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C 32.02.a

Category level AVA

Total AVA

Market price uncertainty

Close-out costs

Model risk

Of which: calculated using the expert based approach

0010

0020

0030

0040

0050

0060

0110

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PRP	eba_PL:x99	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PRP	eba_PL:x99	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PRP	eba_PL:x99	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PRP	eba_PL:x99	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PRP	eba_PL:x99	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PRP	eba_PL:x99	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:PRP	eba_PL:x99	y

Total core approach

0010

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PRP	eba_PL:x99	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PRP	eba_PL:x99	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PRP	eba_PL:x99	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PRP	eba_PL:x99	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PRP	eba_PL:x99	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PRP	eba_PL:x99	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:PRP	eba_PL:x99	y

Of which: trading book

0020

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PRP	eba_PL:x100	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PRP	eba_PL:x100	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PRP	eba_PL:x100	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PRP	eba_PL:x100	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PRP	eba_PL:x100	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PRP	eba_PL:x100	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:PRP	eba_PL:x100	y

Portfolios under articles 9 to 17 - total category level post-diversification

0030

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x693	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x693	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x693	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x693	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x693	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x693	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:PLS	eba_PL:x693	y
eba_dim:PRP	eba_PL:x698	y

Total category level pre-diversification

0040

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

Of which: unearned credit spreads AVA

0050

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:MCZ	eba_MC:x655	y
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:MCZ	eba_MC:x655	y
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:MCZ	eba_MC:x655	y
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:MCZ	eba_MC:x655	y
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:MCZ	eba_MC:x655	y
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:MCZ	eba_MC:x655	y
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCZ	eba_MC:x655	y
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

Of which: investment and funding costs AVA

0060

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:MCZ	eba_MC:x656	y
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:MCZ	eba_MC:x656	y
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:MCZ	eba_MC:x656	y
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:MCZ	eba_MC:x656	y
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:MCZ	eba_MC:x656	y
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:MCZ	eba_MC:x656	y
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCZ	eba_MC:x656	y
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y

Interest rates

0090

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x9	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x9	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x9	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x9	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x9	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x9	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x9	y

Foreign exchange

0100

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x16	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x16	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x16	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x16	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x16	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x16	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x16	y

Credit

0110

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x2	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x2	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x2	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x2	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x2	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x2	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x2	y

Equities

0120

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x14	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x14	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x14	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x14	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x14	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x14	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x14	y

Commodities

0130

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x12	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x12	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x12	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x12	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x12	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x12	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:PLS	eba_PL:x694	y
eba_dim:PRP	eba_PL:x698	y
eba_dim:TRI	eba_TR:x12	y

(-) Diversification benefits

0140

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x695	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x695	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x695	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x695	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x695	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x695	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:PLS	eba_PL:x695	y
eba_dim:PRP	eba_PL:x698	y

(-) Diversification benefit calculated using method 1

0150

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x696	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x696	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x696	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x696	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x696	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x696	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:PLS	eba_PL:x696	y
eba_dim:PRP	eba_PL:x698	y

(-) Diversification benefit calculated using method 2

0160

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x697	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x697	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x697	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x697	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x697	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x697	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:PLS	eba_PL:x697	y
eba_dim:PRP	eba_PL:x698	y

Memorandum item: pre-diversification AVAs reduced by more than 90% by diversification under method 2

0170

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:BAS	eba_BA:x17	y
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x101	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:BAS	eba_BA:x17	y
eba_dim:MCX	eba_MC:x651	x
eba_dim:PLS	eba_PL:x101	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:BAS	eba_BA:x17	y
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x101	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:BAS	eba_BA:x17	y
eba_dim:MCX	eba_MC:x652	x
eba_dim:PLS	eba_PL:x101	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:BAS	eba_BA:x17	y
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x101	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:BAS	eba_BA:x17	y
eba_dim:MCX	eba_MC:x653	x
eba_dim:PLS	eba_PL:x101	y
eba_dim:PRP	eba_PL:x698	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:BAS	eba_BA:x17	y
eba_dim:PLS	eba_PL:x101	y
eba_dim:PRP	eba_PL:x698	y

Portfolios under the fall-back approach

0180

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:PRP	eba_PL:x699	y

100% of net unrealised profit

0190

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:MCY	eba_MC:x662	y
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:MCY	eba_MC:x662	y
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:MCY	eba_MC:x662	y
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:MCY	eba_MC:x662	y
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:MCY	eba_MC:x662	y
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:MCY	eba_MC:x662	y
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCY	eba_MC:x662	y
eba_dim:PRP	eba_PL:x699	y

10% of notional value

0200

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:MCY	eba_MC:x663	y
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:MCY	eba_MC:x663	y
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:MCY	eba_MC:x663	y
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:MCY	eba_MC:x663	y
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:MCY	eba_MC:x663	y
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:MCY	eba_MC:x663	y
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCY	eba_MC:x663	y
eba_dim:PRP	eba_PL:x699	y

25% of inception value

0210

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:MCY	eba_MC:x664	y
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x651	x
eba_dim:MCY	eba_MC:x664	y
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:MCY	eba_MC:x664	y
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x652	x
eba_dim:MCY	eba_MC:x664	y
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:MCY	eba_MC:x664	y
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:AVA	eba_AP:x113	x
eba_dim:MCX	eba_MC:x653	x
eba_dim:MCY	eba_MC:x664	y
eba_dim:PRP	eba_PL:x699	y

concept	eba_met:mi534	x
eba_dim:APR	eba_AP:x112	x
eba_dim:MCY	eba_MC:x664	y
eba_dim:PRP	eba_PL:x699	y