_CU
15
ISSUER N
13 237,50
S_CNC_o1#
CSR_NON_SEC_CU
16
ISSUER O
-1 127,50
S_CNC_p1#
CSR_NON_SEC_CU
17
ISSUER P
-5 775,00
S_CNC_q1#
CSR_NON_SEC_CU
18
ISSUER Q
-7 842,00
S_CNC_r1#
CSR_NON_SEC_CU
18
ISSUER R
15 684,00
S_CNC_s1#
CSR_NON_SEC_CU
4
ISSUER S
- 750,00
S_CNC_t1#
CSR_NON_SEC_CU
19
ISSUER T
3 550,00
S_CNC_u1#
CSR_NON_SEC_CU
20
ISSUER U
1 660,00
S_CNC_v1#
CSR_NON_SEC_CU
19
ISSUER V
-18 637,50
S_CNC_w1#
CSR_NON_SEC_CU
20
ISSUER W
-8 715,00
S_CNC_x1#
CSR_NON_SEC_CU
3
ISSUER X
- 500,00
S_CNC_y1#
CSR_NON_SEC_CU
1
ISSUER Y
- 249,95
S_CNC_z1#
CSR_NON_SEC_CU
1
ISSUER Z
- 249,95
S_CNC_a1#
CSR_NON_SEC_CD
1
ISSUER A
2 363,38
S_CNC_a2#
CSR_NON_SEC_CD
1
ISSUER A
-35 314,65
S_CNC_aa1#
CSR_NON_SEC_CD
10
ISSUER AA
CQS 1
1 150,00
S_CNC_ab1#
CSR_NON_SEC_CD
2
ISSUER AB1
247,47
S_CNC_b1#
CSR_NON_SEC_CD
1
ISSUER B
-5 543,43
S_CNC_c1#
CSR_NON_SEC_CD
3
ISSUER C
500,00
S_CNC_d1#
CSR_NON_SEC_CD
4
ISSUER D
- 385,00
S_CNC_e1#
CSR_NON_SEC_CD
5
ISSUER E
575,00
S_CNC_f1#
CSR_NON_SEC_CD
6
ISSUER F
75,00
S_CNC_g1#
CSR_NON_SEC_CD
7
ISSUER G
287,50
S_CNC_h1#
CSR_NON_SEC_CD
8
ISSUER H
400,00
S_CNC_hb1#
CSR_NON_SEC_CD
9
ISSUER HB1
500,00
S_CNC_i1#
CSR_NON_SEC_CD
10
ISSUER I
CQS 2
750,00
S_CNC_j1#
CSR_NON_SEC_CD
11
ISSUER J
4 100,00
S_CNC_k1#
CSR_NON_SEC_CD
12
ISSUER K
387,50
S_CNC_l1#
CSR_NON_SEC_CD
13
ISSUER L
22 130,00
S_CNC_m1#
CSR_NON_SEC_CD
14
ISSUER M
160,00
S_CNC_n1#
CSR_NON_SEC_CD
15
ISSUER N
-23 437,50
S_CNC_o1#
CSR_NON_SEC_CD
16
ISSUER O
1 246,25
S_CNC_p1#
CSR_NON_SEC_CD
17
ISSUER P
6 225,00
S_CNC_q1#
CSR_NON_SEC_CD
18
ISSUER Q
8 752,00
S_CNC_r1#
CSR_NON_SEC_CD
18
ISSUER R
-17 504,00
S_CNC_s1#
CSR_NON_SEC_CD
4
ISSUER S
- 250,00
S_CNC_t1#
CSR_NON_SEC_CD
19
ISSUER T
-3 500,00
S_CNC_u1#
CSR_NON_SEC_CD
20
ISSUER U
-1 540,00
S_CNC_v1#
CSR_NON_SEC_CD
19
ISSUER V
18 375,00
S_CNC_w1#
CSR_NON_SEC_CD
20
ISSUER W
8 085,00
S_CNC_x1#
CSR_NON_SEC_CD
3
ISSUER X
500,00
S_CNC_y1#
CSR_NON_SEC_CD
1
ISSUER Y
- 226,77
S_CNC_z1#
CSR_NON_SEC_CD
1
ISSUER Z
- 226,77
S_CMV_a5#
CM_V_5.00
1
COAL
- 300,00
S_CMV_b4#
CM_V_5.00
1
URANIUM
450,00
S_CMV_a4#
CM_V_3.00
1
COAL
800,00
S_CMV_b3#
CM_V_3.00
1
URANIUM
800,00
S_CMV_a6#
CM_V_10.00
1
COAL
100,00
S_CMV_b5#
CM_V_10.00
1
URANIUM
- 250,00
S_CMV_a3#
CM_V_1.00
1
COAL
- 200,00
S_CMV_b2#
CM_V_1.00
1
URANIUM
- 750,00
S_CMV_d1#
CM_V_1.00
2
WTI
- 175,00
S_CMV_f1#
CM_V_1.00
3
FWD ELECTRICITY NE
- 450,00
S_CMV_h1#
CM_V_1.00
4
PANAMAX
-5 500,00
S_CMV_j1#
CM_V_1.00
5
COPPER
- 200,00
S_CMV_l1#
CM_V_1.00
6
LIQUEFIED NATURAL GAS
1 000,00
S_CMV_n1#
CM_V_1.00
7
SILVER
500,00
S_CMV_p1#
CM_V_1.00
8
CORN
-1 000,00
S_CMV_r1#
CM_V_1.00
9
WHEY
- 125,00
S_CMV_t1#
CM_V_1.00
10
RUBBER
-50,00
S_CMV_v1#
CM_V_1.00
11
POTASH
-1 800,00
S_CMV_a1#
CM_V_0.50
1
COAL
1 000,00
S_CMV_a2#
CM_V_0.50
1
COAL
- 350,00
S_CMV_b1#
CM_V_0.50
1
URANIUM
150,00
S_CMV_c1#
CM_V_0.50
2
BRENT
200,00
S_CMV_e1#
CM_V_0.50
3
SPOT ELECTRICITY SE
- 300,00
S_CMV_g1#
CM_V_0.50
4
SUPRAMAX
-5 000,00
S_CMV_i1#
CM_V_0.50
5
STEEL
550,00
S_CMV_k1#
CM_V_0.50
6
NATURAL GAS
400,00
S_CMV_m1#
CM_V_0.50
7
GOLD
- 200,00
S_CMV_o1#
CM_V_0.50
8
SOYBEANS
- 750,00
S_CMV_q1#
CM_V_0.50
9
FISH
250,00
S_CMV_s1#
CM_V_0.50
10
COCOA
350,00
S_CMV_u1#
CM_V_0.50
11
FLAT GLASS
3 000,00
S_CMV_w1#
CM_V_0.50
4
SUPRAMAX
-5 000,00
S_CMV_x1#
CM_V_0.50
4
PANAMAX
15 000,00
S_CMD_p1#
CM_D_30.00
8
CORN
OKLAHOMA
-10 000,00
S_CMD_f1#
CM_D_3.00
3
FWD ELECTRICITY NE
TEXAS
-4 500,00
S_CMD_h1#
CM_D_3.00
4
PANAMAX
NEW ORLEANS
-68 750,00
S_CMD_n1#
CM_D_20.00
7
SILVER
EU1
5 000,00
S_CMD_r1#
CM_D_20.00
9
WHEY
NEWCASTLE
-1 250,00
S_CMD_d1#
CM_D_2.00
2
WTI
OKLAHOMA
-1 750,00
S_CMD_l1#
CM_D_15.00
6
LIQUEFIED NATURAL GAS
OKLAHOMA
10 000,00
S_CMD_t1#
CM_D_15.00
10
RUBBER
NEWCASTLE
- 500,00
S_CMD_j1#
CM_D_10.00
5
COPPER
OKLAHOMA
-2 000,00
S_CMD_v1#
CM_D_10.00
11
POTASH
NEWCASTLE
-18 000,00
S_CMD_b1#
CM_D_1.00
1
URANIUM
OKLAHOMA
1 500,00
S_CMD_g1#
CM_D_1.00
4
SUPRAMAX
SANTOS
-62 500,00
S_CMD_w1#
CM_D_1.00
4
SUPRAMAX
SANTOS
-62 500,00
S_CMD_x1#
CM_D_1.00
4
PANAMAX
NEW ORLEANS
187 500,00
S_CMD_a4#
CM_D_0.50
1
COAL
NEWCASTLE
8 000,00
S_CMD_a1#
CM_D_0.00
1
COAL
NEWCASTLE
10 000,00
S_CMD_a2#
CM_D_0.00
1
COAL
NEWCASTLE
-3 500,00
S_CMD_a3#
CM_D_0.00
1
COAL
LONDON
-2 000,00
S_CMD_c1#
CM_D_0.00
2
BRENT
LE HAVRE
2 000,00
S_CMD_e1#
CM_D_0.00
3
SPOT ELECTRICITY SE
LONDON
-3 000,00
S_CMD_i1#
CM_D_0.00
5
STEEL
LE HAVRE
5 500,00
S_CMD_k1#
CM_D_0.00
6
NATURAL GAS
LE HAVRE
4 000,00
S_CMD_m1#
CM_D_0.00
7
GOLD
UK1
-2 000,00
S_CMD_o1#
CM_D_0.00
8
SOYBEANS
LE HAVRE
-7 500,00
S_CMD_q1#
CM_D_0.00
9
FISH
LONDON
2 500,00
S_CMD_s1#
CM_D_0.00
10
COCOA
LONDON
3 500,00
S_CMD_u1#
CM_D_0.00
11
FLAT GLASS
LONDON
30 000,00
S_CMC_a1#
CM_CU
1
COAL
17 335,00
S_CMC_a2#
CM_CU
1
COAL
36 936,00
S_CMC_b1#
CM_CU
1
URANIUM
6 635,00
S_CMC_c1#
CM_CU
2
BRENT
-11 600,00
S_CMC_d1#
CM_CU
2
WTI
-36 900,00
S_CMC_e1#
CM_CU
3
SPOT ELECTRICITY SE
8 563,00
S_CMC_f1#
CM_CU
3
FWD ELECTRICITY NE
-27 250,00
S_CMC_g1#
CM_CU
4
SUPRAMAX
-36 880,00
S_CMC_h1#
CM_CU
4
PANAMAX
29 472,00
S_CMC_i1#
CM_CU
5
STEEL
-5 850,00
S_CMC_j1#
CM_CU
5
COPPER
14 644,80
S_CMC_k1#
CM_CU
6
NATURAL GAS
-6 147,50
S_CMC_l1#
CM_CU
6
LIQUEFIED NATURAL GAS
-6 147,50
S_CMC_m1#
CM_CU
7
GOLD
-1 486,67
S_CMC_n1#
CM_CU
7
SILVER
743,33
S_CMC_o1#
CM_CU
8
SOYBEANS
-14 535,00
S_CMC_p1#
CM_CU
8
CORN
20 475,00
S_CMC_q1#
CM_CU
9
FISH
-19 900,00
S_CMC_r1#
CM_CU
9
WHEY
3 387,00
S_CMC_s1#
CM_CU
10
COCOA
1 005,00
S_CMC_t1#
CM_CU
10
RUBBER
10 892,20
S_CMC_u1#
CM_CU
11
FLAT GLASS
-13 790,00
S_CMC_v1#
CM_CU
11
POTASH
20 685,00
S_CMC_x1#
CM_CU
9
MILK
-6 300,00
S_CMC_y1#
CM_CU
1
URANIUM
-65 864,00
S_CMC_z1#
CM_CU
4
PANAMAX
29 472,00
S_CMC_a1#
CM_CD
1
COAL
-18 260,00
S_CMC_a2#
CM_CD
1
COAL
-37 630,00
S_CMC_b1#
CM_CD
1
URANIUM
-70 460,00
S_CMC_c1#
CM_CD
2
BRENT
8 320,00
S_CMC_d1#
CM_CD
2
WTI
3 550,00
S_CMC_e1#
CM_CD
3
SPOT ELECTRICITY SE
-8 233,00
S_CMC_f1#
CM_CD
3
FWD ELECTRICITY NE
16 370,00
S_CMC_g1#
CM_CD
4
SUPRAMAX
29 110,00
S_CMC_h1#
CM_CD
4
PANAMAX
-15 256,00
S_CMC_i1#
CM_CD
5
STEEL
4 080,00
S_CMC_j1#
CM_CD
5
COPPER
-10 219,80
S_CMC_k1#
CM_CD
6
NATURAL GAS
4 222,50
S_CMC_l1#
CM_CD
6
LIQUEFIED NATURAL GAS
4 222,50
S_CMC_m1#
CM_CD
7
GOLD
1 353,33
S_CMC_n1#
CM_CD
7
SILVER
- 676,67
S_CMC_o1#
CM_CD
8
SOYBEANS
10 435,00
S_CMC_p1#
CM_CD
8
CORN
-14 735,00
S_CMC_q1#
CM_CD
9
FISH
6 700,00
S_CMC_r1#
CM_CD
9
WHEY
-3 012,00
S_CMC_s1#
CM_CD
10
COCOA
-1 415,00
S_CMC_t1#
CM_CD
10
RUBBER
-7 817,20
S_CMC_u1#
CM_CD
11
FLAT GLASS
14 200,00
S_CMC_v1#
CM_CD
11
POTASH
-21 300,00
S_CMC_x1#
CM_CD
9
MILK
-4 700,00
S_CMC_y1#
CM_CD
1
URANIUM
-66 344,00
S_CMC_z1#
CM_CD
4
PANAMAX
-22 856,00
Portfolio
Risk class
Component
Instruments
G000
GIRR
DELTA
S_IRD_a1#
G001
GIRR
DELTA
S_IRD_b1#
G002
GIRR
DELTA
S_IRD_b2#
G003
GIRR
DELTA
S_IRD_b3#
G004
GIRR
DELTA
S_IRD_b4#
G005
GIRR
DELTA
S_IRD_b5#
G006
GIRR
DELTA
S_IRD_b6#
G007
GIRR
DELTA
S_IRD_b7#
G008
GIRR
DELTA
S_IRD_b8#
G009
GIRR
DELTA
S_IRD_b9#
G010
GIRR
DELTA
S_IRD_b10#
G011
GIRR
DELTA
S_IRD_b11#
G012
GIRR
DELTA
S_IRD_b12#
G013
GIRR
DELTA
S_IRD_d1#
G014
GIRR
DELTA
S_IRD_d2#
G015
GIRR
DELTA
S_IRD_d3#
G016
GIRR
DELTA
S_IRD_d4#
G017
GIRR
DELTA
S_IRD_d5#
G018
GIRR
DELTA
S_IRD_d6#
G019
GIRR
DELTA
S_IRD_d7#
G020
GIRR
DELTA
S_IRD_d8#
G021
GIRR
DELTA
S_IRD_d9#
G022
GIRR
DELTA
S_IRD_d10#
G023
GIRR
DELTA
S_IRD_d11#
G024
GIRR
DELTA
S_IRD_d12#
G025
GIRR
DELTA
S_IRD_a1# S_IRD_b1#
G026
GIRR
DELTA
S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10#
G027
GIRR
DELTA
S_IRD_b1# S_IRD_c1#
G028
GIRR
DELTA
S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_c1# S_IRD_c2# S_IRD_c3# S_IRD_c4# S_IRD_c5# S_IRD_c6# S_IRD_c7# S_IRD_c8# S_IRD_c9# S_IRD_c10#
G029
GIRR
DELTA
S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11#
G030
GIRR
DELTA
S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11# S_IRD_b12#
G031
GIRR
DELTA
S_IRD_c2# S_IRD_c3# S_IRD_c6#
G032
GIRR
DELTA
S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11# S_IRD_b12# S_IRD_c1# S_IRD_c2# S_IRD_c3# S_IRD_c4# S_IRD_c5# S_IRD_c6# S_IRD_c7# S_IRD_c8# S_IRD_c9# S_IRD_c10# S_IRD_d1# S_IRD_d2# S_IRD_d3# S_IRD_d4# S_IRD_d5# S_IRD_d6# S_IRD_d7# S_IRD_d8# S_IRD_d9# S_IRD_d10# S_IRD_d11# S_IRD_d12#
G033
GIRR
DELTA
S_IRD_d1# S_IRD_d2# S_IRD_d3# S_IRD_d4# S_IRD_d5# S_IRD_d6# S_IRD_d7# S_IRD_d8# S_IRD_d9# S_IRD_d10# S_IRD_d11# S_IRD_d12# S_IRD_e1# S_IRD_e2# S_IRD_e3# S_IRD_e4# S_IRD_e5# S_IRD_e6# S_IRD_e7# S_IRD_e8# S_IRD_e9# S_IRD_e10# S_IRD_e11# S_IRD_e12# S_IRD_e13#
G034
GIRR
DELTA
S_IRD_a1# S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11# S_IRD_b12# S_IRD_c1# S_IRD_c2# S_IRD_c3# S_IRD_c4# S_IRD_c5# S_IRD_c6# S_IRD_c7# S_IRD_c8# S_IRD_c9# S_IRD_c10# S_IRD_d1# S_IRD_d2# S_IRD_d3# S_IRD_d4# S_IRD_d5# S_IRD_d6# S_IRD_d7# S_IRD_d8# S_IRD_d9# S_IRD_d10# S_IRD_d11# S_IRD_d12# S_IRD_e1# S_IRD_e2# S_IRD_e3# S_IRD_e4# S_IRD_e5# S_IRD_e6# S_IRD_e7# S_IRD_e8# S_IRD_e9# S_IRD_e10# S_IRD_e11# S_IRD_e12# S_IRD_e13# S_IRD_f1#
G035
GIRR
VEGA
S_IRV_b1#
G036
GIRR
VEGA
S_IRV_a1# S_IRV_b1#
G037
GIRR
VEGA
S_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5#
G038
GIRR
VEGA
S_IRV_b1# S_IRV_b6# S_IRV_b11# S_IRV_b16# S_IRV_b21#
G039
GIRR
VEGA
S_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5# S_IRV_b6# S_IRV_b7# S_IRV_b8# S_IRV_b9# S_IRV_b10# S_IRV_b11# S_IRV_b12# S_IRV_b13# S_IRV_b14# S_IRV_b15# S_IRV_b16# S_IRV_b17# S_IRV_b18# S_IRV_b19# S_IRV_b20# S_IRV_b21# S_IRV_b22# S_IRV_b23# S_IRV_b24# S_IRV_b25#
G040
GIRR
VEGA
S_IRV_e1# S_IRV_e2#
G041
GIRR
VEGA
S_IRV_e1# S_IRV_e3#
G042
GIRR
VEGA
S_IRV_d1# S_IRV_d2# S_IRV_d3# S_IRV_d4# S_IRV_d5#
G043
GIRR
VEGA
S_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5# S_IRV_b6# S_IRV_b7# S_IRV_b8# S_IRV_b9# S_IRV_b10# S_IRV_b11# S_IRV_b12# S_IRV_b13# S_IRV_b14# S_IRV_b15# S_IRV_b16# S_IRV_b17# S_IRV_b18# S_IRV_b19# S_IRV_b20# S_IRV_b21# S_IRV_b22# S_IRV_b23# S_IRV_b24# S_IRV_b25# S_IRV_c1# S_IRV_c2# S_IRV_c3# S_IRV_c4# S_IRV_c5#
G044
GIRR
VEGA
S_IRV_c1# S_IRV_c2# S_IRV_c3# S_IRV_c4# S_IRV_c5# S_IRV_d1# S_IRV_d2# S_IRV_d3# S_IRV_d4# S_IRV_d5#
G045
GIRR
VEGA
S_IRV_a1# S_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5# S_IRV_b6# S_IRV_b7# S_IRV_b8# S_IRV_b9# S_IRV_b10# S_IRV_b11# S_IRV_b12# S_IRV_b13# S_IRV_b14# S_IRV_b15# S_IRV_b16# S_IRV_b17# S_IRV_b18# S_IRV_b19# S_IRV_b20# S_IRV_b21# S_IRV_b22# S_IRV_b23# S_IRV_b24# S_IRV_b25# S_IRV_c1# S_IRV_c2# S_IRV_c3# S_IRV_c4# S_IRV_c5# S_IRV_d1# S_IRV_d2# S_IRV_d3# S_IRV_d4# S_IRV_d5# S_IRV_e1# S_IRV_e2# S_IRV_e3#
G046
GIRR
CURVATURE
S_IRC_b1#
G047
GIRR
CURVATURE
S_IRC_c1#
G048
GIRR
CURVATURE
S_IRC_a1# S_IRC_b1#
G049
GIRR
CURVATURE
S_IRC_d1#
G050
GIRR
CURVATURE
S_IRC_b1# S_IRC_c1#
G051
GIRR
CURVATURE
S_IRC_c1# S_IRC_e1#
G052
GIRR
CURVATURE
S_IRC_d1# S_IRC_e1#
G053
GIRR
CURVATURE
S_IRC_a1# S_IRC_b1# S_IRC_c1# S_IRC_d1# 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_b1# S_IRC_c1# S_IRC_d1# S_IRC_e1#
G055
GIRR
DELTA
S_IRD_e11# S_IRD_e13#
G056
GIRR
DELTA
S_IRD_e1# S_IRD_f1#
E001
EQ
DELTA
S_EQD_a2#
E002
EQ
DELTA
S_EQD_c1#
E003
EQ
DELTA
S_EQD_d1#
E004
EQ
DELTA
S_EQD_e1#
E005
EQ
DELTA
S_EQD_f1#
E006
EQ
DELTA
S_EQD_h1#
E007
EQ
DELTA
S_EQD_i1#
E008
EQ
DELTA
S_EQD_j1#
E009
EQ
DELTA
S_EQD_k1#
E010
EQ
DELTA
S_EQD_m1#
E011
EQ
DELTA
S_EQD_o1#
E012
EQ
DELTA
S_EQD_q1#
E013
EQ
DELTA
S_EQD_s1#
E014
EQ
DELTA
S_EQD_a3#
E015
EQ
DELTA
S_EQD_x1#
E016
EQ
DELTA
S_EQD_y1#
E017
EQ
DELTA
S_EQD_z1#
E018
EQ
DELTA
S_EQD_f2#
E019
EQ
DELTA
S_EQD_aa1#
E020
EQ
DELTA
S_EQD_ab1#
E021
EQ
DELTA
S_EQD_ac1#
E022
EQ
DELTA
S_EQD_k2#
E023
EQ
DELTA
S_EQD_m2#
E024
EQ
DELTA
S_EQD_p1#
E025
EQ
DELTA
S_EQD_q2#
E026
EQ
DELTA
S_EQD_t1#
E027
EQ
DELTA
S_EQD_a1# S_EQD_a2#
E028
EQ
DELTA
S_EQD_a2# S_EQD_a3#
E029
EQ
DELTA
S_EQD_a2# S_EQD_b1#
E030
EQ
DELTA
S_EQD_a2# S_EQD_b2#
E031
EQ
DELTA
S_EQD_f1# S_EQD_f2#
E032
EQ
DELTA
S_EQD_f1# S_EQD_g1#
E033
EQ
DELTA
S_EQD_f1# S_EQD_g2#
E034
EQ
DELTA
S_EQD_k1# S_EQD_k2#
E035
EQ
DELTA
S_EQD_k1# S_EQD_l1#
E036
EQ
DELTA
S_EQD_k1# S_EQD_l2#
E037
EQ
DELTA
S_EQD_m1# S_EQD_m2#
E038
EQ
DELTA
S_EQD_m1# S_EQD_n1#
E039
EQ
DELTA
S_EQD_m1# S_EQD_n2#
E040
EQ
DELTA
S_EQD_o1# S_EQD_p1#
E041
EQ
DELTA
S_EQD_q1# S_EQD_q2#
E042
EQ
DELTA
S_EQD_q1# S_EQD_r1#
E043
EQ
DELTA
S_EQD_s1# S_EQD_t1#
E044
EQ
DELTA
S_EQD_s1# S_EQD_t1# S_EQD_t2#
E045
EQ
DELTA
S_EQD_a2# S_EQD_c1# S_EQD_d1# S_EQD_e1# S_EQD_f1# S_EQD_h1# S_EQD_i1# S_EQD_j1# S_EQD_k1# S_EQD_m1#
E046
EQ
DELTA
S_EQD_a2# S_EQD_o1#
E047
EQ
DELTA
S_EQD_q1# S_EQD_s1#
E048
EQ
DELTA
S_EQD_a2# S_EQD_q1#
E049
EQ
DELTA
S_EQD_k1# S_EQD_l1# S_EQD_m1# S_EQD_n1# S_EQD_q1# S_EQD_s2# S_EQD_u1# S_EQD_v1#
E050
EQ
DELTA
S_EQD_a1# S_EQD_a2# S_EQD_a3# S_EQD_b1# S_EQD_b2# S_EQD_c1# S_EQD_x1# S_EQD_d1# S_EQD_y1# S_EQD_e1# S_EQD_z1# S_EQD_f1# S_EQD_f2# S_EQD_g1# S_EQD_g2# S_EQD_h1# S_EQD_aa1# S_EQD_i1# S_EQD_ab1# S_EQD_j1# S_EQD_ac1# S_EQD_k1# S_EQD_k2# S_EQD_l1# S_EQD_l2# S_EQD_m1# S_EQD_m2# S_EQD_n1# S_EQD_n2# S_EQD_o1# S_EQD_p1# S_EQD_q1# S_EQD_q2# S_EQD_r1# S_EQD_r2# S_EQD_s1# S_EQD_s2# S_EQD_t1# S_EQD_t2# S_EQD_u1# S_EQD_v1#
E051
EQ
VEGA
S_EQV_a2#
E052
EQ
VEGA
S_EQV_c1#
E053
EQ
VEGA
S_EQV_d1#
E054
EQ
VEGA
S_EQV_e1#
E055
EQ
VEGA
S_EQV_f1#
E056
EQ
VEGA
S_EQV_g1#
E057
EQ
VEGA
S_EQV_h1#
E058
EQ
VEGA
S_EQV_i1#
E059
EQ
VEGA
S_EQV_j1#
E060
EQ
VEGA
S_EQV_k1#
E061
EQ
VEGA
S_EQV_l1#
E062
EQ
VEGA
S_EQV_n1#
E063
EQ
VEGA
S_EQV_p1#
E064
EQ
VEGA
S_EQV_a1# S_EQV_a2#
E065
EQ
VEGA
S_EQV_a2# S_EQV_a3# S_EQV_a4# S_EQV_a5# S_EQV_a6#
E066
EQ
VEGA
S_EQV_a2# S_EQV_b1#
E067
EQ
VEGA
S_EQV_a1# S_EQV_a2# S_EQV_a3# S_EQV_a4# S_EQV_a5# S_EQV_a6# S_EQV_b1# S_EQV_b2# S_EQV_b3# S_EQV_b4# S_EQV_b5#
E068
EQ
VEGA
S_EQV_f1# S_EQV_f2# S_EQV_f3# S_EQV_f4# S_EQV_f5#
E069
EQ
VEGA
S_EQV_f1# S_EQV_aa1#
E070
EQ
VEGA
S_EQV_f1# S_EQV_f2# S_EQV_f3# S_EQV_f4# S_EQV_f5# S_EQV_aa1# S_EQV_aa2# S_EQV_aa3# S_EQV_aa4# S_EQV_aa5#
E071
EQ
VEGA
S_EQV_j1# S_EQV_j2# S_EQV_j3# S_EQV_j4# S_EQV_j5#
E072
EQ
VEGA
S_EQV_j1# S_EQV_ae1#
E073
EQ
VEGA
S_EQV_j1# S_EQV_j2# S_EQV_j3# S_EQV_j4# S_EQV_j5# S_EQV_ae1# S_EQV_ae2# S_EQV_ae3# S_EQV_ae4# S_EQV_ae5#
E074
EQ
VEGA
S_EQV_k1# S_EQV_k2# S_EQV_k3# S_EQV_k4# S_EQV_k5#
E075
EQ
VEGA
S_EQV_k1# S_EQV_af1#
E076
EQ
VEGA
S_EQV_k1# S_EQV_k2# S_EQV_k3# S_EQV_k4# S_EQV_k5# S_EQV_af1# S_EQV_af2# S_EQV_af3# S_EQV_af4# S_EQV_af5#
E077
EQ
VEGA
S_EQV_l1# S_EQV_m1#
E078
EQ
VEGA
S_EQV_n1# S_EQV_n2# S_EQV_n3# S_EQV_n4# S_EQV_n5#
E079
EQ
VEGA
S_EQV_n1# S_EQV_o1#
E080
EQ
VEGA
S_EQV_n1# S_EQV_n2# S_EQV_n3# S_EQV_n4# S_EQV_n5# S_EQV_o1# S_EQV_o2# S_EQV_o3# S_EQV_o4# S_EQV_o5#
E081
EQ
VEGA
S_EQV_o1# S_EQV_o2# S_EQV_o3# S_EQV_o4# S_EQV_o5#
E082
EQ
VEGA
S_EQV_a2# S_EQV_c1# S_EQV_d1# S_EQV_e1# S_EQV_f1# S_EQV_g1# S_EQV_h1# S_EQV_i1# S_EQV_j1# S_EQV_k1#
E083
EQ
VEGA
S_EQV_a2# S_EQV_m1#
E084
EQ
VEGA
S_EQV_n1# S_EQV_p1#
E085
EQ
VEGA
S_EQV_a2# S_EQV_n1#
E086
EQ
VEGA
S_EQV_o1# S_EQV_o2# S_EQV_o3# S_EQV_o4# S_EQV_o5# S_EQV_p1#
E087
EQ
VEGA
S_EQV_a1# S_EQV_a2# S_EQV_a3# S_EQV_a4# S_EQV_a5# S_EQV_a6# S_EQV_b1# S_EQV_b2# S_EQV_b3# S_EQV_b4# S_EQV_b5# S_EQV_c1# S_EQV_x1# S_EQV_d1# S_EQV_y1# S_EQV_e1# S_EQV_z1# S_EQV_f1# S_EQV_f2# S_EQV_f3# S_EQV_f4# S_EQV_f5# S_EQV_aa1# S_EQV_aa2# S_EQV_aa3# S_EQV_aa4# S_EQV_aa5# S_EQV_g1# S_EQV_ab1# S_EQV_h1# S_EQV_ac1# S_EQV_i1# S_EQV_ad1# S_EQV_j1# S_EQV_j2# S_EQV_j3# S_EQV_j4# S_EQV_j5# S_EQV_ae1# S_EQV_ae2# S_EQV_ae3# S_EQV_ae4# S_EQV_ae5# S_EQV_k1# S_EQV_k2# S_EQV_k3# S_EQV_k4# S_EQV_k5# S_EQV_af1# S_EQV_af2# S_EQV_af3# S_EQV_af4# S_EQV_af5# S_EQV_l1# S_EQV_m1# S_EQV_n1# S_EQV_n2# S_EQV_n3# S_EQV_n4# S_EQV_n5# S_EQV_o1# S_EQV_o2# S_EQV_o3# S_EQV_o4# S_EQV_o5# S_EQV_p1# S_EQV_q1#
E088
EQ
CURVATURE
S_EQC_b1#
E089
EQ
CURVATURE
S_EQC_c1#
E090
EQ
CURVATURE
S_EQC_d1#
E091
EQ
CURVATURE
S_EQC_e1#
E092
EQ
CURVATURE
S_EQC_f1#
E093
EQ
CURVATURE
S_EQC_g1#
E094
EQ
CURVATURE
S_EQC_h1#
E095
EQ
CURVATURE
S_EQC_i1#
E096
EQ
CURVATURE
S_EQC_j1#
E097
EQ
CURVATURE
S_EQC_k1#
E098
EQ
CURVATURE
S_EQC_q1#
E099
EQ
CURVATURE
S_EQC_t1#
E100
EQ
CURVATURE
S_EQC_u1#
E101
EQ
CURVATURE
S_EQC_a1# S_EQC_a2#
E102
EQ
CURVATURE
S_EQC_a1# S_EQC_b1#
E103
EQ
CURVATURE
S_EQC_f1# S_EQC_ac1#
E104
EQ
CURVATURE
S_EQC_j1# S_EQC_ag1#
E105
EQ
CURVATURE
S_EQC_k1# S_EQC_ah1#
E106
EQ
CURVATURE
S_EQC_q1# S_EQC_r1#
E107
EQ
CURVATURE
S_EQC_t1# S_EQC_v1#
E108
EQ
CURVATURE
S_EQC_a1# S_EQC_a2# S_EQC_b1# S_EQC_y1# S_EQC_z1#
E109
EQ
CURVATURE
S_EQC_s1#
E110
EQ
CURVATURE
S_EQC_a2# S_EQC_c1# S_EQC_d1# S_EQC_e1# S_EQC_f1# S_EQC_g1# S_EQC_h1# S_EQC_i1# S_EQC_j1# S_EQC_k1#
E111
EQ
CURVATURE
S_EQC_a2# S_EQC_q1#
E112
EQ
CURVATURE
S_EQC_t1# S_EQC_u1#
E113
EQ
CURVATURE
S_EQC_a2# S_EQC_t1#
E114
EQ
CURVATURE
S_EQC_a1# S_EQC_b1# S_EQC_d1# S_EQC_s1#
E115
EQ
CURVATURE
S_EQC_a1# S_EQC_b1# S_EQC_t1# S_EQC_u1#
E116
EQ
CURVATURE
S_EQC_a1# S_EQC_a2# S_EQC_b1# S_EQC_c1# S_EQC_aa1# S_EQC_d1# S_EQC_e1# S_EQC_ab1# S_EQC_f1# S_EQC_ac1# S_EQC_g1# S_EQC_ad1# S_EQC_h1# S_EQC_ae1# S_EQC_i1# S_EQC_af1# S_EQC_j1# S_EQC_ag1# S_EQC_k1# S_EQC_ah1# S_EQC_q1# S_EQC_r1# S_EQC_s1# S_EQC_t1# S_EQC_u1# S_EQC_v1# S_EQC_w1# S_EQC_y1# S_EQC_z1#
E117
EQ
ALL
S_EQD_a1# S_EQD_a2# S_EQD_a3# S_EQD_b1# S_EQD_b2# S_EQD_c1# S_EQD_x1# S_EQD_d1# S_EQD_y1# S_EQD_e1# S_EQD_z1# S_EQD_f1# S_EQD_f2# S_EQD_g1# S_EQD_g2# S_EQD_h1# S_EQD_aa1# S_EQD_i1# S_EQD_ab1# S_EQD_j1# S_EQD_ac1# S_EQD_k1# S_EQD_k2# S_EQD_l1# S_EQD_l2# S_EQD_m1# S_EQD_m2# S_EQD_n1# S_EQD_n2# S_EQD_o1# S_EQD_p1# S_EQD_q1# S_EQD_q2# S_EQD_r1# S_EQD_r2# S_EQD_s1# S_EQD_s2# S_EQD_t1# S_EQD_t2# S_EQD_u1# S_EQD_v1# S_EQV_a1# S_EQV_a2# S_EQV_a3# S_EQV_a4# S_EQV_a5# S_EQV_a6# S_EQV_b1# S_EQV_b2# S_EQV_b3# S_EQV_b4# S_EQV_b5# S_EQV_c1# S_EQV_x1# S_EQV_d1# S_EQV_y1# S_EQV_e1# S_EQV_z1# S_EQV_f1# S_EQV_f2# S_EQV_f3# S_EQV_f4# S_EQV_f5# S_EQV_aa1# S_EQV_aa2# S_EQV_aa3# S_EQV_aa4# S_EQV_aa5# S_EQV_g1# S_EQV_ab1# S_EQV_h1# S_EQV_ac1# S_EQV_i1# S_EQV_ad1# S_EQV_j1# S_EQV_j2# S_EQV_j3# S_EQV_j4# S_EQV_j5# S_EQV_ae1# S_EQV_ae2# S_EQV_ae3# S_EQV_ae4# S_EQV_ae5# S_EQV_k1# S_EQV_k2# S_EQV_k3# S_EQV_k4# S_EQV_k5# S_EQV_af1# S_EQV_af2# S_EQV_af3# S_EQV_af4# S_EQV_af5# S_EQV_l1# S_EQV_m1# S_EQV_n1# S_EQV_n2# S_EQV_n3# S_EQV_n4# S_EQV_n5# S_EQV_o1# S_EQV_o2# S_EQV_o3# S_EQV_o4# S_EQV_o5# S_EQV_p1# S_EQV_q1# S_EQC_a1# S_EQC_a2# S_EQC_b1# S_EQC_c1# S_EQC_aa1# S_EQC_d1# S_EQC_e1# S_EQC_ab1# S_EQC_f1# S_EQC_ac1# S_EQC_g1# S_EQC_ad1# S_EQC_h1# S_EQC_ae1# S_EQC_i1# S_EQC_af1# S_EQC_j1# S_EQC_ag1# S_EQC_k1# S_EQC_ah1# S_EQC_q1# S_EQC_r1# S_EQC_s1# S_EQC_t1# S_EQC_u1# S_EQC_v1# S_EQC_w1# S_EQC_y1# S_EQC_z1#
F001
FX
DELTA
S_FXD_b1#
F002
FX
DELTA
S_FXD_c1#
F003
FX
DELTA
S_FXD_a1# S_FXD_b1#
F005
FX
DELTA
S_FXD_b1# S_FXD_c1#
F007
FX
DELTA
S_FXD_a1# S_FXD_b1# S_FXD_c1# S_FXD_d1# S_FXD_f1#
F008
FX
VEGA
S_FXV_b1#
F009
FX
VEGA
S_FXV_a1# S_FXV_b1#
F010
FX
VEGA
S_FXV_b1# S_FXV_b2# S_FXV_b3# S_FXV_b4# S_FXV_b5#
F011
FX
VEGA
S_FXV_d1# S_FXV_d2# S_FXV_d3# S_FXV_d4# S_FXV_d5#
F012
FX
VEGA
S_FXV_b1# S_FXV_b2# S_FXV_b3# S_FXV_b4# S_FXV_b5# S_FXV_c1#
F013
FX
VEGA
S_FXV_c1# S_FXV_d1# S_FXV_d2# S_FXV_d3# S_FXV_d4# S_FXV_d5#
F014
FX
VEGA
S_FXV_a1# S_FXV_b1# S_FXV_b2# S_FXV_b3# S_FXV_b4# S_FXV_b5# S_FXV_c1# S_FXV_d1# S_FXV_d2# S_FXV_d3# S_FXV_d4# S_FXV_d5#
F015
FX
CURVATURE
S_FXC_b1#
F016
FX
CURVATURE
S_FXC_c1#
F017
FX
CURVATURE
S_FXC_a1# S_FXC_b1#
F018
FX
CURVATURE
S_FXC_d1#
F019
FX
CURVATURE
S_FXC_b1# S_FXC_c1#
F020
FX
CURVATURE
S_FXC_c1# S_FXC_e1#
F021
FX
CURVATURE
S_FXC_b1# S_FXC_d1# S_FXC_e1#
F022
FX
CURVATURE
S_FXC_a1# S_FXC_b1# S_FXC_c1# S_FXC_d1# S_FXC_e1# S_FXC_f1#
F023
FX
ALL
S_FXD_a1# S_FXD_b1# S_FXD_c1# S_FXD_d1# 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_b1# S_FXC_c1# S_FXC_d1# S_FXC_e1# S_FXC_f1#
F024
FX
DELTA
S_FXD_d1#
F026
FX
DELTA
S_FXD_f1#
F028
FX
CURVATURE
S_FXC_f1#
N001
CSR_NON_SEC
DELTA
S_CND_a1#
N002
CSR_NON_SEC
DELTA
S_CND_c1#
N003
CSR_NON_SEC
DELTA
S_CND_d1#
N004
CSR_NON_SEC
DELTA
S_CND_e1#
N005
CSR_NON_SEC
DELTA
S_CND_f1#
N006
CSR_NON_SEC
DELTA
S_CND_g1#
N007
CSR_NON_SEC
DELTA
S_CND_h1#
N008
CSR_NON_SEC
DELTA
S_CND_i1#
N009
CSR_NON_SEC
DELTA
S_CND_w1#
N010
CSR_NON_SEC
DELTA
S_CND_j1#
N011
CSR_NON_SEC
DELTA
S_CND_k1#
N012
CSR_NON_SEC
DELTA
S_CND_l1#
N013
CSR_NON_SEC
DELTA
S_CND_m1#
N014
CSR_NON_SEC
DELTA
S_CND_n1#
N015
CSR_NON_SEC
DELTA
S_CND_o1#
N016
CSR_NON_SEC
DELTA
S_CND_p1#
N017
CSR_NON_SEC
DELTA
S_CND_q1#
N018
CSR_NON_SEC
DELTA
S_CND_u1#
N019
CSR_NON_SEC
DELTA
S_CND_v1#
N020
CSR_NON_SEC
DELTA
S_CND_a1# S_CND_a2#
N021
CSR_NON_SEC
DELTA
S_CND_a2# S_CND_a3#
N022
CSR_NON_SEC
DELTA
S_CND_a2# S_CND_a4#
N023
CSR_NON_SEC
DELTA
S_CND_a3# S_CND_a4#
N024
CSR_NON_SEC
DELTA
S_CND_a1# S_CND_b1#
N025
CSR_NON_SEC
DELTA
S_CND_a3# S_CND_b1#
N026
CSR_NON_SEC
DELTA
S_CND_a4# S_CND_b1#
N027
CSR_NON_SEC
DELTA
S_CND_a1# S_CND_b2#
N028
CSR_NON_SEC
DELTA
S_CND_q1# S_CND_r1#
N029
CSR_NON_SEC
DELTA
S_CND_u1# S_CND_x2#
N030
CSR_NON_SEC
DELTA
S_CND_v1# S_CND_y1#
N031
CSR_NON_SEC
DELTA
S_CND_u1# S_CND_x1# S_CND_x2#
N032
CSR_NON_SEC
DELTA
S_CND_a1# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_f1# S_CND_g1# S_CND_h1# S_CND_i1#
N033
CSR_NON_SEC
DELTA
S_CND_a1# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1#
N034
CSR_NON_SEC
DELTA
S_CND_a1# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_n1# S_CND_o1# S_CND_p1#
N035
CSR_NON_SEC
DELTA
S_CND_a1# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_q1# S_CND_u1# S_CND_v1#
N036
CSR_NON_SEC
DELTA
S_CND_f1# S_CND_g1# S_CND_h1# S_CND_i1# S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1#
N037
CSR_NON_SEC
DELTA
S_CND_f1# S_CND_g1# S_CND_h1# S_CND_i1# S_CND_n1# S_CND_o1# S_CND_p1#
N038
CSR_NON_SEC
DELTA
S_CND_f1# S_CND_g1# S_CND_h1# S_CND_i1# S_CND_q1# S_CND_u1# S_CND_v1#
N039
CSR_NON_SEC
DELTA
S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1# S_CND_n1# S_CND_o1# S_CND_p1#
N040
CSR_NON_SEC
DELTA
S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1# S_CND_q1# S_CND_u1# S_CND_v1#
N041
CSR_NON_SEC
DELTA
S_CND_n1# S_CND_o1# S_CND_p1# S_CND_q1# S_CND_u1# S_CND_v1#
N042
CSR_NON_SEC
DELTA
S_CND_a3# S_CND_b1# S_CND_c1# S_CND_s1# S_CND_t1#
N043
CSR_NON_SEC
DELTA
S_CND_a1# S_CND_a2# S_CND_a3# S_CND_a4# S_CND_b1# S_CND_b2# S_CND_ab1# S_CND_ab2# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_f1# S_CND_g1# S_CND_h1# S_CND_hb1# S_CND_hb2# S_CND_i1# S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1# S_CND_n1# S_CND_o1# S_CND_p1# S_CND_q1# S_CND_r1# S_CND_s1# S_CND_t1# S_CND_u1# S_CND_v1# S_CND_w1# S_CND_x1# S_CND_x2# S_CND_y1#
N044
CSR_NON_SEC
VEGA
S_CNV_a2#
N045
CSR_NON_SEC
VEGA
S_CNV_a1# S_CNV_a2#
N046
CSR_NON_SEC
VEGA
S_CNV_a2# S_CNV_a3# S_CNV_a4# S_CNV_a5# S_CNV_a6#
N047
CSR_NON_SEC
VEGA
S_CNV_a2# S_CNV_b1#
N048
CSR_NON_SEC
VEGA
S_CNV_a1# S_CNV_a2# S_CNV_a3# S_CNV_a4# S_CNV_a5# S_CNV_a6# S_CNV_b1# S_CNV_b2# S_CNV_b3# S_CNV_b4# S_CNV_b5#
N049
CSR_NON_SEC
VEGA
S_CNV_q1# S_CNV_r1#
N050
CSR_NON_SEC
VEGA
S_CNV_s1# S_CNV_u1#
N051
CSR_NON_SEC
VEGA
S_CNV_t1# S_CNV_v1#
N052
CSR_NON_SEC
VEGA
S_CNV_c1# S_CNV_c2# S_CNV_c3# S_CNV_c4# S_CNV_c5#
N053
CSR_NON_SEC
VEGA
S_CNV_a1# S_CNV_c1# S_CNV_d1# S_CNV_e1# S_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_i1#
N054
CSR_NON_SEC
VEGA
S_CNV_a1# S_CNV_c1# S_CNV_d1# S_CNV_e1# S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1#
N055
CSR_NON_SEC
VEGA
S_CNV_a1# S_CNV_c1# S_CNV_d1# S_CNV_e1# S_CNV_n1# S_CNV_o1# S_CNV_p1#
N056
CSR_NON_SEC
VEGA
S_CNV_a1# S_CNV_c1# S_CNV_d1# S_CNV_e1# S_CNV_q1# S_CNV_s1# S_CNV_t1#
N057
CSR_NON_SEC
VEGA
S_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_i1# S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1#
N058
CSR_NON_SEC
VEGA
S_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_i1# S_CNV_n1# S_CNV_o1# S_CNV_p1#
N059
CSR_NON_SEC
VEGA
S_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_i1# S_CNV_q1# S_CNV_s1# S_CNV_t1#
N060
CSR_NON_SEC
VEGA
S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1# S_CNV_n1# S_CNV_o1# S_CNV_p1#
N061
CSR_NON_SEC
VEGA
S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1# S_CNV_q1# S_CNV_s1# S_CNV_t1#
N062
CSR_NON_SEC
VEGA
S_CNV_n1# S_CNV_o1# S_CNV_p1# S_CNV_q1# S_CNV_s1# S_CNV_t1#
N063
CSR_NON_SEC
VEGA
S_CNV_b4# S_CNV_c1# S_CNV_c2# S_CNV_c3# S_CNV_c4# S_CNV_c5#
N064
CSR_NON_SEC
VEGA
S_CNV_a1# S_CNV_a2# S_CNV_a3# S_CNV_a4# S_CNV_a5# S_CNV_a6# S_CNV_b1# S_CNV_b2# S_CNV_b3# S_CNV_b4# S_CNV_b5# S_CNV_ab1# S_CNV_c1# S_CNV_c2# S_CNV_c3# S_CNV_c4# S_CNV_c5# S_CNV_d1# S_CNV_e1# S_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_hb1# S_CNV_i1# S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1# S_CNV_n1# S_CNV_o1# S_CNV_p1# S_CNV_q1# S_CNV_r1# S_CNV_s1# S_CNV_t1# S_CNV_u1# S_CNV_v1#
N065
CSR_NON_SEC
CURVATURE
S_CNC_b1#
N066
CSR_NON_SEC
CURVATURE
S_CNC_c1#
N067
CSR_NON_SEC
CURVATURE
S_CNC_d1#
N068
CSR_NON_SEC
CURVATURE
S_CNC_e1#
N069
CSR_NON_SEC
CURVATURE
S_CNC_f1#
N070
CSR_NON_SEC
CURVATURE
S_CNC_g1#
N071
CSR_NON_SEC
CURVATURE
S_CNC_h1#
N072
CSR_NON_SEC
CURVATURE
S_CNC_i1#
N073
CSR_NON_SEC
CURVATURE
S_CNC_aa1#
N074
CSR_NON_SEC
CURVATURE
S_CNC_j1#
N075
CSR_NON_SEC
CURVATURE
S_CNC_k1#
N076
CSR_NON_SEC
CURVATURE
S_CNC_l1#
N077
CSR_NON_SEC
CURVATURE
S_CNC_m1#
N078
CSR_NON_SEC
CURVATURE
S_CNC_n1#
N079
CSR_NON_SEC
CURVATURE
S_CNC_o1#
N080
CSR_NON_SEC
CURVATURE
S_CNC_p1#
N081
CSR_NON_SEC
CURVATURE
S_CNC_q1#
N082
CSR_NON_SEC
CURVATURE
S_CNC_t1#
N083
CSR_NON_SEC
CURVATURE
S_CNC_u1#
N084
CSR_NON_SEC
CURVATURE
S_CNC_a1# S_CNC_a2#
N085
CSR_NON_SEC
CURVATURE
S_CNC_a1# S_CNC_b1#
N086
CSR_NON_SEC
CURVATURE
S_CNC_q1# S_CNC_r1#
N087
CSR_NON_SEC
CURVATURE
S_CNC_t1# S_CNC_v1#
N088
CSR_NON_SEC
CURVATURE
S_CNC_u1# S_CNC_w1#
N089
CSR_NON_SEC
CURVATURE
S_CNC_a1# S_CNC_a2# S_CNC_b1# S_CNC_y1# S_CNC_z1#
N090
CSR_NON_SEC
CURVATURE
S_CNC_s1#
N091
CSR_NON_SEC
CURVATURE
S_CNC_a1# S_CNC_c1# S_CNC_d1# S_CNC_e1# S_CNC_f1# S_CNC_g1# S_CNC_h1# S_CNC_i1#
N092
CSR_NON_SEC
CURVATURE
S_CNC_a1# S_CNC_c1# S_CNC_d1# S_CNC_e1# S_CNC_j1# S_CNC_k1# S_CNC_l1# S_CNC_m1#
N093
CSR_NON_SEC
CURVATURE
S_CNC_a1# S_CNC_c1# S_CNC_d1# S_CNC_e1# S_CNC_n1# S_CNC_o1# S_CNC_p1#
N094
CSR_NON_SEC
CURVATURE
S_CNC_a1# S_CNC_c1# S_CNC_d1# S_CNC_e1# S_CNC_q1# S_CNC_t1# S_CNC_u1#
N095
CSR_NON_SEC
CURVATURE
S_CNC_f1# S_CNC_g1# S_CNC_h1# S_CNC_i1# S_CNC_j1# S_CNC_k1# S_CNC_l1# S_CNC_m1#
N096
CSR_NON_SEC
CURVATURE
S_CNC_f1# S_CNC_g1# S_CNC_h1# S_CNC_i1# S_CNC_n1# S_CNC_o1# S_CNC_p1#
N097
CSR_NON_SEC
CURVATURE
S_CNC_f1# S_CNC_g1# S_CNC_h1# S_CNC_i1# S_CNC_q1# S_CNC_t1# S_CNC_u1#
N098
CSR_NON_SEC
CURVATURE
S_CNC_j1# S_CNC_k1# S_CNC_l1# S_CNC_m1# S_CNC_n1# S_CNC_o1# S_CNC_p1#
N099
CSR_NON_SEC
CURVATURE
S_CNC_j1# S_CNC_k1# S_CNC_l1# S_CNC_m1# S_CNC_q1# S_CNC_t1# S_CNC_u1#
N100
CSR_NON_SEC
CURVATURE
S_CNC_n1# S_CNC_o1# S_CNC_p1# S_CNC_q1# S_CNC_t1# S_CNC_u1#
N101
CSR_NON_SEC
CURVATURE
S_CNC_c1# S_CNC_x1# S_CNC_y1# S_CNC_z1#
N102
CSR_NON_SEC
CURVATURE
S_CNC_a1# S_CNC_b1# S_CNC_d1# S_CNC_s1#
N103
CSR_NON_SEC
CURVATURE
S_CNC_a1# S_CNC_a2# S_CNC_b1# S_CNC_ab1# S_CNC_c1# S_CNC_d1# S_CNC_e1# S_CNC_f1# S_CNC_g1# S_CNC_h1# S_CNC_hb1# S_CNC_i1# S_CNC_j1# S_CNC_k1# S_CNC_l1# S_CNC_m1# S_CNC_n1# S_CNC_o1# S_CNC_p1# S_CNC_q1# S_CNC_r1# S_CNC_s1# S_CNC_t1# S_CNC_u1# S_CNC_v1# S_CNC_w1# S_CNC_x1# S_CNC_y1# S_CNC_z1# 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_a2# S_CNC_b1# S_CNC_ab1# S_CNC_c1# S_CNC_d1# S_CNC_e1# S_CNC_f1# S_CNC_g1# S_CNC_h1# S_CNC_hb1# S_CNC_i1# S_CNC_j1# S_CNC_k1# S_CNC_l1# S_CNC_m1# S_CNC_n1# S_CNC_o1# S_CNC_p1# S_CNC_q1# S_CNC_r1# S_CNC_s1# S_CNC_t1# S_CNC_u1# S_CNC_v1# S_CNC_w1# S_CNC_x1# S_CNC_y1# S_CNC_z1# S_CNC_aa1#
N104(CRR2/DA)
CSR_NON_SEC
CURVATURE
S_CNC_ab1#
N105(CRR2/DA)
CSR_NON_SEC
CURVATURE
S_CNC_hb1#
N106(CRR2/DA)
CSR_NON_SEC
DELTA
S_CND_ab1#
N107(CRR2/DA)
CSR_NON_SEC
DELTA
S_CND_hb1#
C001
CM
DELTA
S_CMD_a2#
C002
CM
DELTA
S_CMD_c1#
C003
CM
DELTA
S_CMD_e1#
C004
CM
DELTA
S_CMD_g1#
C005
CM
DELTA
S_CMD_i1#
C006
CM
DELTA
S_CMD_k1#
C007
CM
DELTA
S_CMD_m1#
C008
CM
DELTA
S_CMD_o1#
C009
CM
DELTA
S_CMD_q1#
C010
CM
DELTA
S_CMD_s1#
C011
CM
DELTA
S_CMD_u1#
C012
CM
DELTA
S_CMD_a1# S_CMD_a2#
C013
CM
DELTA
S_CMD_a2# S_CMD_a3#
C014
CM
DELTA
S_CMD_a2# S_CMD_a4#
C015
CM
DELTA
S_CMD_a3# S_CMD_a4#
C016
CM
DELTA
S_CMD_a2# S_CMD_b1#
C017
CM
DELTA
S_CMD_c1# S_CMD_d1#
C018
CM
DELTA
S_CMD_e1# S_CMD_f1#
C019
CM
DELTA
S_CMD_g1# S_CMD_h1#
C020
CM
DELTA
S_CMD_i1# S_CMD_j1#
C021
CM
DELTA
S_CMD_k1# S_CMD_l1#
C022
CM
DELTA
S_CMD_m1# S_CMD_n1#
C023
CM
DELTA
S_CMD_o1# S_CMD_p1#
C024
CM
DELTA
S_CMD_q1# S_CMD_r1#
C025
CM
DELTA
S_CMD_s1# S_CMD_t1#
C026
CM
DELTA
S_CMD_u1# S_CMD_v1#
C027
CM
DELTA
S_CMD_g1# S_CMD_h1# S_CMD_w1# S_CMD_x1#
C028
CM
DELTA
S_CMD_a2# S_CMD_c1# S_CMD_e1# S_CMD_g1# S_CMD_i1# S_CMD_k1# S_CMD_m1# S_CMD_o1# S_CMD_q1# S_CMD_s1#
C029
CM
DELTA
S_CMD_a2# S_CMD_u1#
C030
CM
DELTA
S_CMD_c1# S_CMD_d1# S_CMD_g1# S_CMD_h1# S_CMD_w1# S_CMD_x1#
C031
CM
DELTA
S_CMD_a1# S_CMD_a2# S_CMD_a3# S_CMD_a4# S_CMD_b1# S_CMD_c1# S_CMD_d1# S_CMD_e1# S_CMD_f1# S_CMD_g1# S_CMD_h1# S_CMD_i1# S_CMD_j1# S_CMD_k1# S_CMD_l1# S_CMD_m1# S_CMD_n1# S_CMD_o1# S_CMD_p1# S_CMD_q1# S_CMD_r1# S_CMD_s1# S_CMD_t1# S_CMD_u1# S_CMD_v1# S_CMD_w1# S_CMD_x1#
C032
CM
VEGA
S_CMV_a2#
C033
CM
VEGA
S_CMV_a1# S_CMV_a2#
C034
CM
VEGA
S_CMV_a2# S_CMV_a3# S_CMV_a4# S_CMV_a5# S_CMV_a6#
C035
CM
VEGA
S_CMV_a1# S_CMV_a2# S_CMV_a3# S_CMV_a4# S_CMV_a5# S_CMV_a6# S_CMV_b1# S_CMV_b2# S_CMV_b3# S_CMV_b4# S_CMV_b5#
C036
CM
VEGA
S_CMV_c1# S_CMV_d1#
C037
CM
VEGA
S_CMV_e1# S_CMV_f1#
C038
CM
VEGA
S_CMV_g1# S_CMV_h1#
C039
CM
VEGA
S_CMV_i1# S_CMV_j1#
C040
CM
VEGA
S_CMV_k1# S_CMV_l1#
C041
CM
VEGA
S_CMV_m1# S_CMV_n1#
C042
CM
VEGA
S_CMV_o1# S_CMV_p1#
C043
CM
VEGA
S_CMV_q1# S_CMV_r1#
C044
CM
VEGA
S_CMV_s1# S_CMV_t1#
C045
CM
VEGA
S_CMV_u1# S_CMV_v1#
C046
CM
VEGA
S_CMV_g1# S_CMV_h1# S_CMV_w1# S_CMV_x1#
C047
CM
VEGA
S_CMV_a2# S_CMV_c1# S_CMV_e1# S_CMV_g1# S_CMV_i1# S_CMV_k1# S_CMV_m1# S_CMV_o1# S_CMV_q1# S_CMV_s1#
C048
CM
VEGA
S_CMV_a2# S_CMV_u1#
C049
CM
VEGA
S_CMV_c1# S_CMV_d1# S_CMV_g1# S_CMV_h1# S_CMV_w1# S_CMV_x1#
C050
CM
VEGA
S_CMV_a1# S_CMV_a2# S_CMV_a3# S_CMV_a4# S_CMV_a5# S_CMV_a6# S_CMV_b1# S_CMV_b2# S_CMV_b3# S_CMV_b4# S_CMV_b5# S_CMV_c1# S_CMV_d1# S_CMV_e1# S_CMV_f1# S_CMV_g1# S_CMV_h1# S_CMV_i1# S_CMV_j1# S_CMV_k1# S_CMV_l1# S_CMV_m1# S_CMV_n1# S_CMV_o1# S_CMV_p1# S_CMV_q1# S_CMV_r1# S_CMV_s1# S_CMV_t1# S_CMV_u1# S_CMV_v1# S_CMV_w1# S_CMV_x1#
C051
CM
CURVATURE
S_CMC_b1#
C052
CM
CURVATURE
S_CMC_c1#
C053
CM
CURVATURE
S_CMC_e1#
C054
CM
CURVATURE
S_CMC_g1#
C055
CM
CURVATURE
S_CMC_i1#
C056
CM
CURVATURE
S_CMC_k1#
C057
CM
CURVATURE
S_CMC_m1#
C058
CM
CURVATURE
S_CMC_o1#
C059
CM
CURVATURE
S_CMC_q1#
C060
CM
CURVATURE
S_CMC_s1#
C061
CM
CURVATURE
S_CMC_u1#
C062
CM
CURVATURE
S_CMC_a1# S_CMC_a2#
C063
CM
CURVATURE
S_CMC_a1# S_CMC_b1#
C064
CM
CURVATURE
S_CMC_c1# S_CMC_d1#
C065
CM
CURVATURE
S_CMC_e1# S_CMC_f1#
C066
CM
CURVATURE
S_CMC_g1# S_CMC_h1#
C067
CM
CURVATURE
S_CMC_i1# S_CMC_j1#
C068
CM
CURVATURE
S_CMC_k1# S_CMC_l1#
C069
CM
CURVATURE
S_CMC_m1# S_CMC_n1#
C070
CM
CURVATURE
S_CMC_o1# S_CMC_p1#
C071
CM
CURVATURE
S_CMC_q1# S_CMC_r1#
C072
CM
CURVATURE
S_CMC_s1# S_CMC_t1#
C073
CM
CURVATURE
S_CMC_u1# S_CMC_v1#
C074
CM
CURVATURE
S_CMC_a2# S_CMC_b1#
C075
CM
CURVATURE
S_CMC_g1# S_CMC_z1#
C076
CM
CURVATURE
S_CMC_b1# S_CMC_c1# S_CMC_e1# S_CMC_g1# S_CMC_i1# S_CMC_k1# S_CMC_m1# S_CMC_o1# S_CMC_q1# S_CMC_s1#
C077
CM
CURVATURE
S_CMC_a2# S_CMC_u1#
C078
CM
CURVATURE
S_CMC_a1# S_CMC_a2# S_CMC_b1# S_CMC_y1# S_CMC_q1# S_CMC_r1# S_CMC_x1#
C079
CM
CURVATURE
S_CMC_x1# S_CMC_g1# S_CMC_z1#
C080
CM
CURVATURE
S_CMC_a1# S_CMC_a2# S_CMC_b1# S_CMC_c1# S_CMC_d1# S_CMC_e1# S_CMC_f1# S_CMC_g1# S_CMC_h1# S_CMC_i1# S_CMC_j1# S_CMC_k1# S_CMC_l1# S_CMC_m1# S_CMC_n1# S_CMC_o1# S_CMC_p1# S_CMC_q1# S_CMC_r1# S_CMC_s1# S_CMC_t1# S_CMC_u1# S_CMC_v1# S_CMC_x1# S_CMC_y1# S_CMC_z1#
C081
CM
ALL
S_CMD_a1# S_CMD_a2# S_CMD_a3# S_CMD_a4# S_CMD_b1# S_CMD_c1# S_CMD_d1# S_CMD_e1# S_CMD_f1# S_CMD_g1# S_CMD_h1# S_CMD_i1# S_CMD_j1# S_CMD_k1# S_CMD_l1# S_CMD_m1# S_CMD_n1# S_CMD_o1# S_CMD_p1# S_CMD_q1# S_CMD_r1# S_CMD_s1# S_CMD_t1# S_CMD_u1# S_CMD_v1# S_CMD_w1# S_CMD_x1# S_CMV_a1# S_CMV_a2# S_CMV_a3# S_CMV_a4# S_CMV_a5# S_CMV_a6# S_CMV_b1# S_CMV_b2# S_CMV_b3# S_CMV_b4# S_CMV_b5# S_CMV_c1# S_CMV_d1# S_CMV_e1# S_CMV_f1# S_CMV_g1# S_CMV_h1# S_CMV_i1# S_CMV_j1# S_CMV_k1# S_CMV_l1# S_CMV_m1# S_CMV_n1# S_CMV_o1# S_CMV_p1# S_CMV_q1# S_CMV_r1# S_CMV_s1# S_CMV_t1# S_CMV_u1# S_CMV_v1# S_CMV_w1# S_CMV_x1# S_CMC_a1# S_CMC_a2# S_CMC_b1# S_CMC_c1# S_CMC_d1# S_CMC_e1# S_CMC_f1# S_CMC_g1# S_CMC_h1# S_CMC_i1# S_CMC_j1# S_CMC_k1# S_CMC_l1# S_CMC_m1# S_CMC_n1# S_CMC_o1# S_CMC_p1# S_CMC_q1# S_CMC_r1# S_CMC_s1# S_CMC_t1# S_CMC_u1# S_CMC_v1# S_CMC_x1# S_CMC_y1# S_CMC_z1#
’
ELI: http://data.europa.eu/eli/reg_impl/2026/1872/oj
ISSN 1977-0677 (electronic edition)
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