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C 25.00

EXPOSURE VALUE

OTC Derivatives

SFT

VaR

STRESSED VaR

Own funds requirements

Total risk exposure amount

MEMORANDUM ITEMS

CVA Risk Hedge Notionals

MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

PREVIOUS DAY (VaRt-1)

MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)

LATEST AVAILABLE (SVaRt-1)

Number of counterparties

Incurred CVA

Single Name CDS

Index CDS

of which: proxy was used to determine credit spread

010

020

030

040

050

060

070

080

090

100

110

120

130

140

concept	eba_met:mi119	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x110	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi119	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x99	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi119	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x306	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi16	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi193	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi15	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi192	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi184	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x110	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi235	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x110	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:ii174	x
eba_dim:BAS	eba_BA:x17	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:ii174	x
eba_dim:BAS	eba_BA:x17	x
eba_dim:MRW	eba_AP:x74	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi143	x
eba_dim:BAS	eba_BA:x17	x
eba_dim:MCY	eba_MC:x110	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi170	x
eba_dim:BAS	eba_BA:x17	x
eba_dim:MCU	eba_MC:x406	x
eba_dim:MCY	eba_MC:x112	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi170	x
eba_dim:BAS	eba_BA:x17	x
eba_dim:MCU	eba_MC:x405	x
eba_dim:MCY	eba_MC:x112	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

CVA risk total

010

concept	eba_met:mi119	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x110	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi119	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x99	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi119	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x306	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi16	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi193	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi15	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi192	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi184	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x110	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi235	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x110	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:ii174	x
eba_dim:BAS	eba_BA:x17	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:ii174	x
eba_dim:BAS	eba_BA:x17	x
eba_dim:MRW	eba_AP:x74	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi143	x
eba_dim:BAS	eba_BA:x17	x
eba_dim:MCY	eba_MC:x110	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi170	x
eba_dim:BAS	eba_BA:x17	x
eba_dim:MCU	eba_MC:x406	x
eba_dim:MCY	eba_MC:x112	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi170	x
eba_dim:BAS	eba_BA:x17	x
eba_dim:MCU	eba_MC:x405	x
eba_dim:MCY	eba_MC:x112	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

According to Advanced method

020

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x3	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x110	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x3	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x99	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x3	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x306	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi16	x
eba_dim:APR	eba_AP:x3	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi193	x
eba_dim:APR	eba_AP:x3	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi15	x
eba_dim:APR	eba_AP:x3	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi192	x
eba_dim:APR	eba_AP:x3	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi184	x
eba_dim:APR	eba_AP:x3	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x110	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi235	x
eba_dim:APR	eba_AP:x3	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x110	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:ii174	x
eba_dim:APR	eba_AP:x3	y
eba_dim:BAS	eba_BA:x17	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:ii174	x
eba_dim:APR	eba_AP:x3	y
eba_dim:BAS	eba_BA:x17	x
eba_dim:MRW	eba_AP:x74	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi143	x
eba_dim:APR	eba_AP:x3	y
eba_dim:BAS	eba_BA:x17	x
eba_dim:MCY	eba_MC:x110	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi170	x
eba_dim:APR	eba_AP:x3	y
eba_dim:BAS	eba_BA:x17	x
eba_dim:MCU	eba_MC:x406	x
eba_dim:MCY	eba_MC:x112	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi170	x
eba_dim:APR	eba_AP:x3	y
eba_dim:BAS	eba_BA:x17	x
eba_dim:MCU	eba_MC:x405	x
eba_dim:MCY	eba_MC:x112	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

According to Standardised method

030

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x49	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x110	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x49	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x99	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x49	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x306	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi16	x
eba_dim:APR	eba_AP:x49	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi193	x
eba_dim:APR	eba_AP:x49	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi15	x
eba_dim:APR	eba_AP:x49	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi192	x
eba_dim:APR	eba_AP:x49	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi184	x
eba_dim:APR	eba_AP:x49	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x110	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi235	x
eba_dim:APR	eba_AP:x49	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x110	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:ii174	x
eba_dim:APR	eba_AP:x49	y
eba_dim:BAS	eba_BA:x17	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:ii174	x
eba_dim:APR	eba_AP:x49	y
eba_dim:BAS	eba_BA:x17	x
eba_dim:MRW	eba_AP:x74	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi143	x
eba_dim:APR	eba_AP:x49	y
eba_dim:BAS	eba_BA:x17	x
eba_dim:MCY	eba_MC:x110	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi170	x
eba_dim:APR	eba_AP:x49	y
eba_dim:BAS	eba_BA:x17	x
eba_dim:MCU	eba_MC:x406	x
eba_dim:MCY	eba_MC:x112	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi170	x
eba_dim:APR	eba_AP:x49	y
eba_dim:BAS	eba_BA:x17	x
eba_dim:MCU	eba_MC:x405	x
eba_dim:MCY	eba_MC:x112	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

Based on OEM

040

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x38	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x110	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x38	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x99	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x38	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x306	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi16	x
eba_dim:APR	eba_AP:x38	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi193	x
eba_dim:APR	eba_AP:x38	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi15	x
eba_dim:APR	eba_AP:x38	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi192	x
eba_dim:APR	eba_AP:x38	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi184	x
eba_dim:APR	eba_AP:x38	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x110	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi235	x
eba_dim:APR	eba_AP:x38	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x110	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:ii174	x
eba_dim:APR	eba_AP:x38	y
eba_dim:BAS	eba_BA:x17	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:ii174	x
eba_dim:APR	eba_AP:x38	y
eba_dim:BAS	eba_BA:x17	x
eba_dim:MRW	eba_AP:x74	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi143	x
eba_dim:APR	eba_AP:x38	y
eba_dim:BAS	eba_BA:x17	x
eba_dim:MCY	eba_MC:x110	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi170	x
eba_dim:APR	eba_AP:x38	y
eba_dim:BAS	eba_BA:x17	x
eba_dim:MCU	eba_MC:x406	x
eba_dim:MCY	eba_MC:x112	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x

concept	eba_met:mi170	x
eba_dim:APR	eba_AP:x38	y
eba_dim:BAS	eba_BA:x17	x
eba_dim:MCU	eba_MC:x405	x
eba_dim:MCY	eba_MC:x112	x
eba_dim:PRP	eba_PL:x10	x
eba_dim:TMA	eba_MA:x5	x
eba_dim:TRI	eba_TR:x7	x