ANNEX V
ANNEX X
SBM Validation Portfolios
Sheet name | Description |
Instruments | Instruments (sensitivities and curvature risk positions) for SBM validation purposes |
Portfolios | SBM validation portfolios defined as combinations of the instruments defined in this Annex |
Instrument | Risk factor identifier | Bucket | Additional identifier | Additional identifier2 | Credit quality category | Risk sensitivity |
S_IRV_b25# | GIRR_V_10.00_10.00 | USD | 400,00 | |||
S_IRV_b24# | GIRR_V_10.00_05.00 | USD | 200,00 | |||
S_IRV_b23# | GIRR_V_10.00_03.00 | USD | - 900,00 | |||
S_IRV_b22# | GIRR_V_10.00_01.00 | USD | 950,00 | |||
S_IRV_b21# | GIRR_V_10.00_00.50 | USD | - 350,00 | |||
S_IRV_b20# | GIRR_V_05.00_10.00 | USD | 1 000,00 | |||
S_IRV_b19# | GIRR_V_05.00_05.00 | USD | - 300,00 | |||
S_IRV_b18# | GIRR_V_05.00_03.00 | USD | 50,00 | |||
S_IRV_b17# | GIRR_V_05.00_01.00 | USD | 300,00 | |||
S_IRV_b16# | GIRR_V_05.00_00.50 | USD | -50,00 | |||
S_IRV_e3# | GIRR_V_03.00_CRO_USD | BRL | 500,00 | |||
S_IRV_b15# | GIRR_V_03.00_10.00 | USD | - 400,00 | |||
S_IRV_b14# | GIRR_V_03.00_05.00 | USD | 700,00 | |||
S_IRV_b13# | GIRR_V_03.00_03.00 | USD | - 800,00 | |||
S_IRV_b12# | GIRR_V_03.00_01.00 | USD | 700,00 | |||
S_IRV_b11# | GIRR_V_03.00_00.50 | USD | - 100,00 | |||
S_IRV_e2# | GIRR_V_01.00_INF | BRL | 750,00 | |||
S_IRV_b10# | GIRR_V_01.00_10.00 | USD | 500,00 | |||
S_IRV_b9# | GIRR_V_01.00_05.00 | USD | 50,00 | |||
S_IRV_b8# | GIRR_V_01.00_03.00 | USD | - 500,00 | |||
S_IRV_b7# | GIRR_V_01.00_01.00 | USD | 200,00 | |||
S_IRV_b6# | GIRR_V_01.00_00.50 | USD | 900,00 | |||
S_IRV_b5# | GIRR_V_00.50_10.00 | USD | 100,00 | |||
S_IRV_c5# | GIRR_V_00.50_10.00 | CLP | - 100,00 | |||
S_IRV_d5# | GIRR_V_00.50_10.00 | EUR | -2 000,00 | |||
S_IRV_b4# | GIRR_V_00.50_05.00 | USD | 100,00 | |||
S_IRV_c4# | GIRR_V_00.50_05.00 | CLP | 100,00 | |||
S_IRV_d4# | GIRR_V_00.50_05.00 | EUR | 1 500,00 | |||
S_IRV_b3# | GIRR_V_00.50_03.00 | USD | - 500,00 | |||
S_IRV_c3# | GIRR_V_00.50_03.00 | CLP | - 300,00 | |||
S_IRV_d3# | GIRR_V_00.50_03.00 | EUR | 1 000,00 | |||
S_IRV_b2# | GIRR_V_00.50_01.00 | USD | 400,00 | |||
S_IRV_c2# | GIRR_V_00.50_01.00 | CLP | 150,00 | |||
S_IRV_d2# | GIRR_V_00.50_01.00 | EUR | 3 750,00 | |||
S_IRV_a1# | GIRR_V_00.50_00.50 | USD | - 100,00 | |||
S_IRV_b1# | GIRR_V_00.50_00.50 | USD | 700,00 | |||
S_IRV_c1# | GIRR_V_00.50_00.50 | CLP | 300,00 | |||
S_IRV_d1# | GIRR_V_00.50_00.50 | EUR | -4 750,00 | |||
S_IRV_e1# | GIRR_V_00.50_00.50 | BRL | - 500,00 | |||
S_IRD_b11# | GIRR_D_INF | USD | -50 000,00 | |||
S_IRD_d11# | GIRR_D_INF | CLP | 95 000,00 | |||
S_IRD_e11# | GIRR_D_INF | EUR | DE | -65 000,00 | ||
S_IRD_e13# | GIRR_D_INF | EUR | FR | - 100 000,00 | ||
S_IRD_d12# | GIRR_D_CRO_USD | CLP | 10 500,00 | |||
S_IRD_e12# | GIRR_D_CRO_USD | EUR | -85 000,00 | |||
S_IRD_b12# | GIRR_D_CRO_EUR | USD | -65 000,00 | |||
S_IRD_b10# | GIRR_D_30.00 | USD | OIS | -50 000,00 | ||
S_IRD_c10# | GIRR_D_30.00 | USD | Libor3m | 10 000,00 | ||
S_IRD_d10# | GIRR_D_30.00 | CLP | OIS | 15 000,00 | ||
S_IRD_e10# | GIRR_D_30.00 | EUR | OIS | - 120 000,00 | ||
S_IRD_b9# | GIRR_D_20.00 | USD | OIS | 200 000,00 | ||
S_IRD_c9# | GIRR_D_20.00 | USD | Libor3m | -30 000,00 | ||
S_IRD_d9# | GIRR_D_20.00 | CLP | OIS | 90 000,00 | ||
S_IRD_e9# | GIRR_D_20.00 | EUR | OIS | 100,00 | ||
S_IRD_b8# | GIRR_D_15.00 | USD | OIS | 30 000,00 | ||
S_IRD_c8# | GIRR_D_15.00 | USD | Libor3m | 10 000,00 | ||
S_IRD_d8# | GIRR_D_15.00 | CLP | OIS | 70 000,00 | ||
S_IRD_e8# | GIRR_D_15.00 | EUR | OIS | 100,00 | ||
S_IRD_b7# | GIRR_D_10.00 | USD | OIS | 2 000,00 | ||
S_IRD_c7# | GIRR_D_10.00 | USD | Libor3m | - 100 000,00 | ||
S_IRD_d7# | GIRR_D_10.00 | CLP | OIS | -25 000,00 | ||
S_IRD_e7# | GIRR_D_10.00 | EUR | OIS | 100,00 | ||
S_IRD_b6# | GIRR_D_05.00 | USD | OIS | -90 000,00 | ||
S_IRD_c6# | GIRR_D_05.00 | USD | Libor3m | -35 000,00 | ||
S_IRD_d6# | GIRR_D_05.00 | CLP | OIS | -5 000,00 | ||
S_IRD_e6# | GIRR_D_05.00 | EUR | OIS | 100,00 | ||
S_IRD_b5# | GIRR_D_03.00 | USD | OIS | 85 000,00 | ||
S_IRD_c5# | GIRR_D_03.00 | USD | Libor3m | 55 000,00 | ||
S_IRD_d5# | GIRR_D_03.00 | CLP | OIS | - 100 000,00 | ||
S_IRD_e5# | GIRR_D_03.00 | EUR | OIS | 100,00 | ||
S_IRD_b4# | GIRR_D_02.00 | USD | OIS | -10 000,00 | ||
S_IRD_c4# | GIRR_D_02.00 | USD | Libor3m | 10 000,00 | ||
S_IRD_d4# | GIRR_D_02.00 | CLP | OIS | 5 000,00 | ||
S_IRD_e4# | GIRR_D_02.00 | EUR | OIS | 100,00 | ||
S_IRD_b3# | GIRR_D_01.00 | USD | OIS | -65 000,00 | ||
S_IRD_c3# | GIRR_D_01.00 | USD | Libor3m | 70 000,00 | ||
S_IRD_d3# | GIRR_D_01.00 | CLP | OIS | 10 000,00 | ||
S_IRD_e3# | GIRR_D_01.00 | EUR | OIS | -50 000,00 | ||
S_IRD_b2# | GIRR_D_00.50 | USD | OIS | 15 000,00 | ||
S_IRD_c2# | GIRR_D_00.50 | USD | Libor3m | -40 000,00 | ||
S_IRD_d2# | GIRR_D_00.50 | CLP | OIS | 45 000,00 | ||
S_IRD_e2# | GIRR_D_00.50 | EUR | OIS | 100,00 | ||
S_IRD_a1# | GIRR_D_00.25 | USD | OIS | 30 000,00 | ||
S_IRD_b1# | GIRR_D_00.25 | USD | OIS | 20 000,00 | ||
S_IRD_c1# | GIRR_D_00.25 | USD | Libor3m | -30 000,00 | ||
S_IRD_d1# | GIRR_D_00.25 | CLP | OIS | -30 000,00 | ||
S_IRD_e1# | GIRR_D_00.25 | EUR | OIS | 100,00 | ||
S_IRD_f1# | GIRR_D_00.25 | DKK | OIS | 100,00 | ||
S_IRC_a1# | GIRR_CU | USD | -18 466,83 | |||
S_IRC_b1# | GIRR_CU | USD | 92 233,09 | |||
S_IRC_c1# | GIRR_CU | CLP | -1 270,00 | |||
S_IRC_d1# | GIRR_CU | EUR | - 253,12 | |||
S_IRC_e1# | GIRR_CU | VND | -11 950,00 | |||
S_IRC_a1# | GIRR_CD | USD | 18 647,66 | |||
S_IRC_b1# | GIRR_CD | USD | -93 178,71 | |||
S_IRC_c1# | GIRR_CD | CLP | 450,00 | |||
S_IRC_d1# | GIRR_CD | EUR | -3 237,08 | |||
S_IRC_e1# | GIRR_CD | VND | -4 030,00 | |||
S_FXV_b4# | FX_V_5.00 | EUR_CLP | 200,00 |
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_b1# S_IRC_c1# S_IRC_d1# 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_b1# S_IRC_c1# S_IRC_d1# S_IRC_e1# |
G055 | GIRR | DELTA | S_IRD_e11# S_IRD_e13# |
G056 | GIRR | DELTA | S_IRD_e1# S_IRD_f1# |
E001 | EQ | DELTA | S_EQD_a2# |
E002 | EQ | DELTA | S_EQD_c1# |
E003 | EQ | DELTA | S_EQD_d1# |
E004 | EQ | DELTA | S_EQD_e1# |
E005 | EQ | DELTA | S_EQD_f1# |
E006 | EQ | DELTA | S_EQD_h1# |
E007 | EQ | DELTA | S_EQD_i1# |
E008 | EQ | DELTA | S_EQD_j1# |
E009 | EQ | DELTA | S_EQD_k1# |
E010 | EQ | DELTA | S_EQD_m1# |
E011 | EQ | DELTA | S_EQD_o1# |
E012 | EQ | DELTA | S_EQD_q1# |
E013 | EQ | DELTA | S_EQD_s1# |
E014 | EQ | DELTA | S_EQD_a3# |
E015 | EQ | DELTA | S_EQD_x1# |
E016 | EQ | DELTA | S_EQD_y1# |
E017 | EQ | DELTA | S_EQD_z1# |
E018 | EQ | DELTA | S_EQD_f2# |
E019 | EQ | DELTA | S_EQD_aa1# |
E020 | EQ | DELTA | S_EQD_ab1# |
E021 | EQ | DELTA | S_EQD_ac1# |
E022 | EQ | DELTA | S_EQD_k2# |
E023 | EQ | DELTA | S_EQD_m2# |
E024 | EQ | DELTA | S_EQD_p1# |
E025 | EQ | DELTA | S_EQD_q2# |
E026 | EQ | DELTA | S_EQD_t1# |
E027 | EQ | DELTA | S_EQD_a1# S_EQD_a2# |
E028 | EQ | DELTA | S_EQD_a2# S_EQD_a3# |
E029 | EQ | DELTA | S_EQD_a2# S_EQD_b1# |
E030 | EQ | DELTA | S_EQD_a2# S_EQD_b2# |
E031 | EQ | DELTA | S_EQD_f1# S_EQD_f2# |
E032 | EQ | DELTA | S_EQD_f1# S_EQD_g1# |
E033 | EQ | DELTA | S_EQD_f1# S_EQD_g2# |
E034 | EQ | DELTA | S_EQD_k1# S_EQD_k2# |
E035 | EQ | DELTA | S_EQD_k1# S_EQD_l1# |
E036 | EQ | DELTA | S_EQD_k1# S_EQD_l2# |
E037 | EQ | DELTA | S_EQD_m1# S_EQD_m2# |
E038 | EQ | DELTA | S_EQD_m1# S_EQD_n1# |
E039 | EQ | DELTA | S_EQD_m1# S_EQD_n2# |
E040 | EQ | DELTA | S_EQD_o1# S_EQD_p1# |
E041 | EQ | DELTA | S_EQD_q1# S_EQD_q2# |
E042 | EQ | DELTA | S_EQD_q1# S_EQD_r1# |