ANHANG X VO (EU) 2016/2070
SBM-Validierungsportfolios
|
Datenblattname
|
Beschreibung
|
| Instrumente |
Instrumente (Sensitivitäten und Krümmungsrisikopositionen) für die SBM-Validierung |
| Portfolios |
SBM-Validierungsportfolios, definiert als Kombinationen aus den in diesem Anhang definierten Instrumenten |
| Instrument |
Risikofaktor-Kennung |
Unterklasse |
Zusätzliche Kennung |
Risikosensitivität |
| S_IRC_a1# |
GIRR_CU |
USD |
|
–18466,83
|
| S_IRC_a1# |
GIRR_CD |
USD |
|
18647,66
|
| S_IRC_b1# |
GIRR_CU |
USD |
|
92233,09
|
| S_IRC_b1# |
GIRR_CD |
USD |
|
–93178,71
|
| S_IRC_c1# |
GIRR_CU |
CLP |
|
–1270,00
|
| S_IRC_c1# |
GIRR_CD |
CLP |
|
450,00
|
| S_IRC_d1# |
GIRR_CU |
EUR |
|
–253,12
|
| S_IRC_d1# |
GIRR_CD |
EUR |
|
–3237,08
|
| S_IRC_e1# |
GIRR_CU |
VND |
|
–11950,00
|
| S_IRC_e1# |
GIRR_CD |
VND |
|
–4030,00
|
| S_IRD_a1# |
GIRR_D_00.25 |
USD |
OIS |
30000,00
|
| S_IRD_b1# |
GIRR_D_00.25 |
USD |
OIS |
20000,00
|
| S_IRD_b10# |
GIRR_D_30.00 |
USD |
OIS |
–50000,00
|
| S_IRD_b11# |
GIRR_D_INF |
USD |
|
–50000,00
|
| S_IRD_b12# |
GIRR_D_CRO_EUR |
USD |
|
–65000,00
|
| S_IRD_b2# |
GIRR_D_00.50 |
USD |
OIS |
15000,00
|
| S_IRD_b3# |
GIRR_D_01.00 |
USD |
OIS |
–65000,00
|
| S_IRD_b4# |
GIRR_D_02.00 |
USD |
OIS |
–10000,00
|
| S_IRD_b5# |
GIRR_D_03.00 |
USD |
OIS |
85000,00
|
| S_IRD_b6# |
GIRR_D_05.00 |
USD |
OIS |
–90000,00
|
| S_IRD_b7# |
GIRR_D_10.00 |
USD |
OIS |
2000,00
|
| S_IRD_b8# |
GIRR_D_15.00 |
USD |
OIS |
30000,00
|
| S_IRD_b9# |
GIRR_D_20.00 |
USD |
OIS |
200000,00
|
| S_IRD_c1# |
GIRR_D_00.25 |
USD |
Libor3m |
–30000,00
|
| S_IRD_c10# |
GIRR_D_30.00 |
USD |
Libor3m |
10000,00
|
| S_IRD_c2# |
GIRR_D_00.50 |
USD |
Libor3m |
–40000,00
|
| S_IRD_c3# |
GIRR_D_01.00 |
USD |
Libor3m |
70000,00
|
| S_IRD_c4# |
GIRR_D_02.00 |
USD |
Libor3m |
10000,00
|
| S_IRD_c5# |
GIRR_D_03.00 |
USD |
Libor3m |
55000,00
|
| S_IRD_c6# |
GIRR_D_05.00 |
USD |
Libor3m |
–35000,00
|
| S_IRD_c7# |
GIRR_D_10.00 |
USD |
Libor3m |
–100000,00
|
| S_IRD_c8# |
GIRR_D_15.00 |
USD |
Libor3m |
10000,00
|
| S_IRD_c9# |
GIRR_D_20.00 |
USD |
Libor3m |
–30000,00
|
| S_IRD_d1# |
GIRR_D_00.25 |
CLP |
OIS |
–30000,00
|
| S_IRD_d10# |
GIRR_D_30.00 |
CLP |
OIS |
15000,00
|
| S_IRD_d11# |
GIRR_D_INF |
CLP |
|
95000,00
|
| S_IRD_d12# |
GIRR_D_CRO_USD |
CLP |
|
10500,00
|
| S_IRD_d2# |
GIRR_D_00.50 |
CLP |
OIS |
45000,00
|
| S_IRD_d3# |
GIRR_D_01.00 |
CLP |
OIS |
10000,00
|
| S_IRD_d4# |
GIRR_D_02.00 |
CLP |
OIS |
5000,00
|
| S_IRD_d5# |
GIRR_D_03.00 |
CLP |
OIS |
–100000,00
|
| S_IRD_d6# |
GIRR_D_05.00 |
CLP |
OIS |
–5000,00
|
| S_IRD_d7# |
GIRR_D_10.00 |
CLP |
OIS |
–25000,00
|
| S_IRD_d8# |
GIRR_D_15.00 |
CLP |
OIS |
70000,00
|
| S_IRD_d9# |
GIRR_D_20.00 |
CLP |
OIS |
90000,00
|
| S_IRD_e1# |
GIRR_D_00.25 |
EUR |
OIS |
100,00
|
| S_IRD_e10# |
GIRR_D_30.00 |
EUR |
OIS |
–120000,00
|
| S_IRD_e11# |
GIRR_D_INF |
EUR |
DE |
–65000,00
|
| S_IRD_e12# |
GIRR_D_CRO_USD |
EUR |
|
–85000,00
|
| S_IRD_e13# |
GIRR_D_INF |
EUR |
FR |
–100000,00
|
| S_IRD_e2# |
GIRR_D_00.50 |
EUR |
OIS |
100,00
|
| S_IRD_e3# |
GIRR_D_01.00 |
EUR |
OIS |
–50000,00
|
| 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 |
|
1000,00
|
| 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 |
|
–4750,00
|
| S_IRV_d2# |
GIRR_V_00.50_01.00 |
EUR |
|
3750,00
|
| S_IRV_d3# |
GIRR_V_00.50_03.00 |
EUR |
|
1000,00
|
| S_IRV_d4# |
GIRR_V_00.50_05.00 |
EUR |
|
1500,00
|
| S_IRV_d5# |
GIRR_V_00.50_10.00 |
EUR |
|
–2000,00
|
| 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 |
Risikoklasse |
Komponente |
Instrumente |
| 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# |
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