Commission Implementing Regulation (EU) 2025/379 of 26 February 2025 amending the implementing technical standards laid down in Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions to be applied in the Union for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council
Data as of 2026-07-04 · Compiled from an official source version. Later amendments or repeals may not be reflected; the official text prevails. · Read the official text ↗
Implementing Regulation (EU) 2016/2070 is amended as follows: (1) Annex IV is replaced by the text in Annex I to this Regulation; (2) Annex V is replaced by the text in Annex II to this Regulation; (3) Annex VI is replaced by the text in Annex III to this Regulation; (4) Annex VII is replaced by the text in Annex IV to this Regulation; (5) Annex X is replaced by the text in Annex V to this Regulation;
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union .
ANNEX I ‘ANNEX IV RESULTS SUPERVISORY BENCHMARK PORTFOLIOS PART I: GENERAL INSTRUCTIONS PART II: TEMPLATE-RELATED INSTRUCTIONS C 101 – Details on exposures in Low Default Portfolios by counterparty C 102 – Details on exposures in Low Default Portfolios C 103 – Details on exposures in High Default Portfolio C 105.01 – Definition of internal models C 105.02 – Mapping of internal models to portfolios C 105.03 – Mapping of internal models to countries PART I: GENERAL INSTRUCTIONS 1. Information shall be submitted only for those counterparties and portfolios where an actual exposure exists at the reference date in the form of either an Original Exposure or an Exposure after CRM. Counterparties and portfolios for which no exposure exists at the reference date shall not be submitted. 2. Information shall be submitted only for those exposures for which the competent authority has approved an internal model for the calculation of risk weighted exposure amounts (RWA). In template C 101, counterparty codes ending with “STDA” shall not be reported. For the remaining counterparty codes of template C 101 of Annex I and for the benchmarking portfolios referred to in templates C 102 and C 103, exposures under the Standardised Approach and exposures for which the respective competent authority has permitted the temporary or permanent partial use of the Standardised Approach, shall be excluded. 3. The fields collecting non-applicable/ill-defined information shall either be left blank or the indication “NULL” shall be inserted; this also applies to exposure at default (EAD)-weighted quantities or parameters that cannot be calculated. Likewise, data fields whose reporting is not mandatory may be left blank or submitted as “NULL”. Zero values shall be reported only where the intention is to report a quantity or parameter of zero. Neither of the indications “blank” or “NULL” shall be used to report quantities or parameters that are zero. 4. Monetary amounts shall be reported in the same way as they are reported for calculating own funds requirements at a specific reference date in accordance with Commission Implementing Regulation (EU) 2021/451 ( 1 ) PART II: TEMPLATE-RELATED INSTRUCTIONS C 101 – Details on exposures in Low Default Portfolios by counterparty Specialised lending exposures shall be excluded. Column Label Legal reference Instructions 0010 Counterparty Code Template C 101, column 0010 of Annex I The counterparty code of template C 101, column 0010 of Annex I defining the counterparty included in the low default portfolio (“LDP”) samples portfolios shall be reported. This code shall be a row identifier and shall be unique for each row in the template. 0020 Exposure class Paragraph 76 of Annex II to Implementing Regulation (EU) 2021/451 Each counterparty shall be assigned to one of the following exposure classes: (a) Central banks and central governments; (b) Institutions; (c) Corporate – SME (small- and medium-sized enterprise); (d) Corporate – Specialised lending; (e) Corporate – Other; (f) Retail – Secured by real estate SME; (g) Retail – Secured by real estate non-SME; (h) Retail – Qualifying revolving; (i) Retail – Other SME; (j) Retail – Other non-SME; (k) Not applicable “Not applicable” shall be used where none of the answers in the list applies, which is the case where the exposures to a counterparty are classified in multiple exposure classes without one being clearly predominant. 0040 Rating The rank of the internal rating grade assigned to the counterparty within the institution’s applicable internal rating scale shall be reported. It shall follow the numerical order 1, 2, 3, etc., from lowest risk to highest risk excluding defaults with PD corresponding to 100%. Where an institution uses a continuous rating scale in accordance with Article 169(3) of Regulation (EU) No 575/2013 of the European Parliament and of the Council ( 2 ) , the rating grades as reported in column 0005 of template C 08.02 of Annex I to Implementing Regulation (EU) 2021/451 shall be used. Where exposures to a counterparty have been assigned to multiple rating grades in accordance with Article 172(1), point (e)(i) or (iii), of Regulation (EU) No 575/2013, the rating grade zero (0) shall be reported. 0050 Date of most recent rating of counterparty The date of the most recent rating of the counterparty shall be reported. 0060 PD Template C 08.01, column 0010 of Annex I to Implementing Regulation (EU) 2021/451 The PD assigned to the counterparty shall be reported. The PD shall be the PD used in the calculation of the RWA excluding the effect of measures in accordance with Article 458 of Regulation (EU) No 575/2013. The PD shall be expressed as a value between 0 and 1. 0070 Default status The default status of the counterparty shall be reported. It shall be one of the following in accordance with Article 178 of Regulation (EU) No 575/2013: (a) Defaulted; (b) Non-defaulted. 0080 Original exposure pre-conversion factors Template C 08.01, column 0020 of Annex I to Implementing Regulation (EU) 2021/451 The original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported. 0090 Exposure after CRM substitution effects pre-conversion factors Template C 08.01, column 0090 of Annex I to Implementing Regulation (EU) 2021/451 The amount to which conversion factors (“CCFs”) are applied in order to obtain the EAD (column 0110) shall be reported. This shall be done by taking into account credit risk mitigation techniques with substitution effects on the exposure. 0100 CCF Article 166(8) of Regulation (EU) No 575/2013 The weighted average of the CCFs shall be reported. The weights used shall be the amounts to which the CCFs are applied to obtain the EAD. For counterparties whose facilities exclusively correspond to items referred to in Article 166(8) of Regulation (EU) No 575/2013, the reported weighted average of the CCFs shall be based on all facilities. For counterparties whose facilities do not fall under the items referred to in Article 166(8) of Regulation (EU) No 575/2013, the CCF shall either be left blank or the indication “NULL” shall be inserted. For counterparties with facilities corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013 and facilities that do not fall under the items referred to in Article 166(8) of that Regulation, the reported weighted average of the CCF shall be based only on the facilities corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013. In particular, facilities corresponding to items referred to in Article 166(10) of that Regulation shall not be considered in the calculation. Where the institution applies own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, those CCFs shall be used to calculate the weighted average of the CCFs. Where the institution does not apply own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, the regulatory CCFs given in Article 166(8) of Regulation (EU) No 575/2013 shall be used. The CCF shall be expressed as a value between 0 and 1. 0110 EAD Template C 08.01, column 0110 of Annex I to Implementing Regulation (EU) 2021/451 The exposure value shall be reported. 0120 Collateral value Template C 08.01, columns 0150 to 0210 of Annex I to Implementing Regulation (EU) 2021/451 The market value of the collateral shall be reported. 0130 Hyp LGD senior unsecured without negative pledge Article 161 of Regulation (EU) No 575/2013 The hypothetical own estimates of loss given default (“LGD”) that would be applied by the institution to the exposures to the counterparty shall be reported in accordance with the following: (a) the scope of the exposures is the same as for the LGD value reported in column 0150; (b) the exposures are senior and unsecured; (c) no negative pledge clause is in place. A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party. 0140 Hyp LGD senior unsecured with negative pledge Article 161 of Regulation (EU) No 575/2013 The hypothetical own estimates of LGD that would be applied by the institution to the exposures to the counterparty shall be reported in accordance with the following: (a) the scope of the exposures is the same as for the LGD value reported in column 0150; (b) the exposures are senior and unsecured; (c) a negative pledge clause is in place. A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party. 0150 LGD Template C 08.01, columns 0230 and 0240 of Annex I to Implementing Regulation (EU) 2021/451 The EAD-weighted average of the LGD values of the exposures to the counterparty shall be reported. The LGDs shall be those used for the calculation of the RWA. Specifically, where the institution has obtained permission from its competent authority to use own estimates for LGDs, the LGDs shall be based on the institution’s own estimates, otherwise the LGDs shall be based on the regulatory LGD values taking into account the applicable risk mitigation. LGDs for large regulated financial sector entities and unregulated financial entities shall be included. The effect of measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013 shall be excluded. The LGD shall be expressed as a value between 0 and 1. 0160 Maturity Template C 08.01, column 0250 of Annex I to Implementing Regulation (EU) 2021/451 The EAD-weighted maturity for the exposures to the counterparty shall be reported. It shall be expressed in number of days. 0170 RWA Template C 08.01, column 0260 of Annex I to Implementing Regulation (EU) 2021/451 The RWA after supporting factors (SME and infrastructure supporting factors) shall be reported. The RWA shall not include the effect of potential measures under Article 458 of Regulation (EU) No 575/2013. C 102 – Details on exposures in Low Default Portfolios For portfolios referred to in Annex I with a collateralisation status other than “Not applicable”, the following information may be omitted where the approved model does not accommodate distinct LGD calculations for the secured and unsecured parts of an exposure: LGD (column 0130), LGD without supervisory measures (column 0131), LGD without margin of conservatism (MoC) and supervisory measures (column 0132), LGD without MoC, supervisory measures and downturn component (column 0133), Expected Loss Amount (column 0150) and RWA (column 0170). For portfolios with the regulatory approach defined as “Specialised lending slotting criteria”, the following information shall be omitted: PD (column 0060), PD without supervisory measures (column 0061), PD without MoC and supervisory measures (column 0062), LGD (column 0130), LGD without supervisory measures (column 0131), LGD without MoC and supervisory measures (column 0132), LGD without MoC, supervisory measures and downturn component (column 0133). Column Label Legal reference Instructions 0010 Portfolio ID Template C102, Column 0010 of Annex I The portfolio ID of column 0010 of template C.102 of Annex I defining the portfolio shall be reported. This ID shall be a row identifier and shall be unique for each row in the template. The assignment of exposures to portfolio IDs is not exclusive: Exposures or parts of exposures shall be reported under each portfolio IDs that is applicable. 0040 Number of obligors The number of obligors shall be reported. It shall be based on obligors that have a strictly positive value reported either in column 0080 or in column 0090. Where a full substitution is applied due to a credit risk mitigation technique, the original obligor shall be added to the “Number of obligors” of its original portfolio, and the guarantor shall be added to the “Number of obligors” of the guarantor’s portfolio. 0060 PD Template C08.01, column 0010 of Annex I to Implementing Regulation (EU) 2021/451 The PD shall be the PD used in the calculation of the RWA excluding the effect of potential measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013. For portfolios corresponding to an individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pools, the EAD-weighted average of the PDs assigned to the exposures included in the aggregation shall be provided. The PD shall be expressed as a value between 0 and 1. 0061 PD without supervisory measures The PD without supervisory measures shall be the PD based on the provisions laid down in Articles 179 and 180 of Regulation (EU) No 575/2013 that includes the MoC added by the institution but excludes measures (multipliers, add-ons, floors or similar measures that directly increase the PD) that have been imposed by the competent authorities. For portfolios corresponding to an individual grade or pool, the PD for that grade that includes the MoC but is net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pools, the EAD-weighted average of the PDs of the respective exposures that include the MoCs but are net of the supervisory measures, shall be provided. The PD without supervisory measures shall be expressed as a value between 0 and 1. In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply. 0062 PD without MoC and supervisory measures The PD without MoC and supervisory measures shall be the PD that includes neither MoCadded by the institution in accordance with Article 179(1), point (f), and Article 180(1), point (e), of Regulation (EU) No 575/2013 nor the effect of measures imposed by the competent authorities (multipliers, add-ons, floors or similar measures that directly increase the PD). For portfolios corresponding to an individual grade or pool, the PD for that grade that is net of the MoC and net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pool, the EAD-weighted average of the PDs of the respective exposures that are net of the MoCs and net of supervisory measures, shall be reported. The PD without MoC and supervisory measures shall be expressed as a value between 0 and 1. In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply. 0080 Original exposure pre-conversion factors Template C08.01, column 0020 of Annex I to Implementing Regulation (EU) 2021/451 The original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported. 0090 Exposure after CRM substitution effects pre-conversion factors Template C08.01, column 0090 of Annex I to Implementing Regulation (EU) 2021/451 The amount to which conversion factors (CCFs) are applied in order to obtain the EAD (column 0110) shall be reported. This shall be done by taking into account credit risk mitigation techniques with substitution effects on the exposure. 0100 CCF Article 166(8) of Regulation (EU) No 575/2013 The weighted average of the CCFs shall be reported. The weights used shall be the amounts to which the CCFs are applied to obtain the EAD. For portfolios that include facilities exclusively corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013, the reported weighted average of the CCFs shall be based on all facilities. For portfolios for which none of the included facilities fall under the items referred to in Article 166 of Regulation (EU) No 575/2013, the CCF shall either be left blank or the indication “NULL” shall be inserted. For portfolios that include facilities corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013 and facilities that do not fall under the items referred to in Article 166(8) of that Regulation, the reported weighted average of the CCF shall be based only on the facilities corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013. In particular, facilities corresponding to items referred to in Article 166(10) of that Regulation shall not be considered in the calculation. Where the institution applies own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, those CCFs shall be used to calculate the weighted average of the CCFs. Where the institution does not apply own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, the regulatory CCFs given in Article 166(8) of Regulation (EU) No 575/2013 shall be used. The CCF shall be expressed as a value between 0 and 1. 0110 EAD Template C08.01, column 0110 of Annex I to Implementing Regulation (EU) 2021/451 The exposure value shall be reported. 0120 Collateral value Template C08.01, columns 0150 to 0210 of Annex I to Implementing Regulation (EU) 2021/451 The market value of the collateral shall be reported. 0130 LGD Template C08.01, columns 0230 and 0240 of Annex I to Implementing Regulation (EU) 2021/451 The EAD-weighted average of the LGD values of the exposures in the respective portfolio shall be reported. The LGDs shall be those used for the calculation of the RWA. Specifically, where the institution has obtained permission from its competent authority to use own estimates for LGDs, the LGDs shall be based on the institutions’ own estimates, otherwise the LGDs shall be based on the regulatory LGD values taking into account the applicable risk mitigation. Exposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall be included. The effect of measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013 shall be excluded. The LGD shall be expressed as a value between 0 and 1. 0131 LGD without supervisory measures The LGD without supervisory measures shall be the LGD based on the provisions laid down in Articles 179 and 181 of Regulation (EU) No 575/2013 that includes the MoC added by the institution but excludes measures (multipliers, add-ons, floors or similar measures that directly increase the LGD) that have been imposed by the competent authorities. For portfolios corresponding to an individual grade or pool, the LGD for that grade that includes the MoC but is net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pools, the EAD-weighted average of the LGDs of the respective exposures that include the MoCs but are net of the supervisory measures, shall be provided. The LGD without supervisory measures shall be expressed as a value between 0 and 1. In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply. 0132 LGD without MoC and without supervisory measures The LGD without MoC and supervisory measures shall be the LGD that includes neither MoC added by the institution in line with Article 179(1), point (f), and Article 181 of Regulation (EU) No 575/2013 nor the effect of measures imposed by the competent authorities (multipliers, add-ons, floors or similar measures that directly increase the LGD). For portfolios corresponding to an individual grade or pool, the LGD for that grade that is net of the MoC and net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pool, the EAD-weighted average of the LGDs of the respective exposures that are net of the MoCs and net of supervisory measures shall be reported. The LGD without MoC and supervisory measures shall be expressed as a value between 0 and 1. In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply. 0133 LGD without MoC, supervisory measures and downturn component, The LGD without MoC, supervisory measures and downturn component shall be the LGD that includes neither the (MoC added by the institution in line with Article 179(1), point (f), and Article 181 of Regulation (EU) No 575/2013 nor the effect of measures imposed by the competent authorities (multipliers, add-ons, floors or similar measures that directly increase the LGD) nor the downturn component as required by Article 181(1), point (b), of that Regulation. For portfolios corresponding to an individual grade or pool, the LGD for that grade that is net of the MoC and net of the supervisory measures and net of the downturn component shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pool, the EAD-weighted average of the LGDs of the respective exposures that are net of the MoCs, net of supervisory measures and net of the downturn component, shall be reported. The LGD without MoC, supervisory measures and downturn component shall be expressed as a value between 0 and 1. In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply. 0140 Maturity Template C08.01, column 0250 of Annex I to Implementing Regulation (EU) 2021/451 The EAD-weighted maturity shall be reported. It shall be expressed in number of days. This information shall not be reported for exposures for which the maturity is not an element in the calculation of RWA. In particular, the maturity shall not be reported for portfolios that represent exposures of the exposure class “Retail”. 0150 Expected Loss amount Template C08.01, column 0280 of Annex I to Implementing Regulation (EU) 2021/451 The expected loss amount shall be reported. 0160 Provisions defaulted exposures Template C09.02, columns 0050, 0055 and 0060 of Annex I to Implementing Regulation (EU) 2021/451 The provisions for defaulted exposures shall be reported. These shall include all general and specific credit risk adjustments on exposures in default as referred to in Article 110 of Regulation (EU) No 575/2013. (One-off) Credit risk adjustments that an institution applies in connection with the changes in the implementation of the definition of default (DoD) shall be reported as recorded in the institution’s database. 0170 RWA Template C08.01, column 0260 of Annex I to Implementing Regulation (EU) 2021/451 The RWA after supporting factors (SME and infrastructure supporting factors) shall be reported. The RWA shall not include the effect of potential measures under Article 458 of Regulation (EU) No 575/2013. 0180 RWA Standardised Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013 RWA Standardised is the hypothetical RWA amount obtained by applying the standardised approach for credit risk to the exposures instead of the IRB approach. C 103 – Details on exposures in High Default Portfolio For portfolios referred to in Annex I with a collateralisation status different from “Not applicable”, the following information may be omitted where the approved model does not accommodate distinct LGD calculations for the secured and unsecured parts of an exposure: LGD (column 0130), LGD without supervisory measures (column 0131), LGD without MoC and supervisory measures (column 0132), LGD without MoC, supervisory measures and downturn component (column 0133), Expected Loss Amount (column 0150), RWA (column 0170), Loss rate latest year (column 0210) and Loss rate past 5 years (column 0220). Column Label Legal reference Instructions 0010 Portfolio ID The portfolio ID of template C 103, column 0010 of Annex I defining the portfolio shall be reported. This ID shall be a row identifier and shall be unique for each row in the template. The assignment of exposures to portfolio IDs is not exclusive: exposures or parts of exposures shall be reported under each portfolio ID that is applicable. 0040 Number of obligors The instructions for template C 102, column 0040 of Annex I shall apply. 0060 PD The instructions for template C 102, column 0060 of Annex I shall apply. 0061 PD without supervisory measures The instructions for template C 102, column 0061 of Annex I shall apply. 0062 PD without MoC and supervisory measures The instructions for template C 102, column 0062 of Annex I shall apply. 0080 Original exposure pre conversion factors The instructions for template C 102, column 0080 of Annex I shall apply. 0090 Exposure after CRM substitution effects pre conversion factors The instructions for template C 102, column 0090 of Annex I shall apply. 0100 CCF The instructions for template C 102, column 0100 of Annex I shall apply. 0110 EAD The instructions for template C 102, column 0110 of Annex I shall apply. 0120 Collateral value The instructions for template C 102, column 0120 of Annex I shall apply. 0130 LGD The instructions for template C 102, column 0130 of Annex I shall apply. 0131 LGD without supervisory measures The instructions for template C 102, column 0131 of Annex I shall apply. 0132 LGD without MoC and without supervisory measures The instructions for template C 102, column 0132 of Annex I shall apply. 0133 LGD without MoC, supervisory measures and downturn component The instructions for template C 102, column 0133 of Annex I shall apply. 0140 Maturity The instructions for template C 102, column 0140 of Annex I shall apply. 0150 Expected Loss amount The instructions for template C 102, column 0150 of Annex I shall apply. 0160 Provisions defaulted exposures The instructions for template C 102, column 0160 of Annex I shall apply. 0170 RWA The instructions for template C 102, column 0170 of Annex I shall apply. 0180 RWA Standardised The instructions for template C 102, column 0180 of Annex I shall apply. 0190 Default rate latest year The default rate for the most recent year shall be reported. For that purpose, the default rate shall be defined as the ratio between the following values: (a) the sum of the exposures (original exposure, column 0080, measured at the reference date minus one year) that were non-defaulted exactly one year before the reference date and defaulted between the reference date minus one year and the reference date; (b) the sum of the exposures (original exposure, column 0080, measured at the reference date minus one year) that were non-defaulted at the reference date minus one year. New exposures that were generated during the year preceding the reference date shall not be included. Exposures that defaulted and were cured again during the year preceding the reference date shall be included in both the numerator and the denominator. Multiple defaults of the same obligor shall be included only once. This information shall be reported for portfolio IDs relating to non-defaulted exposures only; it shall be expressed as a value between 0 and 1. Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used. 0200 Default rate past 5 years The weighted average of the default rates observed in the last five years preceding the reference date shall be reported. The default rate definition referred to in column 0190 shall apply. The weights to be used are the non-defaulted exposures used in the calculation of the default rate in accordance with column 0190. Where the institution is not required to calculate a default rate for the past five years preceding the reference date under Article 180(1), point (h), or Article 180(2), point (e), of Regulation (EU) No 575/2013, the institution shall develop a proxy using its longest history up to five years preceding the reference date and provide the documentation detailing the calculation to its competent authority. This information shall be reported for portfolio IDs relating to “non-defaulted” exposures only; it shall be expressed as a value between 0 and 1. Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used. 0210 Loss rate latest year The loss rate observed in the most recent year shall be reported for portfolio IDs relating to “non-defaulted” and “defaulted” exposures only. For non-defaulted portfolios, the loss rate shall be the sum of credit risk adjustments and write-offs applied, within the year preceding the reference date, to exposures that were non-defaulted exactly one year before the reference date and which defaulted during the year preceding the reference date, divided by the sum of the EAD, measured exactly one year before the reference date, of the exposures that were non-defaulted exactly one year before the reference date and which defaulted during the year preceding the reference date. The numerator of the loss rate shall incorporate all the credit risk adjustments and write-offs related to the exposures that defaulted within the year preceding the reference, including the credit risk adjustments applied before the default date. New exposures generated during the year preceding the reference date shall not be included. Exposures that defaulted and were cured again during the year preceding the reference date shall be included in the denominator of the loss rate and credit risk adjustments and write-offs on those exposures shall be considered in the numerator of the loss rate. Multiple defaults of the very same obligor shall be considered only once. For defaulted portfolios, the loss rate shall consider exposures that were in default exactly one year before the reference date. It shall be the sum of (a) credit risk adjustments to these exposures one year before the reference date; and (b) credit risk adjustments and write-offs applied within the year preceding the reference date, divided by the sum of the EAD, measured exactly one year before the reference date of the exposures under consideration. New defaults during the year preceding the reference date shall not be included. Exposures that cured again during the year preceding the reference date shall be included in the denominator of the loss rate and credit risk adjustments and write-offs on those exposures shall be included in the numerator of the loss rate. Multiple defaults of the same obligor shall be included only once. The loss rate shall be expressed as a value between 0 and 1. Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used. 0220 Loss rate past 5 years The EAD-weighted average of the loss rates observed in the last five years preceding the reference date shall be reported for portfolio IDs relating to “non-defaulted” and “defaulted” exposures only. The definition of loss rate in column 0210 shall apply. The loss rate past five years shall be based on the annual loss rates of the past five years, where these annual loss rates are defined in analogy to the definition of the loss rate of column 0210; in particular, the annual loss rates shall not include additional changes in credit risk adjustments and write offs that have occurred after the observation horizon (calendar year) of each annual loss rate. Where the institution is not required to use data for the past five years preceding the reference date under Article 181(2), last paragraph, of Regulation (EU) No 575/2013, the institution shall develop a proxy using its longest history up to five years preceding the reference date and provide the documentation detailing the calculation to its competent authority. The loss rate shall be expressed as a value between 0 and 1. Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used. 0250 RWA- Institutions shall calculate and report RWA- for portfolios that are referred to in Annex I, template 103 with the following portfolio IDs: CORP_ALL_0086_CT_****_**_***_ALL SMEC_ALL_0106_CT_****_**_ ***_ALL MORT_ALL_0094_CT_****_**_ ***_ALL SMOT_ALL_0106_CT_****_**_***_ALL RSMS_ALL_0106_CT_****_**_***_ALL RETO_ALL_0094_CT_****_**_***_ALL RQRR_ALL_0094_CT_****_**_***_ALL RWA- shall be the hypothetical RWA, after supporting factors, which results from the application of the PD- values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD- shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 0005 of template C 08.02 of Annex I to Commission Implementing Regulation (EU) 2021/451 shall be used (For instructions see template C 08.01, column 0010, and template C 08.02 of Annex II to that Regulation). For each obligor grade, shall be the smallest positive value satisfying the equation and where . Here, = the inverse function of the standard normal (cumulative) distribution; q = the confidence level set at 90%; DR 1 y = the case weighted default rate of the year preceding the reference date, i.e., the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date and which defaulted during the most recent year, divided by the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date; n = the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date. For each obligor, PD- shall be equal to , where shall be calculated in accordance with the formula set out in the fourth subparagraph for the obligor grade assigned to the obligor. 0260 RWA+ Institutions shall calculate and report RWA+ for the portfolios that are referred to in Annex I, template 103 with the following portfolio ID: CORP_ALL_0086_CT_****_**_***_ALL SMEC_ALL_0106_CT_****_**_***_ALL MORT_ALL_0094_CT_****_**_***_ALL SMOT_ALL_0106_CT_****_**_***_ALL RSMS_ALL_0106_CT_****_**_***_ALL RETO_ALL_0094_CT_****_**_***_ALL RQRR_ALL_0094_CT_****_**_***_ALL RWA+ shall be the hypothetical RWA, after supporting factors, which results from the application of the PD+ values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD+ shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 0005 of template C 08.02 of Annex I to Commission Implementing Regulation (EU) 2021/451 shall be used (For instructions see template C 08.01, column 0010, and template C 08.02 of Annex II to that Regulation). For each obligor grade, shall be the largest positive value satisfying the equation In this equation, = the inverse function of the standard normal (cumulative) distribution; q = the confidence level set at 90%; DR 1 y = the case weighted default rate of the year preceding the reference date, i.e., the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date and which defaulted during the most recent year, divided by the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date; n = the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date. For each obligor, PD+ shall be equal to , where shall be calculated in accordance with the formula set out in the fourth subparagraph for the obligor grade assigned to the obligor. 0270 RWA-- Institutions shall calculate and report RWA— for the portfolios that are referred to in Annex I, template 103 with the following portfolio Identifier (ID): CORP_ALL_0086_CT_****_**_***_ALL SMEC_ALL_0106_CT_****_**_***_ALL MORT_ALL_0094_CT_****_**_***_ALL SMOT_ALL_0106_CT_****_**_***_ALL RSMS_ALL_0106_CT_****_**_***_ALL RETO_ALL_0094_CT_****_**_***_ALL RQRR_ALL_0094_CT_****_**_***_ALL RWA-- shall be the hypothetical RWA, after supporting factors, which results from the application of the PD-- values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD-- shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 0005 of template C 08.02 of Annex I to Commission Implementing Regulation (EU) 2021/451 shall be used (For instructions see template C 08.01, column 0010, and template C 08.02 of Annex II to that Regulation). For each obligor grade, shall be the smallest positive value satisfying the equation and where Here, = the inverse function of the standard normal (cumulative) distribution; q = the confidence level set at 90%; DR 5 y = the default rate of the 5 latest years for the obligor grade, calculated as the simple average of five 1-year case-weighted default rates; n = the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date. For each obligor, PD-- shall be equal to , where shall be calculated in accordance with the formula set out in the fourth subparagraph for the obligor grade assigned to the obligor. 0280 RWA++ Institutions shall calculate and report RWA++ for the portfolios that are referred to in Annex I, template 103 with the following portfolio ID: CORP_ALL_0086_CT_****_**_***_ALL SMEC_ALL_0106_CT_****_**_***_ALL MORT_ALL_0094_CT_****_**_***_ALL SMOT_ALL_0106_CT_****_**_***_ALL RSMS_ALL_0106_CT_****_**_***_ALL RETO_ALL_0094_CT_****_**_***_ALL RQRR_ALL_0094_CT_****_**_***_ALL RWA++ shall be the hypothetical RWA, after supporting factors, which results from the application of the PD++ values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD++ shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 0005 of template C 08.02 of Annex I to Commission Implementing Regulation (EU) 2021/451 shall be used (For instructions see template C 08.01, column 0010, and template C 08.02 of Annex II to that Regulation). For each obligor grade, shall be the largest positive value satisfying the equation where, = the inverse function of the standard normal (cumulative) distribution; q = the confidence level set at 90%; DR 5 y = the default rate of the 5 latest years for the obligor grade, calculated as the simple average of five 1-year case-weighted default rates; n = the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date. For each obligor, PD++ shall be equal to , where shall be calculated in accordance with the formula set out in the fourth subparagraph for the obligor grade assigned to the obligor. C 105.01 – Definition of internal models Column Label Legal reference Instructions 0010 Internal model ID The institution shall report the internal model ID assigned by the competent authority. In case this is unavailable, the institution shall report the internal model ID assigned by itself. The internal model ID shall uniquely refer to an internal model approved by the competent authority and used for the calculation of RWA. It shall be a row identifier and shall be unique for each row in the template. 0020 Model name The model name assigned to the internal model by the reporting institution shall be reported. 0030 IRBA Risk parameter The IRB approach risk parameter shall be one of the following: (a) PD; (b) LGD; (c) CCF. For an internal model for Corporate – Specialised Lending exposures under Article 153(5) of Regulation (EU) No 575/2013 (“Specialised lending slotting criteria”), the field shall be left blank or “NULL” shall be inserted. 0040 EAD Template C08.01, column 0110 of Annex I to Implementing Regulation (EU) 2021/451 The aggregate exposure value of the exposures within the range of application of the rating model shall be reported. 0050 EAD weighted average default rate for calibration The EAD-weighted average of the annual default rates, where used in the calibration of the PD models, shall be reported. This information shall be completed only for PD models. The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported. 0060 Case weighted average default rate for calibration The simple average of the annual case-weighted default rates used in the calibration of the PD models shall be reported. This information shall be completed only for PD models. The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported. 0070 Long-run PD The central tendency used by the institution in the calibration of the models that incorporates any prudent adjustment to the simple case weighted average of the annual default rates used in the calibration of the PD models shall be reported. This information shall be completed only for PD models. 0080 Cure rate defaulted asset The cure rate defaulted asset shall be the percentage of defaulted outstanding that returns in “non-defaulted” status over a 12-month period. An institution that does not calculate cure rates for a given model shall calculate a proxy for cure rates, in accordance with the definition provided. The institution shall report the use of a proxy to the competent authority. That information shall be completed only for LGD models. 0090 Recovery rate not cured foreclosed assets The case-weighted average recovery rate for not cured defaults included in the time series used by the institution for the calibration of the LGD models on non-defaulted assets shall be reported. The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported. An institution that does not have a specific recovery rate for non-cured defaults due to an incomplete recovery procedure, shall calculate a proxy taking into account observed recoveries as well as the estimations of recoveries for incomplete workout . The institution shall report the use of a proxy to the competent authority. That information shall be completed only for LGD models. 0100 Recovery period length not cured foreclosed assets The case-weighted average length of the recovery period (from the start of the default status to the completion date of the recovery procedures) for the not cured defaults included in the time series used by the institution for the calibration of the LGD models on non-defaulted assets shall be reported. The case weighted average length shall be expressed in number of days. The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported. An institution that does not have a specific recovery period length for not cured defaults, due to an incomplete recovery procedure, shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority. That information shall be completed only for LGD models. 0110 Joint decision Article 20(2), point (a); of Regulation (EU) No 575/2013 The institution shall report whether or not a joint decision on prudential requirements exists between the consolidating and the host competent authority regarding the permission to use the IRB approach for the calculation of the prudential requirements for the exposures held by the subsidiaries of the institutions in the reported benchmarking portfolios. 0120 Consolidating supervisor Article 20 of Regulation (EU) No 575/2013 The country ISO code of the country of origin of the competent authority responsible for the consolidated supervision of the institution using an IRB approach shall be reported. 0130 RWA Template C08.01, Column 0260 of Annex I to Implementing Regulation (EU) 2021/451 The aggregate RWA after supporting factors (SME and infrastructure supporting factors) of the exposures within the range of application of the rating model shall be reported. 0140 RWA add-ons The RWA add-ons shall be a sub-position (“of which”) of the RWA (Template C105.01, column 0130) and shall include (a) the RWA that is added to the RWA resulting from the application of the model’s risk parameter(s) due to additional internal measures of conservatism directly applied on the RWA, if any; (b) the RWA that is added to the RWA resulting from the application of the model’s risk parameter(s) due to supervisory measures directly applied on the RWA, if any. The amounts under points (a) and (b) shall not include measures that are already reflected in the PD (templates C102, column 0060 and C103, column 0060 of), CCF (column 0100 of templates C102 and C103) or LGD (templates C102 and C103, column 0130), but shall be restricted to measures that are directly applied on the RWA and, if relevant, in addition to the margins of conservatism and supervisory measures (multipliers, add-ons, floors or similar measures) that increase the risk parameters. The RWA add-ons shall not include the effect of potential measures under Article 458 of Regulation (EU) No 575/2013. In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply. C 105.02 – Mapping of internal models to portfolios Column Label Legal reference Instructions 0010 Portfolio ID Templates C102, column 0010 and C103, column 0010 The portfolio ID uniquely identifying the portfolio in accordance with templates C102 and C103 of Annex I shall be reported. Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in this template. 0020 Internal model ID Template C 105.01, column 0010 The internal model ID assigned by the reporting institution shall be reported. Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in template C105.02. 0030 EAD Template C08.01, column 0110 of Annex I to Implementing Regulation (EU) 2021/451 The aggregate exposure value of the exposures that are included in the portfolio defined by column 0010 and within the range of application of the rating model defined by column 0020 shall be reported. Where all exposures of a given portfolio are treated with one specific model, the exposure value shall be identical to the amount reported for the same portfolio in column 0110 of templates C 102 or C 103, as applicable. 0040 RWA Template C08.01, column 0260 of Annex I to Implementing Regulation (EU) 2021/451 The aggregate RWA after supporting factors for the exposures that are included in the portfolio defined by column 0010 and within the range of application of the rating model defined by column 0020 shall be reported. Where all exposures of a given portfolio are treated with one specific model, the RWA shall be identical to the amount reported for the same portfolio in column 0170 of templates C 102 or C 103, as applicable. C 105.03 – Mapping of internal models to countries Column Label Legal reference Instructions 0005 Row ID This code shall be a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc. 0010 Internal model ID Template C105.01, column 0010 The internal model ID assigned by the reporting institution shall be reported. Where one internal model ID is associated with several countries, separate rows shall be reported for each combination of “Internal model ID” and “Location of institution”. Columns 0010 and 0020 are a composite row identifier and their combination shall be unique for each row in the table. 0020 Location of institution Article 20 of Regulation (EU) No 575/2013 The country ISO code of the legal residence of each subsidiary where the IRB exposures reported for each benchmarking portfolio are booked shall be reported, irrespective of the existence of any permission granted by the host supervisor to apply an IRB approach. ’ ( 1 ) Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 ( OJ L 97, 19.3.2021, p. 1 , ELI: http://data.europa.eu/eli/reg_impl/2021/451/oj ). ( 2 ) Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 ( OJ L 176, 27.6.2013, p. 1 , ELI: http://data.europa.eu/eli/reg/2013/575/oj ).
ANNEX II ‘ANNEX V MARKET RISK BENCHMARK INSTRUMENTS AND PORTFOLIOS Section 1: Instructions Section 2: Instruments Section 3: Individual portfolios – Single instrument Section 4: Individual portfolios – Multi instruments Section 5: Aggregated Portfolios Section 6: Additional specifications for instruments Section 7: SBM validation portfolios Section 1: Instructions (a) For the purposes of this Annex, the following shall apply: (i) “Booking date” means the date and time on which institutions book the transactions for the purposes of the benchmarking exercise; (ii) “Initial Market Valuation (IMV)” means the marked-to-market value of the instruments referred to in Section 2 of this Annex, at the IMV reference date and time; (iii) “IMV reference date” means the date and time with reference to which institutions shall determine the IMV of the transactions in the benchmarking portfolio; (iv) “IMV remittance date” means the date by which institutions shall submit the results of the IMV of the transactions in the benchmarking portfolio; (v) “VaR” means the Value at Risk; (vi) “sVaR” means the Stressed Value at Risk; (vii) “IRC” means the Incremental Risk Charge; (viii) “CTP” means the Correlation Trading Portfolio; (ix) “APR” means the All Price Risk calculated in accordance with Article 377(2) of Regulation (EU) No 575/2013; (x) “Risk Measures” (RM) means the value of the VaR, sVaR, and when required IRC and APR for the portfolios, as set out in Sections 3, 4 and 5 of this Annex, between the RM initial and RM final reference date; (xi) “RM initial reference date” means the date on which institutions shall start to compute the RM values; (xii) “RM final reference date” means the date on which institutions shall finish to compute the RM values; (xiii) “RM remittance date” means the date by which institutions shall submit the results of the RM of the transactions in the benchmarking portfolio; (xiv) “Present Value (PV)” means the marked-to-market value of the portfolios, set out in Section 3 of this Annex, at the RM final reference date; (xv) “ATM” means “At The Money” in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative; (xvi) “OTM” means “Out of The Money” in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative; (xvii) “ITM” means “In The Money” in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative; (xviii) “long” means “bought” and “short” means “sold”; (xix) “CDS” means Credit Default Swaps; (xx) for CDS, “long” means “bought protection” and “short” means “sold protection”; (xxi) “MLN” means millions; (xxii) “OTC” means Over-The-Counter; (xxiii) “ASA” means the alternative standardised approach as referred to in Part Three, Title IV, Chapter 1a, Section 1 of Regulation (EU) No 575/2013; (xxiv) “SBM” means the Sensitivities-Based Method as referred to in Part Three, Title IV, Chapter 1a, Section 2 of Regulation (EU) No 575/2013; (xxv) “DRC” means the Default Risk requirement as referred to in Part Three, Title IV, Chapter 1a, Section 5 of Regulation (EU) No 575/2013; (xxvi) “RRAO” means the Residual Risk Add-On as referred to in Part Three, Title IV, Chapter 1a, Section 4 of Regulation (EU) No 575/2013. (b) The following dates shall apply for the “benchmarking” exercise: (i) the booking date shall be 30 January 2025; (ii) the IMV (and initial SBM) reference date shall be 6 February 2025 (at 5:30 pm CET); (iii) the IMV (and initial SBM, and SBM validation) remittance date shall be 28 February 2025; (iv) the RM initial reference date shall be 2 June 2025; (v) the RM (and final ASA) final reference date shall be 13 June 2025; (vi) the RM (and final ASA) remittance date shall be 18 July 2025. (c) Unless explicitly specified otherwise in Section 2 of this Annex, all positions shall be booked on the booking date referred to in point (b)(i) of this Section. Once positions have been booked, each portfolio shall age for the duration of the benchmarking exercise and shall be calculated under the assumption that the institution does not take any action to manage the portfolio in any way during the entire period of the benchmarking exercise. Unless explicitly stated otherwise in the specifications for a particular instrument, strike prices for option positions shall be determined relative to prices for the underlying as observed at market close on the booking date. (d) For the purposes of the initial market valuation, the valuation of each instrument shall be submitted to the institution’s competent authority by the IMV remittance date. By that date, the institution shall submit an explanatory note accompanying the results, in accordance with point (e). IMV shall be provided in accordance with the institution’s front office valuation, where possible. In case IMVs are not provided by the institution’s front office, the institution shall specify in the explanatory note who is the IMV data source provider. (e) The explanatory note that institutions are to submit together with the IMV shall include all of the following for each instrument: (i) the risk factors used to calculate the instrument’s IMV; (ii) the pricing model used to calculate the instrument’s IMV and a description of this pricing model; (iii) the risk factors included in the VaR model for the instrument; (iv) the risk factors included in the VaR model that are also valuation inputs for the IMV of the instrument; (v) the VaR model specifics in relation to the instrument; (vi) available reference data for the instrument in the institution’s own format; (vii) the aspects referred to in points (h), (i), (k), (m), (n), (o), (v), (w), (y), (gg) and (kk) of this Section. (f) For the purposes of point (e), sub point (v), all of the following shall be reported: (i) concise VaR model descriptions; (ii) revaluation methods applied; (iii) functional form applied for modelling of returns (such as absolute, relatives, other methods; (iv) qualitative information on the time series used to calibrate the VaR model in relation to the instrument (such as source, methodology for normalisation, buckets applied, other information deemed relevant by the institutions to explain the results provided). (g) The explanatory note referred to in point (d) shall be updated with each resubmission of any value, reflecting the changes between submissions. The explanatory note shall contain one section which lists all submission dates and the reasons for resubmissions. (h) The risks of the positions shall be calculated without taking into account the funding costs. Where applicable, institutions shall use the overnight rate of the instrument currency as the discount rate. Collateral agreement shall be considered in place for the derivatives instruments referred to in Section 2 of this Annex. Where that is not possible, reasons shall be provided in the explanatory note referred to in point (d). (i) Counterparty credit risk and credit valuation adjustment (“CVA”) risk shall not be taken into account in the valuation of the risks of the portfolios. Where that is not possible, reasons shall be provided in the explanatory note referred to in point (d) of this Section. Institutions shall report cases where other typologies of Valuation Adjustments are included in the IMV and explain for each financial instrument the methodology and the impact in the explanatory note referred to in point (d) of this Section. (j) For transactions that include long positions in CDS, institutions shall assume an immediate up-front fee is paid to enter the position as per the market standards and conventions. The maturity date for all CDS shall correspond to conventional quarterly termination dates. (k) Additional specifications needed in order to carry out pricing calculations required for CDS positions shall be consistent with commonly used market standards and conventions and shall be explained in the explanatory note referred to in point (d) of this Section. (l) The maturity date shall ensure that the transaction is closest to the term-to-maturity specified in accordance with market standards and conventions. (m) With respect to the details of instruments not referred to in Section 2 of this Annex, institutions shall provide the assumptions that have been used, including the day count convention and the choice for a tradable and liquid instrument, where permitted, along with the results in the explanatory note referred to in point (d) of this Section. (n) Institutions that believe that assumptions in addition to those specified in this Section are relevant to the interpretation of the results of its exercise, including close of business timing, coupon rolls, mapping against indices and others, shall submit a description of those assumptions in the explanatory note referred to in point (d) of this Section. (o) The explanatory note referred to in point (d) of this Section shall include explanations for risks not captured by the model for the instruments referred to in Section 2 of this Annex. (p) All options shall be treated as if they are traded OTC, unless explicitly specified otherwise. (q) The standard timing conventions for OTC options shall be followed. The time to maturity for an “n-month” option shall be in n months. Where options expire on a non-trading day, institutions shall adjust the expiration date per business date, in accordance with market standards and conventions. (r) All OTC options shall be treated as follows: (i) as American for single name equities and commodities; (ii) as European for equity indices, foreign exchange and swaptions. (s) All OTC options shall be considered “naked” so that the premium shall be excluded from the initial market valuation. (t) Regarding the CTPs, institutions that have permission to use the APR model for CTPs shall provide details about their most relevant assumptions, market standards and conventions regarding the CTP instruments referred to in Section 2 of this Annex, including the hedge ratios they have calculated to make the CTP instruments CS01 neutral at the booking date. (u) The IMV for each instrument shall be provided in the EBA instrument currency specified in Section 2 of this Annex for that instrument. (v) For portfolios composed of one or more instruments denominated in EBA instrument currencies that are different from the EBA portfolio currency, the result shall be converted into the reported EBA portfolio currency using the ECB spot exchange rate of the relevant date. The converted result shall be explained in the explanatory note referred to in point (d) of this Section. (w) When booking positions, institutions shall follow appropriate market conventions, unless otherwise specified in these instructions in the Instruments descriptions (Section 2 of this Annex). (x) Where an instrument, or the underlying instrument for a derivative, is subject to a corporate action that affects the benchmarking exercise, such as a call from the issuer, a default or similar actions, institutions shall exclude such instrument from the exercise together with any related CDS or option. (y) With regard to an index series, “on-the-run” shall refer to the most liquid and tradable series of that index available in the market. Institutions shall explain their choice of “on-the-run” series along with the related results in the accompanying explanatory note referred to in point (d) of this Section. (z) Where not specified otherwise, institutions shall apply the EU Benchmarks Regulation for the interest rate in order to book the instruments specified in Section 2 of this Annex. Institutions shall specify the rate applied, apart from the ones specified in Section 2 of this Annex, in the explanatory note referred to in point (d) of these instructions. (aa) Risk measures for the portfolios referred to in Sections 3, 4 and 5, together with the Present Value, shall be computed from the “RM initial reference date” to the “RM final reference date”. FRTB ASA Risk measures (SBM, DRC and RRAO) shall be computed for the “RM final reference date”. Institutions shall submit the results of those calculations to their competent authority by RM remittance date. IMV and SBM shall be reported for each instrument. Risk measures, SBM, DRC, RRAO and Present Value, where applicable, shall be reported for each portfolio, both individual and aggregated. SBM, DRC and RRAO, where applicable, shall be reported at least for the same portfolios for which risk measures are reported. (bb) For the portfolios referred to in Section 7, institutions shall report SBM results and submit them in line with the reporting dates of the IMV submission. (cc) Only institutions which have been granted permission to model specific risk of debt instruments shall report credit spread portfolios. For interest rate portfolios which include risk as part of certain instruments, individual and aggregated portfolios shall be modelled by institutions which have been granted the permission to model the general interest risk as well as institutions which have been granted the permission to model the general and the specific interest risk. (dd) The results for both individual and the aggregated portfolios shall be submitted only where the results of the instruments that are part of them are also being submitted. (ee) In Section 2 of this Annex (Instruments), “Year T” shall mean “2025” and Year T + X shall mean 2025 + X, with X as specified in Section 2. (ff) In Section 2 of this Annex (Instruments), institutions shall determine the day of expiry/maturity in accordance with the following instructions: (i) Where the date is specified, that specific date shall be used; (ii) Where no date is specified, market convention, where available, shall be used. If for example there is a market convention that the day of expiry/maturity is the 3rd Friday of the month, then “June Year T” shall mean the 3rd Friday of the month of the year T; (iii) At the end of the month, where it is specified “End of”, it shall mean the last calendar day in the month; (iv) For a fix period of time following the “booking date”, if the period is defined as a number of days, it is the last day of the period. If the period is defined in weeks, months or years, it is the same day of the following week, month or year with respect to the booking date, or, if the last month or year of the period is shorter, the last day of that month or year; if the “booking date + x period” is a holiday day, then select the following working day; (v) In case it is not specified otherwise the following assumptions shall be used: Day count convention: Act/360, Holiday calendar: Target2. (gg) In Section 2 of this Annex (Instruments), for all CDS, unless explicitly specified otherwise, the following requirements shall apply: (i) Coupon frequency: Quarterly; (ii) Coupon(bps): 100; (iii) Day count: ACT/360; (iv) ISDA Definitions year: 2014; (v) Restructuring clause: Modified-Modified Restructuring (MMR); (vi) Maturity: December Year T+4; (vii) Debt type: Senior; (viii) Tenor: 5 Year; (ix) Effective date as booking date; (x) The used discount curve and recovery rate shall be indicated in the explanatory note referred to in point (d) of this Annex. (hh) The IMV of bond instruments shall include accrued interest. (ii) Institutions shall provide the information related to the time of valuation of the PV mentioning the time in the explanatory note referred to in point (d) of this Section. Where possible, valuation of the PV shall be computed at close of business day. (jj) The risk measures of the portfolios shall be calculated in the same currency of the portfolio currency, not including any FX Risk, also related to the reporting currency of the institutions. The FX Risk shall be considered only when intrinsically included in the instruments. Where both reporting and portfolio currency results are reported as part of the exercise, for the ASA figures, results calculated in the reporting currency of the institution shall be translated into the EBA portfolio currency by spot conversion using the ECB spot exchange rate associated with the date of the calculation. The translation into the EBA portfolio currency does not imply a change in the FX risk factors. (kk) Where Article 325q(7) of Regulation (EU) No 575/2013 (“base currency approach”) applies, when performing SBM calculations and reporting SBM sensitivities, institutions shall consider the FX risk factors resulting from the application of the base currency approach. The reported values shall not be expressed in the chosen base currency but rather in the institutions’ reporting currency by applying spot conversion using the ECB spot exchange rate associated with relevant date. Section 2: Instruments Institutions shall provide IMV, in accordance with the instructions laid down in Section 1 of this Annex, for the following financial instruments, where Institutions shall provide risk measures and the Present Value of the portfolios specified in Section 3 and Section 4: EQUITY 101. Long EURO STOXX 50 index (Ticker: FESX) Futures. Notional: equivalent to the value of the index times 1 000 EUR Exchange: Eurex Expiry date: June Year T EBA instrument currency: EUR 102. Long 10 000 BAYER (Ticker: BAYN GR) shares. Exchange: Xetra EBA instrument currency: EUR 103. Short Futures BAYER (Ticker: BAYN GR). Notional: equivalent to the value of 10 000 shares of the underlying asset Exchange: Eurex Expiry date: June Year T EBA instrument currency: EUR 104. Short Futures, STELLANTIS (Ticker: STLA FP). Notional: equivalent to the value of 10 000 shares of the underlying asset Exchange: Euronext Expiry date: June Year T EBA instrument currency: EUR 105. Short Futures, ALLIANZ (Ticker: ALV GR). Notional: equivalent to the value of 10 000 shares of the underlying asset Exchange: Eurex Expiry date: June Year T EBA instrument currency: EUR 106. Short Futures BARCLAYS (Ticker: BARC LN). Notional: equivalent to the value of 10 000 shares of the underlying asset Exchange: Eurex Expiry date: June Year T EBA instrument currency: GBP 107. Short Futures DEUTSCHE BANK (Ticker: DBK GR). Notional: equivalent to the value of 10 000 shares of the underlying asset Exchange: Eurex Expiry date: June Year T EBA instrument currency: EUR 108. Short Futures CRÉDIT AGRICOLE (Ticker: ACA FP). Notional: equivalent to the value of 10 000 shares of the underlying asset Exchange: Euronext Expiry date: June Year T EBA instrument currency: EUR 109. Long Call Options. Underlying BAYER (Ticker: BAYN GR), ATM (1 contract = 100 shares). Notional: equivalent to the value of 10 000 shares of the underlying asset Expiry date: June Year T EBA instrument currency: EUR 110. Short Call Options. Underlying BAYER (Ticker: BAYN GR), ATM (1 contract = 100 shares). Notional: equivalent to the value of 10 000 shares of the underlying asset Expiry date: December Year T EBA instrument currency: EUR 111. Long Call Options. Underlying PFIZER (Ticker PFE US) 10% OTM, (1 contract = 100 shares). Notional: equivalent to the value of 10 000 shares of the underlying asset Expiry date: June Year T EBA instrument currency: USD 112. Long Put Options. Underlying PFIZER (Ticker PFE US) 10% OTM, (1 contract = 100 shares). Notional: equivalent to value of 10 000 shares of the underlying asset Expiry date: June Year T EBA instrument currency: USD 113. Long Call Options. Underlying BAYER (Ticker: BAYN GR), 10% OTM (1 contract = 100 shares). Notional: equivalent to the value of 10 000 shares of the underlying asset Expiry date: December Year T EBA instrument currency: EUR 114. Short Call Options. Underlying BAYER (Ticker: BAYN GR), 10% OTM (1 contract = 100 shares). Notional: equivalent to the value of 10 000 shares of the underlying asset Expiry date: June Year T EBA instrument currency: EUR 115. Long Call Options. Underlying AVIVA (Ticker: AV/LN), 10% OTM (1 contract = 100 shares). Notional: equivalent to the value of 10 000 shares of the underlying asset Expiry date: December Year T EBA instrument currency: GBP 116. Long Put Options. Underlying AVIVA (Ticker: AV/LN), 10% OTM (1 contract = 100 shares). Notional: equivalent to the value of 10 000 shares of the underlying asset Expiry date: December Year T EBA instrument currency: GBP 117. Short Futures NIKKEI 225 (Ticker NKY). Notional: equivalent to the value of the index times 20 000 JPY Exchange: CME Expiry date: June Year T EBA instrument currency: JPY 118. Auto-callable Equity product. Long position Booking on “Booking date” Notional amount (“Capital”): EUR 1 000 000 Underlying: Index EURO STOXX 50 (Ticker: SX5E) EBA instrument currency: EUR Maturity: 5 years Annual Pay-out and annual observation (“Booking date + 1 year”, “Booking date + 2 years”, “Booking date + 3 years”, “Booking date + 4 years”, “Booking date + 5 years”). Pay-out occurs 10 days after reference date. Coupon: 6% Autocall level (“Initial value”): End of day Booking date + 1 month Barrier coupon payment 60% of autocall level Protection barrier: 55% of autocall level — Capital not guaranteed if the index is below the protection barrier (capital returned on year 5 will be pro-rata where the level is below the protection barrier: for instance, if the SX5E = 40% of its initial level then the capital returned is 40%); — If SX5E ≥ 60% (barrier coupon) of initial value at the end of any year, then the coupon paid out is 6%; — If SX5E ≥ 100% of initial value at the end of any year, then the product is called and the pay-out is the coupon plus the capital (100%); — If SX5E < 60% (barrier coupon) of initial value at the end of any year, then no coupon is paid; — If SX5E < 55% (protection barrier) of initial value at the end of year 5, then the capital is only paid pro-rata. Else if SX5E>= 55% (protection barrier) of initial value at the end of year 5, then the capital is fully paid. 119. Long Call Options. Underlying EURO STOXX 50 index (Ticker: SX5E), ATM. Notional: equivalent to the value of the index times 1 000 EUR Expiry date: June Year T EBA instrument currency: EUR 120. Long Call Options. Underlying EURO STOXX 600 index (Ticker: SXXP), ATM. Notional: equivalent to the value of the index times 10 000 EUR Expiry date: June Year T EBA instrument currency: EUR 121. Long Call Options. Underlying VIX (CBOE), ATM. Notional: equivalent to the value of the index times 100 000 USD Expiry date: June Year T EBA instrument currency: USD IR 201. 5-year IRS EUR – Receive fixed rate and pay floating rate. Fixed leg: receive annually Floating rate: 6-month EURIBOR, pay semi-annually. Daycount: ACT/360 Notional: EUR 10 000 000 Roll convention and calendar: standard Effective date as booking date (i.e. the rates to be used shall be those at the market close as of the booking date) Maturity: September Year T+4. EBA instrument currency: EUR 202. Two-year EUR swaption on 5-year IRS EUR – pay fixed rate and receive floating rate. Notional: EUR 10 000 000. The institution is the seller of the option on the swap. The counterparty of the institution buys the right to enter a swap with the institution; if the counterparty exercises its right, the counterparty shall receive the fixed rate while the institution shall receive the floating rate. Swaption with maturity of two years (Booking date + 2 years) on IRS defined as follow: Fixed leg - pay annually; Floating rate: 6-month EURIBOR, receive semi-annually; Notional: EUR 10 000 000; Roll convention and calendar: standard; Effective date of the underlying swap: Booking date + 2 years. Maturity of the underlying swap: Booking date + 7 years Premium paid at the booking date (Booking date). Cash settled The strike price is based on the ATM rate of the forward starting swap defined in this instrument EBA instrument currency: EUR 203. 5-year IRS USD. Receive fixed rate and pay floating rate. Fixed rate: receive annually Floating rate: 3-month USD SOFR rate, pay quarterly Notional: USD 1 000 000 Roll convention and calendar: standard Effective date as booking date (i.e. the rates to be used shall be those at the market close as of the booking date) Maturity date: September Year T+4. EBA instrument currency: USD 204. 2-year IRS GBP. Receive fixed rate and pay floating rate. Fixed rate: receive annually Floating rate: SONIA (overnight) rate compounded and paid quarterly. Daycount: ACT/365 Notional: GBP 10 000 000 Roll convention and calendar: standard Effective date as booking date (i.e. the rates to be used shall be those at the market close as of the booking date) Maturity: Booking date + 2 years EBA instrument currency GBP 205. Collared 10y floating rate note sold by UBS. Notional (Principal) Amount: USD 1 000 000. Floating Rate Notes (the “Notes”) are senior unsecured obligations of UBS AG (“UBS”). EBA instrument currency USD — The Notes shall bear interest at a per annum rate equal to USD 3-Month SOFR plus 1.5% per annum (the “Floating Interest Rate”), subject to a maximum interest rate of 7.5% per annum (the “Interest Rate Cap”) and a minimum interest rate of 2.5% per annum (the “Interest Rate Floor”). — Any payment on the Notes, including interest and principal at maturity, shall be subject to the creditworthiness of UBS AG. Institutions are asked to use an appropriate discounting curve, motivating that in the explanatory note. — Income: The Notes will pay interest quarterly at a rate equal to the Floating Interest Rate, provided that if on any Coupon Determination Date (i) the Floating Interest Rate is less than the Interest Rate Floor, then the applicable interest rate for the related Interest Period will be equal to the Interest Rate Floor; or (ii) the Floating Interest Rate is greater than the Interest Rate Cap, then the applicable interest rate for the related Interest Period will be equal to the Interest Rate Cap. Interest Payment Amount The amount of interest to be paid on the Notes for an Interest Period shall be equal to the product of (a) the principal amount of the Notes; (b) the Applicable Interest Rate for that Interest Period; and (c) a fraction, the numerator of which is the number of days in the Interest Period (calculated on the basis of a 360-day year of twelve 30-day months) and the denominator of which is 360. Trade and Settlement Date “Booking date” Interest Payment Dates Quarterly, on the Booking date + 3 months, Booking date + 6 months, Booking date + 9 months and Booking date + 1 year, commencing on Booking date + 3 months, during the term of the Notes (subject to adjustments, as described herein). Maturity Date Currency Booking date + 10 years USD Day count Basis 30/360 Business Day Convention Following Unadjusted Coupon Determination Date For each Interest Period, the second London Banking day immediately preceding the relevant Interest Date. “London Banking Day” means any day on which commercial banks are open for general business (including dealings in foreign exchange and foreign currency deposits) in London and on which dealings in U.S. dollars are transacted in the London interbank market. 206. Long GERMANY GOVT (Inflation) EUR 1 000 000 (ISIN DE0001030583). Maturity: 15 April 2033 EBA instrument currency: EUR 207. Short GERMANY GOVT EUR 1 000 000 (ISIN DE0001030708). Maturity: 15 August 2030 EBA instrument currency: EUR 208. Long ITALY GOVT (Inflation) EUR 1 000 000 (ISIN IT0005138828). Maturity: 15 September 2032 EBA instrument currency: EUR 209. Long ITALY GOVT EUR 1 000 000 (ISIN IT0005340929). Maturity: 1 December 2028 EBA instrument currency: EUR 210. Long SPAIN GOVT EUR 1 000 000 (ISIN ES00000127A2). Maturity: 30 July 2030 EBA instrument currency: EUR 211. Short FRANCE GOVT EUR 1 000 000 (ISIN FR0012993103). Maturity: 25 May 2031 EBA instrument currency: EUR 212. Short GERMANY GOVT EUR 1 000 000 (ISIN DE0001135176). Maturity: 4 January 2031 EBA instrument currency: EUR 213. Long UNITED KINGDOM GOVT GBP 1 000 000 (ISIN GB0004893086). Maturity: 7 June 2032 EBA instrument currency: GBP 214. Long PORTUGAL GOVT EUR 1 000 000 (ISIN PTOTEXOE0024). Maturity: 15 June 2029 EBA instrument currency: EUR 215. Short UNITED STATES GOVT USD 1 000 000 (ISIN US91282CAV37). Maturity: 15 November 2030 EBA instrument currency USD 216. Long BRAZIL GOVT (callable) 1 000 000 USD (ISIN US105756BZ27). Maturity: 13 January 2028 EBA instrument currency: USD 217. Long MEXICO GOVT (callable) 1 000 000 USD (ISIN US91087BAT70). Maturity: 19 May 2033 EBA instrument currency USD 218. 10-year IRS EURO – Receive floating rate and pay fixed rate. Fixed leg: pay annually Floating rate: 3-month EURIBOR, receive quarterly. Daycount: ACT/360 Notional: EUR 10 000 000 Roll convention and calendar: standard Effective date as the booking date (i.e. rates to be used are those at the market close on booking date) Maturity: Booking date + 10 years EBA instrument currency: EUR 219. 5-year IRS EURO – Receive floating rate and pay fixed rate. Fixed leg: pay annually Floating rate: 6-month EURIBOR, receive every 6 months. Daycount: ACT/360 Notional: EUR 10 000 000 Roll convention and calendar: standard Effective date as the booking date (i.e. rates to be used are those at the market close on booking date) Maturity: Booking date + 5 years EBA instrument currency: EUR 220. 5-year Mark to Market (MtM) Cross Currency EUR/USD SWAP. Receive USD and pay EUR. EUR: 3-month ESTER, pay quarterly compounded with a payment lag of 2 days. Daycount: ACT/360 USD: 3-month SOFR, receive quarterly compounded with a payment lag of 2 days. Daycount: ACT/360 Leg 1 – USD: Notional EUR 10 000 000 equivalent adjusted on a quarterly basis Leg 2 – EUR: Notional EUR 10 000 000 Roll convention and calendar: standard Effective date as booking date + 6 months Maturity: Booking date + 5.5 years EBA instrument currency: EUR See also Section 6 of this Annex – Instrument additional specifications 221. 10-year IRS EURO – Receive ESTER and pay EURIBOR. ESTER leg: receive annually. Daycount: ACT/360 EURIBOR leg: 3-month EURIBOR + Basis, pay quarterly. Daycount: ACT/360 Notional: EUR 10 000 000 Roll convention and calendar: standard Effective date as booking date (i.e. the rates to be used shall be those at the market close as of the booking date) Maturity: September Year T + 9 years EBA instrument currency: EUR 222. Long ITALY GOVT (Inflation) EUR 1 000 000 (ISIN IT0005387052). Maturity: 15 May 2030 EBA instrument currency: EUR 223. 5-year Zero Coupon Inflation swap EUR – Receive Inflation indexed return and pay fixed rate (r). Inflation Index: CPI (HICPxT) Fixed leg (Pay fixed): Rec Inflation indexed return Notional: EUR 10 000 000 Base fixing date: June Year T-1 Final Fixing: August Year T+4 Maturity: September Year T+4 EBA instrument currency: EUR 224. Two-year EUR swaption on 5-year IRS EUR – receive fixed rate and pay floating rate. Notional: EUR 10 000 000. The institution is the seller of the option on the swap. The counterparty of the institution buys the right to enter a swap with the institution; if the counterparty exercises its right, the counterparty shall receive the floating rate while the institution shall receive the fixed rate. Swaption with maturity of two years (Booking date + 2 years) on IRS defined as follow: Fixed leg- receive annually; Floating rate: 6-month EURIBOR, pay every 6 months; Notional: EUR 10 000 000; Roll convention and calendar: standard; Effective date of the underlying swap: Booking date + 2 years. Maturity of the underlying swap: Booking date + 7 years Premium paid at the booking date (Booking date). Cash settled The strike price is based on the ATM rate of the forward starting swap defined in this instrument+ 100 bps EBA instrument currency: EUR FX 301. 6-month USD/EUR forward contract. Cash settled. Long USD – Short EUR; Notional USD 10 000 000; Forward Strike: equal to 100% of the relevant ECB spot reference rate at the end of the booking date. EBA instrument currency: EUR 302. 6-month EUR/GBP forward contract. Cash settled. Long EUR – Short GBP; Notional 10 000 000 GBP; Forward Strike: equal to 100% of the relevant ECB spot reference rate at the end of the booking date. EBA instrument currency: EUR 303. Long 10 000 000 USD Cash. Cash position. To be considered as having intrinsic FX risk as described in paragraph (kk) EBA instrument currency: EUR 304. Long EUR/USD Call option (long EUR, short USD). Cash settled. Notional: EUR 10 000 000. Equivalent amount based on EUR/USD ECB reference spot rate as of end of the booking date. Strike price: 110% of EUR/USD ECB reference rate as of end of the booking date Expiry date: Booking date + 1 year EBA instrument currency: EUR 305. Long EUR/USD Call Option (long EUR, short USD). Cash settled. Notional: EUR 10 000 000. Equivalent amount based on EUR/USD ECB reference spot rate as of end of the booking date. Strike price: 90% of EUR/USD ECB reference rate as of end of the booking date Expiry date: Booking date + 1 year EBA instrument currency: EUR 306. Short EUR/USD Call Option (short EUR, long USD). Cash settled. Notional: EUR 10 000 000. Equivalent amount based on EUR/USD ECB reference spot rate as of end of the booking date. Strike price: 100% of EUR/USD ECB reference rate as of end of the booking date Expiry date: Booking date + 1 year EBA instrument currency: EUR 307. Short EUR/GBP Call Option (short EUR, long GBP). Cash settled. Notional: EUR 10 000 000. Equivalent amount based on EUR/GBP ECB reference spot rate as of end of the booking date. Strike price: 110% of EUR/GBP ECB reference rate as of end of the booking date Expiry date: Booking date + 1 year EBA instrument currency: EUR 308. Long EUR/JPY Put Option (short EUR, long JPY). Cash settled. Notional: EUR 10 000 000. Equivalent amount based on EUR/JPY ECB reference spot rate as of end of the booking date. Strike price: 110% of EUR/JPY ECB reference rate as of end of the booking date Expiry date: Booking date + 1 year EBA instrument currency: EUR 309. Short EUR/AUD Put Option (long EUR, short AUD). Cash settled. Notional: EUR 10 000 000. Equivalent amount based on EUR/AUD ECB reference spot rate as of end of the booking date. Strike price: 110% of EUR/AUD ECB reference rate as of end of the booking date Expiry date: Booking date + 1 year EBA instrument currency: EUR 310. 6-month EUR/DKK forward contract (long EUR, short DKK). Cash settled; Notional EUR 10 000 000; EUR/DKK ECB reference spot rate as of end of the booking date to determine forward rate. EBA instrument currency: EUR 311. 6-month EUR/BRL Non deliverable forward contract (long EUR, short BRL); Notional EUR 10 000 000; EUR/BRL ECB reference spot rate as of end of the booking date to determine forward rate. EBA instrument currency: EUR COMMODITIES 401. Long 6-month 3 500 troy ounces London Gold Forward (long Gold, short USD). Cash Settled. Strike Price: 6-month end-of-day forward price on the booking date EBA instrument currency: USD 402. Short 12-month 3 500 troy ounces London Gold Forward (short Gold, long USD). Cash Settled. Strike Price: 12-month end-of-day forward price on the booking date EBA instrument currency: USD 403. Long Call option 30 000 barrels Brent Crude Oil (long WTI, short USD). Cash settled. Strike price: 12- month end-of-day forward price on the booking date. Expiry date: Booking date + 6 months EBA instrument currency USD 404. Short Put option 30 000 barrels Brent Crude Oil (long WTI, short USD). Cash settled. Strike price: 12- month end-of-day forward price on the booking date. Expiry date: Booking date + 6 months EBA instrument currency USD 405. Long Call option 5 000 troy ounces London Gold (long Gold, short USD). Cash settled. Strike price: 18- month end-of-day forward price on the booking date. Expiry date: Booking date + 18 months EBA instrument currency: USD CREDIT SPREAD 501. Long (i.e. Buy protection) USD 1 000 000 CDS on PORTUGAL. Restructuring clause: FULL EBA instrument currency: USD 502. Long (i.e. Buy protection) USD 1 000 000 CDS on ITALY. Restructuring clause: FULL EBA instrument currency: USD 503. Short (i.e. Sell protection) USD 1 000 000 CDS on SPAIN. Restructuring clause: FULL EBA instrument currency: USD 504. Long (i.e. Buy protection) USD 1 000 000 CDS on MEXICO. Restructuring clause: FULL EBA instrument currency: USD 505. Long (i.e. Buy protection) USD 1 000 000 CDS on BRAZIL. Restructuring clause: FULL EBA instrument currency: USD 506. Long (i.e. Buy protection) USD 1 000 000 CDS on UK. Restructuring clause: FULL EBA instrument currency: USD 507. Short (i.e. Sell protection) EUR 1 000 000 CDS on Telefonica (Ticker TEF SM). EBA instrument currency: EUR 508. Long (i.e. Buy protection) EUR 1 000 000 CDS on Telefonica (Ticker TEF SM). Maturity: December Year T+2 EBA instrument currency: EUR 509. Short (i.e. Sell protection) EUR 1 000 000 CDS on Aviva (Ticker AV LN). ISDA Definitions year 2003 EBA instrument currency: EUR 510. Long (i.e. Buy protection) EUR 1 000 000 CDS on Aviva (Ticker AV LN). ISDA Definitions year 2003 Maturity: December Year T+2 EBA instrument currency: EUR 511. Short (i.e. Sell protection) EUR 1 000 000 CDS on Vodafone (Ticker VOD LN). EBA instrument currency: EUR 512. Short (i.e. Sell protection) EUR 1 000 000 CDS on ENI SpA (Ticker ENI IM). EBA instrument currency: EUR 513. Short (i.e. Sell protection) USD 1 000 000 CDS on Eli Lilly (Ticker LLY US). Restructuring clause: No restructuring (XR14) EBA instrument currency: USD 514. Short (i.e. Sell protection) EUR 1 000 000 CDS on Unilever (Ticker UNA NA). EBA instrument currency: EUR 515. Long (i.e. Buy protection) EUR 1 000 000 CDS on Total SA (Ticker FP FP). EBA instrument currency: EUR 516. Long (i.e. Buy protection) EUR 1 000 000 CDS on Volkswagen Group (Ticker VOW GR). EBA instrument currency: EUR 517. Long position on TURKEY Govt. notes USD 1 000 000 (ISIN US900123CT57). Maturity: 26 April 2029 EBA instrument currency: USD 518. Long (i.e. Buy protection) USD 1 000 000 CDS on TURKEY. Effective date as booking date. Restructuring clause: FULL EBA instrument currency: USD 519. Long position on Telefonica notes EUR 1 000 000 (ISIN XS1681521081). Maturity: 12 January 2028 EBA instrument currency: EUR 520. Long position on Volkswagen Group notes EUR 1 000 000 (ISIN XS2234567233). Maturity: 22 September 2028 EBA instrument currency: EUR 521. Short position Volkswagen Group notes EUR 1 000 000 (ISIN XS1167667283). Maturity: 16 January 2030 EBA instrument currency: EUR 522. Long position on Total SA notes EUR 1 000 000 (ISIN XS1856281834). Maturity: 11 July 2033 EBA instrument currency: EUR 523. Long AUSTRIA GOVT EUR 1 000 000 (ISIN AT0000A04967). Maturity: 15 March 2037 EBA instrument currency: EUR 524. Long (i.e. Buy protection) USD 1 000 000 CDS on AUSTRIA. Maturity: June Year T+15 EBA instrument currency: USD 525. Long NETHERLANDS GOVT EUR 1 000 000 (ISIN NL0013552060). Maturity: 15 January 2040 EBA instrument currency: EUR 526. Long (i.e. Buy protection) USD 1 000 000 CDS on NETHERLANDS. Maturity: June Year T+20 EBA instrument currency: USD 527. Long BELGIUM GOVT EUR 1 000 000 (ISIN BE0000348574). Maturity: 22 June 2050 EBA instrument currency: EUR 528. Long (i.e. Buy protection) USD 1 000 000 CDS on BELGIUM. Maturity: June Year T+30 EBA instrument currency: USD 529. Long (Buy protection) EUR 10 000 000 CDS on iTraxx Europe index on-the-run series. Maturity: June Year T+4 EBA instrument currency: EUR 530. Short Put option. EUR 10 000 000. Underlying iTraxx Europe index on-the-run series (same instrument of 529). Strike price: ATM Expiry date: Booking date + 6 months EBA instrument currency: EUR 531. Long AXA SA (callable) EUR 1 000 000 (ISIN XS1799611642). Maturity: 28 May 2049 EBA instrument currency: EUR 532. Long AT&T Bond (callable) USD 1 000 000 (ISIN US00206RFW79). Maturity: 15 August 2037 EBA instrument currency: USD 533. Long BAYER AG (callable) EUR 1 000 000 (ISIN XS2199266268). Maturity: 06 January 2030 EBA instrument currency: EUR 534. Long ORANGE SA Bond (callable) EUR 1 000 000 (ISIN FR0013323870). Maturity: 20 March 2028 EBA instrument currency: EUR CTP 601. Short (i.e. Sell protection) position in iTraxx Europe index on-the-run series. Attachment point: 3% Detachment point: 6% Notional: EUR 5 000 000 Maturity: 5 years EBA instrument currency: EUR 602. Long (i.e. Buy protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series. Maturity: June Year T+4 EBA instrument currency: EUR Notional adj. to fully hedge CS01 of 601 with no re-hedging required 603. Long (i.e. Buy protection) position in iTraxx Europe index on-the-run series. Attachment point: 3% Detachment point: 6% Notional: EUR 5 000 000 Maturity: 5 years EBA instrument currency: EUR 604. Short (i.e. Sell protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series. Maturity: June Year T+4 EBA instrument currency: EUR Notional adj. to fully hedge CS01 of 603 with no re-hedging required 605. Short (i.e. Sell protection) position in iTraxx Europe index on-the-run series. Attachment point: 12% Detachment point: 100% Notional: EUR 5 000 000 Maturity: 5 years EBA instrument currency: EUR 606. Long (i.e. Buy protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series. Maturity: June Year T+4 EBA instrument currency: EUR Notional adj. to fully hedge CS01 of 605 with no re-hedging required 607. Long (i.e. Buy protection) position in iTraxx Europe index on-the-run series. Attachment point: 12% Detachment point: 100% Notional: EUR 5 000 000 Maturity: 5 years EBA instrument currency: EUR 608. Short (i.e. Sell protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series. Maturity: June Year T+4 EBA instrument currency: EUR Notional adj. to fully hedge CS01 of 607 with no re-hedging required 609. Short (i.e. Sell protection) position in iTraxx Europe index on-the-run series. Attachment point: 3% Detachment point: 6% Notional: EUR 5 000 000 Maturity: 5 years EBA instrument currency: EUR Recovery rate: 40% fixed. 610. Long (i.e. Buy protection) EUR 5 000 000 CDS on iTraxx Europe index most recent on-the-run series. Maturity: June Year T+4 EBA instrument currency: EUR Notional adj. to fully hedge CS01 of 609 with no re-hedging required Section 3: Individual portfolios - Single instrument Institutions shall provide the required risk measures, along with the Present Value, of the following individual portfolios: Portfolio Combination of instruments: The first figure represents the instrument (as referred to in Section 2 of this Annex). The second figure represents the quantity of each instrument or number of contracts, as applicable. EBA portfolio currency Risk measures required 1001 101 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1002 102– 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1003 103 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1004 104 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1005 105– 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1006 106 – 1 instrument GBP VaR; Stressed VaR; SBM; DRC; RRAO 1007 107 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1008 108 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1009 109 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1010 110 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1011 111 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO 1012 112 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO 1013 113 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1014 114 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1015 115 – 1 instrument GBP VaR; Stressed VaR; SBM; DRC; RRAO 1016 116 – 1 instrument GBP VaR; Stressed VaR; SBM; DRC; RRAO 1017 117 – 1 instrument JPY VaR; Stressed VaR; SBM; DRC; RRAO 1018 118 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1019 119 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1020 120 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1021 121 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO 2001 201 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 2002 202 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 2003 203 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO 2004 204 – 1 instrument GBP VaR; Stressed VaR; SBM; DRC; RRAO 2005 205 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 2006 206 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 2007 207 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 2008 208– 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 2009 209 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 2010 210 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 2011 211 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 2012 212 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 2013 213 – 1 instrument GBP VaR; Stressed VaR; IRC; SBM; DRC; RRAO 2014 214 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 2015 215 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO 2016 216 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 2017 217 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 2018 218 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 2019 219 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 2020 220 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 2021 221 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 2022 222 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 2023 223 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 2024 224 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 3001 301 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 3002 302 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 3003 303 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 3004 304 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 3005 305 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 3006 306 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 3007 307 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 3008 308 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 3009 309 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 3010 310 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 3011 311 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 4001 401 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO 4002 402 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO 4003 403 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO 4004 404 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO 4005 405 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO 5001 501 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5002 502 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5003 503 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5004 504 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5005 505 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5006 506 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5007 507 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5008 508 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5009 509 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5010 510 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5011 511 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5012 512 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5013 513 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5014 514 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5015 515 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5016 516 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5017 517 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5018 518 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5019 519 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5020 520 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5021 521 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5022 522 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5023 523 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5024 524 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5025 525 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5026 526 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5027 527 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5028 528 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5029 529 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5030 530 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5031 531 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5032 532 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5033 533 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5034 534 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 6001 601 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO 6002 602 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO 6003 603 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO 6004 604 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO 6005 605 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO 6006 606 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO 6007 607 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO 6008 608 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO 6009 609 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO 6010 610 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO Section 4: Individual portfolios - Multi instruments Institutions shall provide the required risk measures, along with the Present Value, of the following individual portfolios: Portfolio Combination of instruments: The first figure represents the instrument (as referred to in Section 2 of this Annex). The second figure represents the quantity of each instrument or number of contracts, as applicable. EBA portfolio currency Risk measures required 1101 103 – 1 instrument 104 – 1 instrument 105 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1102 113 – 1 instrument 110 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1103 115 – 1 instrument 116 – 1 instrument GBP VaR; Stressed VaR; SBM; DRC; RRAO 1104 109 – 1 instrument 110 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1105 111 – 1 instrument 112 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO 1106 102 – 1 instrument 114 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1107 106 – 1 instrument 107 – 1 instrument 108 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1108 101 – 1 instrument 103 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1109 101 – 1 instrument 103 – 1 instrument 104 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 1110 102– 1 instrument 104 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 2201 206 – 1 instrument 207 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 2202 206 – 1 instrument 207 – 1 instrument 208 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 2203 206 – 1 instrument 207 – 1 instrument 208 – 1 instrument 209 – 1 instrument 210 – 1 instrument 211 – 1 instrument 212 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 2204 201 – 1 instrument 218 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 2205 201 – 1 instrument 219 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 2206 218 – 1 instrument 219 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 2207 201 – 1 instrument 202 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 2208 215 – 1 instrument 216 – 1 instrument 217 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 2209 203 – 1 instrument 215 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO 2210 208 – 1 instrument 209 – 1 instrument 210 – 1 instrument 214 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 2211 209 – 1 instrument 219 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 2212 201 – 1 instrument 223 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 3301 301 – 1 instrument 302 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 3302 303 – 1 instrument 304 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 3303 304 – 1 instrument 305 – 1 instrument 306 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 3304 307 – 1 instrument 308 – 1 instrument EUR VaR; Stressed VaR; SBM; DRC; RRAO 4401 401 – 1 instrument 402 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO 4402 403 – 1 instrument 404 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO 4403 401 – 1 instrument 404 – 1 instrument USD VaR; Stressed VaR; SBM; DRC; RRAO 5501 501 – 1 instrument 502 – 1 instrument 503 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5502 504 – 1 instrument 505 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5503 507 – 1 instrument 508 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5504 503 – 1 instrument 504 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5505 509 – 1 instrument 510 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5506 511 – 1 instrument 512 – 1 instrument 514 – 1 instrument 515 – 1 instrument 516 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5507 517 – 1 instrument 518 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5508 519 – 1 instrument 520 – 1 instrument 522 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5509 520 – 1 instrument 521 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5510 519 – 1 instrument 508 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5511 515 – 1 instrument 522 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5512 520 – 1 instrument 521 – 1 instrument 516 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5513 506 – 1 instrument 503 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5514 502 – 1 instrument 209 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5515 504 – 1 instrument 217 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5516 505 – 1 instrument 216 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5517 504 – 1 instrument 217 – 1 instrument 505 – 1 instrument 216 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5518 502 – 1 instrument 209 – 1 instrument 219 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5519 523 – 1 instrument 525 – 1 instrument 527 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5520 524 – 1 instrument 526 – 1 instrument 528 – 1 instrument USD VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5521 523 – 1 instrument 524 – 1 instrument 525 – 1 instrument 526 – 1 instrument 527 – 1 instrument 528 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 5522 529 – 1 instrument 530 – 1 instrument EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 6601 601 – 1 instrument 602 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO 6602 603 – 1 instrument 604 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO 6603 605 – 1 instrument 606 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO 6604 607 – 1 instrument 608 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO 6605 609 – 1 instrument 610 – 1 instrument EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO Section 5: Aggregated Portfolios Institutions shall provide the required risk measures, along with the Present Value, of the following financial aggregated portfolios: Aggreg. Portfolio Description Combination of Individual Portfolios (individual portfolios as stated by their numbers as referred to in Sections 3 and 4 of this Annex) EBA portfolio Currency Risk measures required 10000 ALL-IN no-CTP 1001, 1101, 1104, 1106, 2001, 2002, 2203, 2206, 3301, 3303, 3304, 4401, 4402, 5503, 5506, 5508, 5521 EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 11000 EQUITY Cumulative 1001, 1101, 1104, 1106 EUR VaR; Stressed VaR; SBM; DRC; RRAO 12000 IR Cumulative 2001, 2002, 2203, 2206 EUR VaR; Stressed VaR; SBM; DRC; RRAO 13000 FX Cumulative 3301, 3303, 3304 EUR VaR; Stressed VaR; SBM; DRC; RRAO 14000 Commodity Cumulative 4401, 4402 USD VaR; Stressed VaR; SBM; DRC; RRAO 15000 Credit Spread cumulative 5503, 5506, 5508, 5521 EUR VaR; Stressed VaR; IRC; SBM; DRC; RRAO 16000 CTP cumulative EUR 6601, 6602 EUR VaR; Stressed VaR; APR; SBM; DRC; RRAO Section 6: Additional specifications for instruments Institutions shall apply the following additional specifications to the financial instruments described in Section 2 of this Annex: Instrument: 220 Description: 5-year Mark to Market (MtM) Cross Currency EUR/USD SWAP Receive USD and pay EUR Notional: EUR 10 000 000 , USD (EUR 10 000 000 * FX USD/EUR) Pay: Float leg 2 Rec: Float leg 1 Notional Exchange and Reset: On effective date and maturity date. Further, on every coupon payment date, an additional payment corresponding to adjustment of the USD notional on Float leg 2 is made. The USD notional is adjusted to equal 10 000 000 EUR, at spot rate 2 business days in advance of each payment date. Cash balance Included Float Leg 1 Notional: 10 000 000 EUR equivalent converted to USD at spot on effective date, equivalent adjusted on a quarterly basis Effective Date: Booking date + 6 months Maturity Date: Booking date + 5,5 years Payment Date Generation: Forward from Effective Date Coupon Payment Frequency: Quarterly Coupon Rate: 3-month SOFR + 0bps. Coupon Rate Reset Freq: Quarterly Coupon Rate Fixing Convention: Compounded daily over the 3-month period Coupon Rate Compounding Frequency: Simple Interest Day Count: ACT/360 Payment Business Day: LON, NYC, TARGET Payment Business Day Convention: Modified Following Notional Reset Business Day: LON, NYC, TARGET Notional Reset Business Day Convention: Previous Coupon Rate Reset Business Day: LON, NYC, TARGET Coupon Rate Reset Business Day Convention: Previous Float Leg 2 Notional: 10 000 000 EUR Effective Date: Booking date + 6 months Maturity Date: Booking date + 5,5 years Payment Date Generation: Forward from Effective Date Coupon Payment Frequency: Quarterly Coupon Rate: 3-month ESTER + 0 bps. Coupon Rate Reset Frequency: Quarterly Coupon Rate Fixing Convention: Compounded daily over the 3-month period Coupon Rate Compounding Frequency: Simple Interest Day Count: ACT/360 Payment Business Day: LON, NYC, TARGET Payment Business Day Modified Following Notional Reset Business Day: LON, NYC, TARGET Notional Reset Business Day Convention: Previous Coupon Rate Reset Business Day: LON, NYC, TARGET Coupon Rate Reset Business Day Convention: Previous Section 7: SBM validation portfolios (a) Institutions shall provide the SBM risk measure of the portfolios defined in Annex X (SBM validation portfolios) as part of the IMV submission and submit them in line with the reporting dates of the IMV submission. (b) The following shall apply for the submission of the results corresponding to SBM validation portfolios: i. Institutions shall only report template C120.02 and limit the reporting in this template to the reporting currency results (i.e. column 0060 of template C120.02 shall not be populated and templates C 106.00 and C 106.01 shall not be reported for the SBM validation portfolios); ii. Institutions shall assume that the risk sensitivities and curvature risk positions defined by the instruments specified in Annex X are expressed in the institution’s reporting currency and that the information are provided in the format specified in the reporting instructions for templates C 106.01 / C 120.01 and the corresponding table with guidance for reporting these templates in Annex VI (Template instructions). ’
ANNEX III ‘ANNEX VI RESULTS SUPERVISORY BENCHMARK PORTFOLIOS TEMPLATE-RELATED INSTRUCTIONS C 106.00 – Initial Market Valuation and exclusion justification 57 C 106.01 – SBM. Risk sensitivities by Instrument 57 C 107.01 – VaR & sVaR Non-CTP. Details. 61 C 107.02 – VaR, sVaR and PV - Non-CTP. EBA portfolio currency Results. 63 C 108.00 – Profit & Loss Time Series 64 C 109.01 – IRC. Details of the Model 65 C 109.02 – IRC. Details by Portfolio 65 C 109.03 – IRC. Amount by Portfolio/Date. 66 C 110.01 – CT. Details of the Model. 67 C 110.02 – CT. Details by Portfolio. 68 C 110.03 – CT. APR by Portfolio/Date 69 C 120.01 – SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO 69 C 120.02 – SBM. OFR COMPOSITION BY PORTFOLIO 72 C 120.04 – DRC. MARKET VALUES AND GROSS JTD AMOUNTS BY INSTRUMENT/PORTFOLIO 74 C 120.05 – DRC. OFR COMPOSITION BY PORTFOLIO 80 C 120.06 – ASA. OFR 82 TEMPLATE-RELATED INSTRUCTIONS C 106.00 – Initial Market Valuation and exclusion justification Column Label Legal reference Instructions 0010 Instrument number Section 2 of Annex V The instrument number taken from Annex V shall be reported. 0020 Instrument modelled for VaR and sVaR (TRUE/FALSE) Either TRUE or FALSE shall be reported. 0030 Instrument modelled for IRC (TRUE/FALSE) Either TRUE or FALSE shall be reported. 0040 Instrument modelled for correlation trading (TRUE/FALSE) Either TRUE or FALSE shall be reported. 0050 Rationale for exclusion Article 3(2) One of the following shall be reported: (a) Model not authorised by regulator; (b) Instrument or underlying not authorised internally; (c) Underlying or modelling feature not contemplated internally; (d) Other rationale for exclusion. Please, explain that rationale in column 0060. 0060 Free text box An institution may provide any additional information in this column. 0070 Initial market valuation (“IMV”) The mark-to-market value of each instrument on the reference date at 5:30 pm CET (as referred to in Section 1, point (b), of Annex V. The cell shall be left blank where the institution does not wish to provide an IMV for a certain portfolio (i.e. zero values shall be reported only where the result of the calculation is zero). C 106.01 – SBM. Risk sensitivities by Instrument Institutions shall report the sensitivities towards the risk factors that the instrument is exposed to. One row shall be reported per risk factor/sensitivity. The upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Article 325g of Regulation (EU) 575/2013 shall be reported in individual rows. All values shall refer to the “IMV (and initial SBM) reference date” as specified in Section 1, point (b)(ii), of Annex V to this Regulation. Institutions shall report each combination of Instrument number, Risk identifier (column 0010), Bucket (column 0020) and Additional identifier (column 0030) only once. Instructions concerning sheets (z-axis) Label Legal reference Instructions Instrument number Section 2 of Annex V The instrument number taken from Annex V shall be reported. Column Label Legal reference Instructions 0010 Risk factor identifier Articles 325l, 325m, 325n, 325o, 325p and 325q of Regulation (EU) No 575/2013 The risk factor identifier as specified in the table at the end of this Annex shall be reported. 0020 Bucket Article 325d(3) of Regulation (EU) No 575/2013 The bucket shall be reported, where the risk factor identifier selected in column 0010 corresponds to the risk class: — General interest rate risk, the answer shall be the name of the currency of the relevant risk-free rate, inflation or cross-currency-basis risk factor (following the ISO 4217 currency designation, e.g. “EUR”). — Credit spread risk for non-securitisation, the answer shall be the bucket number in Article 325ah (1), Table 4, of Regulation (EU) No 575/2013. — Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR), the answer shall be the bucket number in Article 325am (1), Table 7, of that Regulation. — Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR), the answer shall be the bucket number in Article 325ak, Table 6, of that Regulation. — Equity risk, the answer shall be the bucket number in Article 325ap (1), Table 8, of that Regulation. — Commodity risk, the answer shall be the bucket number in Article 325as, Table 9, of that Regulation. — FX risk and the components Delta or Curvature, the answer shall be the name of the currency (e.g. “USD”, the reported currency codes shall follow the ISO 4217 currency designation). — FX risk and the component Vega, the answer shall be the name of the currency pair (e.g. “EUR_USD”, the reported currency codes shall follow the ISO 4217 currency designation). 0030 Additional identifier1 Articles 325l to 325q and Article 325ai of Regulation (EU) No 575/2013 The following information distinguishing the risk factor at intra-bucket level shall be reported. Where the risk factor identifier selected in column 0010 corresponds to the risk class: — General interest rate risk and the component Delta, the answer shall be the name of the risk-free curve or another corresponding unique identifier. — Credit spread risk for non-securitisation or the risk class credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR), the answer shall be the issuer name or another corresponding unique identifier and it shall be identical for any two reported sensitivities towards two risk factors that receive a correlation parameter ρ kl (name) equal to 1 in accordance with Article 325ai(1) of Regulation (EU) No 575/2013. — Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR), the answer shall be the tranche name or another corresponding unique identifier. — Equity risk, the answer shall be the equity issuer name or a corresponding unique identifier. — Commodity risk, the answer shall be the name of the commodity or another corresponding unique identifier. Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable. 0050 Risk sensitivity (Reporting currency results) Article 325d(2) and Articles 325g, 325r, 325s, 325t and 325ax of Regulation (EU) No 575/2013 Risk sensitivities (delta / vega sensitivities and curvature risk positions) shall be reported at the level of each instrument for all relevant risk factors as specified in the columns 0010 to 0030. The values shall be reported in the institution’s reporting currency. Where the risk factor identifier selected in column 0010 corresponds to the: — Delta risk component of the sensitivities-based method, the net sensitivity to the risk factor (S k ) as specified in Article 325r of Regulation (EU) No 575/2013 shall be reported. Where institutions have obtained permission from their competent authority to use alternative definitions of delta risk sensitivities in accordance with Article 325t(5) of that Regulation, they shall refer to those alternative definitions for the reporting. — Vega risk component of the sensitivities-based method, the vega risk sensitivity of an option to a given risk factor (S k ) as specified in Article 325s of Regulation (EU) No 575/2013 shall be reported. Where institutions have obtained permission from their competent authority to use alternative calculations of vega risk sensitivities in accordance with Article 325t(6) of that Regulation, they shall refer to those alternative calculations for the reporting. Regardless of whether the definition of Article 325s or an alternative calculation in accordance with Article 325t(6) of that Regulation is used by the institution, the sensitivity shall be reported after weighting it by the corresponding implied volatility. — Curvature risk component of the sensitivities-based method, the upward net curvature risk position of that risk factor (CVR k + ) or the downward net curvature risk position of that risk factor (CVR k - ) as specified in Article 325g of Regulation (EU) No 575/2013 shall be reported. The reported figure shall be expressed as a decimal with a minimum precision of two decimal places. Zero values shall be reported only where the result of the calculation is actually zero. 0060 Reporting currency The name of the reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation, e.g. “EUR”). 0070 Risk sensitivity (EBA instrument currency results) Section 2 of Annex V to this Regulation and Article 325d(2) and Articles 325g, 325r and 325s of Regulation (EU) No 575/2013 The values shall be reported following the instructions for column 0050 but translated at the ECB spot exchange rate associated with the currency of the instrument as defined in Section 2 of Annex V to this Regulation. 0080 Pricing model Article 325t of Regulation (EU) No 575/2013 The institution shall specify which pricing model applies to derive the sensitivities. One of the following shall be reported: (a) “Institution’s pricing models that serve as a basis for reporting profit and loss to senior management” (as for Article 325t(1), first subparagraph, of Regulation (EU) No 575/2013); (b) “Institution’s internal model approach” (as for Article 325t(1), second subparagraph, of that Regulation); 0090 Sensitivities definition Articles 325r, 325s and 325t of Regulation (EU) No 575/2013 The institution shall specify which sensitivities definition is applied in the calculation of the own funds requirements. One of the following shall be reported: (a) “Sensitivities definition in Articles 325r and 325s of Regulation (EU) No 575/2013”; (b) “Sensitivities definition in accordance with Article 325t(5) and (6) of Regulation (EU) No 575/2013”; Where the risk factor identifier selected in column 0010 corresponds to the curvature risk component of the sensitivities-based method, the value indicated in point (b) shall be reported if any of the sensitivities used in the calculation of the reported curvature risk position are based on a sensitivity definition in accordance with Article 325t(5) and (6) of Regulation (EU) No 575/2013, and the value indicated in point (a) shall be reported otherwise. 0100 Free text box An institution may provide additional information in this column concerning pricing model and sensitivities definition applied. 0110 Additional identifier2 Article 325p(2) of Regulation (EU) No 575/2013 Where the risk factor identifier selected in column 0010 corresponds to the risk class Commodity risk and the Delta risk component of the sensitivities-based method, the answer shall be the set of legal terms regarding the delivery location or another corresponding unique identifier. Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable. 0120 Credit quality category Article 325m(1) and Article 325ah(1) of Regulation (EU) No 575/2013 Where the risk factor identifier selected in column 0010 corresponds to the risk class Credit spread risk for non-securitisation and the Delta risk component of the sensitivities-based method, the answer shall be one of the following: (a) “CQS 1”; (b) “CQS 2”; (c) “CQS 3”; (d) “CQS 4”; (e) “CQS 5”; (f) “CQS 6”; (g) “No CQS assigned (unrated)”. Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable. C 107.01 – VaR & sVaR Non-CTP. Details. Row Label Legal reference Instructions 0010 - 0060 VaR 0010 Methodology One of the following shall be reported in column 0010: (a) Historical simulation; (b) Monte Carlo simulation; (c) Parametric methodology; (d) Combination / other methodology (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. Where option (d) was selected in column 0010, the institution shall provide details in column 0020. 0020 Computation of 10-day horizon Article 365(1) of Regulation (EU) No 575/2013 One of the following shall be reported in column 0010: (a) 1 day re-scaled to 10 days; (b) 10 days with overlapping periods; (c) 10 days other methodology. The institution shall use column 0020 to clarify the answer given in column 0010. 0030 Length of observation period Article 365(1) point (d) of Regulation (EU) No 575/2013 One of the following shall be reported in column 0010: (a) Up to 1 year; (b) More than 1 and up to 2 years; (c) More than 2 and up to 3 years; (d) More than 3 years. The institution shall use column 0020 to clarify the answer given in column 0010. 0040 Data Weighting Article 365(1) point (d), of Regulation (EU) No 575/2013 One of the following shall be reported in column 0010: (a) Unweighted (VaR data weighting); (b) Weighted (VaR data weighting); (c) Higher of weighted and unweighted (VaR data weighting) in points (a) and (b). The institution shall use column 0020 to clarify the answer given in column 0010. 0050 Backtesting add-on Article 366(2) of Regulation (EU) No 575/2013 Backtesting add-on means the addend between 0 and 1 in accordance with Article 366 (2), Table 1, of Regulation (EU) No 575/2013 The institution shall use column 0020 to clarify the answer given in column 0010. 0060 VaR Regulatory add-on Article 366(2) of Regulation (EU) No 575/2013 (“at least 3”) VaR Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for VaR (at least 3) in accordance with Article 366(2) of Regulation (EU) No 575/2013. The VaR Regulatory add-on is the sum of the backtesting add-on and of the qualitative add-on, where applicable, in excess to 3. The institution shall use column 0020 to clarify the answer given in column 0010. 0070- 0100 SVaR (i.e. Stressed VaR) 0070 Methodology One of the following shall be reported in column 0010: (a) Historical simulation; (b) Monte Carlo simulation; (c) Parametric methodology; (d) Combination / other methodology (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020. 0080 Computation of 10 day Horizon Article 365(1) of Regulation (EU) No 575/2013 One of the following shall be reported in column 0010: (a) 1 day re-scaled to 10 days; (b) 10 days with overlapping periods; (c) 10 days other methodology. The institution shall use column 0020 to clarify the answer given in column 0010. 0090 SVaR Regulatory add-on Article 366(2) of Regulation (EU) No 575/2013 Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for sVaR (at least 3) in accordance with Article 366(2) of Regulation (EU) No 575/2013. The regulatory add-on is the sum of 3, backtesting add-on and qualitative add-on (if applicable). The institution shall use column 0020 to clarify the answer given in column 0010. 0100 SVaR period Article 365(2) of Regulation (EU) No 575/2013 One of the following shall be reported in column 0010: (a) Daily computation of the stressed VaR calibrated to one continuous 12-month period starting from the date specified in column 0020; (b) Weekly computation of the stressed VaR calibrated to one continuous 12-month period starting from the date specified in column 0020; (c) Daily computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 0010 of C107.02 starting from the dates specified in column 0020; (d) Weekly computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 0010 of C107.02 starting from the dates specified in column 0020; (e) Maximum of daily computation of the stressed VaR calibrated to more than one single 12-month period; (f) Maximum of weekly computation of the stressed VaR calibrated to more than one single 12-month period; (g) Other choices for the stressed VaR calibration (please specify). The institution shall use column 0020 to provide the starting date in the format of “dd/mm/yyyy” in case of options (a) or (b) given in column 0010 and the starting dates in the format “dd/mm/yyyy” used for each stressed VaR computation in case of options (c) or (d) given in column 0010. The institution shall also use column 0020 to clarify the 12-month period used for each stressed VaR computation in case of options (e), (f) and (g) given in column 0010. C 107.02 – VaR, sVaR and PV - Non-CTP. EBA portfolio currency results. Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Sections 3, 4 and 5 of Annex V The portfolio number taken from Annex V shall be reported. Column Label Legal reference Instructions 0010 Date VaR, sVaR and Present Value (PV) results shall be reported for all the 10 business days between the “RM initial reference date” and the “RM (and final ASA) final reference date”, as specified in Section 1, point (b), of Annex V. The “dd/mm/yyyy” convention shall be adopted to report the dates. 0020 VaR Article 365 of Regulation (EU) No 575/2013 The 10-day regulatory VaR obtained for each portfolio, without applying the “at least 3” regulatory multiplication factor, shall be reported. Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a VaR on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero). 0030 sVaR Article 365 of Regulation (EU) No 575/2013 The 10-day regulatory sVaR obtained for each portfolio, without applying the “at least 3” regulatory multiplication factor, shall be reported. Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a sVaR on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero). 0040 PV The present value (PV) for each portfolio shall be reported. Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a PV on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero). C 108.00 – Profit & Loss Time Series Template C 108.00 (“Profit & Loss Time Series”) shall be completed only by institutions that calculate VaR using historical simulation. Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Sections 3, 4 and 5 of Annex V The portfolio number taken from Annex V shall be reported. Column Label Legal reference Instructions 0010 Date Article 365(1) point (d), of Regulation (EU) No 575/2013 On each business day, determined in accordance with the calendar in the institution’s jurisdiction, institutions shall provide the P&L series used to calculate VaR in C107.02 column 0010 with a minimum of 250 observations starting from the “RM (and final ASA) final reference date”, as specified in Section 1, point (b)(v), of Annex V, and going backward. 0020 Daily P&L Institutions that calculate VaR using historical simulation shall fill the full length historic series used by the institution, with a minimum of one-year data series, with the portfolio valuation change (i.e. daily P&L) produced by using historically simulated daily risk factor changes (i.e. the daily P&L series used to derive the regulatory 1-day VaR). In case a day is a bank holiday in the relevant jurisdiction, this cell shall be left blank (i.e. a zero P&L shall be reported only where there was no change in the hypothetical value of the portfolio on a given business day). C 109.01 – IRC. Details of the Model Row Label Legal reference Instructions 0010 Number of modelling factors EBA/GL/2012/3 The number of modelling factors at the overall IRC model level shall be reported. The answer shall be one of the following: (a) 1 modelling factor; (b) 2 modelling factors; (c) More than 2 modelling factors. The institution shall use column 0020 to clarify the answer given in column 0010. 0020 Source of LGDs EBA/GL/2012/3 The source of LGDs at the overall IRC Model level shall be reported. The answer shall be one of the following: (a) Market convention; (b) LGD used in IRB; (c) Other source of LGD (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. In case option (c) was selected in column 0010, the institution shall provide details in this column. C 109.02 – IRC. Details by Portfolio Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Sections 3, 4 and 5 of Annex V The portfolio number taken from Annex V, only for those portfolios where IRC is requested, shall be reported. Row Label Legal reference Instructions 0010 Liquidity Horizon Article 374(5) of Regulation (EU) No 575/2013 EBA/GL/2012/3 The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following: (a) Up to 3 months; (b) More than 3 and up to 6 months; (c) More than 6 and up to 9 months; (d) More than 9 and up to 12 months. 0020 Source of PDs EBA/GL/2012/3 The source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following: (a) Rating agencies; (b) IRB; (c) Market implied PDs; (d) Other source of PDs (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in this column 0020. 0030 Source of transition matrices EBA/GL/2012/3 The source of transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following: (a) Rating agencies; (b) IRB; (c) Market implied transition matrices; (d) Other sources of transition matrices (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in this column 0020. C 109.03 – IRC. Amount by Portfolio/Date. Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Sections 3, 4 and 5of Annex V The portfolio number taken from Annex V, only for those portfolios where IRC is requested, shall be reported. Column Label Legal reference Instructions 0010 Date IRC shall be reported for all the 10 business days between the “RM initial reference date” and the “RM (and final ASA) final reference date”, as specified in Section 1, point (b), of Annex V. The “dd/mm/yyyy” convention shall be adopted to report the dates. 0020 IRC Articles 372 to 376 of Regulation (EU) No 575/2013 EBA/GL/2012/3 The regulatory IRC obtained for each portfolio shall be reported. Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate an IRC on the date reported in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero). C 110.01 – CT. Details of the Model. Row Label Legal reference Instructions 0010 Number of modelling factors Article 377 of Regulation (EU) No 575/2013 The number of modelling factors at the overall correlation trading model level shall be reported. The answer shall be one of the following: (a) 1 modelling factor; (b) 2 modelling factors; (c) More than 2 modelling factors. The institution shall use column 0020 where it wants to clarify the answer given in column 0010. 0020 Source of LGDs Article 377 of Regulation (EU) No 575/2013 The source of LGDs at the overall correlation trading model level shall be reported. The answer shall be one of the following: (a) Market convention; (b) LGD used in IRB; (c) Other sources of LGD (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. In case option (c) was selected in column 0010, the institution shall provide details in this column. C 110.02 – CT. Details by Portfolio. Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Sections 3, 4 and 5 of Annex V The portfolio number taken from Annex V, only for those portfolios where APR is requested, shall be reported. Row Label Legal reference Instructions 0010 Liquidity horizon Article 377(2) of Regulation (EU) No 575/2013 The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following: (a) Up to 3 months; (b) More than 3 and up to 6 months; (c) More than 6 and up to 9 months; (d) More than 9 and up to 12 months. 0020 Source of PDs Article 377 of Regulation (EU) No 575/2013 The source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following: (a) Rating agencies; (b) IRB; (c) Market implied PDs; (d) Other source of PDs (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020. 0030 Source of transition matrices Article 377 of Regulation (EU) No 575/2013 The source of the transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following: (a) Rating agencies; (b) IRB; (c) Market implied transition matrices; (d) Other source of transition matrices (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020. C 110.03 – CT. APR by Portfolio/Date Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Section 3, 4 and 5 of Annex V The portfolio number taken from Annex V, only for those portfolios where APR is requested, shall be reported Column Label Legal reference Instructions 0010 Date Article 377 of Regulation (EU) No 575/2013 All price risk (“APR”) shall be reported for all the 10 business days between the “RM initial reference date” and the “RM (and final ASA) final reference date” as referred to in Section 1, point (b), of Annex V. The “dd/mm/yyyy” convention shall be adopted to report the dates. 0060 APR Article 377 of Regulation (EU) No 575/2013 The results obtained by applying the regulatory correlation trading model to each portfolio shall be reported. Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not use a correlation trading model on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero). C 120.01 – SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO Institutions shall report, instrument by instrument, the sensitivities towards the risk factors that the instrument is exposed to. One row shall be reported per risk factor/sensitivity. The upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Article 325g of Regulation (EU) No 575/2013 shall be reported in individual rows. All values shall refer to the “RM (and final ASA) final reference date” (as defined in Section 1, point (b)(v), of Annex V to this Regulation). Institutions shall report each combination of Portfolio, Instrument number (column 0010), Risk identifier (column 0020), Bucket (column 0030) and Additional identifier (column 0040) only once. Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Sections 3, 4 and 5 of Annex V The number of the portfolio taken from Annex V shall be reported. Column Label Legal reference Instructions 0010 Instrument number Section 2 of Annex V The instrument number taken from Annex V shall be reported. 0020 Risk factor identifier Articles 325l, 325m, 325n, 325o, 325p, 325q of Regulation (EU) No 575/2013 The risk factor identifier as specified in the table at the end of this Annex shall be reported. 0030 Bucket Article 325d(3) of Regulation (EU) No 575/2013 The bucket shall be reported, where the risk factor identifier selected in column 0020 corresponds to the risk class: — General interest rate risk. The answer shall be the name of the currency of the relevant risk-free rate, inflation or cross-currency-basis risk factor (following the ISO 4217 currency designation, e.g. “EUR”). — Credit spread risk for non-securitisation. The answer shall be the bucket number in Article 325ah (1), Table 4, of Regulation (EU) No 575/2013. — Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR). The answer shall be the bucket number in Article 325am (1), Table 7, of that Regulation. — Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR). The answer shall be the bucket number in Article 325ak, Table 6, of that Regulation . — Equity risk. The answer shall be the bucket number in Article 325ap (1), Table 8, of that Regulation. — Commodity risk. The answer shall be the bucket number in Article 325as, Table 9, of that Regulation. — FX risk and the components Delta or Curvature. The answer shall the name of the currency (e.g. “USD”, the reported currency codes shall follow the ISO 4217 currency designation), — FX risk and the component Vega. The answer shall be the name of the currency pair (e.g. “EUR_USD”, the reported currency codes shall follow the ISO 4217 currency designation). 0040 Additional identifier1 Articles 325l to 325q and 325ai of Regulation (EU) No 575/2013 The following information distinguishing the risk factor at intra-bucket level shall be reported. Where the risk factor identifier selected in column 0020 corresponds to the risk class: — General interest rate risk and the component Delta, the answer shall be the name of the risk-free curve or another corresponding unique identifier. — Credit spread risk for non-securitisation or the risk class credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR), the answer shall be the issuer name or another corresponding unique identifier and it shall be identical for any two reported sensitivities towards two risk factors that receive a correlation parameter ρ kl (name) equal to 1 in accordance with to Article 325ai(1) of Regulation (EU) No 575/2013. — Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR), the answer shall be tranche name or another corresponding unique identifier. — Equity risk, the answer shall be the equity issuer name or a corresponding unique identifier. — Commodity risk, the answer shall be the name of the commodity or another corresponding unique identifier. Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable. 0060 Risk sensitivity (Reporting currency results) Article 325d(2) and Articles 325g, 325r, 325s, 325t and 325ax of Regulation (EU) No 575/2013 Risk sensitivities (delta / vega sensitivities and curvature risk positions) shall be reported at the level of each instrument for all relevant risk factors as specified in the columns 0020 to 0040. The values shall be reported in the institution’s reporting currency. Where the risk factor identifier selected in column 0020 corresponds to the: — Delta risk component of the sensitivities-based method, the net sensitivity to the risk factor (S k ) as specified in Article 325r of Regulation (EU) No 575/2013 shall be reported. Where institutions have obtained permission from their competent authority to use alternative calculations of delta risk sensitivities in accordance with Article 325t(5) of that Regulation, they shall refer to these alternative definitions for the reporting. — Vega risk component of the sensitivities-based method, the vega risk sensitivity of an option to a given risk factor (S k ) as specified in Article 325s of Regulation (EU) No 575/2013 shall be reported. Where institutions have obtained permission from their competent authority to use alternative calculations of vega risk sensitivities in accordance with Article 325t(6) of that Regulation, they shall refer to those alternative calculations for the reporting. Regardless of whether the calculation of Article 325s or an alternative calculation in accordance with Article 325t(6) of that Regulation is used by the institution, the sensitivity shall be reported after weighting it by the corresponding implied volatility. — Curvature risk component of the sensitivities-based method, the upward net curvature risk position of that risk factor (CVR k + ) or the downward net curvature risk position of that risk factor (CVR k - ) as specified in Article 325g of Regulation (EU) No 575/2013 shall be reported. The reported figure shall be expressed as a decimal with a minimum precision of two decimal places. Zero values shall be reported only where the result of the calculation is actually zero. 0070 Reporting currency The name of the reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation, e.g. “EUR”). 0080 Risk sensitivity (EBA portfolio currency results) Sections 3 and 4 of Annex V to this Regulation and Article 325d(2) and Articles 325g, 325r, 325s, , 325t and 325ax of Regulation (EU) No 575/2013 The values shall be reported following the instructions for column 0060 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation. 0090 Risk weight Part Three, Title IV, Chapter 1a, Section 6, of Regulation (EU) No 575/2013 The risk weight corresponding to the risk factor as specified in the columns 0020 to 0040 shall be reported. Where the risk factor identifier selected in column 0020 corresponds to the Curvature risk component, the risk weight used to determine the applicable relative shift shall be reported. The reported figure shall be expressed as a decimal with a minimum precision of four decimal places. 0110 Additional identifier2 Article 325p(2) of Regulation (EU) No 575/2013 Where the risk factor identifier selected in column 0010 corresponds to the risk class Commodity risk and the Delta risk component of the sensitivities-based method, the answer shall be the set of legal terms regarding the delivery location or another corresponding unique identifier. Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable. 0120 Credit quality category Article 325m(1) and Article 325ah(1) of Regulation (EU) No 575/2013 Where the risk factor identifier selected in column 0010 corresponds to the risk class Credit spread risk for non-securitisation and the Delta risk component of the sensitivities-based method, the answer shall be one of the following: (a) “CQS 1”; (b) “CQS 2”; (c) “CQS 3”; (d) “CQS 4”; (e) “CQS 5”; (f) “CQS 6”; (g) “No CQS assigned (unrated)”. Where none of those cases applies, institutions shall report an explicit value (NULL) as not applicable. C 120.02 – SBM. OFR COMPOSITION BY PORTFOLIO Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Sections 3, 4 and 5 of Annex V The number of the portfolio taken from Annex V shall be reported. Column Label Legal reference Instructions 0010 Risk class Article 325d(1) of Regulation (EU) No 575/2013 The risk class shall be reported. The answer shall be one of the following: (a) “General interest rate risk (GIRR)”; (b) “Credit spread risk.Non-securitisations CSR” (credit spread risk (CSR) for non-securitisation); (c) “Credit spread risk.Non-ACTP CSR” (credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR)); (d) “Credit spread risk.ACTP CSR” (credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR)); (e) “Equity risk”; (f) “Commodities risk”; (g) “Foreign-exchange risk”. 0020 Component Article 325e(1) of Regulation (EU) No 575/2013 The component of the sensitivities-based method shall be reported. The answer shall be one of the following: (a) “Delta risk”; (b) “Vega risk”; (c) “Curvature risk”; 0030 Correlation scenario Article 325h of Regulation (EU) No 575/2013 The correlation scenario shall be reported. The answer shall be one of the following: (a) “Medium correlation scenario”; (b) “High correlation scenario”; (c) “Low correlation scenario”. 0040 Own funds requirements (Reporting currency results) Article 325h of Regulation (EU) No 575/2013 Own funds requirements values shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio for all relevant combinations of risk class, component and correlation scenario. The values shall be reported in the institution’s reporting currency and shall be expressed with a minimum precision of two decimal places. 0050 Reporting currency The reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation). 0060 Own funds requirements (EBA portfolio currency results) Sections 3 and 4 of Annex V to this Regulation and Article 325h of Regulation (EU) No 575/2013 The values shall be reported following the instructions for column 0040 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation. 0070 Positions without optionality subjected to curvature risk own funds requirements Article 325e(3) of Regulation (EU) No 575/2013 Where the component in column 0020 corresponds to curvature risk: (a) “TRUE” shall be reported if the institution applies the approach set out in Article 325e(3), first subparagraph of Regulation (EU) No 575/2013 in calculating the result reported in columns 0040 and 0060. (b) “FALSE” shall be reported otherwise. “FALSE” shall also be reported where none of those cases applies. 0080 Base currency approach applied for foreign-exchange risk delta and curvature Article 325q(7) of Regulation (EU) No 575/2013 Where the risk class in column 0010 corresponds to foreign-exchange risk and the component in column 0020 corresponds to delta risk or curvature risk: (a) “TRUE” shall be reported if the institution applies the approach set out Article 325q(7) of Regulation (EU) No 575/2013 in calculating the result reported in columns 0040 and 0060. (b) “FALSE” shall be reported otherwise. “FALSE” shall also be reported where none of those cases applies. 0090 Division of curvature risk components for foreign-exchange risk by scalar Article 325q(6) of Regulation (EU) No 575/2013 Where the risk class in column 0010 corresponds to foreign-exchange risk and the component in column 0020 corresponds to curvature risk: (a) “TRUE” shall be reported if the institution applies the approach set out Article 325q(6) of Regulation (EU) No 575/2013 in calculating the result reported in columns 0040 and 0060. (b) “FALSE” shall be reported otherwise. “FALSE” shall also be reported where none of those cases applies. 0095 Submission of SBM validation portfolio results Article 325e(1) of Regulation (EU) No 575/2013 Where the portfolio for which information is reported is an SBM validation portfolio as referred to in Section 7 of Annex V: (a) “Submitted” shall be reported if the institution submits results corresponding to this portfolio; (b) “Not submitted - no exposure to risk factor” shall be reported if the institution chooses not to submit results for the relevant SBM validation portfolio, as there is no internal approval by the management of that institution to operate in instruments that would generate exposure towards the relevant risk factor. “Not applicable” shall be reported where the portfolio for which information is reported is a portfolio as referred to in Sections 3, 4 or 5 of Annex V. 0100 Free text box An institution may provide any additional information in this column. C 120.04 – DRC. MARKET VALUES AND GROSS JTD AMOUNTS BY INSTRUMENT/PORTFOLIO Institutions shall report, instrument by instrument, the exposures corresponding to the instrument. One row shall be reported per exposure. All values shall refer to the “RM (and final ASA) final reference date” (as defined in Section 1, point (b)(v), of Annex V to this Regulation). Exposures shall be reported before any offsetting has taken place but after replication or decomposition steps (as defined in Articles 325z and 325ac of Regulation (EU) No 575/2013), where applicable. Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Sections 3, 4 and 5 of Annex V The number of the portfolio taken from Annex V shall be reported. Column Label Legal reference Instructions 0010 Instrument number Section 2 of Annex V The instrument number taken from Annex V shall be reported. 0020 Risk class Article 325v(2) of Regulation (EU) No 575/2013 The risk class for which the default risk requirement (DRC) is reported in columns 0030 and 0040 shall be reported. The answer shall be one of the following instrument types: (a) “Instruments other than securitisation positions”; (b) “ Securitisation positions that are not included in the ACTP”; (c) “ Securitisation positions that are included in the ACTP”. 0030 Bucket1 Article 325y(3), Article 325aa(4) and Article 325ad(2) of Regulation (EU) No 575/2013 The bucket shall be reported. Where the risk class reported in column 0020 corresponds to “non- securitisations “, the answer shall be one of the following: (a) “Corporates”; (b) “Sovereigns”; (c) “Local governments/municipalities”. Where instead the risk class reported in column 0020 corresponds to “ securitisations that are not included in the ACTP”, the answer shall be (a) above or one of the following: (d) “ABCP - Asia”; (e) “ABCP - Europe”; (f) “ABCP - North America”; (g) “ABCP - Rest of the world”; (h) “Auto loans/leases - Asia”; (i) “Auto loans/leases - Europe”; (j) “Auto loans/leases - North America”; (k) “Auto loans/leases - Rest of the world”; (l) “Collateralised debt obligations squared (CDO-squared) - Asia”; (m) “Collateralised debt obligations squared (CDO-squared) - Europe”; (n) “Collateralised debt obligations squared (CDO-squared) - North America”; (o) “Collateralised debt obligations squared (CDO-squared) - Rest of the world”; (p) “Collateralised loan obligations - Asia”; (q) “Collateralised loan obligations - Europe”; (r) “Collateralised loan obligations - North America”; (s) “Collateralised loan obligations - Rest of the world”; (t) “Commercial mortgage-backed securities (CMBS) - Asia”; (u) “Commercial mortgage-backed securities (CMBS) - Europe”; (v) “Commercial mortgage-backed securities (CMBS) - North America”; (w) “Commercial mortgage-backed securities (CMBS) - Rest of the world”; (x) “Credit cards - Asia”; (y) “Credit cards - Europe”; (z) “Credit cards - North America”; (aa) “Credit cards - Rest of the world”; (bb) “Other retail - Asia”; (cc) “Other retail - Europe”; (dd) “Other retail - North America”; (ee) “Other retail - Rest of the world”; (ff) “Other wholesale - Asia”; (gg) “Other wholesale - Europe”; (hh) “Other wholesale - North America”; (ii) “Other wholesale - Rest of the world”; (jj) “Residential mortgage-backed securities (RMBS) - Asia”; (kk) “Residential mortgage-backed securities (RMBS) - Europe”; (ll) “Residential mortgage-backed securities (RMBS) - North America”; (mm) “Residential mortgage-backed securities (RMBS) - Rest of the world”; (nn) “Small and medium-sized enterprises (SMEs) - Asia”; (oo) “Small and medium-sized enterprises (SMEs) - Europe”; (pp) “Small and medium-sized enterprises (SMEs) - North America”; (qq) “Small and medium-sized enterprises (SMEs) - Rest of the world”; (rr) “Student loans - Asia”; (ss) “Student loans - Europe”; (tt) “Student loans - North America”; (uu) “Student loans - Rest of the world”. Where instead the risk class reported in column 0020 corresponds to “ securitisations that are included in the ACTP”, the answer shall be “ securitisations that are included in the ACTP”. 0040 Bucket2 Article 325ad(2) of Regulation (EU) No 575/2013 Where the risk class reported in column 0020 corresponds to “ securitisations that are included in the ACTP”, the answer shall be the name of the index, otherwise it shall report (NUL). 0050 Obligor Article 325v(2), Article 325x(1), and Articles 325z and 325ac of Regulation (EU) No 575/2013 Institutions shall report information related to the obligor. Where the risk class reported in column 0020 corresponds to: — “Instruments other than securitisation positions”, the answer shall be the name of the obligor; — “ securitisation positions that are not included in the ACTP”, the answer shall be the name of the obligor or a unique identifier denoting the underlying asset pool and tranche; — “ securitisation positions that are included in the ACTP”, the answer shall be a unique identifier denoting index family, series and tranche. 0060 Credit quality category Article 325y(1) and (2), Article 325aa(1) and Article 325ad(1) of Regulation (EU) No 575/2013 Institutions shall report the credit quality. The answer shall be one of the following: (a) “CQS 1”; (b) “CQS 2”; (c) “CQS 3”; (d) “CQS 4”; (e) “CQS 5”; (f) “CQS 6”; (g) “No CQS assigned (unrated)”; (h) “No CQS assigned (defaulted)”; (i) “No CQS assigned (0 % risk-weight”). Where the risk class reported in column 0020 corresponds to “ securitisations that are included in the ACTP” or “ Securitisations that are not included in the ACTP”, the answer shall be one of the above or the following: (j) “CQS 7”; (k) “CQS 8”; (l) “CQS 9”; (m) “CQS 10”; (n) “CQS 11”; (o) “CQS 12”; (p) “CQS 13”; (q) “CQS 14”; (r) “CQS 15”; (s) “CQS 16”; (t) “CQS 17”; (u) “CQS All Other”; 0070 Default risk weight Article 325v(1), point (f), Article 325y(1) and (2), Article 325aa(1) and Article 325ad(1) of Regulation (EU) No 575/2013 Institutions shall report the relevant risk weight. Risk weights applied to securitisation exposures shall be reported after multiplication by 8 % in accordance with Article 325aa(1) of Regulation (EU) No 575/2013. 0080 Seniority Article 325w(3) and (6) of Regulation (EU) No 575/2013 The seniority of the exposure shall be reported. Where the risk class reported in column 0020 corresponds to “Instruments other than securitisation positions” or “securitisation positions that are not included in the ACTP”, the answer shall be one of the following: (a) “Equity instruments”; (b) “Non-senior debt instruments”; (c) “Senior debt instruments”; (d) “Covered bonds”. The cell shall be left blank where none of those cases applies. 0090 Maturity Articles 325x, 325z and 325ac of Regulation (EU) No 575/2013 The maturity date of the exposure shall be reported. The “dd/mm/yyyy” convention shall be adopted to report the date. 0100 Recovery rate Article 325v(1), point (e), of Regulation (EU) No 575/2013 Institutions shall report the recovery rate. The recovery rate shall be calculated using the applicable loss given default (LGD) as recovery rate = 1 - LGD. The recovery rate reported figure shall be expressed as a decimal value, between 0 and 1, with a minimum precision of four decimal places. 0110 Direction Article 325v(1), points (a) and (b), of Regulation (EU) No 575/2013 Institutions shall report the direction of the exposure in accordance with the definitions of Article 325v(1), points (a) and (b), of Regulation (EU) No 575/2013. The answer shall be one of the following: (a) “Short exposure”; (b) “Long exposure”. 0120 Attachment point (%) Articles 325aa and 325ad of Regulation (EU) No 575/2013 Where the reported exposure refers to a tranche, institutions shall report the attachment point of the tranche. The reported figure shall be expressed as a decimal with a minimum precision of four decimal places. 0130 Detachment point (%) Articles 325aa and 325ad of Regulation (EU) No 575/2013 Where the reported exposure refers to a tranche, institutions shall report the detachment point of the tranche. The reported figure shall be expressed as a decimal with a minimum precision of four decimal places. 0140- 0170 Reporting currency results The values shall be reported referring to the institution’s reporting currency and shall be expressed with a minimum precision of two decimal places where applicable. 0140 Notional Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013 Where the risk class reported in column 0020 corresponds to “Instruments other than securitisation positions”, institutions shall report the notional amount of the instrument. The value shall correspond to the term V notional in Article 325w(1) and (2) of Regulation (EU) No 575/2013 or the term V in Article 325w(5) of that Regulation, depending on the type of exposure. The cell shall be left blank where none of those cases applies or where the institution does not explicitly calculate or use the amount to be reported in this column in order to estimate the Gross jump-to-default (JTD) amount. 0150 P&L + Adjustment Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013 Institutions shall report the sum of P&L and Adjustment for each exposure: — Where the risk class reported in column 0020 corresponds to “Instruments other than securitisation positions” and the reported exposure is a long exposure, institutions shall report the sum of P&L long and Adjustment long in accordance with Article 325w(1) of Regulation (EU) No 575/2013. — Where the risk class reported in column 0020 corresponds to “Instruments other than securitisation positions” and the reported exposure is a short exposure, institutions shall report the sum of P&L short and Adjustment short in accordance with Article 325w(2) of that Regulation. The cell shall be left blank where none of those cases applies or where the institution does not explicitly calculate or use the amount to be reported in this column in order to estimate the Gross JTD amount. 0160 Gross JTD amount Article 325v(1), point (c), Article 325w(1), (2) and (5), Article 325z(1) and Article 325ac(2) of Regulation (EU) No 575/2013 Institutions shall report the gross JTD amount for the specific exposure. 0170 Currency The reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation). 0180- 0200 EBA portfolio currency results Sections 3 and 4 of Annex V to this Regulation and Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013 The values shall be reported following the instructions for column 0030 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation. 0180 Notional Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013 Where the risk class reported in column 0020 corresponds to “Instruments other than securitisation positions”, institutions shall report the notional amount of the instrument. The value shall correspond to the term V notional in Article 325w(1) and (2) of Regulation (EU) No 575/2013 or the term V in Article 325w(5) of that Regulation, depending on the type of exposure. The cell shall be left blank where none of those cases applies or where the institution does not explicitly calculate or use the amount to be reported in this column in order to estimate the Gross JTD amount. 0190 P&L + Adjustment Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013 Institutions shall report the sum of P&L and Adjustment for each exposure: — Where the risk class reported in column 0020 corresponds to “Instruments other than securitisation positions” and the reported exposure is a long exposure, institutions shall report the sum of P&L long and Adjustment long in accordance with Article 325w(1) of Regulation (EU) No 575/2013. — Where the risk class reported in column 0020 corresponds to “Instruments other than securitisation positions” and the reported exposure is a short exposure, institutions shall report the sum of P&L short and Adjustment short in accordance with Article 325w(2) of that Regulation. The cell shall be left blank where none of those cases applies or where the institution does not explicitly calculate or use the amount to be reported in this column in order to estimate the Gross JTD amount. 0200 Gross JTD amount Article 325v(1), point (c), Article 325w(1), (2) and (5), Article 325z(1) and Article 325ac(2) of Regulation (EU) No 575/2013 Institutions shall report the gross jump-to-default (JTD) amount for the specific exposure. C 120.05 – DRC. OFR COMPOSITION BY PORTFOLIO Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Sections 3, 4 and 5 of Annex V The number of the portfolio taken from Annex V shall be reported. Column Label Legal reference Instructions 0010 Risk class Article 325v(2) of Regulation (EU) No 575/2013 The risk class for which default risk requirement are reported in columns 0030 and 0040 shall be reported. The answer shall be one of the following instrument types: (a) “instruments other than securitisation positions”; (b) “ securitisation positions that are not included in the ACTP”; (c) “ securitisation positions that are included in the ACTP”. 0020 Bucket1 Article 325y(3), Article 325aa(4) and Article 325ad(2) of Regulation (EU) No 575/2013 The bucket shall be reported. Where the risk class reported in column 0010 corresponds to “Instruments other than securitisation positions”, the answer shall be one of the following: (a) “corporates”; (b) “sovereigns”; (c) “local governments/municipalities”. Where instead the risk class reported in column 0010 corresponds to “ securitisation positions that are not included in the ACTP”, the answer shall be one of the following: (d) “ABCP - Asia”; (e) “ABCP - Europe”; (f) “ABCP - North America”; (g) “ABCP - Rest of the world”; (h) “Auto loans/leases - Asia”; (i) “Auto loans/leases - Europe”; (j) “Auto loans/leases - North America”; (k) “Auto loans/leases - Rest of the world”; (l) “Collateralised debt obligations squared (CDO-squared) - Asia”; (m) “Collateralised debt obligations squared (CDO-squared) - Europe”; (n) “Collateralised debt obligations squared (CDO-squared) - North America”; (o) “Collateralised debt obligations squared (CDO-squared) - Rest of the world”; (p) “Collateralised loan obligations - Asia”; (q) “Collateralised loan obligations - Europe”; (r) “Collateralised loan obligations - North America”; (s) “Collateralised loan obligations - Rest of the world”; (t) “Commercial mortgage-backed securities (CMBS) - Asia”; (u) “Commercial mortgage-backed securities (CMBS) - Europe”; (v) “Commercial mortgage-backed securities (CMBS) - North America”; (w) “Commercial mortgage-backed securities (CMBS) - Rest of the world”; (x) “Credit cards - Asia”; (y) “Credit cards - Europe”; (z) “Credit cards - North America”; (aa) “Credit cards - Rest of the world”; (bb) “Other retail - Asia”; (cc) “Other retail - Europe”; (dd) “Other retail - North America”; (ee) “Other retail - Rest of the world”; (ff) “Other wholesale - Asia”; (gg) “Other wholesale - Europe”; (hh) “Other wholesale - North America”; (ii) “Other wholesale - Rest of the world”; (jj) “Residential mortgage-backed securities (RMBS) - Asia”; (kk) “Residential mortgage-backed securities (RMBS) - Europe”; (ll) “Residential mortgage-backed securities (RMBS) - North America”; (mm) “Residential mortgage-backed securities (RMBS) - Rest of the world”; (nn) “Small and medium-sized enterprises (SMEs) - Asia”; (oo) “Small and medium-sized enterprises (SMEs) - Europe”; (pp) “Small and medium-sized enterprises (SMEs) - North America”; (qq) “Small and medium-sized enterprises (SMEs) - Rest of the world”; (rr) “Student loans - Asia”; (ss) “Student loans - Europe”; (tt) “Student loans - North America”; (uu) “Student loans - Rest of the world”. Where instead the risk class reported in column 0010 corresponds to “ securitisation positions that are included in the ACTP”, the answer shall be “ securitisations that are included in the ACTP”. 0030 Bucket2 Article 325ad(2) of Regulation (EU) No 575/2013 Where the risk class reported in column 0010 corresponds to “ securitisation positions that are included in the ACTP”, the answer shall be the name of the index, otherwise it shall be left (NUL) 0040 Own funds requirements (Reporting currency results) Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013 Own funds requirements for default risk shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation). The values shall be reported in the institution’s reporting currency and shall be expressed with a minimum precision of two decimal places. 0050 Reporting currency The reporting currency of the institution shall be reported (the reported value shall follow the ISO 4217 currency designation). 0060 Own funds requirements (EBA portfolio currency results) Sections 3 and 4 of Annex V to this Regulation and Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013 The values shall be reported following the instructions for column 0030 but translated at the ECB spot exchange rate associated with the currency of the portfolio as defined in Sections 3 and 4 of Annex V to this Regulation. C 120.06 – ASA. OFR Column Label Legal reference Instructions 0010 Portfolio number Sections 3, 4 and 5 of Annex V The number of the portfolio taken from Annex V shall be reported. 0020- 0040 Reporting currency results Sections 3 and 4 of Annex V 0020 SBM OFR Article 325h of Regulation (EU) No 575/2013 Own funds requirements for the sensitivities-based method of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio. 0030 DRC OFR Article 325v of Regulation (EU) No 575/2013 Own funds requirements for the default risk requirement of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio. 0040 RRAO OFR Article 325u of Regulation (EU) No 575/2013 Own funds requirements for the residual risk add-on of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio. 0050- 0070 EBA portfolio currency results Sections 3 and 4 of Annex V When the reporting currency of the institution is different from the EBA portfolio currencies specified in Sections 3 and 4 of Annex V, the institutions shall convert the reporting currency at the applicable ECB spot exchange rate. 0050 SBM OFR Article 325h of Regulation (EU) No 575/2013 Own funds requirements for the sensitivities-based method of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio. 0060 DRC OFR Article 325v of Regulation (EU) No 575/2013 Own funds requirements for the default risk requirement of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio. 0070 RRAO OFR Article 325u of Regulation (EU) No 575/2013 Own funds requirements for the residual risk add-on of the alternative standardised approach shall be reported for the “RM (and final ASA) final reference date” (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio. Table: guidance for the reporting of templates 106.01 (column 0010) and 120.01 (column 0020) — The column “risk class” refers to Article 325d(1) of Regulation (EU) No 575/2013. The following acronyms are used to denote the risk classes: (a) “GIRR” (general interest rate risk); (b) “CSR_NON_SEC” (credit spread risk (CSR) for non-securitisation); (c) “CSR_SEC_NON_ACTP” (credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR)); (d) “CSR_SEC_ACTP” (credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR)); (e) “EQ” (equity risk); (f) “CM” (commodity risk); (g) “FX” (foreign exchange risk). — The column “component” refers to Article 325e(1) of Regulation (EU) No 575/2013. The following acronyms are used to denote the components of the sensitivities-based method: (a) “DELTA” (delta risk); (b) “VEGA” (vega risk); (c) “CURVATURE” (curvature risk). — The column “maturity” refers to the maturity of the risk factor, where risk factors are defined along specified vertices following Articles 325l, 325m, 325n, 325o, 325p and 325q of Regulation (EU) No 575/2013. For vega general interest rate risk factors as specified in Article 325l(7) of that Regulation two maturities are given and separated by a hyphen (e.g. “0,5 years - 0,5 years”), the first refers to the maturity of the option and the second to residual maturity of the underlying of the option at the expiry date of the option. — The column “additional specifications” further specifies the respective risk factor with regards to the distinction between inflation risk and cross-currency basis risk factors according to Article 325l of Regulation (EU) No 575/2013, the distinction between risk factors relating to debt instruments and risk factors relating to credit default swaps according to Articles 325m and 325n of that Regulation, the distinction between equity spot price and equity repo rate risk factors according to Article 325o of that Regulation and the distinction between the upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Article 325g of that Regulation. Risk class Component Maturity Additional specification Risk factor identifier Legal reference CM DELTA 0 years CM_D_00.00 Article 325p of Regulation (EU) No 575/2013 CM DELTA 0,25 years CM_D_00.25 Article 325p of Regulation (EU) No 575/2013 CM DELTA 0,5 years CM_D_00.50 Article 325p of Regulation (EU) No 575/2013 CM DELTA 1 year CM_D_01.00 Article 325p of Regulation (EU) No 575/2013 CM DELTA 2 years CM_D_02.00 Article 325p of Regulation (EU) No 575/2013 CM DELTA 3 years CM_D_03.00 Article 325p of Regulation (EU) No 575/2013 CM DELTA 5 years CM_D_05.00 Article 325p of Regulation (EU) No 575/2013 CM DELTA 10 years CM_D_10.00 Article 325p of Regulation (EU) No 575/2013 CM DELTA 15 years CM_D_15.00 Article 325p of Regulation (EU) No 575/2013 CM DELTA 20 years CM_D_20.00 Article 325p of Regulation (EU) No 575/2013 CM DELTA 30 years CM_D_30.00 Article 325p of Regulation (EU) No 575/2013 CM VEGA 0,5 years CM_V_00.50 Article 325p of Regulation (EU) No 575/2013 CM VEGA 1 year CM_V_01.00 Article 325p of Regulation (EU) No 575/2013 CM VEGA 3 years CM_V_03.00 Article 325p of Regulation (EU) No 575/2013 CM VEGA 5 years CM_V_05.00 Article 325p of Regulation (EU) No 575/2013 CM VEGA 10 years CM_V_10.00 Article 325p of Regulation (EU) No 575/2013 CM CURVATURE Upward shift CM_CU Articles 325p, 325g of Regulation (EU) No 575/2013 CM CURVATURE Downward shift CM_CD Articles 325p, 325g of Regulation (EU) No 575/2013 CSR_NON_SEC DELTA 0,5 years Debt instrument CSR_NON_SEC_D_00.50_DEBT Article 325m of Regulation (EU) No 575/2013 CSR_NON_SEC DELTA 1 year Debt instrument CSR_NON_SEC_D_01.00_DEBT Article 325m of Regulation (EU) No 575/2013 CSR_NON_SEC DELTA 3 years Debt instrument CSR_NON_SEC_D_03.00_DEBT Article 325m of Regulation (EU) No 575/2013 CSR_NON_SEC DELTA 5 years Debt instrument CSR_NON_SEC_D_05.00_DEBT Article 325m of Regulation (EU) No 575/2013 CSR_NON_SEC DELTA 10 years Debt instrument CSR_NON_SEC_D_10.00_DEBT Article 325m of Regulation (EU) No 575/2013 CSR_NON_SEC DELTA 0,5 years Credit Default Swap CSR_NON_SEC_D_00.50_CDS Article 325m of Regulation (EU) No 575/2013 CSR_NON_SEC DELTA 1 year Credit Default Swap CSR_NON_SEC_D_01.00_CDS Article 325m of Regulation (EU) No 575/2013 CSR_NON_SEC DELTA 3 years Credit Default Swap CSR_NON_SEC_D_03.00_CDS Article 325m of Regulation (EU) No 575/2013 CSR_NON_SEC DELTA 5 years Credit Default Swap CSR_NON_SEC_D_05.00_CDS Article 325m of Regulation (EU) No 575/2013 CSR_NON_SEC DELTA 10 years Credit Default Swap CSR_NON_SEC_D_10.00_CDS Article 325m of Regulation (EU) No 575/2013 CSR_NON_SEC VEGA 0,5 years CSR_NON_SEC_V_00.50 Article 325m of Regulation (EU) No 575/2013 CSR_NON_SEC VEGA 1 year CSR_NON_SEC_V_01.00 Article 325m of Regulation (EU) No 575/2013 CSR_NON_SEC VEGA 3 years CSR_NON_SEC_V_03.00 Article 325m of Regulation (EU) No 575/2013 CSR_NON_SEC VEGA 5 years CSR_NON_SEC_V_05.00 Article 325m of Regulation (EU) No 575/2013 CSR_NON_SEC VEGA 10 years CSR_NON_SEC_V_10.00 Article 325m of Regulation (EU) No 575/2013 CSR_NON_SEC CURVATURE Upward shift CSR_NON_SEC_CU Articles 325m, 325g of Regulation (EU) No 575/2013 CSR_NON_SEC CURVATURE Downward shift CSR_NON_SEC_CD Articles 325m, 325g of Regulation (EU) No 575/2013 CSR_SEC_ACTP DELTA 0,5 years Debt instrument CSR_SEC_ACTP_D_00.50_DEBT Article 325n of Regulation (EU) No 575/2013 CSR_SEC_ACTP DELTA 1 year Debt instrument CSR_SEC_ACTP_D_01.00_DEBT Article 325n of Regulation (EU) No 575/2013 CSR_SEC_ACTP DELTA 3 years Debt instrument CSR_SEC_ACTP_D_03.00_DEBT Article 325n of Regulation (EU) No 575/2013 CSR_SEC_ACTP DELTA 5 years Debt instrument CSR_SEC_ACTP_D_05.00_DEBT Article 325n of Regulation (EU) No 575/2013 CSR_SEC_ACTP DELTA 10 years Debt instrument CSR_SEC_ACTP_D_10.00_DEBT Article 325n of Regulation (EU) No 575/2013 CSR_SEC_ACTP DELTA 0,5 years Credit Default Swap CSR_SEC_ACTP_D_00.50_CDS Article 325n of Regulation (EU) No 575/2013 CSR_SEC_ACTP DELTA 1 year Credit Default Swap CSR_SEC_ACTP_D_01.00_CDS Article 325n of Regulation (EU) No 575/2013 CSR_SEC_ACTP DELTA 3 years Credit Default Swap CSR_SEC_ACTP_D_03.00_CDS Article 325n of Regulation (EU) No 575/2013 CSR_SEC_ACTP DELTA 5 years Credit Default Swap CSR_SEC_ACTP_D_05.00_CDS Article 325n of Regulation (EU) No 575/2013 CSR_SEC_ACTP DELTA 10 years Credit Default Swap CSR_SEC_ACTP_D_10.00_CDS Article 325n of Regulation (EU) No 575/2013 CSR_SEC_ACTP VEGA 0,5 years CSR_SEC_ACTP_V_00.50 Article 325n of Regulation (EU) No 575/2013 CSR_SEC_ACTP VEGA 1 year CSR_SEC_ACTP_V_01.00 Article 325n of Regulation (EU) No 575/2013 CSR_SEC_ACTP VEGA 3 years CSR_SEC_ACTP_V_03.00 Article 325n of Regulation (EU) No 575/2013 CSR_SEC_ACTP VEGA 5 years CSR_SEC_ACTP_V_05.00 Article 325n of Regulation (EU) No 575/2013 CSR_SEC_ACTP VEGA 10 years CSR_SEC_ACTP_V_10.00 Article 325n of Regulation (EU) No 575/2013 CSR_SEC_ACTP CURVATURE Upward shift CSR_SEC_ACTP_CU Articles 325n, 325g of Regulation (EU) No 575/2013 CSR_SEC_ACTP CURVATURE Downward shift CSR_SEC_ACTP_CD Articles 325n, 325g of Regulation (EU) No 575/2013 CSR_SEC_NON_ACTP DELTA 0,5 years Debt instrument CSR_SEC_NON_ACTP_D_00.50_DEBT Article 325n of Regulation (EU) No 575/2013 CSR_SEC_NON_ACTP DELTA 1 year Debt instrument CSR_SEC_NON_ACTP_D_01.00_DEBT Article 325n of Regulation (EU) No 575/2013 CSR_SEC_NON_ACTP DELTA 3 years Debt instrument CSR_SEC_NON_ACTP_D_03.00_DEBT Article 325n of Regulation (EU) No 575/2013 CSR_SEC_NON_ACTP DELTA 5 years Debt instrument CSR_SEC_NON_ACTP_D_05.00_DEBT Article 325n of Regulation (EU) No 575/2013 CSR_SEC_NON_ACTP DELTA 10 years Debt instrument CSR_SEC_NON_ACTP_D_10.00_DEBT Article 325n of Regulation (EU) No 575/2013 CSR_SEC_NON_ACTP DELTA 0,5 years Credit Default Swap CSR_SEC_NON_ACTP_D_00.50_CDS Article 325n of Regulation (EU) No 575/2013 CSR_SEC_NON_ACTP DELTA 1 year Credit Default Swap CSR_SEC_NON_ACTP_D_01.00_CDS Article 325n of Regulation (EU) No 575/2013 CSR_SEC_NON_ACTP DELTA 3 years Credit Default Swap CSR_SEC_NON_ACTP_D_03.00_CDS Article 325n of Regulation (EU) No 575/2013 CSR_SEC_NON_ACTP DELTA 5 years Credit Default Swap CSR_SEC_NON_ACTP_D_05.00_CDS Article 325n of Regulation (EU) No 575/2013 CSR_SEC_NON_ACTP DELTA 10 years Credit Default Swap CSR_SEC_NON_ACTP_D_10.00_CDS Article 325n of Regulation (EU) No 575/2013 CSR_SEC_NON_ACTP VEGA 0,5 years CSR_SEC_NON_ACTP_V_00.50 Article 325n of Regulation (EU) No 575/2013 CSR_SEC_NON_ACTP VEGA 1 year CSR_SEC_NON_ACTP_V_01.00 Article 325n of Regulation (EU) No 575/2013 CSR_SEC_NON_ACTP VEGA 3 years CSR_SEC_NON_ACTP_V_03.00 Article 325n of Regulation (EU) No 575/2013 CSR_SEC_NON_ACTP VEGA 5 years CSR_SEC_NON_ACTP_V_05.00 Article 325n of Regulation (EU) No 575/2013 CSR_SEC_NON_ACTP VEGA 10 years CSR_SEC_NON_ACTP_V_10.00 Article 325n of Regulation (EU) No 575/2013 CSR_SEC_NON_ACTP CURVATURE Upward shift CSR_SEC_NON_ACTP_CU Articles 325n, 325g of Regulation (EU) No 575/2013 CSR_SEC_NON_ACTP CURVATURE Downward shift CSR_SEC_NON_ACTP_CD Articles 325n, 325g of Regulation (EU) No 575/2013 EQ DELTA Spot price EQ_D_SPOT Article 325o of Regulation (EU) No 575/2013 EQ DELTA Repo rate EQ_D_REPO Article 325o of Regulation (EU) No 575/2013 EQ VEGA 0,5 years EQ_V_00.50 Article 325o of Regulation (EU) No 575/2013 EQ VEGA 1 year EQ_V_01.00 Article 325o of Regulation (EU) No 575/2013 EQ VEGA 3 years EQ_V_03.00 Article 325o of Regulation (EU) No 575/2013 EQ VEGA 5 years EQ_V_05.00 Article 325o of Regulation (EU) No 575/2013 EQ VEGA 10 years EQ_V_10.00 Article 325o of Regulation (EU) No 575/2013 EQ CURVATURE Upward shift EQ_CU Articles 325o, 325g of Regulation (EU) No 575/2013 EQ CURVATURE Downward shift EQ_CD Articles 325o, 325g of Regulation (EU) No 575/2013 FX DELTA FX_D Article 325q of Regulation (EU) No 575/2013 FX VEGA 0,5 years FX_V_00.50 Article 325q of Regulation (EU) No 575/2013 FX VEGA 1 year FX_V_01.00 Article 325q of Regulation (EU) No 575/2013 FX VEGA 3 years FX_V_03.00 Article 325q of Regulation (EU) No 575/2013 FX VEGA 5 years FX_V_05.00 Article 325q of Regulation (EU) No 575/2013 FX VEGA 10 years FX_V_10.00 Article 325q of Regulation (EU) No 575/2013 FX CURVATURE Upward shift FX_CU Articles 325q, 325g of Regulation (EU) No 575/2013 FX CURVATURE Downward shift FX_CD Articles 325q, 325g of Regulation (EU) No 575/2013 GIRR DELTA 0,25 years GIRR_D_00.25 Article 325l of Regulation (EU) No 575/2013 GIRR DELTA 0,5 years GIRR_D_00.50 Article 325l of Regulation (EU) No 575/2013 GIRR DELTA 1 year GIRR_D_01.00 Article 325l of Regulation (EU) No 575/2013 GIRR DELTA 2 years GIRR_D_02.00 Article 325l of Regulation (EU) No 575/2013 GIRR DELTA 3 years GIRR_D_03.00 Article 325l of Regulation (EU) No 575/2013 GIRR DELTA 5 years GIRR_D_05.00 Article 325l of Regulation (EU) No 575/2013 GIRR DELTA 10 years GIRR_D_10.00 Article 325l of Regulation (EU) No 575/2013 GIRR DELTA 15 years GIRR_D_15.00 Article 325l of Regulation (EU) No 575/2013 GIRR DELTA 20 years GIRR_D_20.00 Article 325l of Regulation (EU) No 575/2013 GIRR DELTA 30 years GIRR_D_30.00 Article 325l of Regulation (EU) No 575/2013 GIRR DELTA Inflation GIRR_D_INF Article 325l of Regulation (EU) No 575/2013 GIRR DELTA Cross-currency basis (over EUR) GIRR_D_CRO_EUR Article 325l of Regulation (EU) No 575/2013 GIRR DELTA Cross-currency basis (over USD) GIRR_D_CRO_USD Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 0,5 years - 0,5 years GIRR_V_00.50_00.50 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 1 year - 0,5 years GIRR_V_01.00_00.50 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 3 years - 0,5 years GIRR_V_03.00_00.50 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 5 years - 0,5 years GIRR_V_05.00_00.50 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 10 years - 0,5 years GIRR_V_10.00_00.50 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 0,5 years - 1 year GIRR_V_00.50_01.00 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 1 year - 1 year GIRR_V_01.00_01.00 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 3 years - 1 year GIRR_V_03.00_01.00 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 5 years - 1 year GIRR_V_05.00_01.00 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 10 years - 1 year GIRR_V_10.00_01.00 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 0,5 years - 3 years GIRR_V_00.50_03.00 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 1 year - 3 years GIRR_V_01.00_03.00 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 3 years - 3 years GIRR_V_03.00_03.00 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 5 years - 3 years GIRR_V_05.00_03.00 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 10 years - 3 years GIRR_V_10.00_03.00 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 0,5 years - 5 years GIRR_V_00.50_05.00 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 1 year - 5 years GIRR_V_01.00_05.00 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 3 years - 5 years GIRR_V_03.00_05.00 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 5 years - 5 years GIRR_V_05.00_05.00 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 10 years - 5 years GIRR_V_10.00_05.00 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 0,5 years - 10 years GIRR_V_00.50_10.00 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 1 year - 10 years GIRR_V_01.00_10.00 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 3 years - 10 years GIRR_V_03.00_10.00 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 5 years - 10 years GIRR_V_05.00_10.00 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 10 years - 10 years GIRR_V_10.00_10.00 Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 0,5 years Inflation GIRR_V_00.50_INF Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 1 year Inflation GIRR_V_01.00_INF Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 3 years Inflation GIRR_V_03.00_INF Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 5 years Inflation GIRR_V_05.00_INF Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 10 years Inflation GIRR_V_10.00_INF Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 0,5 years Cross-currency basis (over EUR) GIRR_V_00.50_CRO_EUR Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 1 year Cross-currency basis (over EUR) GIRR_V_01.00_CRO_EUR Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 3 years Cross-currency basis (over EUR) GIRR_V_03.00_CRO_EUR Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 5 years Cross-currency basis (over EUR) GIRR_V_05.00_CRO_EUR Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 10 years Cross-currency basis (over EUR) GIRR_V_10.00_CRO_EUR Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 0,5 years Cross-currency basis (over USD) GIRR_V_00.50_CRO_USD Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 1 year Cross-currency basis (over USD) GIRR_V_01.00_CRO_USD Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 3 years Cross-currency basis (over USD) GIRR_V_03.00_CRO_USD Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 5 years Cross-currency basis (over USD) GIRR_V_05.00_CRO_USD Article 325l of Regulation (EU) No 575/2013 GIRR VEGA 10 years Cross-currency basis (over USD) GIRR_V_10.00_CRO_USD Article 325l of Regulation (EU) No 575/2013 GIRR CURVATURE Upward shift GIRR_CU Articles 325l, 325g of Regulation (EU) No 575/2013 GIRR CURVATURE Downward shift GIRR_CD Articles 325l, 325g of Regulation (EU) No 575/2013 ’
ANNEX IV ‘ANNEX VII Results Supervisory Benchmarking portfolios. MARKET RISK RESULTS BENCHMARKING PORTFOLIOS. MARKET RISK Template number Template code Name of the template /group of templates Short name INITIAL MARKET VALUATION 106,1 C 106.00 INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION IMV 106,2 C 106.01 RISK SENSITIVITIES BY INSTRUMENT SENSITIVITIES VaR, sVaR and PV 107,1 C 107.01 DETAILS VaR&SVaR 1 107,2 C 107.02 EBA PORTFOLIO CURRENCY RESULTS VaR&SVaR 2 PROFIT & LOSS TIME SERIES 108 C 108.00 PROFIT & LOSS TIME SERIES P&L INCREMENTAL RISK CHARGE 109,1 C 109.01 IRC. DETAILS OF THE MODEL IRC 1 109,2 C 109.02 IRC. DETAILS BY PORTFOLIO IRC 2 109,3 C 109.03 IRC. AMOUNT BY PORTFOLIO/DATE IRC 3 CORRELATION TRADING 110,1 C 110.01 CT. DETAILS OF THE MODEL CT 1 110,2 C 110.02 CT. DETAILS BY PORTFOLIO CT 2 110,3 C 110.03 CT. AMOUNT BY PORTFOLIO/DATE CT 3 ASA (SBM & DRC) 120,1 C 120.01 SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO SBM 1 120,2 C 120.02 SBM. OFR COMPOSITION BY PORTFOLIO SBM 2 120,4 C 120.04 DRC. MARKET VALUES AND GROSS JTD AMOUNTS BY INSTRUMENT/PORTFOLIO DRC 1 120,5 C 120.05 DRC. OFR COMPOSITION BY PORTFOLIO DRC 2 120,6 C 120.06 ASA. OFR BY PORTFOLIO ASA OFR C 106.00 - INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION Instrument number Instrument Modelled for Var + SVaR (True/False) Instrument Modelled for IRC (True/False) Instrument Modelled for Correlation Trading (True/False) Rationale for Exclusion Free text box Initial Market Valuation 0010 0020 0030 0040 0050 0060 0070 C 106.01 - RISK SENSITIVITIES BY INSTRUMENT Instrument number Risk factor identifier Bucket Additional identifier Risk sensitivity (Reporting currency results) Reporting currency Risk sensitivity (EBA instrument currency results) Pricing model Sensitivities definition Free text box Additional identifier2 Credit quality category 0010 0020 0030 0050 0060 0070 0080 0090 0100 110 120 C 107.01 - VaR, sVaR and PV. DETAILS Option Free text box 0010 0020 VaR 0010 Methodology 0020 Computation of 10-day Horizon 0030 Length of observation period 0040 Data Weighting 0050 Backtesting add-on 0060 VaR Regulatory add-on SVaR 0070 Methodology 0080 Computation of 10-day Horizon 0090 SVaR Regulatory add-on 0100 SVaR period C 107.02 - VaR and SVaR NON-CTP. EBA PORTFOLIO CURRENCY RESULTS Portfolio Date VaR sVaR PV 0010 0020 0030 0040 C 108.00- PROFIT & LOSS TIME SERIES Portfolio Date Daily P&L 0010 0020 C 109.01 - IRC. DETAILS OF THE MODEL Option Free text box Row Item 0010 0020 0010 Number of modelling factors 0020 Source of LGDs C 109.02 - IRC. DETAILS BY PORTFOLIO Portfolio Option Free text box Row Item 0010 0020 0010 Liquidity Horizon 0020 Source of PDs 0030 Source of transition matrices C 109.03 - IRC. AMOUNT BY PORTFOLIO/DATE Portfolio Date IRC 0010 0020 C 110.01 - CT. DETAILS OF THE MODEL Option Free text box Row Item 0010 0020 0010 Number of modelling factors 0020 Source of LGDs C 110.02 - CT. DETAILS BY PORTFOLIO Portfolio Option Free text box Row Item 0010 0020 0010 Liquidity Horizon 0020 Source of PDs 0030 Source of transition matrices C 110.03 - CT. APR BY PORTFOLIO/DATE Portfolio Date APR 0010 0060 C 120.01 - SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO Portfolio Instrument number Risk factor identifier Bucket Additional identifier Risk sensitivity (Reporting currency results) Reporting currency Risk sensitivity (EBA portfolio currency results) Risk weight Additional identifier2 Credit quality category 0010 0020 0030 0040 0060 0070 0080 0090 110 120 C 120.02 - SBM. OFR COMPOSITION BY PORTFOLIO Portfolio Risk class Risk Component Correlations scenario Own funds requirements (Reporting currency results) Reporting currency Own funds requirements (EBA portfolio currency results) Positions without optionality subjected to curvature risk own funds requirements Base currency approach applied for foreign-exchange risk delta and curvature Division of curvature risk components for foreign-exchange risk by scalar Submission of SBM validation portfolio results Free text box 0010 0020 0030 0040 0050 0060 0070 0080 0090 0950 0100 C 120.04 - DRC. Market values and gross JTD amounts by Instrument/Portfolio Portfolio Integer Instrument number Risk class Bucket1 Bucket2 Obligor Credit quality category Default risk weight Seniority Maturity Recovery Rate Direction Attachment point (%) Detachment point (%) Reporting currency results EBA portfolio currency results Notional P&L + Adjustment Gross JTD amount Currency Notional P&L + Adjustment Gross JTD amount 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 C 120.05 - DRC. OFR COMPOSITION BY PORTFOLIO Portfolio Integer Risk class Bucket1 Bucket2 Own funds requirements (Reporting currency results) Reporting currency Own funds requirements (EBA portfolio currency results) 0010 0020 0030 0040 0050 0060 C 120.06 - ASA. OFR Portfolio number Reporting currency results EBA portfolio currency results SBM OFR DRC OFR RRAO OFR SBM OFR DRC OFR RRAO OFR 0010 0020 0030 0040 0050 0060 0070 ’
ANNEX V ‘ANNEX X SBM Validation Portfolios Sheet name Description Instruments Instruments (sensitivities and curvature risk positions) for SBM validation purposes Portfolios SBM validation portfolios defined as combinations of the instruments defined in this Annex Instrument Risk factor identifier Bucket Additional identifier Additional identifier2 Credit quality category Risk sensitivity S_IRV_b25# GIRR_V_10.00_10.00 USD 400,00 S_IRV_b24# GIRR_V_10.00_05.00 USD 200,00 S_IRV_b23# GIRR_V_10.00_03.00 USD – 900,00 S_IRV_b22# GIRR_V_10.00_01.00 USD 950,00 S_IRV_b21# GIRR_V_10.00_00.50 USD – 350,00 S_IRV_b20# GIRR_V_05.00_10.00 USD 1 000,00 S_IRV_b19# GIRR_V_05.00_05.00 USD – 300,00 S_IRV_b18# GIRR_V_05.00_03.00 USD 50,00 S_IRV_b17# GIRR_V_05.00_01.00 USD 300,00 S_IRV_b16# GIRR_V_05.00_00.50 USD –50,00 S_IRV_e3# GIRR_V_03.00_CRO_USD BRL 500,00 S_IRV_b15# GIRR_V_03.00_10.00 USD – 400,00 S_IRV_b14# GIRR_V_03.00_05.00 USD 700,00 S_IRV_b13# GIRR_V_03.00_03.00 USD – 800,00 S_IRV_b12# GIRR_V_03.00_01.00 USD 700,00 S_IRV_b11# GIRR_V_03.00_00.50 USD – 100,00 S_IRV_e2# GIRR_V_01.00_INF BRL 750,00 S_IRV_b10# GIRR_V_01.00_10.00 USD 500,00 S_IRV_b9# GIRR_V_01.00_05.00 USD 50,00 S_IRV_b8# GIRR_V_01.00_03.00 USD – 500,00 S_IRV_b7# GIRR_V_01.00_01.00 USD 200,00 S_IRV_b6# GIRR_V_01.00_00.50 USD 900,00 S_IRV_b5# GIRR_V_00.50_10.00 USD 100,00 S_IRV_c5# GIRR_V_00.50_10.00 CLP – 100,00 S_IRV_d5# GIRR_V_00.50_10.00 EUR –2 000,00 S_IRV_b4# GIRR_V_00.50_05.00 USD 100,00 S_IRV_c4# GIRR_V_00.50_05.00 CLP 100,00 S_IRV_d4# GIRR_V_00.50_05.00 EUR 1 500,00 S_IRV_b3# GIRR_V_00.50_03.00 USD – 500,00 S_IRV_c3# GIRR_V_00.50_03.00 CLP – 300,00 S_IRV_d3# GIRR_V_00.50_03.00 EUR 1 000,00 S_IRV_b2# GIRR_V_00.50_01.00 USD 400,00 S_IRV_c2# GIRR_V_00.50_01.00 CLP 150,00 S_IRV_d2# GIRR_V_00.50_01.00 EUR 3 750,00 S_IRV_a1# GIRR_V_00.50_00.50 USD – 100,00 S_IRV_b1# GIRR_V_00.50_00.50 USD 700,00 S_IRV_c1# GIRR_V_00.50_00.50 CLP 300,00 S_IRV_d1# GIRR_V_00.50_00.50 EUR –4 750,00 S_IRV_e1# GIRR_V_00.50_00.50 BRL – 500,00 S_IRD_b11# GIRR_D_INF USD –50 000,00 S_IRD_d11# GIRR_D_INF CLP 95 000,00 S_IRD_e11# GIRR_D_INF EUR DE –65 000,00 S_IRD_e13# GIRR_D_INF EUR FR – 100 000,00 S_IRD_d12# GIRR_D_CRO_USD CLP 10 500,00 S_IRD_e12# GIRR_D_CRO_USD EUR –85 000,00 S_IRD_b12# GIRR_D_CRO_EUR USD –65 000,00 S_IRD_b10# GIRR_D_30.00 USD OIS –50 000,00 S_IRD_c10# GIRR_D_30.00 USD Libor3m 10 000,00 S_IRD_d10# GIRR_D_30.00 CLP OIS 15 000,00 S_IRD_e10# GIRR_D_30.00 EUR OIS – 120 000,00 S_IRD_b9# GIRR_D_20.00 USD OIS 200 000,00 S_IRD_c9# GIRR_D_20.00 USD Libor3m –30 000,00 S_IRD_d9# GIRR_D_20.00 CLP OIS 90 000,00 S_IRD_e9# GIRR_D_20.00 EUR OIS 100,00 S_IRD_b8# GIRR_D_15.00 USD OIS 30 000,00 S_IRD_c8# GIRR_D_15.00 USD Libor3m 10 000,00 S_IRD_d8# GIRR_D_15.00 CLP OIS 70 000,00 S_IRD_e8# GIRR_D_15.00 EUR OIS 100,00 S_IRD_b7# GIRR_D_10.00 USD OIS 2 000,00 S_IRD_c7# GIRR_D_10.00 USD Libor3m – 100 000,00 S_IRD_d7# GIRR_D_10.00 CLP OIS –25 000,00 S_IRD_e7# GIRR_D_10.00 EUR OIS 100,00 S_IRD_b6# GIRR_D_05.00 USD OIS –90 000,00 S_IRD_c6# GIRR_D_05.00 USD Libor3m –35 000,00 S_IRD_d6# GIRR_D_05.00 CLP OIS –5 000,00 S_IRD_e6# GIRR_D_05.00 EUR OIS 100,00 S_IRD_b5# GIRR_D_03.00 USD OIS 85 000,00 S_IRD_c5# GIRR_D_03.00 USD Libor3m 55 000,00 S_IRD_d5# GIRR_D_03.00 CLP OIS – 100 000,00 S_IRD_e5# GIRR_D_03.00 EUR OIS 100,00 S_IRD_b4# GIRR_D_02.00 USD OIS –10 000,00 S_IRD_c4# GIRR_D_02.00 USD Libor3m 10 000,00 S_IRD_d4# GIRR_D_02.00 CLP OIS 5 000,00 S_IRD_e4# GIRR_D_02.00 EUR OIS 100,00 S_IRD_b3# GIRR_D_01.00 USD OIS –65 000,00 S_IRD_c3# GIRR_D_01.00 USD Libor3m 70 000,00 S_IRD_d3# GIRR_D_01.00 CLP OIS 10 000,00 S_IRD_e3# GIRR_D_01.00 EUR OIS –50 000,00 S_IRD_b2# GIRR_D_00.50 USD OIS 15 000,00 S_IRD_c2# GIRR_D_00.50 USD Libor3m –40 000,00 S_IRD_d2# GIRR_D_00.50 CLP OIS 45 000,00 S_IRD_e2# GIRR_D_00.50 EUR OIS 100,00 S_IRD_a1# GIRR_D_00.25 USD OIS 30 000,00 S_IRD_b1# GIRR_D_00.25 USD OIS 20 000,00 S_IRD_c1# GIRR_D_00.25 USD Libor3m –30 000,00 S_IRD_d1# GIRR_D_00.25 CLP OIS –30 000,00 S_IRD_e1# GIRR_D_00.25 EUR OIS 100,00 S_IRD_f1# GIRR_D_00.25 DKK OIS 100,00 S_IRC_a1# GIRR_CU USD –18 466,83 S_IRC_b1# GIRR_CU USD 92 233,09 S_IRC_c1# GIRR_CU CLP –1 270,00 S_IRC_d1# GIRR_CU EUR – 253,12 S_IRC_e1# GIRR_CU VND –11 950,00 S_IRC_a1# GIRR_CD USD 18 647,66 S_IRC_b1# GIRR_CD USD –93 178,71 S_IRC_c1# GIRR_CD CLP 450,00 S_IRC_d1# GIRR_CD EUR –3 237,08 S_IRC_e1# GIRR_CD VND –4 030,00 S_FXV_b4# FX_V_5.00 EUR_CLP 200,00 S_FXV_d4# FX_V_5.00 CHF_VND 1 500,00 S_FXV_b3# FX_V_3.00 EUR_CLP – 400,00 S_FXV_d3# FX_V_3.00 CHF_VND 1 000,00 S_FXV_b5# FX_V_10.00 EUR_CLP 150,00 S_FXV_d5# FX_V_10.00 CHF_VND –2 000,00 S_FXV_b2# FX_V_1.00 EUR_CLP 300,00 S_FXV_d2# FX_V_1.00 CHF_VND 3 750,00 S_FXV_a1# FX_V_0.50 EUR_CLP – 100,00 S_FXV_b1# FX_V_0.50 EUR_CLP 700,00 S_FXV_c1# FX_V_0.50 AUD_JPY 450,00 S_FXV_d1# FX_V_0.50 CHF_VND –4 800,00 S_FXD_a1# FX_D GBP 5 000,00 S_FXD_b1# FX_D GBP –8 000,00 S_FXD_c1# FX_D CLP 3 000,00 S_FXD_d1# FX_D DKK 1 000,00 S_FXD_f1# FX_D BGN 1 000,00 S_FXC_a1# FX_CU EUR –16 037,91 S_FXC_b1# FX_CU EUR 80 159,24 S_FXC_c1# FX_CU CLP – 800,00 S_FXC_d1# FX_CU JPY –1 472,88 S_FXC_e1# FX_CU VND –3 400,00 S_FXC_f1# FX_CU DKK –48,61 S_FXC_a1# FX_CD EUR 16 162,18 S_FXC_b1# FX_CD EUR –80 723,02 S_FXC_c1# FX_CD CLP 700,00 S_FXC_d1# FX_CD JPY –1 324,35 S_FXC_e1# FX_CD VND –2 100,00 S_FXC_f1# FX_CD DKK 48,61 S_EQV_a5# EQ_V_5.00 1 ISSUER A 100,00 S_EQV_aa4# EQ_V_5.00 5 ISSUER AA 1 200,00 S_EQV_ac1# EQ_V_5.00 7 ISSUER AC –50,00 S_EQV_ae4# EQ_V_5.00 9 ISSUER AE 600,00 S_EQV_af4# EQ_V_5.00 10 ISSUER AF 375,00 S_EQV_b4# EQ_V_5.00 1 ISSUER B 50,00 S_EQV_f4# EQ_V_5.00 5 ISSUER F 450,00 S_EQV_j4# EQ_V_5.00 9 ISSUER J – 200,00 S_EQV_k4# EQ_V_5.00 10 ISSUER K – 825,00 S_EQV_m1# EQ_V_5.00 11 ISSUER M – 700,00 S_EQV_n4# EQ_V_5.00 12 INDEX N 850,00 S_EQV_o4# EQ_V_5.00 12 INDEX O 150,00 S_EQV_y1# EQ_V_5.00 3 ISSUER Y 700,00 S_EQV_a4# EQ_V_3.00 1 ISSUER A – 500,00 S_EQV_aa3# EQ_V_3.00 5 ISSUER AA – 850,00 S_EQV_ad1# EQ_V_3.00 8 ISSUER AD 300,00 S_EQV_ae3# EQ_V_3.00 9 ISSUER AE – 450,00 S_EQV_af3# EQ_V_3.00 10 ISSUER AF – 725,00 S_EQV_b3# EQ_V_3.00 1 ISSUER B – 500,00 S_EQV_f3# EQ_V_3.00 5 ISSUER F 250,00 S_EQV_j3# EQ_V_3.00 9 ISSUER J – 900,00 S_EQV_k3# EQ_V_3.00 10 ISSUER K – 975,00 S_EQV_n3# EQ_V_3.00 12 INDEX N –1 250,00 S_EQV_o3# EQ_V_3.00 12 INDEX O 100,00 S_EQV_x1# EQ_V_3.00 2 ISSUER X – 200,00 S_EQV_z1# EQ_V_3.00 4 ISSUER Z – 800,00 S_EQV_a6# EQ_V_10.00 1 ISSUER A 100,00 S_EQV_aa5# EQ_V_10.00 5 ISSUER AA – 300,00 S_EQV_ab1# EQ_V_10.00 6 ISSUER AB – 400,00 S_EQV_ae5# EQ_V_10.00 9 ISSUER AE – 850,00 S_EQV_af5# EQ_V_10.00 10 ISSUER AF 525,00 S_EQV_b5# EQ_V_10.00 1 ISSUER B 500,00 S_EQV_f5# EQ_V_10.00 5 ISSUER F 600,00 S_EQV_j5# EQ_V_10.00 9 ISSUER J 150,00 S_EQV_k5# EQ_V_10.00 10 ISSUER K 300,00 S_EQV_n5# EQ_V_10.00 12 INDEX N 225,00 S_EQV_o5# EQ_V_10.00 12 INDEX O – 200,00 S_EQV_q1# EQ_V_10.00 13 INDEX Q – 800,00 S_EQV_a3# EQ_V_1.00 1 ISSUER A 400,00 S_EQV_aa2# EQ_V_1.00 5 ISSUER AA – 400,00 S_EQV_ae2# EQ_V_1.00 9 ISSUER AE – 250,00 S_EQV_af2# EQ_V_1.00 10 ISSUER AF –1 150,00 S_EQV_b2# EQ_V_1.00 1 ISSUER B 200,00 S_EQV_f2# EQ_V_1.00 5 ISSUER F – 750,00 S_EQV_j2# EQ_V_1.00 9 ISSUER J 350,00 S_EQV_k2# EQ_V_1.00 10 ISSUER K 1 050,00 S_EQV_n2# EQ_V_1.00 12 INDEX N – 800,00 S_EQV_o2# EQ_V_1.00 12 INDEX O 400,00 S_EQV_a1# EQ_V_0.50 1 ISSUER A – 100,00 S_EQV_a2# EQ_V_0.50 1 ISSUER A 700,00 S_EQV_aa1# EQ_V_0.50 5 ISSUER AA 950,00 S_EQV_ae1# EQ_V_0.50 9 ISSUER AE 50,00 S_EQV_af1# EQ_V_0.50 10 ISSUER AF – 300,00 S_EQV_b1# EQ_V_0.50 1 ISSUER B 900,00 S_EQV_c1# EQ_V_0.50 2 ISSUER C – 500,00 S_EQV_d1# EQ_V_0.50 3 ISSUER D 600,00 S_EQV_e1# EQ_V_0.50 4 ISSUER E – 800,00 S_EQV_f1# EQ_V_0.50 5 ISSUER F 1 000,00 S_EQV_g1# EQ_V_0.50 6 ISSUER G – 400,00 S_EQV_h1# EQ_V_0.50 7 ISSUER H –50,00 S_EQV_i1# EQ_V_0.50 8 ISSUER I 300,00 S_EQV_j1# EQ_V_0.50 9 ISSUER J 50,00 S_EQV_k1# EQ_V_0.50 10 ISSUER K – 300,00 S_EQV_l1# EQ_V_0.50 11 ISSUER L 1 000,00 S_EQV_n1# EQ_V_0.50 12 INDEX N 750,00 S_EQV_o1# EQ_V_0.50 12 INDEX O – 500,00 S_EQV_p1# EQ_V_0.50 13 INDEX P 40,00 S_EQD_a1# EQ_D_SPOT 1 ISSUER A 16 500,00 S_EQD_a2# EQ_D_SPOT 1 ISSUER A –35 000,00 S_EQD_b1# EQ_D_SPOT 1 ISSUER B 20 000,00 S_EQD_c1# EQ_D_SPOT 2 ISSUER C 66 000,00 S_EQD_d1# EQ_D_SPOT 3 ISSUER D 1 700,00 S_EQD_e1# EQ_D_SPOT 4 ISSUER E 1 100,00 S_EQD_f1# EQ_D_SPOT 5 ISSUER F 25 000,00 S_EQD_g1# EQ_D_SPOT 5 ISSUER G 8 400,00 S_EQD_h1# EQ_D_SPOT 6 ISSUER H 22 500,00 S_EQD_i1# EQ_D_SPOT 7 ISSUER I –12 300,00 S_EQD_j1# EQ_D_SPOT 8 ISSUER J – 450,00 S_EQD_k1# EQ_D_SPOT 9 ISSUER K – 143,00 S_EQD_l1# EQ_D_SPOT 9 ISSUER L – 143,00 S_EQD_m1# EQ_D_SPOT 10 ISSUER M – 100,00 S_EQD_n1# EQ_D_SPOT 10 ISSUER N – 100,00 S_EQD_o1# EQ_D_SPOT 11 ISSUER O –19 600,00 S_EQD_q1# EQ_D_SPOT 12 INDEX Q 1 100,00 S_EQD_r1# EQ_D_SPOT 12 INDEX R –40 000,00 S_EQD_s1# EQ_D_SPOT 13 INDEX S –1 950,00 S_EQD_s2# EQ_D_SPOT 13 INDEX S 280,00 S_EQD_t2# EQ_D_SPOT 13 INDEX T 3 150,00 S_EQD_u1# EQ_D_SPOT 9 ISSUER U –57,00 S_EQD_v1# EQ_D_SPOT 10 ISSUER V – 100,00 S_EQD_a3# EQ_D_REPO 1 ISSUER A 50 000,00 S_EQD_aa1# EQ_D_REPO 6 ISSUER AA 79 000,00 S_EQD_ab1# EQ_D_REPO 7 ISSUER AB 31 000,00 S_EQD_ac1# EQ_D_REPO 8 ISSUER AC –10 000,00 S_EQD_b2# EQ_D_REPO 1 ISSUER B –39 000,00 S_EQD_f2# EQ_D_REPO 5 ISSUER F 90 000,00 S_EQD_g2# EQ_D_REPO 5 ISSUER G 60 000,00 S_EQD_k2# EQ_D_REPO 9 ISSUER K –14 250,00 S_EQD_l2# EQ_D_REPO 9 ISSUER L – 150 000,00 S_EQD_m2# EQ_D_REPO 10 ISSUER M –85 000,00 S_EQD_n2# EQ_D_REPO 10 ISSUER N –72 000,00 S_EQD_p1# EQ_D_REPO 11 ISSUER P 48 000,00 S_EQD_q2# EQ_D_REPO 12 INDEX Q 85 000,00 S_EQD_r2# EQ_D_REPO 12 INDEX R –40 000,00 S_EQD_t1# EQ_D_REPO 13 INDEX T – 125 000,00 S_EQD_x1# EQ_D_REPO 2 ISSUER X 75 000,00 S_EQD_y1# EQ_D_REPO 3 ISSUER Y 4 800,00 S_EQD_z1# EQ_D_REPO 4 ISSUER Z –15 000,00 S_EQC_a1# EQ_CU 1 ISSUER A –37 820,00 S_EQC_a2# EQ_CU 1 ISSUER A 77 655,00 S_EQC_aa1# EQ_CU 2 ISSUER AA 39 300,00 S_EQC_ab1# EQ_CU 4 ISSUER AB 17 262,00 S_EQC_ac1# EQ_CU 5 ISSUER AC 7 139,60 S_EQC_ad1# EQ_CU 6 ISSUER AD –3 642,50 S_EQC_ae1# EQ_CU 7 ISSUER AE 3 900,00 S_EQC_af1# EQ_CU 8 ISSUER AF 41 550,00 S_EQC_ag1# EQ_CU 9 ISSUER AG 36 860,00 S_EQC_ah1# EQ_CU 10 ISSUER AH 22 150,00 S_EQC_b1# EQ_CU 1 ISSUER B 20 677,50 S_EQC_c1# EQ_CU 2 ISSUER C –31 440,00 S_EQC_d1# EQ_CU 3 ISSUER D 6 238,00 S_EQC_e1# EQ_CU 4 ISSUER E –21 605,00 S_EQC_f1# EQ_CU 5 ISSUER F –2 850,00 S_EQC_g1# EQ_CU 6 ISSUER G –3 642,50 S_EQC_h1# EQ_CU 7 ISSUER H –7 800,00 S_EQC_i1# EQ_CU 8 ISSUER I –29 550,00 S_EQC_j1# EQ_CU 9 ISSUER J – 216 320,00 S_EQC_k1# EQ_CU 10 ISSUER K 1 950,00 S_EQC_q1# EQ_CU 11 ISSUER Q –19 142,00 S_EQC_r1# EQ_CU 11 ISSUER R 28 713,00 S_EQC_s1# EQ_CU 3 ISSUER S –17 025,00 S_EQC_t1# EQ_CU 12 ISSUER T 7 466,67 S_EQC_u1# EQ_CU 13 ISSUER U 11 160,00 S_EQC_v1# EQ_CU 12 ISSUER V –39 200,00 S_EQC_w1# EQ_CU 13 ISSUER W –58 590,00 S_EQC_y1# EQ_CU 1 ISSUER Y –23 930,00 S_EQC_z1# EQ_CU 1 ISSUER Z –47 860,00 S_EQC_a1# EQ_CD 1 ISSUER A 39 157,50 S_EQC_a2# EQ_CD 1 ISSUER A –80 349,00 S_EQC_aa1# EQ_CD 2 ISSUER AA –30 600,00 S_EQC_ab1# EQ_CD 4 ISSUER AB –9 826,00 S_EQC_ac1# EQ_CD 5 ISSUER AC –5 414,60 S_EQC_ad1# EQ_CD 6 ISSUER AD 2 617,50 S_EQC_ae1# EQ_CD 7 ISSUER AE –2 720,00 S_EQC_af1# EQ_CD 8 ISSUER AF –28 250,00 S_EQC_ag1# EQ_CD 9 ISSUER AG –30 935,00 S_EQC_ah1# EQ_CD 10 ISSUER AH –15 025,00 S_EQC_b1# EQ_CD 1 ISSUER B – 238 910,00 S_EQC_c1# EQ_CD 2 ISSUER C 24 480,00 S_EQC_d1# EQ_CD 3 ISSUER D –6 068,00 S_EQC_e1# EQ_CD 4 ISSUER E 12 310,00 S_EQC_f1# EQ_CD 5 ISSUER F 2 160,00 S_EQC_g1# EQ_CD 6 ISSUER G 2 617,50 S_EQC_h1# EQ_CD 7 ISSUER H 5 440,00 S_EQC_i1# EQ_CD 8 ISSUER I 20 050,00 S_EQC_j1# EQ_CD 9 ISSUER J 181 560,00 S_EQC_k1# EQ_CD 10 ISSUER K –2 900,00 S_EQC_q1# EQ_CD 11 ISSUER Q 20 052,00 S_EQC_r1# EQ_CD 11 ISSUER R –30 078,00 S_EQC_s1# EQ_CD 3 ISSUER S –9 435,00 S_EQC_t1# EQ_CD 12 ISSUER T –7 400,00 S_EQC_u1# EQ_CD 13 ISSUER U –11 040,00 S_EQC_v1# EQ_CD 12 ISSUER V 38 850,00 S_EQC_w1# EQ_CD 13 ISSUER W 57 960,00 S_EQC_y1# EQ_CD 1 ISSUER Y 13 590,00 S_EQC_z1# EQ_CD 1 ISSUER Z 27 180,00 S_CNV_a5# CSR_NON_SEC_V_5.00 1 ISSUER A 100,00 S_CNV_b4# CSR_NON_SEC_V_5.00 1 ISSUER B 50,00 S_CNV_c4# CSR_NON_SEC_V_5.00 3 ISSUER C 150,00 S_CNV_hb1# CSR_NON_SEC_V_5.00 9 ISSUER HA – 750,00 S_CNV_a4# CSR_NON_SEC_V_3.00 1 ISSUER A – 500,00 S_CNV_ab1# CSR_NON_SEC_V_3.00 2 ISSUER AB 325,00 S_CNV_b3# CSR_NON_SEC_V_3.00 1 ISSUER B – 500,00 S_CNV_c3# CSR_NON_SEC_V_3.00 3 ISSUER C 100,00 S_CNV_v1# CSR_NON_SEC_V_3.00 20 INDEX V 500,00 S_CNV_a6# CSR_NON_SEC_V_10.00 1 ISSUER A 100,00 S_CNV_b5# CSR_NON_SEC_V_10.00 1 ISSUER B 500,00 S_CNV_c5# CSR_NON_SEC_V_10.00 3 ISSUER C – 200,00 S_CNV_a3# CSR_NON_SEC_V_1.00 1 ISSUER A 400,00 S_CNV_b2# CSR_NON_SEC_V_1.00 1 ISSUER B 200,00 S_CNV_c2# CSR_NON_SEC_V_1.00 3 ISSUER C 400,00 S_CNV_a1# CSR_NON_SEC_V_0.50 1 ISSUER A – 100,00 S_CNV_a2# CSR_NON_SEC_V_0.50 1 ISSUER A 700,00 S_CNV_b1# CSR_NON_SEC_V_0.50 1 ISSUER B 900,00 S_CNV_c1# CSR_NON_SEC_V_0.50 3 ISSUER C – 500,00 S_CNV_d1# CSR_NON_SEC_V_0.50 4 ISSUER D 700,00 S_CNV_e1# CSR_NON_SEC_V_0.50 5 ISSUER E – 800,00 S_CNV_f1# CSR_NON_SEC_V_0.50 6 ISSUER F 700,00 S_CNV_g1# CSR_NON_SEC_V_0.50 7 ISSUER G – 400,00 S_CNV_h1# CSR_NON_SEC_V_0.50 8 ISSUER H –50,00 S_CNV_i1# CSR_NON_SEC_V_0.50 10 ISSUER I 300,00 S_CNV_j1# CSR_NON_SEC_V_0.50 11 ISSUER J 50,00 S_CNV_k1# CSR_NON_SEC_V_0.50 12 ISSUER K – 300,00 S_CNV_l1# CSR_NON_SEC_V_0.50 13 ISSUER L 1 000,00 S_CNV_m1# CSR_NON_SEC_V_0.50 14 ISSUER M – 350,00 S_CNV_n1# CSR_NON_SEC_V_0.50 15 ISSUER N 950,00 S_CNV_o1# CSR_NON_SEC_V_0.50 16 ISSUER O – 900,00 S_CNV_p1# CSR_NON_SEC_V_0.50 17 ISSUER P 200,00 S_CNV_q1# CSR_NON_SEC_V_0.50 18 ISSUER Q 400,00 S_CNV_r1# CSR_NON_SEC_V_0.50 18 ISSUER R – 300,00 S_CNV_s1# CSR_NON_SEC_V_0.50 19 INDEX S 850,00 S_CNV_t1# CSR_NON_SEC_V_0.50 20 INDEX T – 650,00 S_CNV_u1# CSR_NON_SEC_V_0.50 19 INDEX U – 350,00 S_CND_hb2# CSR_NON_SEC_D_3.00_DEBT 9 ISSUER HB –17 000,00 S_CND_t1# CSR_NON_SEC_D_3.00_DEBT 3 ISSUER T –6 000,00 S_CND_y1# CSR_NON_SEC_D_3.00_DEBT 20 INDEX Y 9 000,00 S_CND_ab2# CSR_NON_SEC_D_3.00_CDS 2 ISSUER AC 14 000,00 S_CND_b2# CSR_NON_SEC_D_3.00_CDS 1 ISSUER B –17 000,00 S_CND_w1# CSR_NON_SEC_D_10.00_DEBT 10 ISSUER W CQS 1 9 000,00 S_CND_a4# CSR_NON_SEC_D_1.00_DEBT 1 ISSUER A –10 000,00 S_CND_s1# CSR_NON_SEC_D_1.00_DEBT 3 ISSUER S –6 000,00 S_CND_x1# CSR_NON_SEC_D_1.00_CDS 19 INDEX X –18 500,00 S_CND_a1# CSR_NON_SEC_D_0.50_DEBT 1 ISSUER A 20 000,00 S_CND_a2# CSR_NON_SEC_D_0.50_DEBT 1 ISSUER A –30 000,00 S_CND_b1# CSR_NON_SEC_D_0.50_DEBT 1 ISSUER B 12 000,00 S_CND_c1# CSR_NON_SEC_D_0.50_DEBT 3 ISSUER C –6 000,00 S_CND_d1# CSR_NON_SEC_D_0.50_DEBT 4 ISSUER D 25 000,00 S_CND_e1# CSR_NON_SEC_D_0.50_DEBT 5 ISSUER E –4 000,00 S_CND_f1# CSR_NON_SEC_D_0.50_DEBT 6 ISSUER F –8 000,00 S_CND_g1# CSR_NON_SEC_D_0.50_DEBT 7 ISSUER G 8 000,00 S_CND_h1# CSR_NON_SEC_D_0.50_DEBT 8 ISSUER H 3 000,00 S_CND_hb1# CSR_NON_SEC_D_0.50_DEBT 9 ISSUER HA –23 000,00 S_CND_i1# CSR_NON_SEC_D_0.50_DEBT 10 ISSUER I CQS 2 –5 000,00 S_CND_j1# CSR_NON_SEC_D_0.50_DEBT 11 ISSUER J 2 000,00 S_CND_k1# CSR_NON_SEC_D_0.50_DEBT 12 ISSUER K 7 000,00 S_CND_l1# CSR_NON_SEC_D_0.50_DEBT 13 ISSUER L –9 000,00 S_CND_m1# CSR_NON_SEC_D_0.50_DEBT 14 ISSUER M 10 000,00 S_CND_n1# CSR_NON_SEC_D_0.50_DEBT 15 ISSUER N –20 000,00 S_CND_o1# CSR_NON_SEC_D_0.50_DEBT 16 ISSUER O 5 000,00 S_CND_p1# CSR_NON_SEC_D_0.50_DEBT 17 ISSUER P –3 000,00 S_CND_q1# CSR_NON_SEC_D_0.50_DEBT 18 ISSUER Q 10 000,00 S_CND_r1# CSR_NON_SEC_D_0.50_DEBT 18 ISSUER R –5 000,00 S_CND_a3# CSR_NON_SEC_D_0.50_CDS 1 ISSUER A 15 000,00 S_CND_ab1# CSR_NON_SEC_D_0.50_CDS 2 ISSUER AB 21 000,00 S_CND_u1# CSR_NON_SEC_D_0.50_CDS 19 INDEX U –32 000,00 S_CND_v1# CSR_NON_SEC_D_0.50_CDS 20 INDEX V –13 000,00 S_CND_x2# CSR_NON_SEC_D_0.50_CDS 19 INDEX X 52 500,00 S_CNC_a1# CSR_NON_SEC_CU 1 ISSUER A –2 338,64 S_CNC_a2# CSR_NON_SEC_CU 1 ISSUER A 35 116,67 S_CNC_aa1# CSR_NON_SEC_CU 10 ISSUER AA CQS 1 –1 212,50 S_CNC_ab1# CSR_NON_SEC_CU 2 ISSUER AB1 – 247,47 S_CNC_b1# CSR_NON_SEC_CU 1 ISSUER B 890,91 S_CNC_c1# CSR_NON_SEC_CU 3 ISSUER C – 500,00 S_CNC_d1# CSR_NON_SEC_CU 4 ISSUER D 415,00 S_CNC_e1# CSR_NON_SEC_CU 5 ISSUER E –1 050,00 S_CNC_f1# CSR_NON_SEC_CU 6 ISSUER F – 150,00 S_CNC_g1# CSR_NON_SEC_CU 7 ISSUER G – 318,75 S_CNC_h1# CSR_NON_SEC_CU 8 ISSUER H – 425,00 S_CNC_hb1# CSR_NON_SEC_CU 9 ISSUER HB1 – 500,00 S_CNC_i1# CSR_NON_SEC_CU 10 ISSUER I CQS 2 – 937,50 S_CNC_j1# CSR_NON_SEC_CU 11 ISSUER J –4 650,00 S_CNC_k1# CSR_NON_SEC_CU 12 ISSUER K – 425,00 S_CNC_l1# CSR_NON_SEC_CU 13 ISSUER L –27 660,00 S_CNC_m1# CSR_NON_SEC_CU 14 ISSUER M – 488,00 S_CNC_n1# CSR_NON_SEC_CU 15 ISSUER N 13 237,50 S_CNC_o1# CSR_NON_SEC_CU 16 ISSUER O –1 127,50 S_CNC_p1# CSR_NON_SEC_CU 17 ISSUER P –5 775,00 S_CNC_q1# CSR_NON_SEC_CU 18 ISSUER Q –7 842,00 S_CNC_r1# CSR_NON_SEC_CU 18 ISSUER R 15 684,00 S_CNC_s1# CSR_NON_SEC_CU 4 ISSUER S – 750,00 S_CNC_t1# CSR_NON_SEC_CU 19 ISSUER T 3 550,00 S_CNC_u1# CSR_NON_SEC_CU 20 ISSUER U 1 660,00 S_CNC_v1# CSR_NON_SEC_CU 19 ISSUER V –18 637,50 S_CNC_w1# CSR_NON_SEC_CU 20 ISSUER W –8 715,00 S_CNC_x1# CSR_NON_SEC_CU 3 ISSUER X – 500,00 S_CNC_y1# CSR_NON_SEC_CU 1 ISSUER Y – 249,95 S_CNC_z1# CSR_NON_SEC_CU 1 ISSUER Z – 249,95 S_CNC_a1# CSR_NON_SEC_CD 1 ISSUER A 2 363,38 S_CNC_a2# CSR_NON_SEC_CD 1 ISSUER A –35 314,65 S_CNC_aa1# CSR_NON_SEC_CD 10 ISSUER AA CQS 1 1 150,00 S_CNC_ab1# CSR_NON_SEC_CD 2 ISSUER AB1 247,47 S_CNC_b1# CSR_NON_SEC_CD 1 ISSUER B –5 543,43 S_CNC_c1# CSR_NON_SEC_CD 3 ISSUER C 500,00 S_CNC_d1# CSR_NON_SEC_CD 4 ISSUER D – 385,00 S_CNC_e1# CSR_NON_SEC_CD 5 ISSUER E 575,00 S_CNC_f1# CSR_NON_SEC_CD 6 ISSUER F 75,00 S_CNC_g1# CSR_NON_SEC_CD 7 ISSUER G 287,50 S_CNC_h1# CSR_NON_SEC_CD 8 ISSUER H 400,00 S_CNC_hb1# CSR_NON_SEC_CD 9 ISSUER HB1 500,00 S_CNC_i1# CSR_NON_SEC_CD 10 ISSUER I CQS 2 750,00 S_CNC_j1# CSR_NON_SEC_CD 11 ISSUER J 4 100,00 S_CNC_k1# CSR_NON_SEC_CD 12 ISSUER K 387,50 S_CNC_l1# CSR_NON_SEC_CD 13 ISSUER L 22 130,00 S_CNC_m1# CSR_NON_SEC_CD 14 ISSUER M 160,00 S_CNC_n1# CSR_NON_SEC_CD 15 ISSUER N –23 437,50 S_CNC_o1# CSR_NON_SEC_CD 16 ISSUER O 1 246,25 S_CNC_p1# CSR_NON_SEC_CD 17 ISSUER P 6 225,00 S_CNC_q1# CSR_NON_SEC_CD 18 ISSUER Q 8 752,00 S_CNC_r1# CSR_NON_SEC_CD 18 ISSUER R –17 504,00 S_CNC_s1# CSR_NON_SEC_CD 4 ISSUER S – 250,00 S_CNC_t1# CSR_NON_SEC_CD 19 ISSUER T –3 500,00 S_CNC_u1# CSR_NON_SEC_CD 20 ISSUER U –1 540,00 S_CNC_v1# CSR_NON_SEC_CD 19 ISSUER V 18 375,00 S_CNC_w1# CSR_NON_SEC_CD 20 ISSUER W 8 085,00 S_CNC_x1# CSR_NON_SEC_CD 3 ISSUER X 500,00 S_CNC_y1# CSR_NON_SEC_CD 1 ISSUER Y – 226,77 S_CNC_z1# CSR_NON_SEC_CD 1 ISSUER Z – 226,77 S_CMV_a5# CM_V_5.00 1 COAL – 300,00 S_CMV_b4# CM_V_5.00 1 URANIUM 450,00 S_CMV_a4# CM_V_3.00 1 COAL 800,00 S_CMV_b3# CM_V_3.00 1 URANIUM 800,00 S_CMV_a6# CM_V_10.00 1 COAL 100,00 S_CMV_b5# CM_V_10.00 1 URANIUM – 250,00 S_CMV_a3# CM_V_1.00 1 COAL – 200,00 S_CMV_b2# CM_V_1.00 1 URANIUM – 750,00 S_CMV_d1# CM_V_1.00 2 WTI – 175,00 S_CMV_f1# CM_V_1.00 3 FWD ELECTRICITY NE – 450,00 S_CMV_h1# CM_V_1.00 4 PANAMAX –5 500,00 S_CMV_j1# CM_V_1.00 5 COPPER – 200,00 S_CMV_l1# CM_V_1.00 6 LIQUEFIED NATURAL GAS 1 000,00 S_CMV_n1# CM_V_1.00 7 SILVER 500,00 S_CMV_p1# CM_V_1.00 8 CORN –1 000,00 S_CMV_r1# CM_V_1.00 9 WHEY – 125,00 S_CMV_t1# CM_V_1.00 10 RUBBER –50,00 S_CMV_v1# CM_V_1.00 11 POTASH –1 800,00 S_CMV_a1# CM_V_0.50 1 COAL 1 000,00 S_CMV_a2# CM_V_0.50 1 COAL – 350,00 S_CMV_b1# CM_V_0.50 1 URANIUM 150,00 S_CMV_c1# CM_V_0.50 2 BRENT 200,00 S_CMV_e1# CM_V_0.50 3 SPOT ELECTRICITY SE – 300,00 S_CMV_g1# CM_V_0.50 4 SUPRAMAX –5 000,00 S_CMV_i1# CM_V_0.50 5 STEEL 550,00 S_CMV_k1# CM_V_0.50 6 NATURAL GAS 400,00 S_CMV_m1# CM_V_0.50 7 GOLD – 200,00 S_CMV_o1# CM_V_0.50 8 SOYBEANS – 750,00 S_CMV_q1# CM_V_0.50 9 FISH 250,00 S_CMV_s1# CM_V_0.50 10 COCOA 350,00 S_CMV_u1# CM_V_0.50 11 FLAT GLASS 3 000,00 S_CMV_w1# CM_V_0.50 4 SUPRAMAX –5 000,00 S_CMV_x1# CM_V_0.50 4 PANAMAX 15 000,00 S_CMD_p1# CM_D_30.00 8 CORN OKLAHOMA –10 000,00 S_CMD_f1# CM_D_3.00 3 FWD ELECTRICITY NE TEXAS –4 500,00 S_CMD_h1# CM_D_3.00 4 PANAMAX NEW ORLEANS –68 750,00 S_CMD_n1# CM_D_20.00 7 SILVER EU1 5 000,00 S_CMD_r1# CM_D_20.00 9 WHEY NEWCASTLE –1 250,00 S_CMD_d1# CM_D_2.00 2 WTI OKLAHOMA –1 750,00 S_CMD_l1# CM_D_15.00 6 LIQUEFIED NATURAL GAS OKLAHOMA 10 000,00 S_CMD_t1# CM_D_15.00 10 RUBBER NEWCASTLE – 500,00 S_CMD_j1# CM_D_10.00 5 COPPER OKLAHOMA –2 000,00 S_CMD_v1# CM_D_10.00 11 POTASH NEWCASTLE –18 000,00 S_CMD_b1# CM_D_1.00 1 URANIUM OKLAHOMA 1 500,00 S_CMD_g1# CM_D_1.00 4 SUPRAMAX SANTOS –62 500,00 S_CMD_w1# CM_D_1.00 4 SUPRAMAX SANTOS –62 500,00 S_CMD_x1# CM_D_1.00 4 PANAMAX NEW ORLEANS 187 500,00 S_CMD_a4# CM_D_0.50 1 COAL NEWCASTLE 8 000,00 S_CMD_a1# CM_D_0.00 1 COAL NEWCASTLE 10 000,00 S_CMD_a2# CM_D_0.00 1 COAL NEWCASTLE –3 500,00 S_CMD_a3# CM_D_0.00 1 COAL LONDON –2 000,00 S_CMD_c1# CM_D_0.00 2 BRENT LE HAVRE 2 000,00 S_CMD_e1# CM_D_0.00 3 SPOT ELECTRICITY SE LONDON –3 000,00 S_CMD_i1# CM_D_0.00 5 STEEL LE HAVRE 5 500,00 S_CMD_k1# CM_D_0.00 6 NATURAL GAS LE HAVRE 4 000,00 S_CMD_m1# CM_D_0.00 7 GOLD UK1 –2 000,00 S_CMD_o1# CM_D_0.00 8 SOYBEANS LE HAVRE –7 500,00 S_CMD_q1# CM_D_0.00 9 FISH LONDON 2 500,00 S_CMD_s1# CM_D_0.00 10 COCOA LONDON 3 500,00 S_CMD_u1# CM_D_0.00 11 FLAT GLASS LONDON 30 000,00 S_CMC_a1# CM_CU 1 COAL 17 335,00 S_CMC_a2# CM_CU 1 COAL 36 936,00 S_CMC_b1# CM_CU 1 URANIUM 6 635,00 S_CMC_c1# CM_CU 2 BRENT –11 600,00 S_CMC_d1# CM_CU 2 WTI –36 900,00 S_CMC_e1# CM_CU 3 SPOT ELECTRICITY SE 8 563,00 S_CMC_f1# CM_CU 3 FWD ELECTRICITY NE –27 250,00 S_CMC_g1# CM_CU 4 SUPRAMAX –36 880,00 S_CMC_h1# CM_CU 4 PANAMAX 29 472,00 S_CMC_i1# CM_CU 5 STEEL –5 850,00 S_CMC_j1# CM_CU 5 COPPER 14 644,80 S_CMC_k1# CM_CU 6 NATURAL GAS –6 147,50 S_CMC_l1# CM_CU 6 LIQUEFIED NATURAL GAS –6 147,50 S_CMC_m1# CM_CU 7 GOLD –1 486,67 S_CMC_n1# CM_CU 7 SILVER 743,33 S_CMC_o1# CM_CU 8 SOYBEANS –14 535,00 S_CMC_p1# CM_CU 8 CORN 20 475,00 S_CMC_q1# CM_CU 9 FISH –19 900,00 S_CMC_r1# CM_CU 9 WHEY 3 387,00 S_CMC_s1# CM_CU 10 COCOA 1 005,00 S_CMC_t1# CM_CU 10 RUBBER 10 892,20 S_CMC_u1# CM_CU 11 FLAT GLASS –13 790,00 S_CMC_v1# CM_CU 11 POTASH 20 685,00 S_CMC_x1# CM_CU 9 MILK –6 300,00 S_CMC_y1# CM_CU 1 URANIUM –65 864,00 S_CMC_z1# CM_CU 4 PANAMAX 29 472,00 S_CMC_a1# CM_CD 1 COAL –18 260,00 S_CMC_a2# CM_CD 1 COAL –37 630,00 S_CMC_b1# CM_CD 1 URANIUM –70 460,00 S_CMC_c1# CM_CD 2 BRENT 8 320,00 S_CMC_d1# CM_CD 2 WTI 3 550,00 S_CMC_e1# CM_CD 3 SPOT ELECTRICITY SE –8 233,00 S_CMC_f1# CM_CD 3 FWD ELECTRICITY NE 16 370,00 S_CMC_g1# CM_CD 4 SUPRAMAX 29 110,00 S_CMC_h1# CM_CD 4 PANAMAX –15 256,00 S_CMC_i1# CM_CD 5 STEEL 4 080,00 S_CMC_j1# CM_CD 5 COPPER –10 219,80 S_CMC_k1# CM_CD 6 NATURAL GAS 4 222,50 S_CMC_l1# CM_CD 6 LIQUEFIED NATURAL GAS 4 222,50 S_CMC_m1# CM_CD 7 GOLD 1 353,33 S_CMC_n1# CM_CD 7 SILVER – 676,67 S_CMC_o1# CM_CD 8 SOYBEANS 10 435,00 S_CMC_p1# CM_CD 8 CORN –14 735,00 S_CMC_q1# CM_CD 9 FISH 6 700,00 S_CMC_r1# CM_CD 9 WHEY –3 012,00 S_CMC_s1# CM_CD 10 COCOA –1 415,00 S_CMC_t1# CM_CD 10 RUBBER –7 817,20 S_CMC_u1# CM_CD 11 FLAT GLASS 14 200,00 S_CMC_v1# CM_CD 11 POTASH –21 300,00 S_CMC_x1# CM_CD 9 MILK –4 700,00 S_CMC_y1# CM_CD 1 URANIUM –66 344,00 S_CMC_z1# CM_CD 4 PANAMAX –22 856,00 Portfolio Risk class Component Instruments G000 GIRR DELTA S_IRD_a1# G001 GIRR DELTA S_IRD_b1# G002 GIRR DELTA S_IRD_b2# G003 GIRR DELTA S_IRD_b3# G004 GIRR DELTA S_IRD_b4# G005 GIRR DELTA S_IRD_b5# G006 GIRR DELTA S_IRD_b6# G007 GIRR DELTA S_IRD_b7# G008 GIRR DELTA S_IRD_b8# G009 GIRR DELTA S_IRD_b9# G010 GIRR DELTA S_IRD_b10# G011 GIRR DELTA S_IRD_b11# G012 GIRR DELTA S_IRD_b12# G013 GIRR DELTA S_IRD_d1# G014 GIRR DELTA S_IRD_d2# G015 GIRR DELTA S_IRD_d3# G016 GIRR DELTA S_IRD_d4# G017 GIRR DELTA S_IRD_d5# G018 GIRR DELTA S_IRD_d6# G019 GIRR DELTA S_IRD_d7# G020 GIRR DELTA S_IRD_d8# G021 GIRR DELTA S_IRD_d9# G022 GIRR DELTA S_IRD_d10# G023 GIRR DELTA S_IRD_d11# G024 GIRR DELTA S_IRD_d12# G025 GIRR DELTA S_IRD_a1# S_IRD_b1# G026 GIRR DELTA S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# G027 GIRR DELTA S_IRD_b1# S_IRD_c1# G028 GIRR DELTA S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_c1# S_IRD_c2# S_IRD_c3# S_IRD_c4# S_IRD_c5# S_IRD_c6# S_IRD_c7# S_IRD_c8# S_IRD_c9# S_IRD_c10# G029 GIRR DELTA S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11# G030 GIRR DELTA S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11# S_IRD_b12# G031 GIRR DELTA S_IRD_c2# S_IRD_c3# S_IRD_c6# G032 GIRR DELTA S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11# S_IRD_b12# S_IRD_c1# S_IRD_c2# S_IRD_c3# S_IRD_c4# S_IRD_c5# S_IRD_c6# S_IRD_c7# S_IRD_c8# S_IRD_c9# S_IRD_c10# S_IRD_d1# S_IRD_d2# S_IRD_d3# S_IRD_d4# S_IRD_d5# S_IRD_d6# S_IRD_d7# S_IRD_d8# S_IRD_d9# S_IRD_d10# S_IRD_d11# S_IRD_d12# G033 GIRR DELTA S_IRD_d1# S_IRD_d2# S_IRD_d3# S_IRD_d4# S_IRD_d5# S_IRD_d6# S_IRD_d7# S_IRD_d8# S_IRD_d9# S_IRD_d10# S_IRD_d11# S_IRD_d12# S_IRD_e1# S_IRD_e2# S_IRD_e3# S_IRD_e4# S_IRD_e5# S_IRD_e6# S_IRD_e7# S_IRD_e8# S_IRD_e9# S_IRD_e10# S_IRD_e11# S_IRD_e12# S_IRD_e13# G034 GIRR DELTA S_IRD_a1# S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11# S_IRD_b12# S_IRD_c1# S_IRD_c2# S_IRD_c3# S_IRD_c4# S_IRD_c5# S_IRD_c6# S_IRD_c7# S_IRD_c8# S_IRD_c9# S_IRD_c10# S_IRD_d1# S_IRD_d2# S_IRD_d3# S_IRD_d4# S_IRD_d5# S_IRD_d6# S_IRD_d7# S_IRD_d8# S_IRD_d9# S_IRD_d10# S_IRD_d11# S_IRD_d12# S_IRD_e1# S_IRD_e2# S_IRD_e3# S_IRD_e4# S_IRD_e5# S_IRD_e6# S_IRD_e7# S_IRD_e8# S_IRD_e9# S_IRD_e10# S_IRD_e11# S_IRD_e12# S_IRD_e13# S_IRD_f1# G035 GIRR VEGA S_IRV_b1# G036 GIRR VEGA S_IRV_a1# S_IRV_b1# G037 GIRR VEGA S_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5# G038 GIRR VEGA S_IRV_b1# S_IRV_b6# S_IRV_b11# S_IRV_b16# S_IRV_b21# G039 GIRR VEGA S_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5# S_IRV_b6# S_IRV_b7# S_IRV_b8# S_IRV_b9# S_IRV_b10# S_IRV_b11# S_IRV_b12# S_IRV_b13# S_IRV_b14# S_IRV_b15# S_IRV_b16# S_IRV_b17# S_IRV_b18# S_IRV_b19# S_IRV_b20# S_IRV_b21# S_IRV_b22# S_IRV_b23# S_IRV_b24# S_IRV_b25# G040 GIRR VEGA S_IRV_e1# S_IRV_e2# G041 GIRR VEGA S_IRV_e1# S_IRV_e3# G042 GIRR VEGA S_IRV_d1# S_IRV_d2# S_IRV_d3# S_IRV_d4# S_IRV_d5# G043 GIRR VEGA S_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5# S_IRV_b6# S_IRV_b7# S_IRV_b8# S_IRV_b9# S_IRV_b10# S_IRV_b11# S_IRV_b12# S_IRV_b13# S_IRV_b14# S_IRV_b15# S_IRV_b16# S_IRV_b17# S_IRV_b18# S_IRV_b19# S_IRV_b20# S_IRV_b21# S_IRV_b22# S_IRV_b23# S_IRV_b24# S_IRV_b25# S_IRV_c1# S_IRV_c2# S_IRV_c3# S_IRV_c4# S_IRV_c5# G044 GIRR VEGA S_IRV_c1# S_IRV_c2# S_IRV_c3# S_IRV_c4# S_IRV_c5# S_IRV_d1# S_IRV_d2# S_IRV_d3# S_IRV_d4# S_IRV_d5# G045 GIRR VEGA S_IRV_a1# S_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5# S_IRV_b6# S_IRV_b7# S_IRV_b8# S_IRV_b9# S_IRV_b10# S_IRV_b11# S_IRV_b12# S_IRV_b13# S_IRV_b14# S_IRV_b15# S_IRV_b16# S_IRV_b17# S_IRV_b18# S_IRV_b19# S_IRV_b20# S_IRV_b21# S_IRV_b22# S_IRV_b23# S_IRV_b24# S_IRV_b25# S_IRV_c1# S_IRV_c2# S_IRV_c3# S_IRV_c4# S_IRV_c5# S_IRV_d1# S_IRV_d2# S_IRV_d3# S_IRV_d4# S_IRV_d5# S_IRV_e1# S_IRV_e2# S_IRV_e3# G046 GIRR CURVATURE S_IRC_b1# G047 GIRR CURVATURE S_IRC_c1# G048 GIRR CURVATURE S_IRC_a1# S_IRC_b1# G049 GIRR CURVATURE S_IRC_d1# G050 GIRR CURVATURE S_IRC_b1# S_IRC_c1# G051 GIRR CURVATURE S_IRC_c1# S_IRC_e1# G052 GIRR CURVATURE S_IRC_d1# S_IRC_e1# G053 GIRR CURVATURE S_IRC_a1# S_IRC_a1# S_IRC_b1# S_IRC_b1# S_IRC_c1# S_IRC_c1# S_IRC_d1# S_IRC_d1# S_IRC_e1# S_IRC_e1# G054 GIRR ALL S_IRD_a1# S_IRD_b1# S_IRD_b2# S_IRD_b3# S_IRD_b4# S_IRD_b5# S_IRD_b6# S_IRD_b7# S_IRD_b8# S_IRD_b9# S_IRD_b10# S_IRD_b11# S_IRD_b12# S_IRD_c1# S_IRD_c2# S_IRD_c3# S_IRD_c4# S_IRD_c5# S_IRD_c6# S_IRD_c7# S_IRD_c8# S_IRD_c9# S_IRD_c10# S_IRD_d1# S_IRD_d2# S_IRD_d3# S_IRD_d4# S_IRD_d5# S_IRD_d6# S_IRD_d7# S_IRD_d8# S_IRD_d9# S_IRD_d10# S_IRD_d11# S_IRD_d12# S_IRD_e1# S_IRD_e2# S_IRD_e3# S_IRD_e4# S_IRD_e5# S_IRD_e6# S_IRD_e7# S_IRD_e8# S_IRD_e9# S_IRD_e10# S_IRD_e11# S_IRD_e12# S_IRD_e13# S_IRD_f1# S_IRV_a1# S_IRV_b1# S_IRV_b2# S_IRV_b3# S_IRV_b4# S_IRV_b5# S_IRV_b6# S_IRV_b7# S_IRV_b8# S_IRV_b9# S_IRV_b10# S_IRV_b11# S_IRV_b12# S_IRV_b13# S_IRV_b14# S_IRV_b15# S_IRV_b16# S_IRV_b17# S_IRV_b18# S_IRV_b19# S_IRV_b20# S_IRV_b21# S_IRV_b22# S_IRV_b23# S_IRV_b24# S_IRV_b25# S_IRV_c1# S_IRV_c2# S_IRV_c3# S_IRV_c4# S_IRV_c5# S_IRV_d1# S_IRV_d2# S_IRV_d3# S_IRV_d4# S_IRV_d5# S_IRV_e1# S_IRV_e2# S_IRV_e3# S_IRC_a1# S_IRC_a1# S_IRC_b1# S_IRC_b1# S_IRC_c1# S_IRC_c1# S_IRC_d1# S_IRC_d1# S_IRC_e1# S_IRC_e1# G055 GIRR DELTA S_IRD_e11# S_IRD_e13# G056 GIRR DELTA S_IRD_e1# S_IRD_f1# E001 EQ DELTA S_EQD_a2# E002 EQ DELTA S_EQD_c1# E003 EQ DELTA S_EQD_d1# E004 EQ DELTA S_EQD_e1# E005 EQ DELTA S_EQD_f1# E006 EQ DELTA S_EQD_h1# E007 EQ DELTA S_EQD_i1# E008 EQ DELTA S_EQD_j1# E009 EQ DELTA S_EQD_k1# E010 EQ DELTA S_EQD_m1# E011 EQ DELTA S_EQD_o1# E012 EQ DELTA S_EQD_q1# E013 EQ DELTA S_EQD_s1# E014 EQ DELTA S_EQD_a3# E015 EQ DELTA S_EQD_x1# E016 EQ DELTA S_EQD_y1# E017 EQ DELTA S_EQD_z1# E018 EQ DELTA S_EQD_f2# E019 EQ DELTA S_EQD_aa1# E020 EQ DELTA S_EQD_ab1# E021 EQ DELTA S_EQD_ac1# E022 EQ DELTA S_EQD_k2# E023 EQ DELTA S_EQD_m2# E024 EQ DELTA S_EQD_p1# E025 EQ DELTA S_EQD_q2# E026 EQ DELTA S_EQD_t1# E027 EQ DELTA S_EQD_a1# S_EQD_a2# E028 EQ DELTA S_EQD_a2# S_EQD_a3# E029 EQ DELTA S_EQD_a2# S_EQD_b1# E030 EQ DELTA S_EQD_a2# S_EQD_b2# E031 EQ DELTA S_EQD_f1# S_EQD_f2# E032 EQ DELTA S_EQD_f1# S_EQD_g1# E033 EQ DELTA S_EQD_f1# S_EQD_g2# E034 EQ DELTA S_EQD_k1# S_EQD_k2# E035 EQ DELTA S_EQD_k1# S_EQD_l1# E036 EQ DELTA S_EQD_k1# S_EQD_l2# E037 EQ DELTA S_EQD_m1# S_EQD_m2# E038 EQ DELTA S_EQD_m1# S_EQD_n1# E039 EQ DELTA S_EQD_m1# S_EQD_n2# E040 EQ DELTA S_EQD_o1# S_EQD_p1# E041 EQ DELTA S_EQD_q1# S_EQD_q2# E042 EQ DELTA S_EQD_q1# S_EQD_r1# E043 EQ DELTA S_EQD_s1# S_EQD_t1# E044 EQ DELTA S_EQD_s1# S_EQD_t1# S_EQD_t2# E045 EQ DELTA S_EQD_a2# S_EQD_c1# S_EQD_d1# S_EQD_e1# S_EQD_f1# S_EQD_h1# S_EQD_i1# S_EQD_j1# S_EQD_k1# S_EQD_m1# E046 EQ DELTA S_EQD_a2# S_EQD_o1# E047 EQ DELTA S_EQD_q1# S_EQD_s1# E048 EQ DELTA S_EQD_a2# S_EQD_q1# E049 EQ DELTA S_EQD_k1# S_EQD_l1# S_EQD_m1# S_EQD_n1# S_EQD_q1# S_EQD_s2# S_EQD_u1# S_EQD_v1# E050 EQ DELTA S_EQD_a1# S_EQD_a2# S_EQD_a3# S_EQD_b1# S_EQD_b2# S_EQD_c1# S_EQD_x1# S_EQD_d1# S_EQD_y1# S_EQD_e1# S_EQD_z1# S_EQD_f1# S_EQD_f2# S_EQD_g1# S_EQD_g2# S_EQD_h1# S_EQD_aa1# S_EQD_i1# S_EQD_ab1# S_EQD_j1# S_EQD_ac1# S_EQD_k1# S_EQD_k2# S_EQD_l1# S_EQD_l2# S_EQD_m1# S_EQD_m2# S_EQD_n1# S_EQD_n2# S_EQD_o1# S_EQD_p1# S_EQD_q1# S_EQD_q2# S_EQD_r1# S_EQD_r2# S_EQD_s1# S_EQD_s2# S_EQD_t1# S_EQD_t2# S_EQD_u1# S_EQD_v1# E051 EQ VEGA S_EQV_a2# E052 EQ VEGA S_EQV_c1# E053 EQ VEGA S_EQV_d1# E054 EQ VEGA S_EQV_e1# E055 EQ VEGA S_EQV_f1# E056 EQ VEGA S_EQV_g1# E057 EQ VEGA S_EQV_h1# E058 EQ VEGA S_EQV_i1# E059 EQ VEGA S_EQV_j1# E060 EQ VEGA S_EQV_k1# E061 EQ VEGA S_EQV_l1# E062 EQ VEGA S_EQV_n1# E063 EQ VEGA S_EQV_p1# E064 EQ VEGA S_EQV_a1# S_EQV_a2# E065 EQ VEGA S_EQV_a2# S_EQV_a3# S_EQV_a4# S_EQV_a5# S_EQV_a6# E066 EQ VEGA S_EQV_a2# S_EQV_b1# E067 EQ VEGA S_EQV_a1# S_EQV_a2# S_EQV_a3# S_EQV_a4# S_EQV_a5# S_EQV_a6# S_EQV_b1# S_EQV_b2# S_EQV_b3# S_EQV_b4# S_EQV_b5# E068 EQ VEGA S_EQV_f1# S_EQV_f2# S_EQV_f3# S_EQV_f4# S_EQV_f5# E069 EQ VEGA S_EQV_f1# S_EQV_aa1# E070 EQ VEGA S_EQV_f1# S_EQV_f2# S_EQV_f3# S_EQV_f4# S_EQV_f5# S_EQV_aa1# S_EQV_aa2# S_EQV_aa3# S_EQV_aa4# S_EQV_aa5# E071 EQ VEGA S_EQV_j1# S_EQV_j2# S_EQV_j3# S_EQV_j4# S_EQV_j5# E072 EQ VEGA S_EQV_j1# S_EQV_ae1# E073 EQ VEGA S_EQV_j1# S_EQV_j2# S_EQV_j3# S_EQV_j4# S_EQV_j5# S_EQV_ae1# S_EQV_ae2# S_EQV_ae3# S_EQV_ae4# S_EQV_ae5# E074 EQ VEGA S_EQV_k1# S_EQV_k2# S_EQV_k3# S_EQV_k4# S_EQV_k5# E075 EQ VEGA S_EQV_k1# S_EQV_af1# E076 EQ VEGA S_EQV_k1# S_EQV_k2# S_EQV_k3# S_EQV_k4# S_EQV_k5# S_EQV_af1# S_EQV_af2# S_EQV_af3# S_EQV_af4# S_EQV_af5# E077 EQ VEGA S_EQV_l1# S_EQV_m1# E078 EQ VEGA S_EQV_n1# S_EQV_n2# S_EQV_n3# S_EQV_n4# S_EQV_n5# E079 EQ VEGA S_EQV_n1# S_EQV_o1# E080 EQ VEGA S_EQV_n1# S_EQV_n2# S_EQV_n3# S_EQV_n4# S_EQV_n5# S_EQV_o1# S_EQV_o2# S_EQV_o3# S_EQV_o4# S_EQV_o5# E081 EQ VEGA S_EQV_o1# S_EQV_o2# S_EQV_o3# S_EQV_o4# S_EQV_o5# E082 EQ VEGA S_EQV_a2# S_EQV_c1# S_EQV_d1# S_EQV_e1# S_EQV_f1# S_EQV_g1# S_EQV_h1# S_EQV_i1# S_EQV_j1# S_EQV_k1# E083 EQ VEGA S_EQV_a2# S_EQV_m1# E084 EQ VEGA S_EQV_n1# S_EQV_p1# E085 EQ VEGA S_EQV_a2# S_EQV_n1# E086 EQ VEGA S_EQV_o1# S_EQV_o2# S_EQV_o3# S_EQV_o4# S_EQV_o5# S_EQV_p1# E087 EQ VEGA S_EQV_a1# S_EQV_a2# S_EQV_a3# S_EQV_a4# S_EQV_a5# S_EQV_a6# S_EQV_b1# S_EQV_b2# S_EQV_b3# S_EQV_b4# S_EQV_b5# S_EQV_c1# S_EQV_x1# S_EQV_d1# S_EQV_y1# S_EQV_e1# S_EQV_z1# S_EQV_f1# S_EQV_f2# S_EQV_f3# S_EQV_f4# S_EQV_f5# S_EQV_aa1# S_EQV_aa2# S_EQV_aa3# S_EQV_aa4# S_EQV_aa5# S_EQV_g1# S_EQV_ab1# S_EQV_h1# S_EQV_ac1# S_EQV_i1# S_EQV_ad1# S_EQV_j1# S_EQV_j2# S_EQV_j3# S_EQV_j4# S_EQV_j5# S_EQV_ae1# S_EQV_ae2# S_EQV_ae3# S_EQV_ae4# S_EQV_ae5# S_EQV_k1# S_EQV_k2# S_EQV_k3# S_EQV_k4# S_EQV_k5# S_EQV_af1# S_EQV_af2# S_EQV_af3# S_EQV_af4# S_EQV_af5# S_EQV_l1# S_EQV_m1# S_EQV_n1# S_EQV_n2# S_EQV_n3# S_EQV_n4# S_EQV_n5# S_EQV_o1# S_EQV_o2# S_EQV_o3# S_EQV_o4# S_EQV_o5# S_EQV_p1# S_EQV_q1# E088 EQ CURVATURE S_EQC_b1# E089 EQ CURVATURE S_EQC_c1# E090 EQ CURVATURE S_EQC_d1# E091 EQ CURVATURE S_EQC_e1# E092 EQ CURVATURE S_EQC_f1# E093 EQ CURVATURE S_EQC_g1# E094 EQ CURVATURE S_EQC_h1# E095 EQ CURVATURE S_EQC_i1# E096 EQ CURVATURE S_EQC_j1# E097 EQ CURVATURE S_EQC_k1# E098 EQ CURVATURE S_EQC_q1# E099 EQ CURVATURE S_EQC_t1# E100 EQ CURVATURE S_EQC_u1# E101 EQ CURVATURE S_EQC_a1# S_EQC_a2# E102 EQ CURVATURE S_EQC_a1# S_EQC_b1# E103 EQ CURVATURE S_EQC_f1# S_EQC_ac1# E104 EQ CURVATURE S_EQC_j1# S_EQC_ag1# E105 EQ CURVATURE S_EQC_k1# S_EQC_ah1# E106 EQ CURVATURE S_EQC_q1# S_EQC_r1# E107 EQ CURVATURE S_EQC_t1# S_EQC_v1# E108 EQ CURVATURE S_EQC_a1# S_EQC_a2# S_EQC_b1# S_EQC_y1# S_EQC_z1# E109 EQ CURVATURE S_EQC_s1# E110 EQ CURVATURE S_EQC_a2# S_EQC_c1# S_EQC_d1# S_EQC_e1# S_EQC_f1# S_EQC_g1# S_EQC_h1# S_EQC_i1# S_EQC_j1# S_EQC_k1# E111 EQ CURVATURE S_EQC_a2# S_EQC_q1# E112 EQ CURVATURE S_EQC_t1# S_EQC_u1# E113 EQ CURVATURE S_EQC_a2# S_EQC_t1# E114 EQ CURVATURE S_EQC_a1# S_EQC_b1# S_EQC_d1# S_EQC_s1# E115 EQ CURVATURE S_EQC_a1# S_EQC_b1# S_EQC_t1# S_EQC_u1# E116 EQ CURVATURE S_EQC_a1# S_EQC_a1# S_EQC_a2# S_EQC_a2# S_EQC_b1# S_EQC_b1# S_EQC_c1# S_EQC_c1# S_EQC_aa1# S_EQC_aa1# S_EQC_d1# S_EQC_d1# S_EQC_e1# S_EQC_e1# S_EQC_ab1# S_EQC_ab1# S_EQC_f1# S_EQC_f1# S_EQC_ac1# S_EQC_ac1# S_EQC_g1# S_EQC_g1# S_EQC_ad1# S_EQC_ad1# S_EQC_h1# S_EQC_h1# S_EQC_ae1# S_EQC_ae1# S_EQC_i1# S_EQC_i1# S_EQC_af1# S_EQC_af1# S_EQC_j1# S_EQC_j1# S_EQC_ag1# S_EQC_ag1# S_EQC_k1# S_EQC_k1# S_EQC_ah1# S_EQC_ah1# S_EQC_q1# S_EQC_q1# S_EQC_r1# S_EQC_r1# S_EQC_s1# S_EQC_s1# S_EQC_t1# S_EQC_t1# S_EQC_u1# S_EQC_u1# S_EQC_v1# S_EQC_v1# S_EQC_w1# S_EQC_w1# S_EQC_y1# S_EQC_y1# S_EQC_z1# S_EQC_z1# E117 EQ ALL S_EQD_a1# S_EQD_a2# S_EQD_a3# S_EQD_b1# S_EQD_b2# S_EQD_c1# S_EQD_x1# S_EQD_d1# S_EQD_y1# S_EQD_e1# S_EQD_z1# S_EQD_f1# S_EQD_f2# S_EQD_g1# S_EQD_g2# S_EQD_h1# S_EQD_aa1# S_EQD_i1# S_EQD_ab1# S_EQD_j1# S_EQD_ac1# S_EQD_k1# S_EQD_k2# S_EQD_l1# S_EQD_l2# S_EQD_m1# S_EQD_m2# S_EQD_n1# S_EQD_n2# S_EQD_o1# S_EQD_p1# S_EQD_q1# S_EQD_q2# S_EQD_r1# S_EQD_r2# S_EQD_s1# S_EQD_s2# S_EQD_t1# S_EQD_t2# S_EQD_u1# S_EQD_v1# S_EQV_a1# S_EQV_a2# S_EQV_a3# S_EQV_a4# S_EQV_a5# S_EQV_a6# S_EQV_b1# S_EQV_b2# S_EQV_b3# S_EQV_b4# S_EQV_b5# S_EQV_c1# S_EQV_x1# S_EQV_d1# S_EQV_y1# S_EQV_e1# S_EQV_z1# S_EQV_f1# S_EQV_f2# S_EQV_f3# S_EQV_f4# S_EQV_f5# S_EQV_aa1# S_EQV_aa2# S_EQV_aa3# S_EQV_aa4# S_EQV_aa5# S_EQV_g1# S_EQV_ab1# S_EQV_h1# S_EQV_ac1# S_EQV_i1# S_EQV_ad1# S_EQV_j1# S_EQV_j2# S_EQV_j3# S_EQV_j4# S_EQV_j5# S_EQV_ae1# S_EQV_ae2# S_EQV_ae3# S_EQV_ae4# S_EQV_ae5# S_EQV_k1# S_EQV_k2# S_EQV_k3# S_EQV_k4# S_EQV_k5# S_EQV_af1# S_EQV_af2# S_EQV_af3# S_EQV_af4# S_EQV_af5# S_EQV_l1# S_EQV_m1# S_EQV_n1# S_EQV_n2# S_EQV_n3# S_EQV_n4# S_EQV_n5# S_EQV_o1# S_EQV_o2# S_EQV_o3# S_EQV_o4# S_EQV_o5# S_EQV_p1# S_EQV_q1# S_EQC_a1# S_EQC_a1# S_EQC_a2# S_EQC_a2# S_EQC_b1# S_EQC_b1# S_EQC_c1# S_EQC_c1# S_EQC_aa1# S_EQC_aa1# S_EQC_d1# S_EQC_d1# S_EQC_e1# S_EQC_e1# S_EQC_ab1# S_EQC_ab1# S_EQC_f1# S_EQC_f1# S_EQC_ac1# S_EQC_ac1# S_EQC_g1# S_EQC_g1# S_EQC_ad1# S_EQC_ad1# S_EQC_h1# S_EQC_h1# S_EQC_ae1# S_EQC_ae1# S_EQC_i1# S_EQC_i1# S_EQC_af1# S_EQC_af1# S_EQC_j1# S_EQC_j1# S_EQC_ag1# S_EQC_ag1# S_EQC_k1# S_EQC_k1# S_EQC_ah1# S_EQC_ah1# S_EQC_q1# S_EQC_q1# S_EQC_r1# S_EQC_r1# S_EQC_s1# S_EQC_s1# S_EQC_t1# S_EQC_t1# S_EQC_u1# S_EQC_u1# S_EQC_v1# S_EQC_v1# S_EQC_w1# S_EQC_w1# S_EQC_y1# S_EQC_y1# S_EQC_z1# S_EQC_z1# F001 FX DELTA S_FXD_b1# F002 FX DELTA S_FXD_c1# F003 FX DELTA S_FXD_a1# S_FXD_b1# F005 FX DELTA S_FXD_b1# S_FXD_c1# F007 FX DELTA S_FXD_a1# S_FXD_b1# S_FXD_c1# S_FXD_d1# S_FXD_e1# S_FXD_f1# F008 FX VEGA S_FXV_b1# F009 FX VEGA S_FXV_a1# S_FXV_b1# F010 FX VEGA S_FXV_b1# S_FXV_b2# S_FXV_b3# S_FXV_b4# S_FXV_b5# F011 FX VEGA S_FXV_d1# S_FXV_d2# S_FXV_d3# S_FXV_d4# S_FXV_d5# F012 FX VEGA S_FXV_b1# S_FXV_b2# S_FXV_b3# S_FXV_b4# S_FXV_b5# S_FXV_c1# F013 FX VEGA S_FXV_c1# S_FXV_d1# S_FXV_d2# S_FXV_d3# S_FXV_d4# S_FXV_d5# F014 FX VEGA S_FXV_a1# S_FXV_b1# S_FXV_b2# S_FXV_b3# S_FXV_b4# S_FXV_b5# S_FXV_c1# S_FXV_d1# S_FXV_d2# S_FXV_d3# S_FXV_d4# S_FXV_d5# F015 FX CURVATURE S_FXC_b1# F016 FX CURVATURE S_FXC_c1# F017 FX CURVATURE S_FXC_a1# S_FXC_b1# F018 FX CURVATURE S_FXC_d1# F019 FX CURVATURE S_FXC_b1# S_FXC_c1# F020 FX CURVATURE S_FXC_c1# S_FXC_e1# F021 FX CURVATURE S_FXC_b1# S_FXC_d1# S_FXC_e1# F022 FX CURVATURE S_FXC_a1# S_FXC_a1# S_FXC_b1# S_FXC_b1# S_FXC_c1# S_FXC_c1# S_FXC_d1# S_FXC_d1# S_FXC_e1# S_FXC_e1# S_FXC_f1# S_FXC_f1# F023 FX ALL S_FXD_a1# S_FXD_b1# S_FXD_c1# S_FXD_d1# S_FXD_e1# S_FXD_f1# S_FXV_a1# S_FXV_b1# S_FXV_b2# S_FXV_b3# S_FXV_b4# S_FXV_b5# S_FXV_c1# S_FXV_d1# S_FXV_d2# S_FXV_d3# S_FXV_d4# S_FXV_d5# S_FXC_a1# S_FXC_a1# S_FXC_b1# S_FXC_b1# S_FXC_c1# S_FXC_c1# S_FXC_d1# S_FXC_d1# S_FXC_e1# S_FXC_e1# S_FXC_f1# S_FXC_f1# F024 FX DELTA S_FXD_d1# F026 FX DELTA S_FXD_f1# F028 FX CURVATURE S_FXC_f1# N001 CSR_NON_SEC DELTA S_CND_a1# N002 CSR_NON_SEC DELTA S_CND_c1# N003 CSR_NON_SEC DELTA S_CND_d1# N004 CSR_NON_SEC DELTA S_CND_e1# N005 CSR_NON_SEC DELTA S_CND_f1# N006 CSR_NON_SEC DELTA S_CND_g1# N007 CSR_NON_SEC DELTA S_CND_h1# N008 CSR_NON_SEC DELTA S_CND_i1# N009 CSR_NON_SEC DELTA S_CND_w1# N010 CSR_NON_SEC DELTA S_CND_j1# N011 CSR_NON_SEC DELTA S_CND_k1# N012 CSR_NON_SEC DELTA S_CND_l1# N013 CSR_NON_SEC DELTA S_CND_m1# N014 CSR_NON_SEC DELTA S_CND_n1# N015 CSR_NON_SEC DELTA S_CND_o1# N016 CSR_NON_SEC DELTA S_CND_p1# N017 CSR_NON_SEC DELTA S_CND_q1# N018 CSR_NON_SEC DELTA S_CND_u1# N019 CSR_NON_SEC DELTA S_CND_v1# N020 CSR_NON_SEC DELTA S_CND_a1# S_CND_a2# N021 CSR_NON_SEC DELTA S_CND_a2# S_CND_a3# N022 CSR_NON_SEC DELTA S_CND_a2# S_CND_a4# N023 CSR_NON_SEC DELTA S_CND_a3# S_CND_a4# N024 CSR_NON_SEC DELTA S_CND_a1# S_CND_b1# N025 CSR_NON_SEC DELTA S_CND_a3# S_CND_b1# N026 CSR_NON_SEC DELTA S_CND_a4# S_CND_b1# N027 CSR_NON_SEC DELTA S_CND_a1# S_CND_b2# N028 CSR_NON_SEC DELTA S_CND_q1# S_CND_r1# N029 CSR_NON_SEC DELTA S_CND_u1# S_CND_x2# N030 CSR_NON_SEC DELTA S_CND_v1# S_CND_y1# N031 CSR_NON_SEC DELTA S_CND_u1# S_CND_x1# S_CND_x2# N032 CSR_NON_SEC DELTA S_CND_a1# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_f1# S_CND_g1# S_CND_h1# S_CND_i1# N033 CSR_NON_SEC DELTA S_CND_a1# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1# N034 CSR_NON_SEC DELTA S_CND_a1# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_n1# S_CND_o1# S_CND_p1# N035 CSR_NON_SEC DELTA S_CND_a1# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_q1# S_CND_u1# S_CND_v1# N036 CSR_NON_SEC DELTA S_CND_f1# S_CND_g1# S_CND_h1# S_CND_i1# S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1# N037 CSR_NON_SEC DELTA S_CND_f1# S_CND_g1# S_CND_h1# S_CND_i1# S_CND_n1# S_CND_o1# S_CND_p1# N038 CSR_NON_SEC DELTA S_CND_f1# S_CND_g1# S_CND_h1# S_CND_i1# S_CND_q1# S_CND_u1# S_CND_v1# N039 CSR_NON_SEC DELTA S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1# S_CND_n1# S_CND_o1# S_CND_p1# N040 CSR_NON_SEC DELTA S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1# S_CND_q1# S_CND_u1# S_CND_v1# N041 CSR_NON_SEC DELTA S_CND_n1# S_CND_o1# S_CND_p1# S_CND_q1# S_CND_u1# S_CND_v1# N042 CSR_NON_SEC DELTA S_CND_a3# S_CND_b1# S_CND_c1# S_CND_s1# S_CND_t1# N043 CSR_NON_SEC DELTA S_CND_a1# S_CND_a2# S_CND_a3# S_CND_a4# S_CND_b1# S_CND_b2# S_CND_ab1# S_CND_ab2# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_f1# S_CND_g1# S_CND_h1# S_CND_hb1# S_CND_hb2# S_CND_i1# S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1# S_CND_n1# S_CND_o1# S_CND_p1# S_CND_q1# S_CND_r1# S_CND_s1# S_CND_t1# S_CND_u1# S_CND_v1# S_CND_w1# S_CND_x1# S_CND_x2# S_CND_y1# N044 CSR_NON_SEC VEGA S_CNV_a2# N045 CSR_NON_SEC VEGA S_CNV_a1# S_CNV_a2# N046 CSR_NON_SEC VEGA S_CNV_a2# S_CNV_a3# S_CNV_a4# S_CNV_a5# S_CNV_a6# N047 CSR_NON_SEC VEGA S_CNV_a2# S_CNV_b1# N048 CSR_NON_SEC VEGA S_CNV_a1# S_CNV_a2# S_CNV_a3# S_CNV_a4# S_CNV_a5# S_CNV_a6# S_CNV_b1# S_CNV_b2# S_CNV_b3# S_CNV_b4# S_CNV_b5# N049 CSR_NON_SEC VEGA S_CNV_q1# S_CNV_r1# N050 CSR_NON_SEC VEGA S_CNV_s1# S_CNV_u1# N051 CSR_NON_SEC VEGA S_CNV_t1# S_CNV_v1# N052 CSR_NON_SEC VEGA S_CNV_c1# S_CNV_c2# S_CNV_c3# S_CNV_c4# S_CNV_c5# N053 CSR_NON_SEC VEGA S_CNV_a1# S_CNV_c1# S_CNV_d1# S_CNV_e1# S_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_i1# N054 CSR_NON_SEC VEGA S_CNV_a1# S_CNV_c1# S_CNV_d1# S_CNV_e1# S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1# N055 CSR_NON_SEC VEGA S_CNV_a1# S_CNV_c1# S_CNV_d1# S_CNV_e1# S_CNV_n1# S_CNV_o1# S_CNV_p1# N056 CSR_NON_SEC VEGA S_CNV_a1# S_CNV_c1# S_CNV_d1# S_CNV_e1# S_CNV_q1# S_CNV_s1# S_CNV_t1# N057 CSR_NON_SEC VEGA S_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_i1# S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1# N058 CSR_NON_SEC VEGA S_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_i1# S_CNV_n1# S_CNV_o1# S_CNV_p1# N059 CSR_NON_SEC VEGA S_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_i1# S_CNV_q1# S_CNV_s1# S_CNV_t1# N060 CSR_NON_SEC VEGA S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1# S_CNV_n1# S_CNV_o1# S_CNV_p1# N061 CSR_NON_SEC VEGA S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1# S_CNV_q1# S_CNV_s1# S_CNV_t1# N062 CSR_NON_SEC VEGA S_CNV_n1# S_CNV_o1# S_CNV_p1# S_CNV_q1# S_CNV_s1# S_CNV_t1# N063 CSR_NON_SEC VEGA S_CNV_b4# S_CNV_c1# S_CNV_c2# S_CNV_c3# S_CNV_c4# S_CNV_c5# N064 CSR_NON_SEC VEGA S_CNV_a1# S_CNV_a2# S_CNV_a3# S_CNV_a4# S_CNV_a5# S_CNV_a6# S_CNV_b1# S_CNV_b2# S_CNV_b3# S_CNV_b4# S_CNV_b5# S_CNV_ab1# S_CNV_c1# S_CNV_c2# S_CNV_c3# S_CNV_c4# S_CNV_c5# S_CNV_d1# S_CNV_e1# S_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_hb1# S_CNV_i1# S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1# S_CNV_n1# S_CNV_o1# S_CNV_p1# S_CNV_q1# S_CNV_r1# S_CNV_s1# S_CNV_t1# S_CNV_u1# S_CNV_v1# N065 CSR_NON_SEC CURVATURE S_CNC_b1# N066 CSR_NON_SEC CURVATURE S_CNC_c1# N067 CSR_NON_SEC CURVATURE S_CNC_d1# N068 CSR_NON_SEC CURVATURE S_CNC_e1# N069 CSR_NON_SEC CURVATURE S_CNC_f1# N070 CSR_NON_SEC CURVATURE S_CNC_g1# N071 CSR_NON_SEC CURVATURE S_CNC_h1# N072 CSR_NON_SEC CURVATURE S_CNC_i1# N073 CSR_NON_SEC CURVATURE S_CNC_aa1# N074 CSR_NON_SEC CURVATURE S_CNC_j1# N075 CSR_NON_SEC CURVATURE S_CNC_k1# N076 CSR_NON_SEC CURVATURE S_CNC_l1# N077 CSR_NON_SEC CURVATURE S_CNC_m1# N078 CSR_NON_SEC CURVATURE S_CNC_n1# N079 CSR_NON_SEC CURVATURE S_CNC_o1# N080 CSR_NON_SEC CURVATURE S_CNC_p1# N081 CSR_NON_SEC CURVATURE S_CNC_q1# N082 CSR_NON_SEC CURVATURE S_CNC_t1# N083 CSR_NON_SEC CURVATURE S_CNC_u1# N084 CSR_NON_SEC CURVATURE S_CNC_a1# S_CNC_a2# N085 CSR_NON_SEC CURVATURE S_CNC_a1# S_CNC_b1# N086 CSR_NON_SEC CURVATURE S_CNC_q1# S_CNC_r1# N087 CSR_NON_SEC CURVATURE S_CNC_t1# S_CNC_v1# N088 CSR_NON_SEC CURVATURE S_CNC_u1# S_CNC_w1# N089 CSR_NON_SEC CURVATURE S_CNC_a1# S_CNC_a2# S_CNC_b1# S_CNC_y1# S_CNC_z1# N090 CSR_NON_SEC CURVATURE S_CNC_s1# N091 CSR_NON_SEC CURVATURE S_CNC_a1# S_CNC_c1# S_CNC_d1# S_CNC_e1# S_CNC_f1# S_CNC_g1# S_CNC_h1# S_CNC_i1# N092 CSR_NON_SEC CURVATURE S_CNC_a1# S_CNC_c1# S_CNC_d1# S_CNC_e1# S_CNC_j1# S_CNC_k1# S_CNC_l1# S_CNC_m1# N093 CSR_NON_SEC CURVATURE S_CNC_a1# S_CNC_c1# S_CNC_d1# S_CNC_e1# S_CNC_n1# S_CNC_o1# S_CNC_p1# N094 CSR_NON_SEC CURVATURE S_CNC_a1# S_CNC_c1# S_CNC_d1# S_CNC_e1# S_CNC_q1# S_CNC_t1# S_CNC_u1# N095 CSR_NON_SEC CURVATURE S_CNC_f1# S_CNC_g1# S_CNC_h1# S_CNC_i1# S_CNC_j1# S_CNC_k1# S_CNC_l1# S_CNC_m1# N096 CSR_NON_SEC CURVATURE S_CNC_f1# S_CNC_g1# S_CNC_h1# S_CNC_i1# S_CNC_n1# S_CNC_o1# S_CNC_p1# N097 CSR_NON_SEC CURVATURE S_CNC_f1# S_CNC_g1# S_CNC_h1# S_CNC_i1# S_CNC_q1# S_CNC_t1# S_CNC_u1# N098 CSR_NON_SEC CURVATURE S_CNC_j1# S_CNC_k1# S_CNC_l1# S_CNC_m1# S_CNC_n1# S_CNC_o1# S_CNC_p1# N099 CSR_NON_SEC CURVATURE S_CNC_j1# S_CNC_k1# S_CNC_l1# S_CNC_m1# S_CNC_q1# S_CNC_t1# S_CNC_u1# N100 CSR_NON_SEC CURVATURE S_CNC_n1# S_CNC_o1# S_CNC_p1# S_CNC_q1# S_CNC_t1# S_CNC_u1# N101 CSR_NON_SEC CURVATURE S_CNC_c1# S_CNC_x1# S_CNC_y1# S_CNC_z1# N102 CSR_NON_SEC CURVATURE S_CNC_a1# S_CNC_b1# S_CNC_d1# S_CNC_s1# N103 CSR_NON_SEC CURVATURE S_CNC_a1# S_CNC_a1# S_CNC_a2# S_CNC_a2# S_CNC_b1# S_CNC_b1# S_CNC_ab1# S_CNC_ab1# S_CNC_c1# S_CNC_c1# S_CNC_d1# S_CNC_d1# S_CNC_e1# S_CNC_e1# S_CNC_f1# S_CNC_f1# S_CNC_g1# S_CNC_g1# S_CNC_h1# S_CNC_h1# S_CNC_hb1# S_CNC_hb1# S_CNC_i1# S_CNC_i1# S_CNC_j1# S_CNC_j1# S_CNC_k1# S_CNC_k1# S_CNC_l1# S_CNC_l1# S_CNC_m1# S_CNC_m1# S_CNC_n1# S_CNC_n1# S_CNC_o1# S_CNC_o1# S_CNC_p1# S_CNC_p1# S_CNC_q1# S_CNC_q1# S_CNC_r1# S_CNC_r1# S_CNC_s1# S_CNC_s1# S_CNC_t1# S_CNC_t1# S_CNC_u1# S_CNC_u1# S_CNC_v1# S_CNC_v1# S_CNC_w1# S_CNC_w1# S_CNC_x1# S_CNC_x1# S_CNC_y1# S_CNC_y1# S_CNC_z1# S_CNC_z1# S_CNC_aa1# S_CNC_aa1# N104 CSR_NON_SEC ALL S_CND_a1# S_CND_a2# S_CND_a3# S_CND_a4# S_CND_b1# S_CND_b2# S_CND_ab1# S_CND_ab2# S_CND_c1# S_CND_d1# S_CND_e1# S_CND_f1# S_CND_g1# S_CND_h1# S_CND_hb1# S_CND_hb2# S_CND_i1# S_CND_j1# S_CND_k1# S_CND_l1# S_CND_m1# S_CND_n1# S_CND_o1# S_CND_p1# S_CND_q1# S_CND_r1# S_CND_s1# S_CND_t1# S_CND_u1# S_CND_v1# S_CND_w1# S_CND_x1# S_CND_x2# S_CND_y1# S_CNV_a1# S_CNV_a2# S_CNV_a3# S_CNV_a4# S_CNV_a5# S_CNV_a6# S_CNV_b1# S_CNV_b2# S_CNV_b3# S_CNV_b4# S_CNV_b5# S_CNV_ab1# S_CNV_c1# S_CNV_c2# S_CNV_c3# S_CNV_c4# S_CNV_c5# S_CNV_d1# S_CNV_e1# S_CNV_f1# S_CNV_g1# S_CNV_h1# S_CNV_hb1# S_CNV_i1# S_CNV_j1# S_CNV_k1# S_CNV_l1# S_CNV_m1# S_CNV_n1# S_CNV_o1# S_CNV_p1# S_CNV_q1# S_CNV_r1# S_CNV_s1# S_CNV_t1# S_CNV_u1# S_CNV_v1# S_CNC_a1# S_CNC_a1# S_CNC_a2# S_CNC_a2# S_CNC_b1# S_CNC_b1# S_CNC_ab1# S_CNC_ab1# S_CNC_c1# S_CNC_c1# S_CNC_d1# S_CNC_d1# S_CNC_e1# S_CNC_e1# S_CNC_f1# S_CNC_f1# S_CNC_g1# S_CNC_g1# S_CNC_h1# S_CNC_h1# S_CNC_hb1# S_CNC_hb1# S_CNC_i1# S_CNC_i1# S_CNC_j1# S_CNC_j1# S_CNC_k1# S_CNC_k1# S_CNC_l1# S_CNC_l1# S_CNC_m1# S_CNC_m1# S_CNC_n1# S_CNC_n1# S_CNC_o1# S_CNC_o1# S_CNC_p1# S_CNC_p1# S_CNC_q1# S_CNC_q1# S_CNC_r1# S_CNC_r1# S_CNC_s1# S_CNC_s1# S_CNC_t1# S_CNC_t1# S_CNC_u1# S_CNC_u1# S_CNC_v1# S_CNC_v1# S_CNC_w1# S_CNC_w1# S_CNC_x1# S_CNC_x1# S_CNC_y1# S_CNC_y1# S_CNC_z1# S_CNC_z1# S_CNC_aa1# S_CNC_aa1# N104(CRR2/DA) CSR_NON_SEC CURVATURE S_CNC_ab1# N105(CRR2/DA) CSR_NON_SEC CURVATURE S_CNC_hb1# N106(CRR2/DA) CSR_NON_SEC DELTA S_CND_ab1# N107(CRR2/DA) CSR_NON_SEC DELTA S_CND_hb1# C001 CM DELTA S_CMD_a2# C002 CM DELTA S_CMD_c1# C003 CM DELTA S_CMD_e1# C004 CM DELTA S_CMD_g1# C005 CM DELTA S_CMD_i1# C006 CM DELTA S_CMD_k1# C007 CM DELTA S_CMD_m1# C008 CM DELTA S_CMD_o1# C009 CM DELTA S_CMD_q1# C010 CM DELTA S_CMD_s1# C011 CM DELTA S_CMD_u1# C012 CM DELTA S_CMD_a1# S_CMD_a2# C013 CM DELTA S_CMD_a2# S_CMD_a3# C014 CM DELTA S_CMD_a2# S_CMD_a4# C015 CM DELTA S_CMD_a3# S_CMD_a4# C016 CM DELTA S_CMD_a2# S_CMD_b1# C017 CM DELTA S_CMD_c1# S_CMD_d1# C018 CM DELTA S_CMD_e1# S_CMD_f1# C019 CM DELTA S_CMD_g1# S_CMD_h1# C020 CM DELTA S_CMD_i1# S_CMD_j1# C021 CM DELTA S_CMD_k1# S_CMD_l1# C022 CM DELTA S_CMD_m1# S_CMD_n1# C023 CM DELTA S_CMD_o1# S_CMD_p1# C024 CM DELTA S_CMD_q1# S_CMD_r1# C025 CM DELTA S_CMD_s1# S_CMD_t1# C026 CM DELTA S_CMD_u1# S_CMD_v1# C027 CM DELTA S_CMD_g1# S_CMD_h1# S_CMD_w1# S_CMD_x1# C028 CM DELTA S_CMD_a2# S_CMD_c1# S_CMD_e1# S_CMD_g1# S_CMD_i1# S_CMD_k1# S_CMD_m1# S_CMD_o1# S_CMD_q1# S_CMD_s1# C029 CM DELTA S_CMD_a2# S_CMD_u1# C030 CM DELTA S_CMD_c1# S_CMD_d1# S_CMD_g1# S_CMD_h1# S_CMD_w1# S_CMD_x1# C031 CM DELTA S_CMD_a1# S_CMD_a2# S_CMD_a3# S_CMD_a4# S_CMD_b1# S_CMD_c1# S_CMD_d1# S_CMD_e1# S_CMD_f1# S_CMD_g1# S_CMD_h1# S_CMD_i1# S_CMD_j1# S_CMD_k1# S_CMD_l1# S_CMD_m1# S_CMD_n1# S_CMD_o1# S_CMD_p1# S_CMD_q1# S_CMD_r1# S_CMD_s1# S_CMD_t1# S_CMD_u1# S_CMD_v1# S_CMD_w1# S_CMD_x1# C032 CM VEGA S_CMV_a2# C033 CM VEGA S_CMV_a1# S_CMV_a2# C034 CM VEGA S_CMV_a2# S_CMV_a3# S_CMV_a4# S_CMV_a5# S_CMV_a6# C035 CM VEGA S_CMV_a1# S_CMV_a2# S_CMV_a3# S_CMV_a4# S_CMV_a5# S_CMV_a6# S_CMV_b1# S_CMV_b2# S_CMV_b3# S_CMV_b4# S_CMV_b5# C036 CM VEGA S_CMV_c1# S_CMV_d1# C037 CM VEGA S_CMV_e1# S_CMV_f1# C038 CM VEGA S_CMV_g1# S_CMV_h1# C039 CM VEGA S_CMV_i1# S_CMV_j1# C040 CM VEGA S_CMV_k1# S_CMV_l1# C041 CM VEGA S_CMV_m1# S_CMV_n1# C042 CM VEGA S_CMV_o1# S_CMV_p1# C043 CM VEGA S_CMV_q1# S_CMV_r1# C044 CM VEGA S_CMV_s1# S_CMV_t1# C045 CM VEGA S_CMV_u1# S_CMV_v1# C046 CM VEGA S_CMV_g1# S_CMV_h1# S_CMV_w1# S_CMV_x1# C047 CM VEGA S_CMV_a2# S_CMV_c1# S_CMV_e1# S_CMV_g1# S_CMV_i1# S_CMV_k1# S_CMV_m1# S_CMV_o1# S_CMV_q1# S_CMV_s1# C048 CM VEGA S_CMV_a2# S_CMV_u1# C049 CM VEGA S_CMV_c1# S_CMV_d1# S_CMV_g1# S_CMV_h1# S_CMV_w1# S_CMV_x1# C050 CM VEGA S_CMV_a1# S_CMV_a2# S_CMV_a3# S_CMV_a4# S_CMV_a5# S_CMV_a6# S_CMV_b1# S_CMV_b2# S_CMV_b3# S_CMV_b4# S_CMV_b5# S_CMV_c1# S_CMV_d1# S_CMV_e1# S_CMV_f1# S_CMV_g1# S_CMV_h1# S_CMV_i1# S_CMV_j1# S_CMV_k1# S_CMV_l1# S_CMV_m1# S_CMV_n1# S_CMV_o1# S_CMV_p1# S_CMV_q1# S_CMV_r1# S_CMV_s1# S_CMV_t1# S_CMV_u1# S_CMV_v1# S_CMV_w1# S_CMV_x1# C051 CM CURVATURE S_CMC_b1# C052 CM CURVATURE S_CMC_c1# C053 CM CURVATURE S_CMC_e1# C054 CM CURVATURE S_CMC_g1# C055 CM CURVATURE S_CMC_i1# C056 CM CURVATURE S_CMC_k1# C057 CM CURVATURE S_CMC_m1# C058 CM CURVATURE S_CMC_o1# C059 CM CURVATURE S_CMC_q1# C060 CM CURVATURE S_CMC_s1# C061 CM CURVATURE S_CMC_u1# C062 CM CURVATURE S_CMC_a1# S_CMC_a2# C063 CM CURVATURE S_CMC_a1# S_CMC_b1# C064 CM CURVATURE S_CMC_c1# S_CMC_d1# C065 CM CURVATURE S_CMC_e1# S_CMC_f1# C066 CM CURVATURE S_CMC_g1# S_CMC_h1# C067 CM CURVATURE S_CMC_i1# S_CMC_j1# C068 CM CURVATURE S_CMC_k1# S_CMC_l1# C069 CM CURVATURE S_CMC_m1# S_CMC_n1# C070 CM CURVATURE S_CMC_o1# S_CMC_p1# C071 CM CURVATURE S_CMC_q1# S_CMC_r1# C072 CM CURVATURE S_CMC_s1# S_CMC_t1# C073 CM CURVATURE S_CMC_u1# S_CMC_v1# C074 CM CURVATURE S_CMC_a2# S_CMC_b1# C075 CM CURVATURE S_CMC_g1# S_CMC_z1# C076 CM CURVATURE S_CMC_b1# S_CMC_c1# S_CMC_e1# S_CMC_g1# S_CMC_i1# S_CMC_k1# S_CMC_m1# S_CMC_o1# S_CMC_q1# S_CMC_s1# C077 CM CURVATURE S_CMC_a2# S_CMC_u1# C078 CM CURVATURE S_CMC_a1# S_CMC_a2# S_CMC_b1# S_CMC_y1# S_CMC_q1# S_CMC_r1# S_CMC_x1# C079 CM CURVATURE S_CMC_x1# S_CMC_g1# S_CMC_z1# C080 CM CURVATURE S_CMC_a1# S_CMC_a1# S_CMC_a2# S_CMC_a2# S_CMC_b1# S_CMC_b1# S_CMC_c1# S_CMC_c1# S_CMC_d1# S_CMC_d1# S_CMC_e1# S_CMC_e1# S_CMC_f1# S_CMC_f1# S_CMC_g1# S_CMC_g1# S_CMC_h1# S_CMC_h1# S_CMC_i1# S_CMC_i1# S_CMC_j1# S_CMC_j1# S_CMC_k1# S_CMC_k1# S_CMC_l1# S_CMC_l1# S_CMC_m1# S_CMC_m1# S_CMC_n1# S_CMC_n1# S_CMC_o1# S_CMC_o1# S_CMC_p1# S_CMC_p1# S_CMC_q1# S_CMC_q1# S_CMC_r1# S_CMC_r1# S_CMC_s1# S_CMC_s1# S_CMC_t1# S_CMC_t1# S_CMC_u1# S_CMC_u1# S_CMC_v1# S_CMC_v1# S_CMC_x1# S_CMC_x1# S_CMC_y1# S_CMC_y1# S_CMC_z1# S_CMC_z1# C081 CM ALL S_CMD_a1# S_CMD_a2# S_CMD_a3# S_CMD_a4# S_CMD_b1# S_CMD_c1# S_CMD_d1# S_CMD_e1# S_CMD_f1# S_CMD_g1# S_CMD_h1# S_CMD_i1# S_CMD_j1# S_CMD_k1# S_CMD_l1# S_CMD_m1# S_CMD_n1# S_CMD_o1# S_CMD_p1# S_CMD_q1# S_CMD_r1# S_CMD_s1# S_CMD_t1# S_CMD_u1# S_CMD_v1# S_CMD_w1# S_CMD_x1# S_CMV_a1# S_CMV_a2# S_CMV_a3# S_CMV_a4# S_CMV_a5# S_CMV_a6# S_CMV_b1# S_CMV_b2# S_CMV_b3# S_CMV_b4# S_CMV_b5# S_CMV_c1# S_CMV_d1# S_CMV_e1# S_CMV_f1# S_CMV_g1# S_CMV_h1# S_CMV_i1# S_CMV_j1# S_CMV_k1# S_CMV_l1# S_CMV_m1# S_CMV_n1# S_CMV_o1# S_CMV_p1# S_CMV_q1# S_CMV_r1# S_CMV_s1# S_CMV_t1# S_CMV_u1# S_CMV_v1# S_CMV_w1# S_CMV_x1# S_CMC_a1# S_CMC_a1# S_CMC_a2# S_CMC_a2# S_CMC_b1# S_CMC_b1# S_CMC_c1# S_CMC_c1# S_CMC_d1# S_CMC_d1# S_CMC_e1# S_CMC_e1# S_CMC_f1# S_CMC_f1# S_CMC_g1# S_CMC_g1# S_CMC_h1# S_CMC_h1# S_CMC_i1# S_CMC_i1# S_CMC_j1# S_CMC_j1# S_CMC_k1# S_CMC_k1# S_CMC_l1# S_CMC_l1# S_CMC_m1# S_CMC_m1# S_CMC_n1# S_CMC_n1# S_CMC_o1# S_CMC_o1# S_CMC_p1# S_CMC_p1# S_CMC_q1# S_CMC_q1# S_CMC_r1# S_CMC_r1# S_CMC_s1# S_CMC_s1# S_CMC_t1# S_CMC_t1# S_CMC_u1# S_CMC_u1# S_CMC_v1# S_CMC_v1# S_CMC_x1# S_CMC_x1# S_CMC_y1# S_CMC_y1# S_CMC_z1# S_CMC_z1# ’
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