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 |
Risk sensitivity |
|
S_IRC_a1# |
GIRR_CU |
USD |
|
-18 466,83 |
|
S_IRC_a1# |
GIRR_CD |
USD |
|
18 647,66 |
|
S_IRC_b1# |
GIRR_CU |
USD |
|
92 233,09 |
|
S_IRC_b1# |
GIRR_CD |
USD |
|
-93 178,71 |
|
S_IRC_c1# |
GIRR_CU |
CLP |
|
-1 270,00 |
|
S_IRC_c1# |
GIRR_CD |
CLP |
|
450,00 |
|
S_IRC_d1# |
GIRR_CU |
EUR |
|
-253,12 |
|
S_IRC_d1# |
GIRR_CD |
EUR |
|
-3 237,08 |
|
S_IRC_e1# |
GIRR_CU |
VND |
|
-11 950,00 |
|
S_IRC_e1# |
GIRR_CD |
VND |
|
-4 030,00 |
|
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_b10# |
GIRR_D_30.00 |
USD |
OIS |
-50 000,00 |
|
S_IRD_b11# |
GIRR_D_INF |
USD |
|
-50 000,00 |
|
S_IRD_b12# |
GIRR_D_CRO_EUR |
USD |
|
-65 000,00 |
|
S_IRD_b2# |
GIRR_D_00.50 |
USD |
OIS |
15 000,00 |
|
S_IRD_b3# |
GIRR_D_01.00 |
USD |
OIS |
-65 000,00 |
|
S_IRD_b4# |
GIRR_D_02.00 |
USD |
OIS |
-10 000,00 |
|
S_IRD_b5# |
GIRR_D_03.00 |
USD |
OIS |
85 000,00 |
|
S_IRD_b6# |
GIRR_D_05.00 |
USD |
OIS |
-90 000,00 |
|
S_IRD_b7# |
GIRR_D_10.00 |
USD |
OIS |
2 000,00 |
|
S_IRD_b8# |
GIRR_D_15.00 |
USD |
OIS |
30 000,00 |
|
S_IRD_b9# |
GIRR_D_20.00 |
USD |
OIS |
200 000,00 |
|
S_IRD_c1# |
GIRR_D_00.25 |
USD |
Libor3m |
-30 000,00 |
|
S_IRD_c10# |
GIRR_D_30.00 |
USD |
Libor3m |
10 000,00 |
|
S_IRD_c2# |
GIRR_D_00.50 |
USD |
Libor3m |
-40 000,00 |
|
S_IRD_c3# |
GIRR_D_01.00 |
USD |
Libor3m |
70 000,00 |
|
S_IRD_c4# |
GIRR_D_02.00 |
USD |
Libor3m |
10 000,00 |
|
S_IRD_c5# |
GIRR_D_03.00 |
USD |
Libor3m |
55 000,00 |
|
S_IRD_c6# |
GIRR_D_05.00 |
USD |
Libor3m |
-35 000,00 |
|
S_IRD_c7# |
GIRR_D_10.00 |
USD |
Libor3m |
-100 000,00 |
|
S_IRD_c8# |
GIRR_D_15.00 |
USD |
Libor3m |
10 000,00 |
|
S_IRD_c9# |
GIRR_D_20.00 |
USD |
Libor3m |
-30 000,00 |
|
S_IRD_d1# |
GIRR_D_00.25 |
CLP |
OIS |
-30 000,00 |
|
S_IRD_d10# |
GIRR_D_30.00 |
CLP |
OIS |
15 000,00 |
|
S_IRD_d11# |
GIRR_D_INF |
CLP |
|
95 000,00 |
|
S_IRD_d12# |
GIRR_D_CRO_USD |
CLP |
|
10 500,00 |
|
S_IRD_d2# |
GIRR_D_00.50 |
CLP |
OIS |
45 000,00 |
|
S_IRD_d3# |
GIRR_D_01.00 |
CLP |
OIS |
10 000,00 |
|
S_IRD_d4# |
GIRR_D_02.00 |
CLP |
OIS |
5 000,00 |
|
S_IRD_d5# |
GIRR_D_03.00 |
CLP |
OIS |
-100 000,00 |
|
S_IRD_d6# |
GIRR_D_05.00 |
CLP |
OIS |
-5 000,00 |
|
S_IRD_d7# |
GIRR_D_10.00 |
CLP |
OIS |
-25 000,00 |
|
S_IRD_d8# |
GIRR_D_15.00 |
CLP |
OIS |
70 000,00 |
|
S_IRD_d9# |
GIRR_D_20.00 |
CLP |
OIS |
90 000,00 |
|
S_IRD_e1# |
GIRR_D_00.25 |
EUR |
OIS |
100,00 |
|
S_IRD_e10# |
GIRR_D_30.00 |
EUR |
OIS |
-120 000,00 |
|
S_IRD_e11# |
GIRR_D_INF |
EUR |
DE |
-65 000,00 |
|
S_IRD_e12# |
GIRR_D_CRO_USD |
EUR |
|
-85 000,00 |
|
S_IRD_e13# |
GIRR_D_INF |
EUR |
FR |
-100 000,00 |
|
S_IRD_e2# |
GIRR_D_00.50 |
EUR |
OIS |
100,00 |
|
S_IRD_e3# |
GIRR_D_01.00 |
EUR |
OIS |
-50 000,00 |
|
S_IRD_e4# |
GIRR_D_02.00 |
EUR |
OIS |
100,00 |
|
S_IRD_e5# |
GIRR_D_03.00 |
EUR |
OIS |
100,00 |
|
S_IRD_e6# |
GIRR_D_05.00 |
EUR |
OIS |
100,00 |
|
S_IRD_e7# |
GIRR_D_10.00 |
EUR |
OIS |
100,00 |
|
S_IRD_e8# |
GIRR_D_15.00 |
EUR |
OIS |
100,00 |
|
S_IRD_e9# |
GIRR_D_20.00 |
EUR |
OIS |
100,00 |
|
S_IRD_f1# |
GIRR_D_00.25 |
DKK |
OIS |
100,00 |
|
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_b10# |
GIRR_V_01.00_10.00 |
USD |
|
500,00 |
|
S_IRV_b11# |
GIRR_V_03.00_00.50 |
USD |
|
-100,00 |
|
S_IRV_b12# |
GIRR_V_03.00_01.00 |
USD |
|
700,00 |
|
S_IRV_b13# |
GIRR_V_03.00_03.00 |
USD |
|
-800,00 |
|
S_IRV_b14# |
GIRR_V_03.00_05.00 |
USD |
|
700,00 |
|
S_IRV_b15# |
GIRR_V_03.00_10.00 |
USD |
|
-400,00 |
|
S_IRV_b16# |
GIRR_V_05.00_00.50 |
USD |
|
-50,00 |
|
S_IRV_b17# |
GIRR_V_05.00_01.00 |
USD |
|
300,00 |
|
S_IRV_b18# |
GIRR_V_05.00_03.00 |
USD |
|
50,00 |
|
S_IRV_b19# |
GIRR_V_05.00_05.00 |
USD |
|
-300,00 |
|
S_IRV_b2# |
GIRR_V_00.50_01.00 |
USD |
|
400,00 |
|
S_IRV_b20# |
GIRR_V_05.00_10.00 |
USD |
|
1 000,00 |
|
S_IRV_b21# |
GIRR_V_10.00_00.50 |
USD |
|
-350,00 |
|
S_IRV_b22# |
GIRR_V_10.00_01.00 |
USD |
|
950,00 |
|
S_IRV_b23# |
GIRR_V_10.00_03.00 |
USD |
|
-900,00 |
|
S_IRV_b24# |
GIRR_V_10.00_05.00 |
USD |
|
200,00 |
|
S_IRV_b25# |
GIRR_V_10.00_10.00 |
USD |
|
400,00 |
|
S_IRV_b3# |
GIRR_V_00.50_03.00 |
USD |
|
-500,00 |
|
S_IRV_b4# |
GIRR_V_00.50_05.00 |
USD |
|
100,00 |
|
S_IRV_b5# |
GIRR_V_00.50_10.00 |
USD |
|
100,00 |
|
S_IRV_b6# |
GIRR_V_01.00_00.50 |
USD |
|
900,00 |
|
S_IRV_b7# |
GIRR_V_01.00_01.00 |
USD |
|
200,00 |
|
S_IRV_b8# |
GIRR_V_01.00_03.00 |
USD |
|
-500,00 |
|
S_IRV_b9# |
GIRR_V_01.00_05.00 |
USD |
|
50,00 |
|
S_IRV_c1# |
GIRR_V_00.50_00.50 |
CLP |
|
300,00 |
|
S_IRV_c2# |
GIRR_V_00.50_01.00 |
CLP |
|
150,00 |
|
S_IRV_c3# |
GIRR_V_00.50_03.00 |
CLP |
|
-300,00 |
|
S_IRV_c4# |
GIRR_V_00.50_05.00 |
CLP |
|
100,00 |
|
S_IRV_c5# |
GIRR_V_00.50_10.00 |
CLP |
|
-100,00 |
|
S_IRV_d1# |
GIRR_V_00.50_00.50 |
EUR |
|
-4 750,00 |
|
S_IRV_d2# |
GIRR_V_00.50_01.00 |
EUR |
|
3 750,00 |
|
S_IRV_d3# |
GIRR_V_00.50_03.00 |
EUR |
|
1 000,00 |
|
S_IRV_d4# |
GIRR_V_00.50_05.00 |
EUR |
|
1 500,00 |
|
S_IRV_d5# |
GIRR_V_00.50_10.00 |
EUR |
|
-2 000,00 |
|
S_IRV_e1# |
GIRR_V_00.50_00.50 |
BRL |
|
-500,00 |
|
S_IRV_e2# |
GIRR_V_01.00_INF |
BRL |
|
750,00 |
|
S_IRV_e3# |
GIRR_V_03.00_CRO_USD |
BRL |
|
500,00 |
|
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# |