ANNEX V
MARKET RISK BENCHMARK INSTRUMENTS AND PORTFOLIOS
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Section 1: |
Instructions |
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Section 2: |
Instruments |
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Section 3: |
Individual Portfolios |
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Section 4: |
Aggregated Portfolios |
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Section 5: |
Additional specifications for instruments |
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Section 6: |
SBM validation portfolios |
Section 1: Instructions
For the purposes of this Annex, the following shall apply:
‘booking date’ means the date and time on which institutions book the transactions for the purposes of the benchmarking exercise;
‘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;
‘IMV reference date’ means the date and time with reference to which institutions shall determine the IMV of the transactions in the benchmarking portfolio;
‘IMV remittance date’ means the date by which institutions shall submit the results of the IMV of the transactions in the benchmarking portfolio;
‘VaR’ means the Value at Risk;
‘sVaR’ means the Stressed Value at Risk;
‘IRC’ means the Incremental Risk Charge;
‘CTP’ means the Correlation Trading Portfolio;
‘APR’ means the All Price Risk calculated in accordance with Article 377(2) of Regulation (EU) No 575/2013;
‘Risk Measures’ (RM) means the value of the VaR, sVaR, and when required IRC and APR for the portfolios, as set out in Section3 of this Annex, between the RM initial and RM final reference date;
‘RM initial reference date’ means the date on which institutions shall start to compute the RM values;
‘RM final reference date’ means the date on which institutions shall finish to compute the RM values;
‘RM remittance date’ means the date by which institutions shall submit the results of the RM of the transactions in the benchmarking portfolio;
‘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;
‘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;
‘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;
‘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;
‘long’ means ‘bought’ and ‘short’ means ‘sold’;
‘CDS’ means Credit Default Swaps;
for CDS, ‘long’ means ‘bought protection’ and ‘short’ means ‘sold protection’;
‘MLN’ means millions;
‘OTC’ means Over-The-Counter;
‘ASA’ means the alternative standardised approach as referred to in Part Three, Title IV, Chapter 1a, Section 1 of Regulation (EU) No 575/2013;
‘SBM’ means the Sensitivities-Based Method as referred to in Part Three, Title IV, Chapter 1a, Section 2 of Regulation (EU) No 575/2013;
‘DRC’ means the Default Risk requirement as referred to in Part Three, Title IV, Chapter 1a, Section 5 of Regulation (EU) No 575/2013;
‘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.
The following dates shall apply for the ‘benchmarking’ exercise:
the booking date shall be 14 September 2023;
the IMV (and initial SBM) reference date shall be 21 September 2023 (at 5:30 pm CET);
the IMV (and initial SBM) remittance date shall be 13 October 2023;
the RM initial reference date shall be 15 January 2024;
the RM (and final ASA) final reference date shall be 26 January 2024;
the RM (and final ASA) remittance date shall be 01 March 2024.
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.
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.
The explanatory note that institutions are to submit together with the IMV shall include all of the following for each instrument:
the risk factors used to calculate the instrument’s IMV;
the pricing model used to calculate the instrument’s IMV and a description of this pricing model;
the risk factors included in the VaR model for the instrument;
the risk factors included in the VaR model that are also valuation inputs for the IMV of the instrument;
the VaR model specifics in relation to the instrument;
available reference data for the instrument in the institution’s own format;
the aspects referred to in points (h), (i), (l), (n), (o), (p), (w), (x), (z), (hh) and (ll) of this Section.
For the purposes of point (e), sub point (v), all of the following shall be reported:
concise VaR model descriptions;
revaluation methods applied;
functional form applied for modelling of returns (such as absolute, relatives, other methods;
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).
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.
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).
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.
The 10-day 99 % VaR shall be calculated on a daily basis. sVaR and the IRC may be calculated on a weekly basis. The sVaR and IRC shall be based on end-of-day prices for each Friday in the time window of the benchmarking exercise.
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.
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.
The maturity date shall ensure that the transaction is closest to the term-to-maturity specified in accordance with market standards and conventions.
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.
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.
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.
All options shall be treated as if they are traded OTC, unless explicitly specified otherwise.
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.
All OTC options shall be treated as follows:
as American for single name equities and commodities;
as European for equity indices, foreign exchange and swaptions.
All OTC options shall be considered ‘naked’ so that the premium shall be excluded from the initial market valuation.
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.
The IMV for each instrument shall be provided in the EBA instrument currency specified in Section 2 of this Annex for that instrument.
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.
When booking positions, institutions shall follow appropriate market conventions, unless otherwise specified in these instructions in the Instruments descriptions (Section 2 of this Annex).
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.
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.
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.
Risk measures for the portfolios referred to in Section 3 and Section 4 of this Annex, together with the Present Value, shall be computed from the ‘RM initial reference date’ to the ‘RM final reference date’. 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.
For the portfolios referred to in Section 6 of this Annex, institutions shall report SBM results and submit them in line with the reporting dates of the RM submission.
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.
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.
In Section 2 of this Annex (Instruments), ‘Year T’ shall mean ‘2024’ and Year T + X shall mean 2024 + X, with X as specified in Section 2.
In Section 2 of this Annex (Instruments), institutions shall determine the day of expiry/maturity in accordance with the following instructions:
Where the date is specified, that specific date shall be used;
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;
At the end of the month, where it is specified ‘End of’, it shall mean the last calendar day in the month;
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;
In case it is not specified otherwise the following assumptions shall be used: Day count convention: Act/360, Holiday calendar: Target2.
In Section 2 of this Annex (Instruments), for all CDS, unless explicitly specified otherwise, the following requirements shall apply:
Coupon frequency: Quarterly;
Coupon(bps): 100;
Day count: ACT/360;
ISDA Definitions year: 2014;
Restructuring clause: Modified-Modified Restructuring (MMR);
Maturity: December Year T+4;
Debt type: Senior;
Tenor: 5 Year;
Effective date as booking date;
The used discount curve and recovery rate shall be indicated in the explanatory note referred to in point (d) of this Annex.
The IMV of bond instruments shall include accrued interest.
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.
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.
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:
EQUITY
101. Long EURO STOXX 50 index (Ticker: SX5E) 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
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: May 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
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 as booking date (i.e. the rates to be used shall be those at the market close as of the booking date)
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 spot rate of the IRS defined within 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 LIBOR 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
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
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Interest Payment Amount |
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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. |
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Trade and Settlement Date |
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‘Booking date’ |
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Interest Payment Dates |
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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). |
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Maturity Date Currency |
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Booking date + 10 years USD |
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Daycount Basis |
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30/360 |
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Business Day Convention |
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Following Unadjusted |
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Coupon Determination Date |
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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 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 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 1 000 000 USD (ISIN US105756BZ27).
Maturity: 13 January 2028
EBA instrument currency: USD
217. Long MEXICO GOVT 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
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
Notional: EUR 1 000 000
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
USD: 3-month SOFR, receive quarterly compounded with a payment lag of 2 days
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 5 of this Annex – Instrument additional specifications
221. 10-year IRS EURO – Receive ESTER and pay EURIBOR.
ESTER leg: receive annually
EURIBOR leg: 3-month EURIBOR + Basis, pay quarterly
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 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):
Notional: EUR 10 000 000
Base fixing date: August 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 as the booking date (i.e. rates to be used are those at the market close on booking date)
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 spot rate of the IRS defined within 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 ; EUR/USD ECB reference spot rate as of end of the booking date to determine forward rate.
EBA instrument currency: EUR
302. 6-month EUR/GBP forward contract. Cash settled. Long EUR – Short GBP; Notional 10 000 000 GBP; EUR/GBP ECB reference spot rate as of end of the booking date to determine forward rate.
EBA instrument currency: EUR
303. Long 10 000 000 USD Cash.
Cash position
EBA instrument currency: EUR
304. Long Call option. 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 Call option. 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 Call option. 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 Call option. 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 Put option. 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 Put option. 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. Cash settled. Long EUR – Short DKK; 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 3 500 000 6-month ATM London Gold Forwards contracts (1 contract = 0.001 troy ounces, notional: 3 500 troy ounces).
Cash Settlement
EBA instrument currency: USD
402. Short 3 500 000 12-month ATM London Gold Forwards contracts (1 contract = 0.001 troy ounces, notional: 3 500 troy ounces).
Cash Settlement
EBA instrument currency: USD
403. Long 30 contracts of 6-month WTI Crude Oil Call option with strike equals 12-month end-of-day forward price on the booking date (1 contract = 1 000 barrels. Total notional 30 000 barrels).
Cash Settlement
EBA instrument currency USD
404. Short 30 contracts of 6-month WTI Crude Oil Put option with strike equals 12-month end-of-day forward price on the booking date (1 contract = 1 000 barrels. Total notional 30 000 barrels).
Cash Settlement
EBA instrument currency USD
405. Long Call option. 5 000 0zt of London Gold.
Strike price: ATM forward rate as of end of the booking date
Expiry date: Booking date + 18 months
Cash Settlement
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
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 |
|
EQUITY |
|
|
|
|
1001 |
101 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
1002 |
103 – 1 instrument 104 – 1 instrument 105 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
1003 |
113 – 1 instrument 110 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
1004 |
115 – 1 instrument 116 – 1 instrument |
GBP |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
1005 |
117 – 1 instrument |
JPY |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
1006 |
109 – 1 instrument 110 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
1007 |
118 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
1008 |
111 – 1 instrument 112 – 1 instrument |
USD |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
1009 |
102 – 1 instrument 114 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
1010 |
106 – 1 instrument 107 – 1 instrument 108 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
1011 |
101 – 1 instrument 103 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
1012 |
101 – 1 instrument 103 – 1 instrument 104 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
1013 |
102– 1 instrument 104 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
1014 |
119 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
1015 |
120 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
1016 |
121 – 1 instrument |
EUR |
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 207 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
2007 |
206 – 1 instrument 207 – 1 instrument 208 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
2008 |
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 |
|
2009 |
201 – 1 instrument 218 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
2010 |
201 – 1 instrument 219 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
2011 |
218 – 1 instrument 219 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
2012 |
201 – 1 instrument 202 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
2013 |
213 – 1 instrument |
GBP |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
2014 |
215 – 1 instrument 216 – 1 instrument 217 – 1 instrument |
USD |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
2015 |
203 – 1 instrument 215 – 1 instrument |
USD |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
2016 |
208 – 1 instrument 209 – 1 instrument 210 – 1 instrument 214 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
2017 |
220 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
2018 |
209 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
2019 |
209 – 1 instrument 219 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
2020 |
221 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
2021 |
222 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
2022 |
201 – 1 instrument 223 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
2023 |
224 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
3001 |
301 – 1 instrument 302 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
3002 |
303 – 1 instrument 304 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
3003 |
304 – 1 instrument 305 – 1 instrument 306 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
3004 |
307 – 1 instrument 308 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
3005 |
309 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
3006 |
310 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
3007 |
311 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
4001 |
401 – 1 instrument 402 – 1 instrument |
USD |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
4002 |
403 – 1 instrument 404 – 1 instrument |
USD |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
4003 |
401 – 1 instrument 404 – 1 instrument |
USD |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
4004 |
405 – 1 instrument |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
5001 |
501 – 1 instrument 502 – 1 instrument 503 – 1 instrument |
USD |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5002 |
504 – 1 instrument 505 – 1 instrument |
USD |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5003 |
507 – 1 instrument 508 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5004 |
503 – 1 instrument 504 – 1 instrument |
USD |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5005 |
509 – 1 instrument 510 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5006 |
511 – 1 instrument 512 – 1 instrument 514 – 1 instrument 515 – 1 instrument 516 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5007 |
517 – 1 instrument 518 – 1 instrument |
USD |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5008 |
519 – 1 instrument 520 – 1 instrument 522 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5009 |
520 – 1 instrument 521 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5010 |
519 – 1 instrument 508 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5011 |
515 – 1 instrument 522 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5012 |
513 – 1 instrument |
USD |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5013 |
520 – 1 instrument 521 – 1 instrument 516 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5014 |
506 – 1 instrument 503 – 1 instrument |
USD |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5015 |
502 – 1 instrument 209 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5016 |
504 – 1 instrument 217 – 1 instrument |
USD |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5017 |
505 – 1 instrument 216 – 1 instrument |
USD |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5018 |
504 – 1 instrument 217 – 1 instrument 505 – 1 instrument 216 – 1 instrument |
USD |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5019 |
502 – 1 instrument 209 – 1 instrument 219 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5020 |
523 – 1 instrument 525 – 1 instrument 527 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5021 |
524 – 1 instrument 526 – 1 instrument 528 – 1 instrument |
USD |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5022 |
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 |
|
5023 |
529 – 1 instrument 530 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5024 |
531 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5025 |
532 – 1 instrument |
USD |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5026 |
533 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
5027 |
534 – 1 instrument |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
6001 |
601 – 1 instrument 602 – 1 instrument |
EUR |
VaR; Stressed VaR; APR; SBM; DRC; RRAO |
|
6002 |
603 – 1 instrument 604 – 1 instrument |
EUR |
VaR; Stressed VaR; APR; SBM; DRC; RRAO |
|
6003 |
605 – 1 instrument 606 – 1 instrument |
EUR |
VaR; Stressed VaR; APR; SBM; DRC; RRAO |
|
6004 |
607 – 1 instrument 608 – 1 instrument |
EUR |
VaR; Stressed VaR; APR; SBM; DRC; RRAO |
|
6005 |
609 – 1 instrument 610 – 1 instrument |
EUR |
VaR; Stressed VaR; APR; SBM; DRC; RRAO |
Section 4: Aggregated Portfolios
Institutions shall provide the required risk measures, along with the Present Value, of the following financial aggregated portfolios:
|
Aggreg. Portfolio |
Description |
Combination of Individual Portfolios (individual portfolios as stated by their numbers as referred to in Section 3 of this Annex) |
EBA portfolio Currency |
Risk Measures requested |
|
10000 |
ALL-IN no-CTP |
1001, 1002, 1006, 1007, 1009, 2001, 2002, 2008, 2011, 3001, 3002, 3003, 3004, 4001, 4002, 5003, 5006, 5008, 5022 |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
11000 |
EQUITY Cumulative |
1001, 1002, 1006, 1007, 1009 |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
12000 |
IR Cumulative |
2001, 2002, 2008, 2011 |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
13000 |
FX Cumulative |
3001, 3002, 3003, 3004 |
EUR |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
14000 |
Commodity Cumulative |
4001, 4002 |
USD |
VaR; Stressed VaR; SBM; DRC; RRAO |
|
15000 |
Credit Spread cumulative |
5003, 5006, 5008, 5022 |
EUR |
VaR; Stressed VaR; IRC; SBM; DRC; RRAO |
|
16000 |
CTP cumulative EUR |
6001, 6002 |
EUR |
VaR; Stressed VaR; APR; SBM; DRC; RRAO |
Section 5: 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 6: SBM validation portfolios
Institutions shall provide the SBM risk measure of the portfolios defined in Annex X as part of the Risk Measure submission. For the SBM validation portfolios, institutions shall only report template C120.02 and limit the reporting in this template to the reporting currency results (i.e. column 0060 shall not be populated). Institutions shall not report information related to SBM validation instruments and portfolios as part of the IMV submission. Institutions shall assume that the risk sensitivities and curvature risk exposures defined by the instruments specified in Annex X are expressed in the institution’s reporting currency. Institutions shall further assume that the sensitivities 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).