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Document 32026R1872
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
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Official Journal |
EN L series |
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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:
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(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). |
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(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. |
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(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. |
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(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 |
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(5) |
Implementing Regulation (EU) 2016/2070 should therefore be amended accordingly. |
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(6) |
This Regulation is based on the draft implementing technical standards submitted to the Commission by the EBA. |
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(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:
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(1) |
Annex II is replaced by the text in Annex I to this Regulation; |
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(2) |
Annex V is replaced by the text in Annex II to this Regulation; |
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(3) |
Annex VI is replaced by the text in Annex III to this Regulation; |
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(4) |
Annex VII is replaced by the text in Annex IV to this Regulation; |
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(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 |
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C 101.00 – |
Definition of Low Default Portfolio counterparties | 4 |
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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:
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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:
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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.
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Column |
Label |
Legal reference |
Instructions |
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0010 |
Counterparty code |
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The code assigned by EBA to each legal entity included in the low default portfolio (‘LDP’) sample. |
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0020 |
Legal entity identifier (LEI) |
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20-digit, alpha-numeric code that connects to key reference information that enables clear and unique identification of companies Cparticipating in global financial markets. |
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0030 |
Credit register code |
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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. |
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0040 |
Commercial register code |
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The code assigned to a counterparty by the public commercial register of the country where that counterparty is registered. |
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0050 |
ISIN code |
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The ‘International Securities Identification Number’ used to identify uniquely securities issued by a counterparty. |
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0060 |
Bloomberg ticker |
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The string of characters or numbers used to identify a company or entity uniquely in Bloomberg. |
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0070 |
Name |
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The name of the legal entity included in the LDP samples. |
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0080 |
Geographical area |
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The country of residence (ISO Code or ‘Other countries’) of the counterparty (0010). |
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0090 |
Portfolio name |
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The sample to which the counterparty (0010) is assigned. It is one of the following:
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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:
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. |
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0110 |
Type of exposure |
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Only exposures other than specialised lending exposures shall be reported in Annex III, template C 101.00. |
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0120 |
Type of facility |
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Not applicable: exposures shall be reported in Annex III, template C 101.00 independently of the type of facility. |
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0130 |
Type of risk |
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Exposures shall be split into parts and assigned to portfolios based on the type of risk:
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0140 |
Regulatory approach |
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Exposures to counterparties shall be split into parts and assigned to portfolios based on the regulatory approach used for the calculation of RWEA:
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C 102.00 – Definition of Low Default Portfolios
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Column |
Label |
Legal reference |
Instructions |
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0010 |
Portfolio ID |
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The unique ID assigned to the portfolio by EBA. |
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0020 |
Portfolio name |
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Each portfolio is assigned to one of the following portfolio names:
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0030 |
Type of risk |
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The instructions provided for column 0130 of table C 101.00 shall apply. |
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0040 |
Regulatory approach |
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Exposures shall be split into parts and assigned to portfolios based on the regulatory approach used for the calculation of RWEA:
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0050 |
Geographical area |
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Exposures shall be split into parts and assigned to portfolios based on the country of residence (ISO Code or ‘Other countries’) of the obligors. |
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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. |
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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:
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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:
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. |
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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:
The following mapping between the exposure classes and the breakdown of the CR IRB template shall be applied: |
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(*) |
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Exposure Class |
Code in the Portfolio ID |
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GOVT |
A.2; B.2 |
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INST |
A.3; A.4; A.5; B.3; B.4 |
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LCOR |
A.6.2; A.6.3; B.5.2; B.5.3 |
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COSP |
A.6.1; B.5.1 |
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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. |
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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:
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. |
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0090 |
Default status |
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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:
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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:
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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:
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. |
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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:
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. |
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0130 |
Counterparty |
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Exposures shall be split into parts and assigned to portfolios based on the type of counterparty:
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0140 |
Size of counterparty |
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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:
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. |
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0150 |
NACE code |
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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 ***:
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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:
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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’)):
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0180 |
Indexed loan-to-value range |
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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:
The indexed loan-to-value range shall be calculated in a prudent manner and comply with the following requirements:
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0190 |
Balance sheet recognition |
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Exposures shall be split into parts and assigned to portfolios based on the balance sheet recognition:
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). |
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C 103.00 – Definition of High Default Portfolios
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Column |
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Legal reference |
Instructions |
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0010 |
Portfolio ID |
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The unique ID assigned by EBA to each portfolio. |
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0020 |
Portfolio name |
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Each portfolio is assigned to one of the following portfolio names:
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0030 |
Type of risk |
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The instructions provided for column 0130 of table C 101.00 shall apply. |
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0040 |
Regulatory approach |
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Exposures shall be split into parts and assigned to portfolios based on the regulatory approach used for the calculation of RWEA:
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0050 |
Geographical area |
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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. |
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0060 |
Rating |
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The instructions provided for column 0060 of table C 102.00 shall apply. |
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0070 |
Exposure class |
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Exposures shall be split into parts and assigned to portfolios based on the exposure class:
The following mapping between the exposure classes and the breakdown of the Credit Risk IRB template shall be applied: |
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(*) |
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Exposure Class |
Portfolio Code |
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SMEC |
A.6.2; A.6.3; B.5.2; B.5.3 |
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CORP |
A.6.2; A.6.3; B.5.2; B.5.3 |
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RSMS |
B.6.5 |
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SMOT |
B.6.7, B.6.3 (**) |
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RETO |
B.6.8, B.6.3 (***) |
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MORT |
B.6.6 |
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RQRR |
B.6.2 |
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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. |
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0080 |
Sector of counterparty |
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The instructions provided for column 0100 of table C 102.00 shall apply. |
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0090 |
Default status |
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The instructions provided for column 0090 of table C 102.00 shall apply. |
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0100 |
Type of facility |
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The instructions provided for column 0120 of table C 102.00 shall apply. |
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0110 |
Collateralisation status |
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The instructions provided for column 0110 of table C 102.00 shall apply. |
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0120 |
Collateral type |
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The instructions provided for column 0120 of table C 102.00 shall apply. |
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0130 |
Counterparty |
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The instructions provided for column 0130 of table C 102.00 shall apply. |
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0140 |
Size of counterparty |
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The instructions provided for column 0140 of table C 102.00 shall apply. |
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0150 |
NACE code |
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The instructions provided for column 0150 of table C 102.00 shall apply. |
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0160 |
Type of exposure |
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The instructions provided for column 0110 of table C 102.00 shall apply. |
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0170 |
Size of exposure |
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The instructions provided for column 0170 of table C 102.00 shall apply. |
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0180 |
Indexed loan-to-value range |
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The instructions provided for column 0180 of table C 102.00 shall apply |
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0190 |
Balance sheet recognition |
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The instructions provided for column 0190 of table C 102.00 shall apply. |
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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:
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C 104.00 – Definition of High Default Portfolios for IFRS 9 templates
|
Column |
|
Legal reference |
Instructions |
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0010 |
Portfolio ID |
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The unique ID assigned by EBA to each portfolio. |
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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:
|
|
(b) |
The following dates shall apply for the ‘benchmarking’ exercise:
|
|
(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:
|
|
(f) |
For the purposes of point (e), sub point (v), all of the following shall be reported:
|
|
(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:
|
|
(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:
|
|
(gg) |
In Section 2 of this Annex (Instruments), for all CDS, unless explicitly specified otherwise, the following requirements shall apply:
|
|
(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
|
101. |
Long EURO STOXX 50 index (Ticker: FESX) Futures.
Notional: equivalent to the value of the index times 1 000 EUR Exchange: Eurex Expiry date: September Year T EBA instrument currency: EUR |
|
102. |
Long 10 000 BAYER (Ticker: BAYN GR) shares.
Exchange: Xetra EBA instrument currency: EUR |
|
103. |
Short Futures BAYER (Ticker: BAYN GR).
Notional: equivalent to the value of 10 000 shares of the underlying asset Exchange: Eurex Expiry date: September Year T EBA instrument currency: EUR |
|
104. |
Short Futures, STELLANTIS (Ticker: STLA FP).
Notional: equivalent to the value of 10 000 shares of the underlying asset Exchange: Euronext Expiry date: September Year T EBA instrument currency: EUR |
|
105. |
Short Futures, ALLIANZ (Ticker: ALV GR).
Notional: equivalent to the value of 10 000 shares of the underlying asset Exchange: Eurex Expiry date: September Year T EBA instrument currency: EUR |
|
106. |
Short Futures BARCLAYS (Ticker: BARC LN).
Notional: equivalent to the value of 10 000 shares of the underlying asset Exchange: Eurex Expiry date: September Year T EBA instrument currency: GBP |
|
107. |
Short Futures DEUTSCHE BANK (Ticker: DBK GR).
Notional: equivalent to the value of 10 000 shares of the underlying asset Exchange: Eurex Expiry date: September Year T EBA instrument currency: EUR |
|
108. |
Short Futures CRÉDIT AGRICOLE (Ticker: ACA FP).
Notional: equivalent to the value of 10 000 shares of the underlying asset Exchange: Euronext Expiry date: September Year T EBA instrument currency: EUR |
|
109. |
Long Call Options. Underlying BAYER (Ticker: BAYN GR), ATM (1 contract = 100 shares).
Notional: equivalent to the value of 10 000 shares of the underlying asset Expiry date: September Year T EBA instrument currency: EUR |
|
110. |
Short Call Options. Underlying BAYER (Ticker: BAYN GR), ATM (1 contract = 100 shares).
Notional: equivalent to the value of 10 000 shares of the underlying asset Expiry date: December Year T EBA instrument currency: EUR |
|
111. |
Long Call Options. Underlying PFIZER (Ticker PFE US) 10 % OTM, (1 contract = 100 shares).
Notional: equivalent to the value of 10 000 shares of the underlying asset Expiry date: September Year T EBA instrument currency: USD |
|
112. |
Long Put Options. Underlying PFIZER (Ticker PFE US) 10 % OTM, (1 contract = 100 shares).
Notional: equivalent to value of 10 000 shares of the underlying asset Expiry date: September Year T EBA instrument currency: USD |
|
113. |
Long Call Options. Underlying BAYER (Ticker: BAYN GR), 10 % OTM (1 contract = 100 shares).
Notional: equivalent to the value of 10 000 shares of the underlying asset Expiry date: December Year T EBA instrument currency: EUR |
|
114. |
Short Call Options. Underlying BAYER (Ticker: BAYN GR), 10 % OTM (1 contract = 100 shares).
Notional: equivalent to the value of 10 000 shares of the underlying asset Expiry date: September Year T EBA instrument currency: EUR |
|
115. |
Long Call Options. Underlying AVIVA (Ticker: AV/LN), 10 % OTM (1 contract = 100 shares).
Notional: equivalent to the value of 10 000 shares of the underlying asset Expiry date: December Year T EBA instrument currency: GBP |
|
116. |
Long Put Options. Underlying AVIVA (Ticker: AV/LN), 10 % OTM (1 contract = 100 shares).
Notional: equivalent to the value of 10 000 shares of the underlying asset Expiry date: December Year T EBA instrument currency: GBP |
|
117. |
Short Futures NIKKEI 225 (Ticker NKY).
Notional: equivalent to the value of the index times 20 000 JPY Exchange: CME Expiry date: September Year T EBA instrument currency: JPY |
|
118. |
Auto-callable Equity product.
Long position Booking on ‘Booking date’ Notional amount (‘Capital’): EUR 1 000 000 Underlying: Index EURO STOXX 50 (Ticker: SX5E) EBA instrument currency: EUR Maturity: 5 years Annual Pay-out and annual observation (‘Booking date + 1 year’, ‘Booking date + 2 years’, ‘Booking date + 3 years’, ‘Booking date + 4 years’, ‘Booking date + 5 years’). Pay-out occurs 10 days after reference date. Coupon: 6 % Autocall level (‘Initial value’): End of day Booking date + 1 month Barrier coupon payment 60 % of autocall level Protection barrier: 55 % of autocall level
|
|
119. |
Long Call Options. Underlying EURO STOXX 50 index (Ticker: SX5E), ATM.
Notional: equivalent to the value of the index times 1 000 EUR Expiry date: September Year T EBA instrument currency: EUR |
|
120. |
Long Call Options. Underlying EURO STOXX 600 index (Ticker: SXXP), ATM.
Notional: equivalent to the value of the index times 10 000 EUR Expiry date: September Year T EBA instrument currency: EUR |
|
121. |
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
|
201. |
5-year IRS EUR – Receive fixed rate and pay floating rate.
Fixed leg: receive annually Floating rate: 6-month EURIBOR, pay semi-annually. Daycount: ACT/360 Notional: EUR 10 000 000 Roll convention and calendar: standard Effective date as booking date (i.e. the rates to be used shall be those at the market close as of the booking date) Maturity: Booking date + 5 years EBA instrument currency: EUR |
|
202. |
Two-year EUR swaption on 5-year IRS EUR – pay fixed rate and receive floating rate.
Notional: EUR 10 000 000. The institution is the seller of the option on the swap. The counterparty of the institution buys the right to enter a swap with the institution; if the counterparty exercises its right, the counterparty shall receive the fixed rate while the institution shall receive the floating rate. Swaption with maturity of two years (Booking date + 2 years) on IRS defined as follow: Fixed leg – pay annually; Floating rate: 6-month EURIBOR, receive semi-annually; Notional: EUR 10 000 000; Roll convention and calendar: standard; Effective date of the underlying swap: Booking date + 2 years. Maturity of the underlying swap: Booking date + 7 years Premium paid at the booking date (Booking date). Cash settled The strike price is based on the ATM rate of the forward starting swap defined in this instrument EBA instrument currency: EUR |
|
203. |
5-year IRS USD. Receive fixed rate and pay floating rate.
Fixed rate: receive annually Floating rate: 3-month USD SOFR rate (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 |
|
204. |
2-year IRS GBP. Receive fixed rate and pay floating rate.
Fixed rate: receive annually Floating rate: SONIA (overnight) rate compounded and paid quarterly. Daycount: ACT/365 Notional: GBP 10 000 000 Roll convention and calendar: standard Effective date as booking date (i.e. the rates to be used shall be those at the market close as of the booking date) Maturity: Booking date + 2 years EBA instrument currency GBP |
|
205. |
Collared 10y floating rate note sold by UBS.
Notional (Principal) Amount: USD 1 000 000. Floating Rate Notes (the ‘Notes’) are senior unsecured obligations of UBS AG (‘UBS’). EBA instrument currency USD
|
|
206. |
Long GERMANY GOVT (Inflation) EUR 1 000 000 (ISIN DE0001030583).
Maturity: 15 April 2033 EBA instrument currency: EUR |
|
207. |
Short GERMANY GOVT EUR 1 000 000 (ISIN DE0001030708).
Maturity: 15 August 2030 EBA instrument currency: EUR |
|
208. |
Long ITALY GOVT (Inflation) EUR 1 000 000 (ISIN IT0005138828).
Maturity: 15 September 2032 EBA instrument currency: EUR |
|
209. |
Long ITALY GOVT EUR 1 000 000 (ISIN IT0005340929).
Maturity: 1 December 2028 EBA instrument currency: EUR |
|
210. |
Long SPAIN GOVT EUR 1 000 000 (ISIN ES00000127A2).
Maturity: 30 July 2030 EBA instrument currency: EUR |
|
211. |
Short FRANCE GOVT EUR 1 000 000 (ISIN FR0012993103).
Maturity: 25 May 2031 EBA instrument currency: EUR |
|
212. |
Short GERMANY GOVT EUR 1 000 000 (ISIN DE0001135176).
Maturity: 4 January 2031 EBA instrument currency: EUR |
|
213. |
Long UNITED KINGDOM GOVT GBP 1 000 000 (ISIN GB0004893086).
Maturity: 7 June 2032 EBA instrument currency: GBP |
|
214. |
Long PORTUGAL GOVT EUR 1 000 000 (ISIN PTOTEXOE0024).
Maturity: 15 June 2029 EBA instrument currency: EUR |
|
215. |
Short UNITED STATES GOVT USD 1 000 000 (ISIN US91282CAV37).
Maturity: 15 November 2030 EBA instrument currency USD |
|
216. |
Long BRAZIL GOVT (callable) 1 000 000 USD (ISIN US105756BZ27).
Maturity: 13 January 2028 EBA instrument currency: USD |
|
217. |
Long MEXICO GOVT (callable) 1 000 000 USD (ISIN US91087BAT70).
Maturity: 19 May 2033 EBA instrument currency USD |
|
218. |
10-year IRS EURO – Receive floating rate and pay fixed rate.
Fixed leg: pay annually Floating rate: 3-month EURIBOR, receive quarterly. Daycount: ACT/360 Notional: EUR 10 000 000 Roll convention and calendar: standard Effective date as the booking date (i.e. rates to be used are those at the market close on booking date) Maturity: Booking date + 10 years EBA instrument currency: EUR |
|
219. |
5-year IRS EURO – Receive floating rate and pay fixed rate.
Fixed leg: pay annually Floating rate: 6-month EURIBOR, receive every 6 months. Daycount: ACT/360 Notional: EUR 10 000 000 Roll convention and calendar: standard Effective date as the booking date (i.e. rates to be used are those at the market close on booking date) Maturity: Booking date + 5 years EBA instrument currency: EUR |
|
220. |
5-year Mark to Market (MtM) Cross Currency EUR/USD SWAP. Receive USD and pay EUR.
EUR: 3-month ESTER, pay quarterly compounded with a payment lag of 2 days. Daycount: ACT/360 USD: 3-month SOFR (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 |
|
221. |
10-year IRS EURO – Receive ESTER and pay EURIBOR.
ESTER leg: receive annually. Daycount: ACT/360 EURIBOR leg: 3-month EURIBOR + Basis, pay quarterly. Daycount: ACT/360 Notional: EUR 10 000 000 Roll convention and calendar: standard Effective date as booking date (i.e. the rates to be used shall be those at the market close as of the booking date) Maturity: Booking date + 10 years EBA instrument currency: EUR |
|
222. |
Long ITALY GOVT (Inflation) EUR 1 000 000 (ISIN IT0005387052).
Maturity: 15 May 2030 EBA instrument currency: EUR |
|
223. |
5-year Zero Coupon Inflation swap EUR – Receive Inflation indexed return and pay fixed rate (r).
Inflation Index: CPI (HICPxT) Fixed leg (Pay fixed): Rec Inflation indexed return Notional: EUR 10 000 000 Base fixing date: Booking date – 3 months Final Fixing: Booking date + 4 years 9 months Maturity: Booking date + 5 years EBA instrument currency: EUR |
|
224. |
Two-year EUR swaption on 5-year IRS EUR – receive fixed rate and pay floating rate.
Notional: EUR 10 000 000. The institution is the seller of the option on the swap. The counterparty of the institution buys the right to enter a swap with the institution; if the counterparty exercises its right, the counterparty shall receive the floating rate while the institution shall receive the fixed rate. Swaption with maturity of two years (Booking date + 2 years) on IRS defined as follow: Fixed leg- receive annually; Floating rate: 6-month EURIBOR, pay every 6 months; Notional: EUR 10 000 000; Roll convention and calendar: standard; Effective date of the underlying swap: Booking date + 2 years. Maturity of the underlying swap: Booking date + 7 years Premium paid at the booking date (Booking date). Cash settled The strike price is based on the ATM rate of the forward starting swap defined in this instrument+ 100 bps EBA instrument currency: EUR |
FX
|
301. |
6-month USD/EUR forward contract. Cash settled. Long USD – Short EUR; Notional USD 10 000 000; Forward Strike: equal to 100 % of the relevant ECB spot reference rate at the end of the booking date.
EBA instrument currency: EUR |
|
302. |
6-month EUR/GBP forward contract. Cash settled. Long EUR – Short GBP; Notional 10 000 000 GBP; Forward Strike: equal to 100 % of the relevant ECB spot reference rate at the end of the booking date.
EBA instrument currency: EUR |
|
303. |
Long 10 000 000 USD Cash.
Cash position. To be considered as having intrinsic FX risk as described in paragraph (kk) EBA instrument currency: EUR |
|
304. |
Long EUR/USD Call option (long EUR, short USD). Cash settled. Notional: EUR 10 000 000. Equivalent amount based on EUR/USD ECB reference spot rate as of end of the booking date.
Strike price: 110 % of EUR/USD ECB reference rate as of end of the booking date Expiry date: Booking date + 1 year EBA instrument currency: EUR |
|
305. |
Long EUR/USD Call Option (long EUR, short USD). Cash settled. Notional: EUR 10 000 000. Equivalent amount based on EUR/USD ECB reference spot rate as of end of the booking date.
Strike price: 90 % of EUR/USD ECB reference rate as of end of the booking date Expiry date: Booking date + 1 year EBA instrument currency: EUR |
|
306. |
Short EUR/USD Call Option (short EUR, long USD). Cash settled. Notional: EUR 10 000 000. Equivalent amount based on EUR/USD ECB reference spot rate as of end of the booking date.
Strike price: 100 % of EUR/USD ECB reference rate as of end of the booking date Expiry date: Booking date + 1 year EBA instrument currency: EUR |
|
307. |
Short EUR/GBP Call Option (short EUR, long GBP). Cash settled. Notional: EUR 10 000 000. Equivalent amount based on EUR/GBP ECB reference spot rate as of end of the booking date.
Strike price: 110 % of EUR/GBP ECB reference rate as of end of the booking date Expiry date: Booking date + 1 year EBA instrument currency: EUR |
|
308. |
Long EUR/JPY Put Option (short EUR, long JPY). Cash settled. Notional: EUR 10 000 000. Equivalent amount based on EUR/JPY ECB reference spot rate as of end of the booking date.
Strike price: 110 % of EUR/JPY ECB reference rate as of end of the booking date Expiry date: Booking date + 1 year EBA instrument currency: EUR |
|
309. |
Short EUR/AUD Put Option (long EUR, short AUD). Cash settled. Notional: EUR 10 000 000. Equivalent amount based on EUR/AUD ECB reference spot rate as of end of the booking date.
Strike price: 110 % of EUR/AUD ECB reference rate as of end of the booking date Expiry date: Booking date + 1 year EBA instrument currency: EUR |
|
310. |
6-month EUR/DKK forward contract (long EUR, short DKK). Cash settled; Notional EUR 10 000 000;
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 |
|
311. |
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
|
401. |
Long 6-month 3 500 troy ounces London Gold Forward (long Gold, short USD). Cash Settled. Strike Price: 6-month end-of-day forward price on the booking date
EBA instrument currency: USD |
|
402. |
Short 12-month 3 500 troy ounces London Gold Forward (short Gold, long USD). Cash Settled. Strike Price: 12-month end-of-day forward price on the booking date
EBA instrument currency: USD |
|
403. |
Long Call option 30 000 barrels Brent Crude Oil (long 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 |
|
404. |
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 |
|
405. |
Long Call option 5 000 troy ounces London Gold (long Gold, short USD). Cash settled. Strike price: 18- month end-of-day forward price on the booking date. Expiry date: Booking date + 18 months
EBA instrument currency: USD |
CREDIT SPREAD
|
501. |
Long (i.e. Buy protection) USD 1 000 000 CDS on PORTUGAL.
Restructuring clause: FULL EBA instrument currency: USD |
|
502. |
Long (i.e. Buy protection) USD 1 000 000 CDS on ITALY.
Restructuring clause: FULL EBA instrument currency: USD |
|
503. |
Short (i.e. Sell protection) USD 1 000 000 CDS on SPAIN.
Restructuring clause: FULL EBA instrument currency: USD |
|
504. |
Long (i.e. Buy protection) USD 1 000 000 CDS on MEXICO.
Restructuring clause: FULL EBA instrument currency: USD |
|
505. |
Long (i.e. Buy protection) USD 1 000 000 CDS on BRAZIL.
Restructuring clause: FULL EBA instrument currency: USD |
|
506. |
Long (i.e. Buy protection) USD 1 000 000 CDS on UK.
Restructuring clause: FULL EBA instrument currency: USD |
|
507. |
Short (i.e. Sell protection) EUR 1 000 000 CDS on Telefonica (Ticker TEF SM).
EBA instrument currency: EUR |
|
508. |
Long (i.e. Buy protection) EUR 1 000 000 CDS on Telefonica (Ticker TEF SM).
Maturity: December Year T+2 EBA instrument currency: EUR |
|
509. |
Short (i.e. Sell protection) EUR 1 000 000 CDS on Aviva (Ticker AV LN).
ISDA Definitions year 2003 EBA instrument currency: EUR |
|
510. |
Long (i.e. Buy protection) EUR 1 000 000 CDS on Aviva (Ticker AV LN).
ISDA Definitions year 2003 Maturity: December Year T+2 EBA instrument currency: EUR |
|
511. |
Short (i.e. Sell protection) EUR 1 000 000 CDS on Vodafone (Ticker VOD LN).
EBA instrument currency: EUR |
|
512. |
Short (i.e. Sell protection) EUR 1 000 000 CDS on ENI SpA (Ticker ENI IM).
EBA instrument currency: EUR |
|
513. |
Short (i.e. Sell protection) USD 1 000 000 CDS on Eli Lilly (Ticker LLY US).
Restructuring clause: No restructuring (XR14) EBA instrument currency: USD |
|
514. |
Short (i.e. Sell protection) EUR 1 000 000 CDS on Unilever (Ticker UNA NA).
EBA instrument currency: EUR |
|
515. |
Long (i.e. Buy protection) EUR 1 000 000 CDS on Total SA (Ticker FP FP).
EBA instrument currency: EUR |
|
516. |
Long (i.e. Buy protection) EUR 1 000 000 CDS on Volkswagen Group (Ticker VOW GR).
EBA instrument currency: EUR |
|
517. |
Long position on TURKEY Govt. notes USD 1 000 000 (ISIN US900123CT57).
Maturity: 26 April 2029 EBA instrument currency: USD |
|
518. |
Long (i.e. Buy protection) USD 1 000 000 CDS on TURKEY. Effective date as booking date.
Restructuring clause: FULL EBA instrument currency: USD |
|
519. |
Long position on Telefonica notes EUR 1 000 000 (ISIN XS1681521081).
Maturity: 12 January 2028 EBA instrument currency: EUR |
|
520. |
Long position on Volkswagen Group notes EUR 1 000 000 (ISIN XS2234567233).
Maturity: 22 September 2028 EBA instrument currency: EUR |
|
521. |
Short position Volkswagen Group notes EUR 1 000 000 (ISIN XS1167667283).
Maturity: 16 January 2030 EBA instrument currency: EUR |
|
522. |
Long position on Total SA notes EUR 1 000 000 (ISIN XS1856281834).
Maturity: 11 July 2033 EBA instrument currency: EUR |
|
523. |
Long AUSTRIA GOVT EUR 1 000 000 (ISIN AT0000A04967).
Maturity: 15 March 2037 EBA instrument currency: EUR |
|
524. |
Long (i.e. Buy protection) USD 1 000 000 CDS on AUSTRIA.
Maturity: June Year T+15 EBA instrument currency: USD |
|
525. |
Long NETHERLANDS GOVT EUR 1 000 000 (ISIN NL0013552060).
Maturity: 15 January 2040 EBA instrument currency: EUR |
|
526. |
Long (i.e. Buy protection) USD 1 000 000 CDS on NETHERLANDS.
Maturity: June Year T+20 EBA instrument currency: USD |
|
527. |
Long BELGIUM GOVT EUR 1 000 000 (ISIN BE0000348574).
Maturity: 22 June 2050 EBA instrument currency: EUR |
|
528. |
Long (i.e. Buy protection) USD 1 000 000 CDS on BELGIUM.
Maturity: June Year T+30 EBA instrument currency: USD |
|
529. |
Long (Buy protection) EUR 10 000 000 CDS on iTraxx Europe index on-the-run series.
Maturity: June Year T+4 EBA instrument currency: EUR |
|
530. |
Short Put option. EUR 10 000 000. Underlying iTraxx Europe index on-the-run series (same instrument of 529).
Strike price: ATM Expiry date: Booking date + 6 months EBA instrument currency: EUR |
|
531. |
Long AXA SA (callable) EUR 1 000 000 (ISIN XS1799611642).
Maturity: 28 May 2049 EBA instrument currency: EUR |
|
532. |
Long AT&T Bond (callable) USD 1 000 000 (ISIN US00206RFW79).
Maturity: 15 August 2037 EBA instrument currency: USD |
|
533. |
Long BAYER AG (callable) EUR 1 000 000 (ISIN XS2199266268).
Maturity: 06 January 2030 EBA instrument currency: EUR |
|
534. |
Long ORANGE SA Bond (callable) EUR 1 000 000 (ISIN FR0013323870).
Maturity: 20 March 2028 EBA instrument currency: EUR |
Instruments included in the alternative correlation trading portfolio (ACTP)
|
601. |
Short (i.e. Sell protection) position in iTraxx Europe index on-the-run series.
Attachment point: 3 % Detachment point: 6 % Notional: EUR 5 000 000 Maturity: 5 years EBA instrument currency: EUR |
|
602. |
Long (i.e. Buy protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series.
Maturity: June Year T+4 EBA instrument currency: EUR Notional adj. to fully hedge CS01 of 601 with no re-hedging required |
|
603. |
Long (i.e. Buy protection) position in iTraxx Europe index on-the-run series.
Attachment point: 3 % Detachment point: 6 % Notional: EUR 5 000 000 Maturity: 5 years EBA instrument currency: EUR |
|
604. |
Short (i.e. Sell protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series.
Maturity: June Year T+4 EBA instrument currency: EUR Notional adj. to fully hedge CS01 of 603 with no re-hedging required |
|
605. |
Short (i.e. Sell protection) position in iTraxx Europe index on-the-run series.
Attachment point: 12 % Detachment point: 100 % Notional: EUR 5 000 000 Maturity: 5 years EBA instrument currency: EUR |
|
606. |
Long (i.e. Buy protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series.
Maturity: June Year T+4 EBA instrument currency: EUR Notional adj. to fully hedge CS01 of 605 with no re-hedging required |
|
607. |
Long (i.e. Buy protection) position in iTraxx Europe index on-the-run series.
Attachment point: 12 % Detachment point: 100 % Notional: EUR 5 000 000 Maturity: 5 years EBA instrument currency: EUR |
|
608. |
Short (i.e. Sell protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series.
Maturity: June Year T+4 EBA instrument currency: EUR Notional adj. to fully hedge CS01 of 607 with no re-hedging required |
|
609. |
Short (i.e. Sell protection) position in iTraxx Europe index on-the-run series.
Attachment point: 3 % Detachment point: 6 % Notional: EUR 5 000 000 Maturity: 5 years EBA instrument currency: EUR Recovery rate: 40 % fixed. |
|
610. |
Long (i.e. Buy protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series.
Maturity: June Year T+4 EBA instrument currency: EUR Notional adj. to fully hedge CS01 of 609 with no re-hedging required |
Section 3: Individual portfolios – Single instrument
Institutions shall provide the required risk measures, along with the Present Value, of the following individual portfolios:
|
Portfolio |
Combination of instruments: The first figure represents the instrument (as referred to in Section 2 of this Annex). The second figure represents the quantity of each instrument or number of contracts, as applicable. |
EBA portfolio currency |
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:
|
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) |
|
|
||||||||
|
0030 |
Instrument modelled for IRC (TRUE/FALSE) |
|
|
||||||||
|
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:
|
||||||||
|
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:
|
||||||||||||||||
|
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:
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:
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:
|
||||||||||||||||
|
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:
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:
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:
|
||||||||||||||
|
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:
|
||||||||||||||
|
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:
|
||||||||||||||
|
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:
|
||||||||||||||
|
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:
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:
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:
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:
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:
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:
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:
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:
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:
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:
|
||||||||
|
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:
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:
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:
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:
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:
|
||||||||
|
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:
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:
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:
|
||||||||||||||||
|
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:
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:
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:
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:
|
||||||||||||||
|
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:
|
||||||||||||||
|
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:
|
||||||||||||||
|
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:
‘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:
‘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:
‘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:
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
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:
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:
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:
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
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:
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:
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
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:
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:
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
0120 |
Attachment point (%) |
Articles 325aa and 325ad of Regulation (EU) No 575/2013 |
Where the reported exposure refers to a tranche, institutions shall report the attachment point of the tranche. The reported figure shall be expressed as a decimal with a minimum precision of four decimal places. |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
0130 |
Detachment point (%) |
Articles 325aa and 325ad of Regulation (EU) No 575/2013 |
Where the reported exposure refers to a tranche, institutions shall report the detachment point of the tranche. The reported figure shall be expressed as a decimal with a minimum precision of four decimal places. |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
0140-0170 |
Reporting currency results |
|
The values shall be reported referring to the institution’s reporting currency and shall be expressed with a minimum precision of two decimal places where applicable. |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
0140 |
Notional |
Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013 |
Where the risk class reported in column 0020 corresponds to ‘Instruments other than securitisation positions’, institutions shall report the notional amount of the instrument. The value shall correspond to the term Vnotional in Article 325w(1) and (2) of Regulation (EU) No 575/2013 or the term V in Article 325w(5) of that Regulation, depending on the type of exposure. The cell shall be left blank where none of those cases applies or where the institution does not explicitly calculate or use the amount to be reported in this column in order to estimate the Gross jump-to-default (JTD) amount. |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
0150 |
P&L + Adjustment |
Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013 |
Institutions shall report the sum of P&L and Adjustment for each exposure:
The cell shall be left blank where none of those cases applies or where the institution does not explicitly calculate or use the amount to be reported in this column in order to estimate the Gross JTD amount. |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
0160 |
Gross JTD amount |
Article 325v(1), point (c), Article 325w(1), (2) and (5), Article 325z(1) and Article 325ac(2) of Regulation (EU) No 575/2013 |
Institutions shall report the gross JTD amount for the specific exposure. |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
0170 |
Currency |
|
The reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation). |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
0180-0200 |
EBA portfolio currency results |
Sections 3 and 4 of Annex V to this Regulation and Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013 |
The values shall be reported following the instructions for column 0030 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation. |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
0180 |
Notional |
Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013 |
Where the risk class reported in column 0020 corresponds to ‘Instruments other than securitisation positions’, institutions shall report the notional amount of the instrument. The value shall correspond to the term Vnotional in Article 325w(1) and (2) of Regulation (EU) No 575/2013 or the term V in Article 325w(5) of that Regulation, depending on the type of exposure. The cell shall be left blank where none of those cases applies or where the institution does not explicitly calculate or use the amount to be reported in this column in order to estimate the Gross JTD amount. |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
0190 |
P&L + Adjustment |
Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013 |
Institutions shall report the sum of P&L and Adjustment for each exposure:
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:
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
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:
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:
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:
|
|
— |
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:
|
|
— |
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.
|
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 |
|
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|
|
|
|
|
|
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 |
|
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|
|
|
|
|
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 |
|
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|
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 |
|
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|
|
|
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|
|
|
Portfolio |
|
|
||
|
|
|
Integer |
|
||
|
|
|
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|
||
|
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 |
|
|
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|
|
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|
|
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)