LegalizeCommission Implementing Regulation (EU) 2016/2070 of 14 September 2016 laying down implementing technical standards for templates, definitions and IT-solutions to be used by institutions when reporting to the European Banking Authority and to competent authorities in accordance with Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance )
| 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 |
| --- | --- |
| S_IRV_b25# | GIRR_V_10.00_10.00 |
| S_IRV_b24# | GIRR_V_10.00_05.00 |
| S_IRV_b23# | GIRR_V_10.00_03.00 |
| S_IRV_b22# | GIRR_V_10.00_01.00 |
| S_IRV_b21# | GIRR_V_10.00_00.50 |
| S_IRV_b20# | GIRR_V_05.00_10.00 |
| S_IRV_b19# | GIRR_V_05.00_05.00 |
| S_IRV_b18# | GIRR_V_05.00_03.00 |
| S_IRV_b17# | GIRR_V_05.00_01.00 |
| S_IRV_b16# | GIRR_V_05.00_00.50 |
| S_IRV_e3# | GIRR_V_03.00_CRO_USD |
| S_IRV_b15# | GIRR_V_03.00_10.00 |
| S_IRV_b14# | GIRR_V_03.00_05.00 |
| S_IRV_b13# | GIRR_V_03.00_03.00 |
| S_IRV_b12# | GIRR_V_03.00_01.00 |
| S_IRV_b11# | GIRR_V_03.00_00.50 |
| S_IRV_e2# | GIRR_V_01.00_INF |
| S_IRV_b10# | GIRR_V_01.00_10.00 |
| S_IRV_b9# | GIRR_V_01.00_05.00 |
| S_IRV_b8# | GIRR_V_01.00_03.00 |
| S_IRV_b7# | GIRR_V_01.00_01.00 |
| S_IRV_b6# | GIRR_V_01.00_00.50 |
| S_IRV_b5# | GIRR_V_00.50_10.00 |
| S_IRV_c5# | GIRR_V_00.50_10.00 |
| S_IRV_d5# | GIRR_V_00.50_10.00 |
| S_IRV_b4# | GIRR_V_00.50_05.00 |
| S_IRV_c4# | GIRR_V_00.50_05.00 |
| S_IRV_d4# | GIRR_V_00.50_05.00 |
| S_IRV_b3# | GIRR_V_00.50_03.00 |
| S_IRV_c3# | GIRR_V_00.50_03.00 |
| S_IRV_d3# | GIRR_V_00.50_03.00 |
| S_IRV_b2# | GIRR_V_00.50_01.00 |
| S_IRV_c2# | GIRR_V_00.50_01.00 |
| S_IRV_d2# | GIRR_V_00.50_01.00 |
| S_IRV_a1# | GIRR_V_00.50_00.50 |
| S_IRV_b1# | GIRR_V_00.50_00.50 |
| S_IRV_c1# | GIRR_V_00.50_00.50 |
| S_IRV_d1# | GIRR_V_00.50_00.50 |
| S_IRV_e1# | GIRR_V_00.50_00.50 |
| S_IRD_b11# | GIRR_D_INF |
| S_IRD_d11# | GIRR_D_INF |
| S_IRD_e11# | GIRR_D_INF |
| S_IRD_e13# | GIRR_D_INF |
| S_IRD_d12# | GIRR_D_CRO_USD |
| S_IRD_e12# | GIRR_D_CRO_USD |
| S_IRD_b12# | GIRR_D_CRO_EUR |
| S_IRD_b10# | GIRR_D_30.00 |
| S_IRD_c10# | GIRR_D_30.00 |
| S_IRD_d10# | GIRR_D_30.00 |
| S_IRD_e10# | GIRR_D_30.00 |
| S_IRD_b9# | GIRR_D_20.00 |
| S_IRD_c9# | GIRR_D_20.00 |
| S_IRD_d9# | GIRR_D_20.00 |
| S_IRD_e9# | GIRR_D_20.00 |
| S_IRD_b8# | GIRR_D_15.00 |
| S_IRD_c8# | GIRR_D_15.00 |
| S_IRD_d8# | GIRR_D_15.00 |
| S_IRD_e8# | GIRR_D_15.00 |
| S_IRD_b7# | GIRR_D_10.00 |
| S_IRD_c7# | GIRR_D_10.00 |
| S_IRD_d7# | GIRR_D_10.00 |
| S_IRD_e7# | GIRR_D_10.00 |
| S_IRD_b6# | GIRR_D_05.00 |
| S_IRD_c6# | GIRR_D_05.00 |
| S_IRD_d6# | GIRR_D_05.00 |
| S_IRD_e6# | GIRR_D_05.00 |
| S_IRD_b5# | GIRR_D_03.00 |
| S_IRD_c5# | GIRR_D_03.00 |
| S_IRD_d5# | GIRR_D_03.00 |
| S_IRD_e5# | GIRR_D_03.00 |
| S_IRD_b4# | GIRR_D_02.00 |
| S_IRD_c4# | GIRR_D_02.00 |
| S_IRD_d4# | GIRR_D_02.00 |
| S_IRD_e4# | GIRR_D_02.00 |
| S_IRD_b3# | GIRR_D_01.00 |
| S_IRD_c3# | GIRR_D_01.00 |
| S_IRD_d3# | GIRR_D_01.00 |
| S_IRD_e3# | GIRR_D_01.00 |
| S_IRD_b2# | GIRR_D_00.50 |
| S_IRD_c2# | GIRR_D_00.50 |
| S_IRD_d2# | GIRR_D_00.50 |
| S_IRD_e2# | GIRR_D_00.50 |
| S_IRD_a1# | GIRR_D_00.25 |
| S_IRD_b1# | GIRR_D_00.25 |
| S_IRD_c1# | GIRR_D_00.25 |
| S_IRD_d1# | GIRR_D_00.25 |
| S_IRD_e1# | GIRR_D_00.25 |
| S_IRD_f1# | GIRR_D_00.25 |
| S_IRC_a1# | GIRR_CU |
| S_IRC_b1# | GIRR_CU |
| S_IRC_c1# | GIRR_CU |
| S_IRC_d1# | GIRR_CU |
| S_IRC_e1# | GIRR_CU |
| S_IRC_a1# | GIRR_CD |
| S_IRC_b1# | GIRR_CD |
| S_IRC_c1# | GIRR_CD |
| S_IRC_d1# | GIRR_CD |
| S_IRC_e1# | GIRR_CD |
| S_FXV_b4# | FX_V_5.00 |
| S_FXV_d4# | FX_V_5.00 |
| S_FXV_b3# | FX_V_3.00 |
| S_FXV_d3# | FX_V_3.00 |
| S_FXV_b5# | FX_V_10.00 |
| S_FXV_d5# | FX_V_10.00 |
| S_FXV_b2# | FX_V_1.00 |
| S_FXV_d2# | FX_V_1.00 |
| S_FXV_a1# | FX_V_0.50 |
| S_FXV_b1# | FX_V_0.50 |
| S_FXV_c1# | FX_V_0.50 |
| S_FXV_d1# | FX_V_0.50 |
| S_FXD_a1# | FX_D |
| S_FXD_b1# | FX_D |
| S_FXD_c1# | FX_D |
| S_FXD_d1# | FX_D |
| S_FXD_f1# | FX_D |
| S_FXC_a1# | FX_CU |
| S_FXC_b1# | FX_CU |
| S_FXC_c1# | FX_CU |
| S_FXC_d1# | FX_CU |
| S_FXC_e1# | FX_CU |
| S_FXC_f1# | FX_CU |
| S_FXC_a1# | FX_CD |
| S_FXC_b1# | FX_CD |
| S_FXC_c1# | FX_CD |
| S_FXC_d1# | FX_CD |
| S_FXC_e1# | FX_CD |
| S_FXC_f1# | FX_CD |
| S_EQV_a5# | EQ_V_5.00 |
| S_EQV_aa4# | EQ_V_5.00 |
| S_EQV_ac1# | EQ_V_5.00 |
| S_EQV_ae4# | EQ_V_5.00 |
| S_EQV_af4# | EQ_V_5.00 |
| S_EQV_b4# | EQ_V_5.00 |
| S_EQV_f4# | EQ_V_5.00 |
| S_EQV_j4# | EQ_V_5.00 |
| S_EQV_k4# | EQ_V_5.00 |
| S_EQV_m1# | EQ_V_5.00 |
| S_EQV_n4# | EQ_V_5.00 |
| S_EQV_o4# | EQ_V_5.00 |
| S_EQV_y1# | EQ_V_5.00 |
| S_EQV_a4# | EQ_V_3.00 |
| S_EQV_aa3# | EQ_V_3.00 |
| S_EQV_ad1# | EQ_V_3.00 |
| S_EQV_ae3# | EQ_V_3.00 |
| S_EQV_af3# | EQ_V_3.00 |
| S_EQV_b3# | EQ_V_3.00 |
| S_EQV_f3# | EQ_V_3.00 |
| S_EQV_j3# | EQ_V_3.00 |
| S_EQV_k3# | EQ_V_3.00 |
| S_EQV_n3# | EQ_V_3.00 |
| S_EQV_o3# | EQ_V_3.00 |
| S_EQV_x1# | EQ_V_3.00 |
| S_EQV_z1# | EQ_V_3.00 |
| S_EQV_a6# | EQ_V_10.00 |
| S_EQV_aa5# | EQ_V_10.00 |
| S_EQV_ab1# | EQ_V_10.00 |
| S_EQV_ae5# | EQ_V_10.00 |
| S_EQV_af5# | EQ_V_10.00 |
| S_EQV_b5# | EQ_V_10.00 |
| S_EQV_f5# | EQ_V_10.00 |
| S_EQV_j5# | EQ_V_10.00 |
| S_EQV_k5# | EQ_V_10.00 |
| S_EQV_n5# | EQ_V_10.00 |
| S_EQV_o5# | EQ_V_10.00 |
| S_EQV_q1# | EQ_V_10.00 |
| S_EQV_a3# | EQ_V_1.00 |
| S_EQV_aa2# | EQ_V_1.00 |
| S_EQV_ae2# | EQ_V_1.00 |
| S_EQV_af2# | EQ_V_1.00 |
| S_EQV_b2# | EQ_V_1.00 |
| S_EQV_f2# | EQ_V_1.00 |
| S_EQV_j2# | EQ_V_1.00 |
| S_EQV_k2# | EQ_V_1.00 |
| S_EQV_n2# | EQ_V_1.00 |
| S_EQV_o2# | EQ_V_1.00 |
| S_EQV_a1# | EQ_V_0.50 |
| S_EQV_a2# | EQ_V_0.50 |
| S_EQV_aa1# | EQ_V_0.50 |
| S_EQV_ae1# | EQ_V_0.50 |
| S_EQV_af1# | EQ_V_0.50 |
| S_EQV_b1# | EQ_V_0.50 |
| S_EQV_c1# | EQ_V_0.50 |
| S_EQV_d1# | EQ_V_0.50 |
| S_EQV_e1# | EQ_V_0.50 |
| S_EQV_f1# | EQ_V_0.50 |
| S_EQV_g1# | EQ_V_0.50 |
| S_EQV_h1# | EQ_V_0.50 |
| S_EQV_i1# | EQ_V_0.50 |
| S_EQV_j1# | EQ_V_0.50 |
| S_EQV_k1# | EQ_V_0.50 |
| S_EQV_l1# | EQ_V_0.50 |
| S_EQV_n1# | EQ_V_0.50 |
| S_EQV_o1# | EQ_V_0.50 |
| S_EQV_p1# | EQ_V_0.50 |
| S_EQD_a1# | EQ_D_SPOT |
| S_EQD_a2# | EQ_D_SPOT |
| S_EQD_b1# | EQ_D_SPOT |
| S_EQD_c1# | EQ_D_SPOT |
| S_EQD_d1# | EQ_D_SPOT |
| S_EQD_e1# | EQ_D_SPOT |
| S_EQD_f1# | EQ_D_SPOT |
| S_EQD_g1# | EQ_D_SPOT |
| S_EQD_h1# | EQ_D_SPOT |
| S_EQD_i1# | EQ_D_SPOT |
| S_EQD_j1# | EQ_D_SPOT |
| S_EQD_k1# | EQ_D_SPOT |
| S_EQD_l1# | EQ_D_SPOT |
| S_EQD_m1# | EQ_D_SPOT |
| S_EQD_n1# | EQ_D_SPOT |
| S_EQD_o1# | EQ_D_SPOT |
| S_EQD_q1# | EQ_D_SPOT |
| S_EQD_r1# | EQ_D_SPOT |
| S_EQD_s1# | EQ_D_SPOT |
| S_EQD_s2# | EQ_D_SPOT |
| S_EQD_t2# | EQ_D_SPOT |
| S_EQD_u1# | EQ_D_SPOT |
| S_EQD_v1# | EQ_D_SPOT |
| S_EQD_a3# | EQ_D_REPO |
| S_EQD_aa1# | EQ_D_REPO |
| S_EQD_ab1# | EQ_D_REPO |
| S_EQD_ac1# | EQ_D_REPO |
| S_EQD_b2# | EQ_D_REPO |
| S_EQD_f2# | EQ_D_REPO |
| S_EQD_g2# | EQ_D_REPO |
| S_EQD_k2# | EQ_D_REPO |
| S_EQD_l2# | EQ_D_REPO |
| S_EQD_m2# | EQ_D_REPO |
| S_EQD_n2# | EQ_D_REPO |
| S_EQD_p1# | EQ_D_REPO |
| S_EQD_q2# | EQ_D_REPO |
| S_EQD_r2# | EQ_D_REPO |
| S_EQD_t1# | EQ_D_REPO |
| S_EQD_x1# | EQ_D_REPO |
| S_EQD_y1# | EQ_D_REPO |
| S_EQD_z1# | EQ_D_REPO |
| S_EQC_a1# | EQ_CU |
| S_EQC_a2# | EQ_CU |
| S_EQC_aa1# | EQ_CU |
| S_EQC_ab1# | EQ_CU |
| S_EQC_ac1# | EQ_CU |
| S_EQC_ad1# | EQ_CU |
| S_EQC_ae1# | EQ_CU |
| S_EQC_af1# | EQ_CU |
| S_EQC_ag1# | EQ_CU |
| S_EQC_ah1# | EQ_CU |
| S_EQC_b1# | EQ_CU |
| S_EQC_c1# | EQ_CU |
| S_EQC_d1# | EQ_CU |
| S_EQC_e1# | EQ_CU |
| S_EQC_f1# | EQ_CU |
| S_EQC_g1# | EQ_CU |
| S_EQC_h1# | EQ_CU |
| S_EQC_i1# | EQ_CU |
| S_EQC_j1# | EQ_CU |
| S_EQC_k1# | EQ_CU |
| S_EQC_q1# | EQ_CU |
| S_EQC_r1# | EQ_CU |
| S_EQC_s1# | EQ_CU |
| S_EQC_t1# | EQ_CU |
| S_EQC_u1# | EQ_CU |
| S_EQC_v1# | EQ_CU |
| S_EQC_w1# | EQ_CU |
| S_EQC_y1# | EQ_CU |
| S_EQC_z1# | EQ_CU |
| S_EQC_a1# | EQ_CD |
| S_EQC_a2# | EQ_CD |
| S_EQC_aa1# | EQ_CD |
| S_EQC_ab1# | EQ_CD |
| S_EQC_ac1# | EQ_CD |
| S_EQC_ad1# | EQ_CD |
| S_EQC_ae1# | EQ_CD |
| S_EQC_af1# | EQ_CD |
| S_EQC_ag1# | EQ_CD |
| S_EQC_ah1# | EQ_CD |
| S_EQC_b1# | EQ_CD |
| S_EQC_c1# | EQ_CD |
| S_EQC_d1# | EQ_CD |
| S_EQC_e1# | EQ_CD |
| S_EQC_f1# | EQ_CD |
| S_EQC_g1# | EQ_CD |
| S_EQC_h1# | EQ_CD |
| S_EQC_i1# | EQ_CD |
| S_EQC_j1# | EQ_CD |
| S_EQC_k1# | EQ_CD |
| S_EQC_q1# | EQ_CD |
| S_EQC_r1# | EQ_CD |
| S_EQC_s1# | EQ_CD |
| S_EQC_t1# | EQ_CD |
| S_EQC_u1# | EQ_CD |
| S_EQC_v1# | EQ_CD |
| S_EQC_w1# | EQ_CD |
| S_EQC_y1# | EQ_CD |
| S_EQC_z1# | EQ_CD |
| S_CNV_a5# | CSR_NON_SEC_V_5.00 |
| S_CNV_b4# | CSR_NON_SEC_V_5.00 |
| S_CNV_c4# | CSR_NON_SEC_V_5.00 |
| S_CNV_hb1# | CSR_NON_SEC_V_5.00 |
| S_CNV_a4# | CSR_NON_SEC_V_3.00 |
| S_CNV_ab1# | CSR_NON_SEC_V_3.00 |
| S_CNV_b3# | CSR_NON_SEC_V_3.00 |
| S_CNV_c3# | CSR_NON_SEC_V_3.00 |
| S_CNV_v1# | CSR_NON_SEC_V_3.00 |
| S_CNV_a6# | CSR_NON_SEC_V_10.00 |
| S_CNV_b5# | CSR_NON_SEC_V_10.00 |
| S_CNV_c5# | CSR_NON_SEC_V_10.00 |
| S_CNV_a3# | CSR_NON_SEC_V_1.00 |
| S_CNV_b2# | CSR_NON_SEC_V_1.00 |
| S_CNV_c2# | CSR_NON_SEC_V_1.00 |
| S_CNV_a1# | CSR_NON_SEC_V_0.50 |
| S_CNV_a2# | CSR_NON_SEC_V_0.50 |
| S_CNV_b1# | CSR_NON_SEC_V_0.50 |
| S_CNV_c1# | CSR_NON_SEC_V_0.50 |
| S_CNV_d1# | CSR_NON_SEC_V_0.50 |
| S_CNV_e1# | CSR_NON_SEC_V_0.50 |
| S_CNV_f1# | CSR_NON_SEC_V_0.50 |
| S_CNV_g1# | CSR_NON_SEC_V_0.50 |
| S_CNV_h1# | CSR_NON_SEC_V_0.50 |
| S_CNV_i1# | CSR_NON_SEC_V_0.50 |
| S_CNV_j1# | CSR_NON_SEC_V_0.50 |
| S_CNV_k1# | CSR_NON_SEC_V_0.50 |
| S_CNV_l1# | CSR_NON_SEC_V_0.50 |
| S_CNV_m1# | CSR_NON_SEC_V_0.50 |
| S_CNV_n1# | CSR_NON_SEC_V_0.50 |
| S_CNV_o1# | CSR_NON_SEC_V_0.50 |
| S_CNV_p1# | CSR_NON_SEC_V_0.50 |
| S_CNV_q1# | CSR_NON_SEC_V_0.50 |
| S_CNV_r1# | CSR_NON_SEC_V_0.50 |
| S_CNV_s1# | CSR_NON_SEC_V_0.50 |
| S_CNV_t1# | CSR_NON_SEC_V_0.50 |
| S_CNV_u1# | CSR_NON_SEC_V_0.50 |
| S_CND_hb2# | CSR_NON_SEC_D_3.00_DEBT |
| S_CND_t1# | CSR_NON_SEC_D_3.00_DEBT |
| S_CND_y1# | CSR_NON_SEC_D_3.00_DEBT |
| S_CND_ab2# | CSR_NON_SEC_D_3.00_CDS |
| S_CND_b2# | CSR_NON_SEC_D_3.00_CDS |
| S_CND_w1# | CSR_NON_SEC_D_10.00_DEBT |
| S_CND_a4# | CSR_NON_SEC_D_1.00_DEBT |
| S_CND_s1# | CSR_NON_SEC_D_1.00_DEBT |
| S_CND_x1# | CSR_NON_SEC_D_1.00_CDS |
| S_CND_a1# | CSR_NON_SEC_D_0.50_DEBT |
| S_CND_a2# | CSR_NON_SEC_D_0.50_DEBT |
| S_CND_b1# | CSR_NON_SEC_D_0.50_DEBT |
| S_CND_c1# | CSR_NON_SEC_D_0.50_DEBT |
| S_CND_d1# | CSR_NON_SEC_D_0.50_DEBT |
| S_CND_e1# | CSR_NON_SEC_D_0.50_DEBT |
| S_CND_f1# | CSR_NON_SEC_D_0.50_DEBT |
| S_CND_g1# | CSR_NON_SEC_D_0.50_DEBT |
| S_CND_h1# | CSR_NON_SEC_D_0.50_DEBT |
| S_CND_hb1# | CSR_NON_SEC_D_0.50_DEBT |
| S_CND_i1# | CSR_NON_SEC_D_0.50_DEBT |
| S_CND_j1# | CSR_NON_SEC_D_0.50_DEBT |
| S_CND_k1# | CSR_NON_SEC_D_0.50_DEBT |
| S_CND_l1# | CSR_NON_SEC_D_0.50_DEBT |
| S_CND_m1# | CSR_NON_SEC_D_0.50_DEBT |
| S_CND_n1# | CSR_NON_SEC_D_0.50_DEBT |
| S_CND_o1# | CSR_NON_SEC_D_0.50_DEBT |
| S_CND_p1# | CSR_NON_SEC_D_0.50_DEBT |
| S_CND_q1# | CSR_NON_SEC_D_0.50_DEBT |
| S_CND_r1# | CSR_NON_SEC_D_0.50_DEBT |
| S_CND_a3# | CSR_NON_SEC_D_0.50_CDS |
| S_CND_ab1# | CSR_NON_SEC_D_0.50_CDS |
| S_CND_u1# | CSR_NON_SEC_D_0.50_CDS |
| S_CND_v1# | CSR_NON_SEC_D_0.50_CDS |
| S_CND_x2# | CSR_NON_SEC_D_0.50_CDS |
| S_CNC_a1# | CSR_NON_SEC_CU |
| S_CNC_a2# | CSR_NON_SEC_CU |
| S_CNC_aa1# | CSR_NON_SEC_CU |
| S_CNC_ab1# | CSR_NON_SEC_CU |
| S_CNC_b1# | CSR_NON_SEC_CU |
| S_CNC_c1# | CSR_NON_SEC_CU |
| S_CNC_d1# | CSR_NON_SEC_CU |
| S_CNC_e1# | CSR_NON_SEC_CU |
| S_CNC_f1# | CSR_NON_SEC_CU |
| S_CNC_g1# | CSR_NON_SEC_CU |
| S_CNC_h1# | CSR_NON_SEC_CU |
| S_CNC_hb1# | CSR_NON_SEC_CU |
| S_CNC_i1# | CSR_NON_SEC_CU |
| S_CNC_j1# | CSR_NON_SEC_CU |
| S_CNC_k1# | CSR_NON_SEC_CU |
| S_CNC_l1# | CSR_NON_SEC_CU |
| S_CNC_m1# | CSR_NON_SEC_CU |
| S_CNC_n1# | CSR_NON_SEC_CU |
| S_CNC_o1# | CSR_NON_SEC_CU |
| S_CNC_p1# | CSR_NON_SEC_CU |
| S_CNC_q1# | CSR_NON_SEC_CU |
| S_CNC_r1# | CSR_NON_SEC_CU |
| S_CNC_s1# | CSR_NON_SEC_CU |
| S_CNC_t1# | CSR_NON_SEC_CU |
| S_CNC_u1# | CSR_NON_SEC_CU |
| S_CNC_v1# | CSR_NON_SEC_CU |
| S_CNC_w1# | CSR_NON_SEC_CU |
| S_CNC_x1# | CSR_NON_SEC_CU |
| S_CNC_y1# | CSR_NON_SEC_CU |
| S_CNC_z1# | CSR_NON_SEC_CU |
| S_CNC_a1# | CSR_NON_SEC_CD |
| S_CNC_a2# | CSR_NON_SEC_CD |
| S_CNC_aa1# | CSR_NON_SEC_CD |
| S_CNC_ab1# | CSR_NON_SEC_CD |
| S_CNC_b1# | CSR_NON_SEC_CD |
| S_CNC_c1# | CSR_NON_SEC_CD |
| S_CNC_d1# | CSR_NON_SEC_CD |
| S_CNC_e1# | CSR_NON_SEC_CD |
| S_CNC_f1# | CSR_NON_SEC_CD |
| S_CNC_g1# | CSR_NON_SEC_CD |
| S_CNC_h1# | CSR_NON_SEC_CD |
| S_CNC_hb1# | CSR_NON_SEC_CD |
| S_CNC_i1# | CSR_NON_SEC_CD |
| S_CNC_j1# | CSR_NON_SEC_CD |
| S_CNC_k1# | CSR_NON_SEC_CD |
| S_CNC_l1# | CSR_NON_SEC_CD |
| S_CNC_m1# | CSR_NON_SEC_CD |
| S_CNC_n1# | CSR_NON_SEC_CD |
| S_CNC_o1# | CSR_NON_SEC_CD |
| S_CNC_p1# | CSR_NON_SEC_CD |
| S_CNC_q1# | CSR_NON_SEC_CD |
| S_CNC_r1# | CSR_NON_SEC_CD |
| S_CNC_s1# | CSR_NON_SEC_CD |
| S_CNC_t1# | CSR_NON_SEC_CD |
| S_CNC_u1# | CSR_NON_SEC_CD |
| S_CNC_v1# | CSR_NON_SEC_CD |
| S_CNC_w1# | CSR_NON_SEC_CD |
| S_CNC_x1# | CSR_NON_SEC_CD |
| S_CNC_y1# | CSR_NON_SEC_CD |
| S_CNC_z1# | CSR_NON_SEC_CD |
| S_CMV_a5# | CM_V_5.00 |
| S_CMV_b4# | CM_V_5.00 |
| S_CMV_a4# | CM_V_3.00 |
| S_CMV_b3# | CM_V_3.00 |
| S_CMV_a6# | CM_V_10.00 |
| S_CMV_b5# | CM_V_10.00 |
| S_CMV_a3# | CM_V_1.00 |
| S_CMV_b2# | CM_V_1.00 |
| S_CMV_d1# | CM_V_1.00 |
| S_CMV_f1# | CM_V_1.00 |
| S_CMV_h1# | CM_V_1.00 |
| S_CMV_j1# | CM_V_1.00 |
| S_CMV_l1# | CM_V_1.00 |
| S_CMV_n1# | CM_V_1.00 |
| S_CMV_p1# | CM_V_1.00 |
| S_CMV_r1# | CM_V_1.00 |
| S_CMV_t1# | CM_V_1.00 |
| S_CMV_v1# | CM_V_1.00 |
| S_CMV_a1# | CM_V_0.50 |
| S_CMV_a2# | CM_V_0.50 |
| S_CMV_b1# | CM_V_0.50 |
| S_CMV_c1# | CM_V_0.50 |
| S_CMV_e1# | CM_V_0.50 |
| S_CMV_g1# | CM_V_0.50 |
| S_CMV_i1# | CM_V_0.50 |
| S_CMV_k1# | CM_V_0.50 |
| S_CMV_m1# | CM_V_0.50 |
| S_CMV_o1# | CM_V_0.50 |
| S_CMV_q1# | CM_V_0.50 |
| S_CMV_s1# | CM_V_0.50 |
| S_CMV_u1# | CM_V_0.50 |
| S_CMV_w1# | CM_V_0.50 |
| S_CMV_x1# | CM_V_0.50 |
| S_CMD_p1# | CM_D_30.00 |
| S_CMD_f1# | CM_D_3.00 |
| S_CMD_h1# | CM_D_3.00 |
| S_CMD_n1# | CM_D_20.00 |
| S_CMD_r1# | CM_D_20.00 |
| S_CMD_d1# | CM_D_2.00 |
| S_CMD_l1# | CM_D_15.00 |
| S_CMD_t1# | CM_D_15.00 |
| S_CMD_j1# | CM_D_10.00 |
| S_CMD_v1# | CM_D_10.00 |
| S_CMD_b1# | CM_D_1.00 |
| S_CMD_g1# | CM_D_1.00 |
| S_CMD_w1# | CM_D_1.00 |
| S_CMD_x1# | CM_D_1.00 |
| S_CMD_a4# | CM_D_0.50 |
| S_CMD_a1# | CM_D_0.00 |
| S_CMD_a2# | CM_D_0.00 |
| S_CMD_a3# | CM_D_0.00 |
| S_CMD_c1# | CM_D_0.00 |
| S_CMD_e1# | CM_D_0.00 |
| S_CMD_i1# | CM_D_0.00 |
| S_CMD_k1# | CM_D_0.00 |
| S_CMD_m1# | CM_D_0.00 |
| S_CMD_o1# | CM_D_0.00 |
| S_CMD_q1# | CM_D_0.00 |
| S_CMD_s1# | CM_D_0.00 |
| S_CMD_u1# | CM_D_0.00 |
| S_CMC_a1# | CM_CU |
| S_CMC_a2# | CM_CU |
| S_CMC_b1# | CM_CU |
| S_CMC_c1# | CM_CU |
| S_CMC_d1# | CM_CU |
| S_CMC_e1# | CM_CU |
| S_CMC_f1# | CM_CU |
| S_CMC_g1# | CM_CU |
| S_CMC_h1# | CM_CU |
| S_CMC_i1# | CM_CU |
| S_CMC_j1# | CM_CU |
| S_CMC_k1# | CM_CU |
| S_CMC_l1# | CM_CU |
| S_CMC_m1# | CM_CU |
| S_CMC_n1# | CM_CU |
| S_CMC_o1# | CM_CU |
| S_CMC_p1# | CM_CU |
| S_CMC_q1# | CM_CU |
| S_CMC_r1# | CM_CU |
| S_CMC_s1# | CM_CU |
| S_CMC_t1# | CM_CU |
| S_CMC_u1# | CM_CU |
| S_CMC_v1# | CM_CU |
| S_CMC_x1# | CM_CU |
| S_CMC_y1# | CM_CU |
| S_CMC_z1# | CM_CU |
| S_CMC_a1# | CM_CD |
| S_CMC_a2# | CM_CD |
| S_CMC_b1# | CM_CD |
| S_CMC_c1# | CM_CD |
| S_CMC_d1# | CM_CD |
| S_CMC_e1# | CM_CD |
| S_CMC_f1# | CM_CD |
| S_CMC_g1# | CM_CD |
| S_CMC_h1# | CM_CD |
| S_CMC_i1# | CM_CD |
| S_CMC_j1# | CM_CD |
| S_CMC_k1# | CM_CD |
| S_CMC_l1# | CM_CD |
| S_CMC_m1# | CM_CD |
| S_CMC_n1# | CM_CD |
| S_CMC_o1# | CM_CD |
| S_CMC_p1# | CM_CD |
| S_CMC_q1# | CM_CD |
| S_CMC_r1# | CM_CD |
| S_CMC_s1# | CM_CD |
| S_CMC_t1# | CM_CD |
| S_CMC_u1# | CM_CD |
| S_CMC_v1# | CM_CD |
| S_CMC_x1# | CM_CD |
| S_CMC_y1# | CM_CD |
| S_CMC_z1# | CM_CD |
| Portfolio | Risk class |
| --- | --- |
| G000 | GIRR |
| G001 | GIRR |
| G002 | GIRR |
| G003 | GIRR |
| G004 | GIRR |
| G005 | GIRR |
| G006 | GIRR |
| G007 | GIRR |
| G008 | GIRR |
| G009 | GIRR |
| G010 | GIRR |
| G011 | GIRR |
| G012 | GIRR |
| G013 | GIRR |
| G014 | GIRR |
| G015 | GIRR |
| G016 | GIRR |
| G017 | GIRR |
| G018 | GIRR |
| G019 | GIRR |
| G020 | GIRR |
| G021 | GIRR |
| G022 | GIRR |
| G023 | GIRR |
| G024 | GIRR |
| G025 | GIRR |
| G026 | GIRR |
| G027 | GIRR |
| G028 | GIRR |
| G029 | GIRR |
| G030 | GIRR |
| G031 | GIRR |
| G032 | GIRR |
| G033 | GIRR |
| G034 | GIRR |
| G035 | GIRR |
| G036 | GIRR |
| G037 | GIRR |
| G038 | GIRR |
| G039 | GIRR |
| G040 | GIRR |
| G041 | GIRR |
| G042 | GIRR |
| G043 | GIRR |
| G044 | GIRR |
| G045 | GIRR |
| G046 | GIRR |
| G047 | GIRR |
| G048 | GIRR |
| G049 | GIRR |
| G050 | GIRR |
| G051 | GIRR |
| G052 | GIRR |
| G053 | GIRR |
| G054 | GIRR |
| G055 | GIRR |
| G056 | GIRR |
| E001 | EQ |
| E002 | EQ |
| E003 | EQ |
| E004 | EQ |
| E005 | EQ |
| E006 | EQ |
| E007 | EQ |
| E008 | EQ |
| E009 | EQ |
| E010 | EQ |
| E011 | EQ |
| E012 | EQ |
| E013 | EQ |
| E014 | EQ |
| E015 | EQ |
| E016 | EQ |
| E017 | EQ |
| E018 | EQ |
| E019 | EQ |
| E020 | EQ |
| E021 | EQ |
| E022 | EQ |
| E023 | EQ |
| E024 | EQ |
| E025 | EQ |
| E026 | EQ |
| E027 | EQ |
| E028 | EQ |
| E029 | EQ |
| E030 | EQ |
| E031 | EQ |
| E032 | EQ |
| E033 | EQ |
| E034 | EQ |
| E035 | EQ |
| E036 | EQ |
| E037 | EQ |
| E038 | EQ |
| E039 | EQ |
| E040 | EQ |
| E041 | EQ |
| E042 | EQ |
| E043 | EQ |
| E044 | EQ |
| E045 | EQ |
| E046 | EQ |
| E047 | EQ |
| E048 | EQ |
| E049 | EQ |
| E050 | EQ |
| E051 | EQ |
| E052 | EQ |
| E053 | EQ |
| E054 | EQ |
| E055 | EQ |
| E056 | EQ |
| E057 | EQ |
| E058 | EQ |
| E059 | EQ |
| E060 | EQ |
| E061 | EQ |
| E062 | EQ |
| E063 | EQ |
| E064 | EQ |
| E065 | EQ |
| E066 | EQ |
| E067 | EQ |
| E068 | EQ |
| E069 | EQ |
| E070 | EQ |
| E071 | EQ |
| E072 | EQ |
| E073 | EQ |
| E074 | EQ |
| E075 | EQ |
| E076 | EQ |
| E077 | EQ |
| E078 | EQ |
| E079 | EQ |
| E080 | EQ |
| E081 | EQ |
| E082 | EQ |
| E083 | EQ |
| E084 | EQ |
| E085 | EQ |
| E086 | EQ |
| E087 | EQ |
| E088 | EQ |
| E089 | EQ |
| E090 | EQ |
| E091 | EQ |
| E092 | EQ |
| E093 | EQ |
| E094 | EQ |
| E095 | EQ |
| E096 | EQ |
| E097 | EQ |
| E098 | EQ |
| E099 | EQ |
| E100 | EQ |
| E101 | EQ |
| E102 | EQ |
| E103 | EQ |
| E104 | EQ |
| E105 | EQ |
| E106 | EQ |
| E107 | EQ |
| E108 | EQ |
| E109 | EQ |
| E110 | EQ |
| E111 | EQ |
| E112 | EQ |
| E113 | EQ |
| E114 | EQ |
| E115 | EQ |
| E116 | EQ |
| E117 | EQ |
| F001 | FX |
| F002 | FX |
| F003 | FX |
| F005 | FX |
| F007 | FX |
| F008 | FX |
| F009 | FX |
| F010 | FX |
| F011 | FX |
| F012 | FX |
| F013 | FX |
| F014 | FX |
| F015 | FX |
| F016 | FX |
| F017 | FX |
| F018 | FX |
| F019 | FX |
| F020 | FX |
| F021 | FX |
| F022 | FX |
| F023 | FX |
| F024 | FX |
| F026 | FX |
| F028 | FX |
| N001 | CSR_NON_SEC |
| N002 | CSR_NON_SEC |
| N003 | CSR_NON_SEC |
| N004 | CSR_NON_SEC |
| N005 | CSR_NON_SEC |
| N006 | CSR_NON_SEC |
| N007 | CSR_NON_SEC |
| N008 | CSR_NON_SEC |
| N009 | CSR_NON_SEC |
| N010 | CSR_NON_SEC |
| N011 | CSR_NON_SEC |
| N012 | CSR_NON_SEC |
| N013 | CSR_NON_SEC |
| N014 | CSR_NON_SEC |
| N015 | CSR_NON_SEC |
| N016 | CSR_NON_SEC |
| N017 | CSR_NON_SEC |
| N018 | CSR_NON_SEC |
| N019 | CSR_NON_SEC |
| N020 | CSR_NON_SEC |
| N021 | CSR_NON_SEC |
| N022 | CSR_NON_SEC |
| N023 | CSR_NON_SEC |
| N024 | CSR_NON_SEC |
| N025 | CSR_NON_SEC |
| N026 | CSR_NON_SEC |
| N027 | CSR_NON_SEC |
| N028 | CSR_NON_SEC |
| N029 | CSR_NON_SEC |
| N030 | CSR_NON_SEC |
| N031 | CSR_NON_SEC |
| N032 | CSR_NON_SEC |
| N033 | CSR_NON_SEC |
| N034 | CSR_NON_SEC |
| N035 | CSR_NON_SEC |
| N036 | CSR_NON_SEC |
| N037 | CSR_NON_SEC |
| N038 | CSR_NON_SEC |
| N039 | CSR_NON_SEC |
| N040 | CSR_NON_SEC |
| N041 | CSR_NON_SEC |
| N042 | CSR_NON_SEC |
| N043 | CSR_NON_SEC |
| N044 | CSR_NON_SEC |
| N045 | CSR_NON_SEC |
| N046 | CSR_NON_SEC |
| N047 | CSR_NON_SEC |
| N048 | CSR_NON_SEC |
| N049 | CSR_NON_SEC |
| N050 | CSR_NON_SEC |
| N051 | CSR_NON_SEC |
| N052 | CSR_NON_SEC |
| N053 | CSR_NON_SEC |
| N054 | CSR_NON_SEC |
| N055 | CSR_NON_SEC |
| N056 | CSR_NON_SEC |
| N057 | CSR_NON_SEC |
| N058 | CSR_NON_SEC |
| N059 | CSR_NON_SEC |
| N060 | CSR_NON_SEC |
| N061 | CSR_NON_SEC |
| N062 | CSR_NON_SEC |
| N063 | CSR_NON_SEC |
| N064 | CSR_NON_SEC |
| N065 | CSR_NON_SEC |
| N066 | CSR_NON_SEC |
| N067 | CSR_NON_SEC |
| N068 | CSR_NON_SEC |
| N069 | CSR_NON_SEC |
| N070 | CSR_NON_SEC |
| N071 | CSR_NON_SEC |
| N072 | CSR_NON_SEC |
| N073 | CSR_NON_SEC |
| N074 | CSR_NON_SEC |
| N075 | CSR_NON_SEC |
| N076 | CSR_NON_SEC |
| N077 | CSR_NON_SEC |
| N078 | CSR_NON_SEC |
| N079 | CSR_NON_SEC |
| N080 | CSR_NON_SEC |
| N081 | CSR_NON_SEC |
| N082 | CSR_NON_SEC |
| N083 | CSR_NON_SEC |
| N084 | CSR_NON_SEC |
| N085 | CSR_NON_SEC |
| N086 | CSR_NON_SEC |
| N087 | CSR_NON_SEC |
| N088 | CSR_NON_SEC |
| N089 | CSR_NON_SEC |
| N090 | CSR_NON_SEC |
| N091 | CSR_NON_SEC |
| N092 | CSR_NON_SEC |
| N093 | CSR_NON_SEC |
| N094 | CSR_NON_SEC |
| N095 | CSR_NON_SEC |
| N096 | CSR_NON_SEC |
| N097 | CSR_NON_SEC |
| N098 | CSR_NON_SEC |
| N099 | CSR_NON_SEC |
| N100 | CSR_NON_SEC |
| N101 | CSR_NON_SEC |
| N102 | CSR_NON_SEC |
| N103 | CSR_NON_SEC |
| N104 | CSR_NON_SEC |
| N104(CRR2/DA) | CSR_NON_SEC |
| N105(CRR2/DA) | CSR_NON_SEC |
| N106(CRR2/DA) | CSR_NON_SEC |
| N107(CRR2/DA) | CSR_NON_SEC |
| C001 | CM |
| C002 | CM |
| C003 | CM |
| C004 | CM |
| C005 | CM |
| C006 | CM |
| C007 | CM |
| C008 | CM |
| C009 | CM |
| C010 | CM |
| C011 | CM |
| C012 | CM |
| C013 | CM |
| C014 | CM |
| C015 | CM |
| C016 | CM |
| C017 | CM |
| C018 | CM |
| C019 | CM |
| C020 | CM |
| C021 | CM |
| C022 | CM |
| C023 | CM |
| C024 | CM |
| C025 | CM |
| C026 | CM |
| C027 | CM |
| C028 | CM |
| C029 | CM |
| C030 | CM |
| C031 | CM |
| C032 | CM |
| C033 | CM |
| C034 | CM |
| C035 | CM |
| C036 | CM |
| C037 | CM |
| C038 | CM |
| C039 | CM |
| C040 | CM |
| C041 | CM |
| C042 | CM |
| C043 | CM |
| C044 | CM |
| C045 | CM |
| C046 | CM |
| C047 | CM |
| C048 | CM |
| C049 | CM |
| C050 | CM |
| C051 | CM |
| C052 | CM |
| C053 | CM |
| C054 | CM |
| C055 | CM |
| C056 | CM |
| C057 | CM |
| C058 | CM |
| C059 | CM |
| C060 | CM |
| C061 | CM |
| C062 | CM |
| C063 | CM |
| C064 | CM |
| C065 | CM |
| C066 | CM |
| C067 | CM |
| C068 | CM |
| C069 | CM |
| C070 | CM |
| C071 | CM |
| C072 | CM |
| C073 | CM |
| C074 | CM |
| C075 | CM |
| C076 | CM |
| C077 | CM |
| C078 | CM |
| C079 | CM |
| C080 | CM |
| C081 | CM |
[^E0005]: 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).
[^E0007]: 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).
[^E0008]: 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).
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